public quantitative disclosures for the quarter ending december … upload... · 2019. 3. 25. · 6...

CCIL Disclosures on Compliance with Principles for Financial Market Infrastructure

Committee on Payments and Market Infrastructures

Board of the International Organisation of Securities Commission

Public Quantitative Disclosures for the quarter ending December 2018

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PFMI Public Quantitative Disclosures – December 2018

Table of Contents Principle 4: Credit Risk .................................................................................................................................. 3

Principle 5: Collateral .................................................................................................................................. 13

Principle 6: Margin ...................................................................................................................................... 14

Principle 7: Liquidity Risk ............................................................................................................................ 22

Principle 12: Exchange of Value Settlement Systems ................................................................................. 25

Principle 13: Default Rules and Procedures ................................................................................................ 26

Principle 14: Segregation and Portability.................................................................................................... 27

Principle 15: General Business Risk............................................................................................................. 28

Principle 16: Custody and Investment Risks ............................................................................................... 29

Principle 17: Operational Risk ..................................................................................................................... 32

Principle 18: Access and Participation Requirements: ............................................................................... 33

Principle 19: Tiered Participation Arrangements ........................................................................................ 36

Principle 20: FMI Links ................................................................................................................................ 37

Principle 23: Disclosure of Rules, Key Procedures and Market Data .......................................................... 38

Annexure 1 .................................................................................................................................................. 40

Annexure 2 .................................................................................................................................................. 49

Annexure 3 .................................................................................................................................................. 53

Annexure 4 .................................................................................................................................................. 63

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Principle 4: Credit Risk 4.1.1 Total value of default

resources (excluding initial and retained variation margin), split by clearing service if default funds are segregated by clearing service

Prefunded - Own Capital Before; Reported as at quarter end

Balance in the Settlement Reserve Fund (SRF) is INR 11,000.00Mn as on 31 Dec 2018. Effective 5

th Nov 2018, CCIL’s skin in the game

has been split into 2 tranches. The Skin in the game for each segment is set at 25 % of the default contribution but not less than the highest individual member contribution for the respective segment. The total skin in the game across all segments is capped at the balance in the SRF.

INR Million Tranche 1#

Tranche 2#

Securities (Outright & Repo) 315.20 210.20

Securities (Tri-party Repo)* 677.60 451.80

Forex Settlement 932.80 621.80

Forex Forward 3144.60 2096.40

Rupee Derivatives (MIBOR) 721.50 481.10

Rupee Derivatives (MIFOR)* 19.90 13.20

#Note 1:

Tranche 1 constitutes 15% of the default fund contribution of the clearing members in each segment. This is to be utilized immediately after the defaulting member’s contribution to the Default Fund.

Tranche 2 constitutes 10% of the Default Fund contribution of the clearing members in each segment. This is to be utilized after the non-defaulting members contribution to the default fund is used up.

*Note 2: Effective 5th

Nov 2018, consequent upon decommissioning of CBLO, CCIL is acting as Tri party Repo Agent and undertaking CCP clearing of Tri party Repo transactions within the Securities Segment.

https://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/155/RMD1897%20%20Risk%20Management%20process%20for%20Triparty%20Repo%20TPR%20%20trades.pdf CCP Clearing of Interest rate swap trades referenced to the MIFOR benchmark commenced from 19th Nov, 2018.

https://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/155/RMD1897%20%20Risk%20Management%20process%20for%20Triparty%20Repo%20TPR%20%20trades.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/155/RMD1897%20%20Risk%20Management%20process%20for%20Triparty%20Repo%20TPR%20%20trades.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/155/RMD1897%20%20Risk%20Management%20process%20for%20Triparty%20Repo%20TPR%20%20trades.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/155/RMD1897%20%20Risk%20Management%20process%20for%20Triparty%20Repo%20TPR%20%20trades.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/155/RMD1897%20%20Risk%20Management%20process%20for%20Triparty%20Repo%20TPR%20%20trades.pdf

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https://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/160/RMD18100%20Rupee%20IRS%20Segment%20%20Default%20Fund%20revised%20and%20updated.pdf In order to meet losses that could arise out of non-default events such as failure of banks where investments are made, settlement bank failure, and operational risk events etc, a Contingency Reserve Fund (CRF) is being maintained. The balance available on 31 Dec 2018 is INR 4,522 million. The notification links to the above changes are given below: Securities Segment: https://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/157/RMD1899%20%20Securities%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdf Forex Settlement Segment: https://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/158/RMD18102%20Forex%20Settlement%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdf Forex Forward Segment: https://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/159/RMD18101%20Forex%20Forward%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdf Rupee Derivatives Segment: https://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/160/RMD18100%20Rupee%20IRS%20Segment%20%20Default%20Fund%20revised%20and%20updated.pdf

4.1.2 Total value of default resources (excluding initial and retained variation margin), split by clearing service if default funds are segregated by clearing service

Prefunded - Own Capital Alongside; Reported as at quarter end

NIL


Prefunded - Own Capital After; Reported as at quarter end

Capital/ Reserves/ Retained Earnings can be used to replenish whenever SRF is depleted to meet further defaults if any.

https://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/160/RMD18100%20Rupee%20IRS%20Segment%20%20Default%20Fund%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/160/RMD18100%20Rupee%20IRS%20Segment%20%20Default%20Fund%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/160/RMD18100%20Rupee%20IRS%20Segment%20%20Default%20Fund%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/160/RMD18100%20Rupee%20IRS%20Segment%20%20Default%20Fund%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/157/RMD1899%20%20Securities%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/157/RMD1899%20%20Securities%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/157/RMD1899%20%20Securities%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/157/RMD1899%20%20Securities%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/157/RMD1899%20%20Securities%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/158/RMD18102%20Forex%20Settlement%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/158/RMD18102%20Forex%20Settlement%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/158/RMD18102%20Forex%20Settlement%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/158/RMD18102%20Forex%20Settlement%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/158/RMD18102%20Forex%20Settlement%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/159/RMD18101%20Forex%20Forward%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/159/RMD18101%20Forex%20Forward%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/159/RMD18101%20Forex%20Forward%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/159/RMD18101%20Forex%20Forward%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/159/RMD18101%20Forex%20Forward%20Segment%20%20Default%20Fund%20%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/160/RMD18100%20Rupee%20IRS%20Segment%20%20Default%20Fund%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/160/RMD18100%20Rupee%20IRS%20Segment%20%20Default%20Fund%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/160/RMD18100%20Rupee%20IRS%20Segment%20%20Default%20Fund%20revised%20and%20updated.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/160/RMD18100%20Rupee%20IRS%20Segment%20%20Default%20Fund%20revised%20and%20updated.pdf

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Prefunded - Aggregate Participant Contributions - Required; Reported as at quarter end

As on 31 Dec 2018 (INR Million)

Securities (Outright & Repo) 2,101.50

Securities (Tri-party Repo) 4,517.40

Forex Settlement 6,218.30

Forex Forward 20,964.00

Rupee Derivatives (MIBOR) 4,810.30

Rupee Derivatives (MIFOR) 98.20


Prefunded - Aggregate Participant Contributions - Post-Haircut Posted; Reported as at quarter end

As on 31 Dec 2018 (INR Million)

Pre-Haircut

Post- Haircut

Securities (Outright & Repo)

11,144.69

10,667.64

Securities (Tri-party Repo) 11,262.74 10,800.23

Forex Settlement 10,425.56 10,057.73

Forex Forward 30,892.31 29,806.44

Rupee Derivatives (MIBOR)

6,015.03 5,849.13

Rupee Derivatives (MIFOR)

191.01 187.26

The total pre-hair cut value is computed as the sum of cash and pre-hair cut value of the securities held, in the default fund. The total post hair cut value is computed as the sum of cash and post hair cut value of the securities held, in the default fund. Cash Composition (INR Million):


903.80

Securities (Tri-party Repo) 1682.30




977.70


79.90

Effective 5th Nov 2018, members are required to maintain a minimum of 5% of their default fund requirements in the form of cash.

