Buy and hold Treasury exposure using futures

I am trying to understand the all in cost of implementing continuous, buy and hold Treasury exposure with futures

My initial thinking is that implied repo rates shown in CME Treasury Analytics are not representative of the all in cost of the buy and hold strategy. Implied repo rates are driven by idiosyncratic factors in the CTD and the basis trade. Costs of the buy and hold strategy are driven by roll costs

Some very rough analysis suggests that the buy and hold futures strategy incurred costs 60-100bps above SOFR, depending on tenor, for the previous 5 years. Can this be right? Such high costs to implement Treasury exposure using futures would completely eat away any term premium and then some. Any buy and hold strategy would seemingly bleed money over time

Am I missing something? I know asset managers are net long Treasury futures, I would think they would be sensitive to these implementation costs. Maybe they don't care as much because the yield on their credit portfolio offsets the futures costs.

Implementing Treasury exposure with SPX box spreads and ETFs appears more cost effective (ignoring tax implications). VGIT has an expense ratio of 3bps and 3mo boxes are regularly priced ~30bps to SOFR

Is my line of thinking here correct? Is there any research on the buy and hold Treasury futures strategy, all papers I have come across relate to the basis trade

 

what's your view on the rate? that is the first question to be asking, otherwise there is no point but expect a massive drawdown at any major economic news

 

Using Treasury bills (T-bills) in a futures account as collateral is a common strategy among professional and institutional futures traders who want to earn interest while still maintaining margin to trade. Here's a clear breakdown of how this process works:

✅ Overview: How It Works

1. Purchase T-bills with Cash:
   
   • You buy short-term U.S. Treasury bills (typically 4-week to 52-week maturity).
     
     
   • This is done either through your broker or directly (e.g., via TreasuryDirect), but in this context, it's usually done through your futures broker or clearing firm.
     
2. Deposit the T-bills into Your Futures Account:
   
   • You transfer or purchase the T-bills directly within your futures brokerage account, or you move existing T-bills into that account (must be eligible and held in street name at a recognized custodian).
     
     
   • The broker then recognizes the face value or discounted collateral value of the T-bills toward your margin requirements.
     
3. Use T-bills as Collateral for Margin:
   
   • The broker allows a percentage of the T-bill value (usually up to 90-95%) to count toward your margin requirement.
     
     
   • You can now trade futures using the T-bills as collateral, while still earning the risk-free yield on those T-bills.
     

Example

• You have $500,000 in cash.
  
  
• You purchase $500,000 worth of 13-week T-bills at a discount (e.g., for $492,000).
  
  
• You use these T-bills as margin collateral for trading E-mini S&P 500 futures.
  
  
• Your broker may allow up to $475,000 of the T-bills to count toward your initial margin.
  
  
• You earn interest on the full $500,000 face value upon maturity, while actively trading.