Daily Margin Requirement
If the base margin requirement is insufficient to satisfy the total margin requirement of such Clearing Member in respect of Trades carried out on a particular Trade Day, the Clearing House shall impose additional margin requirements on Clearing Members.
Margin requirements for each Clearing Member is computed based on the net open position of each security each trading day.
Initial Margin (IM)
Initial margin will be calculated based on net open position of each security and the respective VAR margin of the security.
Initial Margin=(Total Purchase quantity of a security (Clearing Members wise)-Total Sales Quantity of a Security) ×Volume Weighted Average Purchase Price × (VAR of the security + 2.5%)
Variation Margin (VM)
Variation margin will be calculated on the net open position comparing the average trade price and closing price of the security.
Variation Margin = (Volume Weighted Average Purchase Price – Closing Price) x Net Quantity (Total Purchase quantity of a security (broker wise) – Total Sales Quantity of a Security)
Any sales which arise from a cleared balance will not carry margins. Sell side margin is only applicable for the short sales.
Initial Margin for short sells.
IM = Total short sales quantity of a security x Volume Weighted Average Sales Price x (VAR of the security + 10%)
Variation Margin for Short Sells
VM = (Closing Price – Volume Weighted Average Sales Price) x Total short sales quantity of a security
Upon the transactions executed on T Day Variation Margin for Net purchases and Short Sales will be re-computed at the end of each trading day until the settlement (i.e., T & T+1) for each client at the security level.