MANU/SDER/0003/2021

Ministry : Securities and Exchange Board of India

Department/Board : Commodity Derivatives Market Regulation Department

Circular No. : SEBI/HO/CDMRD/DRMP/CIR/P/2021/20

Date : 23.02.2021

Notification/ Circulars Referred : Circular CIR/CDMRD/DRMP/01/2015 dated October 01, 2015 MANU/SDER/0004/2015;SEBI/HO/CDMRD/DNPMP/CIR/P/2019/83 dated July 26, 2019 MANU/SDER/0006/2019;Circular SEBI/HO/CDMRD/DRMP/ CIR/P/2020/176 dated September 21, 2020 MANU/SDER/0011/2020

Citing Reference:
Circular CIR/CDMRD/DRMP/01/2015 dated October 01, 2015 MANU/SDER/0004/2015  Referred

SEBI/HO/CDMRD/DNPMP/CIR/P/2019/83 dated July 26, 2019 MANU/SDER/0006/2019  Referred

Circular SEBI/HO/CDMRD/DRMP/ CIR/P/2020/176 dated September 21, 2020 MANU/SDER/0011/2020  Referred

To,

The Managing Directors / Chief Executive Officers,
All Clearing Corporations having Commodity Derivatives Segment

Sir / Madam,

Pre-Expiry Margin on commodities under Alternate Risk Management Framework

1. SEBI vide Circular CIR/CDMRD/DRMP/01/2015 dated October 01, 2015 and SEBI/HO/CDMRD/DNPMP/CIR/P/2019/83 dated July 26, 2019, inter alia, had prescribed norms related to Pre-Expiry Margins.

2. In light of an unprecedented event of negative final settlement price in the crude oil futures markets in the recent past, SEBI vide circular SEBI/HO/CDMRD/DRMP/ CIR/P/2020/176 dated September 21, 2020 had prescribed an Alternate Risk Management Framework (ARMF) that would be applicable in case of near zero and / or negative prices for any underlying commodities/futures. Pursuant to clause 3.2 of the aforesaid circular, Clearing Corporations had to identify commodities susceptible to the possibility of near zero and negative prices