Repo Market & Collateral Haircut Simulator

Bank's overnight funding need

Cash need $100k

Collateral holdings (bonds) $150k

Borrowing route

Repo: sell the bond overnight, buy it back tomorrow at a slightly higher price. The lender holds the collateral, so the rate is low — but they only advance a haircut-adjusted share of its value.

Market stress / collateral volatility

Stress level 10%

Nothing about the bank's own credit changes here — only the market's confidence in the collateral's resale value. Watch the haircut, not the borrower.

Live readouts

Unsecured cost /night

–

Haircut %

–

Cash raisable via repo

–

Repo cost /night

–

Need fully covered by chosen route?

–

How it works

An unsecured overnight loan carries a rate that prices pure counterparty risk — flat, and independent of what the borrower owns. A repo instead sells a bond to the lender overnight against cash, with a same-day agreement to buy it back slightly dearer; because the lender physically holds the collateral, the rate charged is far lower. But the lender never advances the collateral's full market value — it applies a haircut, holding back a safety margin in case that collateral's price falls before the next-day repurchase.

haircut% = base + stress-driven premium
cash raisable = collateral value × (1 − haircut%)
covered = cash raisable ≥ cash need

Cash need — how much the bank must raise overnight to cover its shortfall.
Collateral holdings — the current market value of bonds the bank could pledge; this number never changes as you move the stress slider.
Market stress — rising volatility or falling confidence in the collateral's resale value. Lenders respond by demanding a bigger haircut, not by changing the borrower's own credit rating.
Cash raisable via repo — collateral value after the haircut is carved out. As stress rises this number shrinks even though the collateral quantity is unchanged, which is exactly how a repo-funding squeeze happens during market stress.

Real-world relevance: this haircut mechanic is what turned "safe, collateralized funding" into a sudden liquidity crunch in episodes like the 2008 repo freeze and September 2019's repo-rate spike — the collateral didn't disappear, lenders just stopped valuing it the same way.

Cash raisable (repo) Haircut (withheld) Cash need line Unsecured cost

⚠ Couldn't load the 3D engineThree.js failed to load from the CDN. Check your connection and reload.