Many Happy Returns Treasury Doom Loop: The World's Most Dangerous Trade?
Nov 22, 2023
This podcast explores the risks of the Treasury 'basis trade' and the concerns raised by regulators. It discusses the use of leverage by hedge funds and the potential consequences of market dislocations. The resurgence of the basis trade in the bond market and the risks associated with it are also covered. In addition, the podcast explains the difference between duration and maturity in bonds and how bond duration is used to measure risk.
Chapters
Transcript
Episode notes
1 2 3 4 5 6
Introduction
00:00 • 2min
Understanding the Basis Trade and Leveraging Profit
01:35 • 14min
Consequences of a Market Going Wrong and Hedge Fund Unwinding
15:13 • 2min
The Resurgence of the Basis Trade
16:47 • 5min
Risks of the Treasury Market and Explaining Duration vs. Maturity in Bonds
21:55 • 2min
Bond Duration: Measuring Risk and Yield Curve Movement
24:03 • 6min