Public Quantitative Disclosures for the quarter ending September 2018

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 September 2018

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

3 Principle 4: Credit Risk Total value of default resources (excluding initial and retained variation margin), split by clearing service if default funds are segregated by clearing service Total value of default resources (excluding initial and retained variation margin), split by clearing service if default funds are segregated by clearing service Total value of default resources (excluding initial and retained variation margin), split by clearing service if default funds are segregated by clearing service 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 Prefunded - Own Capital Alongside; Reported as at quarter end Prefunded - Own Capital After; Reported as at quarter end Prefunded - Aggregate Participant Contributions - Required; Reported as at quarter end As on 29 Sep 2018 INR 11,000.00Mn -Settlement Reserve Fund* In certain clearing services, the contributions from the Settlement Reserve Fund are capped as under for meeting the participant default: SECURITIES 10% of the balance in SRF at the time of default. CBLO 5% of the balance in SRF at the time of default. FOREX 15% of the balance in SRF at the time of default. RUPEE 25% of the balance in SRF DERIVATIVES at the time of default FOREX 25% of the balance in SRF FORWARDS at the time of default *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 The balance available on 30 Sep 2018 is INR 4,522 million. NIL Capital/ Reserves/ Retained Earnings can be used to replenish whenever SRF is depleted to meet further defaults if any. As on 29 Sep 2018 (INR Million) SECURITIES 2, CBLO 4, FOREX 6, RUPEE DERIVATIVES 4, FOREX FORWARDS 15,

4 4.1.5 Total value of default resources (excluding initial and retained variation margin), split by clearing service if default funds are segregated by clearing service Total value of default resources (excluding initial and retained variation margin), split by clearing service if default funds are segregated by clearing service Total value of default resources (excluding initial and retained variation margin), split by clearing service if default funds are segregated by clearing service Prefunded - Aggregate Participant Contributions - Post-Haircut Posted; Reported as at quarter end Prefunded - Other; Reported as at quarter end Committed - Own/parent funds that are committed to address a participant default (or round of participant defaults); Reported as at quarter end As on 29 Sep 2018 (INR Million) Pre-Haircut Post-Haircut FOREX FORWARDS 25, , RUPEE DERIVATIVES 6, , FOREX SPOT 9, , CBLO 10, , SECURITIES 10, , 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): FOREX FORWARDS 1, RUPEE DERIVATIVES FOREX SPOT CBLO 1, SECURITIES Securities Composition (INR Million): Pre-Haircut Post-Haircut FOREX FORWARDS 23, , RUPEE DERIVATIVES 5, , FOREX SPOT 8, , CBLO 8, , SECURITIES 10, , NIL As on 29 Sep 2018 (INR Million) INR 11, Mn-Settlement Reserve Fund The contributions from the Settlement Reserve Fund are capped as under for meeting the participant default: SECURITIES 10% of the balance in SRF at the time of default. CBLO 5% of the balance in SRF at the time of default. FOREX 15% of the balance in SRF at the time of default. RUPEE 25% of the balance in SRF DERIVATIVES at the time of default FOREX 25% of the balance in SRF FORWARDS at the time of default 4

5 4.1.8 Total value of default resources (excluding initial and retained variation margin), split by clearing service if default funds are segregated by clearing service Total value of default resources (excluding initial and retained variation margin), split by clearing service if default funds are segregated by clearing service Committed - Aggregate participant commitments to address an initial participant default (or initial round of participant defaults); Reported as at quarter end 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 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 The balance available on 30 Sep 2018 is INR 4,522 million. This is the same as As on 29 Sep 2018 (INR Million) SECURITIES 2, CBLO 4, FOREX 6, RUPEE DERIVATIVES 4, FOREX FORWARDS 15, This is the same as Prefunded default fund contribution-required as on 29 Sep 2018 (INR Million) SECURITIES 2, CBLO 4, FOREX 6, RUPEE DERIVATIVES 4, FOREX FORWARDS 15, The table above is the same as Commitments are multiples of pre-funded amounts (required) subject to limits described in documents placed below: Rupee Derivatives Segment: ons/attachments/712/notification%20ii%2 0CCIL%20RMD%20DRV14%2037.pdf Forex Segment: ons/attachments/759/rmd_pvp_21- Resignation%20and%20%20Loss%20Threshol d.pdf Forex Forward Segment: ons/attachments/476/rmd-fx-ff pdf Securities Segment: ons/attachments/924/ccil%20securities%20 Segment%20%20Resignation%20from%20Me mbership.pdf CBLO Segment: ons/attachments/940/ccil%20cblo%20seg ment%20%20default%20fund%20%20loss% 20Threshold.pdf 5

