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, 2011. A detailed list of new contracts introduced for trading (file name: CONTRACT24112011.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 Email id Sachin Dhar, Dipesh Sahoo 022-26598151/52/80 26598449 fotrade@nse.co.in Technical Queries : 022-26567500 Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai 400 051 Page 1 of 8
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 1991. 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 37455 17.95 2 Bharat Heavy Electricals Ltd. BHEL 25108 12.04 3 NTPC Ltd. NTPC 22910 10.98 4 Coal India Ltd. COALINDIA 20970 10.05 5 GAIL (India) Ltd. GAIL 18996 9.11 6 Power Grid Corporation of India Ltd. POWERGRID 14844 7.12 7 NMDC Ltd. NMDC 9390 4.5 8 Bharat Petroleum Corporation Ltd. BPCL 8045 3.86 9 Indian Oil Corporation Ltd. IOC 7002 3.36 10 Steel Authority of India Ltd. SAIL 6572 3.15 11 Rural Electrification Corporation Ltd. RECLTD 5919 2.84 12 Hindustan Petroleum Corporation Ltd. HINDPETRO 5515 2.64 13 Power Finance Corporation Ltd. PFC 5201 2.49 14 Container Corporation of India Ltd. CONCOR 4726 2.27 15 NHPC Ltd. NHPC 4202 2.01 16 Oil India Ltd. OIL 3956 1.9 17 Bharat Electronics Ltd. BEL 3024 1.45 18 National Aluminium Co. Ltd. NATIONALUM 1936 0.93 19 Engineers India Ltd. ENGINERSIN 1601 0.77 20 Shipping Corporation of India Ltd. SCI 1248 0.6 Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai 400 051 Page 2 of 8
2. Basic Information: 1 Name of the Index CNX PSE Index 2 Base Year January 02, 1995 3 Base Value 1000 4 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, 2011 5.25% as on October 31, 2011 8 Turnover Coverage (Turnover of Index as percentage of total market turnover) 6.17% as on October 31, 2011 9 Index Dissemination frequency 6 Seconds 10 Index Provider India Index Services and Products Limited (IISL) 11 52 week high/low 4121.75 / 2963.45 as on October 31, 2011 3. 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 1653721 201129 P/E Ratio 18.9 13.6 Price to Book Ratio 3.19 2.56 Dividend Yield % 1.42 2.17 Volatility (of Avg. Daily Returns) (Nov 2010 Oct 2011) 1.26 1.04 4. Correlation between CNX PSE Index and S&P CNX Nifty CNX PSE% Jan 2007 Dec 2007 0.90 Jan 2008 Dec 2008 0.93 Jan 2009 Dec 2009 0.89 Jan 2010 Dec 2010 0.74 Jan 2011 Oct 2011 0.82 Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai 400 051 Page 3 of 8
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 0.675 6. Volatility of CNX PSE Index vis-à-vis S&P CNX Nifty S&P CNX CNX PSE% Nifty% Jan 2007 Dec 2007 1.60 1.74 Jan 2008 Dec 2008 2.80 2.79 Jan 2009 Dec 2009 2.14 1.90 Jan 2010 Dec 2010 1.02 0.98 Jan 2011 Oct 2011 1.30 1.04 7. Returns of CNX PSE Index vis-à-vis S&P CNX Nifty S&P CNX Nifty (%) CNX PSE (%) Jan 2007 Dec 2007 54.77 86.07 Jan 2008 Dec 2008-51.79-49.28 Jan 2009 Dec 2009 75.76 79.25 Jan 2010 Dec 2010 17.95-6.12 Jan 2011 Oct 2011-13.17-19.67 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 400 051 Page 4 of 8
