Collaterals

COLLATERAL MAIN FILES

The Collateral files are used to record the details of collateral submitted by a customer, its value(s) and, optionally, to link it directly to a customer’supporting deal elsewhere in the system.There are five value fields associated with each collateral record.:-

NOMINAL, EXECUTION, THIRD PARTY, GENERAL LEDGER & CENTRAL BANK VALUES Which may be user input, automatically fed from another application with updated values, or the third possible form of update to these fields is by calculation, in  which case the appropriate values are placed by the system when the fields required for the calculation have been entered. LOCAL REFERENCE 6.5.1

COLLATERAL.TYPE

				Key  9(3)
				- Defines what types of collateral are allowable (Buildings, 					  Securities, Cash deposits)
				- Specifies the links to other applications and the level 					  (Mandatory/Optional)
				- Defines whether values are Input, Calculated or Fed
				- Defines Revaluation Frequencies, Rates
				- LINKS to COLLATERAL.CODE

COLLATERAL.CODE

				Key 9 (3)
				- Defines the grouping of categories of COLLATERAL.TYPE
				- Defines the review frequency of the collateral rights
				- Defines the frequency of the recalculation of percentage cover. 
				- LINKS to COLLATERAL.RIGHT

COLLATERAL.RIGHT

				Key CUST NO.SEQU NO
				- Collateral Rights identify the COLLATERAL CODES which 				  may be included in the created set-up.  
				- Creates links to LIMIT Structure
  				-  Identifies the LIMIT.REFERENCE or Instrument against which 				   the collateral is monitored.*
 				- Dates Value, Review, Expiry
				- * If not against a specific limit, collateral is set against all 				 	   outstandings for the Customer.  (Applicable Limits are 					   automatically updated on the record)
				- LINKS to COLLATERAL, LIMIT

MAIN COLLATERAL FILE

				Key - COLLATERAL RIGHT . SEQU NO
				- Identifies the COLLATERAL.TYPE and specifically identifies 				  the Account/Contract/Securities Portfolio acting as collateral.
				- Holds values (Fed, Calc. or Input -  Collateral Type) for 
					Nominal
					Maximum
					Execution
					G/L
 					Central Bank
					Third Party
				- Stores Dates - Value, Review, Expiry	
				- Revaluation Amount, Dates
				- Links to COLLATERAL.RIGHT

 OVERVIEW
Examples of settings applied to cover a potential need first: book swap, forex fwd ... collateralized by cash or paper statements.

1. Identification / reporting of different types of collateral received. It also states here that the values of collateral will be automatically calculated (F fields for autom. Feed) from the movements of cash or securities in Globus.

2. statement of the various codes used in Globus and attached to the types declared.   For cash, the module for managing this type of collateral is not clearly identified, report the three possible modules: MM, LD or AC.

3. Statement of consideration delivering the collateral (if not already existing)

4. Account opening cash held by the counterparty.
5. Opening a securities portfolio to accommodate all movements of securities collateral:

6. Assigning a margin of 10% to be withheld from the cash collateral type.
 This is to complement this existing record indicating the rate in the five fields.

7. The margin for securities is done here at the "Security.Master". In the example below, assigning a margin of 98% for this type of security (# 19).   7 -1. Previously reporting rate to be different:
8. Taking into account collateral operations in Globus: The entry of a security in the portfolio of the counterparty, representing a margin call in titles:   Entering a transfer representing a margin call in cash:
9. The assignment of collateral for transactions with this counterparty may occur at several levels: outstanding (# 3 empty) part of the stock (with an overall limit reference type, or product by-product)), a list of transactions (identified by reference ... SW, FX ...). In the example, all operations included in the overall limit of 10,000 counterparty "collatérisables".   10. The following table shows the system maintained by the stock of collateral updated automatically.   NOTES:
Enquiries to: SC.VAL.COST SC.VAL.MARGIN present position and date of collateral portfolios for a given counterparty (by including accrued interest, and taking into account the margin for the second).   The Enquiries and CO.001 CO.010 CO.100 give outstanding collateral according to various criteria (by third parties, credit lines, ...).   Findings from this presentation:
To distinguish collateralized transactions, new categories will be declared, and contained in the module boundaries: transactions that are not collateralized and will be retained with the current rates (eg 10% for the IRS, ...), then that will be collateralized to 0%, the amount of collateral from hedge risks arising from these transactions.   The demo site that has received the first tests, must be amended with the previous point. A DOE must then be launched to verify the contents of the reports of collateral / limits from the treatment.   In real operations monthly LD (with a clearly identified) will update the outstanding operations collateralized by their valuations (retrieved from Bloomberg), any differences with the amounts deducted from collateral to suggest movements in securities or cash in or out (margin calls).