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Securities Composition (INR Million):

Pre-

Haircut

Post-

Haircut


10,240.89

9,763.84

Securities (Tri-party Repo)

9,580.44

9,117.93


Forex Forward 26,917.91 25,832.04

Rupee Derivative (MIBOR)

5,037.33 4,871.43

Rupee Derivative (MIFOR)

111.11 107.36


Prefunded - Other; Reported as at quarter end

NIL

4.1.7 Total value of default resources (excluding initial & retained variation margin), split by clearing service if default funds are segregated by clearing service

Committed - Own/parent funds that are committed to address a participant default (or round of participant defaults); Reported as at quarter end

Same as in section 4.1.1


Committed – Aggregate participant commitments for an initial participant default (or initial round of participant defaults); Reported as at quarter end

Same as in section 4.1.4


Committed - Aggregate participant commitments to replenish the default fund to deal with a subsequent participant default (or round of participant defaults) after the initial participant default (or round of participant defaults) has been addressed; Reported as at quarter end

Prefunded default fund contribution-required as on 31 Dec 2018 (INR Million)





Rupee Derivatives (MIBOR) 4,810.30


The table above is the same as in section 4.1.4 Commitments are multiples of pre-funded amounts (required) subject to limits described in documents placed below: Rupee Derivatives Segment: https://www.ccilindia.com/Lists/ListNotifications/Attachments/712/NOTIFICATION%20II%20CCIL%20RMD%20DRV14%2037.pdf

https://www.ccilindia.com/Lists/ListNotifications/Attachments/712/NOTIFICATION%20II%20CCIL%20RMD%20DRV14%2037.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/712/NOTIFICATION%20II%20CCIL%20RMD%20DRV14%2037.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/712/NOTIFICATION%20II%20CCIL%20RMD%20DRV14%2037.pdf

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Forex Segment: https://www.ccilindia.com/Lists/ListNotifications/Attachments/759/RMD_PVP_21-Resignation%20and%20%20Loss%20Threshold.pdf Forex Forward Segment: https://www.ccilindia.com/Lists/ListNotifications/Attachments/476/RMD-FX-FF-13-04.pdf Securities (Outright& Repo)& Securities (Triparty Repo): https://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/156/RMD1898%20%20Securities%20Segment%20%20Resignation%20from%20membership.pdf


Committed - Other; Reported as at quarter end

-NA-

4.2.1 Kccp Kccp - Kccp need only be reported by those CCPs which are, or seek to be a "qualifying CCP" under relevant law. Reported Quarterly

As on 31 Dec 2018- (INR Million)

Securities (Outright & Repo) 149.54


Forex Settlement 0.00

Forex Forward 0.00

Rupee Derivatives (MIBOR) 0.00


4.3.1 Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by

Cash deposited at a central bank of issue of the currency concerned; Pre-Haircut and Post-Haircut Reported as at quarter end

NIL There was no cash deposit of default resources at RBI as on 31 Dec 2018. The SRF amount of INR 11,000.00 Million is invested in Bank deposits and GOI T-Bills with different maturity buckets.


Cash deposited at other central banks; Pre-Haircut and Post-Haircut Reported as at quarter end

NIL There was no cash deposit of default resources at RBI as on 31 Dec 2018. The SRF amount of INR 11,000.00 Million is invested in Bank deposits and GOI T-Bills with different maturity buckets.

4.3.3 Value of pre-funded default resources excluding initial and retained variation margin for each clearing service

Secured cash deposited at commercial banks (including reverse repo); Pre-Haircut and Post-Haircut Reported as at quarter end

-NA-

https://www.ccilindia.com/Lists/ListNotifications/Attachments/759/RMD_PVP_21-Resignation%20and%20%20Loss%20Threshold.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/759/RMD_PVP_21-Resignation%20and%20%20Loss%20Threshold.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/759/RMD_PVP_21-Resignation%20and%20%20Loss%20Threshold.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/759/RMD_PVP_21-Resignation%20and%20%20Loss%20Threshold.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/476/RMD-FX-FF-13-04.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/476/RMD-FX-FF-13-04.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/156/RMD1898%20%20Securities%20Segment%20%20Resignation%20from%20membership.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/156/RMD1898%20%20Securities%20Segment%20%20Resignation%20from%20membership.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/156/RMD1898%20%20Securities%20Segment%20%20Resignation%20from%20membership.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/156/RMD1898%20%20Securities%20Segment%20%20Resignation%20from%20membership.pdf

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Unsecured cash deposited at commercial banks; Pre-Haircut and Post-Haircut Reported as at quarter end

Participants’ Cash contribution towards Default fund – 31 Dec 2018 (INR Million)





Rupee Derivatives (MIBOR) 977.70


The table above is the same as in section 4.1.5 Effective 5th Nov 2018, members are required to maintain a minimum of 5% of their default fund requirements in the form of cash.. Additionally, Settlement Reserve Fund of INR 11,000.00 Million is available for meeting participant default.


