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Credem accepts young cheese as collateral, valuing it at the current market price of mature cheese. The case explains that the typical loan-to-value ratio is 70 to 80 percent, which cushions the bank against market price fluctuations and product degradation.

A Credem subsidiary, Magazziini Generali delle Tagliate, keeps the pungent collateral in two bank-owned warehouses that offer storage capacity for 440,000 80-pound wheels of cheese. MGT's warehouses sport state-of-the-art climate controls and a staff of trained inspectors. (The case notes that MGT also offers a profitable warehousing service for non-collateral cheese aging.) During the maturation process, only one percent of the cheese suffers degradation necessitating a value downgrade, compared with an industry average of 10 percent, according to the case. And because the cheese is aging under the bank's own roof, the bank is constantly aware of what the product is worth. If producers default on their loans, the bank sells their collateral upon maturation.

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While the Credem case study focuses on the cheese-as-collateral model, Trichakis notes that this comprises only one percent of the bank's overall business. But in terms of goodwill, the model is worth a lot more than that.

Credem might seem like an outlandish institution, but other banks have accepted unique forms of collateral before. Prior to Prohibition, banks accepted whiskey as collateral for many of the same reasons Credem accepts cheese: Whiskey needs to mature over time, is sensitive to its environment, and is worth quite a bit. Another bank in Hong Kong accepts designer handbags, several accept thoroughbred horses, and when one Spanish bank sought a loan from the European Central Bank, they put up Cristiano Ronaldo and a teammate as collateral.

Repo markets play a major role in redistributing liquidity and collateral between financial institutions. A unique transaction-level database reveals how the euro-denominated repo market has performed since the mid-2000s. We find that the market recovered strongly from periods of intense stress, even though it remains segmented according to the home country of the collateral used. In recent years, signs of segmentation have increased as the main motivation of repo market participants has shifted from funding to the trading of collateral.1

As a key component of the money market, the repo market is a major channel for circulating cash and collateral through the financial system. Since the mid-2000s, repos have grown to become the predominant source of short-term funding in euro-denominated markets. In this period, the market has weathered stress during the Great Financial Crisis (GFC) of 2007-09 and the European sovereign debt crisis of 2011-12, and has coped with changes such as the ECB's introduction of unconventional monetary policy and the advent of new financial sector regulation. This article tracks the repo market's functioning in the face of these developments.

We use a unique transaction-level data set for centrally cleared euro-denominated repos to examine the market's liquidity and pricing efficiency. We find signs that the market is persistently segmented according to the home country of the collateral used. This may impede the redistribution of liquidity. Yet, despite this segmentation, we find that the repo market remained functional during periods of stress: transaction costs stayed low and prices themselves adjusted smoothly to changing fundamentals.

We also find increasing signs that, in recent years, the market has been driven by investors in search of specific collateral rather than investors seeking funding. This feature has strengthened segmentation along collateral lines. Consistent with segmentation, individual participants have "preferred habitats", in the sense of systematically borrowing and lending against collateral of a given country.

The following section outlines trading activity in the euro repo market over the 2006-18 period. We then discuss how different segments performed in terms of liquidity and pricing efficiency. The third and fourth sections examine the intensity of arbitrage trades across segments and the tendency of market participants to specialise in individual collateral segments. The final section concludes.

A repurchase agreement (repo) is a two-legged transaction that resembles a collateralised loan. A borrower of cash sells securities (the collateral) to the lender and agrees to buy them back later at a pre-specified price.2 Typical borrowers of cash are asset managers, pension funds and insurance companies. Typical lenders of cash are money market funds and corporate treasurers. Repos are intermediated by large broker-dealers, who are also significant repo users in their own right, to finance market-making inventory, source short-term funding or invest cash. Repo transactions can be either bilateral trades or cleared through a central counterparty.3

Repo markets fulfil two key functions. The first is to facilitate the borrowing and lending of cash. Repos are an attractive option for lenders seeking to place cash, because the collateral they receive (including haircuts and margin calls) mitigates credit risk. The second function is to facilitate the circulation of collateral or the exchange (swap) of collateral. Lenders of cash can obtain specific securities (for speculation, to cover short positions etc) for the repo's duration, while lenders of the securities improve their portfolio liquidity without an outright sale.

