Description

Updated list of 40 equity shares eligible as non-cash component of liquid assets with VAR-based haircuts, subject to 25% maximum deposit per security.

Summary

NSE has revised the list of approved equity securities that can form part of the non-cash component of liquid assets for margin purposes. The list contains 40 securities with VAR-based haircuts applicable. Members can deposit each security subject to a maximum of 25% of total margins. The securities are not available for deposit in the Currency Derivatives (CD) segment.

Key Points

  • 40 equity securities approved as non-cash component of liquid assets
  • VAR-based haircut methodology applies to all listed securities
  • Maximum 25% of total margins can be in any single security
  • Securities include major blue-chip stocks across sectors
  • Overall permitted quantities specified across all segments
  • CD segment deposits marked as “N.A” (not available) for all securities
  • Includes major index constituents like RELIANCE, HDFCBANK, ICICIBANK, INFY, TCS equivalent stocks

Regulatory Changes

  • Updated list replaces previous approved securities list
  • Overall permitted quantities revised for each security
  • Continued restriction on use of these securities in Currency Derivatives segment
  • VAR-based dynamic haircut mechanism remains in effect

Compliance Requirements

  • Trading members must ensure individual security deposits do not exceed 25% of total margin requirements
  • Members should monitor overall permitted quantities across all segments
  • Securities cannot be deposited for Currency Derivatives segment margin obligations
  • Compliance with VAR-based haircut calculations mandatory

Important Dates

  • Circular issued: December 22, 2025
  • Effective date: Not explicitly specified in the circular content

Impact Assessment

This revision impacts trading members’ collateral management strategies by defining eligible securities and quantity limits for margin deposits. The 40-security basket provides diversification options across sectors including banking (HDFCBANK, ICICIBANK, AXISBANK, KOTAKBANK, SBIN), IT (INFY, HCLTECH), energy (RELIANCE, ONGC, NTPC, POWERGRID, COALINDIA), automotive (MARUTI, BAJAJ-AUTO, M&M, EICHERMOT), FMCG (ITC, HINDUNILVR, NESTLEIND, ASIANPAINT), and other blue-chip stocks. The 25% concentration limit promotes portfolio diversification in margin collateral. The exclusion from CD segment maintains existing risk management framework for currency derivatives.

Impact Justification

Affects margin and collateral requirements for trading members across all segments, with updated list of 40 approved securities and quantity limits