Sizing hedge funds' Treasury market activities and holdings

Ayelen Banegas, Phillip J. Monin and Lubomir Petrasek
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Ayelen Banegas: https://www.federalreserve.gov/econres/ayelen-banegas.htm
Phillip J. Monin: https://www.federalreserve.gov/econres/phillip-monin.htm
Lubomir Petrasek: https://www.federalreserve.gov/econres/lubomir-petrasek.htm

No 2021-10-06-3, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Hedge funds play an increasingly important role in U.S. Treasury (UST) cash and futures markets, a role that has been widely discussed following the March 2020 U.S. Treasury sell-off. In this note, we analyze hedge funds' holdings of UST securities and their UST market activities in normal times and in times of financial market stress using regulatory data from the SEC Form PF.

Date: 2021-10-06
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2021-10-06-3

DOI: 10.17016/2380-7172.2979

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