Public Quantitative Disclosures for the quarter ending June 16

Transcription

1 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 June 16 1

2 Contents Principle 4: Credit Risk...3 Principle 5: Collateral...17 Principle 6: Margin...18 Principle 7: Liquidity Risk...30 Principle 12: Exchange of Value Settlement Systems...34 Principle 13: Default Rules and Procedures...35 Principle 14: Segregation and Portability...36 Principle 15: General Business Risk...37 Principle 16: Custody and Investment Risks...38 Principle 17: Operational Risk...43 Principle 18: Access and Participation Requirements:...44 Principle 19: Tiered Participation Arrangements...49 Principle 20: FMI Links...50 Principle 23: Disclosure of Rules, Key Procedures and Market Data...51 Annexure Annexure Annexure Annexure

3 Principle 4: Credit Risk Total value of default resources Prefunded Own Capital Before; (excluding initial and retained variation margin), Reported as at quarter end split by clearing service if default funds are segregated by clearing service Position as on 30 June 2016, INR 10, Reserve Fund ) Million (Settlement In certain clearing services, the contributions from the Settlement Reserve Fund are capped as under for meeting the participant default Forex Forward Segment: 25% of the balance in SRF at the time of default. RUPEE DERIVATIVES Segment: 25% of the balance in SRF at the time of default. Forex Segment: 15% of the balance in SRF at the time of default. *As of 30 June 2016, there was no segment specific default fund for Securities and CBLO and hence entire SRF could be used to meet residual losses under extreme but plausible situations. A process has been initiated to put in place default fund for these two segments as well Total value of default resources Prefunded Own Capital Alongside; NIL (excluding initial and retained variation margin), Reported as at quarter end split by clearing service if default funds are segregated by clearing service Total value of default resources Prefunded Own Capital After; Position as on 30 June 2016, INR 1, Million (excluding initial and retained variation margin), Reported as at quarter end split by clearing service if *Capital/Reserves/Retained earnings can be used to replenish whenever SRF is 3

4 default funds are segregated by clearing service Total value of default resources exhausted. Prefunded Aggregate Participant Contributions Required; (excluding initial and retained variation margin), split by clearing service if Reported as at quarter end default funds are segregated by clearing service Position as on 30 June 2016, FOREX FORWARDS : INR 11, Million FOREX SPOT : INR 1, Million RUPEE DERIVATIVES : INR 2, Million 4

5 4.1.5 Total value of default resources Prefunded Aggregate Participant Contributions PostHaircut Posted; (excluding initial and retained variation margin), split by clearing service if Reported as at quarter end default funds are segregated by clearing service Position as on 30 June 2016, INR Million PrePosthaircut Haircut FOREX FORWARDS 20, , RUPEE DERIVATIVES 2, , FOREX SPOT 3, , *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 PrePosthaircut Haircut FOREX FORWARDS RUPEE DERIVATIVES FOREX SPOT Securities: INR Million PrePosthaircut Haircut Total value of default resources Prefunded Other; Reported as at quarter end FOREX FORWARDS 19, , RUPEE DERIVATIVES 2, , FOREX SPOT 2, , NIL (excluding initial and retained variation margin), split by clearing service if default funds are segregated by clearing service 5

6 4.1.7 Total value of default resources Committed Own/parent funds that are committed to address a participant (excluding initial and default (or round of retained variation margin), participant defaults); split by clearing service if default funds are segregated by clearing Reported as at quarter end service Position as on 30 June 2016, INR 10, Reserve Fund ) Million (Settlement In certain clearing services, the contributions from the Settlement Reserve Fund are capped as under for meeting the participant default Forex Forward Segment: 25% of the balance in SRF at the time of default. RUPEE DERIVATIVES Segment: 25% of the balance in SRF at the time of default. Forex Segment: 15% of the balance in SRF at the time of default. *As of 30 June 2016, there was no segment specific default fund for Securities and CBLO and hence entire SRF could be used to meet residual losses under extreme but plausible situations. A process has been initiated to put in place default fund for these two segments as well Total value of default Committed Aggregate participant commitments resources to address an initial (excluding initial and participant default (or retained variation margin), initial round of participant split by clearing service if defaults); default funds are segregated by clearing service Reported as at quarter end As at 30 June 2016, required Default fund commitment is FOREX FORWARDS : INR 11, Million FOREX SPOT : INR 1, Million RUPEE DERIVATIVES : INR 2, Million 6

7 4.1.9 Total value of default Committed Aggregate participant commitments resources to replenish the default (excluding initial and fund to deal with a retained variation margin), subsequent participant split by clearing service if default (or round of default funds are participant defaults) after segregated by clearing the initial participant service default (or round of participant defaults) has been addressed; Reported as at quarter end As at 30 June 2016, required Default fund commitment is FOREX FORWARDS : INR 11, Million FOREX SPOT : INR 1, Million RUPEE DERIVATIVES : INR 2, Million Commitments are multiples of prefunded amounts subject to limits described in documents placed below: Rupee Derivatives Segment: ications/attachments/712/notificatio N%20II%20CCIL%20RMD%20DRV14%203 7.pdf Forex Segment: ications/attachments/759/rmd_pvp_21 Resignation%20and%20%20Loss%20Thre shold.pdf Forex Forward Segment: ications/attachments/476/rmdforex SPOTFF1304.pdf Total value of default resources Committed Other; Reported as at quarter end NA (excluding initial and retained variation margin), split by clearing service if default funds are segregated by clearing 7

