main content start


NSE Clearing has developed a comprehensive risk containment mechanism for the Futures & Options segment. The most critical component of a risk containment mechanism for NSE Clearing is the online position monitoring and margining system. The actual margining and position monitoring is done on-line, on an intra-day basis. NSE Clearing uses the SPAN® (Standard Portfolio Analysis of Risk) system for the purpose of margining, which is a portfolio based system.


click to open accordion Initial Margin

Span Margin

  • NSE Clearing collects initial margin up-front for all the open positions of a CM based on the margins computed by NSE Clearing-SPAN®. A CM is in turn required to collect the initial margin from the TMs and his respective clients. Similarly, a TM should collect upfront margins from his clients.
  • The Initial Margin requirement shall be so as to cover to cover potential losses for at least a 99% VaR over one day horizon subject to minimum percentage floor value as prescribed by SEBI from time to time. In order to achieve this, the estimated EWMA volatility (standard deviation) shall be scaled up by a factor of 3.5. NSE Clearing shall estimate the appropriate Margin Period of Risk (MPOR) for each product based on liquidity in the product and scale up the initial margins, if required. Margin period of risk for all commodity derivative contracts shall be at least 2 days.

Initial margin requirement for a member:

For client positions - is netted at the level of individual client and grossed across all clients, at the Trading/ Clearing Member level, without any setoffs between clients.

For proprietary positions - is netted at Trading/ Clearing Member level without any setoffs between client and proprietary positions.


  • For the purpose of SPAN Margin, various parameters are specified from time to time.
  • In case a trading member wishes to take additional trading positions his CM is required to provide Additional Base Capital (ABC) to NSE Clearing. ABC can be provided by the members in the form of Cash, Bank Guarantee, Fixed Deposit Receipts, approved securities and approved bullion.
click to open accordion Spread Margin

Spread margin benefit has been permitted by SEBI in the following cases:

  • Different expiry date contracts of the same underlying
  • Two contracts variants having the same underlying commodity

SEBI has prescribed a minimum 25% of the initial margin on each of the individual legs of the spread. NSE CLEARING may charge margins higher than the minimum specified depending upon its risk perceptions. In case of such spread positions, additional margins shall not be levied. Further Margin benefit on spread positions shall be entirely withdrawn latest by the start of tender period or Expiry-6th day, whichever is earlier.

click to open accordion Intra-day crystallised Losses

NSE Clearing shall calculate and levy Intraday Crystallised Losses (ICMTM) in the following manner:

  • ICMTM shall be computed for all trades which are executed and results into closing out of open positions.
  • ICMTM shall be calculated based on weighted average prices of trades/positions
  • ICMTM shall be computed only for futures contracts.
  • ICMTM shall be part of initial margin and shall be adjusted against the liquid assets of clearing member on a real time basis.
  • Crystallised losses at a contract level for a client shall be adjusted against crystallised profits, if any, from another contract for the same client to arrive at client level profit or loss.
  • 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.
  • ICMTM so blocked/ collected shall be released on completion of daily / final mark to market settlement pay-in
click to open accordion Other Margins

Extreme loss Margin

Clearing members shall be subject to exposure margins in addition to initial margins. ELM of 1% on gross open positions shall be levied and shall be deducted from the liquid assets of the clearing member on an online, real time basis.. No benefit in ELM would be provided for spread positions i.e. ELM shall be charged on both individual legs

Futures Final Settlement Margin

Futures final settlement margin shall be the net futures final settlement obligation of clearing member, if payable.

Tender Period Margin/Pre-expiry Margin

NSE CLEARING shall levy tender period/pre-expiry margin which may be increased gradually every day beginning from the pre-determined number of days before the expiry of the contract as applicable. NSE CLEARING shall determine the quantum of tender period margin as appropriate based on the risk characteristics of the particular commodity.

Delivery Period Margin

Appropriate delivery period margin shall be levied by NSE CLEARING on the long and short positions marked for delivery till the pay-in is completed by the member. Once delivery period margin is levied, all other applicable margins may be released. SEBI has specified that delivery period margins shall be higher of:

a) 3% + 5 day 99% VaR of spot price volatility


b) 20%


NSE CLEARING may impose higher margins if it deems fit.

Concentration margins

NSE CLEARING may impose adequate concentration margins (only on concentrated positions) to cover the risk of longer period required for liquidation of concentrated positions in any commodity. The threshold value for imposing concentration margin may be determined taking into account factors including open interest, concentration and estimated time to liquidation based on prevailing liquidity and possible reduction in liquidity in times of market stress etc. The quantum of concentration margins imposed may vary based on the level of concentratio

click to open accordion Imposition of additional margins

As a risk containment measure, the relevant authority may require 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 exposure margin, which are or may have been imposed from time to time.

click to open accordion Effective deposits

All collateral deposits made by CMs are segregated into cash component and non-cash component.

For Additional Base Capital, cash component means cash, bank guarantee, fixed deposit receipts, T-bills and dated government securities. Non-cash component shall mean all other forms of collateral deposits like deposit of approved demat securities and deposit of approved bullion.

At least 50% of the Effective Deposits should be in the form of cash.

click to open accordion Liquid Net worth

Liquid Net worth is computed by reducing the applicable margins payable at any point in time from the effective deposits.

The Liquid Net worth maintained by CMs at any point in time should not be less than Rs.50 lakhs (referred to as Minimum Liquid Net Worth).