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Discussion Paper

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


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.

https://doi.org/10.17016/2380-7172.3355

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Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: FEDS Notes

Publication Date: 2023-08-30

Number: 2023-08-30-2