Security Finance Collateral Report

This document describes how to use the Security Finance Collateral report. The Security Finance Collateral report provides an "as of today" view of collateral balances for a selection of repo, security lending and triparty exposure trades, as well as security margin call positions. This allows tracking market collateral value and monitoring repo and security lending trade exposures.

From the Calypso Navigator, navigate to Deal Management > Sec Finance Trade Report > Sec Finance Collateral Report (menu action reporting.SecFinanceCollateralReportWindow$SecFinanceCollateralBalance).

Sample Security Finance Collateral report

 Ⓘ   [NOTE: The columns of this picture have been configured. Sort columns, subheadings and subtotals have to be explicitly specified using the Data menu]

» You can check / uncheck View > Show Frame > Criteria to display / hide the search criteria.
» You can change the pricing details at the bottom of the window - By default, the pricing environment comes from the User Defaults, and the valuation date is the current date and time.
» Specify the other search criteria as applicable and click to load the corresponding security finance trades.
» When "Use Triparty Agent data" is checked, 'Pricing.' fields are not calculated, instead 'Norm.' fields are copied into their equivalent 'Pricing.' fields for Triparty Repo and Triparty Exposure trades.
» You can select a template, and click to display the number of objects that will be loaded from the database, before loading the report.
» You can click to print the report results.

NOTE: For the Pivot view and the Aggregation view, the print icon is disabled.

You can use [Ctrl+P] or [Ctrl+L] to print the report, or you can export the report to Excel and print it from there.

 

Security Finance Collateral Report Results

You can click any column heading to sort the results based on that column.

You can right-click any row to invoke the functions of the report menus. See Help > Menu Items for details. In particular, you can apply an action to a trade, and bring up related items like transfers, messages, etc.

 

Normalized Columns

In Data > Configure Columns, the folder SecfinanceCollateralNormalized and Trade is available. It contains columns which allow displaying in a normalized way any security contributing to the exposure / collateralization of a trade or margin call contract. This provides the ability to explain the margin call calculation by detailing the numbers that contribute to it, and it allows for external margin call reconciliation.

 

Columns

Description

Norm.Accrual

 

Norm.Accrual Amount

The security accrual. The value is different depending on the Source Type:

• Internal – (Sec. Accrual * Current Nominal)
• External – Displays the "Allocation.Accrued Interest" value from the Triparty Collateral Allocation report.

Norm.All In Value

The security value after the haircut / margin is applied, expressed in security currency. The value is different depending on the Source Type:

• Internal – Displays the "Sec. All In Money Value" value from the Security Finance Collateral report.
• External – Displays the "Allocation.Market Value POST Factor" value from the Triparty Collateral Allocation report.

Norm.Clean Price

The clean price of the security. The value is different depending on the Source Type:

• Internal – Displays the "Sec. Clean Price" value from the Security Finance Collateral report.
• External – Displays the "Allocation.Clean Price" value from the Triparty Collateral Allocation report.

Norm.Clean Value

The clean value of the security is same as Norm.Value, but based on clean price instead of dirty price (Norm.Value - Norm.Accrual Value).

Norm.Collateral Flag

True for the collateral leg, or false for the exposure leg.

Norm.Contract Type

Displays the Contract Type information in Legal Agreement from Repo (including Triparty) and Securities Lending trades. If these trades have no Legal Agreement, then the information is picked from the Margin Call Contract (if any), else returned blank value.

Displays theContract Type information in the Margin Call Contract (or Exposure group) from Triparty Exposure Trade and Margin Call positions.

Norm.Haircut

The security haircut. The value is different depending on the Source Type:

• Internal – Displays the "Sec. Haircut" value from the Security Finance Collateral report.
• External – [1 - (1 / Allocation.Valuation Factor)] * 100

Norm.Margin

 

Norm.Message Id

 

Norm.Nominal

The security nominal. The value is different depending on the Source Type:

• Internal – Displays the "Sec. Nominal" value of the collateral on the trade.
• External – Displays the nominal of the Pledge trade.

