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OFR-Basis Trades and Treasury Market Illiquidity - 2020 by Michelle li is a document available to read on EtoBox.

What is OFR-Basis Trades and Treasury Market Illiquidity - 2020 about?

This brief analyzes the Treasury futures basis trade, which aims to profit from price differences between cash Treasury securities and futures, and assesses its impact on market liquidity during March 2020. While basis trades faced significant losses due to market stress, the evidence suggests these trades did not exacerbate Treasury market illiquidity, and the Federal Reserve

Author

Michelle li

Language

EN