Accessible Version
The Cross-Border Trail of the Treasury Basis Trade, Accessible Data
Figure 1. Leveraged Funds' Gross Short Positions in Treasury Futures
The graph titled "Figure 1 - Leveraged Funds' Gross Short Positions in Treasury Futures" shows a weekly data series from 2017 to 2024, measured in billions of dollars.
The graph displays the series as a blue area chart that represents the gross short positions of leveraged funds in Treasury futures over time. The y-axis ranges from $0 to $1400 billion, with markers at $200 billion intervals. There is a general upward trend over the years, with some significant fluctuations. The values start around $200-$300 billion in 2017. There is a notable peak in 2019, reaching about $800 billion. The series declines sharply in early 2020, and then continues to decline until the middle of 2022, albeit more gradually, where it bottoms out around $300 billion. The values increase sharply starting in the second half of 2022 and peak around $1400 billion in late 2024. The last value at the end of 2024 is around $1200 billion.
Source: Traders in Financial Futures, Commodity Futures Trading Commission.
Figure 2. Hedge Fund Positions, by Country of Domicile
The graph titled "Figure 2 - Hedge Fund Positions, by Country of Domicile " contains two panels, each with quarterly data series from 2018:Q1 to 2024:Q4, and measured in billions of dollars.
Panel (a) shows hedge funds’ holdings of U.S. Treasury Securities for both Cayman-domiciled hedge funds, denoted by a thick red line, and for non-Cayman-domiciled hedge funds, denoted by a thin blue line, in billions of dollars. The y-axis ranges from $0 to $2000 billion, with markers at $200 billion intervals. The red line showing holdings of Cayman domiciled hedge funds is clearly upward sloping. The red line starts at around $500 billion in 2018, quickly rises to around $1000 billion in 2019, and then falls back to around $600 billion by 2021. It then climbs sharply between 2022 and 2024, reaching roughly $1800 billion by the end of 2024. The blue line showing Treasury holdings of hedge funds that are not domiciled in the Cayman Islands is about flat, hovering in the narrow range between $250-$400 billion between 2018 and 2024.
Panel (b) shows hedge funds’ net purchase agreements for both Cayman-domiciled hedge funds, denoted by a thick red line, and for non-Cayman-domiciled hedge funds, denoted by a thin blue line, in billions of dollars. The y-axis ranges from $0 to $1600 billion, with markers at $200 billion intervals. The red line showing holdings of Cayman domiciled hedge funds is clearly upward sloping. The red line starts at around $0 billion in 2018, quickly rises to around $700 billion in 2019, and then falls back to $0 billion by early 2022. It then climbs sharply between 2022 and 2024, reaching roughly $1400 billion by the end of 2024.
Source: Authors’ estimates using SEC Form PF and Form ADV. Includes only hedge funds with SEC-registered investment advisors. ‘Cayman’ denotes hedge funds domiciled in the Cayman Islands. ‘Non-Cayman’ denotes hedge funds domiciled outside the Cayman Islands, including in the United States.
Figure 3. Adjusted TIC data for Estimated Holdings of Treasury Securities by Cayman-Domiciled Investors
The graph titled "Adjusted TIC data for Estimated Holdings of Treasury Securities by Cayman-Domiciled Investors" shows 3 different quarterly data series as separate lines on the same chart, all of them measured in billions of dollars, starting in 2020:Q1 and ending in 2024:Q4. The y-axis ranges from $0 to $2000 billion, with markers at $200 billion intervals.
The dashed black line labeled "TIC" starts at around $200 billion and gradually climbs to $400 billion by the end of 2024. The dotted blue line labeled "TIC + sponsored" starts around $400 billion, stays in that range through 2022, and then rises sharply in 2023 and 2024, ending the period at around $1400 billion. The thick solid red line labeled “Form PF” starts at around $900 and closely tracks the dynamics of the dotted dark blue line. It also rises sharply in 2023-2024, ending the period at around $1900 billion.
Source: Authors’ estimates using Treasury International Capital (TIC), Form PF, FICC sponsored volumes. Treasury holdings include bonds, notes, and bills. The” TIC + sponsored” line is the sum of our TIC estimate of Treasury holdings and FICC sponsored borrowing volumes. Since daily FICC sponsored borrowing volumes were not available for Q4 2019, we used the average over December 2019 as reported by FICC.