Norm.Pool Factor

 

Norm.Price

The price used to value the security. The value is different depending on the Source Type:

• Internal – Displays the "Sec. Dirty Price" value from the Security Finance Collateral report.
• External – Displays the "Allocation.Collateral Valuation Price" from the Triparty Collateral Allocation report.

Norm.Price(Source)

 

Norm. Product Code. CUSIP

For cash collateral, it is the CUSIP Product Code or CUSIPIdentifier currency attribute.

Norm. Product Code. ISIN

For cash collateral, it is the ISIN Product Code or ISINIdentifier currency attribute.

Norm.Quantity

The security quantity. The value is different depending on the Source Type:

• Internal – Displays the "Sec. Quantity" value of the collateral on the trade.
• External – Displays the quantity of the Pledge trade.

Norm.Security.Asset Type Name

For security collateral, it is the Asset Type Name product code or Asset Type Name currency attribute.

Norm.Security.Ccy

The security currency. The value is different depending on the Source Type:

• Internal – Displays the "Sec. Currency" value of the collateral on the trade.
• External – Displays the currency of the Pledge trade.

Norm.Security.Country

 

Norm.Security.Days to Maturity

It represents remaining number of days for the ISIN to mature.

Norm.Security.Issuer

 

Norm.Security.Maturity Date

 

Norm.Security.Name

The name of the security.

Norm.Security.Type

 

Norm.Source

Internal or External, describing if the security comes from an external allocation or from a negotiated trade.

• Internal:
– All Repo sub-types except Triparty
– All SecLending sub-types except Sec Vs Sec
– Sec Vs Sec principal leg
• External:
– Triparty Repo
– Sec Vs Sec collateral leg

Norm.Transaction Ccy

The currency of the SecFinance trade, or the base currency of the margin call contract. The value is different depending on the Source Type:

• Internal – Displays the trade currency of the SecFinance trade.
• External – Displays the "Allocation.Exchange Rate" value from the Triparty Collateral Allocation report.

Norm.Transaction FX Rate

The FX rate between the security currency and the trade currency. The value is different depending on the Source Type:

• Internal – Displays the "Sec. FX Rate" value from the Security Finance Collateral report.
• External – Displays the "Allocation.Clean Price" value from the Triparty Collateral Allocation report.

Norm.Transaction Type

The product type of the SecFinance trade: Repo or SecLending.

Norm.Transaction Value

The security value after the haircut / margin is applied, expressed in transaction currency. The value is different depending on the Source Type:

• Internal – Displays the "Sec. Value" value from the Security Finance Collateral report.
• External – Displays the "Allocation.Market Value POST Factor (Tx. Ccy)" value from the Triparty Collateral Allocation report.

Norm.Transaction Value Before Factor

The security value before the haircut is applied, expressed in transaction currency, populated from incoming MT569 SWIFT, Tag 19 A::MKTB.

Norm.Triparty Agent

Displays the Triparty Agent information in Legal Agreement from Triparty Repo

trades, and in the Margin Call Contract (or Exposure group) from Triparty Exposure Trade and Margin Call positions.

Norm.Underlying Trade Id

If the source is External, displays the trade id of the underlying product.

• Internal – Blank.
• External – Displays the "Collateral Trade Id" value from the Triparty Collateral Allocation report.

Norm.Value

The security value before haircut / margin, expressed in security currency. The value is different depending on the Source Type:

• Internal – Displays the "Sec. Money Value" value from the Security Finance Collateral report.
• External – Displays the "Allocation.Market Value Before Factor" value from the Triparty Collateral Allocation report.

Pricing.Accrual

Security unitary accrual as of valuation date.

Pricing.Accrual Amount

Affected by Real Settlement designation - if Real Settlement is false, Pricing.Nominal = Norm.Nominal.

Pricing.All In Value

Pricing.Value * [1 - (Pricing.Haircut / 100)]

Affected by Real Settlement designation - if Real Settlement is false, Pricing.Nominal = Norm.Nominal.

Pricing.Clean Price

SEC_FIN_QUOTE_VALUE as of valuation date.

