NATIONAL SECURITIES CLEARING CORPORATION LIMITED
FUTURES & OPTIONS SEGMENT
CIRCULAR
Download
Reference No: NSE/CMPT/11362 September 25, 2008
Reference No: NSCC/F&O/C&S/885
Adjustment of Futures and Options contracts in AIAENG
In pursuance of Byelaws of NSCCL
pertaining to Clearing and Settlement of deals, SEBI circular reference
SMDRP/DC/CIR-8/01 dated June 21, 2001, NSE Circular no. NSCC/F&O/C&S/883 dated September 10, 2008
(download reference no CMPT/11276) and circular
number NSE/F&O/099/2008 dated September 24, 2008 members are hereby
informed the procedure for adjustment of Futures and Option contracts in the
underlying security Aia Engineering Limited (AIAENG),
on account of ‘Face Value Split of shares from Rs.10 per share to Rs.2 per
share’.
The
‘adjustment factor’ for the corporate action shall be ‘5’ and the ex-date for
the corporate action shall be October 13, 2008. The following action would be
taken by NSCCL in this regard.
1 Action by the Clearing Corporation in
respect of Futures Contracts:
All open positions in Futures contracts with
the underlying security as AIAENG existing after End of day on October 10, 2008
will be adjusted as under:
Positions: The adjusted
positions shall be arrived at by multiplying the old positions by the ‘adjustment
factor’ which is 5.
Futures Price: The adjusted futures price would
be based on the Settlement price of the relevant futures contracts on October
10, 2008. Adjusted futures price shall be settlement price of relevant futures
contracts on October 10, 2008 divided by ‘adjustment factor’.
Adjusted value: In order to avoid difference
arising due to rounding off of adjusted settlement price, the carry
forward/adjusted value shall be computed by multiplying pre adjusted futures
long/short quantity with pre adjusted settlement price. Accordingly, all
positions in futures contracts with the underlying security as AIAENG would be
marked-to-market on October 10, 2008 based on the daily settlement price of the
respective futures contract. Further, the adjusted positions would be carried
forward at the adjusted value.
From October 13, 2008, daily mark to market
settlement of futures contracts with the underlying security as AIAENG would
continue as per normal procedures.
Begin of day margins on October 13, 2008 would
be computed for the futures contract with underlying as AIAENG based on the
adjusted carry forward value. Subsequently, intra-day margins would be computed
based on the relevant traded prices at the time the intra-day span risk
parameter files are generated.
An example of adjustment of futures contract is
detailed hereunder:
1.1 Positions before adjustment:
|
Clearing
Member |
Trading Member |
Client Code |
Instrument |
Security Symbol |
Expiry Date |
Long position |
Short position |
|
A |
ABC |
H4 |
FUTSTK |
AIAENG |
25-SEP-2008 |
200 |
0 |
|
B |
PQR |
458 |
FUTSTK |
AIAENG |
25-SEP-2008 |
0 |
400 |
|
C |
XYZ |
BRH01 |
FUTSTK |
AIAENG |
25-SEP-2008 |
0 |
400 |
1.2 Positions after adjustment:
|
Clearing
Member |
Trading Member |
Client Code |
Instrument |
Security Symbol |
Expiry Date |
Long position |
Short position |
|
A |
ABC |
H4 |
FUTSTK |
AIAENG |
25-SEP-2008 |
1000 |
0 |
|
B |
PQR |
458 |
FUTSTK |
AIAENG |
25-SEP-2008 |
0 |
2000 |
|
C |
XYZ |
BRH01 |
FUTSTK |
AIAENG |
25-SEP-2008 |
0 |
2000 |
2 Action by Clearing Corporation in respect of Option
Contracts:
All open positions in option contracts with the
underlying security as AIAENG, as existing after exercise-assignment on October
10, 2008 shall be adjusted as under:
Strike Price: The adjusted Strike Price shall
be arrived at by dividing the old strike price by the ‘adjustment factor’ i.e.
5.
Positions: All positions in the existing strike
prices shall be multiplied by the ‘adjustment factor’ of 5
and continue to exist in the new adjusted strike prices.
An example of the adjustments in the strike
prices is detailed hereunder:
2.1
Positions before Strike Price adjustment:
|
Clearing
Member |
Trading Member |
Client Code |
Instrument |
Security Symbol |
Expiry Date |
Strike Price |
Option Type |
Long position |
Short position |
|
A |
ABC |
H4 |
OPTSTK |
AIAENG |
25-SEP-2008 |
1110 |
CA |
200 |
0 |
|
B |
PQR |
458 |
OPTSTK |
AIAENG |
25-SEP-2008 |
1140 |
PA |
0 |
400 |
|
C |
XYZ |
BRH1 |
OPTSTK |
AIAENG |
25-SEP-2008 |
1140 |
CA |
0 |
400 |
2.2
Positions after
Strike Price adjustment:
|
Clearing
Member |
Trading Member |
Client Code |
Instrument |
Security Symbol |
Expiry Date |
Adjusted Strike Price |
Option Type |
Adjusted Long position |
Adjusted Short position |
|
A |
ABC |
H4 |
OPTSTK |
AIAENG |
25-SEP-2008 |
222 |
CA |
1000 |
0 |
|
B |
PQR |
458 |
OPTSTK |
AIAENG |
25-SEP-2008 |
228 |
PA |
0 |
2000 |
|
C |
XYZ |
BRH1 |
OPTSTK |
AIAENG |
25-SEP-2008 |
228 |
CA |
0 |
2000 |
3. Members are advised to note the following in respect of
futures and options contracts on underlying security AIAENG.
