Description

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

Summary

NSE has issued a revised list of 40 equity shares that are approved to form part of the non-cash component of liquid assets for margin purposes. These securities are subject to VAR-based haircuts and quantity restrictions. Members can deposit each security subject to a maximum of 25% of their total margins. The list includes major blue-chip stocks across various sectors and specifies both overall permitted quantities across all segments and member-wise permitted quantities for the SLB (Securities Lending and Borrowing) segment.

Key Points

  • 40 equity shares approved as non-cash component of liquid assets
  • Applicable haircut is VAR (Value at Risk) based
  • Maximum 25% of total margins can be in any single security
  • Overall permitted quantity limits specified for each security across all segments
  • SLB segment quantities marked as N.A (Not Applicable) for all listed securities
  • List includes major stocks like RELIANCE, HDFCBANK, ICICIBANK, ITC, INFY, TCS
  • Covers diverse sectors: Banking, IT, Auto, FMCG, Energy, Healthcare, Infrastructure

Regulatory Changes

This circular updates the previously approved list of securities eligible for use as collateral in margin deposits. The revision reflects changes in market capitalization, liquidity, and risk parameters of the approved securities. The VAR-based haircut methodology ensures risk-adjusted valuation of collateral.

Compliance Requirements

  • Members must ensure deposits of individual securities do not exceed 25% of total margin requirements
  • Members must adhere to the overall permitted quantity limits specified for each security
  • Securities must be valued after applying appropriate VAR-based haircuts
  • Members cannot use these securities for SLB segment margin purposes (as indicated by N.A entries)
  • Compliance with position limits and quantity restrictions is mandatory

Important Dates

No specific implementation dates mentioned in the circular content provided. The revised list is effective as per NSE’s standard circular implementation timeline.

Impact Assessment

Market Impact: The revised list provides clarity on eligible collateral securities, enhancing transparency in margin requirements. The inclusion of 40 high-liquidity stocks ensures members have adequate options for meeting margin obligations.

Operational Impact: Members need to review their current collateral portfolios to ensure compliance with the updated list and quantity restrictions. The 25% cap per security encourages diversification of collateral holdings.

Risk Management: VAR-based haircuts provide dynamic risk adjustment based on market volatility. The quantity limits prevent concentration risk in collateral portfolios and protect against potential liquidation challenges during stress events.

Impact Justification

Updates the list of approved securities eligible for margin deposits, affecting member firms' collateral management and liquidity requirements across trading segments.