5. Processing Collateral Margin
This chapter explains processing Collateral Margin transfer in Oracle Banking Treasury Management application.
Collateral Margin can be assigned and exchanged with the counterparty for different purposes, at different stages during the life cycle of a contract and from different functions in Oracle Banking Treasury Management application.
•Collateral can be assigned for the purpose of
•Initial Margin while taking a position
•as an Independent Amount for additional collateral
•as Variation Margin to compensate for changes in the value of the collateral due to Marking to Market or
•for funding as required before taking a position or for initiating settlement
•Collateral can be exchanged with any party eligible for collateral including,
•Counterparty of the contract
•Exchange or Execution Broker through which a position is taken
•Clearing House or CCP or Clearing Broker through whom a trade is cleared and settled
•Custodian or Triparty Agent or any Third party intermediary designated for calculating and maintaining eligible collateral on behalf of the trading parties
•Collateral can be assigned during the life cycle of the contract
•for booking a new contract
•for margin calls due to change in the value of collateral or position while Marking to Market
•for substituting or replacing the collateral given earlier with another collateral of same or different type
•for returning the collateral during Maturity or Liquidation of the contract
•for returning and reassigning of collateral every day for DBV contracts
•Collateral margin processing can be performed from the functions
•used for contract booking while booking contracts
•used specifically for collateral assignment, substitution and margin calls processing
•used for manual payments and liquidation of contracts, for returning the collaterals received
•can be automatically triggered when the contract is initiated, liquidated or rolled over through a batch process - during the day, End of Day or Beginning of the Day
Collateral Margin transfer can be performed using ‘Collateral Assignment Process’ function, available specifically for transferring different types of Collateral as margin for different purposes for positions on different types of instruments.
Both Cash and Securities can be transferred as collateral using this function. Collateral can be assigned for,
•an Agreement, if collateral assignment is for the net collateral required to be exchanged for all the contracts linked to the same agreement
•a Portfolio, if collateral assignment is for the net collateral required to be exchanged for all the contracts booked in the same portfolio
•a Contract, if collateral assignment is for the collateral required to be exchanged for a specific contract
The details that can be captured for Collateral Assignment Process include,
•Collateral party, Margin process and Settlement date for the collateral assignment
•Agreement, Portfolio, or a specific Contract for which collateral are assigned
•Collateral type and purpose (Margin type) of the collateral assignment transaction
•For Cash collateral,
•Margin currency, Margin Account, Collateral Amount, and netting details (if applicable)
•Settlement details to be used for funds transfer, as agreed with the party
•For Securities collateral,
•Details about Securities transferred, price applied for valuation, hair cut (if applicable) and portfolio
•Custodian and settlement party details as applicable for securities transfer
•User Defined Fields configured for collateral assignment process
User can view the details for,
•Margin preferences applicable for the Agreement, Portfolio or a specific Contract selected
•Margin available and required to be transferred as Cash or Securities
•List of contracts linked to the Agreement or Portfolio selected with individual exposures considered
Collateral Assignment transactions can be initiated only for the branch to which user has access.
5.2.1 Process to initiate a new transaction
This topic provides the systematic instructions to initiate a new transaction.
Context:
To initiate a new transaction
1.Click the New button at the top of the screen.
2.Enter the values for all the required fields.
3.Click on the Save button to initiate the transaction and send for authorization.
4.Click on the Hold button to save as draft.
5.2.2 Process to view the details of an existing transaction
This topic provides the systematic instructions to view the details of an existing transaction.
Context:
To view the details of an existing transaction
1.Click the Enter Query button at the top of the screen.
2.Enter the Margin Reference of the transaction.
3.Click the Execute Query button.
5.2.3 Modifying an existing transaction
This topic provides the systematic instructions to modify an existing transaction.
Context:
To modify an existing transaction or to revisit the data saved as draft
1.Enter the Margin reference of the transaction and query the existing transaction.
2.Click the Unlock button to enable the screen for editing the details.
3.Review the existing values saved or kept on hold.
4.Enter the new values for the fields to be modified. Please refer the table of fields to know whether the field can be modified after first authorization of the transaction.
5.Click on the Save button to modify the transaction and send for authorization.
5.2.4 Discard, reverse and print transactions
This topic provides the systematic instructions to discard and reverse transactions and print details of the transactions.
1.Click on the Delete button to discard the transaction before first authorization.
2.Click on Reverse button to reverse the transaction after first authorization.
3.Click on the Print button to print the details of the transaction.
5.2.5 Collateral Assignment Process screen
User can initiate collateral assignment and transfer for an agreement or a contract in this Collateral Assignment Process screen.
1.On the Homepage, type SRDMRONL in the text box, and click the next arrow.
Step Result: Collateral Assignment Process screen is displayed.
Figure 5.36: Collateral Assignment Process
2.On the Collateral Assignment Process screen, Click New.
3.On the Collateral Assignment Process- New screen, Specify the details as required.
4.Click Save to save the details or Cancel to close the screen.
For information on fields, refer table below:
* Indicates mandatory fields.
