The 2 year Treasury note yields ~4.9% in the cash market as of 29 Aug 2023.
Assume implied cost of financing of 5.5% pa (3 month T-bill rate) to finance a long futures position.
This results in a negative carry of ~0.6% pa if the world does not change.
The 3 and 5 year Treasury note futures also have a negative carry based on the same reasoning. And they have a negative roll down return since the yield curve is presently downward sloping from 2 year tenor to 10 year tenor.
Have I understood correctly that anyone who holds a long 2 year Treasury note futures position suffers a negative carry and will lose money if the world does not change? (same applies for long 3 and 5 year Treasury notes)
Meaning to say, the carry, expected return as well as actual P/L are all negative if the world does not change.
If yes, how is it possible, from an expected returns perspective, that there are still longs in this market? (aside from speculators who are hoping rates will fall)
Thanks in advance and apologies for ignorance.