Eligible securities & Valuation

Eligible Securities

• Clearing Corporation shall specify the list of eligible securities which shall qualify for collateral contribution for borrow position. Clearing Corporation shall also specify the clean price, accrued interest and haircut applicable for the eligible securities.
• Clearing Corporation shall make eligible securities in-eligible based on parameters like corporate action, change in rating, minimum residual maturity etc. and such securities declared as ineligible shall not be reckoned for collateral contribution by the Clearing Members from the effective date of such ineligibility. Clearing Corporation shall make securities in-eligible 30 days before the corporate action date. Such in- eligible securities shall be made eligible again on the day following the corporate action date.
• Clearing Corporation may, at its discretion, specify the maximum amount of a single security or group of securities that a Clearing Member may deposit by way of collateral contribution;
• It shall be the responsibility of the Clearing Member to ensure that its exposures on the outstanding deals are fully covered by the value of the collaterals maintained by it with Clearing Corporation.
• Clearing Member shall be required to transfer the eligible securities as collateral to a DEMAT account of Clearing Corporation.
• Securities issued by Clearing Member associates, subsidiaries, holding or group companies shall not be considered as eligible collaterals.
• Clearing Member shall be entitled to withdraw securities from its collateral contributions. Clearing Corporation shall allow such withdrawal of securities provided the remaining value of securities is sufficient to cover outstanding obligations of the concerned Clearing Member.
• Clearing Member shall be entitled to substitute securities deposited as collateral contribution with the eligible securities as specified by Clearing Corporation from time to time, provided that such substitution shall be allowed only if the collateral requirement of the Clearing Member remains fully covered with the substitution of securities.
• Clearing Members shall monitor securities deposited as collateral to ensure that the securities due for redemption/corporate action are withdrawn before the redemption/corporate action date and substituted by eligible securities of equivalent value, if needed.

Download list of eligible securities (.csv)

Valuation of Securities

• The Clearing Corporation shall compute value the securities as under: "Value of a security = (Clean Price + Accrued Interest) - Applicable haircut".
• For calculation of accrued interest, "Actual/Actual" day count convention shall be followed.
• The applicable haircut shall be the rating based haircut as prescribed by RBI or a higher haircut as specified by the Clearing Corporation from time to time.
• Clearing Corporation may prescribe additional prudential norms for limits in respect of the eligible securities. The prudential norms will include participant-wise and market wide limits at issuer level and/or issue level as specified from time to time.
• Clearing Corporation may prescribe clearing member wise borrowing/lending limits from time to time.