TEMENOS T24

REPO Module

User Guide

Information in this document is subject to change without notice.

No part of this document may be reproduced or transmitted in any form or by any means,
electronic or mechanical, for any purpose, without the express written permission of TEMENOS Holdings NV.

Copyright 2005 TEMENOS Holdings NV. All rights reserved.

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Table of Contents
Overview.................................................................................................................................................. 5
Repurchase Agreements ..................................................................................................................... 5
Repos in T24 ........................................................................................................................................ 6
Setup ....................................................................................................................................................... 7
REPO.PARAMETER ........................................................................................................................... 7
REPO.TYPE ........................................................................................................................................ 9
SEC.ACC.MASTER ........................................................................................................................... 10
ASSET.TYPE ..................................................................................................................................... 11
SUB.ASSET.TYPE ............................................................................................................................ 12
REPO.AGREEMENT.TYPE .............................................................................................................. 13
Architecture / Design ............................................................................................................................. 14
Types of REPOs ................................................................................................................................ 14
Classic REPO ................................................................................................................................. 14
Open REPO ................................................................................................................................... 15
Customer REPO............................................................................................................................. 15
Buy / Sell Back and Sell / Buy Back ............................................................................................... 15
Stock Borrow / Lending .................................................................................................................. 16
Limits ..................................................................................................................................................... 20
LIMIT.REFERENCE........................................................................................................................... 20
Limits .............................................................................................................................................. 21
LIMIT.PARAMETER ....................................................................................................................... 21
Deal / Transaction Processing .............................................................................................................. 23
Entering REPO Contracts .................................................................................................................. 23
Cross-Currency REPOs ................................................................................................................. 41
Versions ......................................................................................................................................... 43
SECURITY.TRANSFER ................................................................................................................. 44
Negative Rate REPOS ................................................................................................................... 45
Buy Sell Backs / Sell Buy Backs .................................................................................................... 46
Cash driven Sell/Buy-Back ............................................................................................................. 50
Special Processing ............................................................................................................................ 51
Substitution of Securities ................................................................................................................ 51
Defaulting ....................................................................................................................................... 57
Margin Processing ............................................................................................................................. 58
Margin Accounts............................................................................................................................. 58
The margin accounts are used to record any margin calls if required. .......................................... 58
Initial Margins ................................................................................................................................. 59

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Margin Call Processing .................................................................................................................. 60

Procedure for handling Margin Calls .............................................................................................. 60
Margin Calls Settled in Cash .......................................................................................................... 61
Margin Calls settled in Securities ................................................................................................... 63
Coupon payment processing ............................................................................................................. 65
RP.ALT.NOSTRO .......................................................................................................................... 65
RP.SCTR.UPD.SCHEDULES ........................................................................................................ 67
Overview of Input and Processing SBL ............................................................................................. 68
Stock Borrow / lending ................................................................................................................... 68
Main Trade Flow............................................................................................................................. 68
Entering a Stock Borrow Lend Contract ......................................................................................... 69
Security positions: .......................................................................................................................... 75
Internal Deal ................................................................................................................................... 77
Security positions, Internal Trade................................................................................................... 82
Early Maturity ................................................................................................................................. 84
Margin Calls, and Cancellation of Partial / Full Returns. ................................................................... 86
Margin Calls – Back Dated or Same Day....................................................................................... 88
Margin Calls on Open trades ......................................................................................................... 88
Staggered Margin calls................................................................................................................... 89
Cancellation of a specific margin call. ............................................................................................ 91
Corporate action processing on Zero nominal SBL ....................................................................... 91
Own Book (Dealer book) SBL Processing ......................................................................................... 92
Dividend Processing for SBL ............................................................................................................. 94
DIARY.TYPE .................................................................................................................................. 94
CUSTOMER.SECURITY................................................................................................................ 95
REPO ............................................................................................................................................. 96
SEC.ACC.MASTER ..................................................................................................................... 105
ENTITLEMENT ............................................................................................................................ 105
SC.SETTLEMENT........................................................................................................................ 107
Stock Record Processing................................................................................................................. 108
SC.PARAMETER ......................................................................................................................... 108
REPO ........................................................................................................................................... 109
CUSTOMER.SECURITY.............................................................................................................. 111
SECURITY.POSITION ................................................................................................................. 111
Transaction settlement ................................................................................................................. 116
Reporting and Enquiries ...................................................................................................................... 117
REPO.POSITION............................................................................................................................. 117

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RESO.POSITION............................................................................................................................. 118
CUSTOMER.REPO ......................................................................................................................... 120
Updates From Authorised Contracts - REPO.ENTRY.LIST ............................................................ 120
Updates From Unauthorised Contracts - REPO.UNAU.ENTRY.LIST ............................................ 121
Valuation of Margin Portfolios - SC.VAL.REPO .............................................................................. 122
Outward Delivery ................................................................................................................................. 122
REPO Delivery ................................................................................................................................. 122
Set-up ........................................................................................................................................... 122
Handoff Information ...................................................................................................................... 122
Messages supported by REPO .................................................................................................... 123
EB.ACTIVITY ................................................................................................................................... 123
EB.ADVICES ................................................................................................................................ 124
EB.MESSAGE.CLASS ................................................................................................................. 125
LMM.ADVICES............................................................................................................................. 126
Delivery Settlement Netting ............................................................................................................. 126
RP.GROUP.PARAMETER ........................................................................................................... 127
NETTING.AGREEMENT .............................................................................................................. 127
SC.GROUP.TRADES.MAN.ACT ..................................................................................................... 128
Entering a transaction .................................................................................................................. 132
Fields that must be populated ...................................................................................................... 132
Automatically populated fields when selecting transactions. ....................................................... 133
Accounting:................................................................................................................................... 134
Close of Business Services ................................................................................................................. 134
Unauthorised Records ..................................................................................................................... 134
Delivery ............................................................................................................................................ 134
Contracts Becoming Live ................................................................................................................. 135
Maturing Contracts........................................................................................................................... 135
History Processing ........................................................................................................................... 135
Start of Day Processing ................................................................................................................... 135
Technical Notes ............................................................................................................................... 135
Accounting ........................................................................................................................................... 137
REPO Contract ................................................................................................................................ 137
RESO Contract ................................................................................................................................ 138
Customer REPO .............................................................................................................................. 139

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Overview
Repurchase Agreements
“REPO” is short for “sale and repurchase agreement” and is essentially a transaction whereby two
parties involved agree to perform two deals as a package. The first deal is a purchase (or sale) of a
Security, often a government bond, for delivery straight away (the exact settlement date will vary
according to the market convention for the security involved).
The second deal is a reversal of the first deal, for settlement on some future date.
Because it is understood from the outset that the first deal will be reversed, it is clear that both parties
intend the transfer of securities (in one direction) and the transfer of cash (in the other direction) to be
temporary rather than permanent.
Therefore the transaction is equivalent to a loan of securities in one direction and a loan of cash in the
other. The REPO is structured so that the economic benefit of owning the securities, income and
capital gains/losses, remains with their original owner.
These are the driving factors behind the REPO market; all REPO’s are driven by either the need to
lend or borrow cash, which is collateralised by securities, or the need to borrow specific securities.
The prices for both the original sale and the repurchase are agreed at the outset. The difference
between the two prices is calculated to be equivalent to the cost of borrowing secured money.

Flows on Value Date

Bond
Investor REPO Dealer
Cash

Flows on Maturity Dat

Same Bond nominal amount

Investor REPO Dealer
Same cash amount
plus interest

For lenders of cash, a REPO has the advantage of double security, if counterparty defaults; they can
rely on the collateral. They can therefore look to the creditworthiness of both the counterparty and the
issuer of the collateral.
For borrowers of cash, the advantage is that they can make use of an investment in their portfolio to
borrow funds either more cheaply or in a case where they would not normally be able to borrow at all.
A REPO is defined as an initial sale of securities followed by a subsequent repurchase. A “Reverse
REPO” is the opposite, an initial purchase of securities followed by a subsequent re-sale.

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Because the two parties involved in a REPO Contract a performing the opposite transactions, one of
the party’s will be performing a “REPO” whilst the other party will be performing a “Reverse REPO”.
REPO terminology is based on the securities side of the deal and not the money market, therefore if
the dealer is selling securities (seller)/borrowing cash (buyer) the deal is “REPO”, whereas if the
dealer is purchasing securities (buyer)/lending cash (seller) the deal is “Reverse REPO”.

Repos in T24
The T24 REPO module supports the recording, processing and administration of both REPO and
RESO transactions. It incorporates these transactions into the Limit, Accounting and Position
Management modules within T24 and supports a wide variety of REPO and RESO types, such as:

• Bond REPO
• Gilt REPO
• Equity REPO
• Bilateral REPO
• Trilateral REPO
• Cross currency REPO
• Open REPOs
• Buy/Sell Back
• Sell/Buy Back
• Stock Borrow / Lending

It also covers options such as:

• Multiple securities (Classic Security Driven Contracts Only on Delivery Against Payment Trades)
• Substitution of securities
• PSA/ISMA or GMRA Agreements
• REPO contracts on behalf of a customer (Customer REPOs)

The REPO application enables the cash side as well as the security side of a REPO or RESO
transaction to be booked. The input of the security side is not mandatory if a trilateral REPO/RESO is
specified (because it is quite possible that the securities as collateral may not be known at the time of
the deal).

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Setup
REPO.PARAMETER
This is the top-level parameter file and is keyed by the id of the company to which the parameter
record refers. This file controls the setting for the following items:
• The suffixes to be used for the creation of margin portfolio keys during a REPO contract. These
entries will be used in REPO.TYPE for further configuration.
• The suffixes to be used for the creation of margin portfolio keys during a RESO contract. These
entries will be used in REPO.TYPE for further configuration.
• Initial Margin booking
• Limit Validation setting
• Automatic population of certain fields during creation of a REPO contract.
• SOD/COB settings
• Corporate Action settings

Example of REPO.PARAMETER record

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Field Name Operation

REPO.MARGIN.SUF The Margin Account Suffixes are used to control which
portfolios will be used for the reporting of REPO/RESO and
Stock / Borrow Lending contracts.
RP.MRGN A description for the REPO.MARGIN.SUF field.
RESO.MARGIN.SUF The Margin Account Suffixes are used to control which
portfolios will be used for the reporting of REPO/RESO
contracts.
RS.MRGN A description for the RESO.MARGIN.SUF field.
INIT.MRGN.BOOKING The initial margin of a REPO contract can be used as a
device to undervalue the securities involved; hence to cover
the risk of the adverse movement of the securities, which may
arise before a margin call, can be made. The booking method
of the initial margin can be either NOTIONAL (which will be
included in the margin portfolio valuation) or NONE (for
information only).
REPO.LIMIT.UPDATE A REPO contract is treated as a loan of securities and a
deposit of cash. However, the bank may see the loan of the
securities as a potential risk, and may wish a REPO contract
to update the T24 limit processing as if it were a loan – thus
decreasing the available limit. This definition of whether the
limit for a REPO contract is regarded as either a LOAN or
DEPOSIT is defined in this field.
DAYS.POST.MATURITY The number of days after maturity that a matured contract
remains on the live file is also specified here. Once this period
expires, the matured contract is moved to the history file
during the Close of Business processing.
SBL contracts that have a zero nominal will be moved to
history after a specified period. However if the contract is
amended prior to this date and the nominal is increased to a
non-zero value the contract will remain in the “live” file until
such a time as the nominal is again reduced to a zero and the
number of days specified is exceeded after restarting the day
count. Once a contract has been moved to history it will not
be possible to restore it back to a live contract. Contacts with
a zero nominal will not be included in any calculations for a
corporate action for the stock concerned unless there is an
outstanding settlement to be made
CALCULATION.LINK This field will be copied across into the REPO contract and
determines if there will be links between certain fields during
the creation of the REPO contract.
AUTO.CALC.NOMINAL This field works in conjunction with the CALCULATION.LINK
field. If this field is set to “YES” and the CALCULATION.LINK
field inside the REPO contract is also set to “YES” then when
a cash driven REPO contract is entered the system will
automatically calculate how much nominal is required of a
particular security to meet or exceed the principal amount.
UPDATES.SC.POS.SOD It is possible to have the REPO contract generate the near leg
SECURITY.TRANSFER record immediately on
authorization of the contract regardless of the value date. This

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can be achieved by setting the field UPDATE.SC.POS.SOD to

‘YES’. This is a no change field.
Additionally, setting this field to ‘YES’ triggers the updating of
the SECURITY.POSITION on account of the far leg of the
SECURITY.TRANSFER at the Start of Day of the maturity
date instead of the Close of Business of the maturity date as
was happening hitherto.

PROCESS.REPO.SOD Contracts can either be processed during the Start of Day

(SOD) or Close of Business (COB). This accepts the values
of “NULL”, “FWD TO LIVE”, “MATURITY” or “BOTH”. If set to
“NULL”, transactions turn live / mature at COB. Using this
field, it is possible to selectively process contracts becoming
live or maturing at SOD. If the field UPDATE.SC.POS.SOD is
set to ‘YES’, then this field will accept only values of
‘MATURITY’ or ‘BOTH’.
ENT.CPN.SUSP Used for Corporate Actions, This field allows changing of the
ACCOUNT.NO field in the ENTITLEMENT record for the
RESO positions. If this field is updated then the RESO entries
will be posted to this specific account.
SPLIT.DEBIT.CPN When this field is set to ‘YES’, then the cash entries relating
to REPO contracts are posted to this separate Nostro
account.
This process is possible if the ACCOUNT field is updated for
the REPO application in the NOSTRO.ACCOUNT record.
The NOSTRO.ACCOUNT record must be keyed on the
security currency of the DIARY.
AC.BLOCK.CLOS.UPDT The REPO application automatically creates
AC.BLOCK.CLOSURE records when the field
NEW.CU.ACCT.NO is populated. These records are then
interrogated when the application ACCOUNT.CLOSURE is
used to prevent closure if a live REPO contract is using the
account.

REPO.TYPE
This application holds records, which control how each type of REPO contract entered will be
processed. Each REPO contract must have a valid REPO.TYPE entered.
• Configure REPO.TYPE as a “LOAN” (REPO) or a “DEPOSIT” (Reverse REPO).
• Product category to use (CATEGORY file).
• Suffix for margin portfolios.
• Definition of Customer REPO.
• Category of suspense accounts for Customer REPO’s (CATEGORY file).
• Transaction type used for Customer REPO’s (SC.TRANS.TYPE file).

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• Default delivery instructions.

• Type of REPO contract.

Example of REPO.TYPE Record

SEC.ACC.MASTER
A margin portfolio must be set up for any counter party that will be used on the REPO contracts. It is
this portfolio that is used to run the valuations to determine whether a margin call is due, or is to be
expected.

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Creating a portfolio for use with REPO's

You may refer to the SC (Securities) application User Guide for details as to the setting up of a
portfolio (SEC.ACC.MASTER) file.

The suffix used when defining the margin portfolio should match that defined on the REPO.TYPE file.
Therefore should your organisation perform both REPO and RESO transactions with any given
counterparty, you will need to open one portfolio for each operation.
Please note that the underlying CUSTOMER.SECURITY record for the REPO counterparty must
also contain a CUSTOMER.TYPE field value of “CUSTOMER” before you can successfully open the
new portfolio.

ASSET.TYPE
To record the securities that are “held” or “on loan” as part of REPO and RESO contracts,
ASSET.TYPE ‘s are required.

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Example of ASSET.TYPE for REPO's

The INTERFACE.TO field is used to configure the ASSET.TYPE record and there should be a unique
ASSET.TYPE record in all of the following cases:

INTERFACE.TO Requirement
RP For REPO Contracts
RS For RESO Contracts
RPM If INIT.MRGN.BOOKING is set to “NOTIONAL” on
REPO.PARAMETER required for REPO.
RSM If INIT.MRGN.BOOKING is set to “NOTIONAL” on
REPO.PARAMETER required for RESO.
RPC For Customer REPO Contracts
RSC For Customer RESO Contracts

SUB.ASSET.TYPE
To record the securities that are “held” or “on loan” as part of REPO and RESO contracts,
SUB.ASSET.TYPE‘s are required.

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Example of SUB.ASSET.TYPE for REPO's

You will need to configure a SUB.ASSET.TYPE for each of the ASSET.TYPE records created in the
previous section.

REPO.AGREEMENT.TYPE
This file is used to provide enrichment for the REPO agreement type
• Enrichment to appear on Contract
•

Example of REPO.AGREEMENT.TYPE record

Field Name Operation

DESCRIPTION A free format description of the
REPO.AGREEMENT.TYPE.

Both legs of REPO contracts are often transacted under one agreement. The PSA agreement is used
in the US, whilst in Europe the PSA/ISMA General Master REPO Agreement (GMRA) is the standard
increasingly used.
Standard agreement types should be defined on this file and referenced on the REPO contract, thus
avoiding the need to define complex narrative on the contract to be used for delivery purposes.

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However, additional conditions may be specified on the contract where required, or if the contract is
not subject to a standard agreement type.
REPO agreements can be tracked by using the application DOCUMENT.MANAGEMENT. The
REPO module can be linked to this application thereby allowing the user to produce an override or
stop the trading with new counterparties, until the full legal documentation has been received and
agreed.

