Defining Margin Call & Clearing Contracts

Designate a name for the contract

Unique id assigned by the system when the contract is saved. When the contract is saved, the revision number increases by one.

Enter a description for the contract if desired.

In the Margin Call contract, the subtype options are: Master(or parent), Child and Facade (master/parent contract with no margin call trades or margin call positions). See Facade Setup below for more information on Facades.

In the Clearing Member contract (used for Cover Distribution) , designate whether the contract is a Deposit contract or a Child, which is a clearing member.

(Subtype options Independent Amount and Initial Margin are used for Clearing only. For details on these options, refer to the Clearing module user guide.)

Click ... to select an existing contract. The current contract will inherit all the characteristic of the parent contract.

The margin calls are calculated for a given hierarchy, and generated at the root contract level. For example, a root contract is defined between PO1 and CPTY1, and children contracts are defined between children of PO1 and children of CPTY1. The margin calls are calculated for all children and aggregated at the PO1/CPTY1 level.

For detailed information on the Parent / Child relationships, refer to Setting up Parent/Child Contracts

Processing Org / Legal Entity

The left side of the contract will always be Processing Org and is not editable. On the right side, select the role for the legal entity for the contact.

Select the processing organization or legal entity (counterparty) of the contract.

The full name of the processing org or counterparty

Collateral Type

Select the type of collateral that can be used for the margin call: BOTH for cash and security margin calls, CASH for cash only margin call, or SECURITY for security only margin calls.

Threshold

The Threshold is the amount of exposure that a given party is willing to bear before calling collateral margins.

When the processing org is receiving the exposure, Legal Entity Threshold applies, and the Counterparty will be paying the margin calls, so Legal Entity MTA and independent amount apply as well.

When the processing org is paying the exposure, Processing Org Threshold applies, and the processing org will be paying the margin calls, so Processing Org MTA and independent amount apply as well.

Select the type of threshold from the Type field:

To always calculate a margin call, select AMOUNT and enter 0 in the Amount field.

Select Util > View Previous Margin Call Credit Ratings to view the margin Call Credit Rating Threshold report.

You are not able to make any changes to this report. It is from this report that you can access the conversion tool to allow you to convert data to the Global Rating Configuration. For details refer to Conversion to Global Rating.

[Note:: You first need to save the contract before you can setup thresholds on credit ratings]

Click Ratings at the top of the panel to specify the threshold based on credit ratings. This is done through the Margin Call Credit Rating Configuration window. For details on configuring credit ratings, refer to Margin Call Credit Rating Configuration.

Note that the actual credit rating of the legal entities is specified using Configuration > Legal Data > Entities.

Depending on the Type selection, enter either an Amount, Currency, Percentage and /or Rating.

Enter an amount here after having selected Type: AMOUNT

This field must be populated when Type: PERCENTAGE is chosen. The percentage is applied on what is selected in this field.

Enter a percentage when Type: PERCENT is selected. You must also select a Percentage  Basis.

This field provides the ability to base the percentage on a net amount or a gross amount. This field is available when either Percentage or BOTH is selected in the Type field.

The selection options are Net Value (which is the default) and Gross Value, which is the sum of the absolute value of the margin call value. For example, if there are two trades which have a margin call value of -100 and 300, the MTA/Threshold percentage is multiplied by 400 if Gross Value is selected as the Value Basis.

This field is used with the Margin Flow Approach (which is set up in the Independent Amount panel of the Margin Call contract.

It should be set to IA Only for netted VM and IA contracts, and for non-netted IA.

It should be set to MTM+IA for IM and non-netted VM contracts.

Minimum Transfer Amount

The minimum transfer amount (MTA) is the amount that must be reached above the threshold before a margin call can actually take place.

When the processing org is receiving the exposure, Legal Entity Threshold applies, and the Counterparty will be paying the margin calls, so Legal Entity MTA and independent amount apply as well.

When the processing org is paying the exposure, Processing Org Threshold applies, and the processing org will be paying the margin calls, so Processing Org MTA and independent amount apply as well.

Select the type of MTA from the Type field:

To always calculate a margin call, select AMOUNT and enter 0 in the Amount field.

Select Util > View Previous Margin Call Credit Ratings to view the margin Call Credit Rating MTA report.

