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In what types of collateralized transactions with “core market participants” is a zero percent haircut on the collateral permitted?

April 26, 2017collateral collateralized haircut market percent transactions types Zero

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In what types of collateralized transactions with “core market participants” is a zero percent haircut on the collateral permitted?

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(December 21, 2004) Answer: The June Mid-Year Text (MYT) offers an alternative approach for certain repo-style transactions that national supervisors may adopt at their discretion. As described in paragraphs 170 and 171 of the June MYT, for repo-style transactions that meet certain conditions and are conducted with “core market participants,” a bank may use a zero percent haircut on the collateral instead of the standard supervisory haircuts or own estimates of haircuts when calculating the exposure at default (EAD).