Jay Kahn
@jstatistic
Economist studying markets that work best when no one notices: repo, Treasuries, safe assets. Alum @MichiganRoss, @SimonSchool, @Reed_College_. Views my own.
No one really knows how big the U.S. repo market is. Or rather, no one 𝑑𝑖𝑑. We combed through the appendixes to a decade of annual reports for over 150 dealers and banks to get the full picture. The total? $12 trillion, almost doubling previous estimates.
It reflects repo activity of Canadian banks. I am reasonably confident when we get June data we will see a decline in LT UST/Agency flows from Canada 😉 The bigger question is: Just how much of foreign private LT flows are funded on repo? cc @Brad_Setser @jstatistic @aRishisays
And at some point I suspect someone will figure out why Canada's holdings have been so volatile in the reported data ... ticdata.treasury.gov/resource-cente… 8/8
The Fed put the size of the REPO market at $11.9 trillion, an increase of 70% over the past 10 years. They adjusted for affiliate transactions, inter-dealer trades, foreign branches, netting for account statements, etc. Overall, it's the best study that I've seen.
Cool methodology idea.
No one really knows how big the U.S. repo market is. Or rather, no one 𝑑𝑖𝑑. We combed through the appendixes to a decade of annual reports for over 150 dealers and banks to get the full picture. The total? $12 trillion, almost doubling previous estimates.
One more banger from jay! As always listen 👂 and read closely.
Why it matters: Repo is the backbone of Treasury market functioning, hedge fund leverage, and monetary policy transmission. But even basic facts, like the total size of the market, haven’t had clear answers. This note helps fill that gap. federalreserve.gov/econres/notes/…
This kind of foundational (and painstaking) data work is a big deal: Repo outstanding is much bigger than previous thought
No one really knows how big the U.S. repo market is. Or rather, no one 𝑑𝑖𝑑. We combed through the appendixes to a decade of annual reports for over 150 dealers and banks to get the full picture. The total? $12 trillion, almost doubling previous estimates.
wow
No one really knows how big the U.S. repo market is. Or rather, no one 𝑑𝑖𝑑. We combed through the appendixes to a decade of annual reports for over 150 dealers and banks to get the full picture. The total? $12 trillion, almost doubling previous estimates.
One of the charts I recently threw together on US Treasury debt held by the public Depicts the post-pandemic “alligator jaws” of declining shares of price-insensitive debt buyers (official) vs rising shares of price-sensitive buyers (private)
Very happy to say this paper has now been accepted at the Journal of Monetary Economics!
We've put out an update to our 2021 paper, now titled "Hedge funds and the Treasury cash-futures basis trade," for a resubmission. Want to know what drove the increase in basis trade volumes prior to March 2020? We've got you covered. A couple details below 👇
Waller and Logan discussing the Fed's balance sheet: dallasfed.org/fed/events/202…
The ECB puts EGB gross futures for offshore funds at like €60 billion. BoE puts total hedge fund gilt repo at <£100B. Levered fund short UST futures are >$1 *trillion* and repo borrowing is >$2.5 trillion.
Yet outside of the U.S. and maybe U.K. it's not clear to me this is anything like the same scale of exposures?
New note by my coauthor Karlye: kansascityfed.org/research/econo…
A reader tells me the Bank of Amsterdam was an important early central bank that operated a demand-driven ceiling system. Amazing! @Isabel_Schnabel
Senator Ted Cruz has brought Fed plumbing into the spotlight. His plan to end IORB won’t save $1T, but it does raise the right question: why is the Fed so central to our financial system? I argue @SenTedCruz should push for a demand-driven ceiling system. macroeconomicpolicynexus.substack.com/p/rising-from-…