You are not able to make any changes to this report. It is from this report that you can access the conversion tool to allow you to convert data to the Global Rating Configuration. For details refer to Conversion to Global Rating.

[Note:: You first need to save the contract before you can setup MTAs on credit ratings]

Click Ratings at the top of the panel to specify the MTA based on credit ratings. This is done through the Margin Call Credit Rating Configuration window. For details on configuring credit ratings, refer to Margin Call Credit Rating Configuration.

Note that the actual credit rating of the legal entities is specified using Configuration > Legal Data > Entities.

Depending on the Type selection, enter either an Amount, Currency, Percentage and /or Rating.

This field must be populated when Type: PERCENTAGE is chosen. The percentage is applied on what is selected in this field.

This field provides the ability to base the percentage on a net amount or a gross amount. This field is available when either Percentage or BOTH is selected in the Type field.

The selection options are Net Value (which is the default) and Gross Value, which is the sum of the absolute value of the margin call value. For example, if there are two trades which have a margin call value of -100 and 300, the MTA/Threshold percentage is multiplied by 400 if Gross Value is selected as the Value Basis.

Rounding

Select the rounding method of the margin call from the Delivery Method / field. The Return Method is used when the PO is the paying party and the Delivery Method is used when the PO is the receive party.

Enter the nearest amount to which you want to round in the field next to the selection.

Haircut

Select a haircut rule that applies to the margin call calculation for collateral. The collateral value is decreased by the haircut amount. In the Static Data Filter or Static Data Filter Tree used in the Haircut Rule, select a product currency and designate the Product Type as Cash or a security.

A haircut rule allows defining haircut percentages based on collateral maturities.

To display the Haircut Rule window, select Util > Haircut Rule from the Margin Call window.

Refer to the Haircut documentation for more information on a basic set up for a haircut rule.

Select Regular or Inverse.

The signedHaircut domain value determines the behavior of this field. When this value is set to true (default behavior) the behavior is: 

Regular = amount • (1+ haircut)

Inverse = amount / (1 - haircut)

When the signedHaircut domain value is set to false, the behavior is: 

Regular = amount • (1- haircut)

Inverse = amount / (1 + haircut)

Note: This can be asymmetrical between the PO and LE.

When the field is selected, any collateral (cash or security) that is ineligible, will have a haircut of 100% applied to it.

To determine eligibility and which haircut rule to apply, the system refers to the party receiving collateral:

• If PO receives, PO eligibility and haircut are checked.

• If CP receives, PO pays, and CP eligibility and haircut are checked

When returning collateral, the initial haircut is always used.

This field is asymmetrical, meaning it does not have to be the same for both the PO and CP. The checkbox is available at both the contract and exposure group level.

When checked, the haircut is excluded from exposure calculation. It is included otherwise.

NOTE: This cannot be asymmetrical. It must be the same on both sides of the contract.

Haircut reference currency for cross currency haircut. A haircut will be applied if the asset being delivered is not in the same currency as one of the designated currencies. This field can hold one or more currencies and is not mandatory. If there is no designation in this field, the Base Currency field is used for the cross currency haircut determination.

Rehypothecation Rules

Select this if securities and cash received as collateral can be rehypothecated. When this checkbox is selected, the Collateral Rehypothecation and Accept Rehypothecated Assets fields are displayed.

Select an option in the drop-down to indicate what type of collateral can be reused for this contract. You may select CASH, SECURITY, BOTH (cash and securities) or NONE at all.

See Rehypothecation of Collateral for more information.

Select an option in the drop-down to indicate if the contract accepts rehypothecated assets. The contract can accept, CASH, SECURITY, BOTH (cash and securities) or NONE at all.

See Rehypothecation of Collateral for more information.

Additional Legal Entities

In this area you may enter additional legal entities for the Processing Org and/or the Legal Entity

Perimeter

Select the perimeter type to filter which types of trades are loaded with the contract

If there is a trade without any keyword, it will only be accepted in Default mode. If the trade has a keyword, the trade will go in the margin call contract with the designated Id. If the designated Id is less than zero, the trade will not go into any contract.

