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  1. Explaining fluctuations in the thrift savings fund daily balance at U.S. treasury
    Autor*in: Skidmore, Mark; Alvayay Torrejón, Camila; Pare, David
    Erschienen: May 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    In this paper we document and examine unusual fluctuations in the G-Fund, which is one of five funds available in a voluntary federal government employee retirement savings vehicle called the Thrift Savings Plan. The G-Fund is managed as "internally"... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63
    Fernleihe:
    keine Fernleihe

     

    In this paper we document and examine unusual fluctuations in the G-Fund, which is one of five funds available in a voluntary federal government employee retirement savings vehicle called the Thrift Savings Plan. The G-Fund is managed as "internally" held debt by the United States Department of Treasury. Our examination highlights two obscure facts about the G-Fund: 1) The fund is exclusively composed of one-day notes that Treasury redeems and reissues every business day. The daily turnover of the G-Fund results in about $55 trillion in debt reissuance annually; and 2) whenever the federal government is constrained by a debt ceiling, the G-Fund balance drops dramatically and typically does not return to pre-constraint balance levels until the debt ceiling is either expanded or suspended. We document these patterns and ask whether the G-Fund is managed in a way the represents the best interests of the fund contributors.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/235454
    Schriftenreihe: CESifo working paper ; no. 9084 (2021)
    Schlagworte: thrift saving fund; public debt; debt ceiling; extraordinary measures; debt issuance; debt redemption
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  2. When do treasuries earn the convenience yield?
    a hedging perspective
    Autor*in: Acharya, Viral V.; Laarits, Toomas
    Erschienen: 08 November 2023
    Verlag:  Centre for Economic Policy Research, London

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    Verlag (lizenzpflichtig)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    LZ 161
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    Standort:
    Universitätsbibliothek Mannheim
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP18584
    Schlagworte: Stock-bond covariance; safety premium; liquidity premium; money premium; exorbi-tant privilege; safe assets; bubble; inflation; debt ceiling
    Umfang: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  3. What does the CDS market imply for a U.S. default?
    Autor*in: Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; Kavoussi, Cullen
    Erschienen: [2023]
    Verlag:  Federal Reserve Bank of Chicago, [Chicago, Illinois]

    As the debt ceiling episode unfolds, we highlight a sharp increase in activity across the U.S. credit default swaps (CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a significant... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 244
    Fernleihe:
    keine Fernleihe

     

    As the debt ceiling episode unfolds, we highlight a sharp increase in activity across the U.S. credit default swaps (CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a significant increase in U.S. CDS trading activity and positions, accompanied by a spike in CDS premiums. We estimate an increase in the market-implied default probability from about 0.2-0.3% in 2022, to approximately 1% in 2023. Yet, this default probability currently remains lower than what we find for the periods leading up to the 2011 and 2013 debt ceiling episodes, due in part to the cheapening of deliverable Treasury collateral to CDS contracts.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/284058
    Auflage/Ausgabe: Revised: May 17, 2023
    Schriftenreihe: [Working paper] / Federal Reserve Bank of Chicago ; WP 2023, 17 (April 21, 2023)
    Schlagworte: U.S. default; U.S. CDS; default probabilities; sovereign CDS; debt ceiling
    Umfang: 1 Online-Ressource (circa 19 Seiten), Illustrationen