Morgan Stanley: After large liquidations, US Treasury basis trade remains robust

Strategists, including Eli Carter, wrote in the report that the recent surge in trading volume of ultra-long-term Treasury futures (WN contracts) Exchange for Physical (EFP) transactions, as well as the market's ability to absorb this flow, indicates that "the market remains healthy." The strategists pointed out that CME Group data shows the WNM6 EFP transaction (an indicator measuring basis trading volume) on March 10 reached the highest daily volume since 2019, "which once triggered some panic." Expand