The impact of CCPs� margin policies on Repo markets

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

No 1028, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

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 have used contract-level data for 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)
JEL-codes: E43 G01 G10 (search for similar items in EconPapers)
Date: 2015-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Working Paper: The impact of CCPs' margin policies on repo markets (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_1028_15

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