Current margining framework of F&O segment shall continue to be applicable till expiry of derivative contracts.
i) Post expiry, positions which are converted to physical settlement margins as applicable in Capital Market segment (i.e VAR, Extreme Loss Margins, Mark to Market margins) shall be applicable and levied as delivery margins.
ii) Delivery margins shall be part of the initial margins of the Client.
iii) Every client shall be required to make delivery margin without fail. The same will be reported to exchange as per existing client margin reporting mechanism.
iv) Delivery margins shall be computed at a client level settlement obligation for all physical deliverable positions.
v) VAR and Extreme Loss Margins: - The VAR and Extreme Loss percentage as computed in the Capital Market segment shall be applied on client level settlement obligations. The margins rate shall be updated for every change in margin rate in Capital Market segment
vi) Mark to Market margins - End of day mark to market margins shall be computed on expiry day and expiry + 1 day as difference between settlement obligation and value of positions at closing price of the security in the Capital Market segment. Mark to market loss in one security shall be netted against profit of other security for same client. Net loss at client level shall be grossed to arrive mark to market margins.
vii) Delivery margins blocked shall be released on completion of settlement.
viii) Assignment margins shall not be computed on positions which shall be identified for physical settlement.