Example of REPO agreement override produced for counterparty 100317

Architecture / Design
Types of REPOs
The various REPO.TYPES available are:

• Classic REPO or RESO

• Customer REPO or RESO
• Buy / Sell Back or Sell / Buy Back
• Stock Borrow / Lend / Fixed and Open Term

Classic REPO

In a REPO transaction, if the REPO.TYPE used is ‘Classic’ REPO transaction creates two child
contracts – a SECURITY.TRANSFER to handle the transfer of securities between the Bank or
Customer (in the case of Customer REPOs) and the Counterparty, and a MM.MONEY.MARKET
deal to handle the transfer to money.

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For a RESO contract the bank may receive coupon payment that it must pass on to the counter party
of the deal manually by using FUNDS.TRANSFER in T24
Classic REPOs may be either Cash or Security Driven, with the option for GC (General Collateral)
REPOs to be entered without allocating the associated security at the time of capture. This option is
only available when the CALCULATION.LINK is set to NO. This allows the user to allocate the
security at a later stage with the generation of the required SECUIRTY.TRANSFER for settlement.

Open REPO
When processing an OPEN REPO, the maturity date will accept an input of ‘0’. In open REPO’s, the
interest accrued on the PRINCIPAL.AMOUNT.1 is capitalized on a daily basis. This is reflected by the
interest being added to the PRINCIPAL.AMOUNT.1 on a daily basis. The rate of interest may be
changed during the tenure of the REPO.

When a maturity date is fixed, it should be input in the MATURITY.DATE field. This will cause the
interest to be calculated from the date of input till the maturity date and this amount will be populated
in the INTEREST.AMOUNT field. The PRINCIPAL.AMOUNT.2 field also gets populated with the
maturity value of the contract.

Customer REPO
REPOs may be undertaken on behalf of clients of the Bank. When handling REPOs for customers a
REPO.TYPE that has been set up as a CUSTOMER REPO should be used in the REPO.TYPE field
in the REPO application. To set up a REPO.TYPE for customer REPOs, the field CUSTOMER.REPO
in the REPO.TYPE table must be set to ‘YES’. The field ACCT.CATEGORY is used to define the
internal account to be used for the entries generated from the MM.MONEY.MARKET.

For a Customer REPO transaction, the Counterparty field in the REPO transaction becomes no input.
Instead the fields CUST.PORTFOLIO, BROKER.DEPO and BANK.INT.RATE become mandatory.

Buy / Sell Back and Sell / Buy Back

Two new REPO.TYPES have been created called Buy / Sell Back (BSB) and Sell / Buy Back (SBB).
If in a REPO transaction the REPO.TYPE chosen is BSB or SBB, only one child contract is created.
The MM.MONEY.MARKET deal does not get created in a BSB or SBB transaction and the cash
side to the REPO transaction is handled thru the SECURITY.TRANSFER itself.
Since in Buy / Sell Back and Sell / Buy Back REPO transactions the cash component is also handled
through the SECURITY.TRANSFER, on input of a value in the NEW.SEC.CODE field, the nominals
are calculated based on the price for that security found in the LAST.PRICE field in the
SECURITY.MASTER. A check is performed to see whether the value of the security (i.e. the
DIRTY.PRICE x NEW.NOMINAL) is exactly equal to the PRINCIPAL.AMT.1. If not, the system will
change the CLEAN.PRICE and the DIRTY.PRICE so that the value of the securities will always be
equal to the PRINCIPAL.AMT.1.
If the user manually changes any of the price fields in a REPO transaction, the system will recalculate
the nominal’s so that the value of the securities will always be equal to the PRINCIPAL.AMT.1.

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The value of any coupon payment, during the tenure of the REPO contract, on the security used in the
REPO transaction, is factored into the forward price of the REPO transaction. Therefore, for BSB and
SBB transactions, there is no need to transfer the coupon amount by means of a
FUNDS.TRANSFER. Currently the system can handle situations where a single coupon payment
straddles the tenure of the REPO contract. Where multiple coupon payments straddle the tenure of to
the REPO contract, the user will have input the FWD.PRICE manually.

Stock Borrow / Lending

Transaction types have been created to allow the processing of Stock Borrow / Lending transactions.
GENERATE.FT
This field in the REPO.TYPE has the option to select YES or NO. When the user has selected the
option of YES this is used to indicate that the accounting, and SWIFT margin process messaging
associated with this REPO.TYPE will be handled via FUNDS.TRANSFER
This will also indicate that for margin calls settled in cash a further FUNDS.TRANSFER will be used
to update the accounting.
If NO is selected the normal process associated with the child MM.MONEY.MARKET will remain.
The following input and display fields on trade capture which are normally associated with the child
MM. MONEY. MARKET will become no input and remain blank, if the option to generate a
FUNDS.TRANSFER is selected.
INTEREST.BASIS, REPO.RATE, CAPITALISATION and REPO.INTEREST will become
no input fields. MM.INT.DUE.DATE will remain blank.
FT.TRANS.TYPE
This field is mandatory if the user has selected YES in the field GENERATE.FT. It is used to identify
the transaction type to be associated with the FUNDS.TRANSFER

DEAL.TYPE
Option for Internal Trades: INT.BORROW / INT.LEND
To control the processing when this transaction type is selected an option in the REPO.TYPE to
select INT.BORROW and INT.LEND in the field DEAL.TYPE. The population of this field will be
mandatory for SBL set up for internal trades.
Internal SBL Trade:
This specific REPO.TYPE is used to drive the transaction as an internal trade. This will therefore
create the correct lent and borrowed position on the portfolios without the update to the depository
positions. If the user has selected GENERATE.FT with the DEAL.TYPE set to INT.BORROW or
INT.LEND,
When this type is used it will automatically suppress the generation of SWIFT messages, as the
purpose of the internal trade is to move the security lent or borrowed from the wash portfolio to or from
the customer’s portfolio.
The actual movement of security is received or lent via (market trades).

MARGIN.PORT.SUFFIX
No input for internal trades. No valuations are run on internal trades.

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DEAL.TYPE
New option for T1: Market / External Trade
A specific DEAL.TYPE has been created, INTERNAL or STOCK.BORROW.LEND. This has been
created in the REPO.TYPE.
Trade 1 will be treated as a market / external trade and will require the generation of SWIFT
settlement messages MT54X to ensure correct settlement in the market. The
SECURITY.TRANSFER record generated will update the REPO.NOMINAL / RESO.NOMINAL
amount without affecting the CLOSING.BAL.NO.NOM balance in the SECURITY.POSITION file.
PRODUCT.CATEGORY and TRANSACTION.INDEX
If the user has selected the option of INTERNAL or STOCK.BPRRPOW.LEND in the field
DEAL.TYPE and has selected YES in the field GENERATE.FT, no input will be allowed in the fields
PRODUCT.CATGEORY and TRANSACTION.INDEX.
DEFAULT.PRICE
This field currently controls the default price information from the SECURITY.MASTER file. If the
user has selected the option of NO, the clean and dirty price fields on the trade capture will accept a
value of zero.
The delivery records have been amended to ensure that no price details are mapped to the generation
of the SWIFT message when the price is zero.
This functionality will not be restricted to DEAL.TYPE and is controlled by the setting chosen in
REPO.TYPE.

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Example of a SBL Internal Deal REPO.TYPE Record

Example of a SBL REPO.TYPE Record

Field Name Operation

DESCRIPTION A free format description of the REPO.TYPE.
PRODUCT.CATEGORY The PRODUCT.CATEGORY will determine which
CATEGORY will be used for accounting. The definition of
the product category and transaction index of REPO contracts
are defined in this file.
TRANSACTION.INDEX Determines the direction of the REPO contract, either “LOAN”
or “DEPOSIT”.
MARGIN.PORT.SUFFIX The suffix to be used to create the default margin portfolio
must be defined on the REPO.PARAMETER record for non-
Customer REPOs. No input for internal trades.
CUSTOMER.REPO This field defines whether the REPO.TYPE is a customer
type REPO (that is the bank are performing a REPO contract
on behalf of their client) or is a trading REPO. Where the bank
is defining a type of contract for trading, the suffix that will be
used to create the key to the margin portfolio needs to be
defined, and the CUSTOMER.REPO field must not be set to
‘Yes’.

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ACCT.CATEGORY Only used when CUTOMER.REPO is set to “YES”.

The category that will be used to default the suspense
accounts must be set in this field.

Contracts that are considered to be REPOs (rather than

RESOs) must have a transaction index of DEPOSIT and a
corresponding product category of 21200 – 21249. RESOs
are specified as LOANS with a product category of 21250 –
21299.
TRANSACTION.TYPE Only used when CUTOMER.REPO is set to “YES”.
The transaction type (stored in SC.TRANS.TYPE) that will
be used for the SECURITY.TRANSFER deals may also be
defined here, otherwise the system will automatically default
in transaction type TRA.
DEFAULT.DELIVERY A default delivery instruction can be entered in this field for
each REPO.TYPE record and this value will default through
to the REPO contract. If this field is left blank then the user
will be forced to make an entry in the REPO contract.
DEAL.TYPE This specifies the type of contract that this REPO.TYPE
refers to:
CLASSIC – This creates classic REPO’s.
OPEN – This creates an open REPO (similar to notice
deposits) in which case maturity date is not needed on the
REPO contract. The field for the maturity date will accept 0 as
an input to denote an Open Repo.
BUY / SELL BACK – Allows the user to treat the transfer of
securities for the near leg as a purchase, with an agreement
to ‘Sell’ back the securities on the Maturity Date of the
contract. No MM.MONEY.MARKET deal is created.
SELL / BUY BACK - Allows the user to treat the transfer of
securities for the near leg as a sale, with an agreement to
‘Buy’ back the securities on the Maturity Date of the contract.
No MM.MONEY.MARKET deal is created.
INTERNAL or STOCK.BORROW.LEND – This creates either
a Market or an Internal Stock Borrowing / Lending transaction.

DEFAULT.PRICE This field controls the default price information from the
SECURITY.MASTER file. If the user has selected the option
of NO, the clean and dirty price fields on the trade capture will
accept a value of zero.
The delivery records have been amended to ensure that no
price details are mapped to the generation of the SWIFT
message when the price is zero.

GENERATE.FT When the user has selected the option of YES this is used to
indicate that the accounting, and SWIFT margin process
messaging associated with this REPO.TYPE will be handled
via FUNDS.TRANSFER
This will also indicate that for margin calls settled in cash a
further FUNDS.TRANSFER will be used to update the
accounting.

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If NO is selected the normal process associated with the child

MM.MONEY.MARKET will remain.
FT.TRANS.TYPE This field is mandatory if the user has selected YES in the
field GENERATE.FT. It is used to identify the transaction
type to be associated with the FUNDS.TRANSFER

Limits
LIMIT.REFERENCE
Three limit reference records should be set up for use in the REPO module.

• REPO product limit

• REPO contracts
• Reverse REPO contracts

Creating a LIMIT.REFERENCE record for REPO's

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Limits
A REPO contract is essentially a loan of securities and a deposit of cash. However, the Bank may see
the loan of securities to the counter party as a potential a risk, and may wish the T24 Limit processing
to treat it as if it were a loan – thus decreasing the available limit.
A RESO contract is always viewed as a risk to the Bank, and updates the T24 Limits system
accordingly i.e. as a loan.
At the value date of the contract, the REPO application updates the T24 Limits system with the
amount defined in PRINCIPAL.AMOUNT.1 of the REPO contract.
Upon maturity of such a contract, this limit update is backed out.
Trading limits may be maintained for bank portfolio (Own Book) Buy/Sell Backs, Sell/Buy Backs these
limits must be set in LIMIT .PARAMETER and SC.DEL.INSTR (DAP).
When limits are configured for these transaction types, the LIMIT.REFERENCE applied to the REPO
contract is automatically populated in field CPTY.LIMIT.REF on the related
SECURITY.TRANSFER record.

The field CPTY.LIMIT.REF can only be populated if the SECURITY.TRANSFER is derived from a
REPO contract that is not a Customer REPO.
*** Care should be taken when configuring the LIMIT application. Please refer to the User Guide
Section for “Limits”

LIMIT.PARAMETER
The LIMIT.REFERENCES that have been configured for REPO need to be entered into the
LIMIT.PARAMETER file.

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Example of LIMIT.PARAMETER Record

The LIMIT.REFERENCES should be added for both the REPO application and the
MM.MONEY.MARKET application. The decision fields should be based on the
PRODUCT.CATEGORY of the REPO contracts, and should be broadly defined in terms of the REPO
contract and the RESO contract.
It is important to note that the LIMIT.REFERENCE defined for the REPO/RESO contract must be
defined on the LIMIT.PARAMETER record both for the MM.MONEY.MARKET application and
for the REPO application itself.

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Deal / Transaction Processing

Entering REPO Contracts
It is this file where REPO contracts are entered, modified and processed using the T24 Desktop, or
the T24 browser.

Example of 1st REPO Screen

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Example of 2nd REPO Screen

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Example of 3rd REPO Screen

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Example of 4th REPO Screen

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Example of 5th REPO Screen

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Example of 6th REPO Screen

Field Name Operation

REPO.TYPE Determines the type of REPO Contract to be entered. Must
be a valid record in the REPO.TYPE application.
COUNTERPARTY The counterparty the bank will make the REPO contract with.
Must be a valid record on the CUSTOMER &
CUSTOMER.SECURITY applications.
CURRENCY The currency of the REPO contract. Must be a valid record in
the CURRENCY application.
BUSINESS.CENTRE The business centre is used to determine the working days
for a specific country. Must be a valid record in the
COUNTRY application.
TRADE.DATE The date on which the trade was agreed. Defaults to today’s
date.
VALUE.DATE The date on which the contract will become active
MATURITY.DATE This is the date at which the REPO contract will mature. If the
REPO.TYPE is set up as an “Open” REPO then this field will
allow a value of 0 (zero), which can be changed at a later
date to a valid maturity date.

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PRINCIPAL.AMOUNT.1 Specifies the total amount of the contract on the near leg, see
help text for more information on population of this field.
PRINCIPAL.AMOUNT.2 Specifies the total amount of the contract on the far leg.
INTEREST.BASIS Selects the interest basis to be used for calculating interest.
Allows entry of “A”-“F” and “S” (for Special – which allows the
user to modify the REPO.INTEREST field) from the
INTEREST.BASIS application. (Refer Comments below this
table.)
REPO.RATE This sets the rate that the REPO will accrue interest during
the life of the contract. It is used to calculate
PRINCIPAL.AMOUNT.2.A negative REPO.RATE can be
entered if required.
PRODUCT.CATEGORY This is defaulted from the REPO.TYPE record but may be
changed manually in which case it must be a valid record in
the CATEGORY application.
AGREEMENT.TYPE This specifies the agreement type that will be adhered to for
both legs of the contract. It must be a valid record in the
REPO.AGREEMENT.TYPE application.
CONDITION This is a free format text field in which special conditions that
apply to this contract can be entered.
LIMIT.REFERENCE This field defaults from the LIMIT.REFERENCE
application.
DEAL.TYPE This is the type of deal represented by this contract.
BILATERAL – This involves 2 parties.
TRILATERAL – This involves 3 parties.
THIRD.PARTY This field is only used when DEAL.TYPE is set to
“TRILATERAL” & specifies the third party in the contract.
PRIN.INCREASE This field is used to make a Margin Call in Cash. The amount
of Cash to be received or paid out for purposes of margin
must be entered in this field. The margin call will take effect
on the date mentioned in the MGN.CALL.EFF.DATE field.
After this the field will be made null.
PRIN.INCREASE.INT The change in the REPO Interest on account of the change in
the Principal resulting from a Cash margin call is displayed in
this field. A no input field.
MGN.CALL.EFF.DATE This field will hold the date on which the margin call comes
into effect. The effective date must fall between the
VALUE.DATE and the MATURITY.DATE of the contract. The
user may input a back valued date provided it falls between
the VALUE.DATE and the MATURITY.DATE of the contract.
The MGN.CALL.EFF.DATE field becomes mandatory if there
is a value in the PRIN.INCREASE field, or, a change has
been made, in an authorised record, to the NEW.SEC.CODE
or NEW.NOMINALS fields.
SEND.PAYMENT The SEND.PAYMENT field is used to determine whether any
delivery message is to be sent for the change in the Principal.

