The eligible securities deposited by a member in Triparty Repo Collateral towards borrowing limit are subjected to a valuation exercise at the end of each business day. The valuation is carried out using CCIL’s mark-to-mark price for such securities. Aggregate value of securities contributed by a member, net of haircut, rounded downwards to the nearest rupee is set as permissible borrowing limit for such member.
Any security deposited during the day as collateral towards borrowing limit is also revalued at last available MTM price of the security and such a value, net of haircut, is made available as Borrowing Limit. Value of any security withdrawn during the day is reduced from the available borrowing limit.
All outstanding T+1 trades of the day are considered for End of the Day MTM margin computation. End of the day MTM rates for various TREPs are computed as per process described below. MTM loss on Tri party Repo trades is arrived at after allowing full offset between positions in different TREPs. Net loss, if any, is collected as MTM Margin - net MTM gains are ignored. MTM margin applicable on trades is treated as incremental MTM margin payable at EOD debited immediately on assessment of the same at end of the day. In case of a resultant shortfall in margin, Members are required to fund their Triparty Repo Collateral account within stipulated time on the next business day.
Similarly, based on the Market to Market valuation of securities done either at end of day and/ or on intraday basis, in case there is an MTM margin call, Members are required to contribute securities in Triparty Repo Collateral to the extent of MTM margin call.
Failure to do so attracts penalty.
What is Default Fund and how the contribution of the member is computed?
Default Fund in respect of its Triparty Repo Segment has been set up with a view to meeting losses arising out of any default by the members of this segment in discharging their obligations.
The securities contributed by the members towards Default Fund are valued daily at end of the day. If the value of the securities net of haircuts falls below a threshold level as notified by Clearing Corporation from time to time, members are required to contribute such additional sums to the Default Fund as may be necessary.