Template-type: ReDIF-Paper 1.0
Author-Name: Dr. Lucas Marc Fuhrer
Author-Name-First: Lucas Marc
Author-Name-Last: Fuhrer
Author-Person: pfu165
Author-Name: Dr. Basil Guggenheim
Author-Name-First: Basil
Author-Name-Last: Guggenheim
Author-Person: pgu666
Author-Name: Dr. Silvio Schumacher
Author-Name-First: Silvio
Author-Name-Last: Schumacher
Author-Person: psc617
Title: Re-use of collateral in the repo market
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.
Length: 38 pages
Creation-Date: 2015
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2015/working_paper_2015_02
File-Format: text/html
Number: 2015-02
Classification-JEL: D47, E58, G01, G18, G21, G32
Keywords: Re-use of collateral, repo, money market, financial stability, Switzerland
Handle: RePEc:snb:snbwpa:2015-02