Margin Deposits

Clearing Members / Professional Clearing Members can provide any deposits over and above their minimum liquid net-worth requirement in the form of:-

Cash Deposits
Bank Guarantees
Fixed Deposit Receipts
Government Securities or Treasury Bills
Approved Securities and units of mutual funds in demat form deposited with the custodian.

Margins

Initial margin shall be computed on an online real time basis, payable on all open positions of Clearing Members, up to client level, and shall be payable upfront by Clearing Members/Professional Clearing Members in accordance with the margin computation methodology adopted by the Metropolitan Clearing Corporation of India Ltd. of the Exchange from time to time. Initial margin requirements shall be based on 99% value at risk over a one day time horizon. The methodology for computation of value at risk percentage shall be as per the recommendations of SEBI from time to time.

Initial Margin

Initial Margin shall include SPAN margins, futures final settlement margin and such other additional margins, that may be specified by the Metropolitan Clearing Corporation of India Ltd. from time to time.

Initial margin requirement:

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

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

Updation of risk parameters

The parameters for computation of span margin are updated atleast 9 times in the day during trading, based on the prices at beginning of the day, 11:00 a.m., 12:30 p.m., 2:00 p.m., 3:30 p.m., 5:00 p.m., 6:30 p.m., provisional end of day and end of the trading. Risk parameters generated based on the updated parameters shall be provided on the exchange website at www.MSEI.in.

Calendar Spread Margins

A currency futures position in one expiry month which is hedged by an offsetting position in a different expiry month is treated as a calendar spread and an offsetting benefit is provided on such positions for margins. The benefit for calendar spread continues till expiry of the near month contract. Initial margins charged at a lower rate on such offsetting positions. Applicable calendar spread margin rates varies based on the duration of the spread and the underlying.

Amount in Rupees.

Duration of the spread	USDINR	EURINR	GBPINR	JPYINR	EURUSD	GBPUSD	USDJPY
1 month	400	700	1500	600	1500	1500	1500
2 months	500	1000	1800	1000	1800	1800	1800
3 months	800	1500	2000	1500	2000	2000	2000
4 Months or more	1000	1500	2000	1500	2100	2100	2100

Minimum Margins

The minimum applicable initial margin rates for currency futures contracts are as follows:
USDINR	EURINR	GBPINR	JPYINR	EURUSD	GBPUSD	USDJPY
1%	2%	2%	2.30%	2%	2%	2%

Futures Final Settlement Margin

Currency Futures Final Settlement Margin shall be levied at the clearing member/professional clearing member level in respect of the final settlement amount due. The final settlement margins shall be levied from the last trading day of the contract till the completion of pay-in towards the Final Settlement.

Extreme Loss margins

Extreme loss margins are charged in addition to initial margins. Extreme loss margin is applied on the mark to market value of the gross open positions and deducted from the liquid assets of the clearing member on an online, real time basis.

USDINR		EURINR		GBPINR		JPYINR		EURUSD	GBPUSD	USDJPY
Futures	Options*	Futures	Options*	Futures	Options*	Futures	Options*	Futures & Options	Futures & Options	Futures & Options
1%	1.50%	0.30%	1.50%	0.50%	1.50%	0.70%	1.50%	1%	1%	1%

* Notional Value would be calculated on the basis of the latest reference rate published by FBIL for respective FCY-INR.

Imposition of additional margins

As a risk containment measure, the Metropolitan Clearing Corporation of India Ltd. may require clearing members/professional 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.

Mode of payment of margin

Clearing members / Professional Clearing members shall provide for margin in any one or more of the eligible collateral modes as detailed above. The margins are collected /adjusted from the liquid assets of the member on a real time basis.

Payment of margins

The initial margin and extreme loss margins shall be payable upfront by the clearing members. Members are required to collect initial margins and extreme loss margins from their client/constituents on an upfront basis. Clearing/Trading members are required to collect margins (Initial margin, extreme loss margin, calendar spread margin or any other margins) as prescribed by the Exchange / Clearing House / Regulator from their client on an upfront basis. It is mandatory for all clearing / trading members to report details of such margins collected to the Exchange / Clearing House in accordance with the procedure and formats specified or as may be specified by the Metropolitan Clearing Corporation of India Ltd. from time to time. It is mandatory for all clearing /trading members to report details of such margins collected to the Clearing House of the Exchange.