NOTICE
CSE/Notices/SEBI/2012/N4
May 18, 2012
Re: Comprehensive
Risk Management Framework for the cash market
Members of
the Exchange are hereby informed that the Exchange has received a Circular from
SEBI vide Ref. No MRD/DoP/SE/Cir-13/2008, dated May 05, 2008 regarding the above mentioned
subjects. The contents of the said Circular are reproduced hereunder for
information and necessary action of the Members.
Quote: -
MRD/DoP/SE/Cir-13/2008 May
05, 2008 The Executive Directors/Managing Directors of all Stock
Exchanges Dear Sir / Madam, Sub: Comprehensive Risk Management Framework for the
cash market 1.
This is in
continuation to circulars MRD/DoP/SE/Cir-07/2005 dated February 23, 2005, MRD/DoP/SE/Cir-06/2008 dated
March 19, 2008
and MRD/DoP/SE/Cir-10/2008 dated
April 17, 2008 on the comprehensive risk management for the cash market and
margining of institutional trades in the cash market. 2.
In order to
improve the efficiency of the use of the margin capital by market participants
and as an initial step towards cross margining across cash and derivatives
markets, margins shall be levied on cash market positions which have
off-setting stock futures positions in the derivatives market as given below: a.
Cross margin
facility will be available initially for institutional trades. b.
Cross margin
facility will be available to positions in cash market having corresponding
off-setting positions in the stock futures market. c.
For
positions in the cash market which have corresponding off-setting positions in
the stock futures, VaR margin shall not be levied on the cash market position
to the extent of the off-setting stock futures market position. d.
Extreme Loss
Margin and Market to Market Margin shall continue to be levied on the entire
cash market position e.
Near month
stock futures positions shall not be considered for cross margin benefit three
days prior to expiry (as currently being done in the case of calendar spread.) f.
There will
be no change in the margins on the F&O positions. 3.
The Stock
Exchanges are advised to: a.
put in place
the adequate systems and issue the necessary guidelines for implementing the
above decision. b.
make
necessary amendments to the relevant bye-laws, rules and regulations for the
implementation of the above decision. c.
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. 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. Yours faithfully, S V MURALI DHAR RAO
Unquote:
Members
are requested to take note of the aforesaid guidelines/circulars of SEBI and
act accordingly.
M.A.V.
Raju
Deputy
General Manager