Additional Margins in Equity Derivatives Segment

• Notice No: 20180925-34
• Notice Date: 25 Sep 2018
• Category: Settlement/RMS
• Segment: Derivatives

Additional Margins in Equity Derivatives Segment

As a risk containment measure, in line with Point 3.3 Additional Margins of the ICCL Consolidated Circular on Equity Derivatives Segment, ICCL proposes to impose Additional Margins on certain securities witnessing high intra-day volatility.

Ø Additional Margin shall be levied when the following conditions are met:

a.    Intra-day price movement as compared to the previous day’s close price is more than 20%

and

b.    Close to close price movement is less than 20%.

Ø Intra-day price movement shall be computed as the change from previous day’s close price to the high/low price of the day, whichever is higher.

Ø An Additional Margin of 50% of the intra-day price movement above 20% shall be levied as Additional Margin.

Ø Additional Margins shall be specified as a percentage and added to the existing exposure margins of the security. (Details shall be included in the daily Exposure Margin File).

Ø Additional Margins levied shall be continued for 15 calendar days, provided no further intra-day volatility is observed.

Ø Additional margins levied shall be reviewed periodically.

The above shall be effective from Thursday, September 27, 2018 based on data from September 21, 2018.

For and on behalf of Indian Clearing Corporation Ltd.

Piyush Chourasia

Chief Risk Officer & Head Strategy

Risk Department
Email	[e-mail]
Contact No:	[phone]/8811