SETTLEMENT WISE MARGINING SYSTEM
As prescribed by the Securities and Exchange Board of India from time to time by circulars on Comprehensive Risk Management Framework and as per policies laid down by the Exchange authorities vide its notices, the following margins are in force and levied on trading members at the Calcutta Stock Exchange:-
Trade done in this settlement attracts the following type of Margins:
VaR (Value at Risk) Margin :
For National Scrips:
The Intra Day VaR margin (scrip-wise) are provided by NSE and BSE on a daily basis at certain intervals through their website and the same is processed at the CSE, the scrip-wise highest margin are taken for application after multiplying with factors as stated below on the net client-wise outstanding position of CSE Members. Mode of calculation of VaR is enumerated in SEBI Circular dated 23rd February’2005, 13th May’2005 and 16th June’2006.
|National Scrips (Scrips are in the Group I of both in NSE and BSE and also traded at this Exchange. This list is revised in every month), Categorised as Group II Securities.
||Higher of 1.73 times of Scrip VaR and 5.20 times of Index VaR.
For other Scrips: (Categorised as Group III Securities): VaR margin are applied at 8.66 times of Index VaR.
Extreme Loss Margin Margin (ELM):
On National Scrips: Scrip wise ELM (higher of BSE and NSE) on net clientwise outstanding position subject to minimum of 5%.
For other Scrips: ELM is applied at the rate 10% on the net clientwise outstanding position.
Mark to Market Margin: This represents crystallized actual loss and notional loss (for outstanding position) in relation to Closing price every day. MTM margin are calculated and imposed for current settlement and previous open settlements after the trading session everyday. The MTM margin to be paid on the T day.
Special Margin: This margin is imposed by the exchange on selective scrips.
Funds receipt for Margins:-
Funds would be accepted as additional / incremental margin capital by transfer from settlement accounts of the active members. Such credits may be uploaded to the system by direct entry of the amount in CSTAR by use of facility available in the frond end of surveillance module by the concerned departments of this Exchange.
Levy and collection of margins:-
a). VaR margin and Extreme Loss Margin (ELM) and Special Margin computation is done for each trade on the scrip wise gross open position of the member. The gross open position for this purpose would mean the gross of all net positions across all the clients of a member including his /her proprietary position.
b) Margin amounts thus computed would be collected upfront basis from the respective available margin capitals of the members by reduction of available balance post trade.
c) The member’s TWS will be deactivated by the C Star system, if the available margin capital is not a positive amount.