Threshold for Haircut

OFS HM provides you the ability to reduce market quotes from a past date or similar instrument by a user-specified value (in percentage) - Haircut. The Haircut percentage is compared against the user-provided threshold value (provided in Application Preferences). If the haircut value (at the instrument type level) is higher than the threshold value, then the Fair Value for that instrument is assigned Level 3. Otherwise, the Fair Value is assigned a Level 2.