NATIONAL STOCK EXCH ANGE OF INDIA LIMITED DEPARTMENT : FUTURES & OPTIONS. Download Ref No : NSE/FAOP/19345 Date : November 14, 2011

Transcription

1 NATIONAL STOCK EXCH ANGE OF INDIA LIMITED DEPARTMENT : FUTURES & OPTIONS Download Ref No : NSE/FAOP/19345 Date : November 14, 2011 Circular Ref. No : 116/2011 All NSE Members Sub: Introduction of Futures and Options Contracts on CNX PSE Index and CNX Infrastructure Index Exchange is pleased to inform members that with reference to SEBI circular SEBI/DNPD/CIR- 26/2004/07/16 dated July 16, 2004 and subsequent approval received from SEBI, Futures and Options contracts on CNX PSE Index and CNX Infrastructure Index shall be made available for trading in the F&O segment with effect from November 25, 2011 The relevant information about the above underlying indices is given as below: Annexure 1: Index Information Annexure 2: Contract Specification Members are requested to take the latest contract.gz and spd_contract.gz, files from NSE EXTRANET, directory:/faoftp/faocommon before commencing trading in the above mentioned new contracts on November 25, A detailed list of new contracts introduced for trading (file name: CONTRACT CSV) will be available on the path faoftp/faocommon/contracts on November 24, 2011 after market hours. In order to encourage active participation in the above contracts, it has been decided that no transaction charges will be levied on the trades done in the above mentioned contracts till six months from the date of commencement of trading. However, every Trading Member participating in trading in the contracts at any time during the above period shall be required to make a lump sum contribution of Rs. 500/- as contribution to Investor Protection Fund. For and on behalf of National Stock Exchange of India Limited Suprabhat Lala Vice President Contact Person Telephone No Fax No id Sachin Dhar, Dipesh Sahoo /52/ fotrade@nse.co.in Technical Queries : Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai Page 1 of 8

2 Annexure 1 Index Information CNX PSE INDEX As part of its agenda to reform the Public Sector Enterprises (PSE), the Government has selectively been disinvesting its holdings in public sector enterprises since With a view to provide regulators, investors and market intermediaries with an appropriate benchmark that captures the performance of this segment of the market, as well as to make available an appropriate basis for pricing forthcoming issues of PSEs, IISL has developed the CNX PSE Index, comprising of 20 PSE stocks. The CNX PSE Index includes only those companies that have over 51% of their outstanding share capital held by the Central Government and/or State Government, directly or indirectly. Methodology: Since October, 11, 2010, CNX PSE Index is computed using free float market capitalization weighted method, wherein the level of the index reflects the total free float market value of all the stocks in the index relative to a particular base period. The method also takes into account constituent changes in the index and importantly corporate actions such as stock splits, rights, etc without affecting the index value. 1. Composition of the Index as on October 31, 2011 Sr. No Company Symbol Free float- Market Cap (Rs. Crs) Weight (%) 1 Oil & Natural Gas Corporation Ltd. ONGC Bharat Heavy Electricals Ltd. BHEL NTPC Ltd. NTPC Coal India Ltd. COALINDIA GAIL (India) Ltd. GAIL Power Grid Corporation of India Ltd. POWERGRID NMDC Ltd. NMDC Bharat Petroleum Corporation Ltd. BPCL Indian Oil Corporation Ltd. IOC Steel Authority of India Ltd. SAIL Rural Electrification Corporation Ltd. RECLTD Hindustan Petroleum Corporation Ltd. HINDPETRO Power Finance Corporation Ltd. PFC Container Corporation of India Ltd. CONCOR NHPC Ltd. NHPC Oil India Ltd. OIL Bharat Electronics Ltd. BEL National Aluminium Co. Ltd. NATIONALUM Engineers India Ltd. ENGINERSIN Shipping Corporation of India Ltd. SCI Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai Page 2 of 8

3 2. Basic Information: 1 Name of the Index CNX PSE Index 2 Base Year January 02, Base Value Number of Securities in Index 20 5 Index Construction Free Float Market Capitalization Weighted Method 6 7 Market Coverage (free float market capitalisation of index as percentage of total market capitalization) Volume coverage (volume of index as percentage of total market volume) 8.45% as on October 31, % as on October 31, Turnover Coverage (Turnover of Index as percentage of total market turnover) 6.17% as on October 31, Index Dissemination frequency 6 Seconds 10 Index Provider India Index Services and Products Limited (IISL) week high/low / as on October 31, CNX PSE v/s S&P CNX Nifty (As on October 31, 2011) S&P CNX Nifty CNX PSE Average Market Cap (Nov 2010 Oct 2011) in Rs. Crores P/E Ratio Price to Book Ratio Dividend Yield % Volatility (of Avg. Daily Returns) (Nov 2010 Oct 2011) Correlation between CNX PSE Index and S&P CNX Nifty CNX PSE% Jan 2007 Dec Jan 2008 Dec Jan 2009 Dec Jan 2010 Dec Jan 2011 Oct Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai Page 3 of 8