Non-Cash Sovereign Government Bonds - Domestic; Reported as at quarter end; Pre-Haircut and Post-Haircut

Position as on 31 Dec 2018 (INR Million) Securities Composition:

Pre-

Haircut

Post-

Haircut


10,240.89

9,763.84


9,580.44

9,117.93


Forex Forward 26,917.91 25,832.04

Rupee Derivative (MIBOR)

5,037.33 4,871.43

Rupee Derivative (MIFOR)

111.11 107.36

The table above is the same as in section 4.1.5

4.3.6 Value of pre-funded default resources excluding initial & retained variation margin for each clearing service

Non-Cash Sovereign Government Bonds-Other; Reported at quarter end; Pre-Haircut & Post-Haircut

NIL

4.3.7 Value of pre-funded default resources excluding initial & retained variation margin held for each clearing service

Non-Cash Agency Bonds; Reported at quarter end; Pre-Haircut & Post-Haircut

-NA-


Non-Cash State/municipal bonds; Reported at quarter end; Pre-Haircut & Post-Haircut

-NA-


Non-Cash Corporate bonds; Reported as at quarter end; Pre-Haircut and Post-Haircut

-NA-

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Non-Cash Equities; Reported as at quarter end; Pre-Haircut & Post-Haircut

-NA-


Non-Cash Commodities - Gold; Reported as at quarter end; Pre-Haircut & Post-Haircut

-NA-


Non-Cash Commodities – Other; Reported at quarter end; Pre-Haircut & Post-Haircut

-NA-


Non-Cash Commodities - Mutual Funds / UCITs; Reported as quarter end; Pre-Haircut and Post-Haircut

-NA-

4.3.14 Value of pre-funded default resources excluding initial & retained variation margin) for each clearing service

Non-Cash Commodities - Other; Reported as at quarter end; Pre-Haircut &Post-Haircut

-NA-


In total. Reported as at quarter end; Pre-Haircut and Post-Haircut

Position as on 31 Dec 2018 (INR Million)

Pre-Haircut

Post- Haircut


11,144.69

10,667.64

Securities (Tri-party Repo) 11,262.74 10,800.23


Forex Forward 30,892.31 29,806.44


6,015.03 5,849.13


191.01 187.26

The table above is the same as in section 4.1.5 The total pre-hair cut value is computed as the sum of cash and pre-hair cut value of the securities held in the default fund. The total post hair cut value is computed as the sum of cash and post hair cut value of the securities held in the default fund. Additionally, Settlement Reserve Fund of INR 11,000.00 Million is available. In order to meet losses that could arise out of non-default events such as failure of banks where investments are made, settlement bank failure, and operational risk events etc., a Contingency Reserve Fund (CRF) is maintained. The balance available on 31 Dec 2018 is INR 4,522 million.

4.4.1 Credit Risk Disclosures State whether the CCP is subject to a minimum “Cover 1” or “Cover 2” requirement

CCIL is subject to Cover 1 requirement. However in case of the forex forward and

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in relation to total pre-funded default resources.

rupee derivative segment, CCIL maintains Cover 1.5.( i.e., sum of 100% of highest stress loss+ 50% of second highest stress loss) Cover 2 is not stipulated by the Regulator as CCIL is not operating in multiple jurisdictions and doesn’t clear products with complex risk profile.

4.4.2 Credit Risk Disclosures For each clearing service, state the number of business days within which the CCP assumes it will close out the default when calculating credit exposures that would potentially need to be covered by the default fund.

Securities (Outright & Repo) 3

Securities (Tri-party Repo) 3

Forex Settlement 3

Forex Forward 2

Rupee Derivatives (MIBOR) 3

Rupee Derivatives (MIFOR) 3

In the credit stress test model, Stress Period of Risk (SPOR) is considered to be equal to the Margin Period of Risk (MPOR)

4.4.3 Credit Risk Disclosures For each clearing service, the estimated largest aggregate stress loss (in excess of initial margin) that would be caused by the default of any single participant and its affiliates (including transactions cleared for indirect participants) in extreme but plausible market conditions; Peak day amount in the previous 12 months and mean average over the previous 12 months

Cover 1 (INR Million )

Peak Average

Securities (Outright & Repo) 2,723.30 800.20

Securities (Tri-party Repo) 5,261.50 807.40


Forex Forward 17,308.60 10,264.80 Rupee Derivatives (MIBOR) 5,649.30 1,346.90

Rupee Derivatives (MIFOR) 108.30 51.80

Incorporation dates for Segment Wise Default Funds


August 2016


November 2018

Forex Settlement April 2015

Forex Forward October 2010

Rupee Derivatives- (MIBOR)

August 2015


November 2018

4.4.4 Credit Risk Disclosures Report the number of business days, if any, on which the above amount (4.4.3) exceeded actual pre-funded default resources (in excess of initial margin). Reported for the quarter

No of Business days exceeded (Cover 1)



Forex Settlement 0

Forex Forward 0



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4.4.5 Credit Risk Disclosures The amount in 4.4.3 which exceeded actual pre-funded default resources (in excess of initial margin)

Amount Exceed - INR Million(Cover 1)

Max Min


0 0


0 0

Forex Settlement 0 0

Forex Forward 0 0


1,494.20 56.40


28.90 3.70

4.4.6 Credit Risk Disclosures For each clearing service, the ACTUAL largest aggregate credit exposure (in excess of initial margin) to any single participant and its affiliates (including transactions cleared for indirect participants); Peak day amount in the previous 12 months and mean average over the previous 12 months

Back testing

*Here the Peak is equal to the Average, since the actual aggregate credit exposure (in excess of initial margin) occurred only for a single day in the last 12 months.

INR Million Peak Average

Securities (Outright & Repo)*

8.74 8.74


0.00 0.00


Forex Forward* 5.53 5.53

Rupee Derivatives 0.00 0.00

4.4.7 Credit Risk Disclosures For each clearing service, the ESTIMATED largest aggregate stress loss (in excess of initial margin) that would be caused by the default of any two participants and their affiliates (including transactions cleared for indirect participants) in extreme but plausible market conditions; Peak day amount in the previous 12 months and mean average over the previous 12 months

Cover 2 (INR Million )

Peak Average


5,321.00 1,280.50


6,156.00 1,101.00


Forex Forward 25,159.70 17,425.20


5,649.30 1,647.10


141.00 68.60

4.4.8 Credit Risk Disclosures Number of business days, if any, on which the above amount (4.4.7) exceeded actual pre-funded default resources (in excess of initial margin) and by how much. Reported for the quarter

No of Business days exceeded-(Cover 2)



Forex Settlement 0

Forex Forward 1



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4.4.9 Credit Risk Disclosures The amount in 4.4.7 which exceeded actual pre-funded default resources (in excess of initial margin) Reported for the quarter

CCIL is subject to Cover 1 requirements. The Cover 2 data is as under.

Amount Exceed -INR Million

Max Min


0.00 0.00


0.00 0.00


Forex Forward 2,383.30 2,383.30

Rupee Derivatives (MIBOR) 1,494.20 56.40

Rupee Derivatives (MIFOR) 45.80 10.00

4.4.10 Credit Risk Disclosures For each clearing service, what was the actual largest aggregate credit exposure (in excess of initial margin) to any two participants and their affiliates (including transactions cleared for indirect participants) Peak Day Amount In previous 12 Months; Mean Average Over Previous 12 Months

Back testing

INR Million Peak Average

Securities (Outright & Repo)*

9.53 9.53


0.00 0.00


Forex Forward* 5.67 5.67


*Here the Peak is equal to the Average, since the actual aggregate credit exposure (in excess of initial margin) occurred only for a single day in the last 12 months.

