Daily margin, comprising of the sum of VaR margin, Extreme Loss Margin and mark to market margin is payable.
Daily margins payable by members consists of the following:
Value at Risk Margin
Extreme Loss Margin
Margins for Corporate bonds
Bonds with credit rating of AAA, AA, or A shall be levied a fixed margin of 10% and Bonds which do not have the said credit rating shall be levied margins in accordance with the specifications in circular no. NSCC/CM/C&S/337 dated May 09, 2005.
Download Circular NSE/CMPT/6122 (.htm)
Trade for Trade segment –Surveillance segment
In case of securities in Trade for Trade –Surveillance segment (TFT-S segment) the upfront margin rates (VaR Margin + Extreme Loss Margin) applicable is 100 % and each trade is marked to market based on the closing price of that security.
Capping of margins
In case of a buy transaction, the VaR margins, Extreme loss margins and mark to market losses together cannot exceed the purchase value of the transaction. In case of a sale transaction, the VaR margins and Extreme loss margins together are capped to the extent of the sale value of the transaction and mark to market losses are also levied.
The details of all margins VAR, extreme loss margin and mark to market as at end of each day are downloaded to members in their respective Extranet directory.
Release of margins
All margins collected for a settlement for a member/custodian are released on their individual completion of full obligations of funds and securities by the respective member/custodians after crystallization of the final obligations on T+1 day. Further, members are provided a facility to provide confirmation from their clearing banks towards their funds pay-in obligations on settlement day before prescribed pay-in time through the prescribed procedure.
Margins collection from Client
Members should have a prudent system of risk management to protect themselves from client default. Margins are likely to be an important element of such a system. The same should be well documented and be made accessible to the clients and the Stock Exchanges. However, the quantum of these margins and the form and mode of collection are left to the discretion of the members.