Description

BSE announces changes in cross margin weightages and spread margins due to Tata Motors demerger, effective October 13-16, 2025.

Summary

BSE Indian Clearing Corporation Ltd. announces adjustments to cross margin weightages following the demerger of Tata Motors Limited (TATAMOTORS). The circular outlines a phased implementation: exclusion of TATAMOTORS from cross margin benefit calculations, revision of index weightages, and temporary increase in spread margins for specific indices.

Key Points

  • TATAMOTORS will be excluded from cross margin benefit constituents list at end of day October 13, 2025
  • Weightages for other index constituents remain unchanged initially
  • Revised weightages will be calculated based on TATAMOTORS closing price on October 14, 2025
  • New weightages become effective from begin day October 16, 2025
  • Spread margins temporarily increased from 25% to 30% for BSX, SX50, SX40 & NIFTY Index
  • This circular references previous circular no. 20251007-50 dated October 07, 2025

Regulatory Changes

Cross margin calculation methodology temporarily modified to accommodate the corporate action. The constituent list for cross margin benefit computation will be adjusted to remove TATAMOTORS, followed by reweighting of remaining constituents.

Compliance Requirements

  • Members must sync portfolios as per revised weightages by end of day October 15, 2025
  • Portfolio rebalancing required to align with new cross margin weightage structure
  • Risk management adjustments to account for increased spread margins during transition period

Important Dates

  • October 13, 2025 (EOD): TATAMOTORS excluded from cross margin constituents; spread margin increase to 30% begins
  • October 14, 2025: Closing price used for revised weightage calculation
  • October 15, 2025 (EOD): Deadline for members to sync portfolios; spread margin increase ends
  • October 16, 2025 (Begin Day): Revised weightages become effective; spread margins return to 25%

Impact Assessment

Market Impact: Significant operational impact on derivatives market participants holding positions in affected indices. The temporary 5% increase in spread margins (from 25% to 30%) increases capital requirements for three trading days.

Operational Impact: Members must recalculate and adjust portfolio allocations within a tight two-day window (October 14-15). Cross margin benefits will be temporarily reduced during the transition period.

Risk Impact: Increased spread margins provide additional buffer during the corporate action transition but require higher margin funding. Indices affected include BSX, SX50, SX40, and NIFTY.

Contact: Risk Department at risk.iccl@icclindia.com or risk.monitoring@icclindia.com, Phone: +91-22-22725186/8699/8811

Impact Justification

Requires immediate portfolio rebalancing by members, temporary increase in spread margins from 25% to 30%, and impacts cross margin calculations across multiple indices