The margin norms for the Currency Derivatives Segment would be as follows:
Initial Margin for Futures Contract :
The Initial Margin requirements shall be based on a worst case loss of a portfolio of an individual client across various scenarios of price changes. The various scenarios of price changes would be so computed so as to cover a 99% VaR over a one day horizon.
The Initial Margin applicable to different Currency Pairs is as follows :
|Initial Margin on first day of trading and thereafter
||Subject to a minimum of 1.75% on the first day of trading and 1% thereafter *
||Subject to a minimum of 2.80% on the first day of trading and 2% thereafter
||Subject to a minimum of 3.20% on the first day of trading and 2% thereafter
||Subject to a minimum of 4.50% on the first day of trading and 2.30% thereafter
*Members may refer to SEBI Circular No. CIR/MRD/DP/22/2013 dated July 08, 2013.
Initial margin for client positions shall be netted at the level of individual client and grossed across all clients, at the trading / clearing member level, without any set-offs between clients.
Initial Margin for Options Contract
The Initial Margin requirement would be based on a worst scenario loss of a portfolio of an individual client comprising his positions in options and futures contracts on the same underlying across different maturities and across various scenarios of price and volatility changes. In order to achieve this, the price range for generating the scenarios would be 3.5 standard deviation and volatility range for generating the scenarios would be 3%. For the purpose of calculation of option values, the Black-Scholes pricing model would be used.
The initial margin shall be deducted upfront on an on-line real-time basis from the available liquid assets deposited by the Clearing Member with ICCL. Computation of Initial Margin would be as per the methodology prescribed by SEBI.
Portfolio based margining system
The Standard Portfolio Analysis of Risk methodology shall be used to take an integrated view of the risk involved in the portfolio of each individual client comprising his positions in futures contracts across different maturities. The client-wise margins would be grossed across various clients at the Trading /Clearing Member level. The proprietary positions of the Trading / Clearing Member would be treated as that of a client for margining purpose.
Real time computation
The computation of worst scenario loss would have two components. The first is the valuation of the portfolio under the various scenarios of price changes. At the second stage, these scenario contract values would be applied to the actual portfolio positions to compute the portfolio values and the initial margin. Such scenario contract values would be updated the day based on the prices at start of the trading day and at 11.00 a.m., 12.30 p.m, 2.00 p.m., 3.30 pm and at the end of the trading session. The latest available scenario contract values would be applied to member/client portfolios on a real time basis.
Calendar spread margins
A currency futures position or option position having the same strike price at one maturity which is hedged by an offsetting position at a different maturity would be treated as a calendar spread. The benefit for a calendar spread would continue till expiry of the near month contract. For a calendar spread position, the extreme loss margin shall be charged on one third of the mark to market value of the far month contract.
The margin for options calendar spread would be the same as specified for USDINR currency futures calendar spread. The margin would be calculated on the basis of delta of the portfolio in each month. A portfolio consisting of a near month option with a delta of 100 and a far month option with a delta of â€“100 would bear a spread charge equal to the spread charge for a portfolio which is long 100 near month currency futures and short 100 far month currency futures.
The calendar spread margins for different currency pairs would be as follows :
Extreme Loss margin
(3 months or more)
(3 months or more)
(3 months or more)
( 4 months or more)
Extreme loss margin on the mark to market value of the gross open positions shall be deducted upfront from the available liquid assets of the clearing member on an on line, real time basis are as follows:
Extreme Loss Margin for different currency pairs would be as follows:
|Extreme Loss Margin
||1% of MTM value of open positions
||0.3% of MTM value of open positions
||0.5% of MTM value of open positions
||0.7% of MTM value of open positions
||1.5% of the notional MTM value of open short option position
As a risk containment measure, ICCL may require clearing members to pay additional margins as may be decided from time to time. This would be in addition to the above mentioned margins
Collection of Margins
Aforesaid margins are computed at a client level and collected/adjusted upfront from the liquid assets of the Clearing Members on an on-line real time basis
Margin Collection and Enforcement
Members are required to collect all margins from their client/constituents. It is mandatory for all members to report details of such margins collected from their clients to ICCL/BSE.