NOTE: You may run the COLLATERAL_EXPOSURE_INDEXATION scheduled task to link collateral exposure trades to the contract Id if the collateral exposure trades were created without the contract Id configured. (This is used for Cover Distribution only.)

Click to select the product types to which this contract can be applied, or ALL.

The product type can be a group of products. See Configuration > Product > Group (refdata.ProductGroupWindow) for information on creating groups of products. Note that the environment property USE_PRODUCT_GROUP should be set to true in order to allow specifying margin call contracts by product group.

If you are using underlyings that are non-Calypso trades, select the product type Collateral Exposure. Refer to Collateral Exposure for more information.

Click to select a static data filter or static data filter tree to restrict the trades to which this contract can be applied, or NONE.

Click the Define SD button to display Static Data Filter definition window.

Select the book or books to which the contract can be applied.

Select the underlying products for the margin call here if one of the Products selected is Collateral Exposure.

 Ⓘ   [NOTE: REAL_SETTLEMENT is available and supported for Sec Finance products]

When this option is chosen, a Settlement Offset field is exposed for entry. The value in this field is used in combination with the calendar defined on the Dates and Times panel to determine which trades have a settlement offset (in business days) greater than or equal to the Settlement Offset field. The trades meeting this criterion will be collateralized and loaded in  Collateral Manager.

Agreement Workflow - Please refer to Calypso Acadia documentation for more information.

Product type used for Acadia Agreement Manager workflow.

Subtype used for Acadia Agreement Manager workflow.

Agreement status for Acadia Margin Agreement.

Workflow

Select a product type use for collateral workflow selection.

Subtype used in the collateral workflow. You may select a specific workflow to use for this contract, which is defined in the collateral workflow. This list is populated from the collateralType domain value. For more information, see Collateral Manager Workflow or Cover Distribution Workflow.

Margin Call Generation Level - See Exposure Groups for details.

When designating a contract to use Exposure Groups , it is necessary to have Generate Margin Calls per Exposure Group selected in the Details panel of the contract. This field is selected by default in the margin call contract.

Indicates that Collateral will be distributed to Exposure groups.

Indicates that collateral is provided by the Exposure Groups rather than the PO's collateral being distributed to the Exposure Groups. This is used in conjunction with the Targeted-Allocation optimization solver.

When selected, excludes net exposure of Exposure Group from the distribution process if it is not in the same direction as the master contract.

Details

When the contract is saved, the status will be set to OPEN.

If the contract is closed in the Margin Call report window, the status will become CLOSED.

NOTE: Closing a contract is available at the contract level only. A contract cannot be closed at the Exposure Group level.

Select the type of legal agreement that applies to the contract.

Contract types are user-defined in the legalAgreementType domain.

Select a currency group, defined in the Collateral Context window Currency Definition panel, to be associated with the contract.

Choose the direction of the contract. The options are: 

This available for selection when Unilateral is chosen for Contract Direction. Specify which party will receive collateral.

The pricing environment to use for an end of day, intraday and simulation allocation or cover distribution .

The Pricing Environment Type (e.g. EOD, ITD or SIM) is chosen in the Collateral Context Pricing tab. The Collateral Context associated with the Collateral Manager template determines which pricing scenario to use. The Collateral Context can also be changed in Collateral Manager.

Select this box to include end date exposure in the margin calculation. This property is based off of the trade date (not the process date).

If true, the Accrual calculated in the Collateral Manager is only computed until the Value Date, rather than Process Date which is the existing behavior. This attribute is false by default.

This applies only to Repo and Sec Lending.

If selected, the previous collateral will be returned when the Net Exposure changes sign. In this case, the MTA will only be applied to the New Margin. Otherwise, the MTA is applied to the sum of the Returned Margin plus the sum of the New Margin.

If selected, the previous collateral will be returned when the Net Exposure falls below the Threshold, or when the Net Exposure changes sign.

Defines whether the rounding is applied before the check on the Minimum Transfer Amount (MTA) or not.

If selected, rounding of the required margin will occur only once before it is compared to the MTA. If rounded margin > MTA, the required margin <>0, if rounded margin < MTA, required margin will be null.

