Template-Type: ReDIF-Paper 1.0
Author-Name: Felix Hermes
Author-X-Name-First: Felix
Author-X-Name-Last: Hermes
Author-Name: Maik Schmeling
Author-X-Name-First: Maik
Author-X-Name-Last: Schmeling
Author-Name: Andreas Schrimpf
Author-X-Name-First: Andreas
Author-X-Name-Last: Schrimpf
Title: Unpacking repo haircuts and their implications for leverage
Abstract: Haircuts vary with repo trading motives, notably whether market participants primarily seek to raise cash or gain access to a specific security.
Haircuts tend to increase with repo maturity and are lower for less volatile collateral assets. Benchmark sovereign bonds are often associated with subdued haircuts.
Zero-haircut borrowing is common in hedge fund repo activity, with the largest hedge funds benefiting from the lowest haircuts, enabling very high levels of leverage.
Length: 8 pages
Creation-Date: 2025-12-02
File-URL: https://www.bis.org/publ/bisbull117.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/bisbull117.htm
File-Format: text/html
Number: 117
Handle: RePEc:bis:bisblt:117