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Settlement Obligation


A single net obligation shall be generated for members comprising the following legs:

  1. Current days trade with Ready Leg settlement T0
  2. Previous day trade with Ready Leg settlement T1
  3. Previous days trades expiring during the day (forward leg)

The Ready Leg Settlement Obligation (T0 and T1) for the Clearing Member shall be net borrowed or net lent amount to be settled for the Repo Deals.

The Forward Leg Settlement Obligation for Clearing Members shall be based on the Repo tenor and Repo rate at which the Ready Leg Repo deals have been executed. The forward leg settlement value shall be computed as under:

Forward leg obligation = Ready leg obligation + Repo Interest for the applicable repo tenor - TDS on Repo Interest if applicable (currently TDS applicable is 10% on the repo interest rounded up to the nearest Rs. 10).

  1. Repo interest = ready leg value * repo tenor * repo rate / 36500
  2. The repo interest shall be computed based on Actual/365 day count convention.

Auction trades shall be settled as per below schedule

  1. Auction with Ready Leg T0 - Pay-in shall be at 04:00 pm
  2. Auction with Ready Leg T1 - Pay-in shall be done at 10:00 am on the next business day

Forward Leg of Auction trades shall be netted with the other trades settling on the respective day.

Updated on: 09/03/2020
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