Hedge funds and the Treasury cash-futures basis trade

• 成果类型: Article
• 署名作者: Barth, Daniel; Kahn, R. Jay
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2025.103823
• 发表日期: 2025
• 关键词: Treasury markets; Hedge funds; Limits to arbitrage; Financial stability; liquidity

摘要

This paper studies hedge funds' arbitrage positions in the Treasury cash-futures basis trade, which profits from the disconnect between cash and futures prices. At times, the trade has surpassed $1 trillion in gross exposures. Basis traders consistently account for more than 60% of all hedge fund Treasury positions and 70% of all hedge fund repo. We show how frictions can introduce a positive association between arbitrage quantities and spreads, and how these frictions may propagate stress in the Treasury market during periods of instability such as in March 2020.