R. Jay Kahn
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View article: The $12 Trillion US Repo Market: Evidence from a Novel Panel of Intermediaries
The $12 Trillion US Repo Market: Evidence from a Novel Panel of Intermediaries Open
The U.S. repurchase agreement (repo) market is one of the world's most important financial markets, yet it remains surprisingly opaque. Existing estimates of the size of this market often rely on data from either a subset of participants o…
View article: Monitoring reserve scarcity through nonbank cash lenders
Monitoring reserve scarcity through nonbank cash lenders Open
The quantity of reserves affects the cost and composition of funding in financial markets. Although the Federal Reserve effectively eliminated formal reserve requirements for depository institutions in 2020, banks still need reserves for l…
View article: Proportionate margining for repo transactions
Proportionate margining for repo transactions Open
The repurchase agreement (repo) market plays a central role in funding and leveraging securities positions, and sourcing securities. Traders in the repo market protect themselves from the default of their counterparties through margin coll…
View article: Repo Intermediation and Central Clearing: An Analysis of Sponsored Repo
Repo Intermediation and Central Clearing: An Analysis of Sponsored Repo Open
This paper evaluates the salient forces behind a dealer-intermediary’s decision to move a bilateral repo transaction with a customer into central clearing. We provide evidence that dealers turn to sponsored repo on occasions when balance s…
View article: Reaching for Duration and Leverage in the Treasury Market
Reaching for Duration and Leverage in the Treasury Market Open
We show substantial variation in mutual funds’ use of Treasury futures, both over time and across funds. This variation from mutual funds drives much of the time series variation in aggregate Treasury futures open interest, including over …
View article: Money Market Fund Repo and the ON RRP Facility
Money Market Fund Repo and the ON RRP Facility Open
Between January 2021 and June 2022, money market funds' (MMFs') investments in the Federal Reserve's Overnight Reverse Repurchase (ON RRP) facility rose by $2 trillion, while their private repo lending fell by almost $500 billion. These si…
View article: Recent Developments in Hedge Funds’ Treasury Futures and Repo Positions: is the Basis Trade “Back"?
Recent Developments in Hedge Funds’ Treasury Futures and Repo Positions: is the Basis Trade “Back"? Open
In short, the answer is "probably", at least to some degree. This note summarizes recent developments in hedge funds' Treasury futures and repo positions derived from the Commodities Futures and Trading Commission's (CFTC's) Traders in Fin…
View article: Hedge Funds and the Treasury Cash-Futures Disconnect
Hedge Funds and the Treasury Cash-Futures Disconnect Open
We document the rise and fall of an arbitrage trade among hedge funds known as the Treasury cash-futures basis trade. This trade exploited a fundamental disconnect between cash and futures prices of Treasuries. We show that in recent years…
View article: Identification Is Not Causality, and Vice Versa
Identification Is Not Causality, and Vice Versa Open
We distinguish between identification and establishing causality. Identification means forming a unique mapping from features of data to quantities that are of interest to economists. Establishing causality by finding sources of exogenous …