The securities finance CCP premium – an example from the US repo market (Premium Content)

Transactional data from late October 2014 show clearly the benefit of CCPs to dealers in the securities lending and repo markets. We have been saying for a while that we expected a two-tiered pricing market to develop as dealers preference the netting and risk-weight advantages of CCPs over their equivalent bilateral transactions. October spelled out the pricing difference in no uncertain terms for this end-of-month observation period.

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