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Sebi: Derivatives segments: Sebi issues framework to calculate margin requirements for intra-day snapshots

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Sebi: Derivatives segments: Sebi issues framework to calculate margin requirements for intra-day snapshots


New Delhi: Capital markets regulator Sebi on Tuesday issued a framework for calculating margin requirements to be considered for the intra-day snapshots in the derivatives segments. The new framework will come into effect from August 1, the Securities and Exchange Board of India (Sebi ) said in a circular.

“It has been decided that the margin requirements to be considered for the intra-day snapshots, in derivatives segments (including commodity derivatives), shall be calculated based on the fixed Beginning of Day (BOD) margin parameters,” the regulator said.

The decision has been taken after considering representations received from market participants and based on deliberations with various stakeholders.

The BOD margin parameters would include all SPAN margin parameters as well as Extreme Loss Margin (ELM) requirements.

Sebi clarified that the change is only for the purpose of verification of upfront collection of margins from clients.

There will be no change in methodology of determination and collection of End of Day (EOD) margin obligation of the client.

Also, there will be no change in the provisions relating to collection and reporting of margins in cash segment.

The margin parameter applicable for collection of margin obligation by clearing corporations will continue to be updated intra-day, as per the circular.

In July 2020, Sebi came out with a framework that required clearing corporations to send snapshots of client-wise margin requirement to trading members or clearing members for them to know the intra-day margin requirement per client in each segment.

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