Thank you Emil for interesting article and everyone for a good discussion.
Although I really like the unconventional approach to the problem leading to nontrivial conclusions, I have an impression that the whole problem was "overengineered", (for a lack of better word). Negative yielding collateral is a result of negative yielding cash held with central banks. One could rightly point out to advantages of risk-free asset collateral over cash (I'd primarily relate to interest rate risk; I'm not too familiar with leveraged repos or collateral repledging), but this extra utility doesn't suffice to enforce negative yields. In my perhaps simplistic view yields on sovereign bonds are negative as a consequence of introduction of negative rates which commerical banks have to pay to central banks for holding cash on their balance sheets. Am I missing something?