How sensitive is the Treasury cash-futures basis trade to funding condition shifts?

Hugo De Vere, Matthew McCormick, Srini Ramaswamy and Seth Searls
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Seth Searls: https://www.dallasfed.org/research/economists/searls

Dallas Fed Economics from Federal Reserve Bank of Dallas

Abstract: The Treasury cash-futures basis trade, a very large, leveraged Treasury trade, has drawn scrutiny because unwinding positions amplified stress during the pandemic-era market shock of March 2020. With estimates suggesting the trade has since grown larger, attention is focused on how well it might weather future shocks.

Keywords: banking; finance; Treasury futures (search for similar items in EconPapers)
Date: 2025-07-15
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Persistent link: https://EconPapers.repec.org/RePEc:fip:d00001:101315

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