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Principle 5: Collateral 5.1.1 Assets eligible as initial

margin, and the respective haircuts applied

Assets eligible as initial margin and the respective haircuts applied

* For Initial Margin purpose, cash and highly liquid Government of India (GOI) securities are accepted, while for Tri-party Repo, collaterals and Default Fund, cash and all GOI securities are accepted. Details are placed as Annexures: Annexure 1: Tri-party Repo Annexure 2: Securities Segment

5.2.1 Assets Eligible for pre-funded participant contributions to the default resources, and the respective haircuts applied (if different from 5.1)

Assets Eligible for pre-funded participant contributions to the default resources, and the respective haircuts applied (if different from 5.1)

Details are placed in Annexure 3: Forex Forward Segment / Rupee Derivatives Segment /USDINR Segment/ Securities- outright & repo/ Securities-Tri-party Repo

5.3.1 Results of testing of haircuts

Confidence interval targeted through the calculation of haircuts- Quarterly

99% confidence level


Assumed holding/ liquidation period for the assets accepted- Quarterly

Holding period of 3 days considered for all segments, except Tri-party Repo where it is 5 days.


Look-back period used for testing the haircuts- Quarterly

1 year (365 days) of back testing results


Number of days during the look-back period on which the fall in value during the assumed holding/liquidation period exceeded the haircut on an asset.- Quarterly

None

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Principle 6: Margin 6.1.1 For each clearing service, total

initial margin required, split by house and client (or combined total if not segregated)

Total initial margin required split by house, client gross, client net and total(if not segregated);

As on 31 Dec 2018*

Total Initial Margin (in Million)

Securities (Outright & Repo) INR 27,604.21


Forex Settlement USD 620.64

Forex Forward INR 98,168.81

Rupee Derivatives INR 43,546.56

(Aggregated at segment level) In Tri Party Repo, the initial margin blocked for borrower and lender during the trading day is released after completion of settlement of the first leg for all those trades whose settlement is on trade date (T+0) basis. Thus if there is no trade whose first leg settlement is after the trade date, the initial margin at EOD of trading date would be “NIL”.

6.2.1 For each clearing service, total initial margin held, split by house and client

Cash deposited at a central bank of issue of the currency concerned; Split by House, Client; Pre/Post-Haircut

As on 31 Dec 2018, INR 708.40 Million


Cash deposited at other central banks; Split by House, Client; Pre/Post-Haircut

NIL


Secured cash deposited at commercial banks (including reverse repo); Split by House, Client; Pre/Post-Haircut

NIL


Unsecured cash deposited at commercial banks; Split by House, Client; Pre/Post-Haircut

As on 31 Dec 2018, INR 21,658.80 Million USD 27.89 Million


Non-Cash Sovereign Government Bonds - Domestic; Split by House, Client; Pre/Post-Haircut

As on 31 Dec 2019

INR Million Pre Haircut Post Haircut

Securities Segment* 6,05,094.89 5,94,189.15

Tri-party Repo 36,76,526.64 35,30,659.36

INR 22,756.20 Million is invested in T-Bills. *Securities are held in a fungible pool, which is used to meet margin requirements across segments. The value of securities for Tri-party Repo includes the Initial Margin and value of collateral used for borrowing.

15



Non-Cash Sovereign Government Bonds - Other; Split by House, Client; Pre/Post-Haircut

As on 31 Dec 2018, USD 613.82 Million Invested in US T–Bills for availing collateralized Line of Credit.


Non-Cash Agency Bonds; Split by House, Client; Pre/Post-Haircut

-NA-


Non-Cash State/municipal bonds; Split by House, Client; Pre/Post-Haircut

-NA-


Non-Cash Corporate bonds; Split by House, Client; Pre/Post-Haircut

-NA-


Non-Cash Equities; House IM, Client IM and Total IM- Pre/Post-Haircut

-NA-


Non-Cash Commodities - Gold; House IM, Client IM and Total IM- Pre/Post-Haircut

-NA-


Non-Cash Commodities - Other; Split by House, Client; Pre/Post-Haircut

-NA-


Non-Cash - Mutual Funds / UCITs; Split by House, Client; Pre/Post-Haircut

-NA-


Non-Cash - Other; Split by House, Client; Pre/Post-Haircut

-NA-


For each clearing service, total initial margin held, split by house and client (if segregated).

As at 31 Dec 2018 Cash: INR 21,658.80 Million USD 27.89 Million USD Securities(T-Bills): 613.82 Million Invested in US T–Bills for availing collateralized Line of Credit.

INR Million Pre Haircut Post Haircut

Securities Segment* 6,05,094.89 5,94,189.15

Tri-party Repo 36,76,526.64 35,30,659.36

INR 22,756.20 Million is invested in T-Bills. * Securities are held in a fungible pool, which is used to meet margin requirements across segments. However, the securities are blocked segment-wise with a right to utilize the same in terms of its Bye-Laws, Rules and Regulations. The value of securities for Tri-party Repo includes the Initial Margin and value of collateral used for borrowing.

16


6.3.1 Initial Margin rates on individual contracts, where the CCP sets such rates

Initial Margin rates on individual contracts where the CCP sets such rates

1. Securities Segment: ISIN (security) wise margin factors are computed which are revised fortnightly. (Details of security-wise margin factors placed at Annexure 4). https://www.ccilindia.com/Lists/ListNotifications/Attachments/970/Securities%20Segment%20Computation%20of%20Margin%20Factors%20HC%20Rates.pdf https://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdf 2. For the Forex segment, margin factor of

2.75% per settlement date is applied in the spot window, and is reviewed monthly. Minimum/Floor margin factor parameter is in place to address the issue of sudden decrease in margin factor owing to procyclicality. The floor is set at 2.75% per settlement date and would be reviewed on annual basis. For members with low credit rating, Margin factors are hiked by 50% to 100%.

https://www.ccilindia.com/Lists/ListNotifications/Attachments/753/RMD_PVP_18-%20Risk%20Management%20Processes.pdf https://www.ccilindia.com/Lists/ListNotifications/Attachments/964/Notification%20Fx%20Segment%20_%20Floor%20to%20Margin%20Factor.pdf A uniform margin factor of 0.5% is applied for Tri-party Repo, which is subject to a quarterly review. 3. For Forex Forward Segment and Rupee

Derivatives Segment, for members with low credit rating, initial margin is stepped up by 50% to 100%.

https://www.ccilindia.com/Lists/ListNotifications/Attachments/970/Securities%20Segment%20Computation%20of%20Margin%20Factors%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/970/Securities%20Segment%20Computation%20of%20Margin%20Factors%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/970/Securities%20Segment%20Computation%20of%20Margin%20Factors%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/970/Securities%20Segment%20Computation%20of%20Margin%20Factors%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/753/RMD_PVP_18-%20Risk%20Management%20Processes.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/753/RMD_PVP_18-%20Risk%20Management%20Processes.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/753/RMD_PVP_18-%20Risk%20Management%20Processes.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/964/Notification%20Fx%20Segment%20_%20Floor%20to%20Margin%20Factor.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/964/Notification%20Fx%20Segment%20_%20Floor%20to%20Margin%20Factor.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/964/Notification%20Fx%20Segment%20_%20Floor%20to%20Margin%20Factor.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/964/Notification%20Fx%20Segment%20_%20Floor%20to%20Margin%20Factor.pdf

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6.4.1 Type of initial margin model used (e.g. portfolio simulation/ risk aggregation) for each clearing service and the key model design parameters for each initial margin model applied to that clearing service

Type of IM Model Securities (Outright & Repo)

Security-wise historical simulation based value at risk factor


Historical simulation based Value at Risk factor.

