SEBI : Index based market wide circuit breaker in compulsory rolling settlement

SECURITIES AND EXCHANGE BOARD OF INDIA
SECONDARY MARKET DEPARTMENT
Mittal Court, B Wing, First Floor,
224, Nariman Point, Mumbai 400 021

The President/Executive Director/Managing Director
All the Stock Exchanges

Dear Sir,

Sub:-Index based market wide circuit breaker in compulsory rolling settlement

It has been decided to implement with effect from July 02, 2001 an index based market wide circuit breaker system, which will apply at three stages of the index movement either way at 10%, 15% and 20%. These circuit breakers will bring about a coordinated trading halt in all equity and equity derivative markets nationwide.

1.  The market wide circuit breakers would be triggered by movement of either BSE Sensex or the NSE S&P CNX Nifty whichever is breached earlier.

• In case of a 10% movement of either of these indices, there would be a 1 hour market halt if the movement takes place before 1 pm. In case the movement takes place at or after 1 pm but before 2:30 pm there will be a trading halt for ½ hour. In case the movement takes place at or after 2:30 pm there will be no trading halt at the 10% level and the market will continue trading.
• In case of a 15% movement of either index, there will be a 2 hour halt if the movement takes place before 1 pm. If the 15% trigger is reached on or after 1 pm but before 2 pm, there will be a 1 hour halt. If the 15% trigger is reached on or after 2 pm the trading will halt for the remainder of the day.
• In case of a 20% movement of the index, the trading will be halted for the remainder of the day.

2. These percentages will be translated into absolute points of index variations on a quarterly basis and at the end of each quarter these absolute points of index variations would be revised and be applicable for the next quarter. The absolute points would be calculated based on the closing level of the index on the last day of trading in a quarter and rounded off to the nearest 25 points in the case of the BSE Sensex and the nearest 10 points in the case of the S&P CNX Nifty.

3. It will be mandatory for BSE/NSE to provide real time Sensex/Nifty data free to all the exchanges. 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.

4.  Scrip wise price bands

in addition to the market wide index based circuit filters, it has been decided that there would be individual scrip wise price bands of 20% either way, for all scrips in the compulsory rolling settlement except for the scrips on which derivatives products are available or scrips included in indices on which derivatives products are available.

5.While in the rest of the scrips that are not in compulsory rolling settlement, the existing price bands would continue to apply.

Stock Exchanges are advised to take steps to implement the above decisions.

Yours faithfully,
P. K. BINDLISH
Deputy General Manager
Secondary Market Depository,
Research & Publications Department