2.10.1 Reverse Repo Process

• On Booking a Reverse Repo deal, the received securities details captured in Reverse Repo Sub System are moved from counterparty to banks’ collateral portfolio. At save of Reverse Repo contract, system auto - generates an SE deal with Bank Buy Customer Sell combination (Bank Buy Customer Sell BBCS deal product mapped at reverser repo product is used for deal booking).
• User can view the Bank Buy Deal details using the linked deal details subsystem. Once the user clicks, the deal reference, the user can view the MT5x messages from repo contract online screen.
• System will accrue the coupon in collateral portfolio for the securities received as part of reverse repo. On Coupon schedule date Bank will receive coupon in collateral portfolio from custodian and the same is transferred back to reverse repo counterparty.
• Coupon transfer will generate MT202 message.
• The User can view the message from Manual corporate action screen.

Settlement Parties information default happens for the multiple portfolio maintained during creation. During creation of SR Reverse Repo deal, settlement parties default happens for the combination of counterparty, market code and settlement SKL from ‘Settlement Parties Maintenance’ screen.

The system defaults the party type DEAG, REAG, BUYR, SELL and PSET in the ‘Parties’ sub-screen. SE Buy Deal is linked to the SR Reverse Repo contract post authorization.The Linked SE Buy deal has the settlement parties defaulted in the ‘Parties’ sub-screen. MT54x message is generated for the BOOK event.

On maturity of an SR Reverse Repo contract, a Bank Sell SE deal gets generated in the Reverse Repo sub-screen. The Bank Sell deal has the party details of REAG, BUYR and PSET. MT54x message is generated to the BOOK event of Bank Sell deal.

On liquidation of an SR Reverse Repo contract, the message type MT542/543 is generated when flag Receive vs Payment flag is toggled on or off to the linked SE Deal.

During reversal of an SR Reverse repo contract, a new SE bank sell deal is generated. The Bank Sell deal has the party details of REAG, BUYR and PSET values. MT54x message is generated to the BOOK event.

The system internally identifies the message based on the Security deal. Each Party has the information of DEAG, SELL and PSET or REAG, BUYR, PSET.

For the message SEC_SETTLEMENT maintained in ‘Security Deal Product Definition screen ‘Securities Deal Product Definition’ under BOOK event, Advices, appropriate message type are derived by the system Messages can be viewed in Securities Deal Input screen, in the BOOK event, after authorization of the deal.

During booking of SR Reverse Repo contract, the system validates that the message type MT540 or 541 is generated when flag Receive vs Payment flag is toggled on or off to the linked SE Deal.

Reverse Repo Liquidation/Reversal

• • Total quantity available in the collateral portfolio as part of reverse repo deal (Initial received collateral and securities paid or received as part of margin call) is netted and moved back to counterparty by a bank sell customer buy deal. The same is executed on EOD for the auto liquidated deal.
  • Cash margin paid and received are netted and settled on repo liquidation by initiating a margin call.
  • User can view the Bank Sell Deal details using the linked deal details subsystem. Once the user clicks, the deal reference, the user can view the MT5x messages from repo contract online screen.

Table 2-50 Reverse Repo Messaging

Action	RVP (Yes)	RVP (No)
Reverse Repo Booking	MT 541 and Suppress MT 202	MT540/MT202
Reverse Repo Liquidation/Cancel	MT 543 and Suppress MT 210	MT542/MT210