On-Chain Repo Haircut & Collateral Mobility

Compute repo haircut, initial margin, and variation margin. Compare Canton 24/7 atomic valuation vs legacy weekend gap. Basel CRE22 comprehensive approach + d349 SFT minimum haircut floors + GMRA bilateral threshold.

Basel CRE22 d349 SFT Floors GMRA SFTR Canton 24/7 Zero PII Client-Side

Scope & reliance — 🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only. Haircuts are indicative using Basel CRE22 standard schedules; desk-specific and counterparty-specific haircut schedules may differ. Verify with your collateral desk before use in a trade ticket. Deterministic logic · no inference · zero PII · CC BY 4.0.

Load Preset

Repo Parameters

Collateral Type

Notional

Currency

Tenor

Counterparty

Concentration % of Repo Book

Canton 24/7 continuous margining

DTCC / CSD custodied?

Cross-border transaction?

Haircut convention: Standard convention using Basel CRE22 comprehensive approach (bis.org/basel_framework/chapter/CRE/22.htm); desk-specific schedules may vary. SFT minimum haircut floors per BCBS d349 (bis.org/bcbs/publ/d349.htm). VM threshold per GMRA bilateral standard; SFTR Regulation (EU) 2015/2365 for reporting. UMR/BCBS d499 applies to non-cleared derivatives only and is not applicable to repo.