Provision of Facility for Monitoring Intraday Uncrystallised Mark-to-Market (MTM) Losses for Futures Contracts

NOTICE

INTERNAL

To,

Clearing Members of BSE Clearing Limited (BSECL) (Formerly Indian Clearing Corporation Limited - ICCL) are hereby informed that an optional facility has been introduced in RTRMS to enable Clearing Members to monitor intraday uncrystallised Mark-to-Market (MTM) losses at the Trading Member level for open futures positions.

This facility operates independently of the existing margin monitoring framework linked to allocated or pledged collateral.

Key Features and Operational Framework:

1. An optional, request-based facility is available for Clearing Members to define MTM Loss limits for their associated Trading Members. Members desirous of availing this facility are required to submit a formal request via email to the Risk Department of BSECL.

2. Upon activation of this facility by BSECL, Clearing Members will be able to configure and monitor MTM loss limits for each affiliated trading members through RTRMS. The detailed methodology and configuration process are provided in the Annexure of this circular.

3. The system shall generate automated email alerts to the email address configured by the Clearing Member upon utilisation of predefined MTM threshold levels, viz. 70%, 80%, 90%, and 100% of the configured MTM limit. Alert will be triggered once upon first breach of each threshold, with subsequent alerts issued only upon crossing the next higher threshold level.

4. The MTM limits configured at the Trading Member level are intended solely for monitoring intraday uncrystallised MTM losses of the respective Trading Members.

5. Monitoring of MTM limits against prescribed limits and monitoring of margins against collateral shall be carried out independently and remain mutually exclusive.

6. The configuration of MTM limits, along with the email IDs for alerts, shall be at the sole discretion of the Clearing Member. By default:

• The "Set Unlimited M2M Limit" option shall remain enabled.
• MTM limits shall remain unconfigured unless explicitly specified.

Where the Clearing Member chooses to configure a limit, entry of the MTM value is mandatory, and this value shall form the basis for computing MTM utilisation percentages.

7. Intraday MTM profit and loss shall be computed in real-time based on only Open Futures positions and latest available futures prices. MTM shall be computed across client and proprietary positions, with only net losses aggregated at the Trading Member level for monitoring purposes.

8. This facility is intended purely as a monitoring tool for Clearing Members. Unless specifically notified otherwise by BSECL, breach of a configured MTM limit shall not

INTERNAL

trigger any automatic action, including disablement or position close-out of the Trading Member.

The above facility is now available in RTRMS. Clearing Members are requested to take note of the same.

Mr. Sushant Majhi

Chief Risk Officer

INTERNAL