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If this field is set to YES, then delivery instructions will be

generated to pay or receive cash. The default value for this
field is NO.
PROJ.CASH.AMT If the MGN.CALL.EFF.DATE is in the future, the revised
Principal on account of the margin call is displayed in the
PROJ.CASH.AMT field till the margin call takes effect.
NEW.SEC.CODE Determines the Security that will be used in the REPO
contract. Once the record has been authorised, if this field is
changed it effects a substitution.
NEW.NOMINAL Determines the amount of the Security that will be traded in
this REPO contract.
CLEAN.PRICE This defaults from the SECURITY.MASTER record
LAST.PRICE field. It can be manually changed in which
case the GROSS.AMOUNT & DIRTY.PRICE are recalculated.
GROSS.AMOUNT This is the gross amount of the REPO contract.
DIRTY.PRICE This is the price which includes the ACCRUED.INT.AMT.
ACCRUED.INT.AMT This is the accrued coupon interest. The parameters for this
calculation are set in the SECURITY.MASTER record.
NEW.DEPO The depository where the Security is held.
SUB.ACCOUNT A sub account can be specified for the depository entered in
NEW.DEPO. It must be configured in the
CUSTOMER.SECURITY application.
NEW.CU.ACCT.NO Defaults from the SECURITY.ACC.MASTER record for
either the MARGIN.PORTFOLIO (for regular REPO) or
CUST.PORTFOLIO (for Customer REPO). This field may be
modified manually.
SC.INIT.MGN.RTE Only available when the TRANS.TYPE is set to “SECURITY”
& is a percentage used to undervalue the Securities. This will
populate the SC.INIT.MGN.AMT field.
SC.INIT.MGN.AMT Populated when data is entered in SC.INIT.MGN.RTE field.
TOTAL.SETTLEMNT This is the total near leg settlement for the Security.
REPO.INTEREST This is the interest to be charged for this Security on this
contract.
FWD.SETTLEMNT This is the total far leg settlement for the Security.
FWD.PRICE This will be the price that is used for the far leg settlement of
the Security.
CPN.INVST.RATE Applies only to buy/sell back and sell/buy back contracts. Will
default from the REPO rate and is used to calculate the
CPN.INVST.AMT
BND.RND.METH If SC.BOND.ROUNDING is used in the rounding of interest
calculations then the method used will be stored here.
FX.RATE Where the REPO transaction differs from the Security
currency, the exchange rate defaults from the Currency table.
However, the user has the option of changing the rate that

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has been defaulted.

MGN.DELIV.INSTR This field allows input when a margin call is to be settled in
securities. The delivery instructions must always signify a
transfer of securities without any associated payment.
SUPP.DELIVERY This field in the security multi-value set can be used to control
the SWIFT delivery for a complete or partial change in
security (substitution).
Option to select YES or NO with a default of NO
NEWCU.BR.XRATE This field will be mapped to the FUNDS.TRANSFER field
TREASURY.RATE when making a cash only margin call
through the FUNDS.TRANSFER application. It should only
be populated when making a cash margin call, and only if the
account currencies (NEW.CU.ACCT.CCY &
BR.ACCOUNT.CCY) are different.
Should only be used if PRIN.INCREASE is populated and
FUNDS.TRANSFER is being used for margin calls
SBL.DIV.RATE This field will hold the rate at which the Stock Borrow/ Lend
transaction takes place.
BANK.PORTFOLIO This is used to specify the source of the Securities for non
Customer REPO contracts.
MARGIN.PORTFOLIO This specifies the portfolio to be used for valuations for non
Customer REPO contracts.
INIT.MARGIN.RATE Only available when the TRANS.TYPE is set to “CASH” & is a
percentage used to undervalue the Securities. This will
populate the INIT.MARGIN.AMT field.
DRAWDOWN.ACCOUNT The account across which movements of cash will be effected
upon the value date of the contract is defined in this field.
PRIN.LIQ.ACCT Identifies the account number where entries are made for the
reimbursement of the principal at liquidation or maturity date.
PRIN.BEN.BANK.1 Identifies the Beneficiary Bank that is to be used for the
Principal Amount of a REPO contract at maturity or for a
Reverse REPO contract Drawdown when the customer has
requested external delivery of the proceeds of the transaction.
PRIN.BEN.BANK.2 Contains the Customer reference for the second Beneficiary
Bank for the Principal Amount in the case of contracts
involving four-party transfers of funds.
PRIN.ADDRESS Identifies the full name and address of a Beneficiary Bank, in
respect of the Principal Amount, where no Agent details are
maintained.
BENEF.PRIN.ACCTQ Contains the Account details (number or name) of the
Beneficiary to be credited with the Principal Amount.
INT.LIQ.ACCT Identifies the account number where entries are made for the
payment of interest. Defaults from DRAWDOWN.ACCOUNT.
INT.BEN.BANK.1 For the cash side of the REPO contract, identifies the
Beneficiary Bank which is to be used for the payment of the
Interest Amount of Deposit contract types when the customer

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has requested external delivery of the interest resulting from

the transaction.
INT.BEN.BANK.2 For the cash side of the REPO contract, contains the
customer reference for the second Beneficiary Bank for the
Interest Amount. Used where contracts involve four party
transfers of funds and where disposal of interest on Deposits
will be different from disposal of principal.
INT.ADDRESS For the cash side of the REPO contract, identifies the full
name and address of a Beneficiary Bank, in respect of the
Interest Amount, when the disposal of the interest is different
from the disposal of the principal and where no Agent details
are maintained.
BEN.INT.ADDRESS For the cash side, identifies the Account details (number or
name) of the Beneficiary to be credited with the Interest
Amount (only for a REPO (cash deposit) contract).
OLD.SEC.CODE This field is populated at authorisation of the contract & is
copied from NEW.SEC.CODE.
OLD.NOMINAL This field is populated at authorisation of the contract & is
copied from NEW.NOMINAL.
OLD.CLEAN.PRICE This field is populated at authorisation of the contract & is
copied from CLEAN.PRICE.
OLD.GROSS.AMT This field is populated at authorisation of the contract & is
copied from GROSS.AMOUNT.
OLD.DIRTY.PRICE This field is populated at authorisation of the contract & is
copied from DIRTY.PRICE.
OLD.ACC.INT.AMT This field is populated at authorisation of the contract & is
copied from ACCRUED.INT.AMT.
OLD.DEPO This field is populated at authorisation of the contract & is
copied from NEW.DEPO.
OLD.SUB.ACCOUNT This field is populated at authorisation of the contract & is
copied from SUB.ACCOUNT.
OLD.CU.ACCT.NO This field is populated at authorisation of the contract & is
copied from NEW.CU.ACCT.NO.
OLD.MGN.RTE This field is populated at authorisation of the contract & is
copied from SC.INIT.MGN.RTE.
OLD.MGN.AMT This field is populated at authorisation of the contract & is
copied from SC.INIT.MGN.AMT.
OLD.TOTAL.SMNT This field is populated at authorisation of the contract & is
copied from TOTAL.SETTLEMNT.
OLD.REPO.INT This field is populated at authorisation of the contract & is
copied from REPO.INTEREST.
OLD.FWD.SMNT This field is populated at authorisation of the contract & is
copied from FWD.SETTLEMNT.

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OLD.FWD.PRICE This field is populated at authorisation of the contract & is

copied from FWD.PRICE.
OLD.BND.RND.METH This field is populated at authorisation of the contract & is
copied from BND.RND.METH.
CUST.PORTFOLIO For Customer REPO contract - The portfolio that is the source
of, or will receive, the securities side of the contract is defined
here.
BROKER.DEPO For Customer REPO contract - Specifies the broker or
depository that forms the other side of the contract.
BANK.INT.RATE For Customer REPO contract - Specifies the bank interest
rate
BANK.SPREAD.RATE For Customer REPO Contract - This is the difference between
the Bank interest rate and the customer interest rate (REPO
Rate).
BANK.SPREAD This is the Bank's spread. Calculated using the
BANK.SPREAD.RATE.
SEND.NOTICE This multi-value field is used to determine whether to send the
corresponding message or not.
The number of multi-values expansion of this field is
determined by the number of records on the
EB.MESSAGE.CLASS file.
TRADE.TIME This field records the time when the contract has taken place
DAYS.DELIVERY This field specifies the number of working days, in advance of
the Process Date, that a message is to be sent by
RP.DELIVERY.
If specified, its value will be used instead of the value
specified in the corresponding EB.ACTIVITY field
DAYS.PRIOR.EVENT.
BR.ACCOUNT.NO For Customer REPO Contract and SBB / BSB
BR.ACCOUNT.CCY For Customer REPO Contract and SBB/BSB - This is the
currency of the BR.ACCOUNT.NO.
TAX.CODE For Customer REPO Contract – This is the tax code for the
customer.
TAX.AMT For Customer REPO Contract – The calculated tax amount
based on the interest amount.
TAX.AMT.LCY For Customer REPO Contract – The calculated tax amount
based on the interest amount in the local currency.
CAPITALISATION For Open REPO Contract - Specifies whether the interest has
to be capitalized on a daily basis for the 'open' contracts. Gets
defaulted to YES.
MM.INT.DUE.DATE For Open REPO Contract - Specifies the next interest
capitalization cycle. This is defaulted to DAILY frequency.

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CALCULATION.LINK Defaults from the REPO.TYPE field. It controls how certain

fields react with each other. Refer to help text for more
information.
SC.INIT.MGN.METHOD Only available if TRANS.TYPE is set to “SECURITY”. Choose
between the “STANDARD” method of margin calculation on
Securities or the “GMRA” method.
TRANS.TYPE Select between “SECURITY” driven or “CASH” driven REPO
Contracts.
MM.LOCREF.NAME Name of a local
reference field obtained from the
MM.MONEY.MARKET application.
MM.LOCREF.DATA The data is required to populate the Local reference field on
the MM.MONEY.MARKET application for this contract.
STR.LOCREF.NAME Name of a local
reference field obtained from the
SECURITY.TRANSFER application.
STR.LOCREF.DATA The data is required to populate the Local reference field on
the SECURITY.TRANSFER application for this contract.
MATURE.AT.SOD Specifies whether REPO has to mature at the start of day of
the maturity date. Gets defaulted to “YES” if the field
PROCESS.REPO.SOD in REPO.PARAMETER is set to
“MATURITY” or “BOTH”.
The value in this field is mapped to the MATURE.AT.SOD
field in the child MM.MONEY.MARKET contract.
COUNTRY.RISK Used by the asset management module when determining
risk analysis.
GROUP.STATUS This field determines if the REPO transaction should be
considered for the netting of Delivery Instructions.
The following table shows the available settings for this field
along with their consequences
"YES", "NO" or NULL
For INTERNAL or SBL trades (as set in RT.DEAL.TYPE) this
field will default to NO, and cannot be set to NET
BR.AGENT Field used for information on instructions to the Depository.
Forms associated sub value with BR.AGENT.AC. This field is
used to determine the agent (DEAG, DEI1, DEI2...,
REAG,REI1,REI2...) in MT540-MT543 messages.
BR.AGENT.AC New field added for depository messages.
Forms associated sub value with BR.AGENT.
This field is used to determine the agent's account in MT540-
MT543 messages.
COUNTERPARTY.DEPO Records which Depository the Counterparty is using. Any
input in this field is mapped to the BROKER.DEPO field in
the SECURITY.TRANSFER record.

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This field is used to create settlement instructions for the

Clearing systems which have been set up within the
Securities Module of any Particular Bank.
If any entry exists in the BR.DEF.DEPO in the
CUSTOMER.SECURITY record of the Counterparty, that
value will be defaulted in this field provided the Depo
mentioned in the NEW.DEPO field has been setup in the
SC.CLEARING.SYSTEM application.

CPTY.SEC.DEPO.AC Records which account number of the Depository the

Counterparty is using. Any input in this field is mapped to the
BR.SEC.DEPOT.AC field in the SECURITY.TRANSFER
record.
This field is used to create settlement instructions for the
Clearing systems which have been set up within the
Securities Module of any particular Bank.
If any entry exists in the BR.SEC.DEPOT.AC in the
CUSTOMER.SECURITY record of the Counterparty, that
value will be defaulted in this field provided the Depo
mentioned in the preceding COUNTERPARTY.DEPO field has
been set up in the SC.CLEARING.SYSTEM application.
NEGATIVE.RATE A no-input field. If the value in the REPO.RATE field is
negative, this field is defaulted with a value ’YES’. If the
interest rate in the REPO.RATE field is positive this field
assumes a value ‘NO’.
The value in this field is mapped to the field NEGATIVE.RATE
in the MM.MONEY.MARKET application.
PSET This field is used to determine the place of settlement in
MT540-MT543 messages.
CANCEL.MAT.CALL This field is used to cancel an unsettled margin call or
maturity instructions
If a margin call was the last action then the associated
SECURITY.TRANSFER or FUNDS.TRANSFER contracts
will be reversed. If a cash margin call has been through the
MM.MONEY.MARKET application then this cannot be
cancelled using this field.
If the last action was entry of a maturity date for an open
REPO then the maturity date will be reset to 0.
Can only be YES if the last action was either the entry of a
maturity date for an open contract or a cash/security margin
call.
If the maturing SECURITY.TRANSFER records have been
generated then they cannot be cancelled

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FT.TRANS.TYPE This field will be mapped through to FUNDS.TRANSFER

field TRANSACTION.TYPE. Only used if making a cash
margin call using FUNDS.TRANSFER
ACTIVITY.CODE This multi-value field holds the activity code(s) of the event(s)
taking place.
ACTIVITY.DATE This multi-value field holds the date(s) the activity(s) is/are
scheduled for.
MAPPING.KEY This mutli-value field holds the mapping key(s) associated
with the message(s) being produced.
MSG.REF This multi-value field holds reference number(s) of the
message(s) produced and returned by
APPLICATION.HANDOFF
INIT.MARGIN.AMT This is the amount of Initial Margin that is related to the Cash
amount entered in PRINCIPAL.AMOUNT.1.
This field will only get populated if the TRANS.TYPE is set to
"CASH" & the INIT.MARGIN.RATE is set.
MARGIN.PORT.SUFFIX This is the suffix that will be used to create the key for the
margin portfolio. This is defaulted from the REPO.TYPE
record.
BROKER.NO For Customer REPO this field defaults to the BROKER.DEPO
field otherwise it defaults to the COUNTERPARTY field.
TRANSACTION.INDEX Defaulted from the REPO.TYPE record.
TRANSFER.CHARGES The transfer of securities under the REPO application are
without charge. This field is used for information purposes to
ensure that there are no charges on the underlying
SECURITY.TRANSFER deals.
DELIVERY.INSTR Defaulted from the REPO.TYPE record, although it can be
overwritten with a valid entry in the SC.DEL.INSTR
application.
SC.TRANS.TYPE The transfer type that will be used to include a security in the
REPO contract is defined here, and is dependant on the
TRANSACTION.INDEX of the REPO.TYPE used by the
transaction.
Where the REPO contract is a Reverse REPO - the
TRANSACTION.INDEX is set to “LOAN” - this field will use
the transfer type “TRI”.
Where the REPO contract is REPO - the
TRANSACTION.INDEX is set to “DEPOSIT” - this field will
use the transfer type “TRO”.
SC.REV.TRANS.TYPE The transfer type that will be used to remove a security from
the REPO contract is defined here, and is dependant on the
TRANSACTION.INDEX of the REPO.TYPE used by the
transaction.

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Where the REPO contract is a Reverse REPO - the

TRANSACTION.INDEX is set to “LOAN” - this field will use
the transfer type “TRO”.
Where the REPO contract is REPO - the
TRANSACTION.INDEX is set to “DEPOSIT” - this field will
use the transfer type “TRI”.

INTEREST.AMOUNT This is the total amount of REPO interest to be charged on

this Contract.
MM.INT.BASIS This will assume the same value as INTEREST.BASIS & will
be mapped through to the MM.MONEY.MARKET contract.
MM.CONTRACT.ID For the cash side of the REPO contract, a
MM.MONEY.MARKET deal is raised. The key to this deal
is held in this field.
ST.CONTRACT.ID The security side of the REPO contract is processed by
raising a SECURITY.TRANSFER deal for each security
detailed on the REPO contract.
ST.REVERSE.ID The security side of the REPO contract is processed by
raising a SECURITY.TRANSFER deal for each security
detailed on the REPO contract.
When a substitutionof securities is effected, a
SECURITY.TRANSFER deal is raised to back out any
securities that have been substituted.
When the substitution is authorised, the keys to these
contracts are held in this field.
ST.HISTORY.ID The security side of the REPO contract is processed by
raising a SECURITY.TRANSFER deal for each security
detailed on the REPO contract.
Where a substitution of securities is effected, the original
transaction references for the SECURITY.TRANSFER deals
are held in this field. The transaction references held in this
field are no longer a pert of the REPO contract, and are held
purely for information purposes.
ST.UNAU.CONT.ID When securities are defined in the REPO contract,
SECURITY.TRANSFER deals are raised to effect the
movement of the securities. When the REPO contract that
has changed the securities information is unauthorised the
keys to those SECURITY.TRANSFER deals are held in this
field.
ST.UNAU.REV.ID When a substitution of securities is effected, a
SECURITY.TRANSFER deal is raised to back out any
securities that have been substituted.
When the substitution is unauthorised, the keys to these
contracts are held in this field.

