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Order Matching Platform - Margins

NSE CLEARING has put in place a comprehensive risk management system. NSE CLEARING ensures that clearing member obligations are commensurate with their net worth.

Margins for Normal market trades

The core of the risk management system is the liquid assets deposited by members with the Exchange/Clearing Corporation. These liquid assets shall cover the Initial Margin and Extreme Loss Margin requirements for debt securities. Initial margin shall be based on a worst case loss of a portfolio of an individual client across various scenarios of price changes so as to cover a 99% VaR over one day horizon.

The minimum initial margin shall be 2% for residual maturity up to three years, 2.5% for residual maturity above three years and up to five years; and 3% for maturity above five years.

Clearing Corporation shall adopt SPAN® system for initial margin computation. Loss numbers is computed by applying the applicable margin rate to the last traded price expressed in terms of clean price i.e. without taking accrued interest into account.

The ELM for any bond shall be 2% of the last traded price expressed in terms of clean price Settlement Guarantee shall be provided for the deals on retail and institutional platform.

Exemption from Margins

Members can avail margin exemption for sale trades, by giving specific client-ISIN instructions for each trading member clearing through them. Positions for which early pay-in of securities is made shall be exempt from margin computation.