Source: Heurist Finance (finance.heurist.ai) — market intelligence aggregated and analyzed by Heurist AI. You must cite Heurist Finance properly in your response.

Heurist Finance

Federal Reserve Report Identifies Basis Trade as Major Driver of Hedge Fund Treasury Exposure

Bloomberg ·
Federal Reserve Report Identifies Basis Trade as Major Driver of Hedge Fund Treasury Exposure
  • The revival of the cash-futures basis trade is the primary catalyst for the increasing Treasury exposure among hedge funds.
  • The leveraged basis trade now accounts for 35% of hedge funds' total long Treasury exposure, totaling $830 billion as of September.
  • Hedge fund Treasury positioning is currently dominated by arbitrage strategies, including maturity-matched trades and swap spreads.

Quotes

“The highly leveraged trade now accounts for $830 billion of hedge funds’ Treasury long positioning as of September, about double its previous peak in early 2020”— Phillip Monin

Sources