6 Total value of default resources (excluding initial and retained variation margin), split by clearing service if default funds are segregated by clearing service Committed - Other; Reported as at quarter end Kccp Kccp - Kccp need only be reported by those CCPs which are, or seek to be a "qualifying CCP" under relevant law. Reported Quarterly -NA- As on 28 Sep 2018/29 Sep 2018* (INR Million) SECURITIES* FOREX FORWARDS 8.62 FOREX SPOT 0.00 RUPEE DERIVATIVES 0.00 CBLO* 3.19 The last working day for Securities and CBLO segment was Saturday 29 Sep 2018 whereas for the other segments it was 28 Sep Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by 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 Cash deposited at other central banks; Pre-Haircut and Post-Haircut Reported as at quarter end Secured cash deposited at commercial banks (including reverse repo); Pre-Haircut and Post-Haircut Reported as at quarter end Unsecured cash deposited at commercial banks; Pre-Haircut and Post-Haircut Reported as at quarter end NIL There was no cash deposit of default resources at RBI as on 29 Sep The SRF amount of INR 11, Million is invested in Bank deposits and GOI T-Bills with different maturity buckets. NIL There was no cash deposit of default resources at RBI as on 29 Sep The SRF amount of INR 11, Million is invested in Bank deposits and GOI T-Bills with different maturity buckets. -NA- Participants Cash contribution towards Default fund 29 Sep 2018 (INR Million) FOREX FORWARDS 1, RUPEE DERIVATIVES FOREX SPOT CBLO 1, SECURITIES This is the same as in section Additionally, Settlement Reserve Fund of INR 11, Million is available for meeting participant default. 6

7 4.3.5 Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Non-Cash Sovereign Government Bonds - Domestic; Reported as at quarter end; Pre-Haircut and Post-Haircut Non-Cash Sovereign Government Bonds-Other; Reported as at quarter end; Pre-Haircut and Post-Haircut Non-Cash Agency Bonds; Reported as at quarter end; Pre-Haircut and Post-Haircut Non-Cash State/municipal bonds; Reported as at quarter end; Pre-Haircut and Post-Haircut Non-Cash Corporate bonds; Reported as at quarter end; Pre-Haircut and Post-Haircut Non-Cash Equities; Reported as at quarter end; Pre-Haircut and Post-Haircut Non-Cash Commodities - Gold; Reported as at quarter end; Pre-Haircut and Post-Haircut Non-Cash Commodities Other; Reported as at quarter end; Pre-Haircut and Post-Haircut Non-Cash Commodities - Mutual Funds / UCITs; Reported as at quarter end; Pre-Haircut and Post-Haircut Position as on 29 Sep 2018 (INR Million) Securities Composition: Pre-Haircut Post-Haircut FOREX FORWARDS 23, , RUPEE DERIVATIVES 5, , FOREX SPOT 8, , CBLO 8, , SECURITIES 10, , This is the same as in section NIL -NA- -NA- -NA- -NA- -NA- -NA- -NA- 7

