Description

NSE Clearing announces temporary changes to cross margin weightages and spread margins for NIFTY Index due to HINDUNILVR demerger, effective December 4-9, 2025.

Summary

NSE Clearing Limited has issued instructions regarding adjustments to cross margin weightages due to the demerger of Hindustan Unilever Limited (HINDUNILVR). The circular outlines a phased approach where HINDUNILVR will be temporarily excluded from cross margin computation, followed by reinstatement with revised weightages based on post-demerger pricing. Additionally, spread margins for NIFTY Index portfolios will be temporarily increased from 25% to 30% during the transition period.

Key Points

  • HINDUNILVR to be excluded from cross margin computation from December 4, 2025 end of day
  • Weightages for other index constituents remain unchanged during exclusion period
  • Revised weightages will be published based on HINDUNILVR closing price on December 5, 2025
  • New weightages become effective from December 9, 2025 begin day
  • Spread margins for NIFTY Index portfolios increased from 25% to 30% during transition
  • Members must sync portfolios per revised weightages by December 8, 2025 end of day
  • This follows earlier circulars NSE/FAOP/71509 (Nov 27, 2025) and NCL/CMPT/71549 (Nov 28, 2025)

Regulatory Changes

Temporary modification to cross margin computation methodology to accommodate corporate action. The spread margin increase from 25% to 30% for NIFTY Index portfolios represents a temporary risk adjustment during the demerger transition period.

Compliance Requirements

For All Members:

  • Sync portfolios according to revised weightages by December 8, 2025 end of day
  • Ensure systems accommodate temporary exclusion of HINDUNILVR from cross margin calculations
  • Prepare for revised weightage implementation from December 9, 2025 begin day
  • Account for increased spread margins (30% vs 25%) for NIFTY Index positions during December 4-8, 2025

Contact for Queries:

Important Dates

  • December 3, 2025: Circular issued
  • December 4, 2025 (end of day): HINDUNILVR excluded from cross margin computation; spread margin increased to 30%
  • December 5, 2025: Closing price of HINDUNILVR used to calculate revised weightages
  • December 8, 2025 (end of day): Deadline for members to sync portfolios per revised weightages; last day of 30% spread margin
  • December 9, 2025 (begin day): Revised weightages become effective

Impact Assessment

Market Impact: High - affects all participants with NIFTY Index derivatives positions and cross-margin portfolios containing HINDUNILVR. The temporary exclusion creates a 5-day window where cross margin benefits related to HINDUNILVR positions will not be available.

Operational Impact: High - members must update their risk management systems twice (once for exclusion, once for revised weightages) within a short timeframe. The 20% increase in spread margins (from 25% to 30%) will temporarily increase margin requirements for NIFTY Index portfolios, potentially affecting liquidity and position management.

Risk Management: The increased spread margin serves as a prudent measure to account for heightened uncertainty during the demerger process. Members should ensure adequate collateral availability during the transition period.

Impact Justification

Requires immediate action by members to sync portfolios and affects margin calculations for NIFTY Index positions during critical demerger period