Table 5.24: Collateral Assignment Process
|
Field |
Description |
|---|---|
|
Branch |
Displays the current branch code to which the user has logged in. •Only those agreements associated to this branch and contracts booked in this branch can be selected for collateral assignment |
|
Party |
Select the party with whom the collateral is exchanged. •This field cannot be amended after saving the collateral assignment •Only those agreements with the selected party and contracts booked with the selected party as collateral party is available for collateral assignment |
|
Margin Process |
Select the contract workflow process for which collateral is assigned. •This field cannot be amended after saving the collateral assignment •Select ‘Booking’ (D), if collateral assigned is for the purposes of Initial Margin (or Base collateral) provided at the time of booking the contract •Select ‘Liquidation’ (L), if collateral assignment is for the purposes of returning the collateral exchanged during the life of the contract, at maturity or termination of the contract •Select ‘Reversal’ (R), if collateral assignment is for the purposes of returning the collateral when the contract is reversed •Select ‘Substitution’ (S), if collateral assignment is for the purposes of returning the collateral provided earlier and replacing with different type of collateral for the same contract or agreement or portfolio •Select ‘Margin Call’ (M), if collateral assignment is for the purposes of providing additional collateral or returning excess collateral for a contract or agreement or portfolio •If not specified, this field is set to ‘Margin Call’ by default |
|
Margin For |
Select whether the collateral is assigned for an agreement or portfolio or a specific contract •This field cannot be amended after saving the collateral assignment •Select ‘Agreement’ (A), if collateral assignment is for the net collateral required to be exchanged for all the contracts linked to the same agreement •Select ‘Portfolio’ (P), if collateral assignment is for the net collateral required to be exchanged for all the contracts booked in the same portfolio •Select ‘Contract’ (C), if collateral assignment is for the collateral required to be exchanged for a specific contract •If not specified, this field is set to ‘Contract’ by default |
|
Margin Reference |
Displays a unique reference number for the collateral assignment transaction. •Automatically generated when the user clicks on ‘P’ button in the ‘Main’ tab |
|
Settlement Date |
Specify the date on which the collateral is exchanged. •If not specified, the branch date is set by default •Settlement date specified can be a future date •In that case, the Settlement messages for Cash or Securities delivery is generated (and sent) before the settlement date, according to the applicable set •Settlement date specified can be backdated •In that case, the Settlement messages for Cash or Securities delivery are not generated (suppressed) and only relevant accounting entries are posted |
User can select the Agreement, Portfolio or a specific Contract for which collateral is assigned.
•Can specify details for the collateral type and purpose (Margin type) of the collateral assignment transaction
Click the Main tab of the Collateral Assignment Process (SRDMRONL) function to open this screen
The following table describes the fields captured for the type and purpose of collateral assignment.
* Indicates mandatory fields.
Table 5.25: Collateral Assignment - Main
|
Field |
Description |
|---|---|
|
Module |
Select the module of the contract(s) for which collateral are assigned. •This field cannot be amended after saving the collateral assignment •Only those agreements / portfolios associated to and contracts booked in the selected module are available for collateral assignment •When ‘Portfolio’ is selected for ‘Margin For’ field, then only those modules in which portfolios can be defined separately, is displayed for this field •These modules are - Securities, Exchange Traded Derivatives and Credit Derivatives •If not specified, then this field is set to •the Module to which the contract selected belongs to, when ‘Margin For’ selected is ‘Contract’ •otherwise set to ‘All’, when ‘Agreement’ or ‘Portfolio’ is selected for ‘Margin For’ field |
|
Deal Type |
Select the deal type of the contract for which collateral is assigned. •This field cannot be amended after saving the collateral assignment •Applicable only when Margin For selected is ‘Contract’ •Can be one of the standard deal types maintained using ‘Treasury Static Type Maintenance’ function with type as 'DEAL_TYPE’, applicable for the module and product type of the contract •Only those Contracts of the selected deal type is available for collateral assignment •If not specified, then this field is set to •the Deal Type to which the contract selected belongs to, when ‘Margin For’ selected is ‘Contract’ •otherwise set to ‘All’, when ‘Agreement’ or ‘Portfolio’ is selected for ‘Margin For’ field |
|
Agreement / Portfolio |
Select the Agreement or Portfolio for which collateral is assigned. •This field cannot be amended after saving the collateral assignment •Mandatory when ‘Agreement’ or ‘Portfolio’ is selected for ‘Margin For’ field •When ‘Agreement’ is selected for ‘Margin For’ field, only those active agreements for Collateral purpose, with Branch as Head Office branch or current branch where user has logged in, with Collateral Party same as Party selected, enabled for the Module selected and having Expiry Date >= Settlement date of the collateral assignment, is displayed for selection •If only one collateral agreement is available for the selected criteria, then that agreement is set by default to this field •When ‘Portfolio’ is selected for ‘Margin For’ field, only those active portfolios for the selected module, available to the current branch where user has logged in and customer portfolios for the selected Party (if available), are displayed for selection •Applicable only for Securities, Exchange Traded Derivatives and Credit Derivatives modules in which portfolios can be defined separately |
|
Contract |
Select the Contract for which collateral is assigned. •This field cannot be amended after saving the collateral assignment •Mandatory when ‘Contract’ is selected for ‘Margin For’ field •Only those active contracts eligible for Collateral assignment, having branch same as current branch where user has logged in, Collateral Party same as Party selected, module and deal type same as those selected, is displayed for selection |
