N O T I C E
Dated:
17th January 2019
Trading Members are hereby
informed that the Exchange has received a Circular from NSE Vide Ref. No. NCL/CMPT/38879,
Dated September 12,2018 regarding Additional Surveillance Margin in Equity Derivatives
Segment. The contents of the said circular are reproduced hereunder for
information of trading members.
Quote: -
CIRCULAR
|
Department : FUTURES & OPTIONS |
|
|
Download Ref No:
NCL/CMPT/38879 |
Date : September 12,
2018 |
|
Circular Ref. No:
115/2018 |
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All Members,
Sub: Additional
Surveillance Margin in Equity Derivatives Segment
We refer to our circular reference no. 105/2018 (Download Ref No:
NCL/CMPT/38768) dated September 01, 2018 regarding Additional Surveillance
Margin in Equity Derivatives Segment and discussion in the joint meeting
between SEBI, Exchanges and Clearing Corporations today.
Currently the Initial Margin and Exposure Margin in Index Options cover
risk for around 6% change in underlying indices while Initial Margin and
Exposure Margin in Index Futures cover risk for around 8% change in underlying
indices. Similarly Initial Margin and Exposure Margin for single stock
derivatives cover risk for around 12.50% change in underlying stocks.
Instead of adding the Additional Surveillance Margin as specified in
the abovementioned circular dated September 01, 2018 to the Exposure Margins,
Price Scan Range (PSR) used for computation of Initial Margins shall be
amended, in steps, to increase the coverage of risk arising out of change in
underlying Index / stocks to cover risk for 10% change in underlying indices
and 17.50% change in underlying stocks.
The PSR will be amended to reflect the additional change in underlying
as per the table and schedule given below:-
|
Effective date of
Implementation |
14-Sep-18* |
28-Sep-18 |
26-Oct-18 |
30-Nov-18 |
|
Additional Price
change coverage for Index Options |
1.00% |
2.00% |
3.00% |
4.00% |
|
Revised PSR for
Index Options |
Higher of 3 sigma or 4.00%
of underlying value |
Higher of 3 sigma or 5.00%
of underlying value |
Higher of 3 sigma or 6.00%
of underlying value |
Higher of 3 sigma or 7.00%
of underlying value |
|
Additional Price
change coverage for Index Futures |
0.50% |
1.00% |
1.50% |
2.00% |
|
Revised PSR for
Index Futures |
Higher of 3 sigma or 5.50%
of underlying value |
Higher of 3 sigma or 6.00%
of underlying value |
Higher of 3 sigma or 6.50%
of underlying value |
Higher of 3 sigma or 7.00%
of underlying value |
|
Additional Price
change coverage for Stocks Futures and Options |
1.25% |
2.50% |
3.75% |
5.00% |
|
Revised PSR for
Stocks |
Higher of 3.5 sigma or 8.75%
of underlying value |
Higher of 3.5 sigma or
10.00% of underlying value |
Higher of 3.5 sigma or
11.25% of underlying value |
Higher of 3.5 sigma or
12.50% of underlying value |
* The additional amount shall be computed daily at end of day from
September 14, 2018 till September 19, 2018 and shall be blocked from clearing
member’s collateral on T+1 basis. The revised PSR shall be made applicable in
the SPAN© Risk parameter file from begin day of September 21, 2018.
Clearing/trading members shall be provided a separate file in /letters/dnld folders on the extranet for additional amount to be
levied from September 14, 2018 till September 19, 2018.
Further, the revised format for daily file for Exposure Margin as
specified vide our circular no 113/2018 (Download Reference no NCL/CMPT/38849)
dated September 07, 2018 shall not be applicable.
Members are requested to take note of the above.
For and on behalf
of
NSE Clearing
Limited
(Formerly known
as National Securities Clearing Corporation Limited)
Huzefa Mahuvawala
Vice President
Unquote: -
As per discussion in the joint meeting between SEBI, Exchanges and
Clearing Corporations Additional Surveillance Margin in Equity Derivatives
Segment which was incorporated in the Price Scan Range shall be withdrawn with effect
from January 21, 2019.
Trading Members are requested to take note of the Circulars of NSE No. NCL/CMPT/38879 dated September 12, 2018 and NCL/CMPT/39767 dated December 26, 2018 and act accordingly.
Dhiraj Chakraboty
Deputy General Manager