The Clearing Corporation of India Ltd

Portfolio Compression Interest Rate Swaps

User Guide for Member Participants

Risk Management Department

CCIL Risk Management Department

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Index
1. Portfolio Compression Process Flow
2. Exchange of trade related details between CCIL and the members
3. Member Tolerance Inputs for Portfolio Compression
4. Result for Test Run - Output format-summary and trade details
5. Important Dos and Donts to be kept in mind during the exercise
6. Important Contact Details of CCIL officials
Annexures

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1. Portfolio Compression Process Flow

Introduction: The first live run of the Portfolio Compression cycle will be spread across 5
business days starting from Friday, 22nd Jul11 and ending on Thursday, 28th Jul11. The cycle
will begin with a trial run using the outstanding trades as at end of the day (EOD) 22nd July11.
Successful completion of the trial run by Tuesday 26th Jul11 will clear the way for the actual
final run which will commence on the night of Wednesday, 27th Jul11 and shall culminate with
the settlement of obligations in the morning on 28th Jul11. We present below an overview of
each activity which will form a part of this cycle along with the timelines that all participants are
expected to adhere to.
S No

Date

Activity

Friday,

CCIL to provide each participant with all By midnight

outstanding MIBOR OIS trades as per its
database with MTM and PV01 values
arrived at by CCILs system using the
Swap curve of 22nd Jul11.

22nd Jul11

Timeline

This information will be provided in a

password protected excel file specially
designed for this purpose.
2

Monday,
25th Jul11

Members to return the same file back to Latest by 12-00 Noon

CCIL AFTER updating the following
fields:
Flag Y/N - trades to be considered
for tear up or not
MTM values (if Flag = Y then
mandatory)
PV01 values for the trades (if Flag = Y
then mandatory)
Dealer ID (eg. D1, D2 or D3)
(to be updated if separate dealer-wise
PV01 tolerances are intended to be

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provided; else default value is D1)

Members to update the Tolerances file mailed

to them with their desired tolerances

Tuesday,
26th Jul11

Data received from all members as per (2) By 9-00 AM

above will be processed by CCIL and
members will be intimated about:
Trades considered for tear up
Trades not considered for tear up

(with reasons)
4

Tuesday,
26th Jul11

Test run carried out at CCIL and the By 12-00 Noon

results communicated to all the members

Tuesday,
26th Jul11

Members to revert to CCIL with By 7-00 PM

confirmation of their acceptance of the
results

Wednesday, Members to be ready by the end of the day CCILs trade data file will be made
27th Jul11
with the same set of trade data as in (2) available to members by 8-30 PM
above (i.e. outstanding trades as of EOD (Critical)
22nd Jul11) BUT updated with the MTM
and PV01 values using the Swap curve of
27th Jul11.
CCIL to provide each participant with the
same set of trade data as in (2) above
updated with MTM and PV01 values
arrived at by CCILs system using the
Swap curve of 27th Jul11.

Wednesday, Members to return the same file back to Latest by 10-30 PM (Critical)
27th Jul11
CCIL AFTER updating the following
fields:
Flag Y/N - trades to be considered

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for tear up or not

MTM values (if Flag = Y then
mandatory)
PV01 values (if Flag = Y then
mandatory)
Dealer ID (eg. D1, D2 or D3)
(If dealer-wise tolerances are stipulated; else
the Default Value is D1)
Members to also update the Tolerances file
mailed to them with their desired tolerances
and send the same back to CCIL

Wednesday, Data received from all members as per (7) By 00-30 AM (i.e. on 28th Jul11)
27th Jul11
above will be processed by CCIL and
members will be intimated about:
Trades considered for tear up
Trades not considered for tear up

(with reasons)
9

Thursday,
28th Jul11

Final results advised to all members

10

Thursday,
28th Jul11

Confirmation of acceptance of results by By 9-00 AM (Critical)

all members by the Head of Treasury /
Authorized Signatory

11

Thursday,
28th Jul11

12

Thursday,
28th Jul11

Members with a net payable position

By 10-00 AM (Critical)
arising as a result of portfolio compression
to Credit CCILs Settlement Account at
RBI (Account No: 8710977) via RTGS
(RTGS IFSC -- CCIL0PI0001)
After all participants have confirmed By 11-00 AM
the result and all Pay-ins to CCIL have
been credited to CCILs account (as per