In this scenario, it is possible to have a required margin not null even though it was below MTA before rounding

If not selected, the Required Margin is first compared with the MTA. If the Required Margin exceeds the MTA, then rounding is performed as per the designated Rounding configuration. Then, that amount is again compared to see if a margin call is needed.

Selecting ACTUAL bases the margin calculation on the current actual margin. THEORETICAL bases the calculation on retical margin. EXPECTED functions in a way that treats all outgoing margin call transfers as settled and all incoming transfers as not being available until a pre-defined number of days has passed after the value date. This date is set in the xferAvailableDate domain value.

Select the date when the positions are to be loaded.

This field facilitates Collateral Policy CSA lookup. When chosen, the logic is as follows:

Two additional fields are exposed when this option is chosen: 

NOTE: If the trade date is before the regulatory date and not partially terminated, it is subject to legacy CSA. If the trade date is before the regulatory date, and partially terminated before the regulatory date, it is subject to legacy CSA. If the trade date is before the regulatory date but partially terminated after the regulatory date, it is still subject to legacy CSA. If the trade date is after the regulatory date, it is subject to regulatory CSA regardless of whether it is partially terminated or not.

Adjustments

Enter the minimum amount by which the margin call amount can be amended in the Margin Call report. Check the “Is Percentage” checkbox if the amount represents a percentage of the margin call amount. If this designated adjustment amount is breached, a warning is displayed in the Allocation window. The warning is generated by comparing the sum of all allocations (executed and proposed) and the Global Required Margin.

To ignore the minimum adjustment amount, enter 0 and check the “Is Percentage” checkbox.

Enter the maximum amount by which the margin call amount can be amended in the Margin Call report. Check the “Is Percentage” checkbox if the amount represents a percentage of the margin call amount. If this designated adjustment amount is breached, a warning is displayed in the Allocation window. The warning is generated by comparing the sum of all allocations (executed and proposed) and the Global Required Margin.

To ignore the minimum adjustment amount, enter 100 and check the “Is Percentage” checkbox.

Trade Level Dispute

Enter the dispute amount limit. When processing a dispute, if the dispute amount is less than or equal to the dispute tolerance, the dispute will be automatically resolved using the counterparty's amount.

Check the "Is Percentage" checkbox if the amount represents a percentage of the margin call amount.

Contract Level Dispute

Available only when Accept CP Amount in PO's Favor is selected. When selected, the Counterparty’s amount is automatically taken as the Agreed Amount because it is in the PO’s favor. In Collateral Manager the Dispute flag is checked, the Dispute Status is Partially Agreed and the Agreed Amount is the Counterparty Amount.

When this option is flagged, if the difference between the Global Required Margin and the Counterparty Amount is less than the Undisputed Tolerance, the following things will automatically happen in Collateral Manager:

• The Agreed Amount is set to the undisputed amount (which is the lowest of the two amounts)

• The Dispute flag is checked

• The Dispute Status is set to Partially Agreed

Undisputed tolerance amount, used in Accept Undisputed Amount

Choose on which amount the percentage has to be based.

Designates to automatically accept the counterparty amount to resolve a dispute if the amount is in the processing org's favor.

You may either select NONE or ARITHMETIC MEAN as a method to calculate a margin call in the case of a dispute. If ARITHMETIC MEAN is selected, the two parties will 'split the difference' between the two amounts when under tolerance.

Enter the time by which a response must be given to the dispute. (For information purposes only.)

Select the time zone that applies to the response time. (For information purposes only.)

Select the alternative procedure in case of a dispute: NONE, SPLIT THE DIFFERENCE (the difference between Party A and Party B’s calculated amounts is to be split and paid/received to/from each party), or OTHER.

This is currently for information purposes only. You can display the dispute alternative procedure in the Margin Call Statement.

Enter the time by which a resolution must be agreed upon. (For information purposes only.)

Select the time zone that applies to the resolution time. (For information purposes only.)

This field defines when dispute aging begins when a margin call is disputed in Collateral Manager. When T+1 is selected, the Dispute Age column displays 0 on the first day of the dispute. When T is selected, the aging begins on the first day of the dispute, the Dispute Age column displays 1 on the first day of the dispute. T+1 is the default setting.

Mirroring

Select a mirror contract to for mirroring of Margin Call trades.

