EconPapers    
Economics at your fingertips  
 

Re-hypotecation of securities

Jean-Marc Bottazzi, Jaime Luque () and Mario Pascoa
Additional contact information
Jaime Luque: UC3M - Universidad Carlos III de Madrid [Madrid]

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: 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)
Date: 2010-03
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)
https://halshs.archives-ouvertes.fr/halshs-00476004/document (application/pdf)

Related works:
Working Paper: Re-hypothecation of securities (2010) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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 ().

 
Page updated 2021-12-26
Handle: RePEc:hal:cesptp:halshs-00476004