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ABOUT CALYPSO COLLATERAL MANAGEMENT
Welcome to the Collateral Management User Guide.
Organizations need the ability to monitor, calculate, and process collateral
calls on a cross-asset basis in a timely manner in order to minimize risks and
increase credit capacity. Calypso’s collateral management functionality meets
these requirements thereby allowing organizations to increase efficiency and
reduce operational costs.
Margin calls are generated by the Collateral Manager based
on collateral data, trades (native Calypso trades, or imported collateral exposures), and existing margin call positions. Margin call positions are calculated by the Margin Call engine.
Collateral data include master agreements (optional), as well as margin call contracts.
The Collateral Manager offers the following capabilities:
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Calculating margins with a given counterparty, based on trades,
and taking into account any existing margin calls. The margin call calculation
takes into account thresholds and haircuts defined in the margin call
contracts. |
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Constituting the margins in cash and/or in securities, and generating
margin call events for accounting and documentation purposes (a margin call
statement can be generated off margin call events). |
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Calculating interest on existing margin calls. |
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Cover Distribution functionality which is the process of allocating clients/members collateral to cover liabilities. |
Calypso's stand alone Collateral Management module also offers collateral optimization, which allocates collateral payments by making the best use of inventory.
The Collateral Management module can be used in the context of OTC Clearing and CSA pricing.
 For information on using the Collateral Management module in the context of OTC clearing, please refer to the Calypso Clearing documentation.
For CSA pricing, please refer to the Calypso Trade CSA documentation for details.
Click here to view a brief Power Point overview of the Collateral Management module.
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