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Assessing the impact of minimum haircuts on leverage

Author

Listed:
  • Grill, Michael
  • Hermes, Felix
  • Wedow, Michael

Abstract

We use transaction-level data on the euro area repo market to assess the impact of the Financial Stability Board’s (FSB) recommended minimum haircut framework on leverage in non-bank financial institutions. We find that it would affect larger and more leveraged entities the most, indicating its capability to make a meaningful contribution to addressing risks from leverage in non-bank financial institutions. JEL Classification: G18, G23, G28

Suggested Citation

  • Grill, Michael & Hermes, Felix & Wedow, Michael, 2025. "Assessing the impact of minimum haircuts on leverage," Macroprudential Bulletin, European Central Bank, vol. 26.
    • Handle: RePEc:ecb:ecbmbu:2025:0026:4
    Note: 1280809
    as

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    File URL: https://www.ecb.europa.eu//press/financial-stability-publications/macroprudential-bulletin/html/ecb.mpbu202501_04~7a38c991f0.en.html
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    More about this item

    Keywords

    financial regulation; financial stability; haircuts; Repo;
    All these keywords.

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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