The Treasury Collateral Spread and Levered Safe-Asset Production

• 成果类型: Article
• 署名作者: Ross, Chase P.
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2024.06104
• 发表日期: 2026
• 关键词: Collateral; Treasuries; bank leverage constraints; repurchase agreement; Safe asset

摘要

Banks are vital suppliers of money-like safe assets, which they produce by issuing short-term liabilities and pledging collateral. But their ability to create safe assets varies over time as leverage constraints fluctuate. I write a simple model to describe private safeasset production when intermediaries face leverage constraints. I directly measure leverage constraints using confidential supervisory data on high-frequency changes in the largest banks' repurchase agreements (repos). The collateral spread-the maturity-matched yield spread between Treasuries used as repo collateral more often and Treasuries used less often-compensates for bank leverage risk and averages about 0.5 basis points, a sizable magnitude roughly equal to 60% of the five-year Treasury cheapest-to-deliver basis.