Re‐Use of Collateral in the Repo Market
基于瑞士法郎回购市场的交易数据，首次系统研究了抵押品再使用的规模与驱动因素，发现金融危机前约10%的银行间交易使用了再抵押品，且抵押品稀缺性会加剧再使用。
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.