Repo & collateral · Calculator 01 / 04

Repo Haircut & Funding Calculator

Calculate repo cash proceeds, collateral haircuts, required collateral and term funding cost. No account, market feed or API required.

Inputs

Editable assumptions

Collateral market valueMarket value of the securities

Repo haircut (%)Deduction from collateral market value

Repo rate (%)Annual repo funding rate

Repo term (days)Settlement to repurchase date

Day-count basis

Results

Calculated locally

Collateral allocation

Funded cashHaircut reserve

The haircut reduces the cash available against pledged collateral.

Cash advanced—

Haircut amount—

Repo interest—

Cash repurchase amount—

Collateral required for the same cash advance—

Haircut and initial margin use different conventions. This model uses haircut as a percentage deduction from collateral market value.

Methodology

Cash advance = collateral market value × (1 − haircut).

Repo interest = cash advance × annual repo rate × days ÷ day-count basis.

Required collateral = cash advance ÷ (1 − haircut).

A 2% haircut on 10 million of securities supports 9.8 million in cash. The difference is collateral protection, not a financing fee. Repo interest is calculated separately.

Enter the same currency throughout. The model assumes a fixed collateral valuation, no margin calls, no coupon pass-through and simple interest.

How to interpret the result

What does a 2% repo haircut mean?

Securities valued at 100 support a cash advance of 98, before repo interest and other costs.

Reference

ICMA – What is a repo haircut?

Educational model. Inputs are illustrative; verify market conventions and contractual terms before use.