Risk containment in the Rolling settlement

X X   X X   Extracts   X X   X X

→ Full Text of the Document

X X   X X   Extracts   X X   X X

..... among other things the modalities for the implementation of risk containment system based on Value At Risk (VaR) margin in the rolling settlement. Pursuant to the discussions, the following decisions were taken: 1. Margins based on VaR a. For the scrips in the compulsory rolling settlement, the 99% VaR based margin system would be introduced with effect from July 02, 2001 in the following manner: For the additional 251 scrips which will be included in the compulsory rolling settlement with effect from July 02, 2001 and 15 scrips (out of 163 scrips already in compulsory rolling settlement) having the facility of CNS,CFRS, ALBRS, BLESS, exchanges will calculate scrip wise VaR and index based .....

X X   X X   Extracts   X X   X X

→ Full Text of the Document

X X   X X   Extracts   X X   X X

..... re, additional 12% margin would be imposed to address 1% of the cases. b. The VaR calculations will be based either on BSE Sensex or S P CNX Nifty and would be disseminated by the BSE and NSE daily on .their websites by 6:30 pm in a downloadable format. c. Other stock exchanges could make their own VaR calculations based on BSE Sensex and S P CNX Nifty or freely adopt the VaR calculations available on the sites of BSE and NSE. It will be mandatory for BSE/NSE to provide real time Sensex/Nifty data free. It will also be mandatory for all the stock exchanges to have real time information of Sensex/Nifty data either from the respective exchange or through a vendor. d. The VaR based margin would be capped at 100% .....

X X   X X   Extracts   X X   X X

→ Full Text of the Document

X X   X X   Extracts   X X   X X

..... ttance of the margins system, the clearing banks of the exchanges should have connectivity with the clearing house/ corporations. It is again being reiterated that the exchanges should put in place a system of direct debit of the members settlement accounts for the purposes of margin payment and the practice of payment of margin by cheque shall be completely done away with. 3. Gross margins in the cash market. Presently margins are calculated on a gross basis across clients in the ALBM/MCFS/BLESS. This is being extended to the entire market. As this step would involve certain modifications in the system software of the exchanges, the gross margining for the entire market would come into effect from September 03, 2001. T .....

X X   X X   Extracts   X X   X X

→ Full Text of the Document

X X   X X   Extracts   X X   X X