Base Margin Requirement
Each Clearing Member shall at all times maintain collateral to satisfy the base margin requirement determined by the Clearing House from time to time. The base margin requirement applicable to each Clearing Member shall be reviewed by the Clearing House on a quarterly basis on the first (1st) Market Day of each calendar quarter, based on the average daily purchase turnover of each such Clearing Member in the preceding calendar quarter.
Depending on the Participant’s preceding calendar quarter daily average purchase turnover, it is recommended to categorize all the CDS participants into three categories as prescribed below:
Preceding Calendar Quarter Daily Average Purchase Turnover: Daily average purchase turnover < Rs. 50 million
Minimum Margin Amount: Rs. 3.5 million
Preceding Calendar Quarter Daily Average Purchase Turnover: Daily average purchase turnover between Rs. 50 million and Rs. 100 million
Minimum Margin Amount: Rs. 5.0 million
Preceding Calendar Quarter Daily Average Purchase Turnover: Daily average purchase turnover > Rs. 100 million
Minimum Margin Amount: Rs. 10.0 million
However, Participants may deposit an amount greater than the applicable base margin requirement to avoid additional exposure created on a daily basis.