Review of Margin Framework for Cash and Derivatives segments (except for Commodity Derivatives segment)

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....rket. With a view to keeping up pace with the changing market 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 ....

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....nsidering scaling up. The price scan range thus arrived shall be further scaled up by √3, if the impact cost of 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 ....

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....der: Product Extreme Loss Margin Index derivatives 2% of the notional value Single stock derivatives 3.5% of the notional value Currency and interest rate derivatives Product ELM: Futures ELM: Options   USDINR 0.50% 0.75%   EURINR 0.15% 0.75%   GBPINR 0.25% 0.75%   JPYINR 0.35% 0.75%   EURUSD 0.50% 0.50%   GBPUSD 0.50% 0.50%   USDJPY 0.50% 0.50%   Interest Rate Derivatives 0.25% 0.25%   91 Day T Bill 0.015% -   MIBOR 0.50% -     Notes: 1. In case of calendar....

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.... obligation margin for the client. End-of-day basis At the end of day, the payable/receivable amount at client level shall be calculated using: 1. Futures mark to market profit/loss to be settled 2. Options premium payable/receivable 3. Options exercise/assignment for expired contracts 4. Futures final settlement for expired contracts If the overall amount at client level is payable, such amount shall be the end-of-day consolidated crystallized obligation margin for the client. The margin on consolidated crystallized obligations shall replace the net buy premium, intraday crystallized losses, assignment margin and futures final settlement margin levied currently. The margin on consolidated crystallized obligations....

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....agement is primarily a responsibility of Clearing Corporations (CCs) and the framework prescribed by SEBI is minimum framework. CCs are allowed to be more conservative as per their own perception of risk. 4 The provisions of this Circular shall come into effect from May 01, 2020. 5 Stock Exchanges and Clearing Corporations are directed to: a) take necessary steps to put in place systems for implementation of the circular, including necessary amendments to the relevant bye-laws, rules and regulations; b) bring the provisions of this circular to the notice of their members and also disseminate the same on their websites; and c) communicate to SEBI, the status of implementation of the provisions of this circula....