To,
All Members,
This is in reference to ICCL Circular no.- 20241003-52 and SEBI Circular Ref. No: SEBI/HO/MRD/TPD-1/P/CIR/2024/132 dated October 01, 2024 on Measures to Strengthen Equity Index Derivatives Framework for Increased Investor Protection and Market Stability.
In accordance with the provisions of the above-mentioned circular:
1. On the day of options contracts expiry, to increase the tail risk coverage, an additional Extreme Loss Margin (ELM) of 2% shall be levied on short index options contracts.
2. The additional ELM of 2% would be applicable for all open short index options at the start of the day, as well on short index options contracts initiated during the day that are due for expiry on that day.
For Example:
If weekly expiry on an index contract is on 7th of the month and other weekly/monthly expiries on the index are on 14th, 21stand 28th then, for all the options contracts expiring on 7th, there would be an additional ELM of 2% on 7th.
In view of the above:
The current ELM report having the naming convention - ICCL_EDXELMDDMMYY will include all list of options with ELM percentage after considering the additional ELM of 2% to be levied on short index option contracts on the day of expiry.
The detail of the report is provided in the Annexure.
The above changes shall be applicable from November 20, 2024.
In case of any assistance/clarification, please feel free to reach out to us.
For and on behalf of Indian Clearing Corporation Ltd.
Mr. Sushant Majhi,
Chief Risk Officer
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Risk Department
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Email
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risk.iccl@icclindia.com / risk.monitoring@icclindia.com
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Contact No:
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+91-22-22725186/8699/8811
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