To,

All Members,

SEBI vide circular no. SEBI/HO/MRD/TPD-1/P/CIR/2024/132 dated October 01, 2014, has issued Measures to Strengthen Equity Index Derivatives Framework for Increased Investor Protection and Market Stability.

To implement the provisions provided in the point no 5.2 of the abovementioned circular for “Removal of calendar spread treatment on the Expiry Day”, following changes shall be made applicable:

      1.       Change in SPAN file:

a.       A new tag called ‘scanTiers’ shall be added in .spn file.

                                           i.            For Index symbols, on the day of expiry there shall be two tiers under ‘scanTiers’ tag.

·         Tier 1 shall contain the nearest expiry (T Date) for both starting and ending period.

·         Tier 2 shall contain the next expiry and the farthest expiry respectively in the starting and ending period.

                                       ii.            On non-expiry days, for Index symbols there shall be one tier containing the nearest and farthest expiry respectively in the starting and ending period.

                                      iii.            For stocks, only one tier will be applicable on all days containing the nearest and farthest expiry respectively in the starting and ending period.

b.       On expiry day for an Index, tag ‘dspread’ shall not contain any combination of expiries with the nearest expiry date (T Date).

c.       Sample revised SPAN file is attached for reference.

      2.       Changes for Extreme Loss Margin:

In case of calendar spread positions in future contracts, the Index futures positions in expiry day contracts shall not be granted calendar spread treatment on the day of expiry.

Such index positions in expiry day contracts shall not be considered from start of expiry day whereby no calendar spread benefit in Extreme Loss Margins shall be available on such index futures positions.

This circular shall come into effect from February 01, 2025.

For and on behalf of Indian Clearing Corporation Ltd.

Mr. Sandeep Kadam

Asst. General Manager