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Code for: Understanding Collateral Re-use in the US Financial System

Version
1
Resource Type
Dataset
Creator
  • Infante, Sebastian (Board of Governors of the Federal Reserve System)
  • Press, Charles (Board of Governors of the Federal Reserve System)
  • Saravay, Zack (Board of Governors of the Federal Reserve System)
Publication Date
2020-09-01
Free Keywords
collateral; Treasury; financial markets; re-use; financial intermediation; safe assets
Description
  • Abstract

    We document how primary dealers use and re-use collateral in the United States. Using confidential supervisory data, we map how collateral flows through individual dealers, identifying whether the collateral is encumbered or rehypothecated. From these data we estimate the degree of collateral re-use at the dealer level. We find a high degree of US Treasury re-use, for which we posit three possible drivers: (1) intermediation of cash, (2) intermediation of collateral, and (3) "stripping" and distribution of their safe asset benefits. This work contributes to research aimed at understanding how collateral circulation improves market functioning but may lead to fragility.
Temporal Coverage
  • 2016-01-01 / 2019-03-29
    Time Period: Fri Jan 01 00:00:00 EST 2016--Fri Mar 29 00:00:00 EDT 2019
Geographic Coverage
  • United States
Availability
Download
This study is freely available to the general public via web download.
Relations
  • Is supplement to
    DOI: 10.1257/pandp.20201099 (Text)
Publications
  • Infante, Sebastian, Charles Press, and Zack Saravay. “Understanding Collateral Re-Use in the US Financial System.” AEA Papers and Proceedings 110 (May 2020): 482–86. https://doi.org/10.1257/pandp.20201099.
    • ID: 10.1257/pandp.20201099 (DOI)

Update Metadata: 2020-09-01 | Issue Number: 1 | Registration Date: 2020-09-01

Infante, Sebastian; Press, Charles; Saravay, Zack (2020): Code for: Understanding Collateral Re-use in the US Financial System. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E120704V1