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Re-use of collateral in the repo market

Lucas Fuhrer, Basil Guggenheim and Silvio Schumacher

No 2015-02, Working Papers from Swiss National Bank

Abstract: 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.

Keywords: Re-use of collateral; repo; money market; financial stability; Switzerland (search for similar items in EconPapers)
JEL-codes: D47 E58 G01 G18 G21 G32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-fmk, nep-ias and nep-mac
Date: 2015
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Journal Article: Re‐Use of Collateral in the Repo Market (2016) Downloads
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