| Review of Margin Framework for Commodity Derivatives Segment |
With reference to SEBI Circular dated January 27, 2020 on Review of Margin Framework for Commodity Derivatives Segment and ICCL Circular dated February 11, 2020 on Review of Margin Framework for Commodity Derivatives Segment, ICCL shall implement the new margin framework with respect to Minimum Initial Margin (“Minimum IM”) percent and Margin Period of Risk(“MPOR”) in a phased manner as follows:
|
Sr. No.
|
Commodity and its Variants
|
Commodity Type
|
Volatility Category
|
Existing Margin Parameters
|
New Margin Parameters
|
|
Effective Date
|
|
March 5, 2020
|
April 1, 2020
|
April 21, 2020
|
|
Minimum IM (%)
|
MPOR
(days)
|
Minimum IM (%)
|
Minimum IM (%)
|
Minimum IM (%)
|
MPOR
(days)
|
|
|
1
|
Guar Gum
|
Agri
|
High
|
4
|
2
|
8
|
12
|
12
|
4
|
|
|
2
|
Guar Seed
|
Agri
|
High
|
4
|
2
|
8
|
12
|
12
|
4
|
|
|
3
|
Turmeric
|
Agri
|
High
|
4
|
2
|
8
|
12
|
12
|
4
|
|
|
4
|
Brent Crude
|
Non- Agri
|
High
|
4
|
2
|
6
|
8
|
10
|
3
|
|
|
5
|
Oman Crude
|
Non- Agri
|
High
|
4
|
2
|
6
|
8
|
10
|
3
|
|
|
6
|
Zinc
|
Non- Agri
|
High
|
4
|
2
|
6
|
8
|
10
|
3
|
|
|
7
|
Aluminium
|
Non- Agri
|
Medium
|
4
|
2
|
4
|
8
|
8
|
2
|
|
|
8
|
Copper
|
Non- Agri
|
Medium
|
4
|
2
|
6
|
8
|
8
|
2
|
|
|
9
|
Silver
|
Non- Agri
|
Medium
|
4
|
2
|
4
|
4
|
8
|
2
|
|
|
10
|
Cotton
|
Agri
|
Low
|
4
|
2
|
6
|
8
|
8
|
3
|
|
|
11
|
Gold
|
Non- Agri
|
Low
|
4
|
2
|
6
|
6
|
6
|
2
|
|
The additional surveillance margin (“ASM”) will be withdrawn as per the schedule given below:
|
Sr. No.
|
Commodity and its Variants
|
ASM (%)
|
|
Current ASM
|
Effective Date of Withdrawal
|
|
March 5, 2020
|
April 1, 2020
|
April 21, 2020
|
|
1
|
Guar Gum
|
5
|
2
|
2
|
1
|
|
2
|
Guar Seed
|
5
|
2
|
2
|
1
|
|
3
|
Turmeric
|
2.5
|
1
|
1
|
0.5
|
ICCL shall levy additional lean period margin of 2% on all Agri Contracts expiring during Lean Period.
Kindly note that the Minimum IM % mentioned in the above table shall not be scaled up by MPOR. The detailed break up of various applicable margins on contracts cleared by ICCL along with volatility may be referred to on the ICCL Website. All other margins inter alia Extreme Loss Margin, Crystallized Loss Margin, Tender Period Margin, Delivery Period Margin, Concentration Margin, Additional Margin and Special Margin as currently applicable shall continue.
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
|
|
Email
|
risk.iccl@icclindia.com
|
|
Contact No:
|
+91-22-22728759/5186/5820/8679
|
|