8 service Kccp Kccp need only be reported by those CCPs which are, or seek to be a "qualifying CCP" under relevant law. Cash deposited at a central bank of issue of the currency concerned; Reported as at quarter end; PreHaircut and PostHaircut Position as on 30 June 2016, Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Cash deposited at other central banks; Reported as at quarter end; PreHaircut and PostHaircut NIL Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Secured cash deposited at NAcommercial banks (including reverse repo); Reported as at quarter end; PreHaircut and PostHaircut Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing Unsecured cash deposited Position as on 30 June 2016 at commercial banks; Reported as at quarter end; Parti ipa ts o tri utio to ards PreHaircut and Post Default fund Kccp Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by FOREX FORWARDS FOREX SPOT RUPEE DERIVATIVES INR 1.42 Million INR 0 INR 0 NIL There was no cash deposit of default resources at RBI as on 30 June The SRF amount of INR 10, Million is invested in Bank deposits with different maturity buckets. There was no investment in TBills. There was no cash deposit of default resources at other central banks as on 30 June The SRF amount of INR 10, Million is invested in Bank deposits with different maturity buckets. There was no investment in TBills. INR Million 8

9 service, in total and split Haircut by Prehaircut PostHaircut FOREX FORWARDS RUPEE DERIVATIVES FOREX SPOT Additionally, Settlement Reserve Fund of INR 10, Million is available for meeting participant default. Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by NonCash Government Domestic; Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by NonCash Sovereign NIL Government BondsOther; Reported as at quarter end; PreHaircut and PostHaircut Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by NonCash Agency Bonds; NAReported as at quarter end; PreHaircut and PostHaircut Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by NonCash State/municipal NAbonds; Reported as at quarter end; PreHaircut and PostHaircut Sovereign Position as on 30 June 2016, Bonds Reported as at quarter end; PreHaircut and PostHaircut INR Million PrePosthaircut Haircut FOREX FORWARDS 19, , RUPEE DERIVATIVES 2, , FOREX SPOT 2, ,

10 Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by NonCash Corporate bonds; NAReported as at quarter end; PreHaircut and PostHaircut Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by NonCash Commodities NAOther; Reported as at quarter end; PreHaircut and PostHaircut Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by NonCash Commodities NAMutual Funds / UCITs; Reported as at quarter end; PreHaircut and PostHaircut Value of prefunded default resources (excluding initial and retained variation margin) NonCash Commodities NAOther; Reported as at quarter end; PreHaircut and Post NonCash Equities; NAReported as at quarter end; PreHaircut and PostHaircut NonCash Commodities NAGold; Reported as at quarter end; PreHaircut and PostHaircut 10

11 held for each clearing Haircut service, in total and split by Value of prefunded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by In total. Position as on 30 June 2016 Reported as at quarter end; PreHaircut and PostHaircut INR Million PrePosthaircut Haircut FOREX FORWARDS 20, , RUPEE DERIVATIVES 2, , FOREX SPOT 3, , *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 10, Million is available Credit Risk Disclosures Credit Risk Disclosures Credit Risk Disclosures State whether the CCP is subject to a minimum Co er or Co er requirement in relation to total prefunded default resources. CCIL is subjected to Cover 1. 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: 1 Cover 2 is not stipulated by the Regulator as CCIL is not operating in multiple jurisdi tio s a d does t ha e o plex risk profile. CBLO: 1 Forex: 1 Forex Forward: 1 Rupee Derivatives: 1 *One day liquidation period under stress from the time of default For each clearing service, Forex Spot: the estimated largest 11

12 aggregate stress loss (in Cover 1 (INR Million ) excess of initial margin) Peak that would be caused by the default of any single Average participant and its affiliates (including transactions Default fund for Forex Segment has been cleared for indirect incorporated since Apr participants) in extreme but plausible market conditions; Peak day Forex Forward: amount in the previous 12 months and mean average Cover 1 (INR over the previous 12 Million ) Peak months Average RUPEE DERIVATIVES: Peak Average Cover 1 (INR Million ) Default fund for RUPEE DERIVATIVES Segment has been incorporated since Aug *Segregated Default Fund for Securities segment has been put in place from 05 Aug For CBLO segment, it will be implemented with effect from 03 Oct Credit Risk Disclosures Report the number of Forex: 0 business days, if any, on which the above amount Forex Forward: 0 (4.4.3) exceeded actual RUPEE DERIVATIVES: 0 prefunded default resources (in excess of initial margin). 12

13 4.4.5 Credit Risk Disclosures The amount in which Forex: 0 exceeded actual prefunded default resources Forex Forward: 0 (in excess of initial margin) RUPEE DERIVATIVES: 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 Securities: 0 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 Forex Spot: Credit Risk Disclosures CBLO: 0 Forex: 0 Forex Forward: 0 RUPEE DERIVATIVES: 0 Peak Average Cover 2 (INR Million ) Default fund for Forex Segment has been incorporated since Apr Forex Forward: Peak Average Cover 2 (INR Million ) RUPEE DERIVATIVES: Peak Average Cover 2 (INR Million )

14 Default fund for RUPEE DERIVATIVES Segment has been incorporated since Aug *Segregated Default Fund for Securities segment has been put in place from 05 Aug For CBLO segment, it will be implemented with effect from 03 Oct Credit Risk Disclosures Number of business days, if Forex: 1 any, on which the above amount (4.4.7) exceeded Forex Forward: 57 actual prefunded default RUPEE DERIVATIVES: 0 resources (in excess of initial margin) and by how much Credit Risk Disclosures The amount in which Forex Segment: exceeded actual prefunded default resources CCIL is subjected to cover 1 requirements and the same has been fulfilled. The (in excess of initial margin) cover 2 data is as under: No. of days of shortfall : 1 Maximum shortfall : INR 25.7 Million Minimum shortfall: Forex Forward Segment: CCIL is subjected to cover 1 requirements and the same has been fulfilled. The cover 2 data is as under: No. of days of shortfall : 57 Maximum shortfall : INR Million Minimum shortfall: INR 12 Million 14

15 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)? Description: PeakDayAmountInPrevious 12Months; MeanAverageOverPrevious 12Months Securities: 0 CBLO: 0 Forex: 0 Forex Forward: 0 RUPEE DERIVATIVES: 0 15

