Client margin/short allocation reporting
Client Margin Reporting
The members are required to collect upfront margins i.e. initial margins and ELM from their clients. The members will have time till ‘T+2’ working days to collect margins (except initial margins & ELM) from their clients
Intra-day margin reporting
Clearing Corporation shall send minimum 7 snapshots of client wise margin requirement to clearing /trading members for them to know the intraday margin requirement per trading member/custodial participant/client. The snapshots would be randomly taken in pre-defined time windows.
The margin requirements to be considered for the intra-day snapshots, shall be calculated based on the fixed Beginning of Day (BOD) margin parameters. The margin requirement shall include SPAN margins and extreme loss margins based on Begin of Day parameters and the net options premium payable at the time of snapshot.
End of day margin shall have margins based on end of day positions and BOD margin parameters.
The clearing /trading members shall have to report the margin collected from each trading member/custodial participant/client, 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.
Minimum margins shall be SPAN margins & extreme loss margins based on Begin of Day parameters and the net options premium payable at the time of intra-day snapshot or at end of day
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/T+2
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
TMs/CMs/Custodian shall be allowed to upload client margin/short allocation reporting file up to T+5 working days and signoff shall be done on 6th working day
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