Forex The market risk factor is based on a historical simulation based Value at Risk.

Forex Forward

Initial Margin is calculated at a portfolio level using a weighted historical simulation based Value at Risk model.

Rupee Derivatives

6.4.2 Type of initial margin model used (e.g. portfolio simulation /risk aggregation) for each clearing service and the key model design parameters for each initial margin model applied to that clearing service

Type of IM Model Change Effective Date

Type of IM Model

Securities (Outright & Repo) No Change

Securities (Tri-party Repo) No Change

Forex Settlement No Change

Forex Forward No Change

Rupee Derivatives No Change


IM Model Name

IM Model Name


Historical VaR


Forex Settlement

Forex Forward EWMA Hull White VaR Rupee Derivatives


IM Model Name Change Effective Date

IM Model Name Change

Securities (Outright & Repo) No change

Securities (Tri-party Repo) No change

Forex Settlement No change

Forex Forward No change

Rupee Derivatives No change


Single Tailed Confidence Level

Single Tail Confidence Level

Securities (Outright & Repo) 99%

Securities (Tri-party Repo) 99%

Forex Settlement 99%

Forex Forward 99%

Rupee Derivatives 99%


Single Tailed Confidence Level Change Effective Date

Single Tail Confidence Level Change






18



Look Back Period

Look Back Period

Securities (Outright & Repo) 1000 days

Securities (Tri-party Repo) 1000 days

Forex Settlement 1000 days

Forex Forward* 1000 days

Rupee Derivatives * 1000 days

*VaR for Initial Margin is computed using 1000 price scenarios consisting of : (a) 750 consecutive volatility scaled (EWMA) returns from the most recent period and (b) 250 consecutive un-scaled returns from the period with the high market volatility termed as “stress period”.

6.4.8 Type of initial margin model used (e.g. portfolio simulation / risk aggregation) for each clearing service and the key model design parameters for each initial margin model applied to that clearing service

Look Back Period Change Effective Date

Look Back Period Change Date






6.4.9 Type of initial margin model used (e.g. portfolio simulation or risk aggregation) for each clearing service and the key model design parameters for each initial margin model applied to that clearing service

Adjustments Securities Segment: Margin factors for semi liquid and illiquid securities are stepped up by 50% and 100% respectively. Details on values of the parameters (viz. Volatility Component, Floor and Ceiling for Volatility Adjusted VAR) for computation of Margin Factors and Hair cut rates is given in the notification below: https://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdf Tri-party Repo: Illiquidity multiplicands of 1.5 and 2 are applied to semi-liquid and illiquid collaterals. Forex Forward & Rupee Derivatives Segment: Spread Margin is collected as part of Initial Margin to account for basis risk (non-parallel shift in tenors). Minimum Initial Margin is stipulated for all segments to mitigate pro-cyclicality.

https://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdf

19



Adjustments Change Effective Date

Adjustment Change







Close Out Period (days)

Close Out Period

Securities (Outright & Repo) 3 days

Securities (Tri-party Repo) 3 days

Forex Settlement 3 days

Forex Forward 2 days

Rupee Derivatives 3 days


Close out period change Effective Date

Close Out Period Change






6.4.13 Type of initial margin model used (e.g. portfolio simulation or risk aggregation) for each clearing service and the key model design parameters for each initial margin model applied to that clearing service

IM Rates Link 1. Securities Segment: ISIN (security) wise margin factors are computed which are revised fortnightly. (Details of security-wise margin factors placed at Annexure 4)

https://www.ccilindia.com/Lists/ListNotifications/Attachments/970/Securities%20Segment%20Computation%20of%20Margin%20Factors%20HC%20Rates.pdf https://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdf

2. For the Forex segment, margin factor of 2.75% per settlement date is applied in the spot window, and is reviewed monthly. Minimum/floor margin factor parameter is in place to address the issue of sudden decrease in margin factor owing to procyclicality. The floor is set at 2.75% per settlement date and would be reviewed on annual basis. For members with low credit rating, Margin factors are hiked by 50% to 100%.

https://www.ccilindia.com/Lists/ListNotifications/Attachments/753/RMD_PVP_18-%20Risk%20Management%20Processes.pdf https://www.ccilindia.com/Lists/ListNotifications/Attachments/964/Notification%20Fx%20Segment%20_%20Floor%20to%20Margin

https://www.ccilindia.com/Lists/ListNotifications/Attachments/970/Securities%20Segment%20Computation%20of%20Margin%20Factors%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/970/Securities%20Segment%20Computation%20of%20Margin%20Factors%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/970/Securities%20Segment%20Computation%20of%20Margin%20Factors%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/970/Securities%20Segment%20Computation%20of%20Margin%20Factors%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/lstRMD_SpecificNotification/Attachments/147/RMDSS1875%20Enhancement%20to%20Computation%20of%20Margin%20Factors%20%20HC%20Rates.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/753/RMD_PVP_18-%20Risk%20Management%20Processes.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/753/RMD_PVP_18-%20Risk%20Management%20Processes.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/753/RMD_PVP_18-%20Risk%20Management%20Processes.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/964/Notification%20Fx%20Segment%20_%20Floor%20to%20Margin%20Factor.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/964/Notification%20Fx%20Segment%20_%20Floor%20to%20Margin%20Factor.pdfhttps://www.ccilindia.com/Lists/ListNotifications/Attachments/964/Notification%20Fx%20Segment%20_%20Floor%20to%20Margin%20Factor.pdf

20


%20Factor.pdf A uniform margin factor of 0.5% is applied for Tri-party Repo, and is subject to a quarterly review.

3. For Forex Forward Segment and Rupee Derivatives Segment, for members with low credit rating, initial margin is stepped up by 50% to 100%.


Frequency of Parameter Review

Parameters are reviewed on an annual basis, or as and when required owing to: a. Market volatility, and b. Back testing exceptions


Frequency of Parameter Review Change Effective Date

Frequency of Parameter Change






6.5.1.1 Results of back-testing of initial margin. At a minimum, this should include, for each clearing service and each initial margin model applied to that clearing service

Number of times over the past twelve months that margin coverage held against any account fell below the actual marked-to-market exposure of that member account

No of times - Back testing Exceptions



Forex Settlement 0

Forex Forward 3

Rupee Derivatives 0

6.5.1.2 Specify if measured intraday /continuously or only once a day. If once a day, specify at what time of day.

Frequency of daily back-testing result measurements.

Measured once i.e., at the end of the day.

6.5.1.3 Specify if measured intraday /continuously or only once a day. If once a day, specify at what time of day.

Time of daily back-testing result if measured once a day.

