What is the margining system in Rolling Settlements?
For trades in CRS, Value-at-Risk (VaR) based margining approach has been adopted. In the VaR system of margining, historical volatility of scrips and overall market volatility represented by Sensex is considered to arrive at a VaR margin percentage for a scrip. As the scrips traded on BSE are divided into following two groups for calculation of VaR margins as per the SEBI directive, VaR margins are to be calculated depending on the group to which the scrip belongs. Group I: 246 highly liquid scrips which had the facilities of BLESS, ALBM or MCFS or included in the BSE 200, mandated in Compulsory Rolling Settlements w.e.f. July 2, 2001 plus 15 scrips earlier placed in Compulsory Rolling Settlements having the facility of BLESS (Rolling) Group II. remaining scrips. VaR margin for Group I is calculated as the higher of Scrip VaR and Index VaR multiplier with a suitable multiplier. VaR margin in Group II is calculated based on Daily Index VaR multiplied with a suitable multiplier. These pe