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CONTRACT.STATUS The current status of the REPO contract is held here, as a

three letter code.
INI - When the value date is in the future but the delivery
instructions for the near leg transfer of securities have been
issued based on the settings in the REPO.PARAMETER.
FWD - Contract is yet to reach value date.
CUR - The contract is current, i.e. between value date and
maturity.
MAI – Where the maturity date has not been reached but the
delivery instructions for the far leg for transfer of securities
have been issued based on the settings in the
REPO.PARAMETER.
LIQ - The contract has matured.
FT.LOCREF.NAME The name of any local reference field set up in
FUNDS.TRANSFER will be displayed in this field.
Forms part of a associated multi-value set along with the field
FT.LOCREF.DATA
FT.LOCREF.DATA This field is to be used for input of any data that the user may
want to input in the local reference field set up in
FUNDS.TRANSFER, the name of which appears in the
preceding field FT.LOCREF.NAME
Forms part of a associated multi-value set along with the field
FT.LOCREF.NAME
FT.MARGIN.ID This field contains a multi-valued list of keys to the authorised
FUNDS.TRANSFER contracts relating to cash margin calls.
Only used for cash margin calls when application
REPO.TYPE field GENERATE.FT is YES.
RT.DEAL.TYPE Populated automatically by the system on entry of
DEAL.TYPE, will contain the value from application
REPO.TYPE field DEAL.TYPE
CASH.HOLD.SETTLE CASH.HOLD.SETTLE will be used to control whether cash
will update SC.SETTLEMENT application
CASH.HOLD.SETTLE will allow input of 'YES' or 'NO'
If the ACTUAL.SETTLEMENT field is 'YES' and
SETTLE.METHOD is set to 'US' in SC.PARAMETER record
and if GENERATE.FT field on REPO.TYPE is 'YES' then
input is allowed in this field.
If this field is 'YES' then Cash accounting will use actual
settlement
If REPO transaction is authorised with CASH.HOLD.SETTLE
field set to 'YES' then the system will create a
SC.SETTLEMENT record from the Corresponding
SECURITY.TRANSFER transaction.

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SEC.HOLD.SETTLE SEC.HOLD.SETTLE is used to control whether stock will

update SC.SETTLEMENT application
SEC.HOLD.SETTLE will allow input of 'YES' or 'NO'
If the ACTUAL.SETTLEMENT field is 'YES' and
SETTLE.METHOD is set to 'US' in SC.PARAMETER record
and if GENERATE.FT field on REPO.TYPE is 'YES' then
input is allowed in this field.

If REPO transaction is authorised with SEC.HOLD.SETTLE

field set to 'YES' then the system will create a
SC.SETTLEMENT record from the Corresponding
SECURITY.TRANSFER transaction
CUST.ACT.SUSP.CAT This field is used as a category reference for the customer.
The suspense amount of the customer is posted to it.
The value is picked up from the SC.PARAMETER which
holds a similar field in it. The value is defaulted from the
SC.PARAMETER fields.
The value in this field should be a valid entry in CATEGORY
file
BROK.ACT.SUSP.CAT This field is used as a category reference for the broker. The
suspense amount of the broker is posted to it.
The value is picked up from the SC.PARAMETER which
holds a similar field in it. The value is defaulted from the
SC.PARAMETER fields
The value in this field should be a valid entry in CATEGORY
file
MISC.ACT.SUSP.CAT This field is used as a category reference for miscellaneous.
The suspense amount of miscellaneous is posted to it
The value is picked up from the SC.PARAMETER which
holds a similar field in it. The value is defaulted from the
SC.PARAMETER fields.
The value in this field should be a valid entry in CATEGORY
file
AUTO.CUST.SETT Enables the automatic settlement of the nominal and cash for
the Customers who have contractual agreements with the
Bank
This value will be defaulted to YES, if there is an "YES" in
AUTO.CUST.SETT field in CUSTOMER.SECURITY file.
The automatic settlement can be turned OFF at transaction
level, though it has been turned ON in the
CUSTOMER.SECURITY. If the field AUTO.CUST.SETT is
null in CUSTOMER.SECURITY then 'NO' will be defaulted.

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Input to this field is allowed only if CASH.HOLD.SETTLE or

SEC.HOLD.SETTLE is set to 'YES'. If BANK.PORTFOLIO is
a dealer book then this field must be set to YES if
CASH.HOLD.SETTLE or SEC.HOLD.SETTLE is YES
Allows only Yes, No or Null. Null is equivalent to NO
AUTO.BROK.SETT Enables the automatic settlement of the nominal and cash for
Brokers who have contractual agreements with the Bank.
This value will be defaulted to YES, if there is an "YES" in
AUTO.BROK.SETT field in CUSTOMER.SECURITY file.

The automatic settlement can be turned OFF at transaction

level, though it has been turned ON in the
CUSTOMER.SECURITY. If the field AUTO.BROK.SETT is
null in CUSTOMER.SECURITY then 'NO' will be defaulted.
Input to this field is allowed only if CASH.HOLD.SETTLE or
SEC.HOLD.SETTLE is set to 'Yes
Allows only Yes, No or Null. Null is equivalent to NO

Note: When the INTEREST.BASIS used is “S”, the REPO.INTEREST field is made inputtable and
the user may change the defaulted value. The input is checked against the defaulted value and:
If the changed value exceeds 5 % of the defaulted value, an error message is displayed.
If the variance is greater than 1% but below 5%, and over-ride is displayed.
If the variance is less than 1 % no warning is displayed.

On setting the INTEREST.BASIS to “S”, the value in the PRINCIPAL.AMT.2 field (if any) is cleared.
If the user modifies the value in the REPO.INTEREST field, the now recalculates the
PRINCIPAL.AMT.2. If the user does not change the value in the REPO.INTEREST field after
changing the INTEREST.BASIS to “S”, the PRINCIPAL.AMT.2 is recalculated on validation of the
record.
This field ACCRUED.INT.AMT allows the user to override the default that is populated from the
SECURITY.MASTER file. This gives greater flexibility when a predefined interest basis will not
equate to the exact amount of interest required for settlement. The existing calculation formulas are
maintained with the revised amount being reflected in the field TOTAL.SETTLEMNT.
Any differences between the accrued interest calculated from the SECURITY.MASTER record & the
ACCRUED.INT.AMT that is manually entered by the user will require manual entries.
The INTEREST.BASIS ‘S’ is not be allowed for OPEN REPO’s,

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Cross-Currency REPOs
Input of cross-currency REPOS is permitted, where the currency of the security used in the REPO
transaction differs from the currency of the REPO transaction. The exchange rate to be used for such
transactions is displayed in the FX.RATE field. The rate defaults from the currency table; however the
user has the option to change the rate defaulted by the system.

With the calculation link set to yes, once the foreign exchange amount has been calculated the cash /
security will be automatically populated to the corresponding field.

The calculations are as follows:

Security –Driven REPO:

PRINCIPAL.AMOUNT 1 = TOTAL.SETTLEMENT
TOTAL.SETTLEMENT = GROSS.AMOUNT + ACCRRUED.INT.AMT (being market value of security) *
SC.INIT.MGN.RTE * FX.RATE
When an initial margin (Haircut) is used this is taken into consideration in deriving at the
TOTAL.SETTLEMENT amount.

FWD.PRICE:
The forward price is calculated in accordance with the security chosen, for example if the security
currency is USD and the cash currency is GBP the forward price is be reflected in the security
currency. This field still has the current option to enter a forward price manually with T24
recalculating the required fields.

Principal repo cash amount (In cash CCY) = Market value of security * initial margin *FX Rate.
Principal repo cash amount ( In cash CCY) = cash in CCY to be settled on start date
Principal repo cash amount + repo interest ( subject to margin call, if any , in Cash CCY) = cash in
CCY to be settled on maturity date.

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1st Screen example of a Cross Currency Repo

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2nd Screen example of a Cross Currency Repo

Versions
Broadly speaking there are two types of REPO or RESO contracts – bilateral and trilateral. The two
versions that are supplied with the REPO application allow for these two types of transaction.

• REPO, BREPOINP defaults BILATERAL into the DEAL.TYPE fields, and the THIRD.PARTY
field is not shown.

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• REPO, TREPOINP defaults TRILATERAL into the DEAL.TYPE field, and shows the
THIRD.PARTY field.

A third type of contract is the Customer contracts. The majority of such contracts are RESO’s.

• REPO, CREPOINP defaults BILATERAL into the DEAL.TYPE field, and shows the relevant
customer fields, whilst hiding the bank fields.

SECURITY.TRANSFER

When a REPO trade is done, securities move out from the BANK.PORTFOLIO to the
MARGIN.PORTFOLIO of the COUNTERPARTY.

In a RESO, securities flow into the MARGIN.PORTFOLIO from the portfolio of the COUNTERPARTY,
this is usually not maintained by the bank.

For the forward leg of a REPO transaction, the SECURITY.TRANSFER record is created on the
VALUE.DATE or ‘n’ number of days before the VALUE.DATE depending on the value of ‘n’ that has
been set in either the DAYS.DELIVERY field of the REPO transaction or DAYS.PRIOR.EVENT field
in the RP-0140 record in EB.ACTIVITY.
The value in the field DAYS.DELIVERY in the REPO transaction takes priority over any value set in
the DAYS.PRIOR.EVENT field in the RP-0140 record in EB.ACTIVITY. The
SECURITY.POSITION will get updated on authorisation of the SECURITY.TRANSFER record
(the authorisation happening automatically when the REPO transaction has been authorised.)

If the field UPDATE.SC.POS.SOD in REPO.PARAMETER is set to ‘YES’, then the processing of the
SECURITY.TRANSFER and the update of the SECURITY.POSITION file takes place as under:

The SECURITY.TRANSFER and the resulting SECURITY.POSITION records pertaining to the

forward leg of the REPO transaction will be created immediately on authorisation of the REPO
transaction, regardless of the VALUE.DATE or any value in either the DAYS.DELIVERY field of the
REPO transaction or DAYS.PRIOR.EVENT field in the RP-0140 record in EB.ACTIVITY.

The SECURITY.TRANSFER record pertaining to the maturity leg of the REPO transaction will be
created as per the VALUE.DATE or ‘n’ number of days before the VALUE.DATE depending on the
value of ‘n’ that has been set in either the DAYS.DELIVERY field of the REPO transaction or
DAYS.PRIOR.EVENT field in the RP-0140 record in EB.ACTIVITY. The value in the field
DAYS.DELIVERY in the REPO transaction takes priority over any value set in the
DAYS.PRIOR.EVENT field in the RP-0140 record in EB.ACTIVITY. However, the
SECURITY.POSITON record will not be updated till the maturity date. The purpose of generating
the SECURITY.TRANSFER record will serve only to produce the related delivery messages.

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Since the SECURITY.TRANSFER record will be created (but SECURITY.POSITIONS will be

updated only on the maturity date of the REPO), it is necessary to maintain a list of
SECURITY.TRANSFER ID’S for which the position needs to be updated. To do this a live file,
RP.SCTR.SCHEDULES, is maintained. The id of the records in this file is the date. The system will
record the id’s of all the SECURITY.TRANSFER records for which the position needs to be updated
on a particular date.

Negative Rate REPOS

Inputting a negative interest rate in the field REPO.RATE will change the figures that are calculated
and defaulted onto field PRINCIPAL.AMOUNT.2.

Example of a Negative Rate Repo

The cash management postings to the nostro account will also change in line with negative rate
characteristics.

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The maturing interest although initially was a deposit taken will now show as a debit on the nostro
account as the interest was negative. Conversely a deposit placed will be reflected as a credit on the
nostro account.

Buy Sell Backs / Sell Buy Backs

Entering a Sell Buy Back means that a Bank has entered into agreement to sell the security and buy
the same security at an agreed future date must be reflected correctly in the Banks
SECURITY.POSITION the same way as if the Bank had entered two SEC.TRADES with a near
and far date. Any corporate actions (i.e. coupons) due during the term of the transaction would be kept
by the buyer and not paid back to the Bank as in a classic REPO.
FWD.ACCR.INT:
This is a display only field and reflects the accrued interest calculated in accordance with the current
coupon rate from the SECURITY.MASTER record of the Bond. There can be 2 methods of
calculation, which are:
1) Regular Coupon – The accrued interest will be calculated from the last coupon paid date up until
the maturity date of the REPO contract. 2) Straddled Coupon – The accrued interest will be calculated
from the next coupon date up until the maturity date of the REPO contract.
CPN.AMT:
This is a display only field and will only be populated should the transaction straddle a coupon period.
An override message will also be displayed highlighting to the user that the bond chosen in the
transaction has a coupon payable during the life of the Sell/Buy-Back or Buy/Sell-Back, this will
obviously effect the economics of the deal and the amount shown will be taken into consideration in
the calculation of the forward price. If more than one coupon is payable during the term of the trade an
error message will be displayed requesting the user to enter the forward price manually.
CPN.INVST.RATE:
This field does not allow input unless there is a value in the CPN.AMT field. If the transaction straddles
a coupon the coupon amount paid can also be invested until the maturity of the far leg, this is normally
invested at the initial REPO rate, but this is not always the case. This field therefore gives the user the
option to select the agreed investment rate to be used on the coupon amount paid. This again effect’s
the economics of the deal and will be taken into consideration in calculating the maturing price.
CPN.INVST.AMT:
This is a display field only and reflects the interest earned in relation to the CPN.INVST.RATE, this
field will only be populated when a rate is specified. This is used in the calculation of the forward price.
AGREEMENT.TYPE:
An optional input field for Buy/Sell-Back or Sell/Buy-Back only as there are no specific requirements to
have an agreement in place to trade Buy / Sell- Backs.
PRODUCT.CATEGORY:
An optional input field for Buy/Sell-Back or Sell/Buy-Back.
MARGIN.PORT.SUFFIX:
For Buy/Sell-Back or Sell/Buy-Back transactions MARGIN.PORT.SUFFIX is not be required giving the
user the option enter the counterparty the same as if trading a standard SEC.TRADE. Therefore no
default will be displayed in this field and will remain blank.

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FWD.PRICE:
This is the forward settlement price to be used on the far leg of the transaction. The price is calculated
by dividing the forward cash settlement amount by the new nominal minus the forward accrued
interest. This is an inputable field giving the user the flexibility to enter whatever price is required. This
will then recalculate the maturing cash amount:
Calculating the forward price: Buy Sell - Back
Maturing cash amount (Initial cash amount + Repo Interest) – Fwd Accrued interest
Security Nominal
Example:
(USD 52,016,205.69 – USD 395,027.62) x 100 = 103.24235614
50,000,000

Example of a Security Driven BSB

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The following examples shows the results of a BSB trade with the exception of that a coupon was paid
on the 2nd August 2003. The coupon amount paid was then reinvested at a rate of 3% until the 29th
August 2003.

Example of a security driven BSB that straddles a coupon

In the above example the Buy / Sell - Back has straddled the coupon and the amount has been
reinvested at a different rate to the REPO rate, this must be taken into consideration of the forward
price which will in turn effect the amount of cash to paid back at maturity.

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If the transaction had not straddled a coupon the total cash paid at the end would have been: USD
52,608,624.64 which is reflected in field PRINCIPAL AMOUNT 2, but the Bank had the benefit of a
coupon paid on the 2nd August 2003 for a total of:

USD 50,000,000 X 6.5 % = USD 1,625,000 (CPN.AMT)

Bank have then invested the coupon amount for the remaining period at a rate of 3.0%

USD 1,625,000.00 x 3.0% x 27 = USD 3,656.25 (CPN.INVST.AMT)

360
The total forward settlement amount would now be:

USD 52,608,324.64 – (1,625,000 + 3,656.25) = USD 50,979,668.39

Forward clean price for a straddle coupon transaction:

= (Total cash repaid at end - Accrued coupon at end) X100

Nominal

If we take the figures in the above example:

= (50,979,668.39 - 247,282.61) X 100

50,000,000.00

= 101.46477156

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Cash driven Sell/Buy-Back

If a share is used for the security with a tradable unit 1 the exact amount of nominal will be calculated.
However if the tradable units are for example 10,000 T24 will round up the required amount of stock
to ensure the value of the security displayed in the field TOTAL.SETTLEMENT.1, is equal or greater
than the cash amount entered in PRINCIPAL.AMT.1. The user has the option to change the price if
required for recalculation.

Cash driven SBB 1st screen

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Cash driven SBB 2nd screen

Special Processing
Substitution of Securities
Two multi value sets are present on the REPO contract to allow the processing of the security side of
a REPO contract. The “old” fields (OLD.SEC.CODE, OLD.NOMINAL etc) show those securities that
currently form part of the REPO contract. These fields are no input.

The new fields (NEW.SEC.CODE, NEW.NOMINAL etc) show securities that will form part of the REPO
contract once the deal has been authorised. It is these fields that the user keys into to define the
securities that form part of the REPO contract, and these fields that are used to process any
modification to the securities involved in the contract. Such modifications include:
• Increase in Nominal
• Decrease in Nominal
• Addition of a security
• Removal of a security
• Substitution of a security

The “new” fields are an “after image”. In effect, once authorised, the “new” fields are moved to the
“old” fields – and the securities defined there form the securities that form part of the contract. The
“new” fields contain the information set in the “old” fields, and act as a template for the modification of
the securities.

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It is important to note that the ability to increase / decrease the nominal of a given security should NOT
be used to satisfy a margin call. Refer to the “Margin Processing” section for details.

Initially the securities are added to the REPO contract. At this stage the contract has not been
authorised and the existing security fields are blank. There have been no movements of securities.

