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lc.y · 2021年10月04日

Do we ignore haircut in Intra market carry trade?

Do we ignore haircuts in Intra market carry trade while using the repo market to finance?


Due to haircuts, the repo counterparty usually would not lend the same amount as the bond price.



1 个答案

pzqa015 · 2021年10月04日

嗨,爱思考的PZer你好:


we did not ignore haircuts, the repo counterparty usually would lend small amount than the bond price and receive the bond price at the maturity,this is haircut effect.

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