Repo Haircut Dispersion
Median haircuts by collateral group in NY Fed Tri-Party Repo, with the cross-sectional standard deviation as the dispersion measure. Calm conditions cluster haircuts tightly across investment-grade categories; stress widens them.
Tri-Party Repo Haircut Dispersion
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Methodology
The Repo Haircut Dispersion (RHD) measures the cross-sectional standard deviation of median repo haircuts across investment-grade collateral groups in NY Fed Tri-Party Repo. The Federal Reserve publishes median haircuts by collateral category — Treasuries, Agency MBS, Agency Debentures, Investment-Grade Corporates, Equities, ABS, and others. RHD takes the standard deviation across those category medians as the dispersion measure.
In calm funding conditions, haircuts cluster tightly across investment-grade categories because dealers price collateral risk uniformly. Under stress, dealers begin pricing categories differently — high-quality collateral retains tight haircuts while marginally riskier categories see haircuts widen — and the cross-sectional dispersion expands.
Data Sources
- Collateral haircut data
- Federal Reserve Bank of New York — Tri-Party Repo Statistical Data
- Update cadence
- Monthly (matches the Fed's Tri-Party Repo publication schedule)
- Historical retention
- All published vintages retained continuously since instrument launch
How to Interpret
RHD baseline runs in the low single digits during normal funding conditions, when haircuts on investment-grade collateral cluster within roughly 1–2 percentage points of each other. Widening dispersion is the framework's primary funding-market stress signal — it indicates that dealers are losing confidence in their ability to liquidate certain collateral classes at posted prices.
Episodes of sharp RHD widening have historically preceded broader funding-market interventions by weeks rather than days, making the indicator useful as a forward read on substitute-layer stress in the repo plumbing rather than a coincident measure of crisis.
How to Cite
Researchers, journalists, and analysts citing this instrument are welcome to use the formats below. Replace [date of retrieval] with the date you retrieved the reading.
Prose
New Austrian Economics, Repo Haircut Dispersion, retrieved [date of retrieval], https://newaustrianeconomics.com/toolkit/repo-haircut-dispersion
Academic (APA)
New Austrian Economics. (2026). Repo Haircut Dispersion [Data analysis tool]. Retrieved [date of retrieval] from https://newaustrianeconomics.com/toolkit/repo-haircut-dispersion
One-liner
per the Repo Haircut Dispersion at newaustrianeconomics.com