8 List of Margin Calculation Fields

List of Fields

The following table describes the fields displayed for Margin calculation and explains with example, how exposure and margin are calculated.

Table 8-1 Margin Calculation Fields

Field	Description
Margin Calculation Rule Setup	Below are the group of fields for which a unique margin calculation rule can be defined. Rule is a predefined set of preferences to be used for determining exposure and for calculating margin required for that exposure For all the contracts satisfying the values configured for the below group of fields, the same rule is used for margin calculation
Module	Displays the Module of the transactions group for which a unique calculation rule setup is available. Displays ‘ALL’ by default, if Calculation Type is ‘External’ or if no margin calculation rule is defined for the group of transactions, belonging to specific modules
Product	Displays the Product of the transactions group for which a unique calculation rule setup is available. ‘Instrument Products’ are displayed for the modules, in which instruments can be defined separately. These modules are: Securities, Exchange Traded Derivatives and Credit Derivatives ‘Deal Products’ are displayed for all the other modules Displays ‘ALL’ by default, if Calculation Type is ‘External’ or if no margin calculation rule is defined for the group of transactions, belonging to specific products
Instrument	Displays the Instrument of the transactions group for which a unique calculation rule setup is available. Displays ‘ALL’ by default, if Calculation Type is ‘External’ or if no margin calculation rule is defined for the group of transactions, belonging to specific instruments
Portfolio	Displays the Portfolio of the transactions group for which a unique calculation rule setup is available. Displays ‘ALL’ by default, if Calculation Type is ‘External’ or if no margin calculation rule is defined for the group of transactions, belonging to specific portfolios Set to the selected Portfolio to which collateral is assigned, if Margin For selected is ‘Portfolio’
Trade Type	Displays the Trade type of the transactions group for which a unique calculation rule setup is available. ‘Exchange Traded’ is displayed for the group of transactions that are traded on an Execution Venue (or Exchange) ‘Over the Counter’ is displayed for other transaction groups Displays ‘ALL’ by default, if Calculation Type is ‘External’ or if no margin calculation rule is defined for the group of transactions
Clear Type	Displays the Clearing type of the transactions group for which a unique calculation rule setup is available. ‘Cleared’ is displayed for the group of transactions that are cleared and settled through a Clearing House (or CCP) ‘Uncleared’ is displayed for other transaction groups Displays ‘ALL’ by default, if Calculation Type is ‘External’ or if no margin calculation rule is defined for the group of transactions
Calculation Level	Displays the level at which the exposure would be aggregated for margin calculation purposes for the selected Agreement or Portfolio, for the selected Margin Type. If the level configured is ‘Agreement’, then margin is calculated on the total exposure from all transactions linked to the selected agreement If the level configured is ‘Portfolio / Product’, then margin is calculated on the total exposure from the group of transactions belonging to each Portfolio or deal Product is scope of the collateral assignment If the level configured is ‘Trade’, then margin is calculated for exposure from each contract individually Displays ‘Trade’ by default, if Margin Type selected is ‘Variation Margin’ or if no margin calculation rule is defined for the selected Portfolio
Calculation Type	Displays where the margin required is calculated for the selected Agreement or Portfolio, for the selected Margin Type. If configured as ‘Internal’, then margin is calculated internally in Oracle Banking Treasury Management application If configured as ‘External’, then margin required is calculated and received from an external system through interface Displays ‘Internal’ by default, if Margin Type selected is ‘Variation Margin’ and mark to market revaluation calculated in OBTR is considered as the variation margin required Displays ‘External’ by default, if no margin calculation rule is defined or if Calculation Setup is ‘External’
Calculation Method	Displays the method that is used for calculating margin required for the selected Agreement or Portfolio, for the selected Margin Type. Can be ‘Standard Rate(%)’ or ‘Flat Amount’ as configured, if Calculation Type is ‘Internal’ Can be ‘SPAN', 'SIMM', 'GRID', ‘Standard Rate(%)’ or ‘Flat Amount’ as configured, if Calculation Type is ‘External’ Displays ‘Standard Rate(%)’ by default, if no margin calculation rule is defined Blank and not applicable, if Margin Type selected is ‘Variation Margin’ or if Calculation Type is ‘External’
