2.8.6 Collateral – Settlement Preferences

User can define the collateral settlement preferences for each margin code defined for the agreement.

• Can define the preferences for Securities collateral transfer if applicable for the selected margin code
• Can select multiple settlement schemes for Cash collateral if applicable for the selected margin code

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

Figure 2-24 Collateral Preferences

Description of "Figure 2-24 Collateral Preferences"

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

* indicates mandatory fields.

Table 2-13 Treasury Master Agreement Maintenance – Collateral Preferences

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 Margin code selected.
Securities Collateral	Group of fields to capture the preferences to be used for deciding the actions for securities collateral, for this margin code. These fields are applicable only if “Securities” collateral is allowed for this margin code
General Collateral	Indicate whether any securities can be assigned from a general collateral pool of eligible securities provided by the pledger, for this margin code This field cannot be amended after authorization of the agreement If checked, then the securities decided by the agreement party are assigned, at the end of the day, to the extent of the margin required for the transactions linked to the agreement Need not assign any specific securities, while booking the transactions If unchecked, then specific securities should be assigned separately while booking the transaction linked to this agreement Checked by default if the agreement type selected is ‘Triparty’ Unchecked by default, for other agreement types
Deliveries By Value	Indicate whether any securities can be assigned by the Triparty Agent/Third party on behalf of the pledger, from a general collateral pool of eligible securities provided by the pledger, for this margin code Applicable only if the agreement type selected is ‘Triparty’ and General Collateral is checked for this margin code This field cannot be amended after authorization of the agreement If checked, then the collateral securities assigned by the Third-party custodian at the end of the day, is automatically returned at the beginning of the next day If unchecked, then collateral assigned will not be automatically returned the next day Unchecked by default, if not specified
Collateral Method	Select the method applied for transferring securities collateral, for this margin code Can be “Title Transfer financial Collateral Arrangement (TTCA)” indicates that the ownership of the securities provided as collateral are fully transferred to the receiver hence appears in the books of the receiver as asset receiver, as holder of the securities, is entitled to collect the coupon and cannot be claimed by the pledgor securities provided as collateral can be reused or repledged by the receiver, as ownership is fully transferred Can be “Security financial Collateral Arrangement (SICA)” indicates that the ownership of the securities provided as collateral continues to be with the pledgor hence appears in the books of the pledgor as asset receiver, as holder of the securities, is entitled to collect the coupon from the issuer. However, coupon is claimed by the pledgor from the receiver securities provided as collateral cannot be reused or repledged by the receiver Can be “Security financial Collateral Arrangement with right-of-use (SIUR)” Same as SICA In addition, the receiver has the “right to reuse” the securities provided as collateral (according to agreed terms) When the receiver exercises the right to reuse, the ownership of these securities are considered as fully transferred and appears as asset in the books of the receiver (and not in the books of the pledgor) “Security financial Collateral Arrangement (SICA)” is set by default, if not specified If this field is amended after authorization, any changes to the management of collateral already transferred should be operationally handled and will not be automatically modified by the system
Maximum Distinct Securities	Enter the maximum number distinct securities that can be provided as collateral, for this margin code If not specified, then any number of different securities can be provided as collateral
Default Concentration Limit%	Enter the maximum limit as % of the total collateral value, that can be contributed by each distinct security provided as collateral, for this margin code If not specified, set to ‘100’ by default indicating that only one security can be provided for 100% of the total collateral value
Generate Dvp/Rvp	Indicate whether Dvp/Rvp messages (where applicable) should be generated for securities collateral transfer, for this margin code If checked, then DVP/RVP messages are generated for initial margin transfer during booking and liquidation of a transaction Example: Securities collateral transferred while booking a Repo contract If unchecked, then Deliver Free / Receive Free messages are generated for initial margin transfer during booking and liquidation of a transaction During independent margin calls, always Deliver Free / Receive Free messages are generated, irrespective of whether this field is checked or not If ‘Deliveries By Value’ is checked and this field is checked, then DVP/RVP messages are generated for both collateral transfer before EOD and automatic return during BOD Unchecked by default, if not specified
Claim Coupon from CP	Indicate whether coupon on securities transferred as collateral, for this margin code, to be claimed (where applicable) from agreement party. Applicable only if “Securities” collateral is allowed for this margin code and collateral method selected is ‘SICA’ or ‘SIUR’ If checked, then coupon is claimed from the receiver of the securities collateral If unchecked, then coupon cannot be claimed from the receiver of the securities collateral Checked by default if collateral method selected is ‘SICA’ or ‘SIUR’ Unchecked by default for other collateral methods
MT54x for Rate Revision	Indicate whether Securities Delivery messages should be regenerated (and sent), for this margin code, when the Interest Rate for the parent (Repo) contract is revised. If checked, then a ‘CANC’ MT54x message with the old rate and ‘NEW’ MT54x message with the new rate (for the Repo) is generated for all the Securities provided as collateral, for every Rate revision of the parent contract If unchecked, then MT54x message will not be generated for Rate revision of the parent contract Unchecked by default, if not specified
