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Proportionate margining for repo transactions

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Traders in the repurchase agreement (repo) market protect themselves from the default of their counterparties through margin collected via haircuts on repo transactions. Recent research showing that haircuts on many Treasury repo transactions are low or zero has raised concerns that margining practices in this market are insufficiently strict.

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  • R. Jay Kahn & Matthew McCormick, 2025. "Proportionate margining for repo transactions," Dallas Fed Economics 99636, Federal Reserve Bank of Dallas.
    • Handle: RePEc:fip:d00001:99636
    Note: This article is jointly published in Dallas Fed Economics and the Federal Reserve Board’s FEDS Notes.
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    File URL: https://www.dallasfed.org/research/economics/2025/0221
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