What methodology should be adopted while reporting margin received in the form of liquid mutual funds?

Dematerialized units of liquid mutual funds whose NAVs are available and which could
be liquidated readily may be considered while reporting margins collected from
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constituents. Such units should be available with the member or should be lien marked
in favour of the member. The value of listed liquid mutual funds should be computed
based on the NAV on T-1 day, reduced by a haircut equivalent to the VaR. In case of
others (mutual funds not listed) the haircut should be equivalent to 10% of the NAV.

 

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