These two functions represent the main motivations for investor participation in the repo market: the search for funding and the search for collateral. They are also roughly echoed in the two main market segments: general collateral (GC) repos and specific collateral (SC) repos. In the GC segment, the borrowing and lending of cash is the primary motivation for the transaction, the only requirement for the underlying collateral being that it offers sufficient credit quality. The SC segment is better suited to trades driven by collateral needs, because transactions specify the particular security that is exchanged in the two legs (Mancini et al (2016)).

In a well functioning market, prices adjust promptly to shifts in underlying economic drivers, and do so smoothly. In this section, we analyse metrics of liquidity and pricing efficiency for the various collateral segments of the euro repo market. The metrics confirm the differences in the behaviour of these segments and point to the enhanced importance of collateral demand as a driver of the euro repo market.

Within this general picture, liquidity differed between segments. GC segments were more liquid than SC segments, despite the lower transaction volumes in the former. The difference was starkest for the price impact indicator (Graph 2, bottom panels), which indicated that trading in SC repos had a price impact that was often 10 times that of an equivalent GC repo trade. The greater liquidity of GC segments is partly explained by the fact that GC repos bundle many different collateral securities into one large order book. Yet, despite their lower liquidity, SC segments have registered increases in trading volume in recent years, which suggests that investors' demand for specific collateral has gained importance as a driver of repo market activity.

We measure market liquidity using two estimates of transaction costs: the effective spread (Roll (1984)) and the price impact measure proposed by Amihud (2002), which is related to order book depth (Kyle (1985)). Pricing efficiency is measured by realised volatility. All measures are calculated at a daily frequency by averaging across transactions that took place on a given collateral segment and tenor, and then weighting by transaction volume.

Within the SC and GC segments, liquidity varied according to the home country of the collateral. The relative liquidity of national collateral in GC segments was similar to their ranking by trading volume. However, in SC segments this was not the case from 2015 onwards. The most traded SC repo was German, yet it was among the less liquid ones (red line in Graph 2). French collateral had a very low effective spread in the SC segment. However, in the GC segment it exhibited pronounced spikes and after 2015 incurred the widest effective spread. The Spanish and Italian collateral segments demonstrated lower and more volatile liquidity on average.

A market with an efficient pricing mechanism is one that adjusts smoothly and rapidly to underlying fundamentals. In a short-term funding market, this shows up as a low dispersion of rates across time and across collateral segments (spreads). We compute three measures of pricing efficiency. The first is the realised volatility of the repo rate (see box) in line with Krishnamurthy and Duffie (2016), which captures the variability of rates in the time dimension. The other two capture the idea that, in an efficient repo market, funding rates against different collateral should move closely with each other. However, when a specific security is in high demand, lenders of cash may accept a lower rate for the corresponding SC repo than they would for a GC repo (where they do not know what security they will receive). We calculate a repo specialness premium as the spread between the SC and GC repo rates of the same collateral segment (Duffie (1996)). This premium should normally be negative, and its size should reflect the importance of collateral scarcity. Short-maturity repo rates should move in parallel with the policy rate. We compute the scarcity premium, defined as the average rate in a given GC segment minus the policy rate, as another measure that gauges the intensity of collateral scarcity spilling over to GC rates.

Over the 2006-18 period, repo rate volatility spiked higher on three occasions. The first was during the GFC. After the crisis, volatility never returned to the lows seen previously. Then, during the period of strain in euro area government bond markets in 2011-12, rates in the Italian and Spanish SC segments became several times more volatile than in their German and French counterparts. This divergence arguably reflected elevated sovereign credit risk embedded in the collateral (Mancini et al (2016)) and possibly the counterparty risk of the clearing houses (Boissel et al (2017)). The dispersion of volatility across segments rapidly declined after the ECB injected liquidity and, in December 2011, introduced the LTRO. be457b7860