In modification to the ICCL Circular dated September 25, 2018 on Additional Margins in Equity Cash Segment, ICCL would like to inform members that the revised Additional Margin framework shall be as follows:
Ø Additional margins shall be levied in respect of securities on which Equity Derivative contracts are available.
Ø Securities with Intra-day (High-Low) price movement of more than 10% for three or more days in the last one month shall be identified.
Ø The securities thus identified, will be subject to a minimum total margin (VaR, Extreme Loss Margin and Additional Margin) equalling the maximum intraday price movement of the security observed in the last one month.
Ø The above mentioned minimum total margin shall be continued till the expiry date of derivative contracts which falls after completion of three months from date of levy.
Ø Additional margins levied shall be reviewed periodically.
This Circular shall come into effect from Tuesday, October 16, 2018.
In case of any assistance/clarification, please do not hesitate to contact us.
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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