I am a PhD student in Finance at Goethe University Frankfurt and a Researcher at the European Central Bank.
My research focuses on money markets and the role of repo financing in shaping financial stability, international capital flows, and financial intermediation.
The views expressed here are my own.
Working papers
The International Dimension of Repo: 5 New Facts
ECB Working Paper Series, No. 3065, 2025
[Presented at 2025 ECB Money Market Conference - Video] [Featured on FT Alphaville and Risk.net]
with M. Schmeling, A. Schrimpf
We analyze the international dimension of repo markets using novel euro area regulatory microdata. Our findings highlight the deep integration of funding markets across the Atlantic and the US dollar’s outsized role. Our paper documents five key facts: (1) US dollar repos by euro area entities account for approximately 40% of total volumes and are comparable in size to euro repos; (2) term repos (with maturities beyond one day) are quantitatively more relevant than commonly thought, especially non-centrally cleared ones; (3) repo markets have become more collateral-driven, involving diverse nonbank financial players and trading motives; (4) banks' intragroup transactions form a large share of non-centrally cleared volumes; and (5) haircuts, even for riskier collateral, are often zero or negative, especially in euro trades. We show in two empirical applications that US monetary policy shocks spill over to euro repo rates and that negative haircuts arise from market power and collateral demand dynamics.
Publications
Repo Haircuts: Market Practices and the Impact of Minimum Requirements on Leverage
Finance Research Letters, Vol. 71, 2025
with M. Grill, M. Wedow
We use transaction-level data on the euro area repo market to assess the calibration of the Financial Stability Board's (FSB) recommended minimum haircut framework and its impact on leverage in non-bank financial institutions. We find that market haircuts are currently not in line with the framework. Therefore, a market failure exists that needs to be addressed by regulation, such as the minimum haircut framework. In assessing its potential impact, we find that it would affect larger and more leveraged entities the most, indicating its capability to make a meaningful contribution to addressing risks from leverage in non-bank financial institutions.
Enhancing Repo Market Transparency: The EU Securities Financing Transactions Regulation
Journal of Financial Regulation, Vol. 11, 2025
with C. Bassi, M. Grill, H. Mirza, C. O’Donnell, M. Wedow
The introduction of the Securities Financing Transactions Regulation into EU law provides a unique opportunity to obtain an in-depth understanding of repo markets. Based on the transaction-level data reported under the regulation, this article contributes to the literature with key facts about the euro area repo market. We start by providing the regulatory background, as well as highlighting some of its advantages for financial stability analysis. We then go on to present three sets of findings that are highly relevant to financial stability and focus on the dimensions of the different market segments, counterparties, and collateral, including haircut practices. Finally, we outline how the data reported under the regulation can support the policy work of central banks and supervisory authorities and contribute to the existing literature on repo markets. We demonstrate that these data can be used to make several important contributions to enhancing our understanding of the repo market from a financial stability perspective, ultimately assisting international efforts to increase repo market resilience.
Research Articles
Unpacking Repo Haircuts and their Implications for Leverage
BIS Bulletin, 2025
[Featured in the Financial Times and on Matt Levine’s Money Stuff Newsletter]
with M. Schmeling, A. Schrimpf
This BIS Bulletin investigates the drivers of repo haircuts and their critical role in determining financial leverage, finding that haircut levels rely heavily on the underlying trading motive. The analysis reveals that while funding-driven trades generally carry higher haircuts to protect cash lenders, collateral-driven trades often feature lower or even negative haircuts to incentivize the lending of scarce securities. A key stability concern highlighted is that large hedge funds frequently access zero-haircut borrowing due to their significant market power and strong dealer relationships. This preferential treatment allows these major market participants to build up substantial leverage, potentially exacerbating financial stress during periods of market volatility.
The Impact of Minimum Haircuts on Non-bank Leverage in the Euro Area
ECB Macroprudential Bulletin, 2025
with M. Grill, M. Wedow
We use transaction-level data on the euro area repo market to assess the impact of the Financial Stability Board’s (FSB) recommended minimum haircut framework on leverage in non-bank financial institutions. We find that it would affect larger and more leveraged entities the most, indicating its capability to make a meaningful contribution to addressing risks from leverage in non-bank financial institutions.
Financial Stability Risks from Basis Trades in the US Treasury and Euro Area Government Bond Markets
ECB Financial Stability Review, 2024
[Featured on Bloomberg Markets and Risk.net]
with C. Bassi, S. Kördel, F. Lenoci, R. Pizzeghello, A. Sowinski
Basis trades are arbitrage strategies which exploit mispricing between the spot price and the futures price of a given security. They improve market functioning but are also subject to funding and liquidity risks, especially when excessively leveraged. Hedge funds have built up leveraged exposures in the US Treasury market, giving rise to financial stability concerns. While risks are partly mitigated by already elevated margin requirements in the futures market, disruptions in the repo market could still force some entities to unwind their basis trades. Given the role of US Treasury bonds as global risk-free assets, dislocations resulting from widespread unwinding of basis trades could spill over into other jurisdictions and asset classes. Furthermore, a build-up of hedge fund exposures has also been observed in the euro area government bond market, but the size of basis trade activity seems contained.
Teaching
I have been a Teaching Assistant at Goethe University Frankfurt, the University of Amsterdam, and the University of Groningen, primarily in macroeconomics, international finance, and applied econometrics. My teaching has included both undergraduate and master’s courses.