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TMI BlogCross Margin in Commodity Index Futures and its underlying constituent futures or its variantsX X X X Extracts X X X X X X X X Extracts X X X X ..... modity Index Futures and its underlying constituent futures or its variants 1. SEBI has prescribed norms, inter-alia, for providing margin benefit on spread positions in commodity futures contracts, vide various circulars. In order to improve the efficiency of the use of the margin capital by market participants, it has been decided to introduce cross margin benefit between Commodity Index future ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... member, as the case may be. This benefit in turn shall be passed on to the client. 2.2. Separate Accounts 2.2.1. Clients may be allowed to maintain two accounts with trading member/clearing member, viz arbitrage account (which holds fully replicated portfolio) and a non-arbitrage account. This is for the purpose of allowing clients to convert a partially replicated portfolio into a fully repli ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... tart of the tender period for the constituent futures of the index or its variants or start of the expiry day, whichever is earlier. 2.3.3. Clearing Corporations/Exchanges may introduce cross margin benefit, after back testing for adequacy of cross margin to cover Mark to Market losses (MTM) for a minimum period of six months. Initial margin after cross margin benefit should be able to cover MTM ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... ndices. The application shall be accompanied with the back testing data as mentioned at para 2.3.3. 4. 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. 5. This circular is available on ..... X X X X Extracts X X X X X X X X Extracts X X X X
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