During the trading session, the system keeps track of loss, both notional and booked, incurred by every member up to the last executed trade. Based on this MTM loss, the Exchange has defined different level of MTM alerts as a measure of risk management.
The trading members/clearing members of the Exchange shall get MTM warning alerts on real-time basis. For calculation of MTM loss, the MTM loss limit is specified as 100% of the total margin limit.
Four types of alerts get generated for breach of MTM limit % at Member level.
- First MTM Warning % i.e. 50%: The first MTM warning alert will be sent as the MTM loss breaches 50% of the MTM loss limit.
- Second MTM Warning i.e. 60%: The second MTM warning alert will be sent as the MTM loss breaches 60% of the MTM loss limit.
- Third MTM Warning i.e. 70%: The third MTM warning alert will be sent as the MTM loss breaches 70% of the MTM loss limit.
MTM Deactivation Limit % i.e. 75%: The square off mode will be triggered due to MTM and an alert will be sent as the MTM loss breaches 75% of the MTM loss limit. All pending orders will be cancelled and only square off orders will be allowed
on trigger of square off mode with IOC validity. A member can’t place fresh orders in this mode.
As the MTM loss reaches below MTM deactivation limit%, the square off mode will be revoked and an alert will be sent for the same.