For details on this, see Margin Call Trade Mirroring in the Calypso Collateral Management User Guide.

Call Generation (Clearing Member only)

Selecting this checkbox indicates that the call is generated at the current contract level. If this flag is not selected on either the Deposit or the Child contract, the call is done at the deposit level.

Selecting this checkbox in a child contract will generate a call per uncovered liability if the call preference is eligible for this liability. If not, the liability call amount will be aggregated to the total call amount done at the child contract level. If the call preference is eligible for all uncovered liabilities, the total call amount will be equal to 0 and no allocation will be generated at contract level.

The Excess Buffer is an additional amount of collateral that the clearing house requires the member to post.

If this is selected, a cash call is automatically generated when the excess buffer is breached. If it is not selected, a notification is sent to the member, indicating the amount of the buffer that has been used.

Credit Extension is an amount of cash value that the Clearing House extends to the Clearing Member to allow them to register trades when they have insufficient available collateral. Selecting this checkbox indicates if a credit extension is permitted.

When a Credit Extension is selected and the contract is saved, a new quote for that contract is saved which specifies the daily credit extension amounts.

Credit extensions are ignored during a final distribution. They are only recognized during an intraday distribution.

Valuation

Select PARTY A, PARTY B, BOTH, 3RD PARTY, or NONE.

Click to select a date rule. This rule specifies the calendars as well as the date rolls to be used when the valuation date falls on a holiday. If a contract is not processed based on a schedule, then a daily date rule should be defined (by specifying a type of DAILY in the date rule configuration). A daily rule should have a date roll of Following.

Date rules are defined using Configuration > Definitions > Date Schedule Definitions > Date Rule.

You can may display the Valuation Date Frequency in the Margin Call Statement.

This is a mandatory field.

Click to select a date rule used to specify the valuation offset. A valuation offset is an agreed number of days prior to the valuation date.

The date rule in this field is typically relative to the Valuation Date Frequency date rule. For example, if the contract has a Valuation Date Frequency of each Monday, then the Valuation Time Offset date rule would be -1 business days relative to the Valuation Date Frequency.

For contracts that are processed daily, the Valuation Date Frequency rule should define as type = DAILY and the Valuation Time Offset rule should be -1 day relative to the daily date rule.

This is a mandatory field.

Enter the time used to determine the date time on the Valuation Time Offset for trade inclusion.

You can display the valuation time and time zone in the Margin Call Statement.

This is a mandatory field.

Select a time zone to be used in conjunction with the Valuation Time field.

This is a mandatory field.

Enter a number of offset days applied to the quote date.

Trade Inclusion (valid only for Effective Date - TRADE DATE)

Select the checkbox to enter the Trade Inclusion Time which is the same as the Valuation Time.

This field will be automatically updated based on the data extracted from the Valuation Time Zone field.

This field cannot be edited.

This field will be automatically updated based on the date rule saved against the Valuation Time Offset field.

This field cannot be edited.

Calendar

This is the holiday calendar used to compute the settlement of the margin call trade. The settlement offset of the margin call trade is computed using this calendar and the calendar of the underlying currency of the margin call trade.

Messages

Enter the time by which notification of the margin call must be sent or received.

Select the appropriate time zone

Collateral Substitution

Enter “Next Settlement Date following receipt of the Transferee’s note of consent”, “Settlement Date following the date on which the Transferee receives the new collateral”, or enter the actual number of business days following the receipt of the note of consent or receipt of new collateral.

This is currently for information purposes only. You can display the substitution date option in the Margin Call Statement.

Enter the time by which the substitution must take place.

This is currently for information purposes only. You can display the substitution time in the Margin Call Statement.

CFD

For CFD margin call contracts, if this is true with a negative variation margin (VM), NB will be negative. If this is false, with negative VM, NB will only show deposit annex (initial margin) with positive VM, NB will be positive.

For CFD margin call contracts, if this is true, NB will show only the deposit annex (initial margin). If this is false and the variation margin is negative, NB will show only the deposit annex (initial margin). If the variation margin is positive, NB will be positive.

For CFD margin call contracts. In this field, define the legal entity (short name) that the provider will pay the dividend to if the provider has a long position.

