1. ICMTM shall be computed for all trades which are executed and result into closing out of open positions.

Transcription

1 NATIONAL COMMODITY & DERIVATIVES EXCHANGE LIMITED Circular to all trading and clearing members of the Exchange Circular No. : NCDEX/RISK-008/2018/142 Date : June 04, 2018 Subject : Margin provisions for intra-day crystallised losses Reference may be made to Exchange circular No. dated NCDEX/RISK-006/2018/072 March 22, 2018 on Risk Management norms for commodity derivatives regarding margin provision for intraday crystallised losses Trading and Clearing members are hereby informed that the Exchange shall calculate and levy Intraday Crystallised Mark to Market Losses (ICMTM) in the following manner: 1. ICMTM shall be computed for all trades which are executed and result into closing out of open positions. 2. ICMTM shall be calculated based on weighted average prices of trades. 3. ICMTM shall be adjusted against the free collateral of clearing member on a real time basis. 4. If crystallised losses exceed the free collateral available then the member shall be put into risk reduction mode / square off mode. 5. Crystallised losses at a contract level for a client shall be adjusted against crystallised profits at that time, if any, from another contract for the same client to arrive at client level profit or loss. 6. The crystallized losses of all clients shall be grossed up (crystallised gains of each client are ignored) to arrive Trading Member ( TM ) level ICMTM and the crystallized losses of all the trading members shall be grossed up. 7. All client level losses across all trading members including losses on proprietary positions of trading members, if any, shall be grossed up to arrive at clearing member level ICMTM 8. ICMTM so blocked/ collected shall be released on completion of daily mark to market settlement pay-in 9. Adjustment of intraday crystallized losses shall not be done from exposure free liquid net worth of the clearing member. 1 / 5

2 10. The details of ICMTM shall be included in MG11, MG12, MG13 reports provided to the members 11. Additional reports MG16, MG17 containing details of intraday crystallised MTM loss shall also be provided to the members at end of the day The format of the reports is given in Annexure I. The date of implementation of the above shall be effective from 11 th June Members are requested to take note of the above. For and on behalf of National Commodity & Derivatives Exchange Limited Rahul Ghosh Vice President - Risk Management Encl: Annexure For further information / clarifications, please contact 1. Customer Service Group on toll free number: Customer Service Group by to : askus@ncdex.com 2 / 5

3 Sr No File Name Annexure I Change in File Format 1 MG11 NCDEX_MG11_<Prim_Member_code>_DDMMYYYY.LIS No 2 MG12 NCDEX_MG12_<Prim_MEM_CODE>_<DDMMYYYY>.LIS No 3 MG13 NCDEX_MG13_<TRD_MEM_ID>_<DDMMYYYY>.LIS No 4 MG16 NCDEX_MG16_<Prim_Member code>_ddmmyyyy.lis New File 5 MG17 NCDEX_MG17_<TRD_Member_Id>_DDMMYYYY.LIS New File Report Description New/ MG11 - Margin Payable Report NCDEX_MG11_<Prim_Member_code>_DDMMYYYY.LIS A File Description Calculation Remarks CAPITAL 1 Total Cash Capital BC CASH + ABC CASH 2 Total Non-Cash Capital 3 Total Capital (A1 + A2) TOTAL BC NON CASH + ABC NON CASH Cash Component Required (%) 50 Effective Deposits [ Min (A1/A4, A3)] Non-usable Non-cash Capital (A3 - A5) CAM TOTAL - CAM B 7 MARGIN INFORMATION Minimum Liquid Net Worth 8 Initial Margin Amount IM ZERO 9 MTM Value MTM+ICMTM loss 10 Effective Deposits Required for Initial Margin (B7 + B8) Futures and Options initial margin (Including Premium and NOV) 3 / 5

4 11 12 Effective Deposits Required for MTM value(b8 +B9) Effective Deposit requirement for the Clearing Member[Higher of(b10,b11)] C TRANSACTION AMOUNT Excess Effective Deposits Required(B12 - A5) Minimum Free Deposit For Pay-in Transaction Minimum Free Deposit For Payout Transaction Additional Deposit Required SAME AS #13 Daily Cash Margin Already Paid By The Member Non-usable Non-cash Allocation Cash Margin Payable (+)/Receivable (-) Report Description File Naming Convention New/Existing File MG12 - Detail Margin Report for Clearing Members NCDEX_MG12_<Prim_MEM_CODE>_<DDMMYYYY>.LIS S.N. Column Name Data Type and Max Length Remarks 1 Date Date(12) Business Date in DD-MON-YYYY Format 2 TM/CP Code Varchar2(12) Trading Member code or Custodial Participant code 3 SPAN Margin Number Futures and Options SPAN margin with Net Option Value + Delivery Margin (Premium is not included) 4 Net Buy Premium (NBP) Number Net Options Premium (Payable - Receivable) 5 Total Margin Number SPAN Margin + NBP 6 MTM value Number Mark To Market value+icmtm loss 4 / 5

5 Report Description New/ MG13 - Detail Margin Report for Trading Members NCDEX_MG13_<TRD_MEM_ID>_<DDMMYYYY>.LIS S.N. Column Name Data Type and Max Remarks Length 2 Client Code Varchar2(12) Client Code 3 SPAN Margin Number Futures and Options SPAN margin with Net Option Value + Delivery Margin (Premium is not included) 4 Net Buy Premium (NBP) Number Net Options Premium (Payable - Receivable) 5 Total Margin Number SPAN Margin + NBP 6 MTM value Number Mark To Market value+ ICMTM Losses 7 Cli/Pro Flag Varchar2(1) C-Client P- Proprietary NCDEX_MG16_<Prim_Member code>_ddmmyyyy.lis S.N. Column Name Data Type and Max Length Remarks 2 TM/CP Code Varchar2(12) Trading Member/Custodian Participant Code 3 ICMTM Loss Number(20,2) ICMTM loss NCDEX_MG17_<TRD_Member_Id>_DDMMYYYY.LIS S.N. Column Name Data Type and Max Length Remarks 2 Client Varchar2(12) Client Code 3 ICMTM Loss Number(20,2) ICMTM Loss 4 Pro/Cli Flag Number(1,0) Pro/Client Flag 5 / 5