8 Value of pre-funded default resources excluding initial and retained variation margin) held for each clearing service, in total and split by Value of pre-funded default resources (excluding initial and retained variation margin) held for each clearing service, in total and split by Non-Cash Commodities - Other; Reported as at quarter end; Pre-Haircut and Post-Haircut In total. Reported as at quarter end; Pre-Haircut and Post-Haircut -NA- Position as on 29 Sep 2018 (INR Million) Pre-Haircut Post-Haircut FOREX FORWARDS 25, , RUPEE DERIVATIVES 6, , FOREX SPOT 9, , CBLO 10, , SECURITIES 10, , This is the same as in 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, 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) has been created with a corpus of INR 3,021 million with effect from 31 Mar The balance available on 30 Sep 2018 is INR 4,522 million Credit Risk Disclosures State whether the CCP is subject to a minimum Cover 1 or Cover 2 requirement in relation to total pre-funded default resources 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. CCIL is subject to Cover 1 requirement. 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. FOREX FORWARDS 2 RUPEE DERIVATIVES 3 FOREX SPOT 3 CBLO 3 SECURITIES 3 In the credit stress test model, Stress Period of Risk (SPOR) is considered to be equal to the Margin Period of Risk (MPOR) 8

9 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 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 Credit Risk Disclosures The amount in which exceeded actual pre-funded default resources (in excess of initial margin) 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 Cover 1 (INR Million ) Peak Average FOREX 6, , FOREX FORWARD 17, , RUPEE DERIVATIVE 5, , SECURITIES CBLO 5, Incorporation dates for Segment Wise Default Funds FOREX FORWARD October 2010 FOREX April 2015 RUPEE DERIVATIVE August 2015 SECURIIES August 2016 CBLO October 2016 No of Business days exceeded (Cover 1) FOREX 1 FOREX FORWARD 0 RUPEE DERIVATIVES 0 SECURITIES 0 CBLO 0 Amount Exceed - INR Million(Cover 1) Max Min FOREX FOREX FORWARD 0 0 RUPEE DERIVATIVE 0 0 SECURITIES 0 0 CBLO 0 0 Back testing INR Million Peak Average FOREX FOREX FORWARD RUPEE DERIVATIVES SECURITIES* CBLO *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. 9

10 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 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 Credit Risk Disclosures The amount in which exceeded actual pre-funded default resources (in excess of initial margin) Reported for the quarter 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 Cover 2 (INR Million ) Peak Average FOREX 7, , FOREX FORWARD 23, , RUPEE DERIVATIVES 6, , SECURITIES 5, , CBLO 6, , No of Business days exceeded-(cover 2) FOREX 4 FOREX FORWARD 12 RUPEE DERIVATIVES 0 SECURITIES 1 CBLO 0 CCIL is subject to Cover 1 requirements. The Cover 2 data is as under. Amount Exceed -INR Million Max Min FOREX 2, FOREX FORWARD 4, RUPEE DERIVATIVE SECURITIES CBLO Back testing INR Million Peak Average FOREX FOREX FORWARD RUPEE DERIVATIVES SECURITIES* CBLO *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. 10

11 Principle 5: Collateral Assets eligible as initial margin, and the respective haircuts applied 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 Results of testing of haircuts Results of testing of haircuts Results of testing of haircuts Assets eligible as initial margin and the respective haircuts applied Assets Eligible for prefunded participant contributions to the default resources, and the respective haircuts applied (if different from 5.1) Confidence interval targeted through the calculation of haircuts- Quarterly Assumed holding/ liquidation period for the assets accepted- Quarterly Look-back period used for testing the haircuts- Quarterly 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 * For Initial Margin purpose, cash and highly liquid Government of India (GOI) securities are accepted, while for CBLO segment collaterals and Default Fund, cash and all GOI securities are accepted. Details are placed as Annexures: Annexure 1: CBLO Segment Annexure 2: Securities Segment Details are placed in Annexure 3: Forex Forward Segment / Rupee Derivatives Segment /USDINR Segment/ Securities Segment/CBLO 99% confidence level Holding period of 3 days considered for all segments, except CBLO where it is 5 days. 1 year (365 days) of back testing results None 11

