Additional Margins in Equity Cash Segment



As a risk containment measure, in line with Point 3.5 Additional Margins of the ICCL Consolidated Circular for the Equity Cash Segment, ICCL proposes to impose Additional Margins on certain securities witnessing high intra-day volatility.


Ø Additional Margin shall be levied on Equity Derivative Securities when the following conditions are met:

a.    Intra-day price movement as compared to the previous day’s close price is more than 20%


b.    Close to close price movement is less than 20%.


Ø Intra-day price movement shall be computed as the change from previous day’s close price to the high/low price of the day, whichever is higher.


Ø An Additional Margin of 50% of the intra-day price movement above 20% shall be levied as Additional Margin.


Ø The Additional Margin shall be specified as a percentage and shall be added to Total Margin% (VaR +ELM). (Details shall be included in the daily VAR file).


Ø Additional Margins levied shall be continued for 15 calendar days, provided no further intra-day volatility is observed.


Ø Additional margins levied shall be reviewed periodically.


The above shall be effective from Thursday, September 27, 2018 based on data from September 21, 2018.


For and on behalf of Indian Clearing Corporation Ltd.


Piyush Chourasia

Chief Risk Officer & Head Strategy

Risk Department


[email protected]

Contact No:


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