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17 Principle 5: Collateral Assets eligible as initial margin, and the respective haircuts applied Assets eligible as initial *For Initial Margin purpose, highly margin and the respective liquid Government of India (GOI) securities are accepted, while for haircuts applied CBLO segment collaterals and Default Fund, all GOI securities are accepted. Details are placed as Annexures Annexure 1: CBLO Segment Annexure 2: Securities Segment Details are placed as Annexures Assets Eligible for prefunded participant contributions to the default resources, and the respective haircuts applied (if different from 5.1) Assets Eligible for prefunded participant contributions to the default resources, and the respective haircuts applied (if different from 5.1) Results of testing of haircuts 99% confidence level Results of testing of haircuts Confidence interval targeted through the calculation of haircuts Assumed holding/ liquidation period for the assets accepted Results of testing of haircuts Lookback period used for testing the haircuts 1 year (365 days) of back testing results Results of testing of haircuts Number of days during the lookback period on which the fall in value during the assumed holding/liquidation period exceeded the haircut on an asset. None Annexure 3: Forex Forward Segment / Rupee Derivatives Segment /USDINR Segment Holding period of 3 days considered for all segments, except CBLO where it is 5 days. 17

18 Principle 6: Margin 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); Position as on 30 June 2016, Securities Segment: INR 26, Million Rupee Derivatives Segment: INR 3, Million Forex Forward Segment: INR 66, Million Forex Segment: USD Million (USD/INR) CBLO Segment: INR 0 Mn In CBLO segment, the initial margin blocked for borrower and lender during the trading day is released after completion of settlement of 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. (*Aggregated at segment level) For each clearing service, Cash deposited at a central Position as on 30 June 2016, total initial margin held, split bank of issue of the by house and client currency concerned; Total INR Million split by House and Client;PreHaircut and Post Haircut For each clearing service, Cash deposited at other total initial margin held, split central banks; Total split by by house and client House and Client; Pre NIL Haircut and PostHaircut 18

19 6.2.3 For each clearing service, Secured cash deposited at total initial margin held, split commercial banks (including by house and client reverse repo); Total split by NIL House and Client; PreHaircut and PostHaircut For each clearing service, Unsecured cash deposited Position as on 30 June 2016, total initial margin held, split at commercial banks; Total INR 17,704.6 Million split by House and Client; by house and client PreHaircut and Post Hair USD 6.96 Million cut For each clearing service, NonCash Sovereign total initial margin held, split Government Bonds Domestic; Total split by by house and client House and Client; PreHaircut and Post Haircut For each clearing service, total initial margin held, split by house and client NonCash Sovereign Government Bonds Other; Total split by House and Client; PreHaircut and Post Haircut Position as on 30 June 2016 (INR in Million) Segment Pre Hair cut Post Hair cut Securities 352, , CBLO 3,022, ,922, *Securities are held in a fungible pool, which is used to meet margin requirements across segments. The value of securities for CBLO segment includes the Initial Margin and value of collateral used for borrowing. Position as on 30 June 2016, USD 590 Million *Invested in US T Bills for availing collateralized Line of Credit For each clearing service, total initial margin held, split by house and client NonCash Agency Bonds; Total split by House and Client;PreHaircut and Post Haircut NA For each clearing service, total initial margin held, split by house and client NonCash State/municipal bonds; Total split by House and Client; PreHaircut and Post Haircut NA 19

20 6.2.9 For each clearing service, total initial margin held, split by house and client NonCash Corporate bonds; Total split by House and Client; PreHaircut and Post Haircut NA For each clearing service, total initial margin held, split by house and client NA For each clearing service, total initial margin held, split by house and client NonCash Equities; Description: House IM_ PreHaircut, House IM_Post Haircut, Client IM_Pre Haircut, Client IM_ Post Haircut, Total IM_PreHaircut, Total IM_Post Haircut NonCash Commodities Gold; Description: HouseIM_PreHaircut, HouseIM_PostHaircut, ClientIM_PreHaircut, ClientIM_PostHaircut, TotalIM_PreHaircut, TotalIM_PostHaircut For each clearing service, NonCash Commodities NAtotal initial margin held, split Other; Total split by House and Client; PreHaircut and by house and client Post Haircut For each clearing service, NonCash Mutual Funds / NAtotal initial margin held, split UCITs; Total split by House and Client; PreHaircut and by house and client Post Haircut For each clearing service, NonCash Other; Total NAtotal initial margin held, split split by House and Client; PreHaircut and Post Hairby house and client cut NA For each clearing service, For each clearing service, As at 30 June 2016, total initial margin held, split total initial margin held, split by house and client (if Cash: by house and client segregated). INR 17,704.6 Million 20

21 USD 6.96 Million USD Securities(TBills): USD 590 Million *Invested in US T Bills for availing collateralized Line of Credit. INR Securities: Pre haircut : INR 352, Million Post haircut : INR 345, Million CBLO : Pre haircut : INR 3,022, Million CBLO : Post haircut : INR 2,922, Million * Securities are held in a fungible pool, which is used to meet margin requirements across segments. However, the securities are blocked segmentwise with a right to utilize the same in terms of its ByeLaws, Rules and Regulations. The value of securities for CBLO segment includes the Initial Margin and value of collateral used for borrowing 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 securitywise margin factors placed at Annexure 4). 2. For the Forex segment, margin factor of 2.75% per settlement date is applied in the spot window, and is reviewed monthly. For members with low 21

22 credit rating, Margin factors are hiked by 50% to 100%. ists/listnotifications/attach ments/753/rmd_pvp_18%20risk%20management% 20Processes.pdf 3. A uniform margin factor of 0.5% is applied for CBLO, which is subject to a quarterly review. 4. For Forex Forward Segment and Rupee Derivatives Segment, for members with low credit rating, initial margin is stepped up by 50% to 100% Type of initial margin model Type of IM 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 Securities Segment: Securitywise historical simulation based value at risk factor. CBLO Segment: Historical simulation based Value at Risk factor. Forex Segment: The market risk factor is based on a historical simulation based Value at Risk. Forex Forward Segment and Rupee Derivatives Segment: Initial Margin is calculated at a portfolio level using a weighted historical simulation based Value at Risk model. 22

