The Impact of CCPs' Margin Policies on Repo Markets

41 Pages Posted: 8 Oct 2015

See all articles by Arianna Miglietta

Arianna Miglietta

Bank of Italy

Cristina Picillo

Bank for International Settlements (BIS)

Mario Pietrunti

Bank of Italy

Date Written: October 2015

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

JEL Classification: E43, G01, G10

Suggested Citation

Miglietta, Arianna and Picillo, Cristina and Pietrunti, Mario, The Impact of CCPs' Margin Policies on Repo Markets (October 2015). BIS Working Paper No. 515, Available at SSRN: https://ssrn.com/abstract=2668590

Arianna Miglietta (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Cristina Picillo

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Mario Pietrunti

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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