Snapshots of Observations on the Treasury Cash-Futures Basis Trade

Quickly apply original, key PMR-published papers with Snapshots—a short article companion that distills PMR research into compressed, digestible takeaways, so you can put the paper’s core ideas to work in your investment process—fast. This Snapshot is based on an article about the scale and structure of the Treasury cash-futures basis trade. Using regulatory data on 20 large commodity pools, the authors show positions exceeded prior estimates, topped 1 trillion in late 2023, and extended beyond Treasuries into non-US sovereign bonds as well globally.