Description

Updated list of 40 equity shares approved as non-cash component of liquid assets for FO segment with applicable haircuts and quantity limits.

Summary

NSE has issued a revised list of 40 equity shares that are approved as the non-cash component of liquid assets for the Futures & Options (FO) segment. These securities are subject to Value at Risk (VAR) based haircuts and quantity restrictions to ensure adequate risk management in margin collateral.

Key Points

  • 40 equity shares approved for use as non-cash collateral in FO segment
  • VAR-based haircut applicable on all listed securities
  • Maximum 25% of total margins can be deposited in each individual security
  • Overall permitted quantities specified across all segments
  • Member-wise permitted quantities for FO segment marked as N.A (not applicable/to be determined separately)
  • List includes major blue-chip stocks across sectors including banking, IT, pharmaceuticals, automobiles, energy, and FMCG

Regulatory Changes

This circular provides an updated list of approved securities eligible as collateral. The framework maintains:

  • VAR-based haircut methodology for all approved securities
  • Concentration limits of 25% per security to prevent over-concentration risk
  • Specified overall permitted quantities for each security to manage systemic exposure

Compliance Requirements

  • Trading members must ensure individual security deposits do not exceed 25% of total margin requirements
  • Members must comply with overall permitted quantity limits specified for each security
  • Only the 40 listed securities are eligible as non-cash liquid assets for FO segment margins
  • Securities must be accepted subject to applicable VAR haircuts

Important Dates

No specific effective date or deadline mentioned in the circular content provided. This appears to be an ongoing list revision.

Impact Assessment

Market Impact: Medium - affects collateral management for trading members in FO segment

Operational Impact:

  • Trading members need to review and adjust their collateral portfolios to align with the updated list
  • Risk management systems must be updated with new permitted quantities and VAR parameters
  • Members holding securities not on the approved list will need to substitute with approved securities

Liquidity Impact:

  • The 40 approved securities represent highly liquid large-cap stocks, ensuring collateral can be liquidated if needed
  • Concentration limits protect against over-reliance on any single security
  • Overall quantity limits help manage market-wide exposure

Impact Justification

Routine update of approved securities list for margin collateral affects trading members' liquidity management and risk frameworks