Pricing.Clean Value

The clean value is same as Pricing.Value, but based on clean price instead of dirty price (Nominal * Market Quote).

Pricing.Eligibility

 

Pricing.Haircut

SEC_FIN_HAIRCUT_VALUE

Pricing.Haircut (Triparty VF)

It represents the haircut value as under column Pricing.Haircut when triparty agent is not set up for Inverse margin valuation factor (No attribute setup under LE). This applies conversion formula = [100/(100-Pricing.Haircut)] for haircut value displayed under Pricing.Haircut column when triparty agent is set up for Inverse margin valuation factor (Inverse Margin valuation factor attribute setup under LE).

This processing will be triggered only when the triparty agent is updated with the attribute “TRIPARTY_ALLOCATION_VALUATION_FACTOR” added to the Legal Entity attribute with value “INVERSE_MARGIN”.

Pricing.Margin

 

Pricing.Nominal

 

Pricing.Price

SEC_FIN_QUOTE_VALUE + Pricing.Accrual

Pricing.Transaction FX Rate

SEC_FIN_FX_RATE

Pricing.Transaction Value

SEC_FIN_SECURITY_VALUE

Affected by Real Settlement designation - if Real Settlement is false, Pricing.Nominal = Norm.Nominal.

For Repo and SecLending:

When Collateral asset is ineligible, "Pricing.Transaction Value" must return 0 (valuation at 0 following the same logic than pricing with a parameter MC_EXCLUDED_INELIGIBLE_SEC set to true)

When Collateral asset is eligible, "Pricing.Transaction Value" must be computed as normal (following the same logic than pricing with a parameter MC_EXCLUDED_INELIGIBLE_SEC set to false).

For Triparty Exposure Trade and Margin Call Cash Position:

When collateral asset is ineligible, check the flag "Apply 100% haircut on ineligible" on the contract ("Parties" tab / "Processing Org") side if collateral is received / held and "Legal Entity" side if collateral is delivered /pledged).

- If flag "Apply 100% haircut on ineligible" is checked, "Pricing.Transaction Value" must return 0 (valuation at 0)

- If flag "Apply 100% haircut on ineligible" is not checked, "Pricing.Transaction Value" must be computed as normal.

Pricing.Transaction Value Before Factor

(Pricing.Nominal * Pricing.Price) * Pricing.Transaction FX Rate

Pricing.Value

(Quantity or Nominal) * Pricing.Price

Affected by Real Settlement designation - if Real Settlement is false, Pricing.Nominal = Norm.Nominal.

Recon.Accrual

(Pricing.Accrual - Norm.Accrual)

Recon.Accrual Amount

(Pricing.Accrual Amount - Norm.Accrual Amount)

Recon.All In Value

(Pricing.All In Value - Norm.All In Value)

Recon.Clean Price

(Pricing.Clean Price - Norm.Clean Price)

Recon.Haircut

For Non Triparty contracts, Recon.Haircut = Norm.Haircut - Pricing.Haircut

For Triparty contracts, Recon.Haircut = Norm.Haircut - Pricing.Haircut (Triparty VF)

Recon.Margin

(Pricing.Margin - Norm.Margin)

Recon.Price

(Pricing.Price - Norm.Price)

Recon.Transaction FX Rate

(Pricing.Transaction FX Rate - Norm.Transaction FX Rate)

Recon.Transaction Value

(Pricing.Transaction Value - Norm.Transaction Value)

Recon.Transaction Value Before Factor

(Norm.Transaction Value Before Factor - Pricing.Transaction Value Before Factor)

Recon.Value

(Pricing.Value - Norm.Value)

 

View Details

In order to view product details, you can select any product (Equity / Bond) and click View > Show Frame > Security Details. The Security Details Panel is available.

 

Simulating the Collateral Eligibility

You can right click any collateral and select Simulate > Simulate Eligibility to simulate the eligibility of a collateral based on the eligible securities definition in the Margin Call Contract. It opens the Simulate Static Data Filter window.

 

 

The window displays the default Secfinance template when no default template is configured.