Introduction of Futures and Options Contracts on BSE FOCUSED IT INDEX – Clearing & Settlement and Risk Management norms

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NOTICE Notice No. 20260508-39 Notice Date 08 May 2026 Category Settlement/RMS Segment General Department ICCL Subject Introduction of Futures and Options Contracts on BSE FOCUSED IT INDEX – Clearing & Settlement and Risk Management norms Attachments No Attachment All Market Participants, This is to inform members that pursuant to BSE Circular No. 20260415-34 dated April 15, 2026, concerning the introduction of Futures & Options contracts on the BSE Focused IT Index, the applicable clearing and settlement process and risk management norms for the said contracts shall be as detailed hereinbelow: Part 1 SETTLEMENT Part 2 MARGINS All other rules, regulations, norms, procedures and actions currently applicable for Futures & Options Segment shall continue to be applicable to these contracts. Members may refer to the consolidated master circular for Equity Derivatives Segment available on ICCL website under the Downloads section. For any further clarifications or operational assistance, members may contact their respective Relationship Managers or on any of the following contact numbers: Sr. No Query Type Coordinates 1 Risk Management +91-22-22725186/5059/8699 2 Derivatives Operations +91-22-22725776/5109/8682 3 ICCL Helpdesk +91-22-69158590/ 45720490/ 45720690 For and on behalf of Indian Clearing Corporation Limited Sandeep Kadam Vijayeta Gurao Deputy Vice President Deputy Vice President Part 1 SETTLEMENT 1.1. Settlement Period The pay-in and pay-out of daily mark to market settlements, premium settlement, final settlement of futures contracts and final exercise settlements of options contracts shall be affected in accordance with the settlement schedule issued by ICCL periodically. The Clearing Members should maintain clear balance of funds in their settlement account with their designated Clearing Bank towards their funds pay-in obligation at the scheduled pay-in time on the settlement day. The pay-out of funds shall be credited to the receiving Clearing member’s settlement account with their designated Clearing Bank. 1.2. Daily settlement The daily mark-to-market settlement and Premium Settlement would be settled in cash on T+1 day basis as per the timelines specified by ICCL. 1.3. Final Settlement The final settlement would be effected on T+1 day basis as per the timelines specified by ICCL. The final settlement date is T+1 day from the last trading day of the contract as specified by the Exchange. 1.4. Daily Settlement Price The Daily settlement price for futures & Options contracts shall be the closing price of such contracts on the trading day. The closing price for a futures contract shall be calculated on the basis of the last half an hour Volume weighted average price of such contract or such other price as may be decided by the relevant authority from time to time. 1.5. Final Settlement Price Final Settlement price will be the closing price of the relevant underlying Index on the last trading day of such contract, or such other price as may be decided by the relevant authority from time to time. Part 2 MARGINS 2.1 Initial Margins ICCL has adopted the Standard Portfolio Analysis of Risk (“SPAN”) methodology for the purpose of real time risk management. The Initial Margin requirement is based on a worst scenario loss of a portfolio of an individual client comprising his positions in all the options and futures contracts across various scenarios of price and volatility changes. The Initial Margin requirements shall be set to provide coverage of at least a 99% single-tailed confidence interval of the estimated distribution of future exposure over two days’ time horizon. The client-wise margins would be grossed across various clients at the Trading / Clearing Member level. The proprietary positions of the Trading / Clearing Member would be treated as that of a client (net basis). The margins levied to members shall be levied and collected in INR. The minimum Initial Margin* applicable is as follows: Sr. No. Particulars Minimum Initial Margin 1 BSE FOCUSED IT Index 9.30% *Or as defined by ICCL from time to time. 2.2 Price scan range The Price Scan Range ("PSR") is the probable price change over two days period. PSR would be specified by ICCL from time to time. The PSR parameter is referred to in standard deviation/ sigma (σ) terms. Sr. No. Particulars Price Scan Range 1 Index Products Higher of: PSR Sigma scaled up by square root of MPOR of 2 days 6 sigma x 1.414 Minimum Initial Margin scaled up by square root of MPOR of 2 days 9.30% In case of index option contracts with residual maturity of more than 9 months, the price scan range shall be based on 6σ, scaled up by square root of MPOR 2 days subject to at least 17.7% of the underlying price after considering scaling up. 2.3 Volatility scan range The Volatility Scan Range (“VSR”) is the amount by which the implied volatility is changed in each risk array scenario. The VSR is referred to in percentage terms. The VSR for is derived as the maximum of: • 25% of annualized EWMA Volatility • and • Minimum VSR% Product VSR Factor Minimum VSR Index Derivatives 25% 4% 2.4 Calendar Spread Margin ICCL provides calendar spread margin benefit wherein a position in one expiry is hedged by an offsetting position in a different maturity of the same underlying. The margin for options is calculated based on delta of the portfolio in each month. A portfolio consisting of a near month option with a delta of 100 and a far month option with a delta of –100 bears a spread charge equal to the spread charge for a portfolio which is long 100 near month futures and short 100 far month futures. Portfolio pertains to a portfolio consisting of futures and /or options contract on a particular underlying. Option positions of different expiry, irrespective of their strike prices, shall also attract calendar spread margin. The benefit for a calendar spread continues till Expiry-1 Day of the near month contract. The calendar-spread margin is charged in addition to the worst-scenario loss of the portfolio. Product Calendar Spread Margin Index Derivatives 1.75% of the far month contract 2.5 Short Option Minimum Charge There is no separate short option minimum charge apart from the margin parameters specified. 2.6 Net Option Value The Net Option Value (“NOV”) is the current market value of the option times the number of options (positive for long options and negative for short options) in the portfolio. The Net Option Value would be added to the Liquid Net Worth of the clearing member i.e. the value of short options will be deducted from the liquid net worth and the value of long options will be added thereto. Thus mark-to-market gains and losses on option positions are adjusted against the available liquid net worth of the Clearing Member. Since the options are premium style, there will be no mark-to-market settlement of profit or loss. 2.7 Intraday Current Exposure Margin Payable crystalized obligations based on the closed-out futures positions and payable/receivable premium at client level. On intraday basis the net payable/receivable amount at client level shall be calculated using: • Premium payable/receivable • Futures crystallized Profit or Loss (calculated based on weighted average prices of trades executed). 2.8 Extreme Loss margins Clearing members shall be subject to exposure margins in addition to initial margins. The applicable exposure margin shall be as specified hereunder or as may be specified by the relevant authority from time to time. The Exposure margins rates are as under: Sr. No Particulars Extreme Loss Margin Index Future Index Option 1 Minimum ELM 2.00% 2.00% 2 OTM ELM (OTM by more than 10%) N/A 3.00% 3 Residual Maturity (Maturity > 9 months) N/A 5.00% 2.9 Cross Margin The cross-margining benefit across Equity Cash segment and Equity Derivatives segments is provided to all categories of market participants. I. Positions eligible for cross-margin benefit: • Index futures position and constituent stock futures position in derivatives segment • Index futures position in derivatives segment and constituent stock position in cash A basket of positions in index constituent stock/stock futures, which is a complete replica of the index in the ratio specified by ICCL, is eligible for cross margining benefit. The number of units is changed only in case of change in share capital of the constituent stock due to corporate action or issue of additional share capital or change in the constituents of the index. A spread margin of 25% of the total applicable margin on the eligible off-setting positions, as mentioned above, is levied in the respective cash and derivative segments in same expiry and 35% of the applicable upfront margins on the offsetting positions in different expiry or such other amount as specified by the Clearing Corporation from time to time. ***