18th
November 2009
Members are hereby informed that the
Exchange has received a Circular from SEBI Ref. No. ISD/AML/CIR-1/2009 dated September 01, 2009. The contents of the said Circular are given
here under for information of the members.
Deputy General Manager
Market Regulation
Department-Division of Policy
MRD/DoP/SE/Cir-08/2009
July 27, 2009
The Executive Directors/Managing Directors
of all Stock Exchanges
Dear Sir / Madam,
Sub: Comprehensive Risk
Management Framework for the cash market
1. SEBI vide circular no. MRD/DoP/SE/Cir-07/2005
dated February 23, 2005 has specified the risk management framework for the
cash market.
2. Pursuant to the recommendations made by the
Secondary Market Advisory
Committee of SEBI at its meeting held on June 30,
2009, it has been decided that in case of a buy transaction in cash market, VaR
margins, Extreme loss margins and mark to market losses together shall not
exceed the purchase value of the transaction. Further, in case of a sale
transaction in cash market, the existing practice shall continue viz., VaR
margins and Extreme loss margins together shall not exceed the sale value of
the transaction and mark to market losses shall also be levied.
3. The Stock Exchanges are also advised to:
a. make necessary amendments to the relevant
bye-laws, rules and regulations for the implementation of the above decision.
b. 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.
c. Make software changes, test the software and
remove any glitches in its
operation well before the commencement date to
avoid any problems in the live
environment.
d. communicate to SEBI, the status of the
implementation of the provisions of this circular in the Monthly Development
Report.
4. 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.
5. This circular shall come into force from August
17, 2009.
Yours faithfully,
Harini Balaji
Members are reuqested to note the aforesaid guideline of SEBI and act accordingly.
DGM(Surveillance)