|
Event Date |
Displays the date on which the Collateral Assignment transaction was saved. •Branch date is set by default |
|
Remarks |
Enter any additional comments for the Collateral Assignment transaction. •A maximum of 250 characters can be entered for remarks |
|
Collateral Type |
Indicate the type of collateral that would be assigned for this transaction. •This field cannot be amended after saving the collateral assignment •Select Cash, when the collateral assigned is Cash or Deposits and when cash collateral is allowed for the selected Agreement or Portfolio or Contract •Select Securities, when the collateral assigned is one or more Securities, eligible to be provided as collateral for the selected Agreement or Portfolio or Contract |
|
Pledgor / Receiver |
Indicate whether bank acts as the collateral provider or collateral taker for the selected Agreement, Portfolio or Contract •This field cannot be amended after saving the collateral assignment •Select Pledgor, when the bank is the collateral provider •Select Receiver, when the bank is the collateral taker •Set to ‘Receiver’ by default when Margin For selected is ‘Contract’ and Module-Deal Type of the Contract selected is one of the below •Reverse Repo in Securities Repo module •Set to ‘Pledgor’ by default when Margin For selected is ‘Contract’ and Module-Deal Type of the Contract selected is not in the above list. For example, •Repo in Securities Repo module •Both Long and Short in Exchange Traded Derivatives module •Set to ‘Pledgor’ by default when Margin For selected is ‘Agreement’ or ‘Portfolio’ •However, user can change to ‘Receiver’ before saving the collateral assignment |
|
Margin Type |
Select the Margin Type for which the collateral is assigned, for the selected Agreement, Portfolio or Contract •This field cannot be amended after first authorization of the collateral assignment •Select ‘Initial Margin’ (IM), if this collateral assignment is for transferring initial margin for the exposure from the transactions linked to selected Agreement, Portfolio or Contract •Select ‘Independent Amount’ (IA), if this collateral assignment is for transferring additional margin, independent from initial margin •Select ‘Variation Margin’ (VM), if this collateral assignment is for transferring margin due to revaluation or marking to market (MTM) of the exposure from the transactions linked to selected Agreement, Portfolio or Contract •Select ‘Netted Margin’ (NM), if this collateral assignment is for transferring net amount of all types of margin applicable for the transactions linked to selected Agreement, Portfolio or Contract •Select ‘Funding’ (DF), if this collateral assignment is for transferring margin for the purposes of creating a trading limit or contributing to the default fund •Applicable only when Margin For selected is ‘Agreement’ •If not specified, it is set to Variation Margin (VM) by default |
|
Margin Code |
Select the Margin Code defined for the selected Agreement and Margin Type. •This field cannot be amended after first authorization of the collateral assignment •Mandatory only when Margin For selected is ‘Agreement’ •Defaulted to the active Margin Code defined for the selected Margin type in the selected Agreement |
|
Margin Currency |
Displays the currency in which Margin is calculated for the selected Agreement, Portfolio or Contract, for which the collateral is assigned. •This field cannot be amended after first authorization of the collateral assignment •When Margin For selected is ‘Agreement’, displays the Margin Currency defined for the Margin Code selected •When Margin For selected is ‘Contract’, displays the Margin Currency applicable for the contract selected •When Margin Currency is not specifically defined for the Contract, displays the Contract Currency •When Margin For selected is ‘Portfolio’, displays the Portfolio Currency of the portfolio selected |
|
Margin Product |
Displays the Margin Product to be used for collateral assignment event. •When Collateral Type is ‘Cash & Deposits’ and Net Cash is checked, displays the Margin Product linked to the Settlement Scheme selected •When Margin For selected is ‘Agreement’, displays the Margin Product linked to the selected agreement •When Margin For selected is ‘Contract’, displays the Margin Product linked to the Deal Product of the selected contract •When Margin For selected is ‘Portfolio’, displays the Margin Product linked to the selected portfolio •When there are no Margin products linked to the selected Agreement, Portfolio or Contract, displays the default Margin product defined for the bank |
|
Parent Status |
Displays the current status of the Agreement or Portfolio or Contract selected for collateral assignment. |
|
Exposure Currency |
Select the currency of Exposure of the transactions linked to selected Agreement or Portfolio, for which the collateral is assigned. •This field cannot be amended after first authorization of the collateral assignment •When Margin For selected is ‘Contract’, displays the Contract Currency and cannot be changed •When Margin For selected is ‘Agreement’ or ‘Portfolio’, Exposure Currency is set by default same as Margin Currency, if not specified |
On click of P button, system automatically generates and displays a unique ‘Margin Reference’ for the collateral assignment transaction.
User can default and view the margin preferences applicable for the Agreement, Portfolio or a specific Contract selected for which collateral is assigned.
•Displays the Collateral preferences defined for the Agreement, If Agreement is selected.
•Displays the Collateral preferences defined for the applicable Portfolio or Product, If Portfolio is selected.
•Displays the Collateral preferences defined for the contract, If Contract is selected.
•Displays the preferences from the linked agreement, if the contract uses Collateral Agreement
•If the preference for calculation type is ‘Internal’, can view the details about the margin calculated by Oracle Banking Treasury Management
•If the preference for calculation type is ‘External’, calculation fields value are not displayed
Click the Margin Details tab of the Collateral Assignment Process (SRDMRONL) function to open this screen.
Figure 5.37: Collateral Assignment Process – Margin Details
The following table describes the fields captured for processing securities margin for an agreement or contract.
* indicates mandatory fields.
