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Hedging costs hit arbitrage managers amid QE fear

Georgina Lee
Relative value managers raced to short their Treasury positions after the US Fed hinted at tapering in May, borrowing from the repo market. But demand saw hedging costs spiral.
Hedging costs hit arbitrage managers amid QE fear

A rush to short US Treasury bonds after Federal Reserve chairman Ben Bernanke raised the prospect of QE tapering this May saw arbitrage managers in Asia hit with rising hedging costs, eating into returns.

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