Dated: 26th May 2005

 

NOTICE

 

 

Sub: Comprehensive Risk Management Framework for the Cash Market

 

Further to the Notice dated 25th May 2005 of the Exchange on the above subject, members are hereby informed that the computation of VaR Margin in respect of national securities shall be modified as under. This is as per directions of SEBI vide their letter No. MRD/SE/SK/4121/2005, dated 25th May 2005.

 

National securities ie., securities under Group I category of NSE/BSE which are traded at this Exchange shall be categorized as Less Liquid Securities (Group II) and VaR Margin applicable for that category as per SEBI Circular No. MRD/DoP/SE/Cir-07/2005, dated 23rd February 2005 shall be computed on such securities.

 

Accordingly, the applicable VaR margin on such securities shall be higher of 1.73 times Scrip VaR and 5.20 times Index VaR. (where scrip VaR is higher of NSE/BSE scrip VaR and Index VaR is higher of NSE/BSE Index VaR).

 

The contents of SEBI letter MRD/SE/SK/4121/2005, dated 25th May 2005 are reproduced below:

 

Quote

General Manager

Market Regulation Department

MRD/SE/SK/4121/2005

 

25th May 2005

The Administrator

Calcutta Stock Exchange

7, Lyons Range

Calcutta 700 001

 

Dear Sir,

 

Sub: Comprehensive Risk Management Framework for the Cash Market Categorization, levy of VaR margin and Extreme Loss Margin (ELM)

 

1.       Please refer to your letter dated May 13, 2005 on the captioned subject.

2.       As regards the Categorization, levy of VaR margin and Extreme Loss Margin (ELM) in respect of National Securites and Local Securities, we advise you as under:

 

National Securities

 

Categorization, levy of VaR margin and Extreme Loss Margin (ELM)

You are advised to strictly comply with the provisions of Clause 3.3 (d) of Annexure to the circular dated February 23, 2005

 

Local Securities

 

Categorization, levy of VaR margin and Extreme Loss Margin (ELM)

We agree to your proposal to treat these securities as Group III and levy margins accordingly. As regards imposition of ELM on the local securities, we advise you to calculate ELM strictly in accordance with the circular dated February 23, 2005 or impose a flat rate of 10% as proposed by you, whichever is higher.

 

  1. Please acknowledge receipt and confirm compliance.

 

Yours faithfully,

 

 

V.S. Sundaresan.

 

Unquote

 

 

 

Secretary