REPO input using a Version

Once the REPO contract is authorised and the movement of securities has taken place, the existing
securities fields are filled in. NB. The New Securities fields are still populated to allow the easy
processing of addition, removal or substitution of the securities.

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Additional fields populated in REPO

To remove a security from the REPO deal, delete the multi-value set in the New Securities section:

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Removing a security in REPO

Once the REPO contract has been authorised, the removal of the security is reflected in the existing
Security Fields.

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REPO record showing removed Securities

Addition works in a similar manner. By expanding the new Securities multi-value group, an additional
security may be added to the REPO contract. An increase in nominal is achieved by simply changing
the nominal defined.

By replacing the security defined in the new Security fields, a substitution may be effected:

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Adding new details to a REPO record

Once the REPO contract has been authorised, the substitution of the security is reflected in the
existing Security Fields.

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Updated REPO record after additions

Defaulting

The contract uses the REPO.TYPE as the main source of defaulting, and this is used to default the
TRANSACTION.INDEX, the PRODUCT.CATEGORY and once the COUNTERPARTY has been entered
the MARGIN.PORTFOLIO.

The MARGIN.PORTFOLIO produces the default value for the security customer account (i.e. the
NEW.CU.ACCT.NO field) according to the currency of the REPO entered. If no account exists in the
portfolio for that currency, the first account defined is used.

Other defaults are as follows:

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Field Default Value

TRADE.DATE Current System Date (TODAY)
BUSINESS.CENTRE From CURRENCY
PRINCIPAL.AMOUNT.2 When the REPO.RATE is defined
PRODUCT.CATEGORY Defaulted from the REPO.TYPE record for the REPO.TYPE.
INTEREST.BASIS From CURRENCY
LIMIT.REFERENCE Standard T24 limit processing. See limits under installation.
NEW.NOMINAL If the CALCULATION.LINK is set to “YES” and TRANS.TYPE is
“CASH” in the REPO contract and the AUTO.CALC.NOMINAL is set
to “YES” in REPO.PARAMETER this field will be populated. It will
take the PRINCIPAL.AMOUNT.1 value, take into account any other
securities already entered and calculate the nominal based on the
cash that is left.
CLEAN.PRICE This defaults from the LAST.PRICE field from the
SECURITY.MASTER, once this field has been populated the first
time manual alteration is required.
If DIRTY.PRICE is modified then this field will be updated.
GROSS.AMOUNT Populated when NEW.NOMINAL is entered.
DIRTY.PRICE Populated when NEW.NOMINAL is entered.
ACCRUED.INT.AMT Populated when NEW.NOMINAL is entered.
NEW.DEPO From the DEFAULT.DEPOSITORY of the SECURITY.MASTER
TOTAL.SETTLEMNT Populated when NEW.NOMINAL is entered.
ACC.INTEREST Populated when NEW.NOMINAL is entered.
FWD.SETTLEMNT Populated when NEW.NOMINAL is entered.
FWD.PRICE Populated when NEW.NOMINAL is entered.
DRAWDOWN.ACCOUNT Standard T24 settlement instruction defaults. The nostro accounts
are examined first, then the customer accounts.
PRIN.BEN.BANK.1
PRIN.BEN.BANK.2
BENEF.PRIN.ACCT
INT.LIQ.ACCT From DRAWDOWN.ACCOUNT
PRIN.LIQ.ACCT From DRAWDOWN.ACCOUNT

Margin Processing
Margin Accounts

The margin accounts are used to record any margin calls if required.
The user has the option to define the required account or use the memo account.

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Defined account postings to be used by establishing various accounts on the SEC.ACC.MASTER

several accounts in differing currencies may be used if required. Normally, margin calls are made in
the reference currency.
If the currency of the security does not have an account specified in the margin portfolio, then the first
account defined is used as the default.

Initial Margins

SC.INIT.MARGIN.RATE allows the user the option to select what margin rate is to be applied to
each security/multiple securities that are entered. This field will only become active if the option of
SECURITY has been selected in the field TRANS.TYPE.
SC.INT.MGN.METHOD has a default of STANDARD with the option to select: STANDARD, or GMRA.
The INIT.MARGIN.RATE field outside the multi-value set is used for initial cash margins and will
then become a no input field if the option of SECURITY is selected in the field TRANS.TYPE, the
reverse logic is applied when the option of CASH is selected.
The normal market requirement for a Buyer is that the collateral is always slightly higher by say 5%
than the cash loan. If this is the case the user would use the default of Standard. This is explained in
the following example:
Once the user has selected which type of security they wish to REPO and the amount of nominal, T24
will default the clean and dirty price, this information will then populate the field
PRINCIPAL.AMOUNT.1.
However if the user has populated the SC.INT.MGN.RATE the amount shown in
PRINCIPAL.AMOUNT.1, will be reduced by the new calculation method.
When populating the SC.INT.MGN.RATE the user will enter the percentage amount of the margin for
example 5%. T24 will then calculate the new principal amount as follows:

Standard Method:
Cash amount = market value of security x margin
= Nominal x dirty price x margin
= 1,000,000 x 96 x 0.95
= 912,000
The buyer has demanded a 5 percent haircut, meaning they intend to transfer cash, which is 5 percent
less than the market value of the security.
The program will realise the calculation required to derive at the correct cash amount is to multiply the
nominal of security by (0.95) and not 5. Thus reducing the nominal amount by 5 percent, the reduced
amount will then be multiplied by the current dirty price to equal the financing amount.
This will allow the user to enter the correct amount of percentage to ensure the correct figures are
transferred to the confirmation.
The information stored in this field will be used to generate the child MM.MONEY.MARKET contract.
No additional entries will be required for the initial margin as the cash received or lent has been
reduced to reflect the margin amount. The cash deposit will continue to accrue interest at the current
REPO rate in the normal way. With the total amount repayable at maturity being calculated at the
reduced cash amount. Any additional margin calls will be booked in the normal way to the customer
margin portfolio account.

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The second option of GMRA this will indicate that the margin calculation is to be expressed as:
GMRA Method:
Cash amount = market value of security x margin
= Nominal x dirty price x margin
= 1,000,000 x 96 x (1 /1.05)
= 914,285.71

The logic behind this procedure will be that T24 will use the clean price stored in the
SECURITY.MASTER file plus any accrued coupon interest on the security thus deriving at the dirty
price. The final cash proceeds will then be calculated against the dirty price, less the initial margin in
accordance with the haircut method selected by the user.

Margin Call Processing

The counterparty margin portfolio is updated by the REPO application and it is this portfolio that is
used as the basis for the margin processing. If the same counterparty is involved in both REPO and
RESO transactions with the Bank, two margin portfolios are needed to record the transactions
separately.

The ENQUIRY SC.VAL.REPO is used to perform a valuation of the margin portfolio, and based on
this information; the bank can decide whether to make a margin call, or whether one is to be expected
from the COUNTERPARTY of the REPO contract.

Since all REPO contracts and RESO contracts will be recorded in different portfolios, the margin
valuation enquiry should only be run over RESO portfolios to establish which counter parties your
organisation may wish to call additional cash margins. The decision as to whether your organisation
will be required to pay additional margin in respect of a REPO rests of course, with the other party.
You may however, run the enquiry over both REPO and RESO portfolios if required.

The SC.VAL.REPO enquiry therefore allows the Bank to view the margin call as either a net REPO
position or a net RESO position, derived using all contracts with a given counter party. Refer to the
Enquiries section of this chapter for further information.

Procedure for handling Margin Calls

Margin Calls may be made in terms of (1) a change in the Principal Amount – Cash Margin Calls (2) a
change in the number of nominals or (3) a substitution of the security with or without a change in
nominals may also be constitute a margin call. Option number (2) and (3) are referred to as security
based margin calls later on in this document.

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Margin Calls Settled in Cash

To affect a Cash Margin Call, i.e. by making a change in the Principal, the user will need to key in the
amount by which the Principal is to be increased or decreased in the PRIN.INCREASE field. This field
allows input only in an authorised record. A negative value may be input in this field to obtain a
decrease in the original Principal.
When a value is input in the PRIN.INCREASE field, two other fields associated with the margin call
become inputtable. These are the MGN.CALL.EFF.DATE field and the SEND.PAYMENT field. The
MGN.CALL.EFF.DATE field will hold the date on which the margin call comes into effect. The
effective date must fall between the VALUE.DATE and the MATURITY.DATE of the contract. The
user may input a back valued date provided it falls between the VALUE.DATE and the
MATURITY.DATE of the contract.
The MGN.CALL.EFF.DATE field becomes mandatory if there is a value in the PRIN.INCREASE field,
or, a change has been made, in an authorised record, to the NEW.SEC.CODE or NEW.NOMINALS
fields.

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PRIN.INCREASE field in REPO Transaction

The SEND.PAYMENT field is used to determine whether any delivery message is to be sent for the
change in the Principal. If this field is set to YES, then delivery instructions will be generated to pay or
receive cash. The default value for this field is NO.

When a cash based margin call is made, by using the PRIN.INCREASE field to increase or decrease
the principal, the change in the REPO Interest on account of the change in the Principal is displayed in
the field PRIN.INCREASE.INT.

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If the MGN.CALL.EFF.DATE is in the future, the revised Principal on account of the margin call is
displayed in the PROJ.CASH.AMT field. During the Close of Business (End of Day in earlier releases)
operation on the MGN.CALL.EFF.DATE, the PRINCIPAL.AMT.1 gets revised to reflect the margin
call and the value in the PROJ.CASH.AMT field is cleared. The PRINCIPAL.AMT.2 field will be
recalculated based on the new value in the PRINCIPAL.AMT.1 field.

Accounting entries will be adjusted accordingly with the correct generation of SWIFT messages for
receipt of cash (MT210) or payment of cash (MT202 / MT100 /103).

The FWD.SETTLEMENT and FWD.PRICE will be recalculated, with the option to override at input
level.

The investment rate will be restricted to the original REPO rate specified at the initiation of the contract.

Accruals of interest, at the REPO.RATE, will take place on the revised Principal following the
MGN.CALL.EFF.DATE.

Margin Calls settled in Securities

To effect margin calls in Securities, the user has the option of replacing the security with one of higher
value or increasing the nominals. Any change made to either the NEW.SEC.CODE field or the
NEW.NOMINALS field will make the MGN.CALL.EFF.DATE and the MGN.DELIV.INSTR fields
inputtable.

These fields are mandatory for a margin call settled in securities. The field MGN.DELIV.INSTR will
accept only instructions that do not entail any payment.

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Margin Call settled in Securities

If the margin call has been made by changing the number of nominals, the delivery instructions for the
movement of securities will be generated for the difference between the old value in the
NEW.NOMINALS FIELD and the changed value.

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Coupon payment processing

The original owner can receive directly the payment of the coupon for his REPO positions. When the
ENTITLEMENT record of the Bank’s own portfolio is authorized then separate REPO entries can be
posted on a special account per REPO transactions. The SPLIT.DEBIT.CPN field should be set to
‘YES’ and the NOSTRO.ACCOUNT updated for the REPO application with the Nostro’s REPO
account.

The REPO transactions are detailed in the RP.ALT.NOSTRO record keyed on the DIARY ID.
The information can be also found at the DIARY level where there is the total cash amount of the
REPO entries.
The RESO entries can be also posted on a separate account. This is done if the ENT.CPN.SUSP field
is updated in the REPO.PARAMETER record. In this case, the ACCOUNT.NO field is updated with
this RESO account in the ENTITLEMENT record of the RESO portfolio.

RP.ALT.NOSTRO
Its purpose is to supply information to the user when a COUPON is received from a REPO
counterparty and funds are paid to the alternate cash nostro.

The record is created if:

The SPLIT.DEBIT.CPN field is set to “YES” in REPO.PARAMETER.

The APPLICATION field is set to “RP” in the NOSTRO.ACCOUNT record keyed on the security
currency.
There are REPO records for the Bank's own portfolio's.
‘LIVE’ File.
Keyed with the same reference as the DIARY ID.
All the process of calculation is based on the same criteria than ones used for the creation of
ENTITLEMENT records.

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Example of RP.ALT.NOSTRO Record

Field Name Operation

DEP.NO This field contains the depository number on which there are
REPO positions.
RP.ACCOUNT This field contains the Nostro account for the REPO entries.
It is defaulted from the ACCOUNT field in the
NOSTRO.ACCOUNT record keyed on the security currency
if the APPLICATION field is set up to “RP”.
COUNTERPARTY This field contains the REPO counterparty portfolio defined in
the REPO contract.
RP.NOMINAL The field indicates the nominal of the REPO contract with the
Dealer Book.
RP.GROSS.AMT This field shows the REPO gross cash amount in the security
currency.
This amount is the result of the same process of calculation
than one used for the ENTITLEMENT.AMT value in
ENTITLEMENT record.
RP.NET.AMT This field shows the REPO net cash amount in the security
currency.
RP.NET.AMT = RP.GROSS.AMT - (RP.SRC.TAX +
RP.TOT.CHGS)
RP.CASH.CCY Security currency
RP.CASH.XCH The exchange rate used between the security currency and
the local currency.
RP.NET.LCY The REPO net cash amount in the local currency.

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RP.SCTR.UPD.SCHEDULES
This file stores REPO record ID’s, which require the delivery messages to be generated at a later date
for the far leg security movements.

• ‘LIVE’ file
• Only updated if the field UPDATE.SC.POS.UPD is set to “YES” in REPO.PARAMETER.
• Keyed on the date that SECURITY.TRANSFERS will be generated.
When the record is processed REPO.POSITION, RESO.POSITION and SECURITY.POSITION
records are updated.

Example of RP.SCTR.UPD.SCHEDULES Record

Field Name Operation

SEC.TFR.ID Specifies the ID’s of the SECURITY.TRANSFER record to
be processed for updating SECURITY.POSITION,
REPO.POSITION and RESO.POSITION.
REPO.CONT.ID This is the REPO contract that the SECURITY.POSITION
in SEC.TFR.ID relates to.

If the field UPDATE.SC.POS.SOD in the REPO.PARAMETER is set to yes then the

SECURITY.TRANSFER for the far leg will created based on the value, if any, in the
DAYS.DELIVERY field on the REPO transaction, the DAYS.PRIOR.ACTIVITY field on the RP-0140
record of EB.ACTIVITY.
However, the SECURITY.POSITION will be updated only at the SOD of the maturity date. The
system will record the ID’s of all the SECURITY.TRANSFER records for which the position needs to
be updated on a particular date in this file. Specifies the date of processing. A COB process will
process the SECURITY.TRANSFER records scheduled for process on the said date.

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Overview of Input and Processing SBL

Stock Borrow / lending
T24 has the ability to be able to process Stock Borrow Lending transactions for customer, and own
book positions.

Main Trade Flow

If we assume for this example that Customer 1 has sold short 100 IBM shares via a SEC.TRADE and
requires the option to cover this position via a borrow rather than a close out via a further SEC.TRADE.
Market Trade 1 - borrow 100 shares
Internal Trade 2 - lend 100 shares to customer 1
Both trade 1 and 2 go through wash book as a control. I.e. Trades 1 and 2 are two-sided:
Trade 1 – borrow to wash with an external counterparty / broker
Trade 2 – lend to an internal customer with portfolio as counterparty / broker
T1 and T2 are independent transactions. There may be multiple T1s against multiple T2s, however
there is no direct link within the system. Manual control ensures that positions borrowed offset
positions lent i.e. the control account (wash position) should be at 0. The booking of a T2 is not
dependent on the booking of a T1 and vice versa.
If we use the details in the above example we need to cover customer 1 short position. The flow of the
required trades would be as follows:

T1: Borrow 100 IBM T2: Lend of 100 IBM

Shares from market. CP Wash Account Shares from wash for
= Market CP Customer 1

The client position is not moved as a result of Trade 2. For example, if they are short and borrow to
cover this, they remain short (with a borrowed position).
Trade 1 produces an Agent/Depository instruction in MT 540 / 542 format. Generally this is FOP, but
this may also be DVP transactions.
No depository messaging is required for trade 2, as this is an internal trade and we are only switching
between security positions wash – customer.
Trade 2 booking will tell us not only client, but also portfolio (where long and short portfolios are held
for the client).
There is no link between trade 1 and trade 2. For example, a client may return 100 shares on trade 2,
and another client then borrows 100 with another T2. There is no requirement for a return T1. In this
case the positions net out but this is not necessary: the position may be maintained as a pending
position between T2 and T1. For example, client x returns 100 and client y borrows 60. The “own
book / wash” control account will have a position of 40, which would be manually closed by users
through T1 or T2 transactions.
As all depository messaging is at T1, the T1 trades will move the stocks.
Typically the traded borrows and loans will always offset. The “ wash control” portfolio will indicate
where there are differences by the presence of a position. There will however be settlement
differences, which will be monitored through normal settlement procedures. These would arise

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because, for example, although T2 has settled contractually or actually (using AUTO.CUS.SETTLE),
T1 is still unsettled.
T2 returns will be received with instructions as to which position should be returned (in the case of
multiple borrows making up the borrowed position).

