Haircut
Definition: Risk control measure applied to underlying collateral whereby the value of that underlying collateral is calculated as the market value of the assets reduced by a certain percentage. For reporting purposes the collateral haircut will be calculated as 100 minus the ratio between the cash lent/borrowed and the market value including accrued interest of the collateral pledged times 100. In the case of multi-collateral repos the haircut will be based on the ratio between the cash borrowed/ lent and the market value, including accrued interest of each of the individual collateral pledged. Only actual values, as opposed to estimated or default values will be reported for this variable.
Type: PercentageRate (Decimal)
Restrictions:
- FractionDigits: 10
- TotalDigits: 11