CCPs’ initial margins ‘significantly’ raise cost of repo funding, study argues
Analysis of Italian data is first study of CCPs’ impact on repo markets, authors say
Initial margins charged by central clearing counterparties (CCPs) have a "significant and positive effect" on the cost of obtaining funding in repo markets, a working paper published by the Bank of Italy argues.
In The impact of CCPs' margin policies on repo markets, Arianna Miglietta, Cristina Picillo and Mario Pietrunti analyse contract-level data from one segment of Italy's MTS repo market. Their paper is, they believe, the first to look at the relationship between CCPs' initial margin
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