Repo Collateral Reuse and Liquidity Windfalls ECB Working Papers series No 3147 ,  featured as a SUERF Policy note No. 403

with Sofia Marques Pereira and Victor Rodrigues-Gomes

Reuse of collateral within repo markets is key in enabling participants to meet their short-term financing needs, maintaining market efficiency, and establishing collateral valuations. In addition, part of the literature relies on the premise that some market players, in special large dealers, take advantage of their market position to obtain “liquidity windfalls” through haircut differences when reusing collateral. However, despite the importance of this mechanism for market functioning, the result is mainly theoretical, as empirical work exploring the effects of collateral reuse is scant. Through the analysis of a novel database on European Securities Financed Transactions, this study aims to help fill this gap. We show that around 11 percent of transaction volume is based on reused securities, with chains averaging three links. Besides, contrary to the liquidity-windfalls hypothesis, we find that dealers do not impose systematic haircut wedges when interposing between non-dealers.

Selected Presentations/Conferences: ECB Conference on Money Markets 2025 (Poster session, available here), Eastern Finance Association (EFA) Meeting 2026, Southwestern Finance Association (SWFA) Meeting 2026, Summer Workshop on Money, Banking, Payments and Finance 2026 (Study Centre Gerzensee, Bank of Canada, Board of Governors)

Work in progress

1) What Drives Internal Repo Markets?

with Felix Hermes, Benoit Nguyen and Davide Tomio

2) Collateral reuse chains in the European Repo Market

with Benoit Nguyen and Victor Rodrigues-Gomes and Iñaki Aldasoro

We quantify collateral reuse and measure collateral chains in the European repo market. Using transaction-level data from the Securities Financing Transaction Data Store (SFTDS), we match individual securities across successive repo transactions to trace the path each security takes through the market. Conditional on reuse, the average chain extends 2.22 nodes beyond the original collateral owner, implying a collateral multiplier of 1.35. Banks account for roughly 60% of entities at each node, confirming that reuse is predominantly a dealer-intermediated activity; non-bank financial institutions appear almost exclusively as original collateral providers. Chains span several European jurisdictions, with British entities prominent even after Brexit. We also measure the exposure that collateral chains create for the intermediaries within them: when the maturity of an initial repo precedes that of the linked reuse transaction, the intermediary must return the security before receiving it back, generating a collateral shortfall. This exposure averages 12.4 billion euros per day but spikes to 175 billion euros around quarter-ends, consistent with regulatory window-dressing amplifying fragilities in collateral markets.

3) Repo netting in SFTDS

with Victor Rodrigues-Gomes and Michael Schmidt

4) Stock Market Participation in Germany, Wealth Effects, and Monetary Policy Transmission

with Asli Mahmudova

We study whether equity valuation shocks around ECB announcements transmit into household spending in Germany. Combining household balance-sheet data from the Panel on Household Finances (PHF) with monthly local projections, we document three findings. First, equity ownership is rare, concentrated, and systematically patterned: the top wealth tercile holds over 90\% of directly held equity and nearly 88\% of broad equity exposure, with participation shaped by education, wealth, income, and trust. Second, announcement-driven equity shocks are followed by a delayed rise in retail activity that peaks at 10–11 months, with no detectable response in inflation at any horizon. Third, a calibration bridge that maps PHF equity exposures and heterogeneous marginal propensities to consume into a predicted aggregate consumption response is directionally consistent with the macro estimate and confirms that the top wealth tercile accounts for the large majority of the predicted spending effect. Together, the results characterise what we call a thin-tube wealth channel: equity valuation movements around ECB announcements do reach household spending, but transmission flows through a narrow, already wealthy segment of the population, generating modest demand effects and no measurable price pressure. The width of the tube is itself a policy-relevant variable — endogenous to participation rates, financial literacy, and product design — rather than a fixed structural feature.

5) AI-driven peer group selection using ML and numerical data-based analysis and its implication for Corporate Finance

with Mark Wahrenburg and Marin Shalari