Table 5.26: Collateral Assignment Process – Margin Details
|
Field |
Description |
|---|---|
|
Calculation Preferences |
Group of fields to display the margin calculation preferences applicable for the Contract selected for Collateral Assignment, for the selected Margin Type. •If Margin Type selected is ‘Netted Margin’, preferences are not displayed |
|
Calculation Setup |
Displays the margin calculation setup to be used, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Blank and not applicable, if no calculation setup is defined for the selected Contract in Oracle Banking Treasury Management |
|
Calculation Level |
Displays the level at which the exposure would be aggregated for margin calculation purposes for the Contract selected for Collateral Assignment, for the selected Margin Type. •Displays ‘Trade’ by default |
|
Calculation Type |
Displays where the margin required is calculated for the Contract selected for Collateral Assignment, for the selected Margin Type. •Displays ‘External’ by default, if no margin calculation rule is defined for the selected Contract or if Calculation Setup is ‘External’ •Blank and not applicable, if Margin For selected is ‘Agreement’ or ‘Portfolio’ |
|
Source |
Displays the system from which the collateral assignment is initiated. |
|
Calculation Method |
Displays the method that is used for calculating margin required for the Contract selected for Collateral Assignment, for the selected Margin Type. •Blank and not applicable, if Margin Type selected is ‘Variation Margin’ or if Calculation Type is ‘External’ or if Margin For selected is ‘Agreement’ or ‘Portfolio’ |
|
Exposure Type |
Displays the amount to be considered as exposure for calculating margin required for the Contract selected for Collateral Assignment, for the selected Margin Type. •Displays ‘Principal’ by default, if no margin calculation rule is defined for the selected Contract •Blank and not applicable, if Margin Type selected is ‘Variation Margin’ or if Calculation Type is ‘External’ or if Margin For selected is ‘Agreement’ or ‘Portfolio’ |
|
Offsetting Allowed |
Displays whether exposure booked in opposite directions within the same group can be offset, to arrive at the net exposure for margin calculation purposes for the Contract selected for Collateral Assignment, for the selected Margin Type. •Blank and not applicable |
|
Margin Calculation |
Group of fields to display the calculated margin required as on the Event Date for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. |
|
Margin Currency |
Displays the currency in which the margin required is calculated for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Displays the Portfolio Currency or Contract Currency by default, if no margin calculation rule is defined for the selected Portfolio or Contract |
|
Margin Required |
Displays the calculated Margin Required in Margin currency for the exposure determined as of the Event Date, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Blank and not applicable, if Calculation Type is ‘External’ |
|
Margin Available |
Displays the Margin already transferred and available in Margin Currency equivalent as of the Event Date, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Displays total of balance in both Cash Margin and Security Collateral available for the selected Agreement or Portfolio or Contract |
|
Excess |
Displays the additional Margin already available in excess of the Margin required as of the Event Date, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. |
|
Shortfall |
Displays the additional Margin to be transferred to meet the net Margin required as of the Event Date, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. |
|
Cash Margin Adjustment |
Group of fields to display the cash margin allowed based on the calculated margin required as on the Event Date for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. |
|
Cash Margin Allowed |
Indicates whether collateral can be provided in Cash or Deposits, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Checked by default, if no margin calculation rule is defined for the selected Portfolio or Contract |
|
Cash Margin Balance |
Displays the Cash Margin already transferred and available as of the Event Date, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Example: Cash Margin Balance = 5,250 •Should display ‘0’, if Cash Margin Allowed is unchecked •Otherwise, returning any available balance in Cash Margin should be operationally taken care by the bank |
|
Minimum Cash % |
Displays the Minimum Cash % configured for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Displays ‘0%’ by default, if Cash Margin Allowed is unchecked or if Calculation Type is ‘External’ or if no margin calculation rule is defined for the selected Portfolio or Contract |
|
Minimum Cash |
Displays the Minimum Cash Margin required based on the total margin required as of the Event Date, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Minimum Cash = Margin Required * Minimum Cash % •Example: If Margin Required = 40,250 and with Minimum Cash % = 5%, Minimum Cash = 40,250 * 5/100 = 2,012.50 |
|
Maximum Cash |
Displays the Maximum Cash Margin allowed based on the total margin required as of the Event Date, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Maximum Cash = Margin Required * (1 - Minimum Securities %) •Example: If Margin Required = 40,250 and with Minimum Securities % = 15%, Maximum Cash = 40,250 * (100-15)/100 = 34,212.50 |
|
Security Margin Adjustment |
Group of fields to display the securities collateral allowed based on the calculated margin required as on the Event Date for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. |
|
Securities Collateral Allowed |
Indicates whether collateral can be provided in Securities, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Checked by default, if no margin calculation rule is defined for the selected Portfolio or Contract |
|
Securities Collateral Value |
Displays the value of Securities Collateral already transferred and available as of the Event Date, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Example: Securities Collateral Value = 28,500 •Displays ‘0’, if Securities Margin Allowed is unchecked •Otherwise, returning any available balance in Securities Collateral should be operationally taken care by the bank |
|
Minimum Securities % |
Displays the Minimum Securities % configured for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Display ‘0%’ by default, if Securities Collateral Allowed is unchecked or if Calculation Type is ‘External’ or if no margin calculation rule is defined for the selected Portfolio or Contract |
|
Minimum Security |
Displays the Minimum Securities Collateral required based on the total margin required as of the Event Date, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Minimum Security = Margin Required * Minimum Securities % •Example: If Margin Required = 40,250 and with Minimum Securities % = 15%, Minimum Security = 40,250 * 15/100 = 6,037.50 |
|
Maximum Security |
Displays the Maximum Securities Collateral allowed based on the total margin required as of the Event Date, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Maximum Security = Margin Required * (1 - Minimum Cash %) •Example: If Margin Required = 40,250 and with Minimum Cash % = 5%, Maximum Security = 40,250 * (100-5)/100 = 38,237.5 |
On click of Default button, system automatically calculates and displays the margin details applicable for the collateral assignment transaction.
User can view the details for the list of contracts linked to the selected Agreement or Portfolio for which collateral are assigned.
•Enabled only when Margin For selected is ‘Agreement’ or ‘Portfolio’
•Can view the margin calculated, individually for each group of transactions
•Margin calculated by Oracle Banking Treasury Management, only if the preference for calculation type is ‘Internal’
Click the Linked Deals button at the bottom of the Collateral Assignment Process (SRDMRONL) function to open this screen.
Figure 5.38: Collateral Assignment Process – Linked Deals
The following table describes the fields displayed for the list of contracts linked to the agreement or portfolio selected for the Collateral Assignment.
* Indicates mandatory fields.
