Option A:4!c//[N]15d(Qualifier) (Sign) (Rate)Option B:4!c//3!a/3!a/15d(Qualifier) (First Currency Code) (Second Currency Code) (Rate)| Option A |
:4!c//[N]15d |
(Qualifier) (Sign) (Rate) |
| Option B |
:4!c//3!a/3!a/15d |
(Qualifier) (First Currency Code) (Second Currency Code) (Rate) |
Mandatory
(Error code(s): T89)
| Order |
M/O |
Qualifier |
R/N |
CR |
Options |
Qualifier Description |
|---|---|---|---|---|---|---|
| 1 |
M |
EXCH |
N |
|
B |
Exchange Rate |
| 2 |
M |
MARG |
N |
|
A |
Margin |
| 3 |
M |
CHAI |
N |
|
A |
Currency Haircut |
This qualified generic field specifies:
| EXCH |
Exchange Rate |
Exchange rate between the currency of the collateral and the reporting currency. |
| MARG |
Margin |
Percentage by which the collateral amount needs to be adjusted. |
| CHAI |
Currency Haircut |
Haircut or valuation factor on the currency of the collateral expressed as a percentage. |
The integer part of Rate must contain at least one digit. The decimal comma is mandatory and is included in the maximum length (Error code(s): T40, T43).
First Currency Code and Second Currency Code must be valid ISO 4217 currency codes (Error code(s): T52).
Sign must not be used when Rate is equal to '0' (Error code(s): T14).
Except if notified differently in the rate definition, when used with format option A (:4!c//[N]15d), the rate should be expressed as a percentage, not as a decimal fraction (12% should be identified by 12, and not 0,12).
The order of the two currencies specified, when format B is used, is independent of the currencies in the collateral and reporting amount fields. Therefore the exchange rate can be expressed as a reciprocal if required.
For the calculation of the rate itself, the First Currency Code will be the base currency and the Second Currency Code will be the quoted currency. (1,00 of First Currency Code = [Rate] of Second Currency Code).
