PART 01: The rise and fall of an arbitrage trade by hedge funds known as the Treasury cash-futures basis trade. That was the focus of an excellent research paper by two government researchers. But there's just one problem. They don't ask what caused the rise of the basis trade in the first place.
PART 02: Open interest in US Treasury Long Bond futures have crossed the 800,000-line only a few times in the past quarter-century. Nothing ever good happened in markets or the world economy when that happened. Where are they today? Almost 1.2 million. Why, who and when?
PART 03: On April 23 the 5-year US Treasury Inflation Protected Security auction resulted in LOWER inflation expectations. For years now these auctions conveyed RISING market-based inflation expectations. But now? With monetary 'printing' and fiscal 'stimulus' gone wild the market says, "Put your shirt back on."
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Alhambra YouTube: https://bit.ly/2Xp3roy
Emil YouTube: https://bit.ly/310yisL
A Profound Statement In the Ongoing Saga of Shadow Money: https://bit.ly/3aOcHcs
Hedge Funds and the Treasury Cash-Futures Disconnect: https://bit.ly/3nIqFBV
The Warehouse Gap Does Much To Fill In Why There Were Never Too Many Treasuries: https://bit.ly/332LpL5
What Is It About TIPS 5s Auctions? What Was It About *This* One?: https://bit.ly/3gObbLn
Alhambra Investments Blog: https://bit.ly/2VIC2wW
RealClear Markets Essays: https://bit.ly/38tL5a7
Jeff Snider, Head of Global Investment Research for Alhambra Investments and Emil Kalinowski, all about that basis (trade). Art by the nice version of Gordon Ramsey, David Parkins. Podcast intro/outro is "Pa Na Ma" by Giants' Nest at Epidemic Sound.
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