2.8.5 Collateral – Calculation Preferences

User can define the collateral calculation preferences for each margin code defined for the agreement. These preferences need to be defined only if Margin Calculation selected for the margin code is ‘Agreement’.

• Can select multiple products and transaction types for which the margin code is applicable
• Can define the calculation preferences applicable for each product and transaction type selected

Click the Calculation button at the bottom of the Collateral tab in the Treasury Master Agreement Maintenance screen to open this screen.

Figure 2-23 Treasury Master Agreement Maintenance – Calculation

Description of "Figure 2-23 Treasury Master Agreement Maintenance – Calculation"

The following table describes the fields captured for collateral calculation preferences for the agreement.

* indicates mandatory fields.

Table 2-12 Treasury Master Agreement Maintenance – Calculation

Field	Description
Agreement Code	Displays the code of the Agreement selected.
Margin Type	Displays the margin type of the Margin code selected.
Margin Code	Displays the code of the Margin selected.
Calculation Rules	Group of fields to capture the rules to be used for calculating margin required, for different products and transaction types for which the margin code is applicable. Multiple products and transaction types can be selected, by clicking on the ‘+’ button The selected product and transaction type record can be removed by clicking on the ‘-’ button
Module Code	Select the Module for which this calculation rule setup is applicable, for the margin code. This field cannot be amended after authorization of the agreement Only those modules, that are selected for the agreement is displayed If ‘Agreement’ is selected for Margin Calculation, then at least one default calculation rule should be defined for each module selected for the agreement
Product	Select the Product, in the selected Module, for which this calculation rule setup is applicable, for the margin code. This field cannot be amended after authorization of the agreement ‘Instrument Products’ is listed for the modules, in which instruments can be defined separately. These modules are: Securities, Exchange Traded Derivatives and Credit Derivatives ‘Deal Products’ is listed for all the other modules One default setup with ‘ALL’ should be defined for each module selected for the agreement One default setup with Product as ‘ALL’ should be defined for each module selected for the agreement This field is set to ‘ALL’ by default
Trade Type	Select the type of transactions for which this calculation rule setup is used, for the margin code, based on where the transaction is traded. This field cannot be amended after authorization of the agreement This field is set to ‘Exchange Traded’ by default and disabled, if the module selected is ‘Exchange Traded Derivatives’ For other modules, ‘Over the Counter’ is set by default but user can select ‘Exchange Traded’ if applicable for the product
Clear Type	Select the type of transactions for which this calculation rule setup is used, for the margin code, based on how the transaction is settled. This field cannot be amended after authorization of the agreement This field is set to ‘Cleared’ by default and disabled, if the Trade Type selected is ‘Exchange Traded’ For other Trade Types, ‘Uncleared’ is set by default but user can select ‘Cleared’ if applicable for the product
Rule Type	Select the type of this calculation rule setup, based on the type of the publisher of the rule, for the margin code. This field cannot be amended after authorization of the agreement This field is set to ‘Counter party’ by default if the Trade Type selected is ‘Over the Counter’
Rule Purpose	Select the purpose for which this calculation rule setup is used, for the margin code. This field cannot be amended after authorization of the agreement This field is set to ‘Margin Call’ by default if the Rule Type selected is not ‘Internal’
Calculation Preferences	Group of fields to capture the preferences to be used for calculating margin required for this margin code, for the transactions in scope of this calculation rule. Amendments to the value of any of these fields is applied only for the subsequent margin calls for the selected margin code and transaction type Any adjustments to margin calls already exchanged would need to be operationally handled by the bank
Approach	Select the approach to be followed for posting margin call for this margin code, for the transactions in scope of this calculation rule. User can select ‘Segregated’ or ‘Un-segregated’ approaches only if Margin Type of the margin code is not ‘Independent Amount (IA)’ User can select ‘Distinct’, ‘Allocated’ or ‘Greater’ approaches only if Margin Type is ‘Independent Amount (IA)’ This field is set to ‘Distinct’ by default, if margin type is IA for the margin code selected This field is set to ‘Un-segregated’ by default, for other margin types
Calculation Level	Select the level at which the exposure should be aggregated for margin calculation for this margin code, for the transactions in scope of this calculation rule. This field is disabled and not applicable, if Margin Type of the margin code is ‘Variation Margin’ This field is set to ‘Agreement’ by default
Calculation Type	Select where the margin required is calculated for this margin code, for the transactions in scope of this calculation rule. This field is disabled and not applicable, if Margin Type of the margin code is ‘Variation Margin’ This field is set to ‘External’ by default
Calculation Method	Select the method that is used for calculating margin for this margin code, for the transactions in scope of this calculation rule. This field is disabled and not applicable, if Margin Type of the margin code is ‘Variation Margin’ This field is set to ‘Standard Rate(%)’ by default
Applied From	Select the date from which margin call is triggered for this margin code, for the transactions in scope of this calculation rule. ‘Trade Date’ is set by default, if not specified
Exposure Type	Select the amount to be considered as exposure for this margin code for the transactions in scope of this calculation rule. This field is disabled and not applicable, if Margin Type of the margin code is ‘Variation Margin’ or if Calculation Method selected is ‘Flat Amount’ ‘Principal’ is set by default, if not specified
Offsetting Allowed	Select whether exposure booked in opposite directions within the same group can be offset, to arrive at the net exposure for margin calculation purposes for this margin code. This field is disabled and not applicable, if Margin Type of this margin code is ‘Variation Margin’ or if Calculation Method selected is ‘Flat Amount’ or if Calculation Level selected is ‘Trade’ ‘Module’ is set by default, if not specified
Multiplication Factor	Specify the multiplication factor (if applicable) to be used for arriving at the adjusted exposure considered for margin calculation purposes for this margin code. This field is disabled and not applicable, if Margin Type of this margin code is ‘Variation Margin’ or if Calculation Method selected is ‘Flat Amount’ Factor may depend on many parameters like the risk type of the exposure, etc. ‘1’ is set by default, if not specified
Margin Applicable	Specify the applicable margin as flat amount or % of the final exposure to calculate the margin required for this margin code. This field is disabled and not applicable, if Margin Type of this margin code is ‘Variation Margin’ or if Calculation Type selected is ‘External’ if not specified, ‘0’ is set by default resulting in no margin required
Threshold Amount	Specify the maximum amount for margin required above which margin call would be mandatorily triggered for this margin code. This field is disabled and not applicable, if Margin Type of this margin code is ‘Variation Margin’ or if Calculation Method selected is ‘Flat Amount’ or if Calculation Type selected is ‘External’ If not specified, ‘0’ is set by default implying margin call would be triggered always irrespective of the Margin Required amount
Minimum Transfer Amount	Specify the minimum amount that should be transferred for each margin call for this margin code, even if the calculated margin amount is lesser. This field is disabled and not applicable, if Margin Type of this margin code is ‘Variation Margin’ If not specified, ‘0’ is set by default resulting in Margin Transferred = Margin Required
Minimum Cash %	Specify the minimum % of the margin required that should be provided as cash or deposits, for this margin code. Can be >= 0 and < 100 If not specified, ‘0’ is set by default (100-Minimum Cash%) is considered as the maximum % of the margin required that can be provided as Securities
Maximum Cash %	Specify the maximum % of the margin required that can be provided as cash or deposits, for this margin code. Can be > 0 and <= 100 If not specified, ‘100’ is set by default (100-Maximum Cash%) is considered as the minimum % of the margin required that should be provided as Securities

Please refer Glossary of Margin Calculation Fields for more details about the fields used for Margin Calculation in various functions applicable for collateral assignment processes.