Introduction of Periodic Call Auction for Illiquid
Scrips and Extension of Pre-open Session to all Scrips
CIRCULAR, CIR/MRD/DP/
6/2013, dated February 14, 2013
To
All
Stock Exchanges
1.
SEBI vide circular no CIR/MRD/DP/21/2010 dated July 15, 2010 introduced Call
Auction in Pre-open session on pilot basis at NSE and BSE for scrips forming
part of Nifty and Sensex. Vide circular CIR/MRD/DP/ 01/2012 dated January 20,
2012, the framework of call auction was extended to IPO scrips and re-listed
scrips. The issue of extending call auction mechanism in pre-open session to
all scrips was deliberated in Secondary Market Advisory Committee (SMAC). SMAC
also made recommendation on introduction of trading through periodic call
auction mechanism for illiquid scrips in the equity market. Accordingly, it has
been decided to implement following:
1.1. Introduce trading through
periodic call auction for illiquid scrips in equity market
1.2. Extend the pre-open session
to all other scrips in the equity market
2.
Periodic Call Auction for Illiquid scrips
2.1. Trading in illiquid scrips
in the equity market shall be conducted only through periodic call auction
sessions.
2.2. Criteria for illiquidity –
For the purpose of this circular, a scrip, whether trading in normal market or
trade for trade settlement, shall be classified as illiquid on a stock exchange
if all the following conditions are met:
2.2.1. The average daily trading
volume of a scrip in a quarter is less than 10000;
2.2.2. The average daily number
of trades is less than 50 in a quarter;
2.2.3. The scrip is classified as
illiquid at all exchanges where it is traded.
2.3. Entry into periodic call auction
mechanism – Stock exchanges shall identify illiquid scrips at the beginning of
every quarter and move such scrips to periodic call auction mechanism.
2.4. Exit from periodic call
auction mechanism – Stock exchanges shall move scrips from periodic call
auction mechanism to normal trading session if the following criteria are met:
2.4.1. The scrip has remained in
periodic call auction for at least two quarters
2.4.2. It is not classified as
illiquid as per para 2.1
2.5. Notice to market – For entry
and exit of scrips in the call auction mechanism, a notice of two trading days
shall be given to the market.
2.6. Number of auction sessions –
Periodic call auction sessions of one hour each shall be conducted throughout
the trading hours with the first session starting at 9:30am.
2.7. Session duration - The call
auction session duration shall be one hour, of which 45 minutes shall be
allowed for order entry, order modification and order cancellation, 8 minutes
shall be for order matching and trade confirmation and remaining 7 minutes
shall be a buffer period for closing the current session and facilitating the
transition to next session. The session shall close randomly during last one
minute of order entry between the 44th & 45th minute. Such random closure
shall be system driven.
2.8. Un-matched orders- All
un-matched orders remaining at the end of a call auction session shall be
purged.
2.9. Price band – A maximum price
band of 20% shall be applicable on the scrips through the day. Exchanges may
reduce the price bands uniformly based on surveillance related concerns.
2.10. If the Market wide Index
Circuit Breaker gets triggered at any time during the periodic call auction
session, the session shall be cancelled and all orders shall be purged. The
periodic call auction session shall be resumed at the nearest half hour after
the normal market resumes.
2.11. Penalty for certain trades
- In the event where maximum of buy price entered by a client (on PAN basis) is
equal to or higher than the minimum sell price entered by that client and if
the same results into trades, a penalty shall be imposed on such trades. The
penalty shall be calculated and charged by the exchange and collected from
trading members on a daily basis. Trading members may recover such penalty from
clients. The penalty so collected shall be deposited to Investor Protection
Fund. Penalty for each such instance per session will be higher of the
following:
a. 0.50% of the trade value for
sale and 0.50% of trade value for the buy, resulting in 1% penalty for the
client on PAN basis.
OR
b. 2500 /- for the buy trade and
2500 /- for the sell trade, resulting in penalty of 5000/- for the client on
PAN Basis.
2.12. All other conditions for
trading in periodic call auction sessions shall be as per the circulars
CIR/MRD/DP/21/2010 dated July15, 2010, CIR/MRD/DP/27/2010 dated August 27, 2010
and CIR/MRD/DP/32/2010 September 17, 2010.
3.
Pre-Open Call Auction Session
3.1. In partial modification of
SEBI circular no CIR/MRD/DP/21/2010 dated July 15, 2010, pre-open call auction
session shall be applicable to all exchanges with active trading and for all
scrips that are not classified as illiquid as per para 2.1 above.
3.2. Price bands in pre-open
session shall be as applicable in the normal market.
3.3. All orders shall be checked
for margin sufficiency at order level for inclusion in pre-open session.
3.4. All other conditions for
pre-open call auction session shall be as per circulars CIR/MRD/DP/21/2010
dated July15, 2010, CIR/MRD/DP/27/2010 dated August 27, 2010 and
CIR/MRD/DP/32/2010 September 17, 2010.
4.
The provisions of this circular shall be effective from April 01, 2013.
5.
Stock Exchanges are directed to:
5.1. take necessary steps and put
in place necessary systems for implementation of this circular;
5.2. make necessary amendments to
the relevant bye-laws, rules and regulations for the implementation of the
above decision;
5.3. bring the provisions of this
circular to the notice of the member brokers of the stock exchange and also to
disseminate the same on the website.
6.
This circular is being issued in exercise of powers conferred under Section 11
(1) of the Securities and Exchange Board of India Act, 1992 to protect the
interests of investors in securities and to promote the development of, and to
regulate the securities market.
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