Abstract
We explain the variation in the degree of specialness for bonds used as collateral in the Italian Government BTP repo market. Some of our results are similar to the findings in the US repo market even though the underlying Italian BTP bond market is structurally different than the US Treasury market. Specifically liquidity, supply and demand are significant factors that help determine the degree of specialness. Unlike US repo studies however, we find that credit risk and information uncertainty also affect the degree of repo specialness.
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