23 Type of initial margin model Type of IM Model Change used (e.g. portfolio Effective Date simulation or risk aggregation) for each clearing service and the key model design parameters for each initial margin model applied to that clearing service Securities Segment: No change Type of initial margin model IM Model Name 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 Securities Segment: Historical VaR Type of initial margin model IM Model Name Change used (e.g. portfolio Effective Date simulation or risk aggregation) for each clearing service and the key model design parameters for each initial margin model applied to that clearing service Securities Segment: No change Type of initial margin model Single Tailed Confidence used (e.g. portfolio Level simulation or risk aggregation) for each clearing service and the key model design parameters for each initial margin model applied to that clearing service Securities Segment: 99% CBLO Segment: No change Forex Segment: No change Forex Forward Segment: No change IRS Segment: No change CBLO Segment: Historical VaR Forex Segment: Historical VaR Forex Forward Segment: EWMA Hull White VaR IRS Segment: EWMA Hull White VaR CBLO Segment: No change Forex Segment: No change Forex Forward Segment: No change IRS Segment: No change CBLO Segment: 99% Forex Segment: 99% Forex Forward Segment: 99% IRS Segment: 99% 23

24 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 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 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 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 Single Tailed Confidence Level Change Effective Date Securities Segment: No change CBLO Segment: No change Forex Segment: No change Forex Forward Segment: No change IRS Segment: No change Look Back Period Securities Segment: 1,000 days CBLO Segment: 1000 days Forex Segment: 1,000 days Forex Forward Segment: 500 days IRS Segment: 250 days Look Back Period Change Effective Date Securities Segment: No change CBLO Segment: 30 June 2016 Forex Segment: No change Forex Forward Segment: No change IRS Segment: No change Adjustments Securities Segment: Margin factors for semi liquid and illiquid securities are stepped up by 50% and 100% respectively. CBLO Segment: Illiquidity multiplicants of 1.5 and 2 are applied to semiliquid and illiquid collaterals. Forex Forward & Rupee Derivatives Segment: Minimum Initial Margin is stipulated to account for pro cyclicality. 24

25 Spread Margin is collected as part of Initial Margin to account for basis risk (non parallel shift in tenors) Type of initial margin model Adjustments Change used (e.g. portfolio Effective Date simulation or risk aggregation) for each clearing service and the key model design parameters for each initial margin model applied to that clearing service Securities Segment: No change Type of initial margin model Close Out Period (days) 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 Securities Segment: 3 days Type of initial margin model Close out period change used (e.g. portfolio Effective Date simulation or risk aggregation) for each clearing service and the key model design parameters for each initial margin model applied to that clearing service Securities Segment: No change Type of initial margin model IM Rates Link used (e.g. portfolio simulation or risk aggregation) for each clearing service and the key model design parameters for each initial margin model 1. Securities Segment: ISIN (security) wise margin factors are computed which are revised fortnightly. (Details of securitywise margin factors placed at Annexure 4). CBLO Segment: No change Forex Segment: No change Forex Forward Segment: No change IRS Segment: No change CBLO Segment: 3 days Forex Segment: 3 days Forex Forward Segment: 2 days IRS Segment: 3 days CBLO Segment: No change Forex Segment: No change Forex Forward Segment: No change IRS Segment: No change 25

26 applied to that clearing service 2. For the Forex segment, margin factor of 2.75% per settlement date is applied in the spot window, and is reviewed monthly. For members with low credit rating, Margin factors are hiked by 50% to 100%. /ListNotifications/Attachments/ 753/RMD_PVP_18%20Risk%20Management%20Pr ocesses.pdf 3. A uniform margin factor of 0.5% is applied for CBLO, and is subject to a quarterly review 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 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 Frequency of Parameter Review 4. For Forex Forward Segment and Rupee Derivatives Segment, for members with low credit rating, initial margin is stepped up by 50% to 100%. 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 Securities Segment: No change CBLO Segment: No change Forex Segment: No change Forex Forward Segment: No change IRS Segment: No change 26

27 Results of backtesting 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 markedtomarket exposure of that member account Securities Segment: 0 CBLO Segment: 0 Forex Forward Segment: 0 Forex Segment: 0 IRS Segment: Specify if measured Frequency of daily backintraday/continuously or testing result only once a day. If once a measurements. day, specify at what time of day. Measured once i.e., at the end of the day Specify if measured intraday/continuously or only once a day. If once a day, specify at what time of day. Results of backtesting of initial margin. At a minimum, this should include, for each clearing service and each initial margin model applied to that clearing service Time of daily backtesting result if measured once a day. End of the day Number of observations (i.e. number of accounts multiplied by number of days covered in the back test) Securities Segment: 37, CBLO Segment: 54,224 Forex Forward Segment: 19,645 Forex Segment: 20,145 IRS Segment: 3453 *All accounts are covered every day Results of backtesting of Achieved coverage level initial margin. At a [( )/6.5.1] minimum, this should include, for each clearing service and each initial margin model applied to that clearing service Results of backtesting of initial margin. At a minimum, this should include, for each clearing service and each initial Securities Segment: 100% CBLO Segment: 100% Forex Forward Segment: 100% Forex Segment: 100% IRS Segment: 100% Where breaches of initial NIL margin coverage (as defined in 6.5(a)) have occurred, report on size of uncovered 27

