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Stats › Intraday en marktmicrostructuur › The basis trade

Three official bodies size the Treasury basis trade at 830 billion, 1,060 billion and 500 billion dollars

Bron en datumBasis tradeHedge fund long Treasury exposureShare of privately held Treasuries
Central bank note, September 2025about 830 bn2.4 trillion8.5% gross
International body, second quarter 20251,060 bn2,379 bnongeveer 10%
Research office, September 2019505 bn by one methodniet gerapporteerdniet gerapporteerd
The same, by a second method409 bnniet gerapporteerdniet gerapporteerd
The same, stated peak range400 to 500 bnniet gerapporteerdniet gerapporteerd

All three bodies work from aggregations of the same confidential regulatory filings. The central bank note states its own figures are approximations consistent with the reported data rather than exact measurements, because the filings contain no trade level data, and that basis trade estimates vary significantly across methods. None of the three reports a standard error, a confidence interval or a test statistic.

The largest leveraged trade in government bonds has no agreed size. Estimates from a central bank note, an international body and a research office differ by a factor of two, and all three use the same underlying regulatory filings.

about 830 bn dollarsBasis trade size, central bank estimate
1,060 bn dollarsInternational body estimate
400 to 500 bn dollarsEarlier research office peak estimate
17.6 timesMedian leverage of funds classified as basis traders

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