End of the day

6.5.2 Results of back-testing of initial margin. At a minimum, this should include, for each clearing service and each initial margin model applied to that clearing service

Number of observations (i.e. number of accounts multiplied by number of days covered in the back test)

Number of Observations

Securities (Outright & Repo) 35,273

Securities (Tri-party Repo) 51,091

Forex Settlement 19,469

Forex Forward 19,341

Rupee Derivatives 7,732

All accounts are covered every day

6.5.3 Results of back-testing of initial margin. At a minimum, this should include, for each clearing service and each initial margin model applied to that clearing service

Achieved coverage level = [(Total no of observations as given in 6.5.2)- (Number of instances of member portfolios having back testing exceptions)]/ Total no of observations as given in 6.5.2

Achieved Coverage (%)




Forex Forward 99.98

Rupee Derivatives 100.00

https://www.ccilindia.com/Lists/ListNotifications/Attachments/964/Notification%20Fx%20Segment%20_%20Floor%20to%20Margin%20Factor.pdf

21


6.5.4 Results of back-testing of initial margin. At minimum, this should include, for each clearing service and each initial margin model applied to that clearing service

Where breaches of initial margin coverage (as defined in 6.5(a)) have occurred, report on size of uncovered exposure; Peak size For the Quarter

NIL

6.5.5 Results of back-testing of initial margin. At minimum, this should include, for each clearing service and each initial margin model applied to that clearing service

Where breaches of initial margin coverage (as defined in 6.5(a)) have occurred, report on size of uncovered exposure; Average Size For the Quarter

NIL

6.6.1 Average Total Variation Margin Paid to the CCP by participants in each business segment over the period

For the Quarter

Average VM (INR million)





Rupee Derivatives 6,415.72

*For Tri party Repo, in order to calculate the average, the total no of days has been considered as the days on which there is a non-zero VM obligation rather than the total number of working days.

6.7.1 Maximum total variation margin paid to the CCP on any given business day over the period

For the Quarter

Max VM (INR Million)




Forex Forward 1,07,794.06


6.8.1 Maximum aggregate initial margin call on any given business day over the period

For the Quarter

Max IM Required – for the Quarter




Forex Forward 1,18,505.89


22


Principle 7: Liquidity Risk 7.1.1 Liquidity Risk State whether the clearing service maintains

sufficient liquid resources to 'Cover 1' or 'Cover2’ Sufficient liquid resources are maintained for 'Cover 1'

7.1.2 Liquidity Risk Size and composition of qualifying liquid resources for each clearing service; (a) Cash deposited at a central bank of issue of the currency concerned

Cash balance at RBI as on 31 Dec 2018 INR 712.68 Million

7.1.3 Liquidity Risk Size and composition of qualifying liquid resources for each clearing service; (b) Cash deposited at other central banks

N.A.

7.1.4 Liquidity Risk Size and composition of qualifying liquid resources for clearing service; (c) Secured cash deposited at commercial banks (including reverse repo)

N.A.

7.1.5 Liquidity Risk

Size and composition of qualifying liquid resources for each clearing service; (d) Unsecured cash deposited at commercial banks

INR 9,058.28 million over draft facility on term deposits with commercial banks (as on 31 Dec 2018)

7.1.6 Liquidity Risk Size and composition of qualifying liquid resources for each clearing service; (e) secured committed lines of credit (i.e. those for which collateral/security will be provided by the CCP if drawn) including committed foreign exchange swaps and committed repos

USD 400 Million (collateralized LoC)

available at USD Settlement Banks

7.1.7 Liquidity Risk Size and composition of qualifying liquid resources for each clearing service; (f) unsecured committed lines of credit (ie which the CCP may draw without providing collateral/security)

USD 375 Million (uncollateralized LoC)

available at USD Settlement Bank

Segment-wise LoC available at central

bank (RBI)

Forex Segment - INR 13,000.00 Mn

Securities Segment & Tri-party Repo – INR 19,000.00 Mn

Rupee Derivatives- INR1,000.00Mn

LoC available at Settlement Banks

Securities/Tri-party Segments-

INR 56,000.00 Mn

7.1.8 Liquidity Risk Size and composition of qualifying liquid resources for each clearing service; (g) highly marketable collateral held in custody and investments that are readily available and convertible into cash with prearranged and highly reliable funding arrangements even in extreme but plausible market conditions.

Settlement Guarantee Fund (held in the form of highly marketable Government securities) as on 31 Dec 2018 is INR 5,94,189.15 Million (Same as 6.2.5)

7.1.9 Liquidity Risk Size and composition of qualifying liquid resources for each clearing service; (h) other

N.A.

7.1.10 Liquidity Risk State whether the CCP has routine access to central bank liquidity or facilities.

No routine access to central bank liquidity

23


7.1.11 Liquidity Risk Details regarding the schedule of payments or priority for allocating payments, if such exists, and any applicable rule, policy, procedure, and governance arrangement around such decision making.

No such priority. All obligations are to be met in equal terms.

7.2.1 Size and composition of any supplementary liquidity risk resources for each clearing service above qualifying liquid resources above.

Size and composition of any supplementary liquidity risk resources for each clearing service above those qualifying liquid resources in 7.1

Settlement Reserve Fund as on 31 Dec

2018 - INR 11,000.00 Million

In order to meet losses that could arise

out of non-default events such as

failure of banks where investments are

made, settlement bank failure, and

operational risk events etc., a

Contingency Reserve Fund (CRF) is

maintained. The balance available on

31 Dec 2018 is INR 4,522 million.

7.3.1 Liquidity Risk Estimated largest same-day and intraday and multiday payment obligation in total that would be caused by the default of any single participant and its affiliates (including transactions cleared for indirect participants) in extreme but plausible market conditions; Forward looking measure reported quarterly

INR 234,479.74 Million

7.3.2 Liquidity Risk Report the number of business days, if any, on which the above amount exceeded its qualifying liquid resources (identified as in 7.1, and available at the point the breach occurred), and by how much.; No. of days in quarter

0 days

7.3.3 Liquidity Risk No of business days, if any, on which the above amount exceeded its qualifying liquid resources (identified as in 7.1, and available at the point the breach occurred), and by how much; Amount of excess on each day

N.A.

7.3.4 Liquidity Risk Actual largest intraday and multiday payment obligation of a single participant and its affiliates (including transactions cleared for indirect participants) over the past twelve months; Peak day amount in previous twelve months


7.3.5 Liquidity Risk Estimated largest same-day and, intraday and multiday payment obligation in each relevant currency that would be caused by the default of any single participant and its affiliates (including transactions cleared for indirect participants) in extreme but plausible market conditions; Forward looking measure reported quarterly


USD 291.36 Million

7.3.6 Liquidity Risk No of business days, if any, on which the above amounts exceeded its qualifying liquid resources in each relevant currency (as identified in 7.1 and available at the point the breach occurred),

INR: 0 days

USD: 0 days

24


7.3.7 Liquidity Risk Report the number of business days, if any, on which the above amounts exceeded its qualifying liquid resources in each relevant currency (as identified in 7.1 and available at the point the breach occurred), and by how much; Amount of excess on each day

N.A.