Entering a Stock Borrow Lend Contract

NEW.CU.ACCT.NO
The field is used to control the account postings for SBL transactions in conjunction with the amended
field BR.ACCOUNT.NO.

This functionality is controlled by DEAL.TYPE (INTERNAL or STOCK.BORROW.LEND) selected in

the REPO.TYPE, with the setting in GENERATE.FT also being set to Yes.
If the user has made this selection these fields will be used for the postings of the required accounting
entries.
The accounting entries to be populated in this field will be linked to the portfolio used on the contract,
specified in the SEC. ACC. MASTER
BR.ACCOUNT.NO
This field allows the account postings of the required SBL transaction in conjunction with amended
field NEW.CU.ACCT.NO

This functionality is controlled by DEAL.TYPE (INTERNAL or STOCK.BORROW.LEND) selected in

the REPO.TYPE, with the setting in GENERATE.FT also being set to Yes.
If the user has made this selection these fields will be used for the postings of the required accounting
entries.
This field will allow all account types and is not restricted to just NOSTRO accounts.
The population of this field is controlled by the specific DEAL.TYPE used in conjunction with the
settings in SEC.ACC.MASTER and the account specified in the NOSTRO.ACCOUNT file.
DRAWDOWN.ACCOUNT, PRIN.LIQ.ACCT and INT.LIQ.ACCT
These fields will become no input if the user has selected the option in the Yes in the field
GENERATE.FT in the REPO.TYPE
BANK.PORTFOLIO
This field will accept the user to define a bank portfolio (Own Book) or a customer portfolio.
MARGIN.PORTFOLIO
This field allows the default of a standard portfolio (-1), which will default from the COUNTERPARTY
field. This functionality is driven by the REPO.TYPE and will only be available for internal trades. This
functionality is required to ensure the SECURITY.POSITION of the Bank is updated correctly.
GROUP.STATUS
No input will be allowed to this field and will default to NO if any of the associated DEAL.TYPES
INTERNAL or STOCK.BORROW.LEND have been selected in the REPO.TYPE.

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Entering Stock Borrow and Lending Contracts

Market Deal Type

Example of 1st SBL Screen

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Example of 2nd SBL Screen

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Example of 3rd SBL Screen

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Example of 4th SBL Screen

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Example of 5th SBL Screen

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Security positions:
Created from the above deal are shown below:
SECURITY.POSITION for wash account shows a borrow of 10,000 American Power Rights

Examples of SECURITY.POSITIONS

The drill down on this position shows the SBL trade contract ID and counterparty

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Example of a RESO.POSITION

The SECURITY POSITION below shows who we have borrowed the stock from.

Example of a SECURITY.POSITION

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Internal Deal

Example of the 1st Internal SBL Screen

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Example of 2nd Internal SBL Screen

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Example of 3rd Internal SBL Screen

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Example of 4th Internal SBL Screen

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Example of 5th Internal SBL Screen

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Security positions, Internal Trade

Example of a SECURITY.POSITION

SECURITY.POSITION for Bell Atlantic show an original short position of -10,000 which has been
covered by the borrow (RESO Nominal) of 10,000

Example of a SECURITY.POSITION

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The SECURITY.POSITION for the wash will now show a borrow of 10,000 from the market and a
lend to Bell Atlantic for 10,000.

Example of SECURITY.POSITIONS

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The REPO.POSITION (LENT) shows the wash has lend the stock to Bell Atlantic

Example of a REPO.POSITION

Early Maturity

The application allows the user to amend the maturity date on fixed term trades. This functionality is
only available when the user has selected the option in the REPO.TYPE of yes in the field
GENERATE.FT.

The user has the option to go back into the original trade and enter a new maturity date. This will then
trigger the required settlement / SWIFT messages in accordance with the lead time.

The accounting and the security positions will be updated with the early close out by the current
functionality of a SECURITY.TRANSFER record.

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Example of a contract before Early Maturity

Example of the same contract after Early Maturity

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Margin Calls, and Cancellation of Partial / Full Returns.

The field SUPPRESS.DELIVERY in the security multi value set can be used to control the SWIFT
delivery for a complete or partial change in security (substitution). There is an option to select YES or
NO with a default of NO.

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An example of a Suppress Delivery on a SBL Trade

The field CANCEL.MAT.CALL gives the option to select YES or NO, with a default of NO. It is used to
cancel the unsettled margin calls for FOP trades only and maturing / return instructions on a FOP and
DVP basis.
If YES has been selected T24 will reverse this SECURITY.TRANSFER with the generation of the
required SWIFT cancellation message (MT54X Cancel) and update the SECURITY. POSITION to
reflect the cancellation of stock movement without the generation of a further
SECURITY.TRANSFER record.
The field NEW.NOMINAL will be automatically re populated with the nominal amount prior to the
capturing of the nominal amount (decrease / increase) of the margin call. Cancellation of instructions
on the maturing / return side of the transaction for FOP and DVP trades that are open ended only.

FOP Open Trades:

If a YES has been selected in the field CANCEL.MAT.CALL, the above processing logic will be
followed of cancelling the associated SECURITY.TRANSFER with the correct generation of the
required SWIFT and update to the security position. To close out an open trade, T24 would have been
populated in the field MATURITY.DATE with an agreed close out / return date.
If YES has been populated in the field CANCEL.MAT.CALL T24 will access the history record and
populate the MATURITY.DATE with the previous value of Zero, confirming the trade has been
returned to its previous status of open ended.

DVP Open Trades:

The same processing logic as applied to FOP trades will be used for DVP trades with the additional
functionality of reversing the FUNDS.TRANSFER, that has been generated for the posting of the
accounting entries for the cash amount. T24 views the FUNDS.TRANSFER ID stored in the field
FT.TRANS.TYPE, which has been generated for the account posting for the maturing / return leg, and
reverse these accounting entries.
The field PRINCIPAL.AMOUNT.2 will be automatically re populated with the cash amount prior to the
close out / return date.T24 will also populate the MATURITY.DATE with the previous value of Zero,
confirming the trade has been returned to its previous status of open ended. The field
CANCEL.MAT.CALL will only become effective providing the option of YES has been selected in the
field GENERARTE.FT in the REPO.TYPE

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Margin Calls – Back Dated or Same Day

Multiple margin calls can be transacted for settlement the same day or backdated. The margin call
must be authorised prior to a further calls being made.

Margin Calls on Open trades

Margin calls (stock returns/stock increases) for REPO contracts with no maturity date only applies to
those REPO contracts where the REPO.TYPE field DEAL.TYPE is STOCK.BORROW.LEND or
INTERNAL. It is also possible to specify the NEW. NOMINAL as zero, indicating that all the stock is to
be returned, the restriction dependent on the REPO.TYPE field DEAL.TYPE also applies, i.e. the
nominal can only be set to zero for STOCK.BORROW.LEND or INTERNAL trade types. It will not be
possible to initiate a REPO contract with the stock specified but with zero nominal. All contract
initiations must include a nominal value greater than zero if the stock is specified.
It is not possible to enter a value for maturity date, field MATURITY.DATE, on a REPO contract if the
nominal is zero. If the maturity date is specified on a previously open contract or a contract is early
matured then the date entered is checked to ensure that the maturity date is greater than or equal to
any margin call value dates that have been entered but not cancelled.
Intra day trading is the ability to enter an SBL with the trade date and settlement date today, and the
requirement to close out the trade today. The option to enter a trade with a zero maturity and then
reduce the NEW.NOMINAL to zero allows this option.
SBL contracts that have a zero nominal will be moved to history according to the setting in the field
DAYS.POST.MATURITY in the REPO.PARAMETER

MGN.CALL.TRD.DATE
This field is used in the corresponding SECURITY.TRANSFER record and used on outgoing delivery
messages. It is not be mandatory to populate this field when making a margin call but if it is not
specified explicitly then the REPO contract trade date will be used. It is not possible to input a margin
call trade date that precedes the contract trade date. The margin call value date must also not precede
the contract value date. If a margin call is made on a REPO contract where the CONTRACT.STATUS
is FWD then no SECURITY.TRANSFER records will be generated for this call and the amendment
will only be seen through the difference between contract history records. FWD contracts are those
contracts whose initial SECURITY.TRANSFER has not yet been generated. Such forward contracts
will then result in a single delivery message being generated for the net nominal when the close of
business job generates the contract initiation. However if EB.ACTIVITY is set so that the contract
status is CUR then SECURITY.TRANSFER will be generated for the margin call (as the contract
initiation will also have been generated).

Example of a Margin call trade date

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Staggered Margin calls.

There are no pre-determined order checks on any margin calls. If a margin call is entered then it is not
necessary the trade date and/or value date for this call is greater than the previous margin call. The
only restriction made is against the REPO contract, i.e. the trade date and value date of the margin
must not precede the contract dates. Each margin call must be input and authorised before the next
margin call can be entered. The existing margin call fields are to be used and are single value fields
only.

Margin call entered value 8th for 500,000

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This functionality allows the user to input multiple activities across various settlement dates without the
requirement for the current margin call to have settled before a further call can be entered. Each
margin call will result in sending of a new delivery message, which will be for the change of nominal.

Second margin call entered for 500,000 value 8th

Third margin call entered for 500,000 value 9th

Fourth margin call entered for 1,500,000 value 10th

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The above screen shots show how it is possible to enter multiple margin calls on the same contract for
different / same value dates to increase or decrease the original security nominal.
As part of the staggered margin call processing it is possible to raise such calls using the
MGN.CALL.EFF.DATE prior to the start date of the main contract becoming effective. That is, the
effective dates may be equal to or greater than the start date (VALUE.DATE) of the contract for a
STOCK.BORROW.LEND or an INTERNAL REPO.TYPE.

Cancellation of a specific margin call.

T24 allows the user to cancel a specific margin call by entering the SECURITY identification number in
the field CANCEL.MAT.CALL. The option of YES will only cancel the last action made. To cancel a
specific SECURITY.TRANSFER the user must enter the id, this can be any of the previous calls
made, and providing the original contract security nominal will not be reduced below zero.

Example of a specific SECURITY.TRANSFER ID Used

If an open trade is closed out by entering a maturity date this user has the option to cancel the last
change and return the trade to open.
The user is not able to cancel margin call on a term trade that would return the security nominal to
zero, error message will be displayed.

Corporate action processing on Zero nominal SBL

Corporate Actions are processed in exactly the same way but now the process is able to identify zero
position SBLs as well as over- borrowing and over-lending cases as required.
In these cases, therefore, the changes are transparent.
For example, we have the current option to reduce the nominal on any REPO contract to zero by the
use of margin increase/decrease facility. The contract will remain in the “LIVE” file depending on the
setting in the REPO.PARAMETER field DAYS.POS.MATURITY. The CA process will therefore
interrogate these trades and include only the trades that had a nominal balance at the time the CA is
run. If however the balance was zero this will not be include in the ENTITLEMENT produced by T24.

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Own Book (Dealer book) SBL Processing

Own Book (Dealer book) Stock Borrow / Lend transactions can be processed and accounting updated
accordingly by establishing a CATEGORY code in the field DEALER.BOOK.SUS in the REPO.TYPE
file.
This field has certain validation rules applied before a valid CATEGORY code is accepted. Firstly the
accepted range must be between 10000 and 19999, the field GENERATE.FT must be set to YES and
the DEAL.TYPE field can’t have a value if internal.
At transaction stage the system will validate that if an Own Book portfolio has been specified the
REPO.TYPE used has a CATEGORY code defined, otherwise a suitable error message is
displayed.
Accounting will then be updated accordingly posting correct values to this internal suspense account
per currency.
REPO.TYPE
The field DEALER.BOOK.SUSP accepts a valid CATEGORY code as long as all validation criteria is
met.

Example of a REPO.TYPE

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REPO
Once a correct category code has been established in the REPO.TYPE then this account category
will be defaulted onto the contract as shown below.

Example of a CATEGORY on a REPO contract

STMT.ENTRY RECORDS for this contract will then be created accordingly for the Own Book and
nostro postings.

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Dividend Processing for SBL

A special process relating to cash corporate actions allows the user to capture specific borrow and
lending rates per REPO contract.
The field SBL.DIV.RATE is used to record these specific borrow and lending rates. Then based on
the customers overall depository position and taking into account all settled borrow and lending
transactions this rate is used in the final cash calculation for the customer and counterparty / brokers
ENTITLEMENT record.
In the event of the client selling short, he may not be able to borrow sufficient stock to cover the entire
short position, and hence this would result in an under-borrow situation. Similarly, he may actually
wish to borrow more stock than is actually required to cover the short position, and hence this would
result in an over-borrow situation.
When a cash dividend is paid, the client is debited for any borrows (as at record date) using the
appropriate dividend borrowing rate(s).
The overall net position of the client is also determined. If the client has over-borrowed, i.e. he has a
net long position, then the dividend on this position is calculated as if it were a normal long position
(using existing client with-holding tax rates).
If, however, the client has a net-short position, i.e. he has under-borrowed, then the dividend on this
position is calculated using the maximum tax rate applicable for that country, and is stored at
agent/depository level. The field MAX.TAX.RATE in the CUSTOMER.SECURITY record stores this
value per depository level.
This functionality is activated by populating the appropriate fields in DIARY.TYPE.

DIARY.TYPE

The following fields SBL.DIV.PROC, DIV.CONTROL.CAT and DIV.TRANS.TYPE need to be

populated to activate this functionality.

Example of a CASH DIARY.TYPE

SBL.DIV.PROC

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This field will control whether dividend processing is activated or not. This field will accept a value of
either ‘YES’ or ‘NO’ and will control whether the following two fields are needed.

DIV.CONTROL.CAT
This field will be used to create s suspense account which will be used to control the contra entries
paid on borrow and lent positions. A valid CATEGORY code must be created before hand which is
then validated by this field.

DIV.TRANS.TYPE
This field will be used to enter a valid SC.TRANS.TYPE record which will be used when processing
dividends on borrowed and lent positions.

CUSTOMER.SECURITY

Example of a CUSTOMER.SECURITY

MAX.TAX.RATE
This field will be used to enter the maximum tax rate for a depository, and will be used when
calculating dividends payable by client’s on short positions, be this a net-short or a completely
uncovered short position.
This field will only allow input when the CUSTOMER.TYPE field has been set to ‘DEPOSITORY’.

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REPO

Example of a SBL trade with an SBL Div Rate

SBL.DIV.RATE
This field will be used to enter the dividend borrowing rate for borrow or lending transaction in the
REPO application. The value represents a percentage so or example if a normal entitlement of cash
was calculated as £100 then the recalculation after applying the above SBL rate would be £110.
The SBL contract Dividend Rate has an associated EFFECTIVE.DATE field which allows Corporate
Action processing to select an appropriate DBR based on the Record Date contained within the
DIARY record which drives the Corporate Action processing both for new events and for reruns of
existing SBL contract related actions.
SBL.DIV.RATE and SBL.EFF.DATE are linked sub-valued fields related to each of the multi-valued
New Security Codes as illustrated in the following SBL contract:

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Example of Sub Value SBL Div Rates

The rates must be entered in ascending date order. Dates must be entered if more than a single rate
is entered. Otherwise, no date is necessary.
The appropriate rate will be extracted for Corporate Action processing. In the case of a single rate
there will be no date checking in Corporate Actions as the single rate will always be used.
These Rates and Dates are also stored on the SBL contract in the OLD.SBL.RTE and OLD.SBL.DTE
fields.

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The SECURITY.TRANSFER relating to the SBL contract will contain the LAST Dividend Rate.

SECURITY.TRANSFER with the LAST Div Rate

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SECURITY.TRANS will also contain LAST Div Rate

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DIARY example

When a Corporate Action is initiated the RECORD.DATE will determine which ruling Dividend Rate is
extracted from the relevant SBL contracts. If there is no RECORD.DATE then the EX.DATE from the
DIARY will be used.

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A full SBL to Corporate Action cycle will look like this:

SBL example

Using SBL contract RP0312900005 for a single Security there is an effective SBL.DIV.RATE of 95
from 31/05/03

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DIARY

A CASH DIARY has been created for Security 100045-000

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The DIARY record has a RECORD.DATE of 24/06/03

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ENTITLEMENT

Entitlement example
The resulting ENTITLEMENT has made a calculation on the LENT.NOMINAL of 4,750.00 since the
SBL.DIV.RATE of 95 was effective since 31/05/03 and the DIARY RECORD.DATE is 24/06/03
(LENT.NOMINAL * SBL.DIV.RATE = LENT.AMT, i.e., 5,000 * 95% = 4,750.00)
This method is used for multiple SBL contracts when Corporate Actions are run. Therefore, any rate
that is ruling on any contract at the time of the Corporate Action is calculated per contract and the
result is summed on the ENTITLEMENT record.

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SEC.ACC.MASTER

Example of a wash portfolio SEC.ACC.MASTER

WASH.PORTFOLIO
This field will be used to identify which portfolio is identified as a wash portfolio, this field will accept
values of ‘YES’ or ‘NO’ with the default being ‘NO’.
Portfolio’s which are defined as this type will be ignored for the purpose of calculating
ENTITLEMENT records.
If required these type of portfolios can be used as a control account between market borrow and
lending (street trades) and internal borrow and lending from customers.
If this is the chosen option then the fields REPO.NOMINAL and RESO.NOMINAL on the control
accounts SECURITY.POSITION relating to the transaction can be reconciled so for each borrow
there must be a lending transaction.

