on a simple asset pricing model and employing a dataset of hypothetical Eurosystem collateral positions, we simulate and … quantify the resulting change in collateral value pledged by counterparties to the Eurosystem, resulting from a transaction … cost shock. A 10 basis point increase in transaction costs entails a direct -0.30% decrease of collateral value and a -0 …

The objective of the report is to define improvements to the repo market to better support collateral …

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral … demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing …

home central bank (HCB) - by mobilising eligible marketable and non-marketable assets as collateral. The process by which … these assets are mobilised (transferred) to their HCB, and any subsequent handling of the collateral until it is given back … to the counterparty, is referred to as collateral management. The purpose of this document is to provide Eurosystem …

The Eurosystem's Advisory Group on Market Infrastructures for Securities and Collateral (AMI-SeCo) has set the goal of … definition of a Single Collateral Management Rulebook for Europe (SCoRE), AMI-SeCo's Collateral Management Harmonisation Task …

This paper examines the robustness of the Kiyotaki-Moore collateral amplification mechanism to the existence of … volatility of endogenous variables becomes identical to the first best in the absence of credit constraints. The collateral …