REPO terms

[fplpo_x]

Imported from previous forum

[fplpo_x]

[ original email was from Vitalina Marynenko - Vitalina_Marynenko@epam.com ]
Hi!
I’m wondering to know what FIX fields are appropriate for the following repo terms:

1. REPO value - it’s cash amount which buyer pays for seller in first part of REPO but not market value of securities which are collateral. That’s means that value of collateral as ussual should be more than value of loan. Can I use StartCash (921) field for this purpose?
2. Reverse REPO value - it’s cash amount which initial seller should return to initial buyer in second part of REPO. Can I use EndCash (922) for this purpose?
3. Refund rate - fixed rate of refunding in case when second part of REPO isn’t executed.
4. Repo value after margin call was complied.
5. Current haircut (discount) which is recalculated after margin call was complied.

Please help me, ASAP. Any information will be appreciated.

[robertgonzalez_x]

Hi! I’m wondering to know what FIX fields are appropriate for the
following repo terms:

1. REPO value - it’s cash amount which buyer pays for seller in first
   part of REPO but not market value of securities which are collateral.
   That’s means that value of collateral as ussual should be more than
   value of loan. Can I use StartCash (921) field for this purpose?
2. Reverse REPO value - it’s cash amount which initial seller should
   return to initial buyer in second part of REPO. Can I use EndCash
   (922) for this purpose?
3. Refund rate - fixed rate of refunding in case when second part of
   REPO isn’t executed.
4. Repo value after margin call was complied.
5. Current haircut (discount) which is recalculated after margin call
   was complied.

Please help me, ASAP. Any information will be appreciated.

I haven’t worked on Repos over FIX for quite some time but I can definately tell you that StartCash and EndCash (921,922) are the tags to use in a Repo Transaction for the initial payment and the closing payment

[kaymahes_x]

There is a Custom Tag “Haircut” (5525) used in Execution
Reports, the description is

“This term describes the way brokers and clients protect themselves from market risk in doing repos.”

http://fixprotocol.org/specifications/fields/5000-5999

Hi! I’m wondering to know what FIX fields are appropriate for the
following repo terms:

1. REPO value - it’s cash amount which buyer pays for seller in first
   part of REPO but not market value of securities which are
   collateral. That’s means that value of collateral as ussual should
   be more than value of loan. Can I use StartCash (921) field for
   this purpose?
2. Reverse REPO value - it’s cash amount which initial seller should
   return to initial buyer in second part of REPO. Can I use EndCash
   (922) for this purpose?
3. Refund rate - fixed rate of refunding in case when second part of
   REPO isn’t executed.
4. Repo value after margin call was complied.
5. Current haircut (discount) which is recalculated after margin call
   was complied.

Please help me, ASAP. Any information will be appreciated.

I haven’t worked on Repos over FIX for quite some time but I can
definately tell you that StartCash and EndCash (921,922) are the
tags to use in a Repo Transaction for the initial payment and the
closing payment

[fplpo_x]

[ original email was from Vitalina Marynenko - Vitalina_Marynenko@epam.com ]
How can I use 5525 field for Trade Capture Report (AE) message?

There is a Custom Tag “Haircut” (5525) used in Execution Reports, the
description is

“This term describes the way brokers and clients protect themselves from
market risk in doing repos.”

http://fixprotocol.org/specifications/fields/5000-5999

Hi! I’m wondering to know what FIX fields are appropriate for the
following repo terms:

1. REPO value - it’s cash amount which buyer pays for seller in
   first part of REPO but not market value of securities which are
   collateral. That’s means that value of collateral as ussual
   should be more than value of loan. Can I use StartCash (921)
   field for this purpose?
2. Reverse REPO value - it’s cash amount which initial seller should
   return to initial buyer in second part of REPO. Can I use EndCash
   (922) for this purpose?
3. Refund rate - fixed rate of refunding in case when second part of
   REPO isn’t executed.
4. Repo value after margin call was complied.
5. Current haircut (discount) which is recalculated after margin
   call was complied.

Please help me, ASAP. Any information will be appreciated.

I haven’t worked on Repos over FIX for quite some time but I can
definately tell you that StartCash and EndCash (921,922) are the
tags to use in a Repo Transaction for the initial payment and the
closing payment

[ltaikit]

Refer to Vol. 7 of the FIX 4.4 specification documentation. Under the Fixed Income chapter there is a table of Repo terms and what they map to in FIX.

Hi! I’m wondering to know what FIX fields are appropriate for the
following repo terms:

1. REPO value - it’s cash amount which buyer pays for seller in first
   part of REPO but not market value of securities which are collateral.
   That’s means that value of collateral as ussual should be more than
   value of loan. Can I use StartCash (921) field for this purpose?
2. Reverse REPO value - it’s cash amount which initial seller should
   return to initial buyer in second part of REPO. Can I use EndCash
   (922) for this purpose?
3. Refund rate - fixed rate of refunding in case when second part of
   REPO isn’t executed.
4. Repo value after margin call was complied.
5. Current haircut (discount) which is recalculated after margin call
   was complied.

Please help me, ASAP. Any information will be appreciated.

[fplpo_x]

[ original email was from Vitalina Marynenko - Vitalina_Marynenko@epam.com ]
Thank you, I saw that before. Unfortunately, there isn’t enough information that I could apply for all repo terms with russian specific.

Refer to Vol. 7 of the FIX 4.4 specification documentation. Under the
Fixed Income chapter there is a table of Repo terms and what they map
to in FIX.

Hi! I’m wondering to know what FIX fields are appropriate for the
following repo terms:

1. REPO value - it’s cash amount which buyer pays for seller in first
   part of REPO but not market value of securities which are
   collateral. That’s means that value of collateral as ussual should
   be more than value of loan. Can I use StartCash (921) field for
   this purpose?
2. Reverse REPO value - it’s cash amount which initial seller should
   return to initial buyer in second part of REPO. Can I use EndCash
   (922) for this purpose?
3. Refund rate - fixed rate of refunding in case when second part of
   REPO isn’t executed.
4. Repo value after margin call was complied.
5. Current haircut (discount) which is recalculated after margin call
   was complied.

Please help me, ASAP. Any information will be appreciated.