Haircut percentage in FIX

Hi,

Is there an appropriate tag one could use to indicate haircut percentage of a repo transaction in TradeCapture message (AE)? Basically the percentage difference between the market value of collateral and the purchase price of the repo?

Many thanks,

Regards,
Andreas

Hi Andreas,

For that percentage difference, you can use MarginRatio(898) in FinancingDetails component. For Haircut at each collateral security level, you can use UnderlyingStip block with UnderlyingStipType(888)=HAIRCUT.

Hope this helps.
Regards,
Charu

1 Like

Hi Charu,

Many thanks for the quick response. MarginRatio(898) was exactly what I was looking for.

Cheers,
Andreas