This paper proposes Entity-Netted Notionals (ENNs) as a metric of interest rate risk transfer in the interest rate swap (IRS) market. Unlike the ubiquitous metric of notional amount, ENNs normalize for risk and account for the netting of longs and shorts within counter party relationships. Using...

We describe the complex nature of liquidity in the markets for Treasury bonds and futures contracts. Using a risk-adjusted measure of trading volume, we find that, while overall volume is greater across all cash securities than across all futures contracts, certain futures contracts are more...

It is widely held that large institutional investors such as pension funds and sovereign wealth funds with long term liabilities and a low risk appetite are ideally suited to invest in transportation infrastructure assets. Despite the theoretical ideal match between a large source of capital and...