The impact of CCPs' margin policies on repo markets

Arianna Miglietta (), Cristina Picillo and Mario Pietrunti ()

No 515, BIS Working Papers from Bank for International Settlements

Abstract: This paper quantifies the impact on the cost of funding in repo markets of the initial margins applied by central clearing counterparties (CCPs). We use contract-level data on the general collateral (GC) segment of Italy's MTS Repo market between January 2011 and April 2014. The analysis shows that the initial margins, paid by all participants, had a positive and significant effect on the cost of funding. Such an impact is consistent across different model specifications and data subsamples.

Keywords: repurchase agreements; central clearing counterparties; margin policies (search for similar items in EconPapers)
Pages: 41 pages
Date: 2015-10
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.bis.org/publ/work515.pdf Full PDF document (application/pdf)
http://www.bis.org/publ/work515.htm (text/html)

Related works:
Working Paper: The impact of CCPs� margin policies on Repo markets (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:515

Access Statistics for this paper

More papers in BIS Working Papers from Bank for International Settlements Contact information at EDIRC.
Bibliographic data for series maintained by Martin Fessler ().