Description

NSE Clearing Limited outlines the clearing, settlement, and risk management framework for newly introduced Gold 10 grams Futures contracts in the Commodity Derivatives Segment, including margin requirements and settlement price methodology.

Summary

NSE Clearing Limited (NCL) has issued operational details for the clearing, settlement, and risk management of Futures contracts on Gold 10 grams in the Commodity Derivatives Segment of NSE. This circular follows the earlier introduction circular NSE/COM/72915 dated February 20, 2026, and specifies the complete framework under which NCL will provide clearing and settlement services for this product.

Key Points

  • NSE Clearing Limited will offer clearing, settlement, and risk management services for Gold 10 grams Futures on NSEIL’s Commodity Derivatives Segment.
  • The last day of trading is the last calendar day of the contract expiry month; if that day is a holiday, the preceding working day applies.
  • Daily Settlement Price (DSP) is the closing price based on the last half-hour weighted average price, subject to a minimum of 10 trades in the last half hour, or the weighted average of the last 10 trades of the day.
  • Final Settlement Price (FSP) is based on the Ahmedabad Spot price for Gold (10 grams) of 995 purity, converted to 999 purity using the formula: Spot price (995 purity) × 999/995, polled on the last day of expiry by approximately 5:00 PM.
  • In case of non-availability of the polled spot price due to emergency closure of the physical market, NSE will determine the FSP in consultation with SEBI.
  • Initial Margin is computed using the SPAN® system (or equivalent), covering at least 99% VaR with a minimum floor percentage as prescribed by SEBI.
  • Spread Margins: Minimum 25% of initial margin levied on each leg of a spread; maximum benefit capped at 75%; benefit applies only to the first six expiring contracts; benefit withdrawn entirely by the start of the tender period or expiry day, whichever is earlier.
  • Intraday Crystallized Losses (ICMTM) will be calculated and levied for trades that result in closing out of open positions.
  • Extreme Loss Margin (ELM) of 1% on gross open positions for futures is levied on clearing members in addition to initial margins.

Regulatory Changes

  • Introduction of a new clearing and settlement framework specific to Gold 10 grams Futures, supplementing the earlier product introduction circular (NSE/COM/72915, February 20, 2026).
  • FSP determination methodology tied to Ahmedabad Spot price with a defined purity conversion formula (995 to 999 purity).
  • Spread margin benefit rules and withdrawal timelines formalized for this contract.

Compliance Requirements

  • Members must note and comply with the clearing, settlement, and risk management procedures as outlined in Annexure A of this circular.
  • Clearing members are subject to both Initial Margin (SPAN-based, minimum 99% VaR) and Extreme Loss Margin (1% on gross open positions).
  • Members must ensure intraday crystallized loss obligations are met as computed by NSE Clearing.
  • For queries on risk management, clearing, and settlement, members must contact NSE Clearing Limited at 1800 2660 050 (Option 2) or support@nsccl.co.in.

Important Dates

  • Circular Date: February 25, 2026
  • Reference Circular (Product Introduction): NSE/COM/72915, February 20, 2026
  • Last Day of Trading: Last calendar day of the contract expiry month (or preceding working day if holiday)
  • Final Settlement Price Polling Time: Approximately 5:00 PM on the last day of contract expiry

Impact Assessment

This circular operationalizes the recently introduced Gold 10 grams Futures contract by establishing the full risk and settlement framework. The use of SPAN-based margining with a 99% VaR floor and a 1% ELM is consistent with existing commodity derivatives practices. The FSP methodology anchored to Ahmedabad Spot prices with a purity conversion provides transparency and market linkage. Commodity derivatives members will need to update their systems and processes to accommodate this new contract. The circular does not affect equity or debt segment participants and has no direct impact on listed equities.

Impact Justification

Operational circular establishing risk and settlement framework for a new commodity futures product; relevant to commodity derivatives members but limited to a specific new contract.