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| Sure,
Index funds will many times use swaps dealers to hold their positions rather than buying the futures themselves. Take the Goldman Sachs Commodity Index for example. Say Goldman is managing ~$50bil. in the fund and they have earmarked ~5% to buy corn. That's $2.5bil. worth of corn they need to be long. At $4/bu. corn times 5,000bushels equals $20,000/contract... that works out to 125,000 contracts of corn they would need to be long which is way above speculative limits. They will go to their swaps desk and buy the corn from them. The swaps desk will then turn around and buy corn futures as a hedge against their OTC swaps position in the corn. Not all index funds have all of their positions in swaps, but many do. | |
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For those who like good data.
