Basis Trades and and Treasury Market Illiquidity

During the off week between our final two discussions of Scott Skyrm's The Repo Market, we're going to discuss a July 2020 paper entitled "Basis Trades and Treasury Market Illiquidity" By Daniel Barth and Jay Kahn published by the Office of Financial Research.

https://elischolar.library.yale.edu/cgi/viewcontent.cgi?article=12950&context=ypfs-documents

At the beginning of the Covid pandemic in March of 2020, the Treasury basis trade caused the Traesury market to collapse.