This is in relation to additional surveillance margins as applicable under Circular No 20180622-42 dated June 22, 2018. As part of the continuous review process, in a joint meeting between Stock Exchanges, Clearing Corporations and SEBI, the following was decided:-
(a) The following Additional Surveillance Margins (ASM) shall be levied on all gross open positions on futures contracts and on short positions in options contracts which shall be effective from the dates mentioned in the table below:
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Effective date of Implementation
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Index Options
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Index Futures
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Single Stock Futures and Options
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September 14, 2018
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1.00%
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0.50%
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1.25%
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September 28, 2018
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2.00%
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1.00%
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2.50%
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October 26, 2018
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3.00%
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1.50%
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3.75%
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November 30, 2018
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4.00%
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2.00%
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5.00%
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The above mentioned ASM shall be added to the applicable exposure margin of the respective index/stock futures and options contracts.
(b) In view of above additional surveillance margin, the present additional surveillance margin levied based on the scenarios as specified under Circular No 20180622-42 dated June 22, 2018 will be discontinued with effect from September 28, 2018.
(c) The Clearing Corporation will continue to monitor all client-level positions with potential loss of INR 25 crores or above as per the scenarios specified in Circular No 20180622-42 dated June 22, 2018, and, if required, impose additional surveillance margins and take other actions as may be deemed necessary.
(d) The Clearing Corporation shall also monitor buildup of open interest in derivatives of sectoral indices (particularly where top 3 stocks collectively constitute more than 50% of the weightage in the index), and may impose higher margins on such contracts, if deemed necessary.
For and on behalf of Indian Clearing Corporation Ltd.
Piyush Chourasia
Chief Risk Officer & Head Strategy
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Risk Department
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Email
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risk.iccl@icclindia.com
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Contact No:
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+91-22-22728759/8811
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