Back to school for me today as we sat down with our Economist Melissa Davies to go through her latest piece on ON RRP and the hedge fund basis trade and what it might mean which featured in the FT too overnight. It’s a fair old distance outside my comfort zone but it appears like it might have far reaching ramifications for all market participants. All depends how the Fed navigate the end of QT, how the Hedge Fund Basis trade works out, what it means treasury demand, liquidity and volatility. S…
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