Position details of futures and options
contracts with the underlying security as AIAENG would be provided in PS_03 /
04 files for trade date October 10,2008, would indicate final positions in the
relevant contracts (without adjustment) after exercise-assignment processing on
October 10,2008.
Adjustments for futures contracts would be
carried out separately as detailed in 1.1 and 1.2 above. Similarly, adjustments
of options contracts would be carried out on such strike prices as detailed in
2.1 and 2.2 above. All open positions at existing strike prices shall continue
to exist at adjusted strike prices.
The following two additional files will be
provided, at the end of the day on October 10, 2008:
AIAENG _<Member
Code>_EXISTING_POSITIONS.CSV
AIAENG _<Member
Code>_ADJUSTED_POSITIONS.CSV
The details of these files are provided as
Annexure I.
For
any further clarifications Members may contact the following officials of the
Clearing Corporation: MS Dinaz Shroff and Mr Sitikantha Chatterjee.
Phone
Nos. 022-26598165 Fax Nos: 26598243
Yours faithfully,
For National Securities Clearing Corporation Ltd.
Rana Usman
Manager
Annexure
I
Position file formats for Corporate Action
Adjustment for futures and options contracts on underlying security – AIAENG
1.
Details of existing positions:
All members having positions in options
contracts at existing strike prices and Futures contracts shall be given
details of the same vide the regular F_PS03 & the F_PS04 files on October
10,2008.
The file shall be comma separated. The file
shall be named as AIAENG _<Member Code>_EXISTING_POSITIONS.CSV
This file shall be at client level
The file structure shall be as under:
Position
Date
Date
Segment
Indicator
‘F’
Settlement
Type
‘S/G’
Clearing Member
Code
CM Code
Member
Type
’M’/‘C’
Trading Member
Code
TM Code / CP
Code
Account
Type
‘P’/’C’ etc.
Client Account /
Code
Client Account No. / Code
Instrument
Type
OPTSTK/ FUTSTK
Symbol
AIAENG
Expiry date
29- Oct-08/27-Nov-08/24-Dec-08
Strike
Price
Existing Strike Prices
Option
Type
‘CA’/’PA’
CA
Level
1
Post Ex / Asgmnt Long Quantity XXX
Post Ex / Asgmnt Long
Value XXX (value 0 for option
contracts)
Post Ex / Asgmnt Short Quantity XXX
Post Ex / Asgmnt Short Value
XXX (value 0 for option
contracts)
C/f Long
Quantity
0
C/f Long
Value
0
C/f Short
Quantity
0
C/f Short
Value
0
2.
Details of Adjusted Positions:
All options positions in existing strike prices
shall continue to exist in the corresponding new adjusted strike prices.
Members shall be given the adjusted positions
i.e. the Post Ex / Asgmnt Long Quantity / Post Ex / Asgmnt Short Quantity with
zero quantity and the Carry Forward Long Quantity / Carry Forward Short
Quantity with adjusted quantities.
The comma separated file shall be named as AIAENG_<Member
Code>_ADJUSTED_POSITIONS.CSV.
This file shall be at client level.
The file structure shall be as under:
Position
Date
Date
Segment
Indicator
’F’
Settlement
Type
‘S/G’
Clearing Member
Code
CM Code
Member
Type
‘M’/ ‘C’
Trading Member
Code
TM Code / CP
Code
Account
Type
‘P’/’C’ etc.
Client Account /
Code
Client Account No / Code
Instrument
Type
FUTSTK/OPTSTK
Symbol
AIAENG
Expiry
date
29- Oct-08/27-Nov-08/24-Dec-08
Strike
Price
Adjusted Strike Prices
Option
Type
‘CA’/’PA’
CA
Level
0
Post Ex / Asgmnt Long Quantity 0
Post Ex / Asgmnt Long
Value 0
Post Ex / Asgmnt Short
Quantity 0
Post Ex / Asgmnt Short
Value 0
C/f Long
Quantity
XXX
C/f Long Value *
XXX (value 0 for option
contracts)
C/f Short
Quantity
XXX
C/f Short Value
*
XXX (value 0 for option
contracts)
* C/f Long Value and C/f Short Value shall be provided only for futures contracts. It shall be computed as the product of pre-adjusted C/f Long/ Short Quantity and pre-adjusted settlement price.