---
title: Study on Negative Treasury Haircuts
url: https://www.ml-quant.com/papers/ssrn/5239611/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5239611
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5239611
featured: 2025-05-07
citations: unknown
topic: Risk, Credit & Banking
---


# Study on Negative Treasury Haircuts

The research investigates the supply of leverage in the Treasury market by large dealer banks, showing that their balance sheet capacity significantly influences the market's fragility.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5239611
- Identifier: SSRN 5239611
- Released: 2025-05-02
- First featured: Quant Letter No. 96 (2025-05-07): https://www.ml-quant.com/issues/2025-05-07/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Risk, Credit & Banking

## Related

- [The Bank of Italy’s Statistical Model for the Credit Assessment of Non-Financial Firms](https://www.ml-quant.com/papers/ssrn/5270521/): The Bank of Italy uses a combination of statistical models and expert assessments in its in-house credit assessment system to predict default probabilities of non-financial firms, aiding in monetary policy.
- [How important are ESG factors for banks' cost of debt? An empirical investigation](https://www.ml-quant.com/papers/ssrn/5270535/): The paper explores the link between banks' ESG scores and their funding costs, concluding that higher ESG ratings positively influence funding costs and that changes in ESG ratings significantly impact banks' bond yields.
- [A cost of capital approach to determining the LGD discount rate](https://www.ml-quant.com/papers/arxiv/2503.23992/): The paper introduces a new method for estimating banking losses, using a market-consistent price for defaulted loans.
- [Failing Banks](https://www.ml-quant.com/papers/arxiv/2506.06082/): A study reveals that US bank failures from 1863 to 2024 are mainly due to worsening bank fundamentals like increasing asset losses and reliance on costly noncore funding.
- [The Determinants of Net Interest Margin in the Turkish Banking Sector: Does Bank Ownership Matter?](https://www.ml-quant.com/papers/arxiv/2506.04384/): A study on the Turkish banking sector identifies operation diversity, credit risk, and operating costs as key factors influencing net interest margin, with impacts varying across different bank types.
- [The Effect of Financial Risks on the Financial Performance of Banks listed on Bahrain Bourse: An Empirical Stud](https://www.ml-quant.com/papers/ssrn/5147102/): Capital risks significantly impact the financial performance of banks listed on the Bahrain Bourse.