Is Mark to Market (MTM) margin payable on trades accepted for settlement in Spot window?
• CASH/TOM/SPOT trades concluded at a rate which is significantly at variance from the market prices prevailing on the trade date for respective settlement dates. Such trades are termed as outliers.• Forward trades entering or reported directly in the Spot Window and which were not guaranteed under Forex forward segment.• Banks that are members of CCIL’s Forex Forward Segment (FFS) are not liable to pay additional margins on trades accepted in the Forex Forward Segment, when such trades are accepted in settlement segment, as margins are collected separately in the FFS segment. MTM margin collected on S-3 day on these trades is held back till the completion of settlement.
MTM margin in Forex Settlement segment is blocked from the unutilized portion of the SGF deposited by such member for Securities Segment.
When is Volatility Margin collected in Forex Settlement Segment?
In case of sudden increase in volatility in USD/INR exchange rates, Volatility Margin is imposed by Clearing Corporation through issue of specific notification. Imposition of volatility margin would effectively amount to a corresponding increase in the Margin Factor and would result in reduction of Exposure Limit of the members.
• One day exchange rate fluctuation >= Market Risk component of Margin Factor. (or)• Three day exchange rate fluctuation on cumulative positions of Cash/Tom/Spot date is >= sum of Market Risk components of Margin factor for all the three days in spot window .