A) 91-day Government of India (GOI) Treasury Bill Futures
Margins
- Initial Margin for 91-dsay T-Bill future contracts
The Initial Margin requirement 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. 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 0.1
% of the notional value of the contract on the first day of trading
in 91-day T bill futures and 0.05 % of the notional value of the contract
thereafter (the notional value of the contract shall be Rs. 2,00,000).
The initial margin shall be deducted from the liquid net worth of the
clearing member on an online, real time basis.
- Calendar spread margins
Interest rate futures position at one maturity hedged by an offsetting
position at a different maturity would be treated as a calendar spread.
The calendar spread margin would be at a value of Rs. 100/- for spread
of one month, Rs.150 for spread of two month, Rs. 200/- for spread of
three month and Rs. 250/- for spread of four month and beyond. The benefit
for a calendar spread would continue till expiry of the near month contract.
For a calendar spread position, the extreme loss margin would be 0.01%
of the notional value of the far month contract.
- Extreme Loss margin
Extreme loss margin of 0.03 % of the notional value of the contract
for all gross open positions shall be deducted from the available liquid
assets of the clearing member on an on line, real time basis.
- Additional margins
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
(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)
- 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.
B) 10 Year Government of India Futures
Margins
The margin norms for the Interest Rate Futures (IRF) contracts on 10 Year
Cash Settled Government Securities would be as follows:
- Initial Margin
The Initial Margin requirement 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 so computed would be subject to a minimum of 2.8%
on the first day of trading and 1.5 % thereafter. The initial margin
shall be deducted from the liquid net worth of the clearing member on
an online, real time basis.
- Calendar spread margins
Interest rate futures position at one maturity hedged by an offsetting
position at a different maturity would be treated as a calendar spread.
The calendar spread margin would be at a value of Rs. 800/- for spread
of one month and Rs. 1,200 for spread of two month. The benefit for
a calendar spread would continue till expiry of the near month contract.
The calendar spread margin shall be deducted from the liquid net worth
of the clearing member on an online, real time basis.
- Extreme Loss margin
Extreme loss margin of 0.5% of the value of the gross open positions
of the IRF contract shall be deducted from the available liquid assets
of the clearing member on an on line, real time basis.
- Additional margins
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
(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)
- 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/trading
member. It is mandatory for all members to report details of such margins
collected to BSE/ICCL.