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Suppose, for the sake of argument, that the repo haircut is 5%.

Then, in order to cover 100 worth of deposits you have to repo 105 worth of eligible assets.

I prefer counting haircut the other way - so a 100 % haircut means "we're not taking that."

- Jake

Friends come and go. Enemies accumulate.

by JakeS (JangoSierra 'at' gmail 'dot' com) on Tue May 10th, 2011 at 02:21:51 PM EST
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