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 1000. 1. 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 75832 26.59 2 Bharti Airtel Ltd. BHARTIARTL 47177 16.54 3 Bharat Heavy Electricals Ltd. BHEL 25108 8.80 4 NTPC Ltd. NTPC 22910 8.03 5 Tata Power Co. Ltd. TATAPOWER 16256 5.70 6 Power Grid Corporation of India Ltd. POWERGRID 14844 5.21 7 Jaiprakash Associates Ltd. JPASSOCIAT 8755 3.07 8 Idea Cellular Ltd. IDEA 7788 2.73 9 Mundra Port and Special Economic Zone Ltd. MUNDRAPORT 7392 2.59 10 Siemens Ltd. SIEMENS 7273 2.55 11 Reliance Infrastructure Ltd. RELINFRA 6374 2.24 12 Reliance Communications Ltd. RCOM 5296 1.86 13 Crompton Greaves Ltd. CROMPGREAV 5290 1.86 14 Reliance Power Ltd. RPOWER 5245 1.84 15 Container Corporation of India Ltd. CONCOR 4726 1.66 16 NHPC Ltd. NHPC 4202 1.47 17 ABB Ltd. ABB 3761 1.32 18 Adani Power Ltd. ADANIPOWER 3677 1.29 19 GMR Infrastructure Ltd. GMRINFRA 3090 1.08 20 Suzlon Energy Ltd. SUZLON 2971 1.04 21 Voltas Ltd. VOLTAS 2293 0.80 22 Tata Communications Ltd. TATACOMM 1285 0.45 23 Shipping Corporation of India Ltd. SCI 1248 0.44 24 Punj Lloyd Ltd. PUNJLLOYD 1240 0.43 25 Lanco Infratech Ltd. LITL 1124 0.39 Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai 400 051 Page 5 of 8
2. Basic Information: 1 Name of the Index CNX Infrastructure Index 2 Base Year January 01, 2004 3 Base Value 1000 4 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, 2011 9.78% as on October 31, 2011 8 Turnover Coverage (Turnover of Index as percentage Of total market turnover) 13.26% as on October 31, 2011 9 Index Dissemination frequency 6 Seconds 10 Index Provider India Index Services and Products Limited (IISL) 11 52 week high/low 3766.20 / 2505.50 as on October 31, 2011 3. CNX Infrastructure v/s S&P CNX Nifty (As on October 31, 2011) S&P CNX Nifty CNX Infrastructure Average Market Cap 1653721 327992 (Nov. 2010 oct. 2011) in Rs. Cr. P/E Ratio 18.9 19.91 Price to Book Ratio 3.19 2.58 Dividend Yield% 1.42 0.96 Volatility (of Avg. Daily Returns) (Nov. 2010 Oct. 2011) 1.26 1.34 4. Correlation between CNX Infrastructure Index and S&P CNX Nifty CNX Infrastructure Jan 2007 Dec 2007 0.93 Jan 2008 Dec 2008 0.97 Jan 2009 Dec 2009 0.95 Jan 2010 Dec 2010 0.88 Jan 2011 Oct 2011 0.89 Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai 400 051 Page 6 of 8
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 0.93 6. Volatility of CNX Infrastructure Index vis-à-vis S&P CNX Nifty S&P CNX CNX Nifty% Infrastructure% Jan 2007 Dec 2007 1.60 1.83 Jan 2008 Dec 2008 2.80 3.24 Jan 2009 Dec 2009 2.14 2.34 Jan 2010 Dec 2010 1.02 1.06 Jan 2011 Oct 2011 1.30 1.37 7. Returns of CNX Infrastructure Index vis-à-vis S&P CNX Nifty S&P CNX CNX Nifty% Infrastructure% Jan 2007 Dec 2007 54.77 95.15 Jan 2008 Dec 2008-51.79-57.15 Jan 2009 Dec 2009 75.76 39.66 Jan 2010 Dec 2010 17.95-4.01 Jan 2011 Oct 2011-13.17-22.43 Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai 400 051 Page 7 of 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. 0.05 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 15000 Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai 400 051 Page 8 of 8