Before revision:  Preliminary findings are that stress period calibrated jump-diffusion models can produce haircuts at the levels of BASEL's supervisory haircuts and that repo economic capital far exceeds expected loss and cost of capital has to be included in repo-style transactions pricing .
After revision:  Preliminary findings are that stress period calibrated jump-diffusion models can produce haircuts at the levels of BASEL's supervisory haircuts and that repo economic capital far exceeds expected loss and cost of capital . Capital charge is shown to be countercyclical and a key element of repo pricing and used in explaining the repo pricing puzzle and maturity compression phenomenon .