ENTITLEMENT

Example of an ENTITLEMENT enquiry

BORROW.NOMINAL
This field will be used to display the client’s borrowed position as at the record date of the associated
corporate event. This field will be automatically calculated and updated by the system.

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BORROW.AMT
This field will hold the amount payable by the client for the dividend on his borrowed position. This field
will be automatically calculated by the system using the formula:

Borrowed Position x Dividend Rate x Dividend Borrowing Rate

The values for this formula will be derived as follows:

• Borrowed Position will be recorded in the BORROW.NOMINAL field of the ENTITLEMENT

record.
• Dividend Rate will be recorded in the RATE field of the associated DIARY event.
• Dividend Borrowing Rate will be recorded in the SBL.DIV.RATE field of the underlying
borrow transaction entered in the REPO application.

LENDING.NOMINAL
This field will be used to display the client’s lent position as at the record date of the associated
corporate event. This field will be automatically calculated and updated by the system.

LENDING.AMT
This field will hold the amount payable to the client for the dividend on his lent position. This field will
be automatically calculated by the system using the formula:
Lent Position x Dividend Rate x Dividend Borrowing Rate
The values for this formula will be derived as follows:

• Lent Position will be recorded in the LENDING.NOMINAL field of the ENTITLEMENT

record.
• Dividend Rate will be recorded in the RATE field of the associated DIARY event.
• Dividend Borrowing Rate will be recorded in the DBL.DIV.RATE field of the underlying SBL
lend transaction entered in the REPO application.

SBL.QUALIFY.HOLD
This field will contain the client’s net outstanding position.
When the client is borrowing, this will be calculated by the system using the formula:

Ex-date -1 closing position plus Record-date settled borrowed position.

When the client is lending, this will be calculated by system using the formula:

Ex-date -1 closing position minus Record-date settled lent position.

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SC.SETTLEMENT
The following fields are in the customer multi-value set of fields and are used to control the specific
settlement process relating to the cash amounts produced from the borrow and lending dividend
borrowing rate transactions.

Example of an SC.SETTLEMENT
BW.AMT.SETTLED
This field is similar and acts the same way as field CU.AMT.SETTLED it stores the borrow amount
settled till date.
BW.AMT.OUTSTAND
This field is similar and acts the same way as field CU.NOM.OUTSTAND it stores the borrow amount
to be settled. The value of this field is mapped from the BORROW.AMT field of the ENTITLEMENT
record.
BW.AMT.REC.PAID
This field is similar to CU.AMT.REC.PAID and is used to capture the customer’s borrow amount
being settled.
BW.REV.AMT
This field is similar to CU.REVERSE.AMT and is used to capture the customer settled borrow amount
being reversed.
BW.AMT.VAL.DT
This field is similar to CU.AMT.VAL.DATE and is used to capture the settlement/reversal date for the
borrow amount.
LT.AMT.SETTLED

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This field is similar and acts the same way as field CU.AMT.SETTLED it stores the lend amount
settled till date.
LT.AMT.OUTSTAND
This field is similar and acts the same way as field CU.NOM.OUTSTAND it stores the lend amount to
be settled. The value of this field is mapped from the LENT.AMT field of the ENTITLEMENT record.
LT.AMT.REC.PAID
This field is similar to CU.AMT.REC.PAID and is used to capture the customer lending amount
being settled.
LT.AMT.REV
This field is similar to CU.REVERSE.AMT and is used to capture the customer settled lending amount
being reversed.
LT.AMT.VAL.DT
This field is similar to CU.AMT.VAL.DATE and is used to capture the settlement/reversal date for the
lending amount.

Stock Record Processing

The REPO application will be amended to handle the processing of Actual and Contractual settlement
for Market and Internal Stock Borrow Lending transactions on a FOP or DVP (Cash v Security) trade
basis.
To activate this functionality the following fields in the SC.PARAMETER file must be set first. The
field ACTUAL.SETTLEMENT and its associated fields must be set to ‘YES’ and the field
SETTLE.METHOD must be set to ‘US’
SC.SETTLEMENT records will then be generated to enable T24 to process actual settlement and
generate information for STOCK RECORD reports.
The system can be configured to default ‘YES’ or ‘NO’ values from the CUSTOMER.SECURITY
tables for specific Counterparty and Customer settlement combinations. If need be these defaults can
be overridden by the user at contract level.

SC.PARAMETER

The field ACTUAL.SETTLEMENT and its associated setup fields and the field SETTLE.METHOD are
what control Contractual and Actual processing for Stock / Borrow and Lending in the REPO
application.

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Example of an SC.PARAMETER

REPO
The following fields will allow the user to settle the trade on an Actual or Contractual basis.

Example of Actual and Contractual fields used on a REPO contract

CASH.HOLD.SETTLE

This field will be used to control whether the cash side of the transaction would be settled on an actual
or contractual basis.
This field will only allow input of ‘YES’ for Delivery Versus Payment transactions which is decided by
the field DELIVERY.INSTR.
For Free of Payment transactions this field must be set to ‘NO’.
Depending on the choice made by the user in the above field will determine how the
SC.SETTLEMENT record is built i.e. Cash or no Cash to be settled on an actual basis.

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SEC.HOLD.SETTLE

This field will be used to control whether the stock side would be settled on an actual or contractual
basis.
If this field is set to ‘YES’ then the SECURITY.POSITON files will be updated as per normal but with
additional updates being made to the UNSETTLED.RP.CR and UNSETTLED.RP.DR fields with
the nominal amount of the transaction.
Based on the customer SECURITY.POSITION where the transaction is a Borrow the
UNSETTLED.RP.CR field will be used, for a Lend transaction the UNSETTLED.RP.DR field will be
used.
The opposite applies for the Counterparty SECURITY.POSITIONS.
If this field is set to ‘NO’ then the SECURITY.POSITON files will be updated as per a normal non
transaction.
Depending on the choice made by the user in the above field will determine how the
SC.SETTLEMENT record is built i.e. Nominal or no Nominal to be settled on an actual basis.

CUST.ACT.SUSP.CAT

This field records the category to which the client entries are posted until the time actual settlement
takes place. This field would only be allowed input when CASH.HOLD.SETTLE is set to ‘YES’ and
will take its default from the associated field in the SC.PARAMETER file.
The user has the further option to change this category code at contract level.

BROK.ACT.SUSP.CAT

This field records the category to which counterparty entries are posted until the time actual settlement
takes place. This field would only be allowed input when CASH.HOLD.SETTLE is set to ‘YES’ and
will take its default from the associated field in the SC.PARAMETER file.
The user has the further option to change this category code at contract level

MISC.ACT.SUSP.CAT

This field records the category to which charges, if any, are posted until the time actual settlement
takes place. This field would only be allowed input when CASH.HOLD.SETTLE is set to ‘YES’ and
will take its default from the associated field in the SC.PARAMETER file.
The user has the further option to change this category code at contract level

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AUTO.CUST.SETT
This field controls the automatic settlement of the nominal and cash for the customer. This value is
defaulted as ‘YES’, if it has been set to ‘YES’ in the AUTO.CUST.SETT field in the
CUSTOMER.SECURITY file relating to the customer.
The user has the further option to change this value to ‘NO’ at contract level if need be.

AUTO.BROK.SETT
This field controls the automatic settlement of the nominal and cash for the counterparties. This value
is defaulted as ‘YES’, if it has been set to ‘YES’ in the AUTO.BROK.SETT field in the
CUSTOMER.SECURITY file relating to the counterparty.
The user has the further option to change this value to ‘NO’ at contract level if need be.

CUSTOMER.SECURITY

The fields AUTO.CUST.SETT and AUTO.BROK.SETT can accept a value of ‘YES’ or ‘NO’.
Depending on the CUSTOMER.TYPE and the nature of the transaction being entered these values
will default to the appropriate field in the contract.

Example of a CUSTOMER.SECURITY

SECURITY.POSITION

The fields UNSETTLED.RP.CR and UNSETTLED.RP.DR are used to record the unsettled nominal
portion of the trade, all traded nominal are netted together and show as a total in these fields.
The fields RP.BROKER.NO and RP.UNSETT.NOM are associated multi-value fields and will give a
break down of the unsettled nominal per counterparty / broker traded.

Depending on the security position you are looking at i.e. counterparty / broker or customer and how
the transaction was entered i.e. AUTO.CUST.SETT and AUTO.BROK.SETT will donate how these
field are updated.
As the nominal of the trade is settled either partial or fully via the SC.SETTLEMENT record all these
fields and values are updated accordingly.

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Transaction example illustrating all the above elements

The below example will show how the SECURITY.POSITION records are updated when a
Counterparty and Customer are settled on an Actual / Actual basis, based on a BORROW transaction.
REPO SBL Transaction

Example of a Borrow SBL trade

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SECURITY.POSITION

Example of a SECURITY POSITION record built for the Customer

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Example of the SECURITY.POSITION record built for the Counterparty / Broker pending return

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SC.SETTLEMENT
A SC.SETTLEMENT record is built on authorisation of the contract.

Example of the SC.SETTLEMENT record

On input / Authorisation of the above record on a partial or full settlement basis will update the above
corresponding SECURITY.POSITIONS.

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Transaction settlement
The transaction settlement could be done either manually or by an incoming SWIFT message. The
following messages are supported for processing incoming settlement:
MT 544 – Deliver free confirmation
MT 545 – Deliver against payment confirmation
MT 546 – Receive free confirmation
MT 547 – Receive against payment confirmation
The system can also generate outward MT 544-547 messages on settlement. In this respect, T24
covers both the role of account owner (processing of incoming settlement messages) and the account
servicer (generation of outbound settlement confirmation messages).
Outbound MT 544-547 messages are generated upon authorisation of SC.SETTLEMENT records in
respect a SECURITY.TRANSFER. The customer has to be configured to receive these messages
(by setting the GEN.SETT.DEL field to Y in CUSTOMER.SECURITY) for this to be activated. If this
field in CUSTOMER SECURITY is not set to ‘Y’, outbound MT 544-547 messages would not be
produced. The GEN.SETT.DEL Y/N flag is also available in SC.SETTLEMENT. The value in this
field would be defaulted from CUSTOMER SECURITY but this could be overridden.
The outbound messages with function NEWM (new message) are generated whenever there is a
customer side settlement (of quantity or amount). RVSL messages are generated when reversing
already settled quantity/nominal (for the customer) from the SC.SETTLEMENT application and
CANC messages are generated when the underlying trade is reversed.
If the trade or transfer is set for contractual settlement, no outbound messages (MT 544-547) would be
generated. If the customer side of the transaction is set for Auto settlement (AUTO CUST SETTLE set
to ‘YES”), the outbound messages (MT 544-547) would be generated on authorisation of the
transaction in case the value date of the transaction is lesser than or equal to current system date or
on the value date in case the value date is in future.

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Reporting and Enquiries

REPO.POSITION
This file holds all security positions that have been “sold” under a REPO contract from the Bank’s own
book(s).

• This is a ‘LIVE’ file.

• This gives an overall position which the Bank have REPO’d out to date.
• The REPO contracts that build up the REPO.POSITION are kept in the REPO.POS.CONCAT
file in which the user can drill down to the contracts if required.
• The securities REPO’d out are also recorded on the field REPO.NOMINAL on the
SECURITY.POSITION file.
• This is used in the portfolio REPO valuation enquiry (SC.VAL.REPO) to show the net holding of
the securities and to affect an override to the sale of securities REPO’d out.

Example of a REPO.POSITION

Field Name Operation

SECURITY.ACCOUNT This is the portfolio that the REPO position is for.
SECURITY.NUMBER This field contains the Security Number that the REPO
Position is for.

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DEPOSITORY This field contains the Depository where the REPO Position is
held.
NOMINEE.CODE If this REPO position is held by Nominee then this field will
contain the ID of the Nominee.
MATURITY.DATE This field is only updated if this REPO position is for a
Kassenobligationen security. A Kassenobligationen security is
one where the SUB.ASSET.TYPE record linked to the
security has the KASSENOBLIGATIONEN flag set to “YES”.
INTEREST.RATE This field is only updated if this REPO position is for a
Kassenobligationen security. A Kassenobligationen security is
one where the SUB.ASSET.TYPE record linked to the
security has the KASSENOBLIGATIONEN flag set to “YES”.
SUB.ACCOUNT The field contains the sub account where the REPO Position
is held.
DATE.LAST.TRADED Trade Date of the last transaction to update this REPO
Position Record.
CLOSING.BAL.NO.NOM Trade dated number of securities REPO'd out of the Bank's
own book(s).
OPENING.BAL.NO.NOM Opening Balance, in number of securities, for this REPO
position.
This field will always be zero unless it has been updated by
the takeover processing when T24 was first installed on the
system.
COST.PRICE The traded price on which the REPO contract is done.
NOMINAL The nominal amount on which the REPO contract is done.
CONTRACT.ID Contract id on which the REPO contract is done.
COUNTERPARTY Te portfolio number on which the REPO contract is done.
The suffix is determined by the REPO.MARGIN.SUF value in
REPO.PARAMETER file.

RESO.POSITION
This file holds all security positions that have been received by the Bank under its Reverse REPO
transactions.

This is a ‘LIVE’ file.

This shows the Bank’s overall Reverse REPO position to date.
The Reverse REPO contracts that build up the REPO position are kept in the RESO.POS.CONCAT
file in which the user can drill down to the contracts if required.
The securities received under trilateral Reverse REPO are also recorded on the new field
TRILATERAL.RESO.NO on the SECURITY.POSITION. This is used to block the sale of any
trilateral reverse REPO holdings.

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Example of a RESO.POSITION

Field Name Operation

SECURITY.ACCOUNT This is the portfolio that the RESO position is for.
SECURITY.NUMBER This field contains the Security Number that the RESO
Position is for.
DEPOSITORY This field contains the Depository where the RESO Position is
held.
NOMINEE.CODE If Nominee holds this RESO position then this field will
contain the ID of the Nominee.
MATURITY.DATE This field is only updated if this RESO position is for a
Kassenobligationen security. A Kassenobligationen security is
one where the SUB.ASSET.TYPE record linked to the
security has the KASSENOBLIGATIONEN flag set to “YES”.
SUB.ACCOUNT The field contains the sub account where the RESO Position
is held.
INTEREST.RATE This field is only updated if this RESO position is for a
Kassenobligationen security. A Kassenobligationen security is
one where the SUB.ASSET.TYPE record linked to the
security has the KASSENOBLIGATIONEN flag set to “YES”.
DATE.LAST.TRADED Trade Date of the last transaction to update this RESO
Position Record.
CLOSING.BAL.NO.NOM Trade dated number of securities RESO'd out of the Bank's
own book(s).
OPENING.BAL.NO.NOM Opening Balance, in number of securities, for this RESO
position.
This field will always be zero unless it has been updated by

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the takeover processing when T24 was first installed on the

system.
COST.PRICE The traded price on which the RESO contract is done.
NOMINAL The nominal amount on which the RESO contract is done.
CONTRACT.ID Contract id on which the RESO contract is done.
COUNTERPARTY The portfolio number on which the RESO contract is done.
The suffix is determined by the RESO.MARGIN.SUF value in
REPO.PARAMETER file.

CUSTOMER.REPO
This file stores the initial margin amount by customer by currency.

• This file will only be updated if INIT.MRGN.BOOKING is set to “NOTIONAL” on

REPO.PARAMETER on the authorisation stage.

Example of CUSTOMER.REPO record

Field Name Operation

REPO.IM.CCY This field specifies the currency of initial margin used in
REPO contracts.
REPO.IM.AMT This field holds the initial margin amount used in REPO
contracts.
RESO.IM.CCY This field specifies the currency of initial margin used in
RESO contracts.
RESO.IM.AMT This field holds the initial margin amount used in RESO
contracts.

Updates From Authorised Contracts - REPO.ENTRY.LIST

A REPO contract updates many areas of T24 – cash side entries and delivery, transfer of securities,
etc. In addition, a number of reports, enquiries and actions may be performed on the margin portfolio,
as well as the banks own account portfolio.

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This enquiry is intended to allow users to view the updates created from any given REPO contract to
run these enquiries, and to perform certain actions.

REPO.ENTRY.LIST enquiry

By clicking the right mouse button on the various label fields, various enquiries become available.

Updates From Unauthorised Contracts - REPO.UNAU.ENTRY.LIST

This Enquiry is similar to REPO.ENTRY.LIST, but is run on unauthorised REPO contracts.

REPO.UNAU.ENTRY.LIST enquiry

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Valuation of Margin Portfolios - SC.VAL.REPO

This Enquiry is used to run the valuation of the margin portfolio and should be used to determine if a
margin call is required (or is to be expected from the counterparty).

This enquiry may be initiated from the REPO.ENTRY.LIST ENQUIRY.