Table 5.27: Collateral Assignment – Linked Deals
|
Field |
|
|---|---|
|
Agreement Code |
Displays the selected Agreement or Portfolio for which collateral is assigned. |
|
Margin Reference Number |
Displays the unique reference number generated for the collateral assignment transaction. |
|
Linked Deals |
Group of fields to display the details of the linked deals and margin required for each deal. |
|
Agreement Code |
Displays the selected Agreement or Portfolio for which collateral is assigned. |
|
Module |
Displays the Module of the contract. |
|
Product |
Displays the Product of the contract. •‘Instrument Product’ is displayed for the modules, in which instruments can be defined separately. These modules are: Securities, Exchange Traded Derivatives and Credit Derivatives •‘Deal Product’ is displayed for all the other modules |
|
Instrument |
Displays the Instrument of the contract. •Displayed only for the modules, in which instruments can be defined separately. •Blank for all the other modules. |
|
Contract Reference |
Displays the User Reference of the contract. |
|
Value Date |
Displays the Value Date of the contract. |
|
Contract Value |
Displays the Contract amount in contract ccy. |
|
Collateral Value |
Displays the calculated Margin Required for the exposure determined for the contract as of the Event Date, for the selected Margin Type. •Blank and not applicable, if Calculation Type is ‘External’ |
|
Difference Amount |
Displays the difference between the Contract Value and the Collateral Value. |
Please refer Glossary of Margin Calculation Fields for more details about the fields used for Margin Calculation in various functions.
User can view the list of Lifecycle Events triggered for the collateral assignment transaction.
•Can view the Accounting Entries posted for each event
•Can view the Advice(s) and Messages generated for each event
Click the Events button at the bottom of the Collateral Assignment Process (SRDMRONL) function to open this screen.
Please refer Events and Accounting Entries for more details about the list of events and accounting entries applicable for collateral assignment processes.
Figure 5.39: Treasury Events
User can enter values for the UDF associated with the Collateral Assignment Process function.
•These fields can be referred while reporting the collateral assignment transactions.
Click the Fields button at the bottom of the Collateral Assignment Process (SRDMRONL) function to open this screen.
‘User Defined Fields’ user guide can be referred for more details on the steps involved in configuring and using UDF applicable for the function.
Figure 5.40: Fields
5.3 Cash Collateral Assignment
Cash Collateral can be transferred using Collateral Assignment Process function.
•This function is used for stand-alone cash margin transfer for the selected Agreement, Portfolio or Contract
•Applicable only when Cash Collateral is allowed for the selected Agreement, Portfolio or Contract
The details that can be captured for processing Cash Collateral Assignment include,
•Margin currency, Margin Account, Margin amount to be transferred and whether it is paid or received by the bank
•Can indicate whether the cash transferred as collateral should be net settled with other cash components to be settled with the same party
•If netting is applicable, can capture the Settlement scheme for netting, settlement amount and FX rate used for converting the margin amount in margin currency to Settlement amount in settlement currency
•Settlement details (SSI) to be used for funds transfer, as agreed with the collateral party
User can view the details for,
•Margin Account currency and branch
•Margin calculated and the current balance in the Margin account
Click the Cash tab of the Collateral Assignment Process (SRDMRONL) function to initiate cash collateral assignment
Figure 5.41: Collateral Assignment Process - Cash
The following table describes the fields captured to initiate a Cash Collateral Assignment.
* Indicates mandatory fields.
Table 5.28: Collateral Assignment Process - Cash
|
Field |
Description |
|---|---|
|
Margin Currency |
Displays the currency in which the margin required is calculated for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Displays the Portfolio Currency or Contract Currency by default, if no margin calculation rule is defined for the selected Portfolio or Contract |
|
Margin Calculated |
Displays the maximum cash Margin calculated in Margin Currency, for the exposure determined as of the Process Date, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Example: Margin Calculated = USD 34,212.50 •Applicable, only if Margin Calculation is performed internally in OBTR •Otherwise, this field is blank |
|
Margin Account |
Select the Margin Account to which the cash margin is transferred, for the selected Margin Type. •This field is mandatory for cash collateral assignment transaction •This field cannot be amended after saving the collateral assignment transaction •Only those Margin Accounts configured for the selected Margin Type and Agreement or Portfolio or Contract is displayed for selection |
|
Account Branch |
Displays the branch to which the selected Margin Account belongs to. •Can be different from the branch to which the user has logged in |
|
Account Balance |
Displays the current balance in the Margin Account before this collateral assignment transaction. •Amount displayed is positive when the account has a Debit balance, implying that the bank has deposited the margin with the collateral party •Example: Margin Balance (Dr) = USD 38,000 •Amount displayed is negative when the account has a Credit balance, implying that the collateral party has deposited the margin with the bank •Example: Margin Balance (Cr) = USD -16,000 •click on ‘Refresh Balance’ button to update the current balance displayed |
|
Settlement Details |
Group of fields to capture the details for cash margin amount to be settled. |
|
Account Currency |
Displays the currency of the selected Margin Account. •Example: Account CCY = ‘USD’ |
|
Margin Transferred |
