SECURITIES AND EXCHANGE BOARD OF INDIA
& SURVEILLANCE DEPARTMENT
Mittal Court, A Wing, Gr. Floor,
224, Nariman Point, Mumbai 400 021
The Managing Director / Executive Director,
The National Stock Exchange Of India Ltd, The Stock Exchange, Mumbai.
Sub: Daily reports for trading and settlement of derivative trades.You are requested to submit a market activity report and a initial margin & mark to market settlement collection report, pertaining to the transactions on the Derivative Segment, on a daily basis, in the enclosed format.
The market activity report shall be submitted at the end of each trading day by 5:00 p.m., and the initial margin & mark to market settlement collection report for the day shall be submitted before trading commences on the next day, latest by 10:00 a.m. The market activity report shall be submitted by the Derivative Segment and the initial margin & mark to market settlement collection report shall be submitted by the Clearing House of the Derivative Segment.
You are requested submit the reports to the office of the Sr.Executive Director, IES with a copy to the Division Chief, SEBI Derivative Cell.
DAILY MARKET ACTIVITY REPORT
Price Movements in the Index Futures Contracts in the following format –
|Contract Series||Open Price||High Price||Low Price||Close price||Volume (in number of contracts)||Volume (in Rs.Cr)||Open Interest (in number of Contracts)||Open Interest (in Rs. Cr )||% Change in open interest over previous day (in number of contracts)|
Information of any exceptional activity or event in the day indicating causes of significant variation in the contract prices.
INITIAL MARGIN & MARK TO MARKET SETTLEMENT COLLECTION REPORT
1.99 % VaR and initial margin collected –
|Contract series||Open VaR %||High VaR % & Time||Low VaR %& Time||Close VaR %||Initial Margin % charged||Initial Margin(in Rs. Cr)|
1.Details of collection of Mark to Market Settlement (MTM) liabilities in the following format-
|Contract Series||Open Interest at the beginning of day ( number of contracts)||Closing price of previous day||Open interest at the end of the day (number of contracts)||Closing price at the end of the day||Total MTM liability for the day. (Rs. Cr)||Total MTM collected before start of trading. (Rs. Cr)||Shortages if any (Rs. Cr)|
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