28 margin model applied to exposure; Peak size that clearing service Results of backtesting of initial margin. At a minimum, this should include, for each clearing service and each initial margin model applied to that clearing service Where breaches of initial NIL margin coverage (as defined in 6.5(a)) have occurred, report on size of uncovered exposure; Average Size Average Total Variation Margin Paid to the CCP by participants in each business segment Average Total Variation Margin Paid to the CCP by participants each business day over the period Securities Segment: INR Million CBLO Segment: INR Million Forex Forward Segment: INR 26, Million Forex Segment: INR 1, Million IRS Segment: INR Million Maximum total variation margin paid to the CCP on any given business day over the period Maximum total variation margin paid to the CCP on any given business day over the period Securities Segment: INR 3, Million CBLO Segment: INR Million Forex Forward Segment: INR 39, Million Forex Segment: INR 12, Million IRS Segment: 28

29 INR Million Maximum aggregate initial margin call on any given business day over the period Maximum aggregate initial margin call on any given business day over the period Max IM required on any day, over the quarter Securities INR 34, Million CBLO INR Million FFS INR 79, Million Forex USD Million IRS INR 3, Million 29

30 Principle 7: Liquidity Risk Liquidity Risk Liquidity Risk Liquidity Risk Liquidity Risk Liquidity Risk Liquidity Risk Liquidity Risk State whether the clearing service maintains sufficient liquid resources to 'Cover 1' or 'Cover 2'. Size and composition of qualifying liquid resources for each clearing service; (a) Cash deposited at a central bank of issue of the currency concerned Size and composition of qualifying liquid resources for each clearing service; (b) Cash deposited at other central banks Size and composition of qualifying liquid resources for each clearing service; (c) Secured cash deposited at commercial banks (including reverse repo) Size and composition of qualifying liquid resources for each clearing service; (d) Unsecured cash deposited at commercial banks Size and composition of qualifying liquid resources for each clearing service; (e) secured committed lines of credit (ie those for which collateral/security will be provided by the CCP if drawn) including committed foreign exchange swaps and committed repos Size and composition of qualifying liquid resources for each clearing service; (f) unsecured committed lines of Sufficient liquid resources are maintained for 'Cover 1' INR Million cash balance at RBI as on 30 June 2016 NA N.A. INR13, million over draft facility on term deposits with commercial banks (as on 30 June 2016) USD 400 Million (collateralized LoC) available at USD Settlement Banks USD 175 Million (uncollateralized LoC) available at USD Settlement Bank 30

31 credit (ie which the CCP may Segmentwise LoC available at draw without providing central bank( RBI) Forex Segment INR 13, collateral/security) Million Securities/CBLO Segment INR 18, Million. Rupee Derivatives INR Million LoC available at Settlement Banks Securities/CBLO SegmentsINR 63, Million 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 securities) value as at 30 June 2016 is INR 345, Million Liquidity Risk Size and composition of NAqualifying liquid resources for each clearing service; (h) other Liquidity Risk State whether the CCP has routine access to central bank liquidity or facilities Liquidity Risk Details regarding the schedule No such priority. All obligations are of payments or priority for to be met in equal terms. allocating payments, if such exists, and any applicable rule, policy, procedure, and governance arrangement around such decision making. No routine access to central bank liquidity 31

32 7.2.1 Size and composition of any supplementary liquidity risk resources for each clearing service above those qualifying liquid resources above. Size and composition of any Position as at 30 June 2016, supplementary liquidity risk resources for each clearing Settlement Reserve Fund INR service above those qualifying 10, Million liquid resources in Liquidity Risk Liquidity Risk Liquidity Risk Liquidity Risk Estimated largest sameday and, where relevant, 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 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 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; Amount of excess on each day Actual largest intraday and multiday payment obligation of a single participant and its affiliates (including transactions cleared for indirect participants) over the past INR 172, Million 0 days N.A. INR 172, Million 32

33 twelve months; Peak day amount in previous twelve months Liquidity Risk Estimated largest sameday INR 170, Million and, where relevant, intraday and multiday payment USD Million 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 Liquidity Risk Number of business days, if INR: 0 days any, on which the above amounts exceeded its USD: 0 days qualifying liquid resources in each relevant currency (as identified in 7.1 and available at the point the breach occurred), Liquidity Risk Report the number of business N.A. 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 33

34 Principle 12: Exchange of Value Settlement Systems 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 and CBLO Settlement 100% Percentage of settlements by value effected using a DvP, DvD or PvP settlement mechanism Percentage of settlements by value effected using a DvD settlement mechanism NA Percentage of settlements by value effected using a DvP, DvD or PvP settlement mechanism Percentage of settlements by value effected using a PvP settlement mechanism Forex Settlement: 100% 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 and CBLO Settlement: 100% Percentage of settlements by volume effected using a DvP, DvD or PvP settlement mechanism Percentage of settlements by volume effected using a DvD settlement mechanism NA Percentage of settlements by volume effected using a DvP, DvD or PvP settlement mechanism Percentage of settlements by volume effected using a PvP settlement mechanism Forex Settlement: 100% 34

35 Principle 13: Default Rules and Procedures Quantitative information related to defaults Quantitative information related None in the last quarter to defaults; Amount of loss versus amount of initial margin Quantitative information related to defaults Quantitative information related None in the last quarter to defaults; Amount of other financial resources used to cover losses Quantitative information related to defaults Quantitative information related None of the client positions to defaults; Proportion of client were closed out. positions closedout Quantitative information related to defaults Quantitative information related None of the client positions to defaults; Proportion of client were ported. positions ported Quantitative information related to defaults Quantitative information related to defaults; Appropriate mbership/bylawsdocs/byereferences to other published Laws.pdf material related to the defaults 35

36 Principle 14: Segregation and Portability Total Client Positions Total Client Positions held in NAheld as a share of individually segregated notional values cleared accounts or of the settlement value of securities transactions Total Client Positions held as a share of notional values cleared or of the settlement value of securities transactions Total Client Positions held in NAomnibus clientonly accounts, other than LSOC accounts Total Client Positions held as a share of notional values cleared or of the settlement value of securities transactions Total Client Positions held in NAlegally segregated but operationally comingled (LSOC) accounts Total Client Positions Total Client Positions held in NAheld as a share of comingled house and client notional values cleared accounts or of the settlement value of securities transactions 36