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By 7-30 AM (Critical)

11 above) CCIL to inform all members

about the successful completion of the
compression cycle by email.
Confirmation letter faxed to all the
By 12.00 Noon
member participants
13

Thursday,
28th Jul11

14

Thursday,
28th Jul11

15

Thursday,
28th Jul11

Pay-outs due to members credited to their By 11-30 AM

account as a part of the normal daily nonguaranteed settlement process.
Processing of Reversals arising out of the By 5-00 PM
Portfolio Compression exercise on CCIL
IRS Reporting Platform and generation of
.csv files and PDF reports on CCILs
reports browser
Thus, members need not report the
terminated or partially terminated trades
separately.
Database Updation in CCIL IRS FRA To be carried out by the member at its
Deal Reporting Utility
end by uploading the .csv file into the
Deal Reporting Utility. This activity
needs to be completed by close of day
so as to ensure that the database of the
deal reporting utility is in sync

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2. Exchange of trade related details between CCIL and the members

i.

The base data for the compression cycle (trial run as well as the final run) will be
outstanding trades as per CCILs systems as at End of the Day (EOD) on Friday, 22nd
Jul11.

ii.

Trades having cash flow in the next 7 days will be excluded from the list by CCIL.

iii.

The trades data will be provided to you in a specially designed excel file which will be
locked and protected with a password which will be provided to you in a separate mail.
The file format will be as under:
1

VALUATION DATE

REPORTING_MEMBER_REF

CCIL TRADE ID

PAY_FIX / RECEIVE_FIX

MEMBER ID

COUNTERPARTY ID

BENCHMARK

FIXED RATE

NOTIONAL AMOUNT

10

TRADE DATE

11

EFFECTIVE DATE

12

TERMINATION DATE

13

CCIL MTM VALUE

14

CCIL PV01 VALUE

15

Indicator (Y / N) (Input by Member)

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16

Member MTM VALUE (Input by Member)

17

Member PV01 VALUE (Input by Member)

18

DEALER ID (Input by Member)

19

Trade Excluded (Input by CCIL at 2nd stage)

20

Reason for Exclusion (Input by CCIL at 2nd stage)

iv.

Please ensure that you send the same file back to CCIL after updating only those fields
marked for member updation by CCIL. Please do not create another file or change the
features of the file such as file protection or the file password.

v.

The cells under the following fields will be kept unlocked to facilitate updation of the file
by the members as required by CCIL:
S No

Field Name

Remarks

Indicator (Y / N)

To be input by Members

Member MTM VALUE

To be input by Members for

all trades marked with
indicator Y in (1) above.

Member PV01

To be input by Members for

all trades marked with
indicator Y in (1) above.

DEALER ID

Default value is D1. In case

members desire to give Dealer
level tolerances then they will
update this field to D1, D2
or D3 as the case may be. In
case you have a single dealer
then please do not update this
field.

REPORTING_MEMBER_REF

Cell kept unlocked to facilitate

use of Excel functions like

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VLOOKUP while updating

fields in S no 1 to 4 above
6

CCIL TRADE ID

Cell kept unlocked to facilitate

use of Excel functions like
VLOOKUP while updating
fields in S no 1 to 4 above

vi.

Against each trade to be considered for trade tear up exercise, members would provide an
indicator i.e. Y for trade to be considered and N for excluding the trade in the test run.

vii.

After the trade data file is returned as above by all the members, CCIL will process the
data to identify the trades eligible for participation in the portfolio compression exercise.

viii.

