4.7.7 Securities Collateral Assignment

Securities Collateral can be transferred using ‘Collateral Assignment Process’ function.

• This function is used for stand-alone securities margin transfer for the selected Agreement, Portfolio or Contract
• Applicable only when Securities Collateral is allowed for the selected Agreement, Portfolio or Contract

The details that can be captured for processing Securities Collateral Assignment include,

• Securities that are transferred as part of this collateral transaction
• Quantity of each security, the price considered for valuing the security and Haircut applied
• Portfolio and Custodial (SKL) details for transferring the security
• Can specify whether the securities collateral assigned as part of this transaction should be transferred individually or netted with other securities collateral or market transactions
• Settlement Parties to be used as intermediaries for delivery Securities, as agreed with the collateral party

The following details are displayed for each security transferred.

• Accrued interest, Nominal, Premium / Discount automatically calculated using quantity and price input for the security
• Collateral value calculated after applying hair cut applicable for the security
• Important attributes and quotation preferences defined for the security master

User can view the details for,

• Margin currency, Margin calculated and current balance of security collateral already available for the selected Agreement or Portfolio or Contract
• Value of security collateral transferred as part this transaction
• Block deal or Security deal created for transferring the security provided as collateral, while querying the collateral assignment transaction

Click the Securities tab of the Collateral Assignment Process (SRDMRONL) function to initiate securities collateral assignment

Figure 4-8 Collateral Assignment Process - Securities

The following table describes the fields captured to initiate a Securities Collateral Assignment.

* Indicates mandatory fields.

