## Comment on Policy on settlement of compulsory delivery derivative contracts — Update Oct 2019

We understand that the margin requirement increases to 2x of SPAN + Exposure on Expiry minus 2 days.

Does this include the margin benefit for taking a covered position? Say margin on a naked Kotak CE sold is Rs 1.5 lakhs and it would increase to Rs 3 lakhs on Expiry – 2 days. Similarly in a covered position, Kotak CE short (1300) and CE long (1340), the margin (including cover benefit) is Rs 35k and it would increase to Rs 70k. Is this understanding right or would it be:

50% of notional contract for the long position (50% * 400 * 1340) + 2x of normal margin (SPAN + Exposure) which is (2 x 1.5 lakhs) 3 lakhs on short position. This would aggregate to Rs 5.6 lakhs.

Are you able to share an illustration of margin requirement at end of day, each on Tuesday and Wednesday of expiry week.