Collateral

The Collateral analysis displays all the collaterals associated with repo trades.

To run a Collateral analysis, you first need to define the Collateral parameters.

1. Collateral Parameters

Click Risk in the Calypso Navigator, and select the analysis type Collateral then click ... next to the field "Analysis Param Set".

Sample parameters

Click Load to load an existing Parameters Set, or click New to create a new one.

Enter the fields described below as applicable.

Click Save to save your changes. You will be prompted to enter a Parameters Set name.

Fields	Description
Param Set Name	Displays the name of the selected / saved Parameters Set.
Comments	Enter comment if desired.
Parameter Name Value	Select a parameter name as applicable and enter a value in the Value field. Then click Add to add the parameter.

The Collateral analysis can be run using the scheduled task RISK_ANALYSIS to save the results to the database or to a file.

The columns of the Collateral analysis are described below.

Total Row

Columns	Description
Nominal	Face value of the security.
Loan Amount	Initial amount of the cash leg without accrued interest.
Rating Agency Margin	Contractual value at trade price (Trade value on trade date including accrued interest) less contractual haircut.
Today Contractual Value	Value of the security (market value on value date including accrued interest) less contractual haircut.
Today RA Value	Value of the security (market value on value date including accrued interest) less rating agency haircut.
Contractual Margin Call	Gross amount of collateral call.
Available Capital	Difference between today contractual value and today rating agency value.
Actual Call	Amount of collateral call considering the threshold amount from the margin call agreement.
Clean Collateral Value	Collateral value not adjusted for the haircut.

Trade Details

Columns	Description
Nominal	Face value of the security.
Today Price	Security price on value date.
Initial Price	Security price when trade executed.
Contractual HAR	Contractual haircut rate.
RAAR	Rating agency haircut.
Threshold	Threshold amount from margin call agreement.
Loan Amount	Initial cash amount without accrued interest.
Rating Agency Margin	Contractual value at trade price (Trade value on trade date including accrued interest) less contractual haircut.
Today Contractual Value	Value of the security (market value on value date including accrued interest) less contractual haircut.
Today RA Value	Value of the security (market value on value date including accrued interest) less rating agency haircut.
Contractual Margin Call	Gross amount of collateral call.
Available Capital	Difference between today contractual value and today rating agency value.
Facility Limit	Overall limit for facility repo.
Actual Call	Amount of collateral call considering the threshold amount from the margin call agreement
Clean Collateral Value	Collateral value not adjusted for the haircut.