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Basis Trades and Treasury Market Illiquidity

Daniel Barth and Robert Kahn
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Daniel Barth: Board of Governors of the Federal Reserve System

No 20-01, Briefs from Office of Financial Research, US Department of the Treasury

Abstract: The Treasury basis trade exploits the price difference between Treasury bonds and futures. The trade is exposed to financing and liquidity risks that can affect market liquidity.

Keywords: Treasury; repurchase agreement; futures; basis trade; hedge fund; securities dealers; liquidity (search for similar items in EconPapers)
Pages: 18 pages
Date: 2020-07-16
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (12)

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