SC.VAL.REPO enquiry

Outward Delivery
REPO Delivery
REPO uses the Soft Delivery mechanism. The main concept of Soft Delivery is to define each different
stage in the lifecycle of a contract as a discrete event, by means of defining Activities on the file
EB.ACTIVITY. Each of these events will, by necessity, be unique to the Application.

Set-up
The main files used in Soft Delivery are explained in another chapter. Please refer to the User Guide
Chapter Delivery for more details. However, the set-up procedure specific to REPO is explained
below.

Handoff Information
Each application within T24 can handoff a maximum of nine records to the Delivery system.

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Messages supported by REPO

The REPO module supports the following SWIFT messages:

• MT540 – Receive Free

• MT541 – Receive Against Payment
• MT542 – Deliver Free
• MT543 – Deliver Against Payment
• MT518 –Market-Side Securities Trade Confirmation
• MT515 –Customer Side Securities Trade Confirmation

EB.ACTIVITY
Five applications specific Activities are released with the REPO module. Populate the
DAYS.PRIOR.EVENT field on these records according to your business needs
This application holds the ID of the activity that may take place in all T24 applications using Soft
Delivery.
The details of Delivery for REPO and other applications, which use ‘soft delivery’, can be found in the
User Guide chapter on Application Delivery.
For REPO the following should be configured.

RP-0100 Contract initiation

RP-0110 Contract amendment
RP-0120 Contract reversal
RP-0130 Contract maturity
RP-0140 Security Transfer

Example of EB.ACTIVITY record for "RP-0140"

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EB Activity screen

EB.ADVICES

Ten EB.ADVICES records are released with the REPO module as samples. You are encouraged to
change or even to create new ones and delete unused ones according to your own requirements.

EB Advices Records

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Example of EB.ADVICES Record

EB.MESSAGE.CLASS
Three system wide message classes are released with T24 and they should be authorised as required.

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EB Message Class Records

LMM.ADVICES

A record should be set-up on the LMM.ADVICES file for each category that is to be used with the
REPO application.
When the PROCESS.REPO.SOD field in REPO.PARAMETER is set to either “MATURITY” or
“BOTH” the MATURE.AT.SOD field in the REPO contract is set to “YES”, however, if the
PROCESS.REPO.SOD field in REPO.PARAMETER is set to anything else the LMM.ADVICES
record is read (keyed on the category used in the REPO contract) and then the MATURE.MM.AT.SOD
field is copied to the MATURE.AT.SOD field in the REPO contract.

Example of LMM.ADVICES record for a REPO Category

Delivery Settlement Netting

A new application has been created to allow the netting of delivery instructions for the REPO
application.
The new program will group like contracts together & combine them to produce just one Swift delivery
instruction. The REPO contracts can be grouped on either a Value Date, Maturity Date or a
combination of both so long as the settlement date is the same.

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RP.GROUP.PARAMETER
This table is used to configure how REPO contracts will be handled when being considered for netting
of delivery instructions.

Example of RP.GROUP.PARAMETER application

The SYSTEM.FIELD is configured by Temenos & is the minimum number of fields that are required to
match during the selection stage.

The USER.FIELD can be modified by the user & will be additional fields from the REPO contract that
will be required to match during the selection stage.

The SELECTION.FIELD will be defaulted into the SC.GROUP.TRADES application when a new
application is to be considered for netting. The user will be able to use these fields to refine the
selection criteria for matching REPO contracts for delivery netting.

The ENT.NET.SUSP field is used to determine which account the netting will be posted over.

NETTING.AGREEMENT

The NETTING.AGREEMENT application has been modified. The field SYSTEM.ID has been
removed & has been incorporated into the record ID.
Previously the record ID was just based on the customer number & the SYSTEM.ID was based on
the module, which meant that all modules had to have the same details. The record ID now consists of
the customer, followed by “.”, followed by the 2 letter module ID. (E.g. 100550.RP indicates customer
100550 in the RP module)

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Example of NETTING.AGREEMENT record

SC.GROUP.TRADES.MAN.ACT
In some instances the SC.GROUP.TRADES application may not be able to create the correct
delivery or accounting entries required. If this is the cash then a message will be displayed informing
the user what action is required.
These actions are stored in this application.

Example of SC.GROUP.TRADES.MAN.ACT record

The following messages need to be configured.
Description
Record ID

Cash This is the message that will be displayed if the user is expected to make
manual cash adjustment.
Delivery This is the message that will be displayed if the user to expected to make

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a manual stock adjustment.

REPO
The GROUP.STATUS field shown controls if the contract will be netted. At the time of creation this field
can either be populated with:
Field Name Operation
No This will prevent this contract being considered for netting.

Net The system will check to see if there is a NETTING.AGREEMENT for

this customer & if there is this field will remain as “NET” otherwise it will be
set to “NO”.
<null> When the record is committed the system will check to see if there is a
valid NETTING.AGREEMENT for this customer & if there is this field
will automatically be set to “NET”, otherwise it will be set to “NO”.

Example of GROUP.STATUS field set to “NET”

Once a transaction has been netted the fields GRP.TRD.ID & GRP.TRD.PRC will be populated (as
shown below)

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Example of REPO record which has been netted on the Near legs of the trade.
The fields represent:
Field Name Operation
GRP.TRD.ID This stores the ID of SC.GROUP.TRADES record which was used to
action this transaction.
GRP.TRD.PRC This stores the process which the SC.GROUP.TRADES record took for
this transaction. The possible values are:
• NET.NEAR – The transaction had its delivery instructions netted
for the near side of the trade.
• NET.FAR – The transaction had its delivery instructions netted for
the far side of the trade.

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SC.GROUP.TRADES
This application allows multiple transactions to be grouped together. Once a transaction has been
authorised it will look similar to the one shown below: The MSG.REF field will be populated if a delivery
message was created. The STMT.NOS field will be populated if accounting entries were made.

Example of SC.GROUP.TRADES (1)

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Entering a transaction

Fields that must be populated

Field Name Operation

SELECT.APPL This is a multi-value set & determines which applications will be grouped
by this record. The values are:
• REPO
PROCESS This determines which process is going to be performed when the record
is authorized. The values are:
• NETTING – This will net the delivery instructions.
This refers to the counterparty whose transactions will be grouped.
COUNTERPARTY

This refers to the Security Master ID which will be grouped.

SECURITY.NO

This refers to the dates for transactions that will be grouped. One or both
GRP.VAL.DATE/ of the fields must be populated. If both fields are populated then they must
GRP.MAT.DATE be the same.

This is used to determine the credit/debit status for the creation of delivery
TRANS.TYPE messages & must be a valid record in the SC.TRANS.NAME application.

Once the above fields have been populated it is possible to select transactions for grouping. There are
two methods of achieving this:

• MANUAL
By entering a valid record ID in the MANUAL.ID field, the system will verify if this transaction is
valid for grouping & if so it will add it to the Multi-Value set of transactions.
It is possible to enter as many transactions as is required.
NOTE : - If the AUTOMATIC option is selected after entering data via this method all entries
will be overwritten with the automatic selection.

• AUTOMATIC
By setting the AUTO.SELECT field to “YES”, the system will cycle through each application
entered in the SELECT.APPL field, using any of the additional selection criteria entered in the
SELECT.FIELD & SELECT.DATA fields. If any transactions match the criteria they will be
added to the Multi-Value set of transactions.
This process will clear all the values in the Multi-Value set before adding any of the
automatically selected ones. Should any additional transactions need to be added after the
automatic selection then the MANUAL method can be used & the additional transactions will
be added to the Multi-Value set.

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Automatically populated fields when selecting transactions.

The Multi-Value set is controlled by the fields that are required to match. This forms a unique key
which is stored in the MATCHING.KEY field. It is made up from the data provided in the grouping
parameter files (eg RP.GROUP.PARAMETER) & is obtained from the original transaction record
being grouped.

The following fields make up the transactions that will be grouped:

Field Name Operation

DEPOSITORY This is the Depository that is being netted

SUB.ACCOUNT Should the Depository be split into Sub Accounts then this field will be
populated.
APPLICATION This represents the application for the transaction that is being grouped.
CUR.REC.ID This represents the transaction ID reference for the transaction that is
being grouped.
CUR.VAL.DATE This is the Value Date from the transaction that is being grouped.
CUR.MAT.DATE If the transaction being grouped has a Maturity Date (i.e. REPO) then it is
stored in this field.
CUR.PRIN.DR If the original transaction was a debit the cash amount of the debit will be
stored in this field.
CUR.PRIN.CR If the original transaction was a credit the cash amount of the credit will be
stored in this field.
CUR.SEC.NOM This represents the flow if the Security Nominal & can either be a positive
or negative figure depending on the original transaction.
CON.SETTLE.AMT This field is only populated when the record is committed & is the sum of
the CUR.PRIN.DR & CUR.PRIN.CR fields & therefore will be the actual
cash amount for all the grouped transactions.
CON.SETTLE.NOM This field is only populated when the record is committed & is the sum of
the CUR.SEC.NOM field & therefore will be the actual nominal amount for
all the grouped transactions.
NOSTRO.ACCOUNT This will be the Nostro account used for the netting of delivery
instructions.
SUSP.ACCOUNT This will be the Suspense account used for the netting of delivery
instructions
CTPY.DEPO This is the Depository for the Counterparty
CTPY.DEPO.AC This is the Account for the Counterparty Depository
BR.AGENT This is the Broker Agent details & is entered by the user.
BR.AGENT.AC This is the Broker Agent account details & is entered by the user.
PSET This is used during the creation of the MT54x Swift messages & is
entered by the user.

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MATCHING.KEY This is a unique key for each Multi-Value set & is based upon the
matching data entered in the grouping parameter tables.
MAN.ACTION Should there be a manual action required (i.e. movement of stock or cash)
this field will be populated with the messages. These messages are
configured in the SC.GROUP.TRADES.MAN.ACT application.
MSG.REF The delivery record ID is stored in this field after the record has been
authorized.

Accounting:
Accounting is available for view through enquires at unauthorised stage. If the value date for the
accounting is greater than the bank date the accounting will be generated as forward entries.
A close of business job COB.SC.GROUP.TRADES.ACCOUNTING will delete the forward entries
and raise real accounting entries when value date is reached.

Close of Business Services

The Close of Business processing for the REPO module is broken down into separate jobs. They will
process all events up to the current period end.

Unauthorised Records
Job Name: RP.EOD.UNAUTH.PROCESS

REPO contracts that are left unauthorised during the Close of Business are processed by this job. The
following rules are applied to unauthorised contracts:

Condition of Contract Action Taken

HLD and the CURR.NO is blank None
HLD and the CURR.NO is not Child Contracts are deleted and the contract is removed
blank form the unauthorised file.
Any other Status The REPO contract is put on hold and all unauthorised
updates/entries are backed out.

Delivery
Job Name: RP.EOD.DETERMINE.ACTIVITY

This Close of Business job processes all forward and live contracts. It will initiate and handoff
information to the Delivery system if there is any delivery messages to be produced.

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Contracts Becoming Live

Job Name: RP.EOD.STATUS.CHANGE

When a forward REPO or RESO is entered, this job affects the transfer of securities when the contract
goes live. The cash side contract also becomes live on this date, but this is processed separately by
the contract that has been raised from the REPO contract.

The contract status on the REPO record is updated from FWD to CUR.

Maturing Contracts
Job Name: RP.EOD.MATURITY

REPO and RESO contracts that mature during the Close of Business period are processed by this job.

At maturity, cash flows in the opposite direction to that on the Value Date (see the Accounting section)
and the securities are transferred from the margin portfolio.

The contract status on the REPO record is updated from CUR to LIQ.

History Processing
Job Name: RP.EOD.LIQ.TO.HIS

Contracts that have matured are moved to the history file by this job.

The number of days defined in the REPO.PARAMETER file is used to determine which contracts
should be moved to history.

Start of Day Processing

Job Name: RP.SOD.PROCESSING

This is a job to handle split month end. It will process all events from the first day of the month to the
day before the next business day.

Technical Notes
The REPO module has been constructed using the Composite Module Manager, or CMM.

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The cash side of the contract is dealt with by raising MM.MONEY.MARKET contracts. The key to
the MM.MONEY.MARKET contract is held on the REPO contract in the field MM.CONTRACT.ID.

The security side of the contract is dealt with by performing transfers using the
SECURITY.TRANSFER application. Because the security side of the transaction is more complex
than the cash side, due to the processing associated with the addition, substitution or removal of
securities, the ids of the SECURITY.TRANSFER deals are held in several fields according to the
status of the contract.

Field Default Value

ST.CONTRACT.ID The authorised SECURITY.TRANSFERS that form part of
the REPO contract are held in this field.

These SECURITY.TRANSFER‘s correspond to those

securities defined in the “OLD” security fields.
ST.UNAU.CONT.ID The effects of unauthorised security changes to a REPO
contract are held in this field.

These SECURITY.TRANSFER ’s are those necessary to

effect the change and produce the new requirements of the
contract.
ST.REVERSE.ID The authorised SECURITY.TRANSFER ’s required to back
out the old position are held in this field.

These SECURITY.TRANSFER ‘s are moved to the

ST.HISTORY field when they no longer have an effect on
the current position.
ST.UNAU.REV.ID This is the unauthorised equivalent of the ST.REVERSE.ID
field
ST.HISTORY.ID Any SECURITY.TRANSFER ‘s that at one point were part of
the REPO contract, but have since been removed (from
either substitution of security or perhaps as the result of a
simple removal) are held in this field.

There is no processing associated with this field and it is

purely for information purposes only.

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Accounting
REPO Contract

Flows on Value Date

Bond
Counterparty T24
Cash

On Maturity Date, the dealer will repay the cash with interest

Flows on Maturity Date

Same Bond nominal amount
Counterparty T24
Same cash amount
plus interest

Hence the following cash side entries are raised:

At value date:
Debit counter party - Draw down account PRINCIPAL.AMOUNT.1
Credit CRF - REPO Deposits PRINCIPAL.AMOUNT.1

The daily accrual process will:

Debit P and L - Interest Expense Daily accrual
Credit CRF - Interest Expense Not Paid Daily accrual

At maturity date:
Credit counter party - Principal liquidation PRINCIPAL.AMOUNT.1
account
Credit counter party - Interest liquidation Total Interest
account
Debit CRF - REPO Deposits PRINCIPAL.AMOUNT.1
Debit CRF - Interest Expense Not Total Interest
Paid

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RESO Contract

Flows on Value Date

Bond
Counterparty T24
Cash

On Maturity Date, the dealer will receive the cash with interest

Flows on Maturity Date

Same Bond nominal amount
Counterparty T24
Same cash amount
plus interest

Hence the following cash side entries are raised;

At value date:
Credit counter - Draw down account PRINCIPAL.AMOUNT.1
party
Debit CRF - REPO Loans PRINCIPAL.AMOUNT.1

The daily accrual process will:

Credit P and L - Interest Earned Daily accrual
Debit CRF - Interest Earned Not Collected Daily accrual

At maturity date:
Debit counter - Principal liquidation account PRINCIPAL.AMOUNT.1
party
Debit counter - Interest liquidation account Total Interest
party
Credit CRF - REPO Loans PRINCIPAL.AMOUNT.1
Credit CRF - Interest earned not Collected Total Interest

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Customer REPO

Flows on Value Date

Bond
T24
Counterparty
Customer
Cash
On Maturity Date, the customer will repay the cash with
interest
Flows on Maturity Date
Same Bond nominal amount
T24
Counterparty
Customer
Same cash amount
plus interest

The account postings for customers REPOs are handled via MM.MONEY.MARKET and
SECURITY.TRANSFER.
The money market generated will post the drawdown, principal and Interest entries to the Repos
creditors suspense accounts.

The interest rate on the MM.MOMEY.MARKET is for the bank spread and not the REPO
INTEREST.RATE. even if the rate used is zero a MM.MONEY.MARKET will still be raised for the
principal amount.

The SECUIRTY.TRANSFER will post the accounting entries to the customers account and the
Banks Nostro

Hence the following cash side entries are raised:

At value date:
MONEY.MARKET
DR Repos Creditors Drawdown A/C Internal EUR 1,000,000

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CR Re Consol Spec Entry EUR 1,000,000

Daily Spread Accrual:

DR REPO Spread Accrual EUR 1.37
CR REPO Spread P and L EUR 1.37

SECURITY.TRANSFER
DR Nostro EUR 1,000,000
CR Customers A/C EUR 1,000,000

Maturity Date:
MONEY.MARKET

DR Re Consol Spec Entry EUR 1,001,787.67

CR Repo Creditors Prin Liq A/C Internal EUR 1,000,000.00
CR Repo Creditors Int.Liq A/C Internal EUR 1,787.67

Daily Spread Accrual:

DR REPO Spread Suspense Account (On EUR 39.73

Balance Sheet)
CR REPO Spread Accrual EUR 39.73

SECURITY.TRANSFER
DR Customers A/C EUR 1,001,787.67
CR Nostro A/C EUR 1,001,787.67

On the date the spread is received, the following entries must be raised manually:

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DR Nostro Account EUR 39.73

(Broker/Depository)
CR REPO Spread Suspense Account EUR 39.73
(On Balance Sheet)

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