Treasury Selloff Cascade: Basis-Traders On Edge As Surging-Rates Spark Bond Liquidation Fears On Unforeseen “Quirk”

Barclays Andres Mok and his Interest Rate Derivatives team have noticed a relatively rare – but not inconsequential – technicality that is looming in the bond futures market.

With record exposure on both the long side of the futures market (asset managers) and short-side (hedge funds), the fine print of the futures contract is very much coming into focus.