Description

Updated list of 40 equity securities eligible as non-cash component of liquid assets with VAR-based haircuts and 25% deposit limits per security.

Summary

NSE has issued a revised list of approved equity securities that can be used as non-cash component of liquid assets for margin purposes. The list includes 40 securities from major companies across sectors. Members can deposit each security subject to a maximum of 25% of total margins, with applicable haircuts determined by Value at Risk (VAR) methodology.

Key Points

  • 40 equity securities approved for use as non-cash liquid assets
  • VAR-based haircuts applicable on all approved securities
  • Maximum 25% limit per security of total margin requirements
  • Overall permitted quantities specified across all segments
  • Memberwise permitted quantities for F&O segment marked as N.A (indicating no specific limits or to be determined separately)
  • Includes major large-cap stocks across banking, energy, pharma, auto, IT, FMCG, and other sectors

Regulatory Changes

This circular updates the list of approved securities eligible as collateral for margin requirements. Key regulatory provisions:

  • Securities must meet liquidity and quality standards to qualify as approved collateral
  • Concentration limits enforced through 25% cap per security
  • Risk-based haircuts applied using VAR methodology
  • Overall permitted quantities established to manage system-wide concentration risk

Compliance Requirements

For Trading Members:

  • Ensure collateral deposits comply with 25% per security limit
  • Monitor overall permitted quantities across all segments
  • Apply appropriate VAR-based haircuts when calculating collateral value
  • Maintain compliance with segment-wise permitted quantity limits

For Clearing Corporation:

  • Validate collateral deposits against approved securities list
  • Enforce concentration limits and quantity restrictions
  • Apply current VAR haircuts for margin calculations

Important Dates

Effective Date: 2026-01-21 (as per circular issue date)

Impact Assessment

Market Impact:

  • Provides flexibility for members to use equity holdings as margin collateral
  • Concentration limits reduce systemic risk from over-reliance on specific securities
  • List includes highly liquid large-cap stocks ensuring easy monetization if needed

Operational Impact:

  • Members need to review existing collateral deposits against updated list
  • May require rebalancing of collateral portfolio to comply with 25% limits
  • Clearing systems must update approved securities database and enforce new limits

Risk Management:

  • VAR-based haircuts provide dynamic risk adjustment based on market volatility
  • Overall quantity limits prevent excessive concentration at system level
  • Diversification requirements enhance collateral pool quality

Impact Justification

Affects margin collateral framework for trading members; changes to approved securities list can impact liquidity management and margin posting strategies for market participants