最终持仓限额平衡风险控制与增长空间

Final circularIndex Options:End-of-Day Limits:Net FutEq position: Rs15bnGross FutEq position: Rs100bn (i.e. neither grosslong FutEq OI nor gross short FutEq OI shallexceed Rs100bn)There shall be no penalty for breach of existingposition limits intraday and such intraday breachesshall not be considered as violations.Effective fromAlready implemented1-Oct-251-Oct-253-Nov-251-Jul-251-Jul to 5-Dec-256-Dec-256-Dec-253-Nov-251-Oct-25 Prakhar Sharma * | Equity Analyst91 22 4224 6129 | prakhar.sharma@jefferies.com Overall OI in derivatives in a scrip / index shall be determined by aggregating the Delta (orFuture Equivalent FutEq) of open positions in futures & options for the underlying. The grosssum of these positions across all UCCs will constitute the “FutEq OI” for that scrip.Definition of Market Wide Position Limit (MWPL)It has been decided to calibrate MWPL to the new formulation of OI measurement and also linkit to cash market activity. MWPL shall now be lower of 15% of free float and 65x Average DailyDelivery Value (ADDV) across CCs with a floor limit of 10% of free float. Tying the MWPL tocash market delivery volume will reduce the potential manipulation and better align derivativesrisk with the underlying cash market liquidity.Position Creation for Single Stocks during Ban PeriodIt has been decided that any trading done by entities in the derivatives contracts of a scrip,subsequent to its entry in the ban period, should result in reduction of FutEq OI on end of daybasis. For instance, if delta position is (+10) or say (-10) at the end of day 1, then it could bereduced till 0 by end of day 2.Intraday monitoring of MWPL utilization for single stocksTo safeguard market integrity and limit settlement risk from intraday spikes in FutEq OI,Exchanges shall perform intraday monitoring of MWPL utilization at least four random timesduring the trading session to take appropriate actions once OI utilization breaches certainlimits such as levying Additional Surveillance Margin, monitoring for entity-level concentration,additional surveillance checks, etc.Position Limits for Index FuturesIn order to facilitate market participants to take meaningful market wide exposure and todevelop index futures segment further, following position limits are stipulated for index futures:•FPI Category I / MFs / Trading Member (Prop) / Clients - higher of 15% of futures OI forthat index or Rs5bn•FPI Category II (other than individuals, family offices and corporates) - higher of 10% offutures OI or Rs5bn•FPI Category II (Individuals, family offices and corporates) higher of 5% of futures OI orRs5bn•The above stated position limits for index futures would be measured on gross notionalbasis.Eligibility Criteria for Derivatives on Non-Benchmark Indices•Minimum number of constituents: 14•Weight of top one constituent: ≤ 20%•Combined weight of top three constituents: ≤ 45%•All other constituents: Must individually weigh less than the higher-weighted constituentsPlease see important disclosure information on pages 3 - 8 of this report.This report is intended for Jefferies clients only. Unauthorized distribution is prohibited. We would like to thank Satvik Kanabar, employee of Evalueserve Inc., for providing research support services to our preparation of this report.Company Valuation/RisksBSE LimitedWe value BSE at 40x Jun-27E P/E, driving a PT of Rs7,000. Key risks emanate from a) further regulatory tightening on F&O market, b) hit to marginsfrom increase in clearing costs due to reg. action on ownership diversification, and c) other regulatory actions impacting op. margins of exchanges.Nuvama Wealth Management LtdWe value Nuvama WM using DDM at Rs8,000 per share, implying a P/E multiple of 23x FY27E. Key risks include adverse regulations, intensifyingcompetition, and prolonged market down-cycle.Analyst Certification:I, Prakhar Sharma, certify that all of the views expressed in this research report accurately reflect my personal views about the subject security(ies) andsubject company(ies). I also certify that no part of my compensation was, is, or will be, directly or indirectly, related to the specific recommendations orviews expressed in this research report.Registration of non-US analysts:Prakhar Sharma is employed by Jefferies India Private Limited, a non-US affiliate of Jefferies LLC and is not registered/qualified as a research analyst with FINRA. This