Enter the Margin Call amount in Account CCY to be transferred as of the Settlement Date, for the selected Margin Type. •This field is mandatory for cash collateral assignment transaction •Displays the absolute value of the difference between the Margin Calculated and Account Balance, by default •Example: Margin Transferred = ABS(Account Balance - Margin Calculated) = ABS(38,000 - 34,212.50) = USD 3,787.50 •However, User can edit the amount for margin transferred if required to match the margin call amount agreed with the collateral party •This field cannot be modified after first authorization of the collateral assignment transaction |
|
Pay / Receive |
Select the direction of the Margin Call to be transferred. •This field is mandatory for cash collateral assignment transaction •Based on sign of the difference between the Margin Calculated and Account Balance •Set to ‘Pay’, if Account Balance > Margin Calculated •Set to ‘Receive’, if Account Balance < Margin Calculated •Example: When Account Balance = 38,000 and Margin Calculated = 34,212.50, then Pay / Receive is set to ‘Receive’ •However, User can select ‘Pay’ or ‘Receive’ based on the margin amount transferred as agreed with the collateral party •This field cannot be modified after first authorization of the collateral assignment transaction |
|
Net Cash |
Indicate whether the cash margin transferred should be net settled with other cash components to be settled with the same party. •If checked, then cash margin transferred would be marked for net settlement •Margin Account is debited / credited against the Scheme GL configured for the settlement scheme •If checked, then cash margin transferred is settled individually •Margin Account is debited / credited against the Nostro account configured for the SSI selected •This field cannot be modified after first authorization of the collateral assignment transaction •By default, displays the preference defined for the selected Margin Type and Agreement or Portfolio or Contract |
|
Settlement Scheme |
Select the Settlement Scheme for which pre-netting is initiated. •Applicable and mandatory, only if ‘Net Cash’ is checked •Only those active schemes with the selected party and available for the current branch, is displayed for selection •This field cannot be modified after first authorization of the collateral assignment transaction |
|
Settlement Currency |
Displays the currency of the settlement scheme selected, in which the settlement happens. •Set to Account Currency, if ‘Net Cash’ is unchecked |
|
Settlement Amount |
Displays the Margin Call amount to be transferred in Settlement Currency. •This field is mandatory for cash collateral assignment transaction •When Account Currency is different from the Settlement Currency, then Margin Transferred is converted to Settlement Amount using the Fx Rate •Example: Settlement Amount = Margin Transferred * Fx Rate = 3,787.50 * 0.79 = GBP 2,992.13 •When Account Currency is same as the Settlement Currency, then Settlement Amount = Margin Transferred |
|
Fx Rate |
Enter the exchange rate to be used when Account Currency is different from the Settlement Currency of the Scheme. •This field is mandatory for cash collateral assignment transaction •Example: If Account currency = ‘USD’ and Settlement currency = ‘GBP’, then Fx Rate = 0.79 •When Account currency is same as the Settlement Currency, then Fx Rate = 1 •This field cannot be modified after first authorization of the collateral assignment transaction |
Click the Refresh Balance button to update the Cash tab’s current margin account balance automatically.
User can view the SSI used for settling cash margin transferred for the collateral assignment transaction.
•Can view the settlement Account and Party details for each cash component associated with the transaction
•Applicable, only when ‘Net Cash’ is unchecked and cash margin transferred for this transaction is individually settled using the SSI selected
SWIFT messages for settlement can be generated few days in advance according to the settlement days configured for the currency of settlement and the configuration for the events in the margin product.
Click the Settlement button at the bottom of the Collateral Assignment Process (SRDMRONL) function to open this screen.
‘Settlements’ user guide can be referred for more details on Settlement details and SGEN event.
Figure 5.42: Settlement Details
5.4 Securities Collateral Assignment
Securities Collateral can be transferred using ‘Collateral Assignment Process’ function.
•This function is used for stand-alone securities margin transfer for the selected Agreement, Portfolio or Contract
•Applicable only when Securities Collateral is allowed for the selected Agreement, Portfolio or Contract
The details that can be captured for processing Securities Collateral Assignment include,
•Securities that are transferred as part of this collateral transaction
•Quantity of each security, the price considered for valuing the security and Haircut applied
•Portfolio and Custodial (SKL) details for transferring the security
•Can specify whether the securities collateral assigned as part of this transaction should be transferred individually or netted with other securities collateral or market transactions
•Settlement Parties to be used as intermediaries for delivery Securities, as agreed with the collateral party
The following details are displayed for each security transferred.
•Accrued interest, Nominal, Premium / Discount automatically calculated using quantity and price input for the security
•Collateral value calculated after applying hair cut applicable for the security
•Important attributes and quotation preferences defined for the security master
User can view the details for,
•Margin currency, Margin calculated and current balance of security collateral already available for the selected Agreement or Portfolio or Contract
•Value of security collateral transferred as part this transaction
•Block deal or Security deal created for transferring the security provided as collateral, while querying the collateral assignment transaction
Click the Securities tab of the Collateral Assignment Process (SRDMRONL) function to initiate securities collateral assignment
Figure 5.43: Collateral Assignment Process - Securities
The following table describes the fields captured to initiate a Securities Collateral Assignment.
* Indicates mandatory fields.
