Description

NSE Clearing updates margin requirements and volatility categories for commodity derivatives, effective October 1, 2025.

Summary

NSE Clearing Limited has revised the margin framework for commodity derivatives segment, establishing new volatility categories and minimum margin requirements for various commodities. The circular categorizes commodities into Low, Medium, and High volatility groups with corresponding minimum Initial Margin (IM) percentages ranging from 6% to 10%.

Key Points

  • Gold and Lead classified as Low volatility with 6% minimum IM
  • Copper and Aluminium classified as Medium volatility with 8% minimum IM
  • Silver, Natural Gas, Crude Oil, Nickel, Zinc, and ELECMBL classified as High volatility with 10% minimum IM
  • Special provisions for Crude Oil (33% minimum IM, SOMM, and VSR) and Natural Gas (13% minimum IM and SOMM, 6% VSR)
  • Minimum MPOR (Margin Period of Risk) ranges from 2-3 days based on volatility category
  • VSR (Volatility Scan Range) for options ranges from 4-6% based on category

Regulatory Changes

  • Modified margin framework based on SEBI circulars dated January 27, 2020 and January 11, 2021
  • Commodity categorization updated based on volatility assessment
  • Minimum IM percentages will not be scaled up by MPOR
  • For options on goods, MPOR shall be minimum 3 days or MPOR of corresponding futures contracts, whichever is higher

Compliance Requirements

  • All members must implement the new margin framework
  • Existing margins including Extreme Loss Margin, ICMTM Margin, Tender Period Margin, Delivery Period Margin, Concentration Margin, Additional Margin and Special Margin continue to apply
  • Members must ensure systems are updated to reflect new margin parameters

Important Dates

  • Effective Date: October 1, 2025 (beginning of day)
  • Circular Date: September 5, 2025

Impact Assessment

The revised margin framework will impact commodity derivatives traders through adjusted margin requirements based on volatility categorization. Higher volatility commodities will require increased margins, potentially affecting position sizes and capital allocation. The special provisions for Crude Oil and Natural Gas reflect their unique risk characteristics and market volatility patterns.

Impact Justification

Updates margin requirements for commodity derivatives trading, affecting risk parameters but not introducing major structural changes