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Margins


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

Initial margin requirements are based on 99% value at risk over a one day time horizon. In order to achieve this, the price scan range is fixed at 6 standard deviations subject to the minimum percentage of underlying price as tabulated below;

Product Minimum percentage of underlying Price
Interest rate derivatives 1.75%
91 Day T Bill 0.065%
MIBOR 5.50%


The methodology for computation of value at risk percentage is as per the recommendations of SEBI from time to time.

 

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.

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.

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.

Product Calendar spread charge for spreads in months (INR)
1 month 2 months 3 months 4 months or more
Interest rate derivatives 1700 2000 2300 3200
91 Day T Bill 110 160 210 260
MIBOR 7000 7500 8000 8000


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.

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

  • Cash settled G-Sec Futures
    The applicable extreme loss margin for cash settled interest rate futures contract is 0.25% of the mark to market value of the gross open positions or as may be specified by the relevant authority from time to time.
    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.
  • Cash settled G-Sec Options
    The applicable extreme loss margin for cash settled interest rate options contract is 0.25% of the notional value of the open short option position. Notional Value for Interest Rate Options shall be Rs 200000.
  • 91 Day T-Bill Futures contract
    Extreme loss margin will be 0.015% 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.
  • MIBOR Futures
    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 0.05% of the value of the contract shall be deducted from the liquid assets.
Updated on: 23/02/2021
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