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BIBTEX RIS

Re‐Use of Collateral in the Repo Market

2016; Wiley; Volume: 48; Issue: 6 Linguagem: Inglês

10.1111/jmcb.12330

ISSN

1538-4616

Autores

Lucas Marc Fuhrer, Basil Guggenheim, Silvio Schumacher,

Tópico(s)

Credit Risk and Financial Regulations

Resumo

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.

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