TaxTMI 
TaxTMI 
Review of Margin Framework for Cash and Derivatives segments (except for Commodity Derivatives segment)
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....arket dynamics and to bring more efficiency in the risk management framework, a comprehensive review of the margin framework was done in consultation with the Risk Management Review Committee (RMRC) of SEBI. Based on the review, it has been decided to effect the following changes to the existing risk management framework. 1.1 Margin framework for Cash Market 1.1.1 VaR Margin Rates The VaR margin rates shall be as follows for different groups of stocks: Liquidity Categorization VaR Margin Rate Group I Based on 6σ, subject to minimum of 9% Group II Based on 6σ, subject to minimum of 21.5% Group III 50% if traded at least once per week on any stock exchange; 75% otherwise Note: In case of ETFs that track broad based ma....
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....f the security (as used for categorization of securities for margining in Cash Market) is greater than 1%. Currency and interest rate derivatives Based on 6σ, subject to the minimum percentage of underlying price as tabulated below. Currency/Interest Rate derivative Minimum percentage of underlying Price USDINR 1.50% EURINR 2.15% GBPINR 2.25% JPYINR 2.65% EURUSD 2.50% GBPUSD 2.50% USDJPY 2.50% Interest Rate Derivatives 1.75% 91 Day T Bill 0.065% MIBOR 5.50% 1.2.3 Volatility Scan Range The Volatility Scan Range in respect of various products shall be as follows: Product Volatility Scan Range Index derivatives 25% of annualized EWMA volatility subject to minimum 4% Single stock derivatives 25% of annualiz....
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....rest Rate Derivatives 0.25% 0.25% 91 Day T Bill 0.015% - MIBOR 0.50% - Notes: 1. In case of calendar spread positions in futures contracts, extreme loss margin shall be levied on one third of the value of the open position of the far month futures contract. 2. In case of index options contracts that are deep out of the money (i.e., strikes out of the money by more than 10% from the previous day closing underlying price), the applicable Extreme Loss Margin shall be 3%. 3. In case of index option contracts with residual maturity of more than 9 months, the applicable Extreme Loss Margin shall be 5%. 4. In case of single stock options contracts that are deep out of the money (i.e., strikes out of the money by more than 30% from the....
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.... currently. The margin on consolidated crystallized obligations shall be released on completion of settlement. 1.3 Additional Margin for highly volatile stocks (i) For securities with intra-day price movement (maximum of [High-Low], [High-Previous Close], [Low-Previous Close]) of more than 10% in the underlying market for 3 or more days in last one month, the minimum total margins shall be equal to the maximum intra-day price movement of the security observed in the underlying market in last one month. The same shall be continued till monthly expiry date of derivative contracts which falls after completion of three months from date of levy. (ii) For securities with intra-day price movement (maximum of [High-Low], [High-Previous Close]....
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....ons of this circular in the Monthly Development Report. 6 This circular is issued in exercise of the powers conferred under Section 11(1) of the Securities and Exchange Board of India Act 1992, read with Section 10 of the Securities Contracts (Regulation) Act, 1956 to protect the interests of investors in securities and to promote the development of, and to regulate the securities market. 7 This circular is available on SEBI website at www.sebi.gov.in at "Legal Framework→Circulars". Yours faithfully (Amit Tandon) General Manager Market Regulation Department email: [email protected] Annexure A List of existing Circulars, inter alia, specifying Risk Management framework for Cash and Derivatives segments (except for Commodity Der....