37 Principle 15: General Business Risk General business risk Value of liquid net assets funded by equity (as on ) INR 7,692 Million General business risk Six months of current operating expenses INR 500 Million General business risk; Financial Disclosures Total Revenue (For Financial Year ) INR 6,008 Million General business risk; Financial Disclosures Total Expenditure(For Financial Year ) INR 1,160 Million General business risk; Financial Disclosures Profits(For Financial Year ) Profit Before Tax INR 4,847 Million Profit After Tax INR 3,172 Million General business risk; Financial Disclosures Total Assets(as on ) INR 89,885 Million General business risk; Financial Disclosures Total Liabilities(as on ) Capital INR 20,196 Million Liabilities INR 69,689 Million General business risk; Financial Disclosures Explain if collateral posted by clearing participants is held on or off CCIL's balance sheet General business risk; Financial Disclosures Additional items as necessary Collaterals in the form of funds are held on Balance Sheet and Collaterals held in form of Govt. Securities are held off Balance Sheet General business risk; Income breakdown Percentage of total income that comes from fees related to provision of clearing services 49% General business risk; Income breakdown Percentage of total income that comes from the reinvestment (or rehypothecation) of assets provided by clearing participants 27% 37

38 Principle 16: Custody and Investment Risks 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, split by whether it was received as initial margin or default fund contribution How total cash received from participants (16.1) is held/deposited/invested, including; How total cash received from participants (16.1) is held/deposited/invested, including; Total cash (but not securities) received from INR Million participants, regardless of the form in which it is held, USD Million deposited or invested, received as initial margin Total cash (but not securities) received from INR Million participants, regardless of the form in which it is held, deposited or invested, received as default fund contribution Percentage of total participant cash held as cash deposits (including through reverse repo) 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 How total cash received Percentage of total from participants (16.1) is participant cash held as cash held/deposited/invested, deposits (including through reverse repo); as cash including; deposits at other central banks How total cash received Percentage of total from participants (16.1) is participant cash held as cash held/deposited/invested, deposits (including through reverse repo); as cash including; deposits at commercial banks (Secured, including INR Fixed Deposit % of Cash Collateral USD NIL INR Balance at RBI is 1.70 % of Cash Collateral USD No Balance at Central Bank INR NIL USD NIL INR NIL USD NIL 38

39 through reverse repo) 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); as cash deposits at commercial banks (Unsecured) INR : i) Cash balance 0.32 % of Total Cash Collateral ii) Fixed Deposit % of Total Cash Collateral iii) i + ii = % of Total Cash Collateral USD : No Fixed Deposit, USD Balance in account is 1.37 % of Total Cash Collateral How total cash received from participants (16.1) is held/deposited/invested, including; How total cash received from participants (16.1) is held/deposited/invested, including; Percentage of total NIL participant cash held as cash deposits (including through reverse repo); in money market funds Percentage of total NIL participant cash held as cash deposits (including through reverse repo); in other forms How total cash received from participants (16.1) is held/deposited/invested, including; Percentage of total N A 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 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); weighted average maturity of these cash deposits (including reverse repo) and money Weighted Average Maturity of Bank Deposits INR : 182 Days USD : No Outstanding Deposits 39

40 market funds How total cash received from participants (16.1) is held/deposited/invested, including; Percentage of total participant cash invested in securities; Domestic sovereign government bonds How total cash received from participants (16.1) is held/deposited/invested, including; Percentage of total USD Investment in USD Treasury Bill participant cash invested in is % of Total Cash Collateral securities; Other sovereign receipts in US Dollars government bonds How total cash received from participants (16.1) is held/deposited/invested, including; How total cash received from participants (16.1) is held/deposited/invested, including; How total cash received from participants (16.1) is held/deposited/invested, including; Percentage of total NIL participant cash invested in securities; Agency Bonds How total cash received from participants (16.1) is held/deposited/invested, including; Percentage of total participant cash invested in securities; percentage split by currency of these securities; Specify local currency in comments; INR Investment in Treasury Bills is % of Total Cash Collateral Percentage of total NIL participant cash invested in securities; State/municipal bonds Percentage of total NIL participant cash invested in securities; Other instruments INR Investment in INR Treasury Bills is 31.65% USD Investment in USD Treasury Bill is 98.62% of Cash Collateral receipts in respective Currencies. No investment in currency(ies) other than currency of receipt How total cash received from participants (16.1) is held/deposited/invested, including; 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): 171 Days USD (T Bills): 87 Days 40

41 How total cash received from participants (16.1) is held/deposited/invested, including; Provide an estimate of the risk on the investment portfolio (excluding central bank and commercial bank deposits) (99% oneday VaR, or equivalent) How total cash received State if the CCP investment from participants (16.1) is policy sets a limit on the held/deposited/invested, proportion of the investment portfolio that including; may be allocated to a single counterparty, and the size of that limit. Oneday VaR at 99% confidence level for investment portfolio INR 1,252, USD 69, Investment Limit for term deposits is set at lower of (i)10% of the investible corpus (presently INR 4280 Million) and (ii) 10% of the TierI Capital in case of banks owned by Government. (iii) 5% of the TierI capital for nongovt Banks. At present, the maximum limit for all banks is INR 4280 Million How total cash received from participants (16.1) is held/deposited/invested, including; State the number of times over the previous quarter in No Instance which this limit has been exceeded How total cash received Percentage of total INR (Treasury Bill) : % from participants (16.1) is participant cash held as USD (Treasury Bill) : % held/deposited/invested, securities. including; Securities : NIL Rehypothecation of participant assets (ie noncash) Total value of participant noncash rehypothecated (Initial margin) INR : NIL Rehypothecation of participant assets (ie noncash) Total value of participant noncash rehypothecated (Default fund) INR : NIL Rehypothecation of participant assets (ie noncash) Rehypothecation of participant assets (ie noncash) by the CCP where allowed; initial margin; over the following maturities: INR : NIL 41

