POPA ReconThree-month futures basis has paid less than a 2-year Treasury since February.
Three-month futures basis has paid less than a 2-year Treasury since February. Only one other stretch on record has run this long: August 2022 into January 2023. It ended at the cycle low. This also directly impacts depth and volumes across the market. https://glassno.de/3REiIkJ
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