Repo Overview » Related

Interest
Different interest day basis for calculation of interest is possible, depending on the methods followed
for calculating number of days and days in a year. If basis "S" is used then the system will require an
entry in [Link] Field. Interest rate derived from the linked Periodic interest key is adjusted
with [Link] and updated in REPO. RATE field. Amount entered will be compared with the
likely interest arising out of the interest rate entered. Maximum tolerance allowed is 5%. An override
will be generated where the variance is greater than 1%; and a variance greater than 5% will be
rejected. The special (S) Interest calculation method is only allowed for fixed interest rate contracts.

Repo Overview » Interest Related

• Different Interest day basis for calculation of interest possible
depending on the methods followed for calculating number of
days and days in a year
• Basis "S" can be used for providing a special interest
amount like rounding to the higher tens
• Possible only for Fixed interest type
• Interest amount proposed is also entered along with
fixed interest rate An override will be required where
the tolerance is greater than 1%: and a variance greater than 5% will be
rejected
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Repo Overview » Related
Interest
[Link] table is used for "LIBOR" type rates . Rates vary depending on the length of
time and for Bid and Offer purposes. At the scheduled dates the system will refer to this table and
automatically "picks up" the relevant rate and apply that to the contract until the next review date. This
table maybe automatically updated/interfaced daily with an external feed such Reuters, or maintained
manually by the user. [Link] keys are generated by the System on daily basis. It is
possible to effect changes in rates of dates prior to system date. As a result, all MM contracts which had
accessed the (changed) key at an earlier date, will recalculate interest based on the changed interest
rates. It is possible to stipulate the extent of interest tolerance to be allowed for MM contracts in the
[Link] Field. A tolerance entered here will be used to check if an over-ride is required for
any interest rate difference

I Repo Overview » Interest Related

Periodic Interest

used fM checking
aplicable int«æt rate in
REPO
The of Bid and Offer rate
for a given period is chæked
with the Rex) rate to indicate
if æly, the rates

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Repo Overview » Related
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Currency
Holiday table will be used to check whether maturity or other scheduled activity date falls on a
working day or not at the time of inputting a REPO contract. Accordingly, at the time of contract
input, holidays for those countries and regions will be checked for all scheduled activities and suitable
overrides will be generated. Interest day basis will be defaulted to transaction records as per the
currency used. It is possible to change the interest day basis at the record level or contract level.
[Link] table contains common details for each Currency to ensure that the same
numeric code and no of decimals are used on different currency files in a multi company environment.
It is possible to create different market rates for the same currency namely separate rates for Notes or
Travellers Cheques etc. Up to 99 markets can be indicated in [Link] table.
Consolidation keys are formed market wise. Markets beyond 9 will be consolidated with the market
type of the first digit for example 10 with 1

I Repo Overview » Currency Related

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Repo Overview » Related
While inputting a contract, the holidays for the country of the dealing
currency will be checked for scheduled activity and suitable overrides
generated

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Repo Overview »
Settlement Related
The accounts attached to a portfolio is used to identify the account over which the accounting entries for
this portfolios transactions are to be passed. The rules for defaulting of account numbers for a specific
transaction could be set up. If a settlement account is not available for specific transaction, then system
defaults first account in the trade currency mentioned. If account in trade currency not available then
first account of the portfolio gets defaulted. If only a GBP account is entered and customer deals in USD
securities, the system defaults the GBP account and use the standard exchange conversion rates to
convert amount from USD to GBP. However if a GBP account and USD account are available then, for
a transaction dealing in USD securities default will be the USD account. If more than 1 account
specified for a currency, say 2 GBP accounts, then the first GBP account will be defaulted for a
transaction of GBP securities. At least one account needs to be linked to the portfolio. Account must
belong to the customer of the portfolio and cannot be linked to another portfolio. The default settlement
instructions for a broker could be set up through [Link]. The broker settlement
account is generally the Nostro over which the financial entries are to be posted. Payment can, if
required, be effected over a Vostro ACCOUNT also. To affect a default, you will have to ensure that
there is a record existing for the settlement currency on the [Link] file specified for use
by the SC application

Repo Overview » Settlement Related

Accounts used as per
Transaction currency. First
Account indicated chosen
For GBP Transaction. 4567. As no
account is indicated for El-JR, NC
4567 is chosen for EUR
transactions, being the very first
account

If Account for Transaction

currency is not available in
[Link].
Account in
NOSTRO_ACCOUNT used
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[Link]
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T24 REPO module supports recording, processing and administration of both REPO and RESO
transactions. To perform the above said activities it is required to have certain parameter files set up,
which includes files from Securities module and also from Money market module to make the REPO
settings complete. The parameter tables to be set up during implementation are REPO. PARAMETER,
[Link], [Link], [Link], [Link].
Additionally security module related tables like [Link], [Link] and
[Link] and the table related to MM module have to be used. It incorporates these
transactions into the Limit, Accounting and Position Management modules within T24.

