Real time margin is computed by the Clearing House using CME SPAN® (Standard Portfolio Analysis of Risk), which is used by most of the leading international derivative exchanges in the world.
Initial margin is computed up to client level on an online real time basis, payable on all open positions of Clearing Members, and is payable upfront by Clearing Members in accordance with the margin computation methodology adopted by the Clearing House from time to time.
The initial margin limits calculated by SPAN® based margining system are utilized/blocked immediately on execution of each trade. The members are alerted at three different levels of utilization of the initial margin, namely on reaching 60%, 75% and 90% margin utilization. The members are placed in "Square-off Mode" upon reaching 100% utilization of their margin limits, after which these members can initiate only such trades which would reduce their open positions.
As per circular dated 21st Aug 2015, VaR based margins shall be levied for all the contracts in Commodity & Currency Derivatives Market Segment and Equity Market Segment w.e.f 01st Sep 2015.