No. 1028 - The impact of CCPs' margin policies on Repo markets

by Arianna Miglietta, Cristina Picillo and Mario Pietrunti
September 2015
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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.

Published in 2019 in: The North American Journal of Economics and Finance, v. 50

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  1. 02 October 2015
    No. 1028 - The impact of CCPs' margin policies on Repo markets
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