Collateral plays a very important role in financial markets. Without easy access to high-quality collateral, dealers and market participants would find it more costly to trade, with a negative impact on market liquidity and the real economy through increased financing costs. This role has become increasingly significant since the global financial crisis, partly due to regulatory reforms. Using data from both repo and securities lending markets, this paper studies the drivers of the cost of obtaining high-quality collateral, i.e. the collateral scarcity premium, proxied by the degree of specialness of government bond repos. Authors find that the cost of obtaining high-quality collateral increases with demand pressures in the cash market (short-selling activities), even in calm financial market conditions. In bear market conditions - when good collateral is needed the most - this may lead to tensions in some asset market segments. They introduce a novel measure of collateral reuse and find that collateral reuse may alleviate some of these tensions by reducing the collateral scarcity premium under certain conditions. Yet, it requires transparency and monitoring due to the financial stability risks associated. Lastly, they find that the ECB Public Sector Purchase Programme has a statistically significant, albeit marginal, impact on sovereign collateral scarcity premia that is offset by the beginning of the ECB securities lending programme.