Cut-off Time for Determining Minimum Threshold of Margins to be Collected from Clients
Summary
This circular establishes a 5:00 PM cut-off time for determining minimum margin thresholds for commodity derivative contracts trading beyond this hour. It mandates that the Risk Parameter File generated at this cut-off be applied to clients' end-of-day portfolios for Initial Margin and Extreme Loss Margin calculations. The directive becomes effective from April 1, 2020, while clarifying that existing norms for margin computation by Clearing Corporations remain unchanged.
Text
For the purpose of determining minimum threshold of margins to be collected by members from their clients, cut off time shall be kept as 5:00 PM.
Risk Parameter File (RPF) to be generated at cut-off time shall be applied on clients’ EOD portfolio for the purpose of determining minimum threshold of margin to be collected from clients by members.
EOD client portfolio shall be valued at the half an hour weighted average trade price arrived at cut-off time stipulated above.
For commodity derivative contracts having trading till 5:00 PM, margin collection from clients shall be on EOD basis.
there shall not by any change in norms regarding margin computation and collection by the CC from its members.
This circular shall be effective from April 01, 2020.
This circular is issued in exercise of the powers conferred under Section 11(1) of the Securities and Exchange Board of India Act 1992, read with Section 10 of the Securities Contracts (Regulation) Act, 1956.
Source: SecMarx — Cut-off Time for Determining Minimum Threshold of Margins to be Collected from Clients. Verbatim text is public record; SecMarx structuring (linkage to applying orders) is cited to us.