Table 4-6 Collateral Assignment Process - Securities

Field	Description
Margin Currency	Displays the currency in which the margin required is calculated for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. Displays the Portfolio Currency or Contract Currency by default, if no margin calculation rule is defined for the selected Portfolio or Contract
Margin Calculated	Displays the maximum securities Margin calculated in Margin Currency, for the exposure determined as of the Process Date, for the Agreement or Portfolio or Contract selected for Collateral Assignment, for the selected Margin Type. Example: Margin Calculated = USD 38,237.50 Applicable, only if Margin Calculation is performed internally in OBTR Otherwise, this field is blank
Collateral Balance	Displays the balance of security collateral already available for the selected Agreement or Portfolio or Contract, before this collateral assignment transaction. Amount displayed is positive when the bank has deposited the securities as collateral Example: Collateral Balance = USD 32,000 Amount displayed is negative when the collateral party has deposited the securities as collateral Example: Collateral Balance = USD -28,000 User can click on ‘Refresh Balance’ button to update the current balance displayed
Collateral Transferred	Displays the value of all the securities assigned as collateral for this transaction. Displays the net value of the Collateral Value calculated for each security transferred for this transaction
Net Securities	Indicate whether the securities transferred as collateral should be net settled with other securities to be settled with the same party through the same SK Location. If checked, then securities transactions created for collateral transfer are marked for net settlement One securities delivery instruction is generated for the net quantity of the same security across multiple transactions If checked, then securities transactions created for collateral transfer are settled individually Securities delivery instruction is generated individually for each securities transaction created This field cannot be modified after first authorization of the collateral assignment transaction By default, displays the preference defined for the selected Margin Type and Agreement or Portfolio or Contract
Collateral Details	Group of fields to capture the details for securities to be transferred as collateral.
Pay / Receive	Select the direction of the Securities collateral transfer. Select ‘Pay’, when bank is transferring collateral to counterparty as ‘Pledgor’ when bank is returning collateral given by counterparty as ‘Receiver’ Select ‘Receive’, when bank is receiving back the collateral transferred earlier to counterparty as ‘Pledgor’ when bank is receiving collateral from counterparty as ‘Receiver’ This field cannot be modified after saving the collateral assignment transaction
Security Id	Select the Security to be transferred as collateral. Only those Securities approved as eligible for the selected Margin Type and Agreement or Portfolio or Contract is displayed for selection When the transaction is for returning the collateral, only those Securities transferred earlier as collateral is displayed for selection
Quote By	Displays the Quantity quotation method followed for the security. Can be ‘Nominal’, indicating that the value entered by user for ‘Quantity’ = Unit Face Value * Number of Units of the Security transferred Can be ‘Units’, indicating that the value entered by user for ‘Quantity’ = Number of Units of the Security transferred Method configured for the Security instrument is set by default
Quantity	Enter the quantum of the selected Security to be transferred as collateral. Entered as the total Nominal Value or Number of Units based on the ‘Quote By’ displayed Example: USD 100,000, when Quote By is ‘Nominal’
Price Quotation	Displays the Price quotation method followed for the security. Can be ‘Price’, indicating that the value entered for ‘Input Price’ = Unit Face Value ± Premium or Discount + Accrued Interest (if the Interest Quotation method is Flat) Can be ‘Percentage Price’, indicating that the value entered for ‘Input Price’ = (Market price / Face value) * 100 Can be ‘Premium’, indicating that the value entered for ‘Input Price’ = (Market Price – Face Value) Can be ‘Percentage Premium’, indicating that the value entered for ‘Input Price’ = (Market Price – Face Value) * 100 / Face Value Can be ‘Yield to Maturity’, indicating that the value entered for ‘Input Price’ = Yield calculated using Market Price Method configured for the Security instrument is set by default
Input Price	Enter the price used for calculating the value of the selected Security to be transferred as collateral. Entered based on the ‘Price Quotation’ displayed Example: 98.25 %, when Price Quotation is ‘% Price’
Accrued Interest	Displays the interest accrued for the Security, from the previous coupon date till the settlement date of the collateral assignment transaction. Blank and not applicable for Zero coupon securities Example: USD 17,500
Total Amount	Displays the total market value of the of the selected Security to be transferred as collateral. Includes ‘Accrued Interest’, ‘Include Interest’ is checked Example: Total Amount = (Quantity * Input Price)+Accrued Interest = (100,000 * (98.25 / 100))+17,500 = USD 1,15,750
Hair Cut % *	Enter the Hair cut to be applied on the market value to arrive at the collateral value of the selected Security. Captured as a % reduction of the market value of the Security By default, displays the preference defined for the selected Margin Type, Security and Agreement or Portfolio or Contract Example: 5%
Include Interest	Indicate whether Accrued Interest should be considered for calculating the collateral value for the selected Security to be transferred as collateral. Unchecked by default
Collateral Value	Displays the Collateral value calculated by applying the Hair cut specified on the market value of the selected Security. Example: Collateral Value = Total Amount * (100-Hair Cut %) / 100 = 1,15,750 * (100-5) / 100 = USD 1,09,962.50
Portfolio Id	Select the Market Portfolio from which the selected Security is transferred as collateral. Applicable and Mandatory only, when bank, as ‘Pledgor’, is transferring collateral to counterparty when bank, as ‘Receiver’, prefers to reuse the collateral given by counterparty
SK Location	Select the SK Location linked to the selected Market Portfolio, from where the selected Security is transferred as collateral. Applicable and mandatory, only when the Portfolio is selected
SK Account	Select the SK Account of the selected SK Location and linked to the selected Market Portfolio, from where the selected Security is transferred as collateral. Applicable and mandatory, only when Portfolio and SK Location are selected
Settlement SKL	Select the Settlement SKL through which selected collateral security would be settled. By default, is set to the Settlement SKL linked to the market of issue of the selected Security
Collateral Portfolio	Select the Collateral Portfolio in which the security transferred as collateral is tracked. Applicable and Mandatory only, when bank, as ‘Pledgor’, prefers to track the collateral transferred to counterparty in a separate collateral portfolio when bank, as ‘Receiver’, tracks the collateral given by counterparty in a separate collateral portfolio Only those Collateral portfolios applicable for the selected Margin Type and Agreement or Portfolio or Contract is displayed for selection
Collateral SK Location	Select the Collateral SK Location linked to the selected Collateral Portfolio, where the Security transferred as collateral is tracked. Applicable and mandatory, only when the Collateral Portfolio is selected
Collateral SK Account	Select the Collateral SK Account of the selected Collateral SK Location and linked to the selected Collateral Portfolio, where the Security transferred as collateral would be tracked. Applicable and mandatory, only when Collateral Portfolio and Collateral SK Location are selected
Available Position	Displays the position available for transfer in the selected security, portfolio and SK location.
Deal Type	Displays the type of the security deal created for transferring the selected security as collateral with the collateral party. Can be ‘BLCK’, when the collateral security is just blocked in the bank’s portfolio and continue to appear in bank’s books Can be ‘BBCS’, when the collateral security is received by the and tracked in a collateral portfolio Can be ‘BSCB’, when the collateral security is returned by the and transferred out of collateral portfolio
Deal Reference	Displays the contract reference of the security deal created for transferring the selected security as collateral with the collateral party.
Internal Deal Type	Displays the type of the internal security deal created for transferring the selected security from market portfolio to collateral portfolio.
Internal Deal Reference	Displays the contract reference of the internal security deal created for transferring the selected security from market portfolio to collateral portfolio.
Deal Version	Displays the current version of the Security deal created for transferring the selected Security as collateral.
Series	Select the Series of the Security to be transferred as collateral. When series are not defined for the security or any series of the selected security can be delivered as collateral, is blank.
Security Form	Displays the format in which security is issued and traded.
Interest Quotation	Displays the Interest quotation method followed for the security. Can be ‘Flat’, indicating that the value entered by user for ‘Input Price’ is Dirty price and includes accrued interest per unit Can be ‘Plus Accrued’, indicating that the value entered by user for ‘Input Price’ is Clean price and does not include accrued interest per unit Method configured for the selected Security instrument is set by default
Security Currency	Displays the currency of the selected Security.
Face Value	Displays the current face value of the selected Security.
Deal Quantity	Displays the number of units of the selected Security that is transferred as collateral.
Nominal Amount	Displays the total Nominal Value, in Security Currency, of the selected Security that is transferred as collateral.
Premium	Displays the Premium amount, in Security Currency, considered in addition to the nominal amount, to arrive at the market value of the selected Security.
Discount	Displays the Discount amount, in Security Currency, considered as rebate from the nominal amount, to arrive at the market value of the selected Security.
Fx Rate	Displays the exchange rate to be used for calculating the Collateral value, when Security Currency is different from the Margin Currency. Example: If Security ccy = ‘USD’ and Margin currency = ‘GBP’, then Fx Rate = 0.79 When Account CCY is same as the Settlement Currency, then Fx Rate = 1

On click of Check Availability button, system automatically checks the available balance in the Security as of the Settlement Date in the selected Portfolio and SK Location.