VaR based margining system has been put in place based on the categorization of stocks based on the liquidity of stocks depending on its impact cost and volatility. It addresses 99% of the risks in the market.
A dditional margins have also been specified to address the balance 1% cases.
Collection of margins from institutional clients on T+1 basis
The difference between the close price and the price at which the trade was executed (trade price) multiplied by the cumulative buy and sell open position in each security gives the Mark to Market Profit/loss in each security.
Mark to market profit/loss can be calculated using the formula given below:
MTM Profit/Loss = [(Total Buy Qty * Close price) – Total Buy Value] + [Total Sell Value – (Total Sell Qty * Close price)]
Sr. No. Security Buy Quantity Buy Price Sell Quantity Sell Price Close Price Mtm Profit/Loss Per Security 1 A 1000 50000.00 2000 90000.00 56.00 -16000 2 B 1600 64000.00 1800 73800.00 36.00 2600 3 C 600 3000.00 300 1500.00 5.00 0 4 D 0 0.00 2000 30000.00 14.00 2000 5 E 1000 6300.00 0 u0.00 5.00 -1300 6 F 800 32000.00 500 19250.00 35.00 -2250
Earlier calculated on “Market capitalization –Weight methodology
30 companies in the index
Base year is 1978-79
Since 1 st sept 2003, sensex is being calculated on free float market capitalization methodology (this is taking into consideration only those shares issued by the company that are readily available for trading in the market)
Trading frequency- each and every day in last 3 months
Final rank-should figure in top 100 companies where in 75% weight age is given to last 3 months average full market capitalization and 25% weight age is given to liquidity rank based on daily turn over and impact cost