25


Principle 12: Exchange of Value Settlement Systems

12.1.1 Percentage of settlements by value effected using a DvP, DvD or PvP settlement mechanism

Percentage of settlements by value effected using a DvP settlement mechanism

Securities & Tri-party Repo settlement 100%


Percentage of settlements by value effected using a DvD settlement mechanism

NA


Percentage of settlements by value effected using a PvP settlement mechanism

Forex Settlement: 100%

12.2.1 Percentage of settlements by volume effected using a DvP, DvD or PvP settlement mechanism

Percentage of settlements by volume effected using a DvP settlement mechanism

Securities & Tri-party Repo settlement 100%


Percentage of settlements by volume effected using a DvD settlement mechanism

NA


Percentage of settlements by volume effected using a PvP settlement mechanism

Forex Settlement: 100%

26


Principle 13: Default Rules and Procedures 13.1.1 Quantitative information

related to defaults Quantitative information related to defaults; Amount of loss versus amount of initial margin

NIL (There were no defaults in this quarter)

13.1.2 Quantitative information related to defaults

Quantitative information related to defaults; Amount of other financial resources used to cover losses


13.1.3.1 Quantitative information related to defaults

Quantitative information related to defaults; Proportion of client positions closed-out.


13.1.3.2 Quantitative information related to defaults

Quantitative information related to defaults; Proportion of client positions ported.


13.1.4 Quantitative information related to defaults

Quantitative information related to defaults; Appropriate references to other published material related to the defaults

https://www.ccilindia.com/Membership/ByLawsDocs/Bye-Laws.pdf

https://www.ccilindia.com/Membership/ByLawsDocs/Bye-Laws.pdfhttps://www.ccilindia.com/Membership/ByLawsDocs/Bye-Laws.pdf

27


Principle 14: Segregation and Portability 14.1.1 Total Client Positions held

as a share of notional values cleared or of the settlement value of securities transactions

Total Client Positions held in individually segregated accounts

-NA-

14.1.2 Total Client Positions held as a share of notional values cleared or of the settlement value of securities transactions

Total Client Positions held in omnibus client-only accounts, other than LSOC accounts

-NA-


Total Client Positions held in legally segregated but operationally comingled (LSOC) accounts

-NA-


Total Client Positions held in comingled house and client accounts

-NA-

28


Principle 15: General Business Risk 15.1.1 General business risk Value of liquid net assets funded

by equity (As on 31.03.2018)

INR 13,056 Million (Including Contingency Reserve Fund (CRF) of INR 4,522 million)

15.1.2 General business risk Six months of current operating expenses

INR 597 Million

15.2.1 General business risk; Financial Disclosures

Total Revenue (For Financial Year 2017-18)

INR 6,288 Million


Total Expenditure (For Financial Year 2017-18)

INR 1,392 Million


Profits (For Financial Year 2017-18)

Profit Before Tax - INR 4,896 Million Profit After Tax - INR 3,182 Million


Total Assets (As on 31.03.2018)

INR 105,832 Million


Total Liabilities (As on 31.03.2018)

Capital – INR 26,676 Million Liabilities – INR 79,156 Million


Explain if collateral posted by clearing participants is held on or off CCIL's balance sheet

Collaterals in the form of funds are held on Balance Sheet and Collaterals held in form of Govt. Securities are held off Balance Sheet.


Additional items as necessary In order to meet losses that could arise out of non-default events such as failure of banks where investments are made, settlement bank failure, and operational risk events etc., a Contingency Reserve Fund (CRF) has been created with a corpus of INR 3,021 million with effect from 31 Mar 2017. The balance available on 31 Dec 2018 is INR 4,522 million.

15.3.1 General business risk; Income breakdown

Percentage of total income that comes from fees related to provision of clearing services

54%

15.3.2 General business risk; Income breakdown

Percentage of total income that comes from the reinvestment (or re-hypothecation) of assets provided by clearing participants

23%

29


Principle 16: Custody and Investment Risks 16.1.1 Total cash (but not

securities) received from participants, regardless of the form in which it is held, deposited or invested, split by whether it was received as initial margin or default fund contribution

Total cash (but not securities) received from participants, regardless of the form in which it is held, deposited or invested, received as initial margin

INR 45,123.40 Million Securities Segment- Outright & repo + Tri-party Repo USD 641.71 Million (Forex (USD/INR) Segment + CLS Segment)

16.1.2 Total cash (but not securities) received from participants, regardless of the form in which it is held, deposited or invested, split by whether it was received as initial margin or default fund contribution

Total cash (but not securities) received from participants, regardless of the form in which it is held, deposited or invested, received as default fund contribution

INR 8,867.70 Million (Default Funds for All Four Segments)

16.2.1 How total cash received from participants (16.1) is held/deposited/invested, including;

Percentage of total participant cash held as cash deposits (including through reverse repo)

INR Fixed Deposit 49.54% of Total Cash Collateral USD : No Fixed Deposit,


Percentage of total participant cash held as cash deposits (including through reverse repo); as cash deposits at central banks of issue of the currency deposited

INR – Balance at RBI is 1.32% of Cash Collateral

USD – No Balance at Central Bank


Percentage of total participant cash held as cash deposits (including through reverse repo); as cash deposits at other central banks

INR – NIL

USD - NIL


Percentage of total participant cash held as cash deposits (including through reverse repo); as cash deposits at commercial banks (Secured, including through reverse repo)

INR – NIL

USD - NIL


Percentage of total participant cash held as cash deposits (including through reverse repo); as cash deposits at commercial banks (Unsecured)

INR : i) Cash balance 0.09 % of Total Cash Collateral ii) Fixed Deposit 49.54 % of Total Cash Collateral iii) i + ii = 49.63 % of Total Cash Collateral USD : No Fixed Deposit, USD Balance in account is 4.35 % of Total Cash Collateral


Percentage of total participant cash held as cash deposits (including through reverse repo); in money market funds

NIL

30



Percentage of total participant cash held as cash deposits (including through reverse repo); in other forms

NIL


Percentage of total participant cash held as cash deposits (including through reverse repo); percentage split by currency of these cash deposits (including reverse repo) and money market funds by CCY; Specify local currency in comments

N A


Percentage of total participant cash held as cash deposits (including through reverse repo); weighted average maturity of these cash deposits (including reverse repo) and money market funds

Weighted Average Maturity of Bank Deposits

INR : 236 Days

USD : No Outstanding Deposits


Percentage of total participant cash invested in securities; Domestic sovereign government bonds

INR Investment in Treasury Bills is 49.05% of Total Cash Collateral


Percentage of total participant cash invested in securities; Other sovereign government bonds

USD Investment in USD Treasury Bill is 95.65% of Total Cash Collateral receipts in US Dollars


Percentage of total participant cash invested in securities; Agency Bonds

NIL


Percentage of total participant cash invested in securities; State/municipal bonds

NIL


Percentage of total participant cash invested in securities; Other instruments

NIL


Percentage of total participant cash invested in securities; percentage split by currency of these securities; Specify local currency in comments;

INR Investment in INR Treasury Bills is 49.05% USD Investment in USD Treasury Bill is 95.65 % of Cash Collateral receipts in respective Currencies.

