Initial 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.

Extreme Loss Margin (ELM)

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

Extreme Loss Margin (ELM) is an additional initial-margin layer levied by Indian clearing corporations and exchanges on top of the scenario-based margin components (SPAN margin for derivatives, value-at-risk margin for cash equities) and exposure margin . ELM is calibrated by SEBI to cover statistically extreme adverse price moves that the scenario-based methodologies, however well-calibrated, can miss. Where SPAN’s price-scan range targets approximately 99 per cent confidence in covering daily price moves, ELM extends the margin requirement to cover the residual 1 per cent tail of more extreme moves.

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.