12 Principle 6: Margin For each clearing service, total initial margin required, split by house and client (or combined total if not segregated) For each clearing service, total initial margin held, split by house and client For each clearing service, total initial margin held, split by house and client For each clearing service, total initial margin held, split by house and client For each clearing service, total initial margin held, split by house and client For each clearing service, total initial margin held, split by house and client For each clearing service, total initial margin held, split by house and client Total initial margin required split by house, client gross, client net and total(if not segregated); Cash deposited at a central bank of issue of the currency concerned; Total split by House and Client; Pre/Post- Haircut Cash deposited at other central banks; Total split by House and Client; Pre-Haircut and Post-Haircut Secured cash deposited at commercial banks (including reverse repo); Total split by House and Client; Pre/Post- Haircut Unsecured cash deposited at commercial banks; Total split by House and Client; Pre/Post-Haircut Non-Cash Sovereign Government Bonds - Domestic; Total split by House and Client; Pre/Post-Haircut Non-Cash Sovereign Government Bonds - Other; Total split by House and Client; Pre/Post-Haircut As on 28 Sep 2018/ 29 Sep 2018* Total Initial Margin (in million) SECURITIES* INR 56, CBLO* 0 FOREX USD RUPEE DERIVATIVES INR 33, FOREX FORWARDS INR 86, (Aggregated at segment level) In CBLO segment, 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. As on 29 Sep 2018, INR Million NIL NIL Position as on 29 Sep 2018, INR 19, Million USD 4.98 Million Position on 29 Sep (INR Millions) INR Million Pre Haircut Post Haircut SECURITIES* 5,16, ,08, CBLO 34,35, ,45, INR 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 CBLO segment includes the Initial Margin and value of collateral used for borrowing. Position as on 29 Sep 2018, USD Million *Invested in US T Bills for availing collateralized Line of Credit. 12

13 6.2.7 For each clearing service, total initial margin held, split by house and client For each clearing service, total initial margin held, split by house and client For each clearing service, total initial margin held, split by house and client For each clearing service, total initial margin held, split by house and client For each clearing service, total initial margin held, split by house and client For each clearing service, total initial margin held, split by house and client For each clearing service, total initial margin held, split by house and client For each clearing service, total initial margin held, split by house and client For each clearing service, total initial margin held, split by house and client Non-Cash Agency Bonds; Total split by House and Client; Pre/Post-Haircut Non-Cash State/municipal bonds; Total split by House and Client; Pre/Post-Haircut Non-Cash Corporate bonds; Total split by House and Client; Pre/Post-Haircut Non-Cash Equities; Description: House IM_ Pre/Post-Haircut/ Client IM_Pre/Post Haircut, Total IM_Pre/Post-Haircut, Non-Cash Commodities - Gold; Description: House IM_ Pre/Post-Haircut/ Client IM_Pre/Post Haircut, Total IM_Pre/Post-Haircut Non-Cash Commodities - Other; Total split by House and Client; Pre/Post-Haircut Non-Cash - Mutual Funds / UCITs; Total split by House and Client; Pre/Post-Haircut Non-Cash - Other; Total split by House and Client; Pre/Post-Haircut For each clearing service, total initial margin held, split by house and client (if segregated). As at 29 Sep 2018 Cash: INR 19, Million USD 4.98 Million -NA- -NA- -NA- -NA- -NA- -NA- -NA- -NA- USD Securities(T-Bills): Million Invested in US T Bills for availing collateralized Line of Credit. INR Million Pre Haircut Post Haircut SECURITIES* 5,16, ,08, CBLO 34,35, ,45, INR 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 CBLO segment includes the Initial Margin and value of collateral used for borrowing. 13

14 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). tions/attachments/970/securities%20segm ent%20computation%20of%20margin%20f actors%20hc%20rates.pdf ecificnotification/attachments/147/rmdss 1875%20Enhancement%20to%20Computati on%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%. tions/attachments/753/rmd_pvp_18- %20Risk%20Management%20Processes.pdf tions/attachments/964/notification%20fx% 20Segment%20_%20Floor%20to%20Margin %20Factor.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%. 14