Figure 4. U.S. Household Sector: Holdings of U.S. Treasuries and Personal Savings Rate
The figure is titled "Figure 4 – U.S. Household Sector: Holdings of U.S. Treasuries and Savings Rate." It contains two panels, each having 2 lines showing quarterly data from 2018-2024.
Panel (A) labeled "Holdings of Treasury Securities" shows two lines. The y-axis ranges from $-500 to $3000 billion, with markers at intervals of $500 billion. The thicker line with the higher values, labeled "Published" trends upward with some notable fluctuations. The series starts around $700 billion in 2028, climbs to roughly $1600 billion by the end of 2019, falls back down to below $500 billion in 2020, and then shoots up again after 2022, ending the period just below $3000 billion.
The thinner red line labeled "Adjusted" shows a similar pattern, but the fluctuations are less pronounced. It starts around $500 billion in 2018, climbs to about $700 billion by 2019, before falling to near-zero in 2022. It then climbs sharply to $1500 billion in 2024, and stays in that range through the end of 2024.
Panel (B) labeled "Personal savings rate" also shows two lines. The y-axis ranges from 2 percent to 22 percent, with markers at intervals of 4 percentage points. The thicker blue line labeled "Published" displays a hump-shaped pattern. It starts around 7 percent in 2018, peaks around 19 percent in 2022, and then falls back to around 6 percent by 2022, before climbing a bit to 9 percent by the end of 2024. The thinner red line labeled “Adjusted” follows a similar patter as the published series: it starts around 7 percent, rises to around 20 percent in 2020, and then falls back to 6 percent in 2022, before rising again to around 9 percent by the end of 2024. The adjusted personal saving rate is lower than the published measure by about 1.1 percentage point during the 2018-2019 period, and by 2.1 percentage points between 2022-2024.
Note: ‘Published’ denotes data as published in the Financial Accounts of the United States – Z.1. ‘Adjusted’ denotes authors’ estimates after adjusting for under-reporting of Treasuries in TIC. Panel B shows the four-quarter moving average of NIPA-concept personal saving, shown as a percent of disposable personal income.
Source: Authors’ estimates using SEC Form PF and Financial Accounts of the United States – Z.1, June 12, 2025.
Figure 5. Absorption of Net Issuance of U.S. Treasury Notes and Bonds, January 2022 – December 2024
The figure is titled ‘Figure 5 – Absorption of Net Issuance of U.S. Treasury Notes and Bonds, January 2022 – December 2024.” It’s a bar chart with 5 vertical bars. The y-axis ranges from $-1500 billion to $2500 billion. The first bar labeled “Foreign official” has a value of $32 billion. The second bar labeled “Cayman Hedge Funds” has a value of $1225 billion. The third bar labeled “Other foreign private” has a value of $1161 billion. The fourth bar labeled “Federal Reserve” has a value of $-1208 billion. The fifth bar labeled “U.S. domestic” has a value of $2069 billion.
Source: Authors’ estimates using data from Form PF, Treasury International Capital, Treasury Monthly Statement of the Public Debt, and Federal Reserve Board Financial Accounts of the United States – Z.1. Estimated absorption by Cayman hedge funds assumes the entirety of the increase in their holdings of Treasuries over this period was allocated to Treasury notes and bonds.
Figure A1. Estimating Cayman Islands Hedge Funds’ Holdings of US Treasuries using the Enhanced Financial Accounts
The figure is titled "Figure A1. Estimating Cayman Islands Hedge Funds’ Holdings of US Treasuries using the Enhanced Financial Accounts." It’s a line chart with 2 lines. The plot starts in 2018:Q1 and ends in 2024:Q4.. The y-axis ranges from $400 billion to $2,000 billion, with markers at intervals of $200 billion. The thin red line labeled “Form PF” trends up with some fluctuations. It starts at around $500 billion in 2018:Q1, rises to about $1000 billion in 2019, drops back down to about $600 billion in 2021, and then steadily rises thereafter to just over $1800 billion at the end of 2024. The thick blue line labeled “Estimate using Z.1” closely tracks the red line, but is shifted up by about $100 billion. The blue line starts at around $600 billion in 2018:Q1, rises to about $1100 billion in 2019, drops back down to about $700 billion in 2021, and then steadily rises thereafter to around $1900 billion at the end of 2024.
Source: Authors’ estimates using SEC Form PF and the Enhanced Financial Accounts.