How is borrowing limit computed?
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 (subject
to collateral concentration limits), 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 Value of any security withdrawn during the day is reduced from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.
Securities in excess of
the required collateral for Tri party Repo obligation/any other margin
utilisation can be withdrawn by a member after giving required notice as per
the Regulations applicable for the segment. The Borrower can substitute the
Securities which were debited from its GILT account on account of its
borrowing. Such substitution is permitted only till T+0 trading session
closure. In case of term TREPS, securities credited to the lender’s account
would continue till the maturity unless the borrower seeks a substitution.
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.
Default Fund quantum is based on the highest stress
loss observed in the preceding six months and is reviewed at end of every month
or at such frequency as decided by CCIL
from time to time. A member’s contribution to the default fund is
determined based on 1) Average of (a) outstanding gross trade volume of the
member and (b) Initial margin contributions and 2) Highest of its Stress Loss,
during preceding six months period, with 50:25:25 as weights for these
components, respectively. The minimum contribution for a member is Rs. 10 Lacs.
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