Securities and Exchange Board of India
Deputy General Manager
Market Regulation Department – Policy
Email:-sundaresanvs@sebi.gov.in
SEBI/MRD/SE/AT/47/03
December 30, 2003
The Managing Director/ Executive Directors/Administrators
Of all the Stock Exchanges
Dear Sir/Madam,
Sub:- T+2 rolling settlement – Cash Market – Risk Management
This is in continuation of our circular no. SMD/Policy/Cir-9/2003 dated March 11, 2003, on “Risk Management for T+2 rolling settlement.” In partial modification of the aforesaid circular, the Stock Exchanges are advised to comply with the following provisions regarding collection of VaR based margin.
VaR based margin
The VaR based margin shall be collected on an upfront basis at the time of trade (instead of T+1 day).
The VaR based margin shall be collected /adjusted against the additional capital /collateral deposited by the member in the form as specified in circular No. SEBI/SMD/SE/Cir-22/2003/11/06 dated June 11, 2003.
The margin so collected may be released along with the pay-in.
Implementation The aforesaid provisions shall be implemented after the software changes have been made by the stock exchanges which is likely to take about 6 to 8 weeks.
The other provisions of the circular No. SMD/Policy/Cir-9/2003 dated March 11, 2003 shall remain unchanged.
The stock exchanges are directed to :
This circular is being issued in exercise of powers conferred by section 11 (1) of the Securities and Exchange Board of India Act, 1992 to protect the interest of investors in securities and to promote the development of, and to regulate the securities market make necessary amendments to the bye-laws, rules and regulations for the implementation of the above decision immediately, as may be applicable/necessary.
Bring the provisions of this circular to the notice of the member brokers/clearing members of the Exchange and also to disseminate the same on the website for easy access to the investors; and communicate to SEBI, the status of the implementation of the provisions of this circular in Section II, item no. 13 of the Monthly Development Report for the month of January 2004.
Yours faithfully,
V S SUNDARESAN
