CCPs’ initial margins ‘significantly’ raise cost of repo funding, study argues

Bank of Italy

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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