Table 5.29: Collateral Assignment Process - Securities
|
Field |
Description |
|---|---|
|
Margin Currency |
Displays the currency in which the margin required is calculated for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Displays the Portfolio Currency or Contract Currency by default, if no margin calculation rule is defined for the selected Portfolio or Contract |
|
Margin Calculated |
Displays the maximum securities Margin calculated in Margin Currency, for the exposure determined as of the Process Date, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. •Example: Margin Calculated = USD 38,237.50 •Applicable, only if Margin Calculation is performed internally in OBTR •Otherwise, this field is blank |
|
Collateral Balance |
Displays the balance of security collateral already available for the selected Agreement or Portfolio or Contract, before this collateral assignment transaction. •Amount displayed is positive when the bank has deposited the securities as collateral •Example: Collateral Balance = USD 32,000 •Amount displayed is negative when the collateral party has deposited the securities as collateral •Example: Collateral Balance = USD -28,000 •User can click on ‘Refresh Balance’ button to update the current balance displayed |
|
Collateral Transferred |
Displays the value of all the securities assigned as collateral for this transaction. •Displays the net value of the Collateral Value calculated for each security transferred for this transaction |
|
Net Securities |
Indicate whether the securities transferred as collateral should be net settled with other securities to be settled with the same party through the same SK Location. •If checked, then securities transactions created for collateral transfer are marked for net settlement •One securities delivery instruction is generated for the net quantity of the same security across multiple transactions •If checked, then securities transactions created for collateral transfer are settled individually •Securities delivery instruction is generated individually for each securities transaction created •This field cannot be modified after first authorization of the collateral assignment transaction •By default, displays the preference defined for the selected Margin Type and Agreement or Portfolio or Contract |
|
Collateral Details |
Group of fields to capture the details for securities to be transferred as collateral. |
|
Pay / Receive |
Select the direction of the Securities collateral transfer. •Select ‘Pay’, •when bank is transferring collateral to counterparty as ‘Pledgor’ •when bank is returning collateral given by counterparty as ‘Receiver’ •Select ‘Receive’, •when bank is receiving back the collateral transferred earlier to counterparty as ‘Pledgor’ •when bank is receiving collateral from counterparty as ‘Receiver’ •This field cannot be modified after saving the collateral assignment transaction |
|
Security Id |
Select the Security to be transferred as collateral. •Only those Securities approved as eligible for the selected Margin Type and Agreement or Portfolio or Contract is displayed for selection •When the transaction is for returning the collateral, only those Securities transferred earlier as collateral is displayed for selection |
|
Quote By |
Displays the Quantity quotation method followed for the security. •Can be ‘Nominal’, indicating that the value entered by user for ‘Quantity’ = Unit Face Value * Number of Units of the Security transferred •Can be ‘Units’, indicating that the value entered by user for ‘Quantity’ = Number of Units of the Security transferred •Method configured for the Security instrument is set by default |
|
Quantity |
Enter the quantum of the selected Security to be transferred as collateral. •Entered as the total Nominal Value or Number of Units based on the ‘Quote By’ displayed •Example: USD 100,000, when Quote By is ‘Nominal’ |
|
Price Quotation |
Displays the Price quotation method followed for the security. •Can be ‘Price’, indicating that the value entered for ‘Input Price’ = Unit Face Value ñ Premium or Discount + Accrued Interest (if the Interest Quotation method is Flat) •Can be ‘Percentage Price’, indicating that the value entered for ‘Input Price’ = (Market price / Face value) * 100 •Can be ‘Premium’, indicating that the value entered for ‘Input Price’ = (Market Price – Face Value) •Can be ‘Percentage Premium’, indicating that the value entered for ‘Input Price’ = (Market Price – Face Value) * 100 / Face Value •Can be ‘Yield to Maturity’, indicating that the value entered for ‘Input Price’ = Yield calculated using Market Price •Method configured for the Security instrument is set by default |
|
Input Price |
Enter the price used for calculating the value of the selected Security to be transferred as collateral. •Entered based on the ‘Price Quotation’ displayed •Example: 98.25 %, when Price Quotation is ‘% Price’ |
|
Accrued Interest |
Displays the interest accrued for the Security, from the previous coupon date till the settlement date of the collateral assignment transaction. •Blank and not applicable for Zero coupon securities •Example: USD 17,500 |
|
Total Amount |
Displays the total market value of the of the selected Security to be transferred as collateral. •Includes ‘Accrued Interest’, ‘Include Interest’ is checked •Example: Total Amount = (Quantity * Input Price)+Accrued Interest = (100,000 * (98.25 / 100))+17,500 = USD 1,15,750 |
|
Hair Cut % * |
Enter the Hair cut to be applied on the market value to arrive at the collateral value of the selected Security. •Captured as a % reduction of the market value of the Security •By default, displays the preference defined for the selected Margin Type, Security and Agreement or Portfolio or Contract •Example: 5% |
|
Include Interest |
Indicate whether Accrued Interest should be considered for calculating the collateral value for the selected Security to be transferred as collateral. •Unchecked by default |
|
Collateral Value |
Displays the Collateral value calculated by applying the Hair cut specified on the market value of the selected Security. •Example: Collateral Value = Total Amount * (100-Hair Cut %) / 100 = 1,15,750 * (100-5) / 100 = USD 1,09,962.50 |
|
Portfolio Id |
Select the Market Portfolio from which the selected Security is transferred as collateral. •Applicable and Mandatory only, •when bank, as ‘Pledgor’, is transferring collateral to counterparty •when bank, as ‘Receiver’, prefers to reuse the collateral given by counterparty |
|
SK Location |
Select the SK Location linked to the selected Market Portfolio, from where the selected Security is transferred as collateral. •Applicable and mandatory, only when the Portfolio is selected |
|
SK Account |
Select the SK Account of the selected SK Location and linked to the selected Market Portfolio, from where the selected Security is transferred as collateral. •Applicable and mandatory, only when Portfolio and SK Location are selected |
|
Settlement SKL |
Select the Settlement SKL through which selected collateral security would be settled. •By default, is set to the Settlement SKL linked to the market of issue of the selected Security |
|
Collateral Portfolio |
Select the Collateral Portfolio in which the security transferred as collateral is tracked. •Applicable and Mandatory only, •when bank, as ‘Pledgor’, prefers to track the collateral transferred to counterparty in a separate collateral portfolio •when bank, as ‘Receiver’, tracks the collateral given by counterparty in a separate collateral portfolio •Only those Collateral portfolios applicable for the selected Margin Type and Agreement or Portfolio or Contract is displayed for selection |