Template

Contains the ID of the default template to load the Margin Call Details report - It is automatically set, when you choose Report > Link Template to Contract in the Margin Call Details report.

Contains the ID of the default template to load the Margin Call Property template.

Others

Account name

This must be set to True to perform rounding on a returned margin call. When this is set, the returned margin will be rounded to UP or DOWN as per the Rounding setup on the contract.

These attributes are related to the Clearing module. Refer to the Clearing documentation for more information.

This setting decides if client transfers will impact the margin call position for that contract.

The values can be:

• Exclude (client transfers will be excluded from the Margin Call position except for Interest Bearing trades)

• Include as Client (client transfers will be included in the Margin Call position as a Client position)

• Include as Internal (client transfers will be included in the Margin Call position as an Internal position)

The default is Include as Client

This field selects the Collateral Policy used to assign a risky curve for calculation of proxied CVA pricer measure.

True if a dispute comment is mandatory when resolving a dispute. Default is false.

Domain name used to exclude a Margin Call contract from the Inter Account Transfer.

Set this to True to exclude interest on Repo trades from the margin calculation. Set to False if the Repo interest is to be included. Default is False.

Select true to exclude interest on the SecLending trade from the margin calculation. Select false if you would like the SecLending interest to be included. Default is false.

When set to Yes, the haircut will be applied on the clean price instead of the dirty price. The default, or value for no entry is No.

When this is set to True, the ALLOW_EX_DIVIDEND pricing parameter is ignored. This is used when a GILT bond falls under the ex-dividend period.

Governs how margin numbers are imported, either in their requirement currency or the native currency.

Comma separated list of transfer types explicit to this Margin Call contract. If the list is empty, the contract will accept any transfer not listed on another of this LE's VM Margin Call contract.

If set to true, Client Transfers will be included in the Margin Call position for the contract.

When set to true, daily interest amounts are rounded then summed. When not set, un-rounded daily interest is summed and then the total is rounded.

This only applies to margin call calculation and not to interest bearing.

Select true for interest to be computed based only on frequency of the date rule attached to the margin call contract regardless of positive or negative MTM moves. Select false for interest to be computed based on frequency UNLESS there is a switch in the MTM move.

When set to true, the accrual of previous positions is not affected (shown in the Netted Positions panel), but the accrual will change in the Allocation panel (in Collateral Manager). Both the bond settle offset days and the contract settle offset will be considered. The calculation is val date + maximum (settle date offset of contract OR settle date offset of bond).

The default setting is false or left blank.

Used to define integration type for reconciliation on margin call entries. This includes reconciliation of bilateral and cleared VM flows. FCM and internally calculated VM flows are shown in Collateral Manager to cross verify the final call amount.

The choices for this field are Collateral-Bilaterial-VM, Collateral-Cleared-VM-ETD or Collateral-Cleared-VM-OTC.

Based on the selected integration type, the system looks for the Recon.Integration.<integration type> domain to get the mandatory fields.

 Ⓘ   NOTE: The Reconciliation panel is visible after you set Value = true for the domain value "UseCollateralManagerReconciliation" - its default value is set as false.

Please refer to the Calypso Reconciliation Service documentation for additional information.

Used for Corporate Action management. If set to true, then an additional Corporate Action trade counterparty linked to the margin call contract will be created to impact the margin call position.

This works similarly to Reinvest Coupon except it is for a redemption event in order to reinvest the principal.

If a currency is present in this field, the FX haircut will be based on the static data filter or static data filter tree. The static data filter or static data filter tree can contain cash and securities.

Stress Loss Margin

When set to True, SLM PL measure (PL type as None) will be considered in calculation.

When set to False, SLM PL measure is not considered.

Note: The Collateral.Multiplier domain must contain the value of Buffer for the SLM attribute to work properly.

A value of True designates this Margin Call contract as contributing to the Separate Settlements section of the Client statement. Any other value will associate the Margin Call contract with the Financial Summary section.

Set to true if the contract is eligible for SFTR reporting.

Refer to Calypso SFTR documentation for details on Securities Financing Transaction Regulation.

This attribute is used for Stress Loss Margin. The options are: 

• True - SLM PL measure (PL type as None) will be considered in calculation
• False (or blank) - SLM PL measure is not considered

NOTE: The Collateral.Multiplier domain must contain the value of Buffer for the SLM attribute to work properly.

