N O T I C E
Dated : 29th May 2018
Trading Members are hereby informed that the Exchange has received a
Circular from SEBI Vide Ref. No. SEBI/HO/MRD/DRMNP/CIR/P/2018/75, Dated May 02,
2018 regarding
Additional Risk management measures for
derivatives segment .The contents of the said circular are
reproduced hereunder for information of trading members.
Quote
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CIRCULAR
SEBI/HO/MRD/DRMNP/CIR/P/2018/75 May 02, 2018
All recognized Stock
Exchanges (except Commodity Derivatives Exchanges) and recognized Clearing
Corporations, including those in IFSC
Dear Sir/Madam ,
Additional Risk management measures for derivatives
segment
Based on the feedback received from the Clearing Corporations and the
recommendations of the Risk Management Review Committee (RMRC) of SEBI, the
following additional risk management measures are required to be complied with
and implemented by the stock exchanges/clearing corporations for derivatives
segment.
Margin Collection Requirement
2. For the Equity Derivatives segment, the client margins which are
required to be compulsorily collected and reported to
the Exchange/Clearing Corporation, as the case may be, by the Clearing members
/ Trading members shall include initial margin, exposure margin/extreme loss
margin, calendar spread margin and mark to market settlements.
Margin Enforcement Requirement
3. With reference to SEBI circular CIR/DNPD/7/2011 dated August 10,
2011 captioned “Short-collection/Non-collection of client margins (Derivatives
segments)”, it is clarified that the ‘margins’, for both Equity Derivatives
Segment and Currency Derivatives Segment, shall include margins as specified in
Para 2 of this circular, mark to market settlements or any other margin as
prescribed by the Exchange/Clearing Corporation to be collected by Clearing
Members from their clients (i.e. Custodial Participants and Trading Members -
for their proprietary positions) and by Trading Members from their clients.
Computation of Liquid Net worth
4. Further to SEBI circular IES/DC/Cir-4-99 dated 28th July, 1999, it
is clarified that for the equity derivatives segment, the liquid net worth
shall be arrived at by deducting initial margin and the exposure margin/extreme
loss margin from the liquid assets of the clearing member.
5. The provisions of this circular shall come into effect from June 01,
2018.
6. Stock Exchanges and Clearing corporations are directed to:
a) take necessary
steps to put in place systems for implementation of the circular, including
necessary amendments to the relevant bye-laws, rules and regulations;
b) bring the
provisions of this circular to the notice of their members and also disseminate
the same on their websites; and
c) communicate to SEBI, the status of
implementation of the provisions of this circular in the Monthly Report.
7. This circular is being issued in exercise of powers conferred under
Section 11 (1) of the Securities and Exchange Board of India Act, 1992 to
protect the interests
of investors in securities and to promote the development of, and to regulate
the securities market.
Yours faithfully
(Bithin
Mahanta)
Deputy General
Manager
Market Regulation
Department
Email: bithinm@sebi.gov.in
Trading Members are requested to take note of the aforesaid guidelines of
SEBI and act accordingly.
Dhiraj Chakraboty
Deputy General Manager