Calendar spread margin benefit extended to additional expiries, enhancing far month liquidity and hedging flexibility in commodity futures. SEBI circular SEBI/HO/CDMRD/CDMRD_DRM/P/CIR/2021/612 modifies prior guidance to permit the existing 75% benefit in initial margin for calendar spreads or spreads of two contract variants on the same underlying commodity when each individual contract in the spread is among the first six expiring contracts rather than limited to the first three expiries; the amendment is effective within one month of issuance.
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Provisions expressly mentioned in the judgment/order text.
Calendar spread margin benefit extended to additional expiries, enhancing far month liquidity and hedging flexibility in commodity futures.
SEBI circular SEBI/HO/CDMRD/CDMRD_DRM/P/CIR/2021/612 modifies prior guidance to permit the existing 75% benefit in initial margin for calendar spreads or spreads of two contract variants on the same underlying commodity when each individual contract in the spread is among the first six expiring contracts rather than limited to the first three expiries; the amendment is effective within one month of issuance.
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