The Impact of CCPs’ Margin Policies on Repo Markets
46 Pages Posted: 26 Jan 2016
Date Written: September 22, 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 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
JEL Classification: E43, G01, G10
Suggested Citation: Suggested Citation