BSE Ltd.
BSE Ltd.
03/10/2026 | Press release | Distributed by Public on 03/10/2026 02:14
Review of Margin Framework for Commodity Derivatives Segment
NOTICES
| Notice No. | 20260310-8 | Notice Date | 10 Mar 2026 | |||
| Category | Settlement/RMS | Segment | Commodity Derivatives | |||
| Subject | Review of Margin Framework for Commodity Derivatives Segment | |||||
| Content | ||||||
To,
All Members/ Participants, <_o3a_p>
This is with reference to SEBI circular No. SEBI/HO/CDMRD/DRMP/CIR/P/2020/15dated January 27, 2020, SEBI circular no SEBI/HO/CDMRD/DRMP/CIR/P/2021/08dated January 11, 2021 and in modification of ICCL Circular No. 20250909-5 dated September 05, 2025, ICCL has reviewed the categorization of the commodities based on guidelines stipulated by SEBI vide aforesaid circular. <_o3a_p>
The applicable minimum Initial Margin % (IM), Short Option Minimum Margin % (SOMM), minimum MPOR and minimum Volatility Scan Range (VSR)of the commodities and their variants areas follows: <_o3a_p>
|
Commodity<_o3a_p> |
Commodity Type<_o3a_p> |
Volatility Category<_o3a_p> |
Applicable Minimum IM %<_o3a_p> |
Short Option Minimum Margin % (SOMM)<_o3a_p> |
Applicable Minimum MPOR<_o3a_p> |
Applicable Minimum VSR (%)<_o3a_p> |
|
Brent Crude^<_o3a_p> |
Non- Agri<_o3a_p> |
High<_o3a_p> |
10%<_o3a_p> |
10%<_o3a_p> |
3<_o3a_p> |
6%<_o3a_p> |
|
WTI Crude^<_o3a_p> |
Non- Agri<_o3a_p> |
High<_o3a_p> |
10%<_o3a_p> |
10%<_o3a_p> |
3<_o3a_p> |
6%<_o3a_p> |
|
Gold<_o3a_p> |
Non- Agri<_o3a_p> |
Medium<_o3a_p> |
8%<_o3a_p> |
8%<_o3a_p> |
2<_o3a_p> |
5%<_o3a_p> |
|
Silver**<_o3a_p> |
Non- Agri<_o3a_p> |
High<_o3a_p> |
10%<_o3a_p> |
10%<_o3a_p> |
3<_o3a_p> |
6%<_o3a_p> |
<_o3a_p>
^ As per the lead exchange's revised risk management framework, WTI Crude Oil & Brent Crude Oil contracts will now carry a Minimum Initial Margin of 33%, a SOMM of 33%, and a VSR of 33%.<_o3a_p>
** As per the lead exchange's revised risk management framework, Silver contracts will now carry a Minimum Initial Margin of 11.50%, a SOMM of 11.50%, and a VSR of 6%. <_o3a_p>
<_o3a_p>
Note:
- Minimum IM % mentioned in the above table shall not be scaled up by MPOR. <_o3a_p>
- In case of Option contracts, margin period of risk (MPOR) shall be at least equal to two days or MPOR of corresponding futures contracts, whichever is higher.<_o3a_p>
- The margins levied on seller of the options shall be higher of SOMM as prescribed in the above table or VaR scaled up by MPOR of respective commodity.
- All other margins inter alia Extreme Loss Margin, Crystallized Loss Margin, Tender Period Margin, Delivery Period Margin, Concentration Margin, Additional Margin, Additional Lean period margin and Special Margin as currently applicable shall continue.
The provisions of this circular shall be applicable from begin of day on April 01, 2026.<_o3a_p>
|
For and on behalf of ICCL<_o3a_p> |
|
<_o3a_p> Sushant Majhi<_o3a_p> Chief Risk Officer<_o3a_p> <_o3a_p> |
|
Risk Department<_o3a_p> |
|
|
Email<_o3a_p> |
[email protected]<_o3a_p> |
|
Contact No:<_o3a_p> |
+91-022-2272 8811 / 022-2272 8614<_o3a_p> |
<_o3a_p>
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