SEBI vide circular dated September 07, 2016 and dated June 20, 2019 prescribed mechanism for levying penalties on short-collection/non-collection of Margins.
SEBI has received feedback from the market participants that members currently report margins collected from their clients to clearing corporations (CCs) vis-à-vis the End of Day (EOD) Risk Parameters File (RPF) generated by the CC. In case of commodity derivative products that are traded beyond 5:00 PM, members face difficulty in collecting Initial Margin (IM)/Extreme Loss Margin from their respective clients. This is because final margin requirements are crystallized at EOD, which is beyond banking hours.
In the light of the above, the following has been decided for commodity derivative contracts, having trading hours beyond 5:00 PM:-
a. 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.
b. 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.
c. Similarly for the purpose of determining minimum threshold of Extreme Loss Margin (ELM) to be collected from clients, 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.
Further it is also clarified that there shall not by any change in norms regarding margin computation and collection by the CC from its members.
This shall be effective from April 01, 2020.
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