CME offers basis traders a leg up

New Treasury Link service ‘levels playing field’ in strategy dominated by high-speed players

For fixed income relative-value traders, ‘legging risk’ has long been seen as the enemy of good execution. Because each leg of, say, a US Treasury versus futures basis trade is processed with a slight delay, there’s a chance they get executed at a level different than what was expected.

Eliminating this risk for banks and asset managers is a key goal for CME’s new Treasury Link service, which will