15 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 Security-wise historical simulation based value at risk factor CBLO Historical simulation based Value at Risk factor. FOREX The market risk factor is based on a historical simulation based Value at Risk. RUPEE DERIVATIVES FOREX FORWARDS Initial Margin is calculated at a portfolio level using a weighted historical simulation based Value at Risk model 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 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 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 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 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 IM Model Name IM Model Name Change Effective Date Single Tailed Confidence Level Single Tailed Confidence Level Change Effective Date Type of IM Model SECURITIES No Change CBLO No Change FOREX No Change RUPEE DERIVATIVES No Change FOREX FORWARDS No Change IM Model Name SECURITIES Historical VaR CBLO Historical VaR FOREX Historical VaR RUPEE DERIVATIVES EWMA Hull FOREX FORWARD White VaR IM Model Name Change SECURITIES No change CBLO No change FOREX No change RUPEE DERIVATIVES No change FOREX FORWARDS No change Single Tail Confidence Level SECURITIES 99% CBLO 99% FOREX 99% RUPEE DERIVATIVES 99% FOREX FORWARDS 99% Single Tail Confidence Level Change SECURITIES No change CBLO No change FOREX No change RUPEE DERIVATIVES No change FOREX FORWARDS No change 15

16 6.4.7 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 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 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/ 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 Look Back Period Change Effective Date Adjustments Adjustments Change Effective Date Look Back Period SECURITIES 1000 days CBLO 1000 days FOREX 1000 days RUPEE DERIVATIVES 1000 days FOREX FORWARDS 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. Look Back Period Change Date SECURITIES No change CBLO No change FOREX No change RUPEE DERIVATIVES No change FOREX FORWARDS No change Securities Segment: Margin factors for semi liquid and illiquid securities are stepped up by 50% and 100% respectively. There has been a revision in the values of the parameters (viz. Volatility Component, Floor and Ceiling for Volatility Adjusted VAR) for the computation of Margin Factors and Hair cut rates since 24 th September 18. Please Refer to the notification below: ecificnotification/attachments/147/rmdss 1875%20Enhancement%20to%20Computati on%20of%20margin%20factors%20%20hc %20Rates.pdf CBLO Segment: 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. Adjustment Change SECURITIES 24 th Sep 2018 CBLO No change FOREX No change RUPEE DERIVATIVES No change FOREX FORWARDS No change 16

17 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 Close Out Period (days) Close Out Period SECURITIES CBLO FOREX RUPEE DERIVATIVES FOREX FORWARDS 3 days 3 days 3 days 3 days 2 days 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 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 Close out period change Effective Date IM Rates Link Close Out Period Change SECURITIES No change CBLO No change FOREX No change RUPEE DERIVATIVES No change FOREX FORWARDS No change 1. Securities Segment: ISIN (security) wise margin factors are computed which are revised fortnightly. (Details of securitywise margin factors placed at Annexure 4) tions/attachments/970/securities%20segm ent%20computation%20of%20margin%20f actors%20hc%20rates.pdf ecificnotification/attachments/147/rmdss 1875%20Enhancement%20to%20Computati on%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%. tions/attachments/753/rmd_pvp_18- %20Risk%20Management%20Processes.pdf tions/attachments/964/notification%20fx% 20Segment%20_%20Floor%20to%20Margin %20Factor.pdf 3. A uniform margin factor of 0.5% is applied for CBLO, and 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 17

18 up by 50% to 100% 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 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 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 Specify if measured intraday /continuously or only once a day. If once a day, specify at what time of day Specify if measured intraday /continuously or only once a day. If once a day, specify at what time of day 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 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 Frequency of Parameter Review Frequency of Parameter Review Change Effective Date 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 Frequency of daily backtesting result measurements. Time of daily back-testing result if measured once a day. Number of observations (i.e. number of accounts multiplied by number of days covered in the back test) 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 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 Change SECURITIES No change CBLO No change FOREX No change RUPEE DERIVATIVES No change FOREX FORWARDS No change No of days - Back testing Exceptions SECURITIES 1* CBLO 0 FOREX 0 RUPEE DERIVATIVES 0 FOREX FORWARDS 0 *Inadequacy due to sudden volatility in the market. Volatility margin was collected on the next day to cover the shortfall. Subsequently, no inadequacy was observed. Measured once i.e., at the end of the day. End of the day Number of Observations SECURITIES 35,134 CBLO 51,831 FOREX 19,470 RUPEE DERIVATIVES 7,434 FOREX FORWARDS 19,321 All accounts are covered every day Achieved Coverage (%) SECURITIES CBLO FOREX RUPEE DERIVATIVES FOREX FORWARDS

