The National Stock Exchange (NSE) on April 26, 2023, issued a notification regarding the Short Allocation of Collateral for the Currency Derivatives, Commodity Derivatives, Futures & Options, NSE Clearing - Capital Market segments
This has a reference to SEBI circular no SEBI/HO/MRD2_DCAP/CIR/2021/0598 dated July 20, 2021, and consolidated circular no NCL/CD/55099 dated January 02, 2023 circular no. NCL/CD/51659 dated March 17, 2022, and circular no. NCL/CD/55686 dated February 20, 2023
The changes including the penalty for intra-day short allocation shall be applicable from the trade date of May 02, 2023.
The members are requested to note that monitoring of short allocation will be undertaken as follows namely: -
• Minimum client margin collection requirement less client collateral value in the segment (only where client margins are greater than client collateral value) shall be considered short allocation. For this purpose, minimum client margin collection will mean margins required to be collected on an upfront basis, excluding margins that can be collected by T+1/T+2.
• Client collateral value in the segment for this purpose shall be collateral value allocated by the CM to the client in the segment + value of securities repledged at Clearing Corporation for that client in the segment (value shall be after applying all prudential norms of Clearing Corporation other than 50:50 requirement).
• Such monitoring of short allocation shall happen intraday at the time of peak margin snapshot and at the end of the day.
o Client-level short allocation shall be computed intra-day based on the peak margin snapshot in the segment and client collateral value in the segment at the time of the respective peak margin snapshot. Details shall be provided in X_SA01/02_P_<member code>_DDMMYYYY Y_i01/02/i03/i04
o Client-level short allocation shall be computed at the end of the day based on the EOD minimum upfront margins required to be collected based on body parameters and client collateral value at EOD. Details shall be provided in C_SA01/02_<member code>_DDMMYYYYY.
• While assessing the intraday/EOD short allocation, Clearing Corporation will check for availability of excess collateral (allocation and value of pledged securities over and above minimum margin) in other segments for the same TM-UCC (whether with the same clearing member or otherwise) or CP. Clearing Corporation shall reduce such excess collateral available in other segments from the intraday/EOD short allocation before the calculation of the applicable penalty. For this purpose, the snapshots across segments at the same time, the window shall be considered e.g. shortfall for snapshot 1 will be checked against an excess deposit in another segment in snapshot 1 only and will not be offset against excess deposits in any other snapshot or at EOD.
• The maximum amount of short allocation across all snapshots and EOD shall be considered as short allocation and the same shall be provided after considering excess collateral in other segments if any in X_SA04/05/_<member code>_DDMMYYYY. The information on the snapshot number/EOD which has been considered as the maximum amount shall be provided in the snapshot field.
• In case of instances of Intraday/ EOD short allocation; members shall have an opportunity to report the amount of client collateral available with permitted reasons. In case of such reporting, the penalty will not be applicable.
• Members shall have an opportunity to report the amount of client collateral available against such segment-wise short allocation due to the mentioned reasons, along with the reason codes attached
• Members can only report margins for securities sold for which EPI has been done subsequent to the sale in the CM segment and the collateral blocked toward such sale transactions were used towards margin requirements in the CD segment. Please note that value of credit entry posted in the client ledger in lieu of successful EPI to CC should not be reported.
• Such reporting shall be done by TMs for clients and by CMs for TM proprietary and CP clients on NMASS. There shall be no change in format for reporting the short allocation.
• In case of false reporting, a penalty as applicable on false margin reporting will be applicable.
• Clearing Corporation shall compute the revised short allocation amount after adjusting for the aforementioned reporting and shall be considered for levying the penalty.
• Members may refer to circular no NCL/CD/53925 dated September 30, 2022, for reporting procedures.
[Circular No. NCL/CD/56498]
