What is as Safety relay and what makes it safe?

why is a safety relay important and do I really need one? And what is there importance?

It's there to increase the safety of the machine. Where I work we have some textiles machines that were designed in the late 60's / early 70's which are a series of spiked rollers. Originally there were no guards and no emergency stops on a machine, so imagine if your sleeve got caught on one of those rollers.
There should be a risk assessment that takes the machine from that state, to one that has the minimum practical risk to the operator. That machine is now fully enclosed inside guards that can only be opened after a key is released from a timed delay when the machine stops, so the chances of accessing it while running are absolutely minimal.

A safety relay is designed to take as many issues into consideration as possible. There's two channels, so if one fails the machine still stops. Contacts should be normally closed, so if a wire breaks the machine stops. Ideally, the output should energise two contactors/relays in series with a feedback loop so if one doesn't operate correctly then the machine will stop.

A safety relay is only as good as the risk assessment on the machine. Many VFDs have a safe torque off (STO) input to act as part of the safety circuit, but if that machine has a lot of inertia and takes ten minutes to stop, then STO probably isn't the best option as that machine could still be in motion when accessed.
 
It's important because it's an independent layer of safety that is there to stop you leaving the safe envelope of a machine or to provide you with a quick way to make a system safe. Bear in mind as well that for it to be safe, it has to be assessed, designed properly, tested regularly as per design, not modified and maintained... it's not just dropping one in and call it a day. Furthermore, in some extremely rare situations activating the emergency stop relay will actually put you in an unsafe condition. I've only ever seen one of these examples though.

Can you get hurt from a system/machine even in the most weird ways' If yes, then you do need a safety system that may or may not be based on a safety relay.
 

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