19 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 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 Average Total Variation Margin Paid to the CCP by participants in each business segment Maximum total variation margin paid to the CCP on any given business day over the period Maximum aggregate initial margin call on any given business day over the period 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 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 Average Total Variation Margin Paid to the CCP by participants each business day over the period For the Quarter Maximum total variation margin paid to the CCP on any given business day over the period For the Quarter Maximum aggregate initial margin call on any given business day over the period For the Quarter NIL NIL Average VM (INR million) SECURITIES 2, CBLO* 0.33 FOREX 3, RUPEE DERIVATIVES 6, FOREX FORWARDS 52, *For CBLO segment, 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. Max VM (INR Million) SECURITIES 3, CBLO 1.20 FOREX 25, RUPEE DERIVATIVES 8, FOREX FORWARDS 1,02, Max IM Required for the Quarter SECURITIES INR 59, Mn CBLO INR Mn FOREX USD Mn RUPEE DERIVATIVES INR 46, Mn FOREX FORWARD INR1,00, Mn 19

20 Principle 7: Liquidity Risk Liquidity Risk State whether the clearing service maintains sufficient liquid resources to 'Cover 1' or 'Cover 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 Liquidity Risk Size and composition of qualifying liquid resources for each clearing service; (b) Cash deposited at other central banks Liquidity Risk Size and composition of qualifying liquid resources for each clearing service; (c) Secured cash deposited at commercial banks (including reverse repo) Liquidity Risk Size and composition of qualifying liquid resources for each clearing service; (d) Unsecured cash deposited at commercial banks Liquidity Risk 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 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) Sufficient liquid resources are maintained for 'Cover 1' Cash balance at RBI as on 29 Sep 2018 INR Million N.A. N.A. INR 10, million over draft facility on term deposits with commercial banks (as on 30 Sep 2018) USD 400 Million (collateralized LoC) available at USD Settlement Banks USD 375 Million (uncollateralized LoC) available at USD Settlement Bank Segment-wise LoC available at central bank( RBI) Forex Segment - INR 13, Mn Securities/CBLO Segment INR 18, MN Rupee Derivatives INR 1, Mn 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 Liquidity Risk Size and composition of qualifying 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 of payments or priority for allocating payments, if such exists, and any applicable rule, policy, procedure, and governance arrangement around such decision making. LoC available at Settlement Banks Securities/CBLO Segments- INR 56, Mn Settlement Guarantee Fund (held in the form of highly marketable Government securities) value as on 29 Sep 2018 is INR 5,08, Million. (Same as 6.2.5) N.A. No routine access to central bank liquidity No such priority. All obligations are to be met in equal terms. 20

21 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 supplementary liquidity risk resources for each clearing service above those qualifying liquid resources in Liquidity Risk Estimated largest same-day 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 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 Liquidity Risk 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 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 Liquidity Risk Estimated largest same-day and, where relevant, 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 Liquidity Risk 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), 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 Position as at 30 Sep 2018, Settlement Reserve Fund INR 11, 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) has been created with a corpus of INR 3,021 million with effect from 31 Mar The balance available on 29 Sep 2018 is INR 4,522 million. INR 269, Million 0 days N.A. INR 339, Million INR 259, Million USD Million INR: 0 days USD: 0 days N.A. 21