In case of any exclusion of trades, CCIL will provide the same set of trades in the same
excel sheet with reason of exclusion under the field Reason for exclusion. The reasons
for exclusion could be one of the following:
a. Trade not selected for compression by counterparty.
b. Variation in MTM values provided by the counterparties is more than 2% of the
lower MTM value.
c. Trade information incompletely furnished [e.g. trade marked as Y but MTM and
/ or PV01 not provided]

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3. Member Tolerance Inputs for Portfolio Compression

A. Introduction:
We now discuss the manner in which the Members are required to submit their MTM and
PV01 tolerances for various criteria. Members have the option of defining the following
tolerances subject to which they would accept the results of the compression exercise:
S No

Tolerance

Total MTM Payable & Receivable (optional) at portfolio level

Net PV01 change (at Portfolio level and also tenor wise)

Net PV01 change (at Dealer level and also tenor wise for trades of such
dealer)

Change in Counterparty exposure (counterparty wise)

Note:
1) MTM Tolerances are in terms of MTM payable (or receivable) at the time of
cancellation.
2) PV01 tolerances are for changes in PV01 at the overall portfolio level as well as for
various maturity time buckets (as defined by members) across the portfolio.
Please note that the Compression Algorithm is based on single PV01 value per
trade which is considered in the maturity bucket for the respective trade. No
separate maturity bucket-wise PV01 computed for trades is taken into
consideration.
Eg. If a trade with PV01 of Rs.10,00,000 (positive) with maturity between 2 and
3 years is considered for termination, the change in PV01 value is considered
against the total portfolio PV01 and against the sum of PV01 for trades with
maturity between 2 and 3 years maturity. No PV01 impact for other maturity
buckets (eg. In 0-1 years, 1-2 years) is considered for such terminations.
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3) Members opting to give Dealer level PV01 tolerances may do so for the dealer
portfolio level (max 3 dealers are allowed) or for various maturity time buckets (as
defined by members) across the dealers portfolio.
4) The tolerance for changes in counter-party-wise exposure is in terms of counterpartywise MTM payable post early termination of identified trades based on MTM value
of trades provided by members.

B. Member Tolerance Input sheet:

The Member Tolerance Input excel file is used for obtaining the tolerance inputs from the
members. This sheet will be made available to members along with the trade details. The
members will fill the desired level of tolerances and will send back to CCIL. The format of the
excel file is as described below:
1. There are three sheets in this excel file. First sheet Instructions contains the instructions
for members about how to use this excel file. You are requested to carefully read this
sheet before you proceed to the other sheets in the file.
2. The sheet Member_Master contains the list of all the Member IDs along with Member
Names for the reference of the participating members in portfolio cycle. Screen shot of
the Member_Master sheets is given below:

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3. As the name indicates, the sheet End Dates for corresponding tenors contains the end
dates for the various time buckets. CCIL has provided for tenor buckets to be defined in
multiples of 0.5 years (six months). For the trial run, the tenor end dates will be w.r.t.
22nd Jul11 and for the final run, the tenor end dates will be w.r.t. 27th Jul11. The
Members will be intimated this in advance to help them decide the tenors for their time
buckets. The screen shot is given for reference.

4. The third sheet Tolerances is where the members are required to input the actual
tolerances for various criteria as listed below:
a. Portfolio Wise MTM Payable (at the time of cancellation)
b. Portfolio Wise MTM Receivable (at the time of cancellation) (optional - if not
input then put it as "Not Applicable")
c. Increase in Counterparty Wise (MTM) Exposure
d. Change in Portfolio level PV01 Bucket-wise
e. Change in Dealer level PV01 Bucket-wise (optional)
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Members can give PV01 tolerances for upto three dealers at max. The Time Buckets are to be
entered in the format 00.00-00.00 for both Portfolio level & Dealer level PV01. The Buckets are
to be entered in multiples of 0.5 yrs only. If there is only one dealer, members will not put PV01
constraints for D1. Same portfolio wise Constraints will be considered as D1.
The screenshot below shows the form for recording the following tolerances:
1) MTM Payable (denoted by a negative number)
2) MTM receivable (denoted by a positive number)
3) Increase in counterparty-wise exposure (denoted by a positive number)
4) In respect of counterparty-wise exposures, the Members need to copy and paste the text
Not Applicable against their own member ID and against the member IDs of members
who are not their counter-parties.

