Re-use of collateral in the repo market

This paper introduces a methodology to estimate the re-use of collateral based on actual transaction data. With a comprehensive dataset from the Swiss franc repo market we are able to provide the first systematic empirical study on the re-use of collateral. We find that re-use was most popular prior...

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Bibliographische Detailangaben
1. Verfasser: Fuhrer, Lucas Marc (VerfasserIn)
Weitere Verfasser: Guggenheim, Basil (VerfasserIn), Schumacher, Silvio (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: Zurich Swiss National Bank 2015
Schriftenreihe:SNB working papers 2015,2
Schlagworte:
Re-use of collateral > repo > money market > financial stability > Switzerland > Arbeitspapier > Graue Literatur
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Beschreibung
Zusammenfassung:This paper introduces a methodology to estimate the re-use of collateral based on actual transaction data. With a comprehensive dataset from the Swiss franc repo market we are able to provide the first systematic empirical study on the re-use of collateral. We find that re-use was most popular prior to the financial crisis, when roughly 10% of the outstanding interbank volume was based on re-used collateral. Furthermore, we show that re-use increases with the scarcity of collateral. By giving an estimate of collateral re-use and explaining its drivers, the paper contributes to the ongoing debate on collateral availability.
Beschreibung:Parallel als Online-Ausg. erschienen
Beschreibung:34 S.
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