basis trade

Rates & Repo Europe: what are market nightmare scenarios?

Finadium: How Far Can the Marginal Buyer Take US Treasury Repo in 2024?

NY Fed blog: what’s being said about non-cleared bilateral repo

OpenGamma’s Burnham: UST trade faces surging margin costs in 2023/24

BoE flags “significant” vulnerabilities – liquidity mismatch, UST basis trade, margin calls

BNYM sees basis trade continuing through Q1 2024

Rates & Repo North America 2023: Market conditions in US repo

Cleveland Fed conference: which secfinance-related risk indicators are being watched?

BIS: repo structural shifts during 2023 banking stresses won’t stave off next shock

Fed flags return of basis trade on hedge funds’ Treasury futures and repo positions

Bloomberg article on increase in UST basis trade using CFTC data

OFR: Hedge Funds and the Treasury Cash-Futures Disconnect

A renewed focus on hedge fund risk in US Treasury repo, options and the basis trade (Premium)

Office of Financial Research: Basis Trades and Treasury Market Illiquidity

Bloomberg: Before Fed Acted, Leverage Burned Hedge Funds in Treasury Trade

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