The Treasury Collateral Spread and Levered Safe-Asset Production

This paper benefited greatly from comments and suggestions from Bo Becker (the editor), an anonymous associate editor, and two anonymous reviewers. The author is grateful for excellent research assistance from Ben Schmiedt. For comments and suggestions, the author thanks Viktoria Baklanova, Adam Copeland, Bill English, Scott Frame, Stefano Giglio, Gary Gorton, Caitlin Hesser, Sebastian Infante, Antonis Kotidis, Marco Macchiavelli, Andrew Metrick, Toby Moskowitz, Ahyan Panjwani, Stephanie Pucci, David Rappoport, Vincent Reinhart, Sharon Ross, Alex Vardoulakis, the Yale macrofinance reading group, and seminar participants at Yale, the Federal Reserve Board, the Federal Reserve Bank of Boston, the Federal Reserve Bank of Dallas, Toronto Rotman, the Office of Financial Research, and BlackRock. This is a substantially revised version of “The Collateral Premium and Levered Safe-Asset Production.” The analysis and conclusions set forth are those of the author and do not indicate concurrence by members of the Board of Governors of the Federal Reserve System or their staff.