Proportionate margining for repo transactions

Robert Kahn and Matthew McCormick

Dallas Fed Economics from Federal Reserve Bank of Dallas

Abstract: 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.

Keywords: repo (search for similar items in EconPapers)
Date: 2025-02-21
Note: This article is jointly published in Dallas Fed Economics and the Federal Reserve Board’s FEDS Notes.
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https://www.dallasfed.org/research/economics/2025/0221 Full text (text/html)

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Working Paper: Proportionate margining for repo transactions (2025)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:d00001:99636

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