Treasury basis trade

Federal Reserve PRATES JSON reports Value 3.65, ForDate 08/31/2026, EffectiveDate 12/11/2025, and LastUpdated 08/28/2026, providing the current IORB comparator for the operator threshold SOFR-IORB > 25 bps.

Value: 3.65; ForDate: 08/31/2026; EffectiveDate: 12/11/2025; LastUpdated: 08/28/2026

sofrrate.com (aggregating New York Federal Reserve data) reports SOFR at 3.65% for August 28, 2026. Against Federal Reserve Board PRATES IORB at 3.65 for the same window, the SOFR-IORB spread is approximately 0 bps, well short of the operator threshold of SOFR-IORB > 25 bps.

The Secured Overnight Financing Rate (SOFR) is 3.65% for August 28, 2026, as published by the New York Federal Reserve.

Federal Reserve H.4.1 dated August 27, 2026 reports Wednesday August 26, 2026 balance-sheet entries in millions of dollars: repurchase agreements at 1 and reverse repurchase agreements at 362,213. No SRF utilization figure is present in the fetched release.

Release Date: August 27, 2026; Millions of dollars; Wednesday Aug 26, 2026; Repurchase agreements 1; Reverse repurchase agreements 362,213.

Cboe Insights reports the MOVE index reversed a two-week decline to trade at 73 (54th percentile) during the week of August 24, 2026, with the 30-year Treasury yield reaching 5.33% intraweek, its highest level since 2007, prompting the Treasury's buyback intervention.

MOVE Index reversed its 2-week decline and is trading at 73 (54th percentile). 30-Year Treasury Yield: 5.33% (highest since 2007, reached intraweek). double the size of the Treasury's bond buyback program to $4B

Alternative Fund Insight reports the Treasury will raise liquidity-support buyback size for 10-to-30-year securities from $2bn to at least $4bn per operation starting September 9, 2026, and cites Federal Reserve research putting hedge fund cash-futures basis positions at approximately $830bn as of September 2025, or about 35% of hedge funds total long Treasury exposure and a record 3.5% of privately held Treasury securities.

From 9 September, the Treasury will increase the maximum size of liquidity-support buybacks for 10-to-30-year securities from $2bn to at least $4bn per operation. Federal Reserve research estimated that hedge fund cash-futures basis positions had reached around $830bn by September 2025, almost double their previous peak in early 2020. Basis trades accounted for around 35% of hedge funds' total long Treasury exposure and a record 3.5% of privately held Treasury securities.

Council on Foreign Relations reports the Treasury announced it would at least double longer-dated buyback size from 2 billion to 4 billion dollars per operation on August 19-20, 2026, after ten-year and thirty-year yields hit twenty-year highs that week.

it would at least double the amount of longer-dated Treasury bonds that it would buy back from investors -- from $2 billion to $4 billion per operation. ten-year and thirty-year U.S. government bond yields both hit twenty-year highs this week.

Federal Reserve PRATES JSON reports Value 3.65, ForDate 07/13/2026, EffectiveDate 12/11/2025, and LastUpdated 07/10/2026, providing the current IORB comparator for the operator threshold SOFR-IORB > 25 bps.

Value: 3.65; ForDate: 07/13/2026; EffectiveDate: 12/11/2025; LastUpdated: 07/10/2026

sofrrate.com (aggregating New York Federal Reserve data) reports SOFR at 3.55% for July 10, 2026. Against Federal Reserve Board PRATES IORB at 3.65, the operator threshold SOFR-IORB > 25 bps is not met.

The Secured Overnight Financing Rate (SOFR) is 3.55% for July 10, 2026, as published by the New York Federal Reserve.

Federal Reserve H.4.1 dated July 9, 2026 reports Wednesday July 8, 2026 balance-sheet entries in millions of dollars: repurchase agreements at 1, reverse repurchase agreements at 348,804, and other deposits held by depository institutions at 3,137,377. No SRF utilization figure is present in the fetched release.

Release Date: July 09, 2026; Millions of dollars; Wednesday Jul 8, 2026; Repurchase agreements 1; Reverse repurchase agreements 348,804; Other deposits held by depository institutions 3,137,377.

Federal Reserve FEDS note (Phillip J. Monin, June 22, 2026) quantifies aggregate basis trade volumes at approximately $830 billion in September 2025, close to doubling their peak from early 2020, and hedge fund repo cash borrowing at $3.0 trillion as of September 2025.

Hedge funds' repo cash borrowing has grown to $3.0 trillion as of September 2025. Aggregate basis trade volumes reached approximately $830 billion in September 2025, close to doubling their peak from early 2020.