The Impact of CCPs' Margin Policies on Repo Markets
41 Pages Posted: 8 Oct 2015
Date Written: October 2015
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: Suggested Citation