pase is swap and aforo is haircut (in the financial sense)

[PDF] January 17, 2002 Mr. Alfred Pollard General Counsel Office of ...
File Format: PDF/Adobe Acrobat - View as HTML
... Additionally, the amendments to the Risk-Based Capital Rule proposed in December,
include haircut charges for foreign currency swap counterparties that are ...
www.isda.org/speeches/pdf/OFHEO_Response_Jan2002.pdf - Similar pages

DJ Ratings Watch: Argentine Swap Raises Default Differences
... Argentina's debt-swap strategy, aimed at extending maturity and cutting coupon rates ...
loss reflected in the rating was consistent with the final haircut taken by ...
www.bradynet.com/bbs/em/100190-0.html - 10k - Cached - Similar pages

Argentina: It's almost buying time
... to find bonds to deliver in a month's time, especially going into another swap. ... the
date to December adds a 4-5 percentage points to the implied haircut figure ...
www.bradynet.com/bbs/argentina/100185-0.html - 24k - Cached - Similar pages


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Note added at 41 mins (2004-11-29 18:03:59 GMT)
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yes, it could also be repo with haircut

Instruments of the Money Market: Chapter 6... Inasmuch as the size of the haircut should be adequate to guard against the potential loss from adverse price movements during the repo term, haircuts tend to ...
www.rich.frb.org/pubs/instruments/ch6.html - 55k - Cached - Similar pages


[PDF] Stock Lending and Repo Committee, Summary of Meeting Tuesday 27 ...File Format: PDF/Adobe Acrobat
... subject to a haircut. The cash leg of a repo or repo-type transaction will not be subject to a haircut. Basel 2 permits an institution ...
www.bankofengland.co.uk/markets/slrcaug03.pdf - Similar pages


Bureau of the Public Debt : Forward Repos for Broker/Dealers... 6/ The haircut should be calculated by multiplying the haircut factor that corresponds to the term to maturity of the repo contract by the contract value. ...
www.publicdebt.treas.gov/gsr/gsr048i.htm - 22k - Nov 27, 2004 - Cached - Similar pages


SS&C Technologies, Inc. - Lightning: Section-20... Concentration. • Repo and Reverse Repo Haircut Report, Meets the requirements for 15c3-l, section (c)(2)(iv)(F) - Other Deductions. ...
www.ssctech.com/lightning/default.asp?P=13 - 14k - Cached - Similar pages


[PDF] Annex 8File Format: PDF/Adobe Acrobat - View as HTML
... national supervisors have the discretion to determine that a haircut of zero ... Where repo-style transactions are subject to a master netting agreement whether ...
www.federalreserve.gov/boarddocs/ press/bcreg/2003/20030430/attachment13.pdf - Similar pages


Counterparty Risk Limits and Risk Limits... a haircut (to capture the effect of convexity), we would need to specify a \'confidence level\' of the haircut (alternatively, we could adjust the repo rate). ...
www.contingencyanalysis.com/ archive/archive01-3/00000234.htm - 6k - Cached - Similar pages


[DOC] Simplification of the Formula for Collateralized TransactionsFile Format: Microsoft Word 2000 - View as HTML
... The reduction of the holding period used to calculate haircuts for repo-style transactions, from ten to five days, resulted in a holding period that is ...
www.rmahq.org/Sec_Lending/Final_RMA_05-17-02_letter.doc - Similar pages


[PDF] ISDA LIBAFile Format: PDF/Adobe Acrobat - View as HTML
... lending and repo haircuts that is a true reflection of firms’ risk management practice, and does not deter the use of risk mitigation techniques as essential ...
www.isda.org/c_and_a/pdf/RiskAnnex1.pdf - Similar pages


[PDF] CGFS Publications - Implications of repo markets for central banks ...File Format: PDF/Adobe Acrobat - View as HTML
... this leveraging process the amount of funds raised through the repo transaction (that can be used to purchase additional securities) is reduced by the haircut. ...
www.bis.org/publ/cgfs10.pdf - Similar pages


[PDF] ????? ??????????????? ?????? ????? ?? ???? ? 2000 ???? ...File Format: PDF/Adobe Acrobat - View as HTML
... 1-3 month (reverses) intraday - 6 month Min rate,% 6.5 (repos) - Initial haircut,% MC, if haircut =<, % 0 (0-1 day repos); 5 (7,90 day repos) 2.5 market value ...
www.oecd.org/dataoecd/59/8/29173363.pdf - Similar pages