Haircut percentage in FIX

1

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

2

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
3

Hi Charu,

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

Cheers,
Andreas

4

will you please elobrate?

5

@jenniechase, can you please be more specific in terms of what needs elaboration? You could quote an excerpt from a previous quote.