Levering Up

Published on February 5, 2024 by Premium

The large supply of Treasuries continues to be absorbed by the cash-futures basis trade, but new research is revealing some of the drivers behind the trade that shed light on its potential limits. Circumstantial evidence suggest that the cash-futures basis trade has surged to all time highs in line with ongoing growth in coupon issuance. While the trade depends on the capacity and willingness of dealers and hedge funds, it also depends on continued investment […]

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