In 2022, the OFR conducted a pilot study of the non-centrally cleared bilateral repo (NCCBR) market segment to address data gaps. One of the main findings from this study was that 70% of all repo outstanding had a zero haircut, meaning that no excess collateral was required.
We find that approximately half of all zero-haircut repo transactions are between affiliated entities, a feature that could not be fully accounted for in the 2022 pilot study. Discounting this activity reduces the percentage of zero-haircut repo outstanding to 42%. This new result suggests that, in aggregate, zero-haircut repo is less prevalent than previously thought.
The full article is available here.