The Treasury Collateral Spread and Levered Safe-Asset Production
研究了银行在杠杆约束下如何通过发行短期负债和抵押品生产安全资产，利用机密监管数据直接衡量杠杆约束，发现国债抵押品利差平均约0.5个基点，补偿了银行杠杆风险。
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 safe-asset 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. This paper was accepted by Bo Becker, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2024.06104 .