2.9 Repo Process

This topic describes the repo process on Booking a Repo deal, Securities pledged will either be blocked in Bank portfolio or moved to a Collateral portfolio to track the securities.

This is done based on Securities Pledged option given at Repo Product Preference.

Securities Pledged preference - Move to Collateral portfolio

• On Booking a Repo deal, the details of the pledged securities, captured in Repo Sub System is moved from Bank portfolio to Collateral portfolio and the system auto-generates the Bank Buy Bank Sell deal (Internal deal product mapped at 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.
• Repo reference number is captured in the SE deal.
• The system validates if the pledged security quantity is not available in the Bank’s portfolio.
• The System continues to accrue the coupon in the collateral portfolio for the pledged securities. After the coupon schedule date, bank claims the coupon from the repo counterparty and process a manual corporate action to post backdated accounting entries. The user can view the message from Manual corporate action screen.
• Coupon Collection event generates the MT210 message to receive a coupon from repo counterparty.
• Once the user authorizes the Repo deal, the system generates GMRA (Global Master Repurchase Agreement), a paper-based confirmation or MT320 Contract confirmation message.

Repo Liquidation/Reversal

• Total quantity available in the collateral portfolio as part of repo deal (Initial pledged collateral and securities paid or received as part of margin call) is netted and moved back to bank portfolio by a bank sell 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.

Securities Pledged preference - Block Securities

• On Booking a Repo deal, the details of the pledged securities, captured in Repo Sub System is blocked from the bank portfolio and the system auto-generates the Block Deal (product mapped at Repo for block booking).
• For Block type Repo, the repo counterparty defaults in a block deal.
• The system continues to accrue the coupon in bank portfolio for the pledged securities. After the coupon schedule date, the bank claims the coupon from the repo counterparty and process a manual corporate action to post back - dated accounting entries. The user can view the message from Manual Corporate action screen.
• User can view the block deal details using the linked deal details subsystem. Once the user clicks, the deal reference, the user can view the MT5x messages from online repo screen.
• System validates if the pledged security quantity is not available in the bank's portfolio.

Repo Liquidation/Reversal

• During Repo liquidation/pre closure/ cancellation, all the securities pledged as part of repo and margin call are released fully from the block. Cash margin paid and received are netted and settled on repo liquidation by initiating a margin call.
• User can view the block release details using the linked deal details subsystem. Once the user clicks, the deal reference, the user can view the MT5x messages from online repo screen.

Repo Messaging

Table 2-49 Repo Messaging Details

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

Process Repos on Future Dated Holdings

The system allows you to book repos for a future date. For such contracts, the status is updated as ‘Yet to be Uninitiated’ and an MT54x message is generated as part of BOOK event for the Block deal.

The processing of the repo uninitiated contracts to active status happens during BOD batch processing by the batch ‘SRAUTDLY’. When the system reaches the value date, on BOD, the contract status is moved to ‘Active’, if there is sufficient holdings available for the attached portfolio.

If the holdings for the attached portfolio during batch processing is insufficient, the contract remains in the ‘Yet to be Initiated’ status.

You can manually initiate these repo deals by running the Intraday batch ‘SRBAINIT’ in the Treasury Intra Day Batch Start screen.The contract status will be moved to ‘Active’ status, if there is sufficient holdings available for the attached portfolio. Else the contract will be in 'Yet to be Initiated' status itself.

The system triggers the INIT event as part of contract initiation for repo contract.