NSCCL has developed a comprehensive risk containment mechanism for the Currency derivatives segment. The most critical component of a risk containment mechanism for NSCCL is the online position monitoring and margining system. The actual margining and position monitoring is done on-line, on an intra-day basis. NSCCL uses the SPAN® (Standard Portfolio
Analysis of Risk) system for the purpose of margining, which is a portfolio based system.
NSCCL collects initial margin up-front for all the open positions of a CM based on the margins computed by NSCCL-SPAN®. A CM is in turn required to collect the initial margin from the TMs and his respective clients. Similarly, a TM is required to collect upfront margins from his clients.
Initial margin requirements are based on 99% value at risk over a one day time horizon. However, in the case of futures contracts, where it may not be possible to collect mark to market settlement value, before the commencement of trading on the next day, the initial margin is computed over a two-day time horizon, applying the appropriate statistical formula. The methodology for computation of
Value at Risk percentage is as per the recommendations of SEBI from time to time.
Initial margin requirement for a member:
|1% of the value of gross open position
||0.3% of the value of gross open position
||0.5% of the value of gross open position
||0.7% of the value of gross open position