ICCL levies Initial Margin, Extreme Loss Margin (“ELM”) and Margin on consolidated crystallized obligation (“COBG”) in the Currency Derivatives (including Interest Rate Derivatives) Segment. These margins are monitored against the effective deposit/limit of the clearing/trading members. The margin utilization percentage is used for the calculation of point of entry/exit in the risk reduction mode. In modification to the ICCL Circular dated February 4, 2020 on Currency Derivatives - RTRMS Interface Changes, the formula used for computation of margin utilisation shall be revised as under:
For Clearing Members:
Margin Utilisation % = (Initial Margin + ELM +COBG)
Effective Deposit - Minimum Liquid Networth
For Trading Members:
Margin Utilisation % = (Initial Margin + ELM +COBG)
Trading Limit
The proposed changes are outlined in the attached Annexure and the effective date for implementation of the revised computation shall be communicated separately.
Members are requested to take note of the above.
In case of any assistance/clarification, please do not hesitate to contact us.
For and on behalf of Indian Clearing Corporation Ltd.
Piyush Chourasia
Chief Risk Officer & Head – Strategy
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Risk
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Email
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risk.iccl@icclindia.com
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Contact:
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+91-22-22728759/5820
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