The Initial Margin requirement is based on a worst case loss of a portfolio of an individual client across various scenarios of price changes. The various scenarios of price changes would be so computed to cover a 99% Value at Risk (VaR) over a one-day horizon
The initial margin shall be deducted from the liquid net worth of the clearing member on an online, real-time basis.
A currency futures position at one maturity which is hedged by an offsetting position at a different maturity is treated as a calendar spread. For a calendar spread position, the extreme loss margin is charged on one-third of the mark-to-market value of the far month contract
Extreme loss margin is computed as percentage of the mark-to-market value of the Gross Open Position. It shall be deducted from the liquid assets of the Clearing Member
The initial margin and the extreme loss margin are deducted from the liquid assets of the clearing member. The clearing member's liquid networth after adjusting for the initial margin and extreme loss margin requirements must be at least Rs. 50 lacs at all points in time.
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