a. Tri-Party repo on Basket Repo (Securities Transferred to Lender)

From Transaction to Ready Leg

• ICCL shall levy an Initial Margin of 0.5% of the transaction value on the Lender. The Initial Margin shall be collected online on an upfront basis by adjusting against the eligible collateral deposited by the Lender with ICCL at the time of transaction.
• The Initial Margin so levied on the Lender shall be released when the funds pay in obligation is honored by the Lender depending on the settlement cycle chosen by him i.e. T+0 (same day) or T+1 (next trading day).
• ICCL shall not levy any Initial Margin on the Borrower.

From Ready Leg to Forward Leg

• Ready Leg Margin: ICCL shall levy a Ready Leg Margin as a percentage on the transaction value on the Lender as specified by ICCL from time to time. The percentage shall be at least equal to the applicable haircut on the eligible repo security.
• ICCL shall not levy a Ready Leg Margin on the Borrower.

Mark to Market Margin

• The eligible repo securities shall be marked-to-market on a daily basis. The Mark to Market Margin shall be levied on either the Borrower or the Lender as the case may be for each repo transaction.
• The Borrower would be required to bring in additional eligible collateral in case of a down movement in the price resulting in a mark-to-market loss on the eligible repo securities portfolio of the borrower.
• The Lender would be required to bring in additional eligible collateral in case of an upward movement in the price resulting in a mark-to-market profit on the eligible repo securities portfolio.
• This MTM would be retained by ICCL. The MTM margin shall be released after completion of the settlement pay-in of the Forward Leg.

Forward Leg

Margins levied on the Borrower and Lender shall be released after completion of the settlement pay-in of the forward leg.


b. Tri-Party repo on Basket Repo (Securities held by ICCL)

From Transaction to Ready Leg

• ICCL shall levy an Initial Margin of 0.5% of the transaction value on the Lender. The Initial Margin shall be collected online on an upfront basis by adjusting against the eligible collateral deposited by the Lender with ICCL at the time of transaction.
• The Initial Margin so levied on the Lender shall be released when the funds pay in obligation is honored by the Lender depending on the settlement cycle chosen by him i.e. T+0 (same day) or T+1 (next trading day).
• ICCL shall not levy any Initial Margin on the Borrower.

From Ready Leg to Forward Leg

• Ready Leg Margin: In this model, ICCL shall not levy a Ready Leg Margin on the Borrower or the Lender.

Mark to Market Margin

• The eligible repo securities shall be marked-to-market on a daily basis. The Mark to Market Margin shall be levied on the Borrower only.
• The Borrower would be required to bring in additional eligible collateral in case of a down movement in the price resulting in a mark-to-market loss on the eligible repo securities portfolio of the borrower.
• This MTM would be retained by ICCL. The MTM margin shall be released after completion of the settlement pay-in of the Forward Leg.

Forward Leg

Margins levied on the Borrower and Lender shall be released after completion of the settlement pay-in of the forward leg.

Collateral (Liquid Assets)

The eligibility criteria for collateral in the Equity Cash Segment shall also be applicable in the Repo Segment.

• Liquid assets
  The Liquid Assets shall be in the form of cash and non-cash cash equivalent assets. The cash component shall be at least 50% of the total liquid assets. The Liquid Assets deposited in the form of cash equivalent and non-cash equivalent are subject to the norms in respect of applicable haircuts, single bank and single issuer exposure limits, etc. as per the guidelines prescribed by ICCL from time to time.