Uncovering the use of haircuts in the Canadian repo market

Sadia Anum, Jabir Sandhu and Adrian Walton

No 2026-39, Staff Analytical Papers from Bank of Canada

Abstract: We document haircut practices in the Canadian dealer-to-client repo market using transaction level data. We find that haircuts are rarely used across repos for different collateral, maturities and most counterparty types. Notable exceptions include wealth managers and some foreign official institutions, which use haircuts more, likely due to their specific regulations or requirements. We also find no evidence that haircut use increased materially during periods of market stress, including March 2020.

Keywords: Financial markets and funds management; Market structure; Financial system; Financial institutions and intermediation; Financial stability and systemic risk; Financial system regulation and oversight (search for similar items in EconPapers)
JEL-codes: G G0 G01 G1 G18 G2 G23 G28 (search for similar items in EconPapers)
Date: 2026-09
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.34989/sap-2026-39 Full text (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bca:bocsap:26-39

Access Statistics for this paper

More papers in Staff Analytical Papers from Bank of Canada 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada. Contact information at EDIRC.
Bibliographic data for series maintained by ().