… is to explain how the repo specialness for Italian government bonds changes over time
for different repo terms and different collateral maturities. We analyse a large sample of repo …

… bond scarcity premia, specialness, in the repo market were affected … , ECB purchases drive
specialness of targeted securities in … and economically significant in explaining specialness. …

… Specialness may in fact explain a significant portion of the on-the-run effect that is sometimes
attributed solely to the superior liquidity 2 of current issues. This has implications, that we …

… In Chapter 2, I investigate which factors explain the variations of repo specialness, which
is the cost incurred by banks – ie lower interest received - to obtain a specific collateral via …

… to which long term special repo spreads discount future bond specialness in the framework
… term-repo spreads can only be explained by changes in the expectation of the future level of …

… collateral rate R and the special repo rate r must be given by … to a repo rate, with the rate
depending on how “special” the … these transactions and may explain many asset managers’ …

… repo transactions, those for raising funds are called general collateral (GC) repos, while those
for borrowing securities are called special … How can we explain this phenomenon? First, it …

… First, we show that repo specialness strongly influences the … High levels of repo specialness
are evidence of the significant … to endogenizing specialness, our model is able to explain the …

… and corresponding special collateral (SC) repo rates. This … The SC risk premium explains
about 80% of the on-the-run … unexpected fluctuations in the specialness spreads of recently …

… in this maturity sector, shows that the repospecialness spreads tend to be higher and more
… This can help explain why purchase/sale operations that were announced in advance, and …