Intraday Crystallised Losses
Also written Intraday Crystallised Losses (ICMTM)
A margin the clearing corporation levies in real time on losses that become certain intraday when a trade closes out an open futures position, computed on weighted average trade prices.
In plain language
A loss on an open futures position is only an estimate until a trade actually closes it out. Once that closing trade happens, the loss on that piece of the position is no longer an estimate — it is locked in, or crystallised, right there in the middle of the trading day.
Intraday Crystallised Losses (ICMTM) is the margin the clearing corporation collects for exactly that locked-in loss, without waiting for the end-of-day mark-to-market settlement.
How it works
Chapter 7 sets out how ICMTM is computed:
- It is computed for all trades that close out open positions, based on weighted average prices of the trades and positions involved.
- It applies only to futures contracts, not options.
- ICMTM is part of initial margin and is adjusted against the clearing member's liquid assets in real time — it does not wait for the daily settlement cycle.
- Crystallised losses at a contract level, for one client, are netted against crystallised profits from another contract for the same client, to reach a single client-level profit or loss.
- All client-level losses across every trading member the clearing member serves — including the clearing member's own proprietary losses — are grossed up to arrive at the clearing-member-level ICMTM.
- The amount blocked or collected is released once the daily or final mark-to-market settlement pay-in is completed.
A worked example
A trader is long two lots of a stock futures contract bought at Rs 500. Mid-morning, the price falls to Rs 480 and the trader squares off one lot, locking in a loss of Rs 20 per share on that lot — this is now a crystallised loss, not just an unrealised mark-to-market figure.
The clearing corporation levies ICMTM on this crystallised loss immediately, adjusting it against the clearing member's liquid assets in real time, rather than waiting for the end-of-day settlement run. If the same client has a crystallised profit on a different contract that same day, that profit is netted against this loss before the figure is passed up to the clearing-member level.
Why NISM asks about it
Chapter 7 lists ICMTM among the categories of margin collected in the equity derivatives segment, and sets out how it is computed, netted at client level and grossed up at clearing-member level. Expect a question distinguishing ICMTM (real-time, only on futures, only on closed-out positions) from ordinary daily mark-to-market margin (end-of-day, on all open positions).
Common exam traps
- ICMTM applies only to futures, never to options.
- It is levied only on closed-out positions, i.e., losses that have actually crystallised through a trade — not on positions still open and merely showing a mark-to-market loss.
- Netting happens at the client level first (across contracts for the same client), and only then are all clients' figures grossed up — not netted — to the clearing-member level.
- ICMTM is adjusted in real time, unlike ordinary margin cycles that run once a day.
Where this is taught
Free preparation for NISM Series VIIIRelated terms
- Daily Settlement PriceThe price at which every open futures position is marked and reset at the end of each day — the last 30 minutes' volume weighted average price of that contract, computed separately for each expiry.
- Initial marginThe deposit both the buyer and the seller of a futures contract must place before the position is accepted, sized to cover a 99% worst-case one-day loss on that position.
- Risk arrayThe set of scenarios SPAN evaluates to estimate the maximum likely loss a derivative position could suffer over the next trading day, which is what initial margin is sized to cover.