Exposure Type	Displays the amount to be considered as exposure for calculating margin required for the selected Agreement or Portfolio, for the selected Margin Type. If configured as ‘Market Value’, then current market value or market price * quantity or contract fair value (as applicable) is considered as the exposure of the contract If configured ‘Principal’, then the current principal or notional or deal value or deal nominal amount (as applicable) is considered as the exposure of the contract If ‘Maturity Amount’ is selected, then the settlement amount or principal + interest or notional + interest as on the maturity date (as applicable) is considered as the exposure of the contract If ‘Contract Value’ is selected, then the deal value or principal or net consideration or deal price * quantity or deal premium (as applicable) is considered as the exposure of the contract 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’
Offsetting Allowed	Displays whether exposure booked in opposite directions within the same transactions group can be offset, to arrive at the net exposure for margin calculation purposes for the selected Agreement or Portfolio, for the selected Margin Type. If configured as ‘Not Allowed’, then the exposure in opposite directions is considered as absolute exposures and added together without considering the direction Example: For a Long 10,000 and Short 7,000, Net Exposure = 17,000 If configured as ‘Product’, then exposures from all the transactions in a Product is netted together considering the direction Example: For a Long 10,000 and Short 7,000 in the same product, Net Exposure = 3,000 If configured as ‘Position’, then exposures from all the transactions with the same Instrument and Portfolio is netted together considering the direction If ‘Risk Type’ is selected, then exposures from all the transactions with the same Risk type is netted together considering the direction If ‘Module’ is selected, then exposures from all the transactions in the same Module is netted together considering the direction Displays ‘Module’ by default, if no margin calculation rule is defined for the selected Portfolio Blank and not applicable, if Margin Type selected is ‘Variation Margin’ if Calculation Method configured is ‘Flat Amount’ if Calculation Level selected is ‘Trade’
Total Exposure	Displays the total exposure after offsetting (as applicable) for the group of transactions belonging to the selected Agreement or Portfolio, for the selected Margin Type. Exposure in different currencies is converted to the Exposure currency equivalent, using the applicable FX Rates, for arriving at the Exposure Amount for each contract before aggregating for total exposure
Multiplication Factor	Displays the configured multiplication factor to be used for arriving at the adjusted exposure considered for margin calculation purposes for the group of transactions belonging to the selected Agreement or Portfolio, for the selected Margin Type. Factor may depend on many parameters like the risk type of the exposure, etc. Adjusted Exposure = Total Exposure (after offsetting) * Multiplication Factor Example: If the Total exposure determined for the group of transactions is 250,000 and with multiplication factor 0.65, Adjusted Exposure = 250,000 * 0.46 = 115,000 Displays ‘1’ by default, if no margin calculation rule is defined for the group of transactions Blank and not applicable, if Margin Type selected is ‘Variation Margin’ or if Calculation Method is ‘Flat Amount’ or if Calculation Type is ‘External’
Margin Applicable	Displays the configured margin as flat amount or % of the final exposure to calculate the margin required for the group of transactions belonging to the selected Agreement or Portfolio, for the selected Margin Type. If Calculation Method configured is ‘Standard Rate(%)’, then Margin Required = Adjusted Exposure * Margin Applicable /100 Example: If Adjusted Exposure = 115,000 and with margin applicable = 35%, Margin Required = 115,000 * 35/100 = 40,250 If Calculation Method configured is ‘Flat Amount’, then Margin Required = Margin Applicable Example: If Margin Applicable = 35,000, Margin Required = 35,000 Displays ‘100%’ by default, if no margin calculation rule is defined for the group of transactions Blank and not applicable, if Margin Type selected is ‘Variation Margin’ or if Calculation Type is ‘External’
Net Exposure Amount	Displays the calculated Net Exposure determined as of the Event Date, for the Agreement or Portfolio selected for Collateral Assignment, for the selected Margin Type. Net Exposure Amount is the total of individual Exposure Calculated for each group of transactions, linked to the selected Agreement or Portfolio Net Exposure Amount = SUM(Exposure Calculated)
Net Margin Required	Displays the calculated Net Margin Required for the exposure determined as of the Event Date, for the Agreement or Portfolio selected for Collateral Assignment, for the selected Margin Type. Net Margin Required is the total of individual Margin Required calculated for each group of transactions, linked to the selected Agreement or Portfolio Net Margin Required = SUM(Margin Required) Blank and not applicable, if Calculation Type is ‘External’
Margin Account	Displays the selected Cash Margin Account to which Margin is transferred. Blank and not applicable, if Collateral Type selected is ‘Securities’
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.
