Rising yields squeeze swap spread bets

Rising yields squeeze swap spread bets

A sharp rise in long-term US Treasury yields is placing renewed pressure on a widely held hedge fund strategy predicated on the relative outperformance of government bonds versus interest rate swaps, according to a report by Bloomberg. The popular basis trade – betting that Treasury securities would outperform SOFR-linked swaps – has come under renewed scrutiny amid concerns over escalating sovereign debt levels and the broader macro backdrop. A…