Risk containment in the Rolling settlement

X X   X X   Extracts   X X   X X

→ Full Text of the Document

X X   X X   Extracts   X X   X X

..... rolling settlement. Pursuant to the discussions, the following decisions were taken: 1. Margins based on VaR a. For the scrips in the compulsory rolling settlement, the 99% VaR based margin system would be introduced with effect from July 02, 2001 in the following manner: * For the additional 251 scrips which will be included in the compulsory rolling settlement with effect from July 02, 2001 and 15 scrips (out of 163 scrips already in compulsory rolling settlement) having the facility of CNS,CFRS, ALBRS, BLESS, exchanges will calculate scrip wise VaR and index based VaR as indicated below and apply the higher of the two as the margin percentage: * Scrip wise daily volatility calculated using the same exponentially weighted moving .....

X X   X X   Extracts   X X   X X

→ Full Text of the Document

X X   X X   Extracts   X X   X X

..... downloadable format. c. Other stock exchanges could make their own VaR calculations based on BSE Sensex and S&P CNX Nifty or freely adopt the VaR calculations available on the sites of BSE and NSE. It will be mandatory for BSE/NSE to provide real time Sensex/Nifty data free. It will also be mandatory for all the stock exchanges to have real time information of Sensex/Nifty data either from the respective exchange or through a vendor. d. The VaR based margin would be capped at 100% e. The VaR based margin calculated by an exchange at the end of the day would be used for the purpose of margin calculations for the transactions carried out next day. f. The VaR based margin would be collected on T+1 basis. g. In addition to the margin cal .....

X X   X X   Extracts   X X   X X

→ Full Text of the Document

X X   X X   Extracts   X X   X X

..... margin by cheque shall be completely done away with. 3. Gross margins in the cash market. Presently margins are calculated on a gross basis across clients in the ALBM/MCFS/BLESS. This is being extended to the entire market. As this step would involve certain modifications in the system software of the exchanges, the gross margining for the entire market would come into effect from September 03, 2001. The exchanges are advised to make suitable changes in their system software to implement the system based margin calculation on a gross basis across clients in the cash market. 4. Responsibility of the Stock Exchanges The introduction of the rolling settlement across a large number of scrips which would cover majority of the trading volume, .....

X X   X X   Extracts   X X   X X

→ Full Text of the Document

X X   X X   Extracts   X X   X X