current tri-party repo haircut average for Treasury collateral is 2%, supervisory is 4% (Capital Adequacy Requirements)

with a 2% haircut the collateral funding multiplier is 50x, with a 4% haircut - 25x

the smaller the haircut - the larger the maximum rehypothecated credit

Illya Gerasymchuk 2025-09-05 00:50

thus, a 30 year Treasury bond trading at par (i.e. market value = face value = $1000) can create up to $50K of new liquidity/credit!

you cannot leverage as much with reserve money. so a $1000 bond can create more liquidity than $1000 cash/reserves