Changes to the haircuts that the European Central Bank (ECB) applies to covered bonds posted by their issuers as collateral in repo transactions will increase the cost of repo funding…Read More
Should declining liquidity in the US Treasury markets push haircuts on UST repo up? We think there is a good case.
A February 1, 2015 article in Bloomberg “The Treasury Market’s Legendary Liquidity Has Been Drying Up” by Liz Capo McCormick and Daniel Kruger got us thinking about haircuts on HQLA. Is…Read More