Using a regulatory transaction-level dataset of the UK repo market, we examine the determinants of haircuts. We find that transaction maturity and collateral quality is of a first order importance in determining haircuts. We also find that counterparties matter in determining haircuts. Hedge...

Using a unique transaction-level data, we document that only 60% of bilateral repos held by UK banks were backed by high-quality collateral. Banks intermediate repo liquidity among different counterparties and use CCPs to reallocate high-quality collaterals among themselves. Furthermore,...