I [Link]
• Parameter tables to be set-up during implementation are given below:
• [Link]

• [Link]
[Link]. PARAM ETER
• Parameter set up of Securities module and Money Market module are
required before setting up REPO module

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[Link]
REPO. PARAMETER is the top-level parameter file. The key is the Id of the company to which the
parameter record refers. It holds the definitions of: valid portfolio suffixes for the counterparty margin
portfolio booking method of the initial margin - limit update treatment for REPO contracts no. of days
post maturity that contracts are moved to history The suffixes mentioned in this file is to be used for
creation of margin portfolio keys during a REPO, RESO, Stock lending, Stock Borrow, Customer Repo
contracts. These entries will be used in [Link] for further configuration. 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.
[Link] Field is used for this purpose.

I [Link]
• Top-level parameter file
• Id is the company to which the parameter record refers to
• Holds the portfolio suffix for the counterparty
• In practice, at least one margin portfolio must be setup for each
counterparty for REPO/RESO contracts
• Booking of initial margin for customer
• The [Link] Field indicates the booking method of the
initial margin
• NOTIONAL for customer REPO's - initial margin will be included in margin
• portfolio valuation
• NONE- for information only
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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

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[Link]
[Link] Field. The number of days after maturity that a matured contract remains on the
live file is also specified in [Link] Field.

I [Link]
• Limit updation for REPO contract
• [Link] Field used to define Repo either as a LOAN or DEPOSIT
• Performance history
• Mention the number of days after a deal has matured, should it move to history by
mentioning days in [Link] Field

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[Link]
[Link] Field works in conjunction with the [Link] Field. If this
Field is set to "YES" and the [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. With
[Link] Field it is possible to have the REPO contract generate the near leg
[Link] record immediately on authorization of the contract regardless of the value
date. This can be achieved by setting the Field [Link] to YES'. This is a no change
Field. Additionally, setting this Field to YES' triggers the updating of the [Link] on
account of the far leg of the [Link] at SOD

I [Link]
• Nominal Calculation
• System calculates the nominal's required for REPO if we enter the cash
amount, if [Link] Field is set to YES
• Updation of security position at SOD can be set by setting the flag in the
[Link] Field

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[Link]
using [Link] Field, 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 tum live / mature at COB. Using this Field, it is possible to
selectively process contracts becoming live or maturing at SOD. If the Field [Link] is
set to 'YES', then this Field will accept only values of 'MATURITY' or 'BOTH'. [Link] Field
is used for Corporate Actions, where it allows changing the [Link] 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 .[Link] Field when set to YES', the cash entries relating to REPO contracts are posted to
this Nostro account. This process is possible if the ACCOUNT Field is updated for the REPO
application in the [Link] record. The [Link] record must be keyed on
the security currency of the DIARY. The REPO application automatically creates
[Link] records when the Field [Link] .NO is populated. These records are
then interrogated when the application [Link] is used to prevent closure if a live REPO
contract is using the account. So caution should be used when setting it to NO as internal processes
must exist to prevent such occurrences.

I [Link]
• Processing REPO at SOD can be set as NULL, FWD TO LIVE,
MATURITY or BOTH
• Suspense category can be defined for corporate actions in a RESO
contract, using [Link] Field
• For Corporate actions Process, the cash entries relating to REPO
contracts are posted to separate Nostro account, if [Link]
Field is set to YES
• Setting [Link] Field to YES, updates will be made
when [Link] application tries to close accounts used
in live REPO contracts

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[Link]
This application holds records, which control how each type of REPO contract entered will be
processed. Each REPO contract must have a valid [Link] entered. Configure [Link] 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).

