9911796707
TMI BlogRisk containment measures, position limits and the broad eligibility criteria of Stocks and Index on which futures and options could be introduced.X X X X Extracts X X X X X X X X Extracts X X X X ..... ead with section 10 of the Securities Contracts(regulation) Act 1956, to protect the interests of investors in securities and to promote the development of, and to regulate the securities market. This circular is in continuation of SEBI Circular No. IES/DC/CIR-4/99 dated July 28, 1999, Circular No. IES/DC/CIR-5/00 dated December 11, 2000, Circular No. SMDRP/DC/Cir-7/01 dated June 20, 2001, SEBI Circular No. SMDRP/DC/Cir-10/01 dated November 2, 2001, Circular No. SMDRP/DC/CIR 13/02 dated December 18, 2002, Circular No SEBI/SMDRP/DC/CIR-16/2003/04/19 dated April 19, 2003 and SEBI/SMDRP/DC/Cir-18/2004/01/05 dated January 5, 2004 for exchange traded Index Futures, Index Option, Stock Option, Stock Futures and Interest Rate Derivative Contr ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... eviation. The market wide position limit in the stock shall not be less than ₹ 50 crores (Rupees Fifty crores). Since market wide position limit for a stock is computed at the end of every month, the Exchange shall ensure that stocks comply with this criterion before introduction of new contracts. Further, the market wide position limit (which is in number of shares) shall be valued taking the closing prices of stocks in the underlying cash market on the date of expiry of contract in the month. The procedure for introducing and dropping stocks on which option and future contracts are traded shall continue to be in the manner specified in Circular No. SMDRP/DC/CIR-13/02 dated December 18, 2002. 2. The Exchange may consider i ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... . T+1. If the member opts for payment of MTM by T+1, then correspondingly higher initial margin shall be collected, in the manner specified vide SEBI circular Ref. No. IES/DC/CIR-4/99 dated July 28, 1999 and circular Ref. No. SMDRP/DC/CIR- 10/01 dated November 2, 2001, to cover the potential for losses over the time elapsed in the collection of MTM. 2. It is clarified that for stocks which have a mean value of impact cost greater than 1%, in addition to the price scanning range, the minimum initial margin for single stock futures contracts and the short option minimum charge for stock option contracts shall also be scaled up by square root of three. 3. Liquid assets of Clearing Member Circular No-IES/DC/CIR-4/99 dated July 28, ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... eptable equity securities shall be updated on the basis of trading and mean impact cost on the 15th of each month. When a security is dropped from the list of acceptable equity securities, the existing deposits of that security shall continue to be counted towards liquid assets till the end of the month. b. Units of all mutual funds may also be accepted as the securities component of liquid assets. The unit shall be valued on the basis of its Net Asset Value (NAV) after applying a hair cut equivalent to the VAR of the units NAV and any exit load charged by the mutual fund. The valuation or the marking to market of such units shall be carried out on a daily basis. iii) The valuation / marking to market of all securities, including debt ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... market wide open interest for any scrip exceeds 95% of the market wide position limit for that scrip. If so, the Exchange shall take note of open position of all client/ TMs as at the end of that day in that scrip, and from next day onwards the members/ client shall trade only to decrease their positions through offsetting positions. While the Exchange will take this action only at end of day, they shall disclose real time information about the market wide open interest as a percentage of the market wide position limits. b. At the end of each day during which the ban on fresh positions is in force for any scrip, the Exchange shall test whether any member or client has increased his existing positions or has created a new position in tha ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... or - 15% of the total open interest in the market in equity index option contracts. This limit would be applicable on open positions in all option contracts on a particular underlying index. b. Trading Member Position limits in equity index futures contracts: The trading member position limits in equity index futures contracts shall be higher of: - ₹ 250 Crore or - 15% of the total open interest in the market in equity index futures contracts. This limit would be applicable on open positions in all futures contracts on a particular underlying index. iii) Trading Member position limits in exchange traded interest rate derivative contracts Clause II( F) of Circular No-SEBI/SMDRP/DC/Cir-16/2003/04/19 d ..... X X X X Extracts X X X X X X X X Extracts X X X X
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