22 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, DvD or PvP settlement mechanism Percentage of settlements by value effected using a DvP, DvD or PvP settlement mechanism Percentage of settlements by volume effected using a DvP, DvD or PvP settlement mechanism Percentage of settlements by volume effected using a DvP, DvD or PvP settlement mechanism Percentage of settlements by volume effected using a DvP, DvD or PvP settlement mechanism Percentage of settlements by value effected using a DvP settlement mechanism Percentage of settlements by value effected using a DvD settlement mechanism Percentage of settlements by value effected using a PvP settlement mechanism Percentage of settlements by volume effected using a DvP settlement mechanism Percentage of settlements by volume effected using a DvD settlement mechanism Percentage of settlements by volume effected using a PvP settlement mechanism Securities & CBLO settlement 100% NA Forex Settlement: 100% Securities & CBLO settlement 100% NA Forex Settlement: 100% 22

23 Principle 13: Default Rules and Procedures 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) Quantitative information related to defaults Quantitative information related to defaults Quantitative information related to defaults Quantitative information related to defaults Quantitative information related to defaults; Amount of other financial resources used to cover losses Quantitative information related to defaults; Proportion of client positions closed-out. Quantitative information related to defaults; Proportion of client positions ported. Quantitative information related to defaults; Appropriate references to other published material related to the defaults NIL (There were no defaults in this quarter) NIL (There were no defaults in this quarter) NIL (There were no defaults in this quarter) ership/bylawsdocs/bye-laws.pdf 23

24 Principle 14: Segregation and Portability 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 Total Client Positions held as a share of notional values cleared 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 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 Total Client Positions held in legally segregated but operationally comingled (LSOC) accounts Total Client Positions held in comingled house and client accounts -NA- -NA- -NA- 24

25 Principle 15: General Business Risk General business risk Value of liquid net assets funded by equity (As on ) General business risk Six months of current operating expenses General business risk; Total Revenue Financial Disclosures (For Financial Year ) General business risk; Total Expenditure Financial Disclosures (For Financial Year ) General business risk; Profits Financial Disclosures (For Financial Year ) General business risk; Total Assets Financial Disclosures (As on ) General business risk; Total Liabilities Financial Disclosures (As on ) General business risk; Financial Disclosures General business risk; Financial Disclosures Explain if collateral posted by clearing participants is held on or off CCIL's balance sheet Additional items as necessary INR 13,056 Million (Including Contingency Reserve Fund (CRF) of INR 4,522 million) INR 597 Million INR 6,288 Million INR 1,392 Million Profit Before Tax - INR 4,896 Million Profit After Tax - INR 3,182 Million INR 105,832 Million Capital INR 26,676 Million Liabilities INR 79,156 Million Collaterals in the form of funds are held on Balance Sheet and Collaterals held in form of Govt. Securities are held off Balance Sheet. 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 The balance available on 30 Sep 2018 is INR 4,522 million General business risk; Income breakdown General business risk; Income breakdown Percentage of total income that comes from fees related to provision of clearing services Percentage of total income that comes from the reinvestment (or re-hypothecation) of assets provided by clearing participants 54% 23% 25

26 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; How total cash received from participants (16.1) is held/deposited/invested, including; Total cash (but not securities) received from participants, regardless of the form in which it is held, deposited or invested, received as initial margin 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 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 Percentage of total participant cash held as cash deposits (including through reverse repo); as cash deposits at other central banks INR 40, Million (Securities Segment + CBLO Segment ) USD Million (Forex (USD/INR) Segment + CLS Segment) INR 5, Million (Default Funds for All Five Segments) INR Fixed Deposit % of Total Cash Collateral USD : No Fixed Deposit, INR Balance at RBI is 0.39 % of Cash Collateral USD No Balance at Central Bank INR NIL USD - NIL 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 participant cash held as cash deposits (including through reverse repo); as cash deposits at commercial banks (Secured, including through reverse repo) Percentage of total participant cash held as cash deposits (including through reverse repo); as cash deposits at commercial banks (Unsecured) INR NIL USD - NIL INR : i) Cash balance 0.15 % 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 0.80 % of Total Cash Collateral 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); in money market funds NIL 26