// definition
Repo haircut
Collateral discount in repo financing
freshreviewed 0 days ago
Short definition
The gap between cash lent and the value of repo collateral. Its calculation must identify the denominator, securities value or initial cash according to the convention. A zero or negative haircut does not describe all portfolio margins or offsets. The effects of an increase depend on contractual terms and refinancing.
risk atlas
Knowledge map
Intuition
A transaction’s visible percentage does not fully describe the protection of the portfolio.
Related analyses
Primary sources
- Fed, Proportionate margining for repo transactionsBoth counterparties’ risks, negative haircuts and portfolio offsets.
- FICC, August 26, 2026 GSD rulebookRule 1: CIL Required Haircut denominator; Rule 3A: conditions for changes.