[Link]

Defines characteristics of different types of Repo contracts

Ex: REPO, RE-SO, INT BORROW, INT LEND
Records on this file are referenced on the REPO Contract
[Link] Field holds default product category that
will be used for the type of Repo contract
[Link] Field linked to the [Link]
Field is used to clasify the type of repo contract, either as a repo or as
a reverse repo
. portfolio suffix
The default suffix that will be applied to counterparty's customer number to
determine the default margin portfolio for use in the REPO contract
Defined in REPO-PARAMETER and referenced
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[Link]
CLASSIC : To be used for standard Repo or Reso trades. OPEN : To be used for Open Repos. When the
[Link] used in a transaction has been set up as a OPEN Repo, the Maturity date on the Repo
transaction will accept a value of O. Daily accrual of interest takes place on the Principal Amt. Accrued
interest is capitalised on a daily basis and is reflected in the value of Field [Link] changing
due to interest accruals. BUY/SELL BACK : This type is used when the REPO trade is treated as a
purchase of the security, with an agreement to sell back the security at a predetermined price. The sale
price would comprise of the purchase price + the Repo interest + any corporate action that may have
been paid on the security SELUBUY BACK : The opposite of a BUY/SELL BACK. INTERNAL: An
internal trade moving stock from a bank portfolio to a customer portfolio. [Link] .LEND:
To be used when using Stock Borrowing/Lending. Delivery instructions — DAP Delivery against
payment, FOP — Free of Payment, FRE — Delivery with payment, NIL — No delivery, No payment,
PAI — Payment only Valid basic repo types are CRR, OPENRESO, RESO on the Loan side and CREP,
OPENREPO, REPO on the Deposit side. DAP types BSB and SBB. These types defined in
[Link] file

I [Link]
• [Link] Field will hold the internal account when
[Link] Field is set to YES
• Default delivery instructions — DAP, FOP,FRE, NIL, PAI
• Validates with [Link]. Deal types CLASSIC/OPEN/BSB/SBB
• DEFAULT .PRICE Field will determine if price has to be fetched from
[Link] when the user inputs the security number in the
REPO contract

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[Link]
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. [Link] table is used to define the various standard agreements .
If we define it avoid the need to define complex narrative in the contract . In addition any further
conditions can be specified on the contract.

I [Link]
• Used to provide enrichment for the REPO Agreement type
• e n t types
• PSA agreement
• PSA/ISMA ,GMRA
• Standard agreement types to be defined on this file
• Avoiding the need to define complex narrative on the contract
• Used for delivery purposes
• Additional conditions may be specified on the contract
• Where required, or,
• If the contract is not subject to a standard agreement type
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[Link]
[Link] application allows the user to specify the 'grouping' criteria for REPO
contracts that require delivery messages to be 'netted'. The REPO application contains a Field indicating
the 'netted/grouped' status of the individual contract as determined by the criteria in this application .
ENT .[Link] Field determines which suspense account will be used to group the REPO
transactions. A valid record in the CATEGORY application is used. The [Link] is configured
by Temenos & is the minimum number of Fields that are required to match during the selection stage.
The [Link] can be modified by the bank & will be additional Fields from the REPO contract that
will be required to match during the selection stage. The [Link] will be defaulted into the
[Link] 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 [Link] Field is used to determine which account the netting will be posted over.
Payment messages are not netted.

I [Link]
• Allows to group contracts together to produce just one Swift delivery
instruction
• [Link] is used to configure how REPO contracts
will be grouped when being considered for netting
• SYSTEM Field is hardcoded and are fields that are required to match
during the selection stage
• USER Field can be input, and will be additional Fields from the REPO
contract that will be required to match during the selection stage
• [Link] Field determines which suspense account will be used
to group the REPO transactions
• Must be a valid record in the CATEGORY application
The order in which these files should be created is stored within the automated implementation tool .
For easy reference, the order sequence in the ascending build reference order is given in the left. The

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[Link]
mandatory and optional files are shown by different colour codes. Wherever there are dependencies for
filling up values in the tables in build sequence, the dependencies are shown on the right.

I [Link]

1. [Link]

2. [Link]
3. [Link] •

4..[Link]

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[Link]
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 and Stock Borrow / Lending

I [Link]
• The REPO deal types supported are:

• Open
• Buy Sell Back
• Sell Buy Back
• Stock/borrow/lend
• Customer Repos

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