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Morgan Stanley estimates leveraged basis-trade holdings fall 20% this year to $1.2 trillion Pullback is mostly concentrated in 2-year and 5-year Treasury futures CFTC data shows net shorts in 2-year Treasury futures down more than 40% from March By Anirban Sen and Gertrude Chavez-Dreyfuss NEW YORK, Sept 24 (Reuters)
By Anirban Sen and Gertrude Chavez-DreyfussLike Treasuries themselves, the Treasury basis trade has fallen out of favor lately.Funds locked up in leveraged basis trades are down 20% this year to $1.2 trillion, Morgan Stanley estimates. The decline reflects a mostly uneventful rise in US interest-ra…