The Impact of CCPs’ Margin Policies on Repo Markets

46 Pages Posted: 26 Jan 2016

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: September 22, 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 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

Miglietta, Arianna and Picillo, Cristina and Pietrunti, Mario, The Impact of CCPs’ Margin Policies on Repo Markets (September 22, 2015). Bank of Italy Temi di Discussione (Working Paper) No. 1028, Available at SSRN: https://ssrn.com/abstract=2722442 or http://dx.doi.org/10.2139/ssrn.2722442

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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