Initial Margin

Initial margin is payable on all open positions of Clearing Members, upto client level, and on an upfront basis by Clearing Members in accordance with the margin computation mechanism and/ or system

Span Margin

Initial Margin includes SPAN margins and such other additional margins.

Clearing Corporation adopts the SPAN (Standard Portfolio Analysis of Risk) system for the purpose of real time initial margin computation.

Initial margin requirements are based on 99% value at risk over a one day time horizon. However, in the case of futures contracts, where it may not be possible to collect mark to market settlement, before the commencement of trading on the next day, the initial margin is computed over a two day time horizon by applying an appropriate statistical formula. The methodology for computation of value at risk percentage is as per the recommendations of SEBI from time to time.

Initial margin requirement:

• For client positions -is netted at the level of individual client and grossed across all clients, at the trading / clearing member level, without any set-offs between clients.
• or proprietary positions - is netted at trading / clearing member level without any set-offs between client and proprietary positions.
   

The margins so computed would be aggregated first at the trading member level and then aggregated at the clearing member level.

Updation of risk parameters

The risk parameters are updated 6 times in the day, based on the prices/yield at 11:00 a.m., 12:30 p.m., 2:00 p.m., 3:30 p.m. , end of the day and begin of the day.

For the purpose of intra-day updation of cash settled interest rate future contract, the future price of the interest rate future contract shall be used and for 91-Day T-Bill Futures the previous day futures closing yield of 91 day GOI T-Bill futures shall be used.

Risk parameters generated based on the updated parameters are provided on the exchange website at (www.nseindia.com). Additional risk parameter file containing Interest Rate Futures and Currency futures contracts are provided in specific format.

Minimum Initial Margin

The minimum initial margin for cash settled interest rate future contract is 1.5% of the value of the contract subject to minimum of 2.8% on the first day of trading and for 91-Day T-Bill futures contracts minimum of 0.10% of the notional value of the futures contract on the first day of trading and 0.05% of the notional value of the futures contract thereafter (The notional value of the contract shall be Rs 200000) will be scaled up by look ahead period as may be specified by the Clearing Corporation from time to time.

Calendar Spread Margin

Contracts where futures position at one maturity is hedged by an offsetting futures position at a different maturity would be treated as a calendar spread. The calendar spread margin shall be charged in addition to worst-scenario loss of the portfolio.

• NSE Bond Futures II (NBF II)
  The calendar spread margin shall be Rs.1500 for one month spread, Rs.1800 for two months, Rs. 2100 for three months and Rs.3000 for spreads beyond three months.
• 91 Day T-Bill Futures contract
  The calendar spread charge shall be at Rs.100/- for spread of one month, Rs 150/- for spread of two months. Rs 200/- for spread of three months and Rs 250/- for spread of four months and beyond wiil be levied on such positions.

The benefit for a calendar spread would continue till expiry of the near month contract. The relevant authority may specify levy of normal margins on calendar spread positions from time to time.

Futures Final Settlement Margin futures contract

Futures Final Settlement Margin is levied at the clearing member level in respect of the final settlement amount due. The final settlement margin is levied from the last trading day of the contract till the completion of pay-in towards the Final Settlement.

Extreme Loss Margin

Clearing members would be subjected to extreme loss margins in addition to initial margins.

• NSE Bond Futures II (NBF II)
  The applicable extreme loss margin for cash settled interest rate futures contract would be 0.50% of the value of the gross open positions of the futures contract.
  In case of calendar spread positions, extreme loss margin will be 0.01% of the value of the far month contract. The relevant authority may specify levy of normal margins on calendar spread positions from time to time.
   
• 91 Day T-Bill Futures contract
  Extreme loss margin will be 0.03% of the notional value (Rs 200000) of the contract for all gross open positions of the futures contract or as may be specified by the relevant authority from time to time.

In case of calendar spread positions in 91-Day GOI T-bill futures extreme loss margin will be 0.01% of the notional value (Rs 200000) of the far month contract. The relevant authority may specify levy of normal margins on calendar spread positions from time to time.

Extreme Loss margin requirement are computed as under:

• For client positions - are netted at the level of individual client and grossed across all clients, at the trading/ clearing member level, without any set-offs between clients.
• For proprietary positions - are netted at trading/ clearing member level without any set-offs between client and proprietary positions.

The margins so computed are aggregated first at the trading member level and then aggregated at the clearing member level.

Imposition of additional margins

As a risk containment measure, the Clearing Corporation may require clearing members to make payment of additional margins as may be decided from time to time. This is in addition to the initial margin and extreme loss margin, which are or may have been imposed from time to time.

MIBOR Futures:-

Initial margins

All open positions will be subject to initial margins. Initial margins will be based on portfolio approach to risk, in accordance with the requirements as may be prescribed by SEBI from time to time. The Initial Margin requirement shall be based on a worst case loss of a portfolio of an individual client across various scenarios of rate changes. The various scenarios of rate changes would be so computed so as to cover a 99% VaR over a one day horizon. In order to achieve this, the price scan range may initially be fixed at 3.5 standard deviation. The initial margin so computed would be subject to a minimum of 5 % of the value of the contract. The initial margin shall be deducted from the liquid net worth of the clearing member on an online, real time basis.

Extreme Loss Margins

Extreme loss margin shall be a percentage of the value of the contract for all gross open positions may be deducted from the liquid assets of the clearing member on an on line, real time basis. To begin with, extreme loss margin of 1% of the value of the contract shall be deducted from the liquid assets.

Calendar Spread Margin

Futures position at one maturity hedged by an offsetting futures position at a different maturity would be treated as a calendar spread. The calendar-spread margin shall be charged in addition to worst-scenario loss of the portfolio. The benefit for a calendar spread would continue till expiry of the near month contract. Calendar spread charges shall be Rs.6,500 for one month spread, Rs.7,000 for two months spread and Rs.7,500 for three months and above spreads.

Additional margins

As a risk containment measure, the Clearing Corporation may require clearing members to make payment of additional margins as may be decided from time to time. This shall be in addition to the initial margin and extreme loss margin, which are or may have been imposed from time to time.