Derivatives Margin on WebNotes

Exposure margin (additional margin on Indian derivatives)

Sun, 17 May 2026 00:00:00 +0000

Exposure margin is the second component of initial margin on Indian derivatives positions, levied by the clearing corporations of the National Stock Exchange (NSCCL ), the Bombay Stock Exchange (ICCL ), and the Multi Commodity Exchange (MCXCCL) on top of SPAN margin . Where SPAN margin is computed via a scenario-array methodology to capture the worst-case loss in a defined set of price and volatility moves, exposure margin is a simpler fixed-percentage of contract notional value, designed to provide an additional cushion beyond what the SPAN scenarios capture.

Peak margin penalty (SEBI peak-margin reporting regime)

Sun, 17 May 2026 00:00:00 +0000

The peak margin penalty is the financial consequence of failing to maintain the peak intraday margin requirement on Indian derivatives positions under the SEBI peak margin reporting regime introduced in November 2020. The regime requires brokers to ensure their clients have the highest of four random intraday margin snapshots available at all times, replacing the earlier framework that allowed brokers to settle margin at end-of-day. Where the collected margin falls short of the peak required margin at any of the four snapshot times, the clearing corporation levies a peak margin penalty on the broker, which the broker in turn passes through to the client whose position caused the shortfall.

SPAN margin (Standard Portfolio Analysis of Risk)

Sun, 17 May 2026 00:00:00 +0000

SPAN margin (Standard Portfolio Analysis of Risk) is the methodology used by the National Securities Clearing Corporation Limited (NSCCL , the clearing corporation of the National Stock Exchange ), the Indian Clearing Corporation Limited (ICCL , the BSE clearing corporation), and the Multi Commodity Exchange Clearing Corporation Limited (MCXCCL) to compute the initial margin required on derivatives positions in Indian markets. SPAN is the algorithmic core of the Indian derivatives margin regime: it computes, across a SEBI-approved set of price and volatility scenarios, the worst-case one-day loss a portfolio could experience, and that worst-case figure becomes the initial margin requirement.