Uncovering the use of haircuts in the Canadian repo market

We document haircut practices in the Canadian dealer-to-client repo market using transaction level data. We find that haircuts are rarely used across repos for different collateral, maturities and most counterparty types. Notable exceptions include wealth managers and some foreign official institutions, which use haircuts more, likely due to their specific regulations or requirements. We also find no evidence that haircut use increased materially during periods of market stress, including March 2020.