Repo values
About AFS

Repo collateral

Q: How are the following derived under the Repo Collateral section:

  • Net Collateral
  • Repo Covered (I notice sometimes the repo covered is different than
    par collateral)

A: Par Collateral is the quantity entered for this piece of collateral.

Net Collateral is the net amount of money that the collateral is worth. (As if an actual trade ticket had been written for these trading conditions.) This should include accrued interest.

Repo Covered is based on the % of coverage that is required. Usually that's 102%, but that ticket looks like it uses 100%. This is specified on each account. It is computed on the fly to the nearest $100, using what portion of the overall trade and collateral this collateral block represents.

Int Covered is how much of the interest due at maturity is covered by the collateral. Again, this is computed on the fly as a proportion of the totals.

Last updated: 04/28/05

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