// definition
Basis trade
Cash-futures Treasury arbitrage
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Short definition
A leveraged arbitrage that captures the price gap between a cash Treasury bond and its futures contract: buy the cash bond, sell the future, fund in repo. It supplies liquidity in normal times and amplifies stress in a forced unwind.
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
- 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
- Federal Reserve & FREDRates, the Fed balance sheet, FRED series and the New York Fed ACM model.
- U.S. Treasury Fiscal DataDebt, Treasury cash, DTS and auctions.
- U.S. Treasury TICCross-border holdings and flows of Treasuries.
- Congress.gov, GovInfo & CBOBudget projections, texts and estimates.
- Bank for International SettlementsGlobal debt, banks and market fragilities.