42 Overnight/one day; one day and up to one week; One week and up to one month; One month and up to one year; One year and up to two years; Over two years Rehypothecation of participant assets (ie noncash) Rehypothecation of participant assets (ie noncash); default fund; over the following maturities: Overnight/one day; one day and up to one week; One week and up to one month; One month and up to one year; One year and up to two years; Over two years INR : NIL 42

43 Principle 17: Operational Risk Operational availability target for the core system(s) involved in clearing (whether or not outsourced) over specified period for the system (e.g % over a twelvemonth period) Actual availability of the core system(s) over the previous 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 % over a twelvemonth period) Actual availability of the core system(s) over the previous twelve month period System Individual target Clearing & Settlement 99.50% Risk Management 99.50% Funds Settlement 99.50% Central Communication 99.50% System Actual Availability Clearing & Settlement Risk Management Funds Settlement Central Communication Total number of failures Total number of failures and duration affecting the core system(s) involved in clearing over the previous twelve month period System Clearing & Settlement Risk Management Funds Settlement Central Communicatio n Recovery time objective(s) Recovery time objective(s) (e.g. within two hours) 99.96% 99.91% % % incide nt count Downti me (minute s) hours 43

44 Principle 18: Access and Participation Requirements: Number of clearing members, by clearing service Number of general clearing members Number of clearing members, by clearing service Number of direct clearing members* Forex Rupee Derivatives Forex Forward Securities CBLO Forex Rupee Derivatives Forex Forward Securities CBLO *Settlement takes place at the Reserve Bank of India for these members Number of clearing members, by clearing service Number of others category (Describe in comments)* Forex Rupee Derivatives Forex Forward Securities CBLO *Settlement takes place at Settlement Banks for these members Number of clearing members, by clearing service Number of central bank participants NIL Number of clearing members, by clearing service Number of CCP participants NIL 44

45 Number of clearing members, by clearing service Number of clearing members, by clearing service Number of bank participants Number of other participants (Describe in comments) Number of clearing members, by clearing service Number of domestic participants Number of clearing members, by clearing service Number of foreign participants Forex 95 Rupee Derivatives 18 Forex Forward 86 Securities 138 CBLO 128 (Financial Institutions, Gratuity Fund, Insurance, Mutual Funds, NBFCs, Other Corporates, Primary Dealers, Provident and pension Fund Trust) Forex Rupee Derivatives Forex Forward Securities CBLO Forex Rupee Derivatives Forex Forward Securities CBLO Forex Rupee Derivatives Forex Forward Securities CBLO *Foreign participants operating from India, for eg Indian branches of foreign banks. 45

46 Open Position Concentration 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 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 IRS Segment: Max: 91.93% IRS Segment: Average: 87.94% FFS Segment OI as % of total OI Largest 5 Largest 10 Averag e Peak Sec Segment % Largest 5 Average Peak Largest Forex All in percenta ge % Average of Top Average of Top 10 Peak end of day value (Top 5 as percentage of Total) Peak end of day value (Top 10 as percentage of Total) CBLO All in percenta ge % Average of Top Average of Top 10 46

47 Peak end of day value (Top 5 as percentage of Total) Peak end of day value (Top 10 as percentage of Total) Open Position Concentration Initial Margin Concentration Initial Margin Concentration For each clearing service with 25 or more members; Percentage of open positions held by the largest ten clearing members, including both house and client, in aggregate; Average and Peak over the quarter For each clearing service with ten or more members, but fewer than 25 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 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 Answers included in the above box IRS Segment: Average: 78.36% IRS Segment: Max: 82.43% Securities Segment: Max: 42.15% Securities Segment: Average: 31.19% CBLO Segment: Max: 80.50% CBLO Segment: Average: 60.46% Forex Segment: Max: 19.31% Forex Segment: Average: 19.13% Forex Forward Segment: Max: 36.60% Initial Margin Concentration For each clearing service with 25 or more members; Percentage of initial margin Forex Forward Segment: Average: 33.09% Securities Segment: Max: 56.74% Securities Segment: Average: 47

48 posted by the largest ten clearing members, including both house and client, in aggregate; Average and Peak over the quarter 48.60% CBLO Segment: Max: 95.98% CBLO Segment: Average: 80.40% Forex Segment: Max: 36.18% Forex Segment: Average: 35.87% Forex Forward Segment: Max: 55.58% Forex Forward Segment: Average: 52.56% Segregated Default Fund Concentration Segregated Default Fund Concentration Segregated Default Fund Concentration For each segregated default fund with ten or more members, but fewer than 25 members; Percentage of participant contributions to the default fund contributed by largest five clearing members in aggregate IRS Segment: For each segregated default fund with 25 or more members; Percentage of participant contributions to the default fund contributed by largest five clearing members in aggregate Forex Forward Segment: 27.68% For each segregated default fund with 25 or more members; Percentage of participant contributions to the default fund contributed by largest ten clearing members in aggregate Forex Forward Segment: 47.17% 78.94% Forex Segment: 25.69% Forex Segment: 43.33% 48

49 Principle 19: Tiered Participation Arrangements CCIL does t ha e a clearing member structure at present Tiered participation arrangements, Number of clients (if known) measures of concentration of client clearing Tiered participation arrangements, Number of direct members NAmeasures of concentration of client that clear for clients clearing Tiered participation arrangements, Percent of client transactions NAmeasures of concentration of client attributable to the top five clearing members (if CCP has clearing 10+ clearing members) Peak Tiered participation arrangements, Percent of client transactions NAmeasures of concentration of client attributable to the top five clearing members (if CCP has clearing 10+ clearing members) Average Tiered participation arrangements, Percent of client transactions NAmeasures of concentration of client attributable to the top ten clearing members (if CCP has clearing 25+ clearing members) Peak Tiered participation arrangements, Percent of client transactions NAmeasures of concentration of client attributable to the top ten clearing members (if CCP has clearing 25+ clearing members) Average 49

