Hedge funds have reduced their exposure to the US Treasury basis trade as shrinking price discrepancies between Treasury futures and the underlying cash bonds have made the strategy less attractive, according to a report by Bloomberg.The report cites estimate from Morgan Stanley strategists as highlighting that notional value of leveraged investors’ Treasury basis positions has fallen to about $900bn, down from approximately $1.26tn at the start of 2026.The decline marks the smallest estimated s...
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