We refer to the ICCL Circular dated September 1, 2018 on Additional Surveillance Margins.
Currently, the Initial Margin and the Exposure Margins in Index Options cover risk for around 6% change while Initial Margin and Exposure Margin in Index Futures cover risk for around 8% change in underlying indices. Similarly, Initial Margin and Exposure Margin for single stock derivatives cover risk for around 12.5% change in underlying stocks.
Instead of Exposure Margin as specified in the aforementioned Circular, the Price Scan Range shall be amended, in steps, to increase the coverage of risk arising out of change in underlying index/stocks to cover risk for 10% change in underlying indices and 17.5% change in underlying stocks.
The Price Scan range will be amended to reflect the additional change in underlying as per the table and schedule given in the aforementioned Circular.
To implement this, the minimum Price Scan Ranges will be amended as per the table given below:
|
Effective date of Implementation
|
Index Options
|
Index Futures
|
Single Stock Derivatives
|
|
Eod of September 14, 2018
|
4.00%
|
5.50%
|
8.75%
|
|
September 28, 2018
|
5.00%
|
6.00%
|
10.00%
|
|
October 26, 2018
|
6.00%
|
6.50%
|
11.25%
|
|
November 30, 2018
|
7.00%
|
7.00%
|
12.50%
|
For and on behalf of Indian Clearing Corporation Ltd.
Piyush Chourasia
Chief Risk Officer & Head Strategy
|
Risk Department
|
|
Email
|
risk.iccl@icclindia.com
|
|
Contact No:
|
+91-22-22728759/8811
|
|