4 5. Beta value of CNX PSE Index in comparison to S&P CNX Nifty (For the period November 2010 to October 2011) Sr. No. Index Beta 1 CNX PSE Volatility of CNX PSE Index vis-à-vis S&P CNX Nifty S&P CNX CNX PSE% Nifty% Jan 2007 Dec Jan 2008 Dec Jan 2009 Dec Jan 2010 Dec Jan 2011 Oct Returns of CNX PSE Index vis-à-vis S&P CNX Nifty S&P CNX Nifty (%) CNX PSE (%) Jan 2007 Dec Jan 2008 Dec Jan 2009 Dec Jan 2010 Dec Jan 2011 Oct CNX INFRASTRUCTURE INDEX It is well recognized that quality infrastructure is one of the most important necessities for unleashing high and sustained growth. Government outlay for infrastructure has increased significantly over the years. Clearly, infrastructure has been a focus area. Over the years, not only have the outlays for budgetary expenditure towards the infrastructure sector been increasing, but private investment is also being encouraged. Earlier, the emphasis was on bringing in more and more projects, now the emphasis also includes encouraging financial products suited for infrastructure. Recognizing the needs of the market, IISL has developed CNX Infrastructure Index to capture the performance of the companies in the infrastructure sector CNX Infrastructure Index includes companies belonging to Telecom, Power, Port, Air, Roads, Railways, shipping and other Utility Services providers. Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai Page 4 of 8

5 Methodology CNX Infrastructure Index is computed using free float market capitalization weighted method, wherein the level of the index reflects the total market value of all the stocks in the index relative to a particular base period. The method also takes into account constituent changes in the index and importantly corporate actions such as stock splits, rights, etc without affecting the index value. The CNX Infrastructure Index has a base date of January 1, 2004, indexed to a base value of Composition of the Index (As on October 31, 2011) Sr. No Company Name Symbol Free-float Market Cap (Rs. Crs) Weight (%) 1 Larsen & Toubro Ltd. LT Bharti Airtel Ltd. BHARTIARTL Bharat Heavy Electricals Ltd. BHEL NTPC Ltd. NTPC Tata Power Co. Ltd. TATAPOWER Power Grid Corporation of India Ltd. POWERGRID Jaiprakash Associates Ltd. JPASSOCIAT Idea Cellular Ltd. IDEA Mundra Port and Special Economic Zone Ltd. MUNDRAPORT Siemens Ltd. SIEMENS Reliance Infrastructure Ltd. RELINFRA Reliance Communications Ltd. RCOM Crompton Greaves Ltd. CROMPGREAV Reliance Power Ltd. RPOWER Container Corporation of India Ltd. CONCOR NHPC Ltd. NHPC ABB Ltd. ABB Adani Power Ltd. ADANIPOWER GMR Infrastructure Ltd. GMRINFRA Suzlon Energy Ltd. SUZLON Voltas Ltd. VOLTAS Tata Communications Ltd. TATACOMM Shipping Corporation of India Ltd. SCI Punj Lloyd Ltd. PUNJLLOYD Lanco Infratech Ltd. LITL Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai Page 5 of 8

6 2. Basic Information: 1 Name of the Index CNX Infrastructure Index 2 Base Year January 01, Base Value Number of Securities in Index 25 5 Index Construction Free Float Market Capitalisation weighted method 6 7 Market Coverage (free float market capitalization of index as percentage of total market capitalization) Volume coverage (volume of index as percentage of total market volume) 11.55% as on October 31, % as on October 31, Turnover Coverage (Turnover of Index as percentage Of total market turnover) 13.26% as on October 31, Index Dissemination frequency 6 Seconds 10 Index Provider India Index Services and Products Limited (IISL) week high/low / as on October 31, CNX Infrastructure v/s S&P CNX Nifty (As on October 31, 2011) S&P CNX Nifty CNX Infrastructure Average Market Cap (Nov oct. 2011) in Rs. Cr. P/E Ratio Price to Book Ratio Dividend Yield% Volatility (of Avg. Daily Returns) (Nov Oct. 2011) Correlation between CNX Infrastructure Index and S&P CNX Nifty CNX Infrastructure Jan 2007 Dec Jan 2008 Dec Jan 2009 Dec Jan 2010 Dec Jan 2011 Oct Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai Page 6 of 8

7 5. Beta value of CNX Infrastructure Index comparison to S&P CNX Nifty (for the period November 2010 to October 2011) Sr. No. Index Beta 1 CNX Infrastructure Index Volatility of CNX Infrastructure Index vis-à-vis S&P CNX Nifty S&P CNX CNX Nifty% Infrastructure% Jan 2007 Dec Jan 2008 Dec Jan 2009 Dec Jan 2010 Dec Jan 2011 Oct Returns of CNX Infrastructure Index vis-à-vis S&P CNX Nifty S&P CNX CNX Nifty% Infrastructure% Jan 2007 Dec Jan 2008 Dec Jan 2009 Dec Jan 2010 Dec Jan 2011 Oct Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai Page 7 of 8

8 Annexure 2 Contract Specification Underlying Index CNX PSE INDEX CNX INFRASTRUCTUTRE INDEX Security descriptor Futures : FUTIDX CNXPSE Futures : FUTIDX CNXINFRA Options : OPTIDX CNXPSE Options : OPTIDX CNXINFRA Contract Size Permitted lot size shall be 75 and Permitted lot size shall be 100 and multiples thereof multiples thereof Price steps Re Price Bands No Price bands. However operating range of 10% of base price would be applicable for Futures contracts and a delta based daily price range would be applicable for Options contracts. Trading Cycle Maximum of three months the near month, the next month and the far month. New contract shall be introduced on the next trading day following the expiry of near month contract Expiry day Spread Order Book Last Thursday of the expiry month or the previous trading day if the last Thursday is a trading holiday Futures Spread order contracts will be available for M1-M2, M2-M3 and M1-M3 expiries. Settlement basis Cash settlement Style of option European Quantity Freeze Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai Page 8 of 8