NATIONAL SECURITIES CLEARING CORPORATION LIMITED

DEPARTMENT : FUTURES AND OPTIONS SEGMENT
Download Ref No : NSCCL/CMPT/37751                                                                                                Date :May 14, 2018

Circular Ref. No : 50/2018

All Members,

Sub: Client Margin Reporting

This is with reference to SEBI circular no: SEBI/HO/MRD/DRMNP/CIR/P/2018/75 dated May 02, 2018 and in modification to Item no. 14 on client margin reporting of the consolidated circular no. 032/2017 (Download Ref No: NSCCL/CMPT/34657) dated April 17, 2017.

• Clearing/Trading members shall be required to collect initial and exposure margins from their trading member/ constituents/clients on an upfront basis.
• Clearing/Trading members shall be required to collect mark to market losses from their trading member/ constituents/clients by T+1 day.
• Clearing /trading members shall be required to report details of initial margin, exposure margin and mark to market losses collected from their trading member/ constituents/clients.
• The existing margin files (MG12, MG13 and MG18) provided to members for client margin reporting shall include their trading member/ constituents/clients level initial margin, net buy premium, exposure margins and mark to market losses for reporting purpose. Revised file formats for margin files have been provided in Annexure.
• In case of a mark to market profit for a trading member/ constituents/clients the value for mark to market losses shall be populated as zero.
• Clearing/trading member shall be required to report a single consolidated value comprising of initial margin, net buy premium, exposure margin and mark to market losses collected.
• Clearing/trading member shall be permitted to report client margins upto T+5 working days as per current mechanism.
• The penalty for short/non reporting by clearing/trading member shall be as currently applicable and stipulated in abovementioned consolidated circular.
• The provisional margin files downloaded during the day shall not include mark to market losses and values shall be populated as zero.
• All other process with respect to client margin reporting shall be as currently applicable and stipulated in abovementioned consolidated circular.

The provisions of the circular shall come into effect from June 01, 2018.

Members may note that the revised file format as mentioned above shall be effective from trade date June 01, 2018 only. Client margin reporting for trade date prior to June 01, 2018 should be done as per existing file formats only. Members are advised to take due care in reporting and check the return files for any errors to avoid any non/short reporting of margins

Members are requested to take note of the above.

For and on behalf of

National Securities Clearing Corporation Limited

Huzefa Mahuvawala
Vice President

 Annexure

1. Detailed margin file for clearing member (MG12)

Naming convention – F_MG12_<MEMBER CODE>_DDMMYYYY.LIS.gz
File location: /FAOFTP/F<MEMBER CODE>/REPORTS
File details and format:

The file for a clearing member shall contain the following values Trade date

Trading member /Custodial participant code
SPAN margin
Net buy premium
Exposure margin
Delivery margin (Applicable for physical settlement)
MTM Loss
Total margin (SPAN margin +Net Buy Premium+ Exposure margin+ Delivery margin+ MTM Loss)

Provisional Margin Files for Clearing Member (F_MG12_P) The MTM Loss in provisional file shall be zero

2. Detailed margin file for trading member (MG13)

Naming convention – F_MG13_<MEMBER CODE>_DDMMYYYY.LIS.gz
File location: /FAOFTP/F<MEMBER CODE>/REPORTS
File details and format:

The file for a trading member shall contain the following values
Trade date
Client Code
SPAN margin
Net buy premium
Exposure Margin
Delivery margin (Applicable for physical settlement)
MTM Loss

Total margin (SPAN margin +Net Buy Premium+ Exposure margin+ Delivery margin+ MTM Loss) Client/Proprietary Flag

Provisional Margin Files for Trading Member (F_MG13_P) The MTM Loss in provisional file shall be zero

3. Detailed margin file for clearing member (MG18)

Naming convention – F_MG18_<MEMBER CODE>_DDMMYYYY.LIS.gz
File location: /FAOFTP/F<MEMBER CODE>/REPORTS
File details and format:

The file for a clearing member shall contain the following values Trade date

Trading member /Custodial participant code
SPAN margin
Net buy premium
Exposure margin
Delivery margin (Applicable for physical settlement)
MTM Loss
Total margin (SPAN margin +Net Buy Premium+ Exposure margin+ Delivery margin+ MTM Loss)