Securities Transfer	Group of fields to capture the preferences to be used for transferring securities collateral, for this margin code. These fields are applicable only if “Securities” collateral is allowed for this margin code If any of these fields are amended after authorization, any changes to the management of collateral already transferred should be operationally handled and will not be automatically modified by the system
Securities Pledged	Select how the securities pledged as collateral by the bank is treated, for this margin code. If ‘Block in Trading PF’ is selected, then the securities pledged is blocked in the bank portfolio Continue to be tracked as asset in the same bank portfolio But excluded from available holdings for selling Applicable if collateral method selected is ‘SICA’ or ‘SIUR’ A block deal is created using the Block Product selected for this margin code If ‘Move to Collateral PF’ is selected, then securities pledged is transferred from the bank portfolio to the collateral portfolio linked to the agreement and blocked in the collateral portfolio for pledging Securities is internally transferred from bank portfolio to collateral portfolio using Internal Product selected and blocked in the collateral portfolio using Block Product selected Set to ‘Move to Collateral PF’ by default, if collateral method selected is ‘TTCA’ else set to ‘Block in Trading PF’ by default
Block Product	Select the securities block product to be used to block (and release) the securities pledged as collateral by the bank, for this margin code. Block product selected for the Margin product linked to the agreement is set by default
Internal Product	Select the securities combination (BBBS) product to be used to transfer securities internally from one portfolio to another portfolio, for this margin code. Internal product selected for the Margin product linked to the agreement is set by default
Margin Pay Product	Select the securities combination (CBBS) product to be used to create securities sale transaction for the bank to transfer the securities collateral to the counterparty, for this margin code. Securities Deliver product selected for the Margin product linked to the agreement is set by default
Margin Receive Product	Select the securities combination (BBCS) product to be used to create securities purchase transaction for the bank to receive the securities collateral from the counterparty, for this margin code. Securities Receive product selected for the Margin product linked to the agreement is set by default
Receive Portfolio	Select the collateral portfolio to be used to track the securities collateral received from the counterparty, for this margin code. This field is mandatory if “Securities” collateral is allowed for this margin code
Pledge PF same as Receive PF	Indicate whether the collateral portfolio to be used to track the securities collateral pledged to the counterparty is same as the collateral portfolio to be used to track the securities collateral received from the counterparty, for this margin code. Unchecked by default
Pledge Portfolio	Select the collateral portfolio to be used to track the securities collateral pledged to the counterparty, for this margin code. This field is mandatory only if “Securities” collateral is allowed, value for Securities Pledged field is ‘Move to Collateral PF’ and ‘Pledge PF same as Receive PF’ is unchecked, for this margin code
Cash Collateral Schemes	Select the list of settlement schemes to be used for transferring cash collateral, for this margin code. These fields are applicable only if “Cash & Deposits” are allowed as collateral, for this margin code Multiple schemes can be configured for different Exposure currencies, by clicking on the ‘+’ button. The setup for an Exposure Currency can be removed by clicking on ‘-’ button At least one default scheme should be defined with Exposure Currency selected as ‘ALL’ and with Pledgor/Receiver separately selected as ‘Pledgor’ and ‘Receiver’ or selected as ‘Both’
Exposure Currency	Select the currency in which exposure is calculated for this margin code. If not specified, ‘ALL’ is set by default
Pledgor/Receiver	Indicate whether this scheme should be used for settlement when the bank acts as the collateral provider (pledgor) or receiver for the exposure in the currency selected, for this margin code. If not specified, ‘Both’ is set by default
Settlement Scheme	Select the settlement scheme through which the cash collateral is exchanged for the exposure in the selected exposure currency, for this margin code. Same settlement scheme can be used for multiple margin accounts, margin codes and agreements with the same party If the Currency of the selected Scheme is different from the Account Currency, then the cash collateral amount to be exchanged is converted into Scheme Currency equivalent, using the exchange rate preferences configured for the Settlement Scheme If this field is amended after authorization, any changes to the management of collateral already transferred should be operationally handled and will not be automatically modified by the system
Scheme Description	Displays the description of the scheme selected.
Margin Currency	Select the currency of the margin account in which cash margin required is tracked for the exposure in the selected exposure currency, for this margin code. Normally same as the margin currency selected for the margin code If the Account Currency is different from the Exposure Currency selected, then for the purposes of calculating the margin required, the exposure is converted into Account Currency equivalent, using the exchange rate preferences configured for the agreement
Margin Account	Select the cash margin account, linked to the selected settlement scheme, in which the cash collateral is tracked for the exposure in the selected exposure currency, for this margin code. Interest is calculated on this cash collateral balance, according to the configuration in the margin account If this field is amended after authorization, any changes to the management of collateral already transferred should be operationally handled and will not be automatically modified by the system
Account Description	Displays the description of the margin account selected.
Account Type	Displays the type of the margin account selected.
Default	Indicate whether the selected scheme and margin account is used by default tracking the cash collateral for any exposure in the selected exposure currency, for this margin code. Multiple schemes and margin accounts can be configured for the same exposure currency However, only one of them can be marked as default for that exposure currency