Screenshot A below shows the form for entry of PV01 tolerances for the members portfolio.
Screenshot B shows the form for entry of PV01 tolerances for a Dealers portfolio The points to be
noted in this case are:
1) A positive number will denote permitted increase in PV01.
2) A negative number will denote permitted decrease in PV01
3) S No. 1 in the table will always be used to define the Portfolio level PV01 tolerance

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Screenshot A:

Screenshot B:

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4. Results of the Portfolio Compression exercise - Summary and trade details

After a run is over, the results would be advised to the members in the form of an excel
file. Thus the results of the trial run will be advised to the members by 12 Noon on
Tuesday, 26th Jul11 and the results of the Final run will be advised to the members by
7-30 AM on Thursday, 28th July11. The Instructions sheet guides the users on how to
navigate through the Results file. We request you to please go through the Instructions
sheet carefully before proceeding to interpret the results.
Apart from a summary of the results, the Results file also provides complete trade-wise
details. Against each trade, a value will be provided in the respective columns indicating
the extent of termination (fully or partially), Notional Amount for trades to be
terminated, MTM value of terminated trades and PV01 of terminated trades. The format
of the output trade file is as given below:
Sr. No

Field Name

Sample Value

VALUATION DATE

04-Aug-10

TRADE ID

200708311000053

PAY_FIX / REC_FIX

PAY_FIX

MEMBER ID

CCBPXXXX0005

COUNTERPARTY ID

CCBFXXXX0083

BENCHMARK

MIBOR

FIXED RATE

7.435

NOTIONAL AMOUNT

500,000,000.00

TRADE DATE

31-Aug-07

10

EFFECTIVE DATE

03-Sep-07

11

TERMINATION DATE

03-Sep-12

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15

12

MTM VALUE *

(14,045,334.13)

13

PV01 VALUE *

97,053.37

14

DEALER ID

D1

15

% OF CANCELLATION

100%

16

REMARKS

Fully Terminated

17

TERM TO MATURITY

2.08

18

MTM VALUE OF CANCELLED TRADE

(14,045,334.13)

19

MTM VALUE OF REMAINING TRADE

0.00

20

PV01 OF CANCELLED TRADE

97,053.37

21

PV01 OF REMAINING TRADE

0.00

22

NOTIONAL AMOUNT FOR CANCELLED TRADE

500,000,000.00

23

NOTIONAL AMOUNT FOR REMAINING TRADE

0.00

*Values used for Trade Tear up

Partially Terminated

Sr.
No

Field Name

Sample Value

VALUATION DATE

04-Aug-10

TRADE ID

200709141000483

PAY_FIX / REC_FIX

PAY_FIX

MEMBER ID

CCBFSCBL0036

COUNTERPARTY ID

CCBFBARC0081

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16

BENCHMARK

MIBOR

FIXED RATE

7.15

NOTIONAL AMOUNT

640,000,000.00

TRADE DATE

26-Sep-06

10

EFFECTIVE DATE

27-Sep-06

11

TERMINATION DATE

27-Sep-16

12

MTM VALUE

782,196.56

13

PV01

321,146.82

14

DEALER ID

D1

15

% OF CANCELLATION

22.57%

16

REMARKS

Partially Terminated

17

TERM TO MATURITY

6.15

18

MTM VALUE OF CANCELLED TRADE

176,579.96

19

MTM VALUE OF REMAINING TRADE

605616.60

20

PV01 OF CANCELLED TRADE

72,498.52

21

PV01 OF REMAINING TRADE

248648.30

22

NOTIONAL AMOUNT FOR CANCELLED TRADE

144,479,253.43

23

NOTIONAL AMOUNT FOR REMAINING TRADE

495,520,746.57

*Values used for Trade Tear up

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5. Important Dos and Donts to be kept in mind during the exercise

i.

Once you have intimated the trades to be considered by CCIL as eligible for compression
(refer Chapter 1, para 2 and 7), please DO NOT report any bilateral early terminations i.e
Reversals for such trades.

ii.

