// definition
Basis trade
Cash-futures Treasury arbitrage
Short definition
A strategy seeking to profit from the relative prices of a bond and a futures contract. Its long Treasury version combines buying the bond, selling the future and funding in repo. Returns depend on prices, coupons, funding costs and delivery terms. Hedging interest-rate risk leaves basis risk and margin-related liquidity needs.
risk atlas
Knowledge map
Intuition
The basis trade turns a small price gap into a large exposure through repo leverage.
Why it matters now
It can support Treasury liquidity in calm times, then drain it if margins rise or funding turns unstable.
Related analyses
- Government debt: the buyers who borrow
- The Treasury basis tradeLeverage, repo and bond-market fragility.
- Repo, the liquidity factoryFunding chains that transmit a rate shock.
Related guides
- Reading the Treasuries marketCurve, auctions, holders and the term premium.
- Net liquidity: TGA, RRPReserve channels and Treasury cash.
Related datasets
- risk.jsonPublic snapshot of the risk signals.
- debt-risk.jsonDebt Risk Radar snapshot with provenance.
- risk-diff.json1, 7 and 30-day diff of signals, sources and models.
- signals/history.jsonPoint-in-time history of the signals.
Signals using it
- MethodologyDebt, interest burden, current stress and structural vulnerability.
- Risk DiffRecent change in risk and source freshness.
- Black Box RecorderHashed frames to replay a point-in-time state.
Primary sources
- CME, gross Treasury basis calculation
- Fed, Quantifying Treasury Cash-Futures Basis TradesReturns after funding, delivery options and risks of the strategy.