To All Members,
Sub: Exposure margin of security as per Market Wide Position Limit (“MWPL”) - Equity Derivatives Segment
In the joint meeting of Exchanges, Clearing Corporations and SEBI it has been decided that markets should be alerted at different levels of MWPL utilization so that investors can take an informed decision on whether to hold or square off their existing positions well before regulatory /surveillance actions sets in.
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Combined MWPL utilization at End of Day across Exchanges
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Applicable Exposure margin of the security
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60%
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No additional Margins
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70% to less than 75%
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To be increased by 50% of the normal applicable Exposure margin from next trading day
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75% to less than 80%
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To be increased by 100% of the normal applicable Exposure margin from next trading day
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80% to less than 85%
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To be increased by 150% of the normal applicable Exposure margin from next trading day
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85% to less than 90%
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To be increased by 200% of the normal applicable Exposure margin from next trading day
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90% to less than 95%
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To be increased by 300% of the normal applicable Exposure margin from next trading day
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Alert shall be provided once the open interest in a security exceeds each level of MWPL limit as mentioned above.
The change in exposure margin shall be applicable from the next trading day and shall be applicable till the open interest in the security reduces to below 70% of MWPL at end of the day.
It has been decided that the policy shall be effective from the day after the expiry of February 2018 contracts.
For and on behalf of Indian Clearing Corporation Limited
Piyush Chourasia
Chief Risk Officer & Head-Strategy
For any queries, please contact:-
Email: risk.monitoring@icclindia.com
Landline: +91-22-22728811
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