hold-up problem explains the use of a repo by a short-term investor, a positive haircut due to counterparty risk, and the … fragility of a repo market. This result holds without any risk to the dividends and principals of underlying bonds or asymmetric …

-ante, this hold-up problem explains the use of a repo by a short-term investor, the existence of a haircut, and the vulnerability … of a repo market to counterparty risk. This result holds without any uncertainty about bond returns or asymmetric …

-ante, this hold-up problem explains the use of a repo by a short-term investor, the existence of a haircut, and the vulnerability … of a repo market to counterparty risk. This result holds without any uncertainty about bond returns or asymmetric …

borrowing demands, thus increasing the borrowing cost for the asset (i.e., repo specialness). Dealers pass on the higher …' demand and securities lenders' sensitivity to repo specialness …

sudden freezes. The model also provides an explicit formula for the haircut in secured borrowing or repo transactions. …

assets to meet initial margin requirements, but that some of them may need to increase their cash holdings to meet variation … margin calls. We also find that default funds worth only a small fraction of dealers' equity appear sufficient to protect … margin requirements take into account the tail risks and time variation in risk of cleared portfolios. Finally, we find that …