2026-09-22

Wall Street strategists say a popular US Treasury basis trade has dropped to its smallest scale in more than two years, reflecting fewer exploitable mispricings and reduced liquidity provision from hedge funds. The levered strategy, which arbitrages small futures–cash price gaps, has cooled as those spreads compressed, weakening an important source of Treasury demand. Morgan Stanley and Citigroup strategists say the trade is not disappearing but that momentum has waned as relative-value opportun

Wall Street strategists say a popular US Treasury basis trade has dropped to its smallest scale in more than two years, reflecting fewer exploitable mispricings and reduced liquidity provision from hedge funds. The levered strategy, which arbitrages small futures–cash price gaps, has cooled as those spreads compressed, weakening an important source of Treasury demand. Morgan Stanley and Citigroup strategists say the trade is not disappearing but that momentum has waned as relative-value opportunities narrow; Citigroup’s head of US rates strategy Jason Williams said lower market dislocations and volatility have trimmed basis positions and could imply stronger-than-expected Treasury demand. Morgan Stanley estimates nominal notional of leveraged participation in Treasury basis trades fell from $1.26 trillion at the start of the year to about $900 billion.

2026-09-22

WILLIAMS said holding reserves should not carry an opportunity cost.

WILLIAMS said holding reserves should not carry an opportunity cost.

2026-09-22

美联储威廉姆斯：美联储的利率控制系统非常有效。

美联储威廉姆斯：美联储的利率控制系统非常有效。

2026-09-22

Fed's Williams said the Fed will adjust the supply of reserve balances as market conditions warrant.

Fed's Williams said the Fed will adjust the supply of reserve balances as market conditions warrant.

2026-09-22

美联储威廉姆斯：持有储备不应有机会成本。

美联储威廉姆斯：持有储备不应有机会成本。

2026-09-22

美联储威廉姆斯：美联储将根据市场情况调整准备金供应。

美联储威廉姆斯：美联储将根据市场情况调整准备金供应。