Client margin/short allocation reporting

Collection and Reporting of Margins

Trading Members (TMs) /Clearing Members (CMs) shall be required to mandatorily collect minimum 20% upfront margin in lieu of VaR and Extreme Loss Margins from their clients/TMs

Intra-day margin reporting

Clearing Corporation shall send minimum 4 snapshots of client wise margin requirement to TM/CM/Custodians for them to know the intraday margin requirement per client/TM/Custodial Participant. The snapshots would be randomly taken in pre-defined time windows

The TM/CM/Custodian shall have to report the margin collected from each client/TM/Custodial Participant, as at EOD and peak margin collected during the day

Deemed allocation and Short Allocation monitoring

CMs shall ensure that sufficient collateral is allocated to TM Prop/CP/clients to cover their margin requirements. However, if the margin applicable at Clearing Corporation for a TM Prop/CP/client in a segment exceeds the collateral allocated to the TMProp/CP/client plus the securities collateral re-pledged to Clearing Corporation (from that TM Prop/CP/client’s account) in the respective segment, then the proprietary collateral of the TM/CM shall be blocked (including re-pledged/pledged securities and allocated collateral). Such margin blocked from the proprietary collateral towards a TM Prop/CP/client’s margin shall be deemed to have been the collateral allocated to that TM Prop/CP/client. This provision shall include deemed allocation of TM’s proprietary collateral towards client margins and deemed allocation of CM’s proprietary collateral towards TM Prop/CP/client margins.

CMs shall ensure that allocated collateral plus value of securities collateral re-pledged to Clearing Corporation for a TM Prop/CP/client is at all times greater than or equal to the minimum margin collection requirement for the respective TM Prop/CP/client in the respective segment.

In case where the allocated collateral plus the securities collateral re-pledged to Clearing Corporation in respect of a TM Prop/CP/client, is falling short of minimum margin collection requirement in the respective segment same shall be considered as short allocation and shall be subject to penalty.

Monitoring of short allocation

Minimum client margin collection requirement less Client collateral value in the segment (only where client margins are greater than client collateral value) shall be considered short allocation. For this purpose, minimum client margin collection will mean margins required to be collected on upfront basis, excluding margins which can be collected by T+1.

Client collateral value in the segment for this purpose shall be collateral value allocated by the CM to the client in the segment + value of securities repledged at Clearing Corporation for that client in the segment (value shall be before applying all prudential norms of Clearing Corporation other than 50:50 requirement).

Sign-off date

It shall be 5 working days after the trade date i.e. TMs/CMs/Custodian shall be allowed to upload client margin/short allocation reporting file up to T+5 working days

Shortage computation

The margins reported/short allocation shall be compared in the following manner:
(a) EOD margin obligation of the client/TM/Custodial Participant shall be compared with the respective client/TM/Custodial Participant margin available with the TM/CM at EOD.
AND
(b) Peak margin obligation of the client/TM/Custodial Participant, across the snapshots, shall be compared with respective client/TM/Custodial Participant peak margin available with the TM/CM during the day
AND
(c) Highest of intraday/EOD short allocation amount (after considering excess collateral across segments and the reporting for valid reason codes if any)
Higher of the shortfall in collection of the margin obligations at (a), (b) and (c) above, shall be considered for levying of penalty.

Non-reporting/ non submission of client margin

All instances of non-reporting of client margins by the TMs/CMs/Custodian shall be treated similar to and as 100% short reporting of client margins and accordingly penalties shall be imposed.

Penalty for short / non-reporting of client margin/short allocation

Penalty shall be levied in case of short/ non-reporting/short allocation by TMs/CMs/Custodian as specified by the Clearing Corporation from time to time