Digital Safe Havens: The Economics of Tokenized Treasuries

We study the emerging market for tokenized US Treasuries and yield-bearing dollar instruments on public blockchains. Using a comprehensive dataset that combines on-chain transactions, protocol-level total value locked, pool yields, and monetary policy and stress events, we document three core findings. First, yields can be decomposed into distinct components reflecting issuer fees, lending premia, leverage, basis-trade carry, and collateral pledgability, with the latter generating economically large implicit convenience yields. Second, monetary policy transmission into on-chain dollar markets is highly heterogeneous across product designs, with administratively set rates adjusting slowly and basis-trade-backed instruments displaying economically amplified responses to policy shocks. Third, tokenized Treasuries serve as digital safe havens during episodes of cross-asset stress, attracting large inflows during risk-off events while simultaneously exposing new fragilities arising from the interaction between on-chain composability and off-chain reserve structures, particularly through stablecoin balance sheets. Overall, we provide insights into the distinctive dynamics of pricing, transmission, and fragility of digital Treasuries as decentralized and traditional financial infrastructures increasingly integrate.