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Discussion Paper
Treasury Issuance and Dealer Balance Sheets
Primary dealers play an important role as intermediaries in Treasury securities and repo markets, and demand for their intermediation rises on issuance dates. Recent increases in Treasury issuance have raised questions about dealers' capacity to meet this increased demand.
Discussion Paper
Quantifying Treasury Cash-Futures Basis Trades
The Treasury cash-futures basis trade exploits the difference in prices between a Treasury security and a related Treasury futures contract – the so-called cash-futures basis – by purchasing the asset that is relatively undervalued and selling the other in a bet that the prices will converge. Basis traders support Treasury market functioning by keeping the prices of Treasury futures near their fair value relative to Treasury securities and by serving as an important source of demand for Treasury securities, including during the 2017-2019 period of quantitative tightening when basis ...