Description

NSE has revised the list of approved equity shares forming part of the non-cash component of liquid assets for the F&O segment, with applicable VAR-based haircuts and permitted quantity limits across all clearing members.

Summary

NSE has issued a revised list of equity shares approved to form part of the non-cash component of liquid assets for the Futures & Options (F&O) segment. The circular specifies permitted quantities at both the overall and member-wise levels, with VAR-based haircuts applicable to all listed securities. A prudential value-based norm is also enforced to ensure margin adequacy at the Clearing Member level.

Key Points

  • 39 large-cap equity shares are approved as non-cash liquid asset components for the F&O segment
  • Applicable haircut for all listed securities is Value at Risk (VAR)-based
  • Prudential norm: exclusion of any pledged security must not result in a margin shortfall exceeding 25% at a Clearing Member level
  • Overall permitted quantities are specified per security; member-wise permitted quantity for the F&O segment is listed as N.A. for all securities
  • Securities span major indices and sectors including banking, energy, FMCG, IT, pharma, auto, and infrastructure

Regulatory Changes

This circular updates the previously approved list of eligible non-cash collateral securities for the F&O segment. The revised list reflects current market capitalization, liquidity, and risk parameters. ETERNAL LIMITED (INE758T01015) appears with a notably high permitted quantity of 1,822,429,145 units.

Compliance Requirements

  • Clearing Members must ensure that pledged securities used as non-cash margin components are drawn from this approved list only
  • Clearing Members must monitor that removing any single pledged security does not cause a margin shortfall exceeding 25% at the member level
  • VAR-based haircuts must be applied to all approved securities when computing non-cash liquid asset values

Important Dates

  • Circular Date: 2026-03-20
  • Effective Date: As specified by NSE upon issuance (immediate applicability implied for revised list)

Impact Assessment

This revision affects Clearing Members in the F&O segment who use equity shares as non-cash collateral. Members holding securities not retained on the revised list must substitute them with approved alternatives. The large permitted quantities for stocks like HDFCBANK (2.66B), ITC (2.50B), and ICICIBANK (1.16B) provide significant headroom for institutional clearing members. The 25% prudential cap on margin shortfall from exclusion of any single pledged security limits concentration risk. Overall market impact is routine and operational in nature.

Impact Justification

Routine periodic revision of approved securities list for non-cash collateral in the F&O segment; affects clearing members' margin composition but does not introduce new regulatory framework changes.