No investment in currency(ies) other than currency of receipt


Percentage of total participant cash invested in securities; weighted average maturity of securities; Specify local currency in comments;

Weighted Average Maturity of Treasury Bills INR (T Bills): 203Days USD (T Bills): 82 Days


Provide an estimate of the risk on the investment portfolio (excluding central bank, commercial bank deposits) (99% 1-day VaR, or equivalent)

One-day VaR at 99% confidence level for investment portfolio INR 32,838,374.30 USD 84,735.32

31



State if the CCP investment policy sets a limit on the proportion of the investment portfolio that may be allocated to a single counterparty, and the size of that limit.

Investment Limit for Bank deposits,

is a percentage of Corpus OR a

percentage of bank’s net worth

whichever is lower. The percentage

of corpus is 8.50 % (max Rs 500 Cr)

for most banks and 11.86 % (max

Rs. 700 Cr) for very strong banks


State the number of times over the previous quarter in which this limit has been exceeded.

No Instance


Percentage of total participant cash held as securities.

INR (Treasury Bill) : 49.05 %

USD (Treasury Bill) : 95.65 %

Securities : NIL

16.3.1 Re-hypothecation of participant assets (non-cash)

Total value of participant non-cash re-hypothecated (Initial margin)

NIL

16.3.2 Re-hypothecation of participant assets (non-cash)

Total value of participant non-cash re-hypothecated (Default fund)

NIL

16.3.3 Re-hypothecation of participant assets (ie non-cash)

Re-hypothecation of participant assets (ie non-cash) by the CCP where allowed; initial margin; over the foll maturities: Overnight/1day; 1day and up to 1 week; 1week and up to 1month; 1 month and up to 1 yr; 1 yr and up to 2 yrs; Over 2 yrs

NIL

16.3.4 Re-hypothecation of participant assets (ie non-cash)

Re-hypothecation of participant assets (ie non-cash); default fund; for the foll maturities: Overnight/1 day; 1 day and up to 1 week; 1 week and up to 1 month; 1 month and up to 1 yr; 1 yr and up to 2yrs; Over 2 yrs

NIL

32


Principle 17: Operational Risk 17.1.1 Operational availability

target for the core system(s) involved in clearing (whether or not outsourced) over specified period for the system (e.g. 99.99% over a twelve-month period)

Operational availability target for the core system(s) involved in clearing (whether or not outsourced) over specified period for the system (e.g. 99.99% over a twelve-month period)

For period from Jan 2018 to Dec 2018 System Individual

target

Clearing & Settlement 99.50%

Risk Management 99.50%

Funds Settlement 99.50%

Central Communication 99.50%

17.2.1 Actual availability of the core system(s) over the previous twelve month period

Actual availability of the core system(s) over the previous twelve month period

For period from Jan 2018 to Dec 2018

System Actual Availability (%)

Clearing & Settlement 100.00

Risk Management 100.00

Funds Settlement 100.00

Central Communication 100.00

17.3.1 Total number of failures Total number of failures and duration affecting the core system(s) involved in clearing over the previous twelve month period

For period from Jan 2018 to Dec 2018

System Incident

count Down-time

(minutes)

Clearing & Settlement 7 0

Risk Management 3 0

Funds Settlement 1 0

Central Communication 0 0

17.4.1 Recovery time objective(s) Recovery time objective(s) (e.g. within two hours)

2 hours

33


Principle 18: Access and Participation Requirements: 18.1.1.1 Number of

clearing members by clearing service

Number of general clearing members



Forex Settlement 93

Forex Forward 85

Rupee Derivatives 37

18.1.1.2 Number of clearing members by clearing service

Number of direct clearing members*

*Settlement takes place at the Reserve Bank of India for these members.



Forex Settlement 93

Forex Forward 85



Number of others category (Describe in comments)*



Forex Settlement 0

Forex Forward 0

Rupee Derivatives 0

*Settlement takes place at Settlement Banks for these members.

18.1.2.1 Number of clearing members clearing service

Number of central bank participants NIL

18.1.2.2 Number of clearing members clearing service

Number of CCP participants NIL


Number of bank participants



Forex Settlement 92

Forex Forward 84



Number of other participants (Describe in comments)



Forex Settlement 1

Forex Forward 1

Rupee Derivatives 7

(Financial Institutions, Gratuity Fund, Insurance, Mutual Funds, NBFCs, Other Corporates, Primary Dealers, Provident and pension Fund Trust)

18.1.3.1 Number of clearing members, by clearing service

Number of domestic participants



Forex Settlement 54

Forex Forward 53


34


18.1.3.2 Number of clearing members, by clearing service

Number of foreign participants



Forex Settlement 39

Forex Forward 32


This includes foreign participants operating in India, eg. Indian branches of foreign banks. Primary dealers that are incorporated in India but are subsidiaries of foreign entities have also been considered as foreign participants here.

18.2.1 Open Position Concentration

For each clearing service with ten or more members, but fewer than 25 members; Percentage of open positions held by the largest five clearing members, including both house and client, in aggregate; Average and Peak over the quarter

NIL


For each clearing service with 25 or more members; Percentage of open positions held by the largest five clearing members, including both house and client, in aggregate; Average and Peak over the quarter

Largest 5 Members-

Open Position Concentration %

Max Average


Securities (Tri-party Repo) 34.86 28.13





For each clearing service with 25 or more members; Percentage of open positions held by the largest 10 clearing members, including house and client, in aggregate; Average, Peak over the quarter

Largest 10 Members-

Open Position Concentration %

Max Average






18.3.1 Initial Margin Concentration

For each clearing service with ten or more members, but fewer than 25 members; Percentage of initial margin posted by the largest 5 clearing members, including house and client, in aggregate; Average and Peak over the quarter

NA

35



For each clearing service with 25 or more members; Percentage of initial margin posted by the largest five clearing members, including both house and client, in aggregate; Average and Peak over the quarter

Largest 5 Members- IM Concentration %

Max Average






*For Tri party Repo, in order to calculate the average, the total no of days has been considered as the days on which there is a non-zero IM obligation rather than the total number of working days.


For each clearing service with 25 or more members; Percentage of initial margin posted by the largest ten clearing members, including both house and client, in aggregate; Average and Peak over the quarter

Largest 10 Members- IM Concentration %

Max Average






*For Tri party Repo, in order to calculate the average, the total no of days has been considered as the days on which there is a non-zero IM obligation rather than the total number of working days.

18.4.1 Segregated Default Fund Concentration

For each segregated default fund with 10 or more members, but fewer than 25 members; Percentage of participant contribution to the default fund contributed by largest 5 clearing members in aggregate

NA

18.4.2 Segregated Default Fund Concentration

For each segregated default fund with 2

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