Review of Margining with respect to Exchange Traded Funds (ETFs)

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..../DoP/SE/Cir-07/2005 dated February 23, 2005 and modification thereto. The following additional provisions are hereby incorporated in the said framework: A. Use of VaR Methodology with respect to Exchange Traded Funds I. Index ETFs are based on a basket of securities. However, for computing margins on ETFs they are treated at par with stocks and margins that are applicable on stocks are being app....

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....cility to ETFs based on equity index and its constituent stocks for following off-setting positions in cash market segment, as follows: * ETFs and constituent stocks (in the proportion specified for the ETF) to the extent they offset each other, * ETFs and constituent stocks futures (in the proportion specified for the ETF) to the extent they offset each other and * ETFs and relevant Index F....