Select true if Reconciliation should be used on the contract.

This attribute allows collateral valuation to be defined using the raw quote price. Set to False by default.

Contract Currency

Select the default currency for margin calls.

The Collateral Policy is not used in the valuation of margin call contracts. It is used when pricing trades associated with a margin call contract for selecting the appropriate discount curve.

Collateral policies are defined in the domain CollateralPolicy. Select a policy as needed. In the Pricer Configuration, curves can be defined by collateral policy. Please refer to Calypso Collateral Pricing documentation for details.

Defines the time frame (when compared to currency Settlement Cut-Off time) within which a warning should appear when the user is saving a margin call trade with that currency. Set time in minutes.

To allow for the Trade Date and Settlement date to be the same date, set this to zero.

This threshold is used in conjunction with the Auto Repayment flag on the Eligible Currency Definition window. This threshold value is expressed in the contract currency and each currency balance is converted to the contract currency and compared against this threshold when determining if Auto Repayment is to be executed. This is used only for final distributions in Cover Distribution.

Interest

Define the Interest Payment Type

If the interest is to be calculated on a regular basis, click ... to select a date rule.

Date rules are defined using Configuration > Definitions > Date Rule Definitions.

Select if you want the interest to be compounded only based on the frequency defined above. De-select if you want to compute interest based on frequency , unless there is a switch of sign in the mark to market move.

Check to roll the interest into the margin call position. It creates a position of class Margin_Call and type Rolled_Interest for the computed interest.

This Rolled_Interest position is added to the computation of the exposure on the following day.

Note: To see rolled interest reflected on Netted Positions and Global Required Margin, add the value ROLLED_INTEREST to the flowType domain.

If you select this checkbox and Orderer Role = Client, the Cash margin call will also be generated to a dedicated account, allowing separate interest payments.

See Paying Interest Separately for complete setup details.

If you select Cash Margin Call Account, and Orderer Role = Client, the Security margin call will also be generated to a dedicated account, allowing separate interest payments.

This setting should NOT be selected if using MT569 import method to generate margin calls.

See Paying Interest Separately for complete setup details.

This is used to set the role (client or customer) of the legal entity in the case of Cash Margin Call Account and/or Security Margin Call Account is selected.

Select a deliverable currency, and specify how the interest on margin calls in this currency will be calculated. It is mandatory to specify at least one deliverable currency.

Note that it is optional to specify how interest on margin calls is computed, in particular if you want to pay the interest separately from the margin calls.

See Paying Interest Separately for details.

Compounding

Check the “Compounding” checkbox to compound the interest.

Include Interest to Position

Check the “Include Interest to Position” checkbox to include the interest on cash margins in the Margin Call position. Interest is computed on the Actual position.

Project Interest to Position

This only applies if “Include Interest to Position” is checked.

In this case, the interest added to the position is computed on the Theoretical position rather than the Actual position.

Adjustment Currency

When checked, the margin calls are calculated in the corresponding currency by default. If it is not checked for any currency, the margin calls have to be created manually using Margin Call > Allocation in the Margin Call Manager. When an Adjustment Currency is specified, the Cash Margin column will populate in the Margin Call Manager with the adjusted currency amount.

You must also be sure that the AutoAdjust workflow rule is assigned to the appropriate workflow action.

Example: PRICED_PAY - AGREE_EXPOSURE - EXPOSURE_AGREED

Both the workflow rule and the "Adjustment Currency" checkbox are necessary for the currency amount to be adjusted automatically.

Call Cut-off

The Call Cut-off field is available only if the Adjustment Currency checkbox is checked. A cutoff time should be entered.

The cutoff is applied to the adjustment currency.

Because multiple currencies can be flagged as an Adjustment Currency, the currencies are allocated based on the order in which they are defined in the Eligible Currencies panel and whether the first currency in the list has a holiday. If the first currency in the list has a holiday, a call is generated with the next currency in the list.

If only one currency in the list has a holiday, a call is generated with the next currency in the list.

If only one currency is an Adjustment Currency and it has a holiday, the margin call is generated on the next business day. If a currency has Adjustment Currency selected but no cutoff time, it is only considered for a holiday scenario.