|
Collateral SK Location |
Select the Collateral SK Location linked to the selected Collateral Portfolio, where the Security transferred as collateral is tracked. •Applicable and mandatory, only when the Collateral Portfolio is selected |
|
Collateral SK Account |
Select the Collateral SK Account of the selected Collateral SK Location and linked to the selected Collateral Portfolio, where the Security transferred as collateral would be tracked. •Applicable and mandatory, only when Collateral Portfolio and Collateral SK Location are selected |
|
Available Position |
Displays the position available for transfer in the selected security, portfolio and SK location. |
|
Deal Type |
Displays the type of the security deal created for transferring the selected security as collateral with the collateral party. •Can be ‘BLCK’, when the collateral security is just blocked in the bank’s portfolio and continue to appear in bank’s books •Can be ‘BBCS’, when the collateral security is received by the and tracked in a collateral portfolio •Can be ‘BSCB’, when the collateral security is returned by the and transferred out of collateral portfolio |
|
Deal Reference |
Displays the contract reference of the security deal created for transferring the selected security as collateral with the collateral party. |
|
Internal Deal Type |
Displays the type of the internal security deal created for transferring the selected security from market portfolio to collateral portfolio. |
|
Internal Deal Reference |
Displays the contract reference of the internal security deal created for transferring the selected security from market portfolio to collateral portfolio. |
|
Deal Version |
Displays the current version of the Security deal created for transferring the selected Security as collateral. |
|
Series |
Select the Series of the Security to be transferred as collateral. •When series are not defined for the security or any series of the selected security can be delivered as collateral, is blank. |
|
Security Form |
Displays the format in which security is issued and traded. |
|
Interest Quotation |
Displays the Interest quotation method followed for the security. •Can be ‘Flat’, indicating that the value entered by user for ‘Input Price’ is Dirty price and includes accrued interest per unit •Can be ‘Plus Accrued’, indicating that the value entered by user for ‘Input Price’ is Clean price and does not include accrued interest per unit •Method configured for the selected Security instrument is set by default |
|
Security Currency |
Displays the currency of the selected Security. |
|
Face Value |
Displays the current face value of the selected Security. |
|
Deal Quantity |
Displays the number of units of the selected Security that is transferred as collateral. |
|
Nominal Amount |
Displays the total Nominal Value, in Security Currency, of the selected Security that is transferred as collateral. |
|
Premium |
Displays the Premium amount, in Security Currency, considered in addition to the nominal amount, to arrive at the market value of the selected Security. |
|
Discount |
Displays the Discount amount, in Security Currency, considered as rebate from the nominal amount, to arrive at the market value of the selected Security. |
|
Fx Rate |
Displays the exchange rate to be used for calculating the Collateral value, when Security Currency is different from the Margin Currency. •Example: If Security ccy = ‘USD’ and Margin currency = ‘GBP’, then Fx Rate = 0.79 •When Account CCY is same as the Settlement Currency, then Fx Rate = 1 |
On click of Check Availability button, system automatically checks the available balance in the Security as of the Settlement Date in the selected Portfolio and SK Location.
User can view the different intermediary parties that are used for a securities collateral assignment transaction, to deliver the security collateral.
Click the Parties button at the bottom of the Collateral Assignment Process (SRDMRONL) function to open this screen.
‘Securities’ user guide can be referred for more details on securities delivery Parties for a transaction.
Figure 5.44: Party Details
For the collateral assignment transactions initiated or modified, another user (checker) different from the user who initiated (maker) should verify the details, as a cross-checking mechanism, and click Authorize button at the top of the screen.
•Auto authorization can be enabled for this function
Figure 5.45: Collateral Assignment Process Authorization
Checker should enter the correct values for the Rekey fields to ensure that the user is authorizing the intended transaction. Re-key fields applicable for the Collateral Assignment transaction are configured for the margin product.
The following table describes the fields available as Re-key fields for Collateral Assignment transaction. For those fields that are not configured for re-key in the margin product, the respective value selected for the fields are displayed.
Table 5.30: Collateral Assignment Process Authorization
|
Fields |
Description |
|---|---|
|
Contract/Agreement |
Enter the Agreement or Portfolio or Contract for which the collateral is assigned through this transaction. |
|
Margin Code |
Enter the Margin code selected for the collateral assignment transaction. |
|
Party Id |
Enter the Party to whom the collateral is assigned through this transaction. |
|
Security Id |
Enter the Security transferred as collateral for this transaction. •When multiple securities are transferred, any one of the security ids should be entered |
|
Portfolio Id |
Enter the Market Portfolio from which the security is transferred as collateral for this transaction. •When multiple securities are transferred using different portfolios, user should enter the portfolio used for the security id entered as re-key |
|
Nominal / Units |
Enter the quantum of the Security transferred as collateral for this transaction. •When multiple securities are transferred, user should enter the quantum of the security id entered as re-key •Value entered can be ‘Nominal’ or ‘Quantity’ based on the Quote type selected while booking the transaction |
|
Margin Account |
Enter the Margin Account to which the collateral is transferred through this transaction. |
|
Account Currency |
Enter the currency of the Margin Account selected for the transaction. |
|
Settlement Amount |
Enter the collateral amount settled for the transaction. |
5.6 Collateral Assignment Summary
User can view the list of Collateral Assignment transactions created so far, using ‘Collateral Assignment Summary’ function.
•User can select the values for different fields available for filtering / searching the transactions.
•User can Reset and Clear all the values selected for the search fields.
•User can specify values for additional fields for refining the search by clicking on Advanced Search button.
5.6.1 Collateral Assignment Summary screen
Context:
You can view the summary details maintained using the Collateral Assignment Summary screen.
1.On the Homepage, type SRSMRONL in the text box, and click the next arrow.
Step Result: Collateral Assignment Summary screen is displayed.
Figure 5.46: Collateral Assignment Summary
2.On the Collateral Assignment Summary screen, specify the details as required.
In the above screen, you can base your queries by inputting any or all of the parameters and fetch records.
3.Click the Search button to view the details.