4.23.4.1 Propagation for Margin Components of Margin Basis as ‘Tranche’

The propagation for any margin floor/ceiling change for margin components of Margin Basis as Tranche is processed on the drawdowns under the tranche as follows:
  • If margin maintenance record for application date is available and if the new margin floor defined is greater than the maintained margin, then the margin maintenance record for the application date is updated with the new margin based on the floor margin value.
  • If margin maintenance record for application date is available and if the new margin ceiling defined is lesser than the maintained margin, then the margin maintenance record for the application date is updated with the new margin based on the ceiling margin value.
  • If Margin maintenance record for application date is not available and if the new margin floor defined is greater than the maintained margin for the latest effective date less than application date, then a new margin maintenance record for the application date is created with the margin based on the floor margin value.
  • If Margin maintenance record for application date is not available and if the new margin ceiling defined is less than the maintained margin for the latest effective date less than application date, then a new margin maintenance record for the application date is created with the margin based on the ceiling margin value.
  • If Margin maintenance record for effective dates greater than application date is available and if the new margin floor defined is greater than any of those future effective dates, then the margin maintenance record for those future effective dates are updated with the new margin based on the floor margin value.
  • If Margin maintenance record for effective dates greater than application date is available and if the new margin ceiling defined is less than any of those future effective dates, then the margin maintenance record for those future effective dates are updated with the new margin based on the ceiling margin value.
  • If margin maintenance for an effective date is done, then the system checks if the newly maintained margin is within the floor and ceiling values applicable from the effective date of maintenance till the next effective date or the current application date. In case of any deviations, the system does not allow you to maintain such margin rates.