IDEAS home Printed from https://ideas.repec.org/p/bis/bisblt/117.html

Unpacking repo haircuts and their implications for leverage

Author

Listed:
  • Felix Hermes
  • Maik Schmeling
  • Andreas Schrimpf

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.

Suggested Citation

  • Felix Hermes & Maik Schmeling & Andreas Schrimpf, 2025. "Unpacking repo haircuts and their implications for leverage," BIS Bulletins 117, Bank for International Settlements.
    • Handle: RePEc:bis:bisblt:117
    as

    Download full text from publisher

    File URL: https://www.bis.org/publ/bisbull117.pdf
    File Function: Full PDF document
    Download Restriction: no
    File URL: https://www.bis.org/publ/bisbull117.htm
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bis:bisblt:117. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Martin Fessler (email available below). General contact details of provider: https://edirc.repec.org/data/bisssch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.