The unknown risk on the flip side of the basis trade

US mutual funds have amassed record notionals in Treasury futures that in some cases exceed their AUM

Credit: Stephen Lee,

Hedge funds have been the main protagonists in a popular narrative this year – that the ever-expanding, and highly leveraged, basis trade might implode and take the US Treasury market with it. There are two sides to every story, though. And as hedge funds’ short positions in US Treasury futures have ballooned since the tail end of last year, so too have futures notional exposures at asset managers – the firms that largely make up the other side of the trade. 

US mutual bond funds are holding

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here