Recent Developments in Hedge Funds’ Treasury Futures and Repo Positions: is the Basis Trade “Back"?

Daniel Barth, Robert Kahn and Robert Mann ()
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Robert Mann: https://www.financialresearch.gov/research-staff/details/robert-mann/

No 2023-08-30-2, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In short, the answer is "probably", at least to some degree. This note summarizes recent developments in hedge funds' Treasury futures and repo positions derived from the Commodities Futures and Trading Commission's (CFTC's) Traders in Financial Futures data and the Office of Financial Research's ("OFR") Cleared Repo Collection.

Date: 2023-08-30
New Economics Papers: this item is included in nep-fmk and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2023-08-30-2

DOI: 10.17016/2380-7172.3355

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