CURRENCY DERIVATIVES SEGMENT Circular No Members may kindly note the following regarding Auction Market:

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1 CURRENCY DERIVATIVES SEGMENT Circular No. 052 Sub: Auction Market in Interest Rate Futures Dear Members, Date: Nov 26, 2009 Download No: Vikramaditya Delima Vikas Mishra Arvind Goyal No of Pages: 1 In pursuance of circular download numbers & dated November 6 & 13, 2009 respectively, the Exchange had successfully conducted mock trading sessions to test the functionality of Auction Market. Members may kindly note the following regarding Auction Market: 1. Details of Auction viz. Asset Symbol and Quantity to be auctioned, if any, shall be intimated to market participants through a broadcast message on NEAT CDS by 14:00 hours on the date of auction. 2. Schedule of Auction Market Activity Time (hrs) Auction Market Open Time 15:00 Auction Trade Modification and Auction Trade Give-Up End 16:15 Time Solicitor period for each Auction 30 minutes from the initiation of each Auction 3. The applicable price band for the auction market shall be +/- 5% of the securities base price 4. The Base Price for securities in auction shall be price as per the latest FIMMDA, PDAI & Bloomberg Prices of GOI securities. The said valuation report is published by FIMMDA. 5. The base price for securities in auction shall be broadcasted on the NEAT CDS terminal before the beginning of Auction Market Session. 6. For the benefit of members, details of auction functionality are attached as Annexure 1. For any technical assistance kindly contact the HELPDESK on For and on behalf of National Stock Exchange of India Ltd. Suprabhat Lala Assistant Vice President

2 ANNEXURE 1 Auction Functionality in NEAT CDS Auction Auctions are initiated by the Exchange on behalf of Clearing Members for settlement related reasons like Shortages. Participants in Auction Market There are two types of participants in the auction market. Initiator: The party who initiates the auction process is called an initiator. Solicitor: The party who enters on the opposite side as of the initiator is called a solicitor. The trading members can participate in the Exchange initiated auctions by entering orders as a Solicitor. e.g. If the Exchange conducts a Buy-In auction, the trading members entering sell orders are called Solicitors. Auction Market Time Auctions shall be initiated on days and times as specified by the Exchange from time to time. Solicitor Period Within the Auction Market time, members will be able to participate in an Auction only during the Solicitor Period which starts when an Auction is initiated. Solicitor period is the period during which solicitor order entries are allowed. Solicitor period shall be as specified by the Exchange from time to time. The trading members can participate in the Exchange initiated auctions by entering orders as a Solicitor. e.g. If the Exchange conducts a Buy-In auction, the trading members entering sell orders are called Solicitors. The user can place solicitor orders through sell order entry window. Auction Order Matching After the solicitor period, order matching takes place. The system calculates trading price for the auction and all possible trades for the auction are generated at the calculated trading price. After this the auction is said to be complete. Trade Modification & Giveup Approval time Modification of client codes and Giveup of custodian trades by Clearing Members for trades executed in Auction Market shall be permitted up to such time as is specified by the Exchange from time to time. 1. Auction order entry: A facility is provided for the user to enter solicitor orders. The user can place solicitor orders by invoking the sell order entry window. The user has to select book type AU and enter the auction number, quantity and price for entering solicitor orders. Only limit price is allowed for auction orders hence MARKET orders will not be applicable. Snapshot of auction order entry window:

3 Auction Order Modification The User is not allowed to modify any auction orders. Auction Order Cancel The User can cancel any solicitor order placed by him in any auction provided the solicitor period for that auction is not over. The order cancellation procedure is similar to that of normal market. The User can also use Quick order cancellation key to cancel his outstanding auction orders. 2. Outstanding orders The user can view outstanding orders by selecting instrument type, the asset symbol and the auction number. Snapshot of secondary screen: 3. Auction Inquiry: The purpose of auction inquiry (AI) is to enable the users to view the auction details. This window displays information about auctions currently going on and auctions that have been completed. Invocation: The user can invoke auction inquiry screen by pressing [Shift+F11] key. To view the auction details of an asset, the user has to specify the auction asset and the auction number. The window gets dynamically updated whenever there is change in auction data or auction status.

4 Snapshot of secondary screen: The following are the different status displayed for a auction security: S M F X P - Auction is in Solicitor Period - System is matching the orders - Auction is over - Auction is deleted - Auction is pending and yet to begin. 4. Market By Order This Inquiry is available for assets which are being auctioned for the particular day. The window will show details of five best sell orders of the asset requested by the user Invocation User can invoke MBO Inquiry window using <F5> key or selecting on MBO menu on Menu Bar. Snapshot of secondary screen: 5. Previous Trades The user can view auction trades by selecting the Instrument type, asset and the auction number.

5 Snapshot of secondary screen: 6. Online backup: A facility is provided to the user to take backup of auction related orders and trades.