Date: 22nd June’2006
Members are
hereby informed that the Exchange has received a circular No
MRD/DoP/SE/Cir-6/2006 dated 16th June’2006 from SEBI. The said
circular is reproduced below:-
Quote”
GENERAL MANAGER
Market Regulation Department
E-mail: sundaresanvs@sebi.gov.in
MRD/DoP/SE/Cir-
6 /2006
June
16, 2006
The Executive
Directors/Managing Directors/Administrators
of All Stock Exchanges
Dear Sir / Madam,
Sub:-
Margining in Cash Market.
1. This is further to SEBI Circular
No.MRD/DoP/SE/Cir-07/2005 dated February 23, 2005 on the comprehensive Risk
Management Framework for the cash market.
2. Currently in the cash market, VaR
margin rate is calculated at the end of the trading day and then applied to the
open positions of the subsequent trading day.
However, in the derivative market, the risk parameter files for
computation of the margins are updated intra-day.
3. With a view to ensure market safety and
protect the interest of investors and also to further align the risk management
framework across the cash and derivative markets, it has been decided that the
risk arrays should be updated intra-day in the cash market as has been done in
the derivative market. The applicable VaR margin rates shall be updated atleast
5 times in a day, which may be carried out by taking the closing price of the
previous day at the start of trading and the prices at 11:00 a.m., 12:30 p.m.,
2:00 p.m. and at the end of the trading session.
Continued to page ..2...
4. While BSE and NSE shall implement the
aforesaid methodology with effect from July 10, 2006, the other stock exchanges
shall implement the same with effect from August 28, 2006. The stock exchanges are advised to note that
from the date of the said implementation, no stock exchange shall permit
trading activity unless it is in a position to implement the aforesaid
methodology.
5. The Stock Exchanges are also advised to
;
5.1. make necessary amendments to the
relevant bye-laws, rules and regulations for the implementation of the above
decision immediately.
5.2. bring the provisions of this circular
to the notice of the member brokers/clearing members of the Exchange and also
to disseminate the same on the website.
5.3. communicate to SEBI, the status of the
implementation of the provisions of this circular in Section II, item no. 13 of
the Monthly Development Report for the month of July, 2006.
6. This circular is being issued in
exercise of powers conferred under Section 11 (1) of the Securities and
Exchange Board of India Act, 1992, to protect the interests of investors in
securities and to promote the development of, and to regulate the securities
market.
Yours faithfully,
V S
SUNDARESAN
“Unquote.
Members are advised to note and ensure compliance with the
provisions of the aforesaid circular upon implementation of the same at this
Exchange.
Secretary