Re-hypotecation of securities
Jaime Luque () and
Additional contact information
Jaime Luque: UC3M - Universidad Carlos III de Madrid [Madrid]
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
By introducing repro markets we understand how agents need to borrow issued securities before shorting them : (re)-hypothecation is at the heart of shorting. Non-negative amounts of securities in the box of an agent (amounts borrowed or owned but not lent on) can be sold, and recursive use of securities as collateral allows agents to leverage their positions. A binding box constraint induces a liquidity premium : the repro rate becomes special, the security price higher than expected discounted cash-flows. Existence of equilibrium is granted under limited re-hypothecation, a situation secured by (current or proposed) institutional arrangements.
Keywords: Re-hypothecation; repro; box; leverage; repo collateral multiplier; short sale; issuing; collateral; pledge; specialness; equilibrium security pricing.; Pensions; possession; titres effet de levier; caution; vente à découvert; émission; nantissement; spécial; évaluation. (search for similar items in EconPapers)
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00476004
References: Add references at CitEc
Citations: Track citations by RSS feed
Published in 2010
Downloads: (external link)
Working Paper: Re-hypothecation of securities (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00476004
Access Statistics for this paper
More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().