‘Trade of the year’ sees investors position for shrinking negative basis as Treasuries predicted to outperform swaps
A bet on the relative performance of US interest rate swaps versus Treasuries is being dubbed the ‘trade of the year’ by macro funds, fuelled by comments from Federal Reserve officials on a possible easing of bank capital requirements on government bonds.
Traders are betting the difference between the two instruments – known as the swap spread – will move from current deeply negative levels toward zero, with bond valuations outpacing swap equivalents if regulators opt to exclude Treasuries from
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