50 Principle 20: FMI Links Value of trades cleared through each USD 158, Million link as a share of total trade *(Fedwire + SWIFT) values/total notional values cleared FMI Links, Value of Trades FMI Links, Initial Margin or Initial margin or equivalent financial NAequivalent financial resources provided to each linked CCP by the CCP to cover the potential future resources provided exposure of the linked CCP on contracts cleared across link FMI Links, Initial Margin or Initial margin or equivalent financial NAequivalent financial resources collected from each linked CCP to cover potential future exposure resources collected to the linked CCP on contracts cleared across link (at market value and posthaircut) FMI Links, Results of Back Number of times over the past twelve NAmonths that coverage provided by testing coverage margin and equivalent financial resources held against each linked CCP fell below the actual markedtomarket exposure to that linked CCP based on daily back testing results; Intraday or Continuous or Onceaday FMI Links, Results of Back Backtesting results frequency state if NAmeasured intraday/continuously/once testing coverage a day FMI Links, Results of Back If is 'once a day' then the time NAof day measure is taken, otherwise testing coverage blank FMI Links, Results of Back Number of observations (i.e. number of NAaccounts multiplied by number of days testing coverage covered in the back test); Intraday or Continuous or Onceaday FMI Links, Results of Back Achieved coverage level testing coverage FMI Links, Additional pre Additional prefunded NA financial NA50

51 funded financial resources resources (if any) beyond initial margin and equivalent financial resources provided to provided to each linked CCP, that are available to the linked CCP to cover exposures to the CCP Principle 23: Disclosure of Rules, Key Procedures and Market Data Disclosure of rules, key procedures, and market data; Average Daily Volumes Average Daily Volumes by Asset Class, Instrument, CCY and OvertheCounter(OTC) or Exchange Traded (ETD) For the quarter ending June 2016 Over the Counter Market Debt Market (Govt Securities): INR 538, Million (60 working days) Money Market: INR 1,456, Million (66 working days) Forex: USD 23, Million a Disclosure of rules, key procedures, and market data; Average Daily Volumes Average Notional Value of trades cleared by Asset Class, CCY and OvertheCounter(OTC) or Exchange Traded (ETD) Derivatives: a. Forex Forwards USD 4, Million b. Rupee Derivatives INR 84, Million For the quarter ending June 2016 Over the Counter Market Debt Market : INR 529,491 Million Money Market : INR 1,481, Million Forex settlement : USD 27, Million Derivatives : a. Forex Forwards USD Million 51

52 b. Rupee Derivatives INR Million Disclosure of rules, key procedures, and market data; NonYetSettled Gross notional outstanding/total settlement value of novated but notyet settled securities transactions by Asset Class, Instrument, CCY and OvertheCounter(OTC) or Exchange Traded (ETD) Outstanding as on 30 June 2016 Forex forwards : USD 394, million Forex spot : USD 35, Million Rupee Derivatives: INR 2,830,000 Million Debt Market : INR 2,205, Million Money Market : INR 2,516, Million Disclosure of rules, key procedures, and market data; Average Daily Volumes Defines the Asset Class for volumes reported in Disclosure References , and Debt Market: Trades in GSec, TBills, State Development Loans (OTC and NDSOM) Money Market: Collateral Lending & Borrowing(CBLO), Repo Forex: USD/INR spot segment Derivatives: Forex Forwards, Interest Rate Swaps Disclosure of rules, key procedures, and market data; Average Daily Volumes Defines the Product Type for volumes reported in Disclosure References , and Debt Market: Outright Money Market: CBLO, Repo Forex: USD/INR Currency Derivatives: Forex Forwards and Interest Rate Swaps Disclosure of rules, key procedures, and market data; Average Daily Volumes Defines the Product Code for volumes reported in Disclosure References , and Product nomenclature is given. Product codes have not been defined at present. 52

53 Disclosure of rules, key procedures, and market data; Execution Facility Average daily volumes submitted by Execution facility or matching/confirmation venue Disclosure of rules, key procedures, and market data; Execution Facility Notional contract values submitted by Execution facility or matching/confirmation venue For the Quarter ending June 2016 NDS OM: INR 433, Million CROMS: INR 367, Million ASTROID: INR Million FX CLEAR: USD Million FX SWAP: USD Million CBLO: INR 692, Million For the Quarter ending June 2016 NDS OM: INR 26,011, Million CROMS: INR 24,231, Million FX CLEAR: USD 62, Million FX SWAP: USD Million CBLO: INR 45,717, Million Astroid: INR 226,100 Million 53

54 Annexure 1 NOTIFICATION CBLO Segment No. RMD/CBLO/ES&H/16/16 27Jun16 Eligible Securities for Collateral Deposits for Borrowing Limit & Haircut Rates Further to our Notification No. RMD/CBLO/ES&H/16/15 dated 20Jun16, it has been decided to include the undernoted newly issued securities in the list of Eligible Securities for Deposit as Collateral for Borrowing Limits under the CBLO segment as detailed below. Government of India Securities Sr. No. ISIN No. Security Description Coupon (%) Maturity Date Haircut Rate (%) 1 IN002016X DTB Maturing on 29/09/ Sep16 2 IN002016Y DTB Maturing on 29/12/ Dec16 The complete list of securities eligible for deposit under CBLO segment w.e.f. 27th Jun,2016 is given below: sd/chief Risk Officer (Risk Management) Encl : Complete list of eligible securities 54