For example:

GBP ccy, adjustment ccy - YES, cutoff time 4pm

EUR ccy, adjustment ccy - YES, cutoff time 6pm

USD ccy, adjustment ccy - YES, cutoff time 5pm

JPY ccy, adjusment ccy - YES, cutoff time NULL

If it is before 4pm, GBP is used.

If it is after 4pm but before 5pm, USD is used.

If it is after 5pm but before 6pm, EUR is used.

If it after 6pm, a call is generated in GBP for tomorrow unless tomorrow is a holiday for GBP. If that is the case, it is generated in EUR because it is the second currency in the list.

JPY would not be considered at all since it has no time. However, it would be considered if the first 3 currencies were on holiday.

Explode Return/New Margin

Provides the ability to explode the New Margin and Return Margin into two different allocations. If set to true, the system generates allocations as described below. This checkbox is available only if the Adjustment Currency checkbox is selected. The following behavior is for no dispute, dispute/partially agreed or fully disputed/resolved by PO: 

There are three workflows used to accommodate the three auto adjust options. These workflows should use a full STP workflow. When using these workflows rules, there is no need to open the Allocation window. The Margin Call entry goes through the workflow transition anatomically. The workflow rules are: AutoAdjust, AutoReturn and AutoReturnAndAdjust. These rules should be added to a transitions such as:

EXPOSURE_AGREED - ALLOCATE - ALLOCATED

ALLOCATED - VALIDATE - VALIDATED

 Ⓘ   NOTE: Currently, the Auto Adjustment feature is not available for dispute cases. This functionality will be available in a future release.

Auto Repayment

This feature is available for Clearing Member Configuration. Select this option to repay excess cash collateral in the deposit contract for any deposit currency which is above the Minimum Repay Threshold. This is applicable for Final Distribution only.

Fixed Rate

Select the Fixed Rate radio button and enter a rate for the currency that will be used to calculate interest on the margin calls.

Floating Rate

For a Floating Rate, select the radio button and choose the reference index, tenor, and source. Enter the spread and factor if needed.

This defines whether the optimizer can partially allocate margin call contracts or not. It affects contracts that accept SECURITY only. This may also be set as an Optimization Constraint. The options are:

When gathering a list of eligible assets for a contract, when fetching eligible cash, the system checks whether an optimization currency is defined. If there is, then the optimizer behaves as if this is the only eligible currency so that it will use this currency over another currency with a lower weight in the Target configuration when there is no non-cash collateral available, or as the adjustment currency when filling the remaining margin.

The currencies listed are the LE eligible currencies.

Select the level of substitution desired for this contract. You may choose to either inherit the substitution method from the Optimization configuration, or define a method to be used specifically for this contract.

Select either TYPE_CASH or TYPE_TRIPARTY

If TYPE_CASH is selected, specify the currency of the call.

System defined id number of the definition in the case of TYPE_CASH. For TYPE_TRIPARTY, enter the product id, as they are modeled as bonds.

The earliest time that the call can occur

Specify observed holidays, automatically populates default holiday calendar for the designated Currency.

Minimum transfer amount type.

To always calculate a margin call, select AMOUNT and enter 0 in the Amount field.

When Amount is selected, select the currency of the transfer amount in the Currency field if you wish it to be something other than the base currency which is designated in the Eligible Currencies panel.

Select Util > View Previous Margin Call Credit Ratings to view the Margin Call Credit Rating Threshold Report.

You are not able to make any changes to this report. It is from the report that you can access the conversion tool to allow you to convert data to the Global Rating Configuration. For details refer to Conversion to Global Rating.

[Note: You first need to save the contract before you can setup MTAs on credit ratings]

Click Ratings at the top of the panel to specify the threshold based on credit ratings. This is done through the Margin Call Credit Rating Configuration window. For details on configuring credit ratings, refer to Margin Call Credit Rating Configuration.

Depending on the Type selection, enter either an Amount, Currency, Percentage and /or Rating.

The selections for Rating are HIGHER or LOWER. This designates whether the higher or lower credit rating will be used in the case where the legal entity is rated differently by one or more of the applicable agencies.