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Intraday dynamics and determinants of CCP and bilateral General-Collateral Repos

We study the spread between the intraday general collateral repo rate on Italian Government bonds and the ECB deposit rate, using a novel dataset. We focus on overnight repos, both cleared by central counterparty (CCP) and traded bilaterally. We observe that collateral supply, liquidity and duration affect significantly the repo riskiness and spread, but they have a reduced impact after the ECB quantitative easing interventions.