Clearing members shall be subject to Exposure/Extreme Loss margins in addition to initial margins.
- Applicable Exposure/Extreme Loss margins
Applicable Exposure/Extreme Loss margins for various products shall be as follows:
- Futures contracts on individual Securities
The exposure margins shall be higher of 5% or 1.5 standard deviation of the notional value of gross open position in futures on individual securities in a particular underlying.
- Short Option contracts on individual Securities
The exposure margins shall be higher of 5% or 1.5 standard deviation of the notional value of short open positions in options on individual securities based on the last available closing price of the underlying security in the normal market of Capital Market segment of the Exchange.
For this purpose, the standard deviation of daily logarithmic returns of prices of the underlying security in the normal market of Capital Market segment of the Exchange in the last six months shall be computed on a rolling and monthly basis at the end of each month. The applicable exposure margins shall be intimated by the Clearing Corporation from time to time.
- Exposure margin on Calendar Spread Positions
In case of calendar spread positions in futures contracts, exposure margin shall be levied on one third of the value of the open position of the far month futures contract. A calendar spread position shall be granted calendar spread treatment till the expiry of the near month contract