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Re‐Use of Collateral in the Repo Market

Lucas Fuhrer, Basil Guggenheim and Silvio Schumacher

Journal of Money, Credit and Banking, 2016, vol. 48, issue 6, 1169-1193

Abstract: This paper introduces a methodology to estimate the re‐use of collateral based on actual transaction data. With a comprehensive data set from the Swiss franc repo market we are able to provide the first systematic study on the re‐use of collateral. We find that re‐using collateral was most popular prior to the financial crisis when roughly 10% of the outstanding interbank volume was secured with re‐used collateral. Furthermore, we show that the re‐use of collateral increases with the scarcity of collateral. By giving an estimate of the collateral re‐use and explaining its drivers, the paper contributes to the on‐going debate on collateral availability.

Date: 2016
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Working Paper: Re-use of collateral in the repo market (2015) Downloads
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