Jay Kahn
@jstatistic.bsky.social
Economist working on repo, Treasuries and money markets. Views are my own.
In non-centrally cleared bilateral repo, 70% of haircuts are zero, while triparty repo almost always applies a 2% haircut, giving the lender substantially more protection.
Why is there such a big gap?
Why is there such a big gap?
Recently, there’s been growing concern about low or zero haircuts in repo markets.
In a new note, we argue that safety and liquidity can both be enhanced by setting repo margins that are 𝘱𝘳𝘰𝘱𝘰𝘳𝘵𝘪𝘰𝘯𝘢𝘵𝘦 to each counterparty’s actual risk.
www.federalreserve.gov/econres/note...
Thread below:
In a new note, we argue that safety and liquidity can both be enhanced by setting repo margins that are 𝘱𝘳𝘰𝘱𝘰𝘳𝘵𝘪𝘰𝘯𝘢𝘵𝘦 to each counterparty’s actual risk.
www.federalreserve.gov/econres/note...
Thread below:
February 18, 2025 at 2:32 PM
In non-centrally cleared bilateral repo, 70% of haircuts are zero, while triparty repo almost always applies a 2% haircut, giving the lender substantially more protection.
Why is there such a big gap?
Why is there such a big gap?
Recently, there’s been growing concern about low or zero haircuts in repo markets.
In a new note, we argue that safety and liquidity can both be enhanced by setting repo margins that are 𝘱𝘳𝘰𝘱𝘰𝘳𝘵𝘪𝘰𝘯𝘢𝘵𝘦 to each counterparty’s actual risk.
www.federalreserve.gov/econres/note...
Thread below:
In a new note, we argue that safety and liquidity can both be enhanced by setting repo margins that are 𝘱𝘳𝘰𝘱𝘰𝘳𝘵𝘪𝘰𝘯𝘢𝘵𝘦 to each counterparty’s actual risk.
www.federalreserve.gov/econres/note...
Thread below:
February 14, 2025 at 3:03 PM
Recently, there’s been growing concern about low or zero haircuts in repo markets.
In a new note, we argue that safety and liquidity can both be enhanced by setting repo margins that are 𝘱𝘳𝘰𝘱𝘰𝘳𝘵𝘪𝘰𝘯𝘢𝘵𝘦 to each counterparty’s actual risk.
www.federalreserve.gov/econres/note...
Thread below:
In a new note, we argue that safety and liquidity can both be enhanced by setting repo margins that are 𝘱𝘳𝘰𝘱𝘰𝘳𝘵𝘪𝘰𝘯𝘢𝘵𝘦 to each counterparty’s actual risk.
www.federalreserve.gov/econres/note...
Thread below:
Just released: Update using N-PORT data running through 2024 Q4, live at j-kahn.com/nport/.
February 11, 2025 at 5:19 PM
Just released: Update using N-PORT data running through 2024 Q4, live at j-kahn.com/nport/.
I can tell I'm getting old because when I google one of my favorite bands from high school, it sends me to 'warning signs for Strokes.'
November 25, 2024 at 1:23 AM
I can tell I'm getting old because when I google one of my favorite bands from high school, it sends me to 'warning signs for Strokes.'
Excited to share our N-PORT data release is now live at j-kahn.com/nport/. Over 200K filings from mutual funds, ETFs & more since 2019 Q4.
This preliminary data has fund-level detail on portfolio allocations, maturities, notional derivatives, Treasury futures, and more!
This preliminary data has fund-level detail on portfolio allocations, maturities, notional derivatives, Treasury futures, and more!
November 17, 2024 at 7:13 PM
Excited to share our N-PORT data release is now live at j-kahn.com/nport/. Over 200K filings from mutual funds, ETFs & more since 2019 Q4.
This preliminary data has fund-level detail on portfolio allocations, maturities, notional derivatives, Treasury futures, and more!
This preliminary data has fund-level detail on portfolio allocations, maturities, notional derivatives, Treasury futures, and more!
New brief out with Sam Hempel, @markpaddrik and Robert Mann using comprehensive data across all four segments of the U.S. repo market to track collateral flows and repo intermediation.
www.financialresearch.gov/briefs/files...
www.financialresearch.gov/briefs/files...
November 14, 2024 at 5:20 PM
New brief out with Sam Hempel, @markpaddrik and Robert Mann using comprehensive data across all four segments of the U.S. repo market to track collateral flows and repo intermediation.
www.financialresearch.gov/briefs/files...
www.financialresearch.gov/briefs/files...