Risk Containment measures for rolling settlement and CNS, CFRS & ALBRS
Summary
This SEBI circular outlines specific risk containment measures for rolling settlement and products including CNS, CFRS, and ALBRS. It mandates calculations for gross exposure based on open positions across multiple trading days and future settlements. The document establishes margin requirements and limits applicable to members participating in these settlement systems.
Text
The gross exposure would be aggregate of all the open position of the member outstanding on that day. Thus the gross exposure as at the end of day T would be the net of the following: The net of the outstanding positions of the previous four trading days, The outstanding position created on day T, The net outstanding position of the future 5 settlements.
The gross exposure margin would be calculated on the worst case scenerio i.e. highest net outstanding position at the end of any trading day for which the settlement has not been concluded.
Mark to Market margin would be applicable as in the account period settlement system.
The present limit of Rs. 5 crore per scrip for a member would be applicable to the scrips in CFRS and ALBRS.
The present limit of Rs. 40 crores would continue to apply as an aggregate exposure of account period and rolling settlement deferrals.
The same margins as are applicable in the account period settlement would continue in the rolling settlement.
The T-2 open deferral positions at the three exchanges of BSE, CSE and the NSE would be shared and consolidated positions would be considered for announcement of the scrips attracting the incremental CFRS and ALBRS margin on T+1 day.
The margin structure as applicable for the CFRS and the ALBRS would also apply to the CNS positions of the member. It is to be noted that the margin thus leviable would be applicable only on the sell side and not on the buy side of the position.
The Exchanges are advised to adhere to the risk containment measures as mentioned above for rolling settlement and for the introduction of CNS, CFRS and ALBRS.
Source: SecMarx — Risk Containment measures for rolling settlement and CNS, CFRS & ALBRS. Verbatim text is public record; SecMarx structuring (linkage to applying orders) is cited to us.