Members are requested to refer to the SEBI Circular dated December 17, 2018 on Review of Risk Management Framework for Equity Derivatives Segment. The Circular has revised the Margin Period of Risk (“MPOR”) for Equity Derivatives contracts to a minimum of two days. The MPOR shall be applicable on both Initial Margins and Exposure Margins. For Initial Margins, the revised MPOR shall be given effect by way of scaling up the Price Scan Range (“PSR”) used for computing the Worst Scenario Loss. The Short Option Minimum Charge (“SOMC”) for Index Options has been brought to 5% in line with Minimum Initial Margin applicable for Index Futures.
Additionally, in order to make risk management framework more robust, the payment of MTM shall now mandatorily be made by all the members on T+0 basis i.e. before start of trading on the next day.
Revisions/Inclusions in Margin Parameters :-
Equity Derivatives
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Parameters
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Stock Futures
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PSR MPOR
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2
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Exposure Margin MPOR
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2
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Stock Options
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PSR MPOR
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2
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Exposure Margin MPOR
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2
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Index Futures
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PSR MPOR
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2
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Exposure Margin MPOR
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2
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Index Options
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PSR MPOR
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2
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Exposure Margin MPOR
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2
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SOMC
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5%
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Note: The Price Scan Range and Exposure Margin shall be scaled up by a factor of square root of MPOR.
The provisions of the Circular shall come into effect from Monday, January 21, 2019.
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
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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+91-22-22728759/5820/8811
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