Please ensure that you send the same file back to CCIL after updating only those fields
marked for member updation by CCIL.

iii.

Please do not create another file or change the features of the file such as file protection
or the file password.

iv.

Please do not re-name any sheet in the excel files or insert or delete any sheets.

v.

Please do ensure that the PV01 buckets are in the specified format i.e. 00.00-00.00 and
NOT in any other format

vi.

In case you have only one Dealer or in case you do not desire to have dealer level
tolerances (refer Chapter 1, para 2 and 7), then you are not to enter the Dealer level
tolerances.

vii.

Please do provide CCIL the Names, Email IDs, Landline numbers and cell phone
numbers of all officials at your end who will be participating in the exercise and who
should be marked on mails pertaining to the Compression exercise including passwords
to the excel files.

viii.

Please do provide CCIL with the name and contact details of the Treasury Head /
Authorised signatory at your end who will confirm the Acceptance / rejection of the
results and arrange to fax / email scanned copies of their specimen signatures.

ix.

The exchange of files between CCIL and the members will be through a specially
designed feature in CCILs Report Browser. Please provide CCIL with the names of 2
officials who will be authorized to access the Reports browser to download the files sent
by CCIL and upload the response files from your end. We will then provide you with a
User name and password for these official.

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6. Important Contact Details of CCIL officials

S
No

Name

S Roy
1 Chief Risk Officer
2 Nandan Pradhan
Ashlesh
3 Chaudhari
4 Milan Borad
Gautam
5 Chatterjee

Department
Risk
Management
Risk
Management
Risk
Management
Risk
Management
Risk
Management

Email ID

Land
Line
Number

sroy@ccilindia.co.in

66639321 9820418317

npradhan@ccilindia.co.in

66639324 9920533351

achaudhari@ccilindia.co.in 66639335 9821598235

mborad@ccilindia.co.in

66639327 9892601774

gchatterjee@ccilindia.co.in 66639337 9960142876

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Mobile
Number

19

Annexure I
Illustration for calculating increase in Counterparty-wise exposures
Analysis of Counterparty-wise exposures of Member 10 w.r.t its four counterparties before and after Compression
Member 10

Member 1

A. Tolerance for change in counterparty-wise exposure

B. Net MTM value of all trades with the counterparty before
Compression #
C. Net MTM value of all trades with the counterparty after
Compression #

D. Adverse change in counterparty exposure [ D = C - B ]

Member 2

Member 3

Member 4

20,000

20,000

20,000

20,000

1,00,000

-1,00,000

1,00,000

-1,00,000

1,15,000

-85,000

70,000

-1,50,000
Favourable
Change in
Exposure

Favourable
Change in
15,000 Exposure

15,000

Is there a breach in tolerance ?

NO

NO

Not Applicable

Not Applicable

Remarks for Member 10

MTM receivable
has increased
within the
tolerance defined

MTM payable has

decreased within
the tolerance
defined

MTM receivable has

decreased - counterparty
exposure has reduced

MTM payable has

increased - counterparty
exposure has reduced

# Positive value indicates receivables by members

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Annexure II: Settlement scenarios

S
No.

Scenario

Daily
settlement
amount

Trade Tear UP
Reversal Amount

Amount pre-funded by
participants having a net
payable on account of
compression

Debit/Credit to
member's a/c

Daily settlement Payable position + Trade Tear

1 Up Payable Position = Final Net Payable Position

-150

-75

-75

-150

Daily settlement Payable position + Trade Tear

Up Receivable Position = Final Net Payable
2 Position

-150

75

-75

Daily settlement Payable position + Trade Tear

Up Receivable Position = Final Net Receivable
3 Position

-150

200

50

Daily settlement Receivable position + Trade Tear

Up Receivable Position = Final Net Receivable
4 Position

150

75

225

Daily settlement Receivable position + Trade Tear

5 Up Payable Position = Final Net Payable Position

150

-200

-200

150

Daily settlement Receivable position + Trade Tear

Up Payable Position = Final Net Receivable
6 Position

150

-75

-75

150

Note: Negative indicates Payable (Debit amounts)

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