NATIONAL SECURITIES CLEARING CORPORATION LIMITED

FUTURES & OPTIONS SEGMENT

CIRCULAR

Download Reference No: NSE/CMPT/11442 October 06, 2008

Reference No:  NSCC/F&O/C&S/ 893                                       

Adjustment of Futures and Options contracts in DISHTV

In pursuance of SEBI guidelines for adjustments to Futures and Options contracts on announcement of corporate action, NSE Circular No NSCC/F&O/C&S/654 dated February 09, 2007 (download reference no CMPT/8498) and circular number NSE/F&O/109/2008 dated October 6, 2008 members are hereby informed the procedure for adjustment of Futures and Option contracts in the underlying security DISHTV (Dish TV India Limited), on account of rights issue

The methodology for computation of ‘adjustment factor’ for the corporate action shall be as given by circular number NSE/F&O/109/2008 dated October 6, 2008 and the ex-date for the corporate action shall be October 8, 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 DISHTV existing after End of day on October 7, 2008 will be adjusted as under:

The adjusted positions shall be arrived at by multiplying number of contracts in the pre adjusted position by the adjusted market lot. The adjusted market lot has been explained by the relevant examples in circular number NSE/F&O/109/2008 dated October 06, 2008.

Futures Price: The adjusted futures price would be based on the settlement price of the relevant futures contracts on October 7, 2008. Adjusted futures price shall be settlement price of relevant futures contracts on October 7, 2008 multiplied by adjustment factor.

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 DISHTV would be marked-to-market on October 7, 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 8, 2008, daily mark to market settlement of futures contracts with the underlying security as DISHTV would continue as per normal procedures.

2. Action by Clearing Corporation in respect of Option Contracts:

All open positions in option contracts with the underlying security as DISHTV, as existing after exercise-assignment on October 7, 2008 shall be adjusted as under:

The adjusted positions shall be arrived at by multiplying number of contracts in the pre adjusted position by the adjusted market lot. The adjusted market lot has been explained by the relevant examples in circular number NSE/F&O/109/2008 dated October 6, 2008.

3. Members are advised to note the following in respect of futures and options contracts on underlying security DISHTV.

Position details of futures and options contracts with the underlying security as DISHTV would be provided in PS_03 / 04 files for trade date October 7, 2008 containing final positions in the relevant contracts (without adjustment) after exercise-assignment processing on October 7, 2008.

The following two additional files will be provided, at the end of the day on October 7, 2008:

DISHTV_<Member Code>_EXISTING_POSITIONS.CSV

DISHTV<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: Mr.Sitikantha Chatterjee and Ms Dinaz Shroff.

Phone Nos.022- 26598165 Fax Nos. 022 -26598243

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 -DISHTV

 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 7, 2008.

The file shall be comma separated. The file shall be named as DISHTV_<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 Number / Code

Instrument Type                              OPTSTK/ FUTSTK

Symbol                                           DISHTV

Expiry date                                    29-Oct-2008/27-Nov-2008/24-Dec-2008

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 DISHTV_<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                                            DISHTV.

Expiry date                                      29-Oct-2008/27-Nov-2008/24-Dec-2008

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.