Collateral Choice

Ballensiefen, Benedikt

doi:10.2139/ssrn.4143867

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A2 Additional Figures and Tables1

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2023

2024

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Cited by 2 publications

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“…Finally, we document that dealers are more likely to hand in a bond as collateral which is on-the-run (Column 5). This is consistent with dealers having larger inventories of these bonds (see, for example, Ballensiefen, 2022). We categorize security lenders according to their sector classification: monetary financial institutions (MFI), investment funds (IF), other financial intermediaries (OFI), insurance companies and pension funds (ICPF), general government (GOV), non-financial corporations (NFC), and households (HH).…”

Section: A2 Additional Figures and Tablessupporting

confidence: 56%

Collateral Scarcity and Market Functioning: Insights from the Eurosystem Securities Lending Facilities

Greppmair,

Jank

2024

SSRN Journal

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Section: A2 Additional Figures and Tablessupporting

confidence: 56%

Collateral Scarcity and Market Functioning: Insights from the Eurosystem Securities Lending Facilities

Greppmair,

Jank

2024

SSRN Journal

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Money Market Disconnect

Ballensiefen

Ranaldo

Winterberg

2023

The Review of Financial Studies

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A repurchase agreement (repo) is a source of cash and collateral. We document that the money market is more segmented when the collateral motive prevails. Two crucial aspects of the central bank framework lead to this disconnect: banks' access to the central bank's deposit facility and assets' eligibility for quantitative easing (QE). We show that repo rates lent by banks with access to the deposit facility and secured by QE eligible assets are more collateral-driven and disconnected from funding-based money market rates. Our results are relevant for different monetary policies and have suggestive implications for the monetary policy pass-through.

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Collateral Choice

Cited by 2 publications

References 46 publications

Collateral Scarcity and Market Functioning: Insights from the Eurosystem Securities Lending Facilities

Collateral Scarcity and Market Functioning: Insights from the Eurosystem Securities Lending Facilities

Money Market Disconnect

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