Topic

Treasury basis trade

A cash-and-carry arbitrage that buys a cash Treasury and sells the matching futures contract to capture the small price gap between them, normally financed with heavy borrowing.

Current clusters

invest1 publisher

Hedge funds' record $2 trillion Treasury book leans on an $830 billion basis trade

Hedge funds now hold nearly 7% of the Treasury market and the New York Fed is examining their relative-value strategies. Roughly $830 billion of that book is basis trades financed at up to 50 times equity.

Publishers:cryptobriefing.com

Reality

Evidence20
Adoption: Insufficient
Hype gap+35
Incentives55
Confidence28