9911796707
TMI BlogIntroduction of future contracts on Corporate Bond IndicesX X X X Extracts X X X X X X X X Extracts X X X X ..... and recommendations of Secondary Market Advisory Committee of SEBI, it has been decided to permit Stock Exchanges to introduce derivative contracts on indices of corporate debt securities rated AA+ and above. To start with, the Stock Exchanges are permitted to launch future contracts on corporate bond indices. 3. The details regarding index composition, contract specifications, position limits, risk management framework, etc. for introduction of future contracts on corporate bond indices are given at Annexure A . 4. The stock exchanges desirous of introducing such contracts shall submit a detailed proposal to SEBI for approval, inter alia, providing details relating to underlying corporate bond index, the index methodology, ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... ndex should have adequate liquidity and diversification at issuer level, as decided by the stock exchanges. iii. Constituents of the index shall be periodically reviewed (at least on half-yearly basis). iv. Constituents of the index shall be aggregated at issuer level for the purpose of determining exposure limits for single issuer, group, sector, etc. v. Single issuer shall not have more than 15% weight in the index. vi. There shall be at least 8 issuers in the index. vii. The index shall not have more than 25% weight in a particular group of issuers [excluding securities issued by Public Sector Undertakings (PSUs), Public Financial Institutions (PFIs) and Public Sector Banks (PSBs)]. viii. The index sha ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... y for the contract shall be the last Thursday of the expiry cycle. If any expiry day is a trading holiday, then the expiry or last trading day shall be the previous trading day. 7. Daily Settlement Price The daily settlement price shall be the last half an hour volume weighted average price of the contract. In the absence of last half an hour trading, theoretical price shall be considered. The methodology used for the theoretical price computation shall be published on the stock exchange website. 8. Final Settlement Price Final settlement price for the derivative contracts shall be the closing price of the underlying index on the expiry day or last trading day of such derivative contracts. 9. Settlem ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... ny contract is executed at the highest or lowest price of the band, stock exchanges may expand the price band for that contract by 0.5% in that direction after 30 minutes after taking into account market trend. However, no more than 2 expansions in the price band shall be allowed within a day. 13. Risk Management Framework The clearing corporations shall define appropriate risk management framework (including margining methodology) and the clearing and settlement mechanism etc. for the product, and submit the same to SEBI for approval. The initial margin requirement shall be based on a worst case loss of a portfolio of an individual client across various scenarios of price changes. The various scenarios of price changes would be ..... X X X X Extracts X X X X X X X X Extracts X X X X
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