US bond repricing marks brief setback for hedge funds' basis trade [Reuters]
JP Morgan Chase & Co. (JPM)
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Source: Reuters
this year, but the sheer growth of the government debt market is expected to spur more trading in the future. Some hedge funds short Treasury futures as part of the so-called basis trade, a bet that exploits the price difference between a Treasury security and its derivative in the futures market. The strategy, where returns are juiced by leverage, has gained popularity thanks to high demand for Treasury futures by asset managers. Hedge funds take the other side of that trade, selling futures contracts. Now, as investors re-calibrate their bond bets on expectations that interest rates will remain higher for longer, asset managers' demand for futures has declined, reducing the profitability of the trade, market participants have said. Three hedge funds told Reuters that the once eye-popping returns on the basis trade have declined, making it a less interesting trade, although still profitable. The portfolio managers spoke on condition of anonymity because their trades are not pub
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- 4/12/24 - Beat
JPM
Sec Filings
- 4/29/24 - Form 424B2
- 4/29/24 - Form 424B2
- 4/29/24 - Form 424B2
- JPM's page on the SEC website