Calypso’s Collateral

Manager
Calypso Documentation Series
 Calypso’s
Collateral Manager

Collateral Manager
provides the ability
to monitor, calculate
and process
collateral calls on a
cross-asset basis.
 Margin Calls are generated by
the Collateral Manager based
on collateral data, trade
transfers and existing margin
call positions.
Margin Call positions
are calculated by the
Margin Call engine.
Collateral Data is based on Margin
Call Contracts

• A Margin Call Contract is

defined between a Processing
Organization and a Legal
Entity.
• Margin Calls are calculated
for trades that satisfy criteria
specified in the Margin Call
Contract.
 Eligible Securities & Currencies

Types of collateral designated

in the Margin Call Contract
can include Cash, Securities
or both.

• For cash margins, at least one currency

must be defined as an eligible currency.

• Eligible securities also need to be

designated if you wish to use securities
for collateral.
 Collateral Manager Window
Margin Call Contracts are
loaded here.
Selection
criteria is
designated
here.

Margin Call
details are
shown here.

Trades associated with Margin Call contracts are displayed here.

 Generating Margin Calls

Pricing a collateral contract :

• Moves the contract status
to PRICING
• Prices all of the
underlying trades
• Calculates the collateral
exposure on each trade
• Values any previous
collateral held by either
party
 Constituting a Margin Call
Allocation allows you to designate
collateral to be used to satisfy the
margin call.

In the Allocation window,

specify the types and amounts
of securities and /or cash to be
used.
Upon allocation, the margin call trades are generated and become
available for viewing in the Details area at the bottom of the
Collateral Manager window.

For detailed information about the Collateral Manager Module in

Calypso, please refer to the user documentation.