Derivatives segment: SEBI launches new framework for intra-day margin calculation

Capital market regulator SEBI on Tuesday issued a framework for calculating the margin requirements to be considered for intra-day snapshots in the derivatives segment.

The new structure will take effect from August 1, the Securities and Exchange Board of India (SEBI) said in a circular.

“It has been decided that the margin requirements considered for intra-day snapshots in the derivatives segment (including product derivatives) will be calculated based on specific Beginning of the Day (BOD) margin parameters,” the regulator said.

This decision is based on representations from market participants and discussions with various stakeholders.

The BOD margin parameter will include all span margin parameters as well as Extreme Loss Margin (ELM) requirements.

SEBI has clarified that the change is only for verification of advance collection of margin from clients.

There will be no change in the client’s End of Day (EOD) margin obligation and collection procedure.

Also, there will be no change in the provisions regarding margin collection and reporting in the cash segment.

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

In July 2020, SEBI introduced a framework that required clearing corporations to send snapshots of client-based margin requirements to trading members or to know the intra-day margin requirements per client in each segment of clearing members.

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