Brief
Why Rates Volatility Feels Different This Time
Executive Summary Treasury markets are shifting from an orderly repricing to a more fragile phase. Hedge funds running 20–50x leveraged Treasury futures basis trades are trapped in a feedback loop: a
Summary
Executive Summary Treasury markets are shifting from an orderly repricing to a more fragile phase.
Hedge funds running 20–50x leveraged Treasury futures basis trades are trapped in a feedback loop: as cash Treasury prices fall and volatility rises, their collateral shrinks, leverage is cut, and they are forced to sell the same bonds backing their borrowing....
Source
- Connect CREconnectcre.com
