Basis trading
BrokerTec Chicago goes live, targeting RV traders
New venue aims to wrestle cash leg of Treasury-futures basis trades from streaming venues
FICC’s Klimpel on ironing out the kinks in UST clearing
Focus shifts to margin efficiency and capital treatment of cleared trades
Citadel exec questions regulatory findings on repo haircuts
Isda AGM: OFR analysis didn’t account for excess collateral held against cleared positions in related trades
Dodging a steamroller: how the basis trade survived the tariff tantrum
Higher margins, rising yields and stable repo funding helped avert another disruptive blow-up
Inside the week that shook the US Treasury market
Rates traders on the “scary” moves that almost broke the world’s safest and most liquid investment
Treasury selloff challenges back-office systems, data feeds
FIS and Trading Technologies suffered downtime during peak activity
No need for repo clearing ‘cannon’ in Europe, says industry
Observers question rationale for a clearing mandate, calling for clearer incentives
Basis traders mull UST self-clearing as response to SEC mandate
Inter-affiliate exemption requested by hedge funds could ease shortage of clearing capacity
EU bond-futures basis flip spells curtains for netting
Alignment with US positions brings higher balance sheet usage, while low returns also a turn-off say traders
FCMs call for more oversight of self-clearing CCP members
Clearing firms worry that PTFs and market-makers joining CCPs en masse will increase systemic risk
Repo and FX markets buck year-end crunch fears
Price spike concerns ease as September’s surprise SOFR jump led to early preparations for bank window dressing
Quants mine gold for new market-making model
Novel approach to modelling cointegrated assets could be applied to FX and potentially even corporate bond pricing
Millennium risk manager defends leverage in basis trade
“Gross notional measures don’t equate to market risk,” says Scott Rofey
Hedge fund surge in momentum EGB trading stirs unease
Dealers voice concerns that crowded positions could lead to liquidity squeezes following mass unwinds
Trillion-dollar basis trade will keep growing – asset managers
Treasury issuance, credit trades and repo stigma drive rise in futures use
For US Treasury troubles, treat the cause not the symptom
Regulatory alarm about hidden risk in the Treasury futures market misses the point, fund association execs write
Treasury futures super-user switches to swaps
Capital Group’s Anbax fund slashes UST futures holdings in move to alternative rates derivatives
US Treasury official calls for SLR relief during market stress
Under Secretary Liang also urges scrutiny of “artificial incentives” for Treasury futures in 40-Act rules
Traders eye negative CDS-bond basis
Changed market dynamic can be profitable for those firms able to capture it
Review of 2023: a hard road to a soft landing
Banks and regulators were caught in the crosswinds of the fight against inflation
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