8 мар. 2024 г. · The Treasury cash-futures basis trade exploits the difference in prices between a Treasury security and a related Treasury futures contract – ...

23 сент. 2024 г. · Net Treasury cash positions increased $400 billion in the two years prior to. December 2019, fell off sharply through 2021, and then ramped up $ ...

16 мая 2024 г. · Basis trades are arbitrage strategies which improve market functioning but are subject to specific risks, especially when excessively leveraged.

Basis can be defined as the difference between the clean price of the cash security minus the converted futures price.

The Treasury cash-futures basis trade is a relatively straightforward arbitrage of price differences that can emerge between Treasuries ...

Basically, in this transaction a borrower temporarily lends a security to a lender for cash with an agreement to buy it back in the future at a predetermined ...

23 сент. 2024 г. · Treasury futures: Our Select Funds were predominantly short futures, with a notional market value of $1.1 trillion at the end of December 2023.

Cash-futures basis trades, or basis trades, exploit profit opportunities that arise from differences in the prices of government bonds and their ...

8 мар. 2024 г. · Figure 1 plots the Treasury cash-futures bases of the 2-, 5-, and 10-year futures contracts and highlights periods of basis trade activity.

25 июн. 2024 г. · The basis trade, a strategy hedge funds use to profit from small price discrepancies between Treasury bonds and their futures contracts, is back.