Margins
Daily margin, comprised of the sum of VaR margin, Extreme Loss Margin and mark to market margin are payable.
Value at Risk Margin
VaR Margin is a margin intended to cover the largest loss that can be encountered on 99% of the days (99% Value at Risk). VaR Margin would be based on 6σ, subject to minimum margin of 9%.
VaR margin shall be collected on the gross open position of the member. The gross open position for this purpose would mean the gross of all net positions across all the clients of a member including its proprietary position. For this purpose, there would be no netting of positions across different settlements.
VaR margin shall be collected on an upfront basis by adjusting against the total liquid assets of the member at the time of trade. VaR margin so collected shall be released on completion of pay-in of the settlement including early pay-in.
VaR Margin rate file
VaR margin rates shall be made available in the extranet server and to the public at large through the website.
Extreme Loss Margin
Extreme Loss Margin shall be minimum of 1%.
Extreme Loss Margin shall be collected on the gross open position of the member. The gross open position for this purpose would mean the gross of all net positions across all the clients of a member including its proprietary position. For this purpose, there would be no netting of positions across different settlements.
Extreme Loss Margin shall be collected on an upfront basis by adjusting against the total liquid assets of the member at the time of trade. Extreme Loss Margin so collected shall be released on completion of pay-in of the settlement including early pay-in.
Mark to Market Margin
Mark to market loss shall be calculated by marking each transaction in security EGR to the closing price of the security EGR at the end of trading. In case the security EGR has not been traded on a particular day, the latest available closing price at Exchange shall be considered as the closing price. In case the net outstanding position in any security EGR is nil, the difference between the buy and sell values shall be considered for the purpose of calculating the mark to market margin payable.
The mark to market margin (MTM) shall be collected on the gross open position of the member. The gross open position for this purpose would mean the gross of all net positions across all the clients of a member including its proprietary position. There would be no netting-off of the positions and set off against mark to market profits across two rolling settlements i.e. T Day and T-1 day. However, for computation of mark to market profits/losses for the day, netting or setoff against mark to market profits would be permitted.
MTM margin shall be collected from the member before the start of the trading of the next day. MTM margin shall be collected/adjusted from/against the cash/cash equivalent component of the liquid assets of the member. MTM margin so collected shall be released on completion of pay-in of the settlement including early pay-in.
Intraday Crystallised Mark to Market Losses
Clearing Corporation shall calculate and levy the Intraday Crystallised Mark to Market Losses (ICMTM) in the following manner:
- ICMTM shall be computed for all trades subject to upfront margining which are executed and closed out on the same trading day.
- ICMTM shall be calculated based on weighted average prices of trades
- ICMTM shall be adjusted against the liquid assets of the member on a real-time basis.
- Crystallised losses at a security EGR level for a client shall be adjusted against the crystallised profit, if any, from another security EGR for the same client to arrive at client level profit or loss. However, there will be no setoff against crystallised profits across two rolling settlements.
- All client level losses including losses in proprietary positions if any shall be grossed up to arrive at member level ICMTM.
- ICMTM shall be included in the end of day MTM computation.
- ICMTM so blocked/ collected shall be released on completion of pay-in of the settlement or early pay-in.