5.1.6 Pre-Netting for Initial Margin

User can select the list of Margin accounts, linked to the selected scheme, for which net margin transaction is initiated for the purposes of Initial Margin, Independent Amount, or any margin other than variation margin.

The details that can be captured for Initial Margin pre-netting include,

• Module, Agreement or Portfolio and Margin Type for which pre-netting is initiated
• Margin Accounts linked to the selected Scheme and Agreement or Portfolio
• Margin as per the Collateral Party’s statement
• Settlement Amount to be transferred as net margin call

User can view the details for,

• Account currency and Current balance in the Margin account
• Exchange rate to be used when Account currency is different from the Settlement Currency
• Transfer Amount and Transfer Action as Pay or Receive

On click of Load All Accounts button, all margin accounts linked to the selected scheme, module and Agreement or Portfolio (as selected) would be automatically identified. The details for the net margin required for the deals linked to each Margin account identified are automatically populated in Initial Margin tab.

• User can choose to remove the Margin accounts for which pre-netting need not be initiated as part of this transaction
• Can edit the Statement Margin for each record

Click the Initial Margin tab of the Cash-Margin Netting Initiation Process (MGDCMINI) function to open this screen

Figure 5-2 Cash-Margin Netting Initiation Process – Initial Margin

The following table describes the fields captured for initiating net margin transaction for Initial Margin.

* Indicates mandatory fields.

Table 5-2 Cash-Margin Netting Initiation Process – Initial Margin

Field	Description
Module	Displays the module of the deal(s) for which pre-netting of margin is initiated. Same as the Module (if) selected in the header This field cannot be amended after saving the pre-netting transaction
Agreement/Portfolio	Displays the Agreement or Portfolio for which pre-netting is initiated for the net margin required for the deals linked. Same as the Agreement or Portfolio (if) selected in the header This field cannot be amended after saving the pre-netting transaction Only those active Agreements with the selected party, available for the current branch, enabled for the Module and having Expiry Date >= Process date of the pre-netting, is displayed for selection Only those active portfolios for the Module, available for the current branch 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
Margin Type	Displays the Margin Type for which pre-netting is initiated for the net margin required for the exposure from the deals linked to the selected Agreement or Portfolio. This field cannot be amended after saving the pre-netting transaction Only those Margin Types configured for the selected Agreement or Portfolio is displayed for selection Can be ‘Initial Margin’ (IM), for transferring net initial margin required Can be ‘Independent Amount’ (IA), for transferring additional margin, independent of the initial margin Can be ‘Netted Margin’ (NM), for transferring net amount of all types of margin applicable for the deals linked to the selected Agreement or Portfolio Can be ‘Funding’ (DF), for transferring margin for the purposes of creating a trading limit or contributing to the default fund If not specified, sets to Initial Margin (IM) by default
Margin Code	Displays the Margin Code defined for the selected Agreement and Margin Type. This field cannot be amended after saving the pre-netting transaction Defaulted to the active Margin Code defined for the selected Margin type in the selected Agreement When Portfolio is selected, sets to same value as Margin Type
Account No	Displays the Margin Account for which pre-netting is initiated for the net margin required for the deals linked. This field cannot be amended after saving the pre-netting transaction Only those Margin Accounts Linked to the selected Scheme and configured for the selected Margin Type and Agreement or Portfolio is displayed for selection
Account CCY	Displays the currency of the selected Margin Account. Example: Account CCY = ‘USD’
Margin Balance (Dr/-Cr)	Displays the current balance in the Margin Account before this pre-netting 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 User can click on ‘Refresh Balances’ button to update the current balance displayed for all the margin accounts available in the ‘Initial Margin’ tab.
Net Margin Calculated	Displays the calculated Margin Required in Account CCY, for the exposure determined as of the Process Date, for the selected Margin Type. Displays Net Margin Required, netted for all Linked Deals having the same Initial Margin Account and linked to the selected Agreement or Portfolio Example: Net Margin Calculated = USD 42,670 Applicable, only if Margin Calculation is performed internally in OBTR Otherwise, it is blank
Statement Margin	Enter the net margin required in Account CCY as mentioned in the Collateral Party’s statement, for the selected Margin Type and Margin Account applicable for the selected Agreement or Portfolio. Example: Statement Margin = USD 42,700 If not specified, then Net Margin Calculated is set by default when Margin Calculation is performed internally in OBTR Otherwise, it is set to Zero
Settlement Amount	Displays the Net Margin Call amount in Account CCY to be transferred as of the Process Date, for the selected Margin Type. Displays the difference between the Statement Margin and (Current) Margin Balance, by default Example: Settlement Amount = Margin Balance - Statement Margin = 38,000 - 42,700 = USD - 4,700 However, User can edit the settlement amount if required to match the margin call amount as per the statement If the amount displayed is negative, then bank needs to pay the margin shortfall If the amount displayed is positive, then bank needs to receive the excess margin available
Fx Rate	Displays the exchange rate to be used when Account CCY is different from the Settlement Currency of the Scheme. Example: If Account ccy = ‘USD’ and Settlement currency = ‘GBP’, then Fx Rate = 0.79 When Account CCY is same as the Settlement Currency, then Fx Rate = 1
Transfer Amount	Displays the Net Margin Call amount to be transferred in Settlement Currency. Transfer Amount is displayed as an absolute value without sign When Account CCY is different from the Settlement Currency, then Settlement Amount is converted to Transfer Amount using the Fx Rate Example: Transfer Amount = ABS(Settlement Amount) * Fx Rate = ABS(- 4,700) * 0.79 = GBP 3,713 When Account CCY is same as the Settlement Currency, then Transfer Amount = Settlement Amount
Transfer Action	Displays the direction of the Net Margin Call to be transferred. If the Settlement amount displayed is negative, then Transfer Action is set to ‘Pay’ Example: If Settlement Amount = -4,700 then Transfer Action = ‘Pay’ If the Settlement amount displayed is positive, then Transfer Action is set to ‘Receive’
User Comments	Enter any additional comments for the net margin transfer for the selected Margin Account. A maximum of 100 characters can be entered
Netting ESN	Displays the accounting event sequence number for the accounting entries posted for the net margin transfer.

• View Linked Deals for Initial Margin