SEBI Cut-off Time for generation of last RPF for client’s margin collection purpose and modification in framework

CIRCULAR

SEBI/HO/CDMRD/CDMRD_DRM/P/CIR/2021/689

December 16,2021

To

The Managing Directors / Chief Executive Officers

Of All Clearing Corporations having Commodity Derivatives Segment

Sir / Madam,

Sub: Cut-off Time for generation of last Risk Parameter File(RPF) for client’s margin collection  purpose and modification  in  framework  to  enable verification of upfront  collection of margins from clients in  commodity derivatives segment

1. Reserve Bank of India (RBI) in its ‘Statement on Developmental and Regulatory Policies’ dated October 09, 2020 had announced  that  the Real Time Gross Settlement System (RTGS)will be available round the clock on all days of the year from December  2020.The National Electronic Funds Transfer (NEFT) system is also made available round the clock since December 2019 by RBI.   

2. SEBI vide Circular no. SEBI/HO/CDMRD/DRMP/CIR/P/2019/149 dated November 29, 2019 had mandated that the cut off  time for the  purpose of determining minimum threshold of margins (Initial Margin/Extreme Loss Margin) to be collected  by Members from their clients shall be 5:00 PM for commodity derivative contracts having  trading  hours beyond  5:00 PM due  to the limitations with availability of banking channels beyond 5:00 PM.

3. As both RTGS and NEFT facilities are now  functional round  the clock on all days, SEBI Circular no. SEBI/HO/CDMRD/DRMP/CIR/P/2019/149dated November 29,  2019 stands with drawn. Consequently, the Risk Parameter Files  currently used  by the Clearing Corporations  for  collecting margins from the Members shall also be used  for  generating  margin  obligations from  the clients throughout the trading hours in the commodity derivatives segment.

4. Accordingly, in the framework prescribed for enabling verification of upfront collection of margins from clients vide SEBI Circular no. SEBI/HO/MRD2/DCAP/CIR/P/2020/127 dated July 20, 2020, para 2 of clause (i) of Annexure to the circular is modified as under:

“Further, for commodity derivatives segment, clearing corporations shall send an  additional  minimum  two  snapshots  for  commodity  derivative contracts which are traded till 9:00 PM and additional minimum three snapshots for the commodity   derivatives   contracts   which   are   traded   till   11:30/11:55 PM. Margins/EOD margins shall be determined as per the relevant Risk Parameter Files.”

5.The circular shall be effective from January 15, 2022.

6.This circular is issued in exercise of the 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.

7. This circular is available on SEBI website at www.sebi.gov.in.

Yours faithfully,

Priyanka Mahapatr

Deputy General Manager                                        

Division of Risk Management Commodity

Derivatives Market Regulation Department

priyankam@sebi.gov.in