The Cross-Border Trail of the Treasury Basis Trade

Daniel Barth, Daniel Beltran, Matthew Hoops, Robert Kahn, Emily Liu and Maria G. Perozek
Additional contact information
Maria G. Perozek: https://www.federalreserve.gov/econres/maria-g-perozek.htm

No 2025-10-15-2, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Recent regulatory data collections on hedge funds indicate a massive increase in Cayman Islands hedge fund exposures to U.S. Treasury securities over the last two years, corresponding to a simultaneous surge in hedge funds' Treasury cash-futures basis trade positions (the ""basis trade""). While other data sources, including Coordinated Portfolio Investment Survey (CPIS) data, confirm this rise, statistics from official U.S. Treasury International Capital (TIC) data do not show a significant increase in Treasury securities held by Cayman Islands hedge funds.

Date: 2025-10-15
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.federalreserve.gov/econres/notes/feds- ... -trade-20251015.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2025-10-15-2

DOI: 10.17016/2380-7172.3939

Access Statistics for this paper

More papers in FEDS Notes from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().