To,
All Market Participants,
This is in reference to the SEBI circular no. SEBI/HO/MRD/TPD-1/P/CIR/2024/132 on “Measures to Strengthen Equity Index Derivatives Framework for Increased Investor Protection and Market Stability”.
As per Point 5.1 of the SEBI circular, upfront margin collection for option buyers will include net options premium payable at the client level. While intraday margin snapshots are already being generated to capture SPAN and Extreme Loss Margins (ELM), net options premium payable will now also be included for enhanced margin reporting. The same will be captured in intraday snapshots generated by Clearing Corporations (CCs) for verifying upfront margin collection and imposition of penalties in the event of non-compliance.
Key updates & Summary:
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Sr. No.
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Particulars
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Details
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1
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Generation and dissemination of intraday margin snapshots
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No Change. Four snapshots are already generated at client/Trading member/custody participant level which are disseminated to Trading member/Clearing member and are considered for Peak margin computation.
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2
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Minimum Margin as per Intraday snapshots
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SPAN + ELM is currently captured. Net options premium payable will now be added to this calculation.
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3
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Peak margins computed for reporting in MGTM / MRCM files
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Peak margin obligation will be calculated based on the highest of SPAN, ELM and net options premium payable from the four intraday snapshots.
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4
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Changes in values for margins in the standardized Unified Distilled File Formats (UDiFF)
(Margin_ICCL_FO_0_CM/TM_<memcode>_<Trade date>_P_hhmm.csv)
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“PrmAmt” will be added to the current values of Intraday Margin to be collected in Intraday Margin Reports for Trading /Clearing members under ISO tag “EndOfDayRqrmntRptd”
Total Margin (EndOfDayRqrmntRptd )= Total of SPAN + ELM + Net Option Premium Payable.
UDIFF Catalogue is enclosed as Annexure.
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5
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UDiFF Margin file format
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No Change in the file format.
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6
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End of Day Reporting files
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No Change in the file format
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7
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Short Allocation Files (Intraday and End of Day)
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No Change in the file format
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The aforementioned changes will apply solely to client margin reporting and short allocation monitoring. The procedures for monitoring real-time margins in risk reduction mode (90% utilization) and margin violations will remain unchanged.
The above provisions will be implemented w.e.f 10th February 2025.
Members are requested to take note of the above & ensure compliance.
For further clarifications, please contact the below coordinates.
For & on behalf of ICCL
Akshat Chaturvedi Vijayeta Gurao
Head of Operation Assistant General Manager
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