Portfolio	Displays the Portfolio of the contract. Displayed only for the modules, in which instruments can be defined separately. Blank for all the other modules.
Trade Type	Displays whether the contract is traded on an execution venue, based on the value specified for ‘Traded On’ field in Linkages sub system while booking the contract. ‘Exchange Traded’ is displayed, if the contract is traded on an Execution Venue (or Exchange) ‘Over the Counter’ is displayed otherwise
Clear Type	Displays whether the contract is cleared through a third party, based on the value specified for ‘To be Cleared’ field in Linkages sub system while booking the contract. ‘Cleared’ is displayed, if the contract is cleared and settled through a Clearing House (or CCP) ‘Uncleared’ is displayed otherwise
Deal Type	Displays the deal type of the contract, as selected in Collateral-Netting sub system while booking the contract.
Contract Reference	Displays the User Reference of the contract.
Value Date	Displays the Value Date of the contract.
Exposure Amount	Displays the Exposure determined as of the Event Date, for the contract. Can be Contract Value or Market Value or Principal or Maturity Amount of the contract, according to the ‘Exposure Type’ configured for the applicable calculation rule If Contract Currency is different from the Exposure currency, amount in contract currency is converted to the Exposure currency equivalent, using the applicable Exposure FX Rate, for arriving at the Exposure Amount for margin calculation purposes Example: If Exposure type = ‘Market Value’, Exposure Amount = Market Value * Exposure FX Rate Exposure Amount = (238,095 * 1.05) = 250,000
Exposure FX Rate	Displays the exchange rate used for converting the exposure amount in contract currency to exposure currency. Example: If Exposure ccy = ‘USD’ and Contract ccy = EUR, FX Rate = 1.05
Profit-Loss	Displays the difference between the Market Value and Contract Value.Displays the realized profit-loss, if the position is already closed or matched
Profit-Loss Event	Displays the accounting event triggered for posting the accounting entries for the profit-loss.
Contract Ccy	Displays the Currency of the contract amount. If module is ‘Foreign Exchange’, then displays the Other currency of the currency pair of the contract. Example: EUR
Contract Value	Displays the Contract amount in contract ccy. Can be the Deal Value or (deal price * quantity) or Principal or Notional or Deal premium or Net consideration, as applicable for the deal type
Market Value	Displays the current Market value of the contract in contract ccy. Can be (market price * quantity) or Contract fair value or Outstanding Principal, as applicable for the deal type. Displays the closing contract value, if the position is already closed or matched
Principal	Displays the Principal amount in contract ccy. Can be the current Principal or Notional or Deal Nominal or Deal Value, as applicable for the deal type
Maturity Amount	Displays the Settlement amount in contract ccy.Can be the expected Settlement amount or (Principal + Interest) or (Notional + Interest) as on the maturity date, as applicable for the deal type.