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TMI BlogReview of Margin Framework for Cash and Derivatives segments (except for Commodity Derivatives segment)X X X X Extracts X X X X X X X X Extracts X X X X ..... h 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 6 , subject to minimum of 9% Group II Based on 6 , 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 market indices and do not include ETFs which track sectoral indices, the VaR margin rate shall be 6 sigma, subject to minimum of 6%. 1.1.2 Extreme Loss Margin The Extreme Loss Margin shall be 3.5% for any stock and 2% for ETFs that track broad based market indices and do not include ETFs which track sectoral indices. 1.2 Margin framework for Derivatives (Index Derivatives, Single Stock Derivatives, Currency and Interest Rate Derivatives) 1.2.1 Volatility calculation The value of , the parameter which determines how ra ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... 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 annualized EWMA volatility subject to minimum 10% Currency and interest rate derivatives 25% of annualized EWMA volatility subject to minimum 3% 1.2.4 Calendar Spread Charge The Calendar Spread Charge in respect of various products shall be as follows: Product Calendar Spread Charge Index derivatives 1.75% of the far month contract Single stock derivatives 2.2% of the far month contract Currency and interest rate derivatives ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... 1.2.6 Extreme Loss Margin The Extreme Loss Margin rates shall be as under: 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 ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... h amount shall be the intraday consolidated crystallized 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 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 margi ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... 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 Derivatives segment) 1. IES/DC/CIR-4/99 dated July 28, 1999 2. IES/DC/CIR-5/00 dated December 11, 2000 3. SMDRP/DC/CIR-7/01 dated June 20, 2001 4. SMDRP/DC/CIR-10/01 dated November 02, 2001 5. SMDRP/DC/CIR-13/02 dated December 18, 2002 6. SEBI/SMDRP/DC/Cir-16/2003/04/19 dated April 19, 2003 7. SEBI/SMDRP/DC/Cir-/2004/01/05 dated January 05, 2004 8. MRD/DoP/SE/Cir-07/2005 dated February 23, 2005 9. MRD/DoP/SE/Cir-6/2006 dated June 16, 2006 10. SEBI/DNPD/Cir-34/2008 dated January 11, 2008 11. MRD/DoP/SE/Cir-10/2008 dated April 17, 2008 12. SEBI/DNPD/Cir- 38 /2008 dated August 06, 2008 13. SEBI/DNPD/Cir-41/2008 dated October 15, 2008 14. MRD/DoP/SE/Cir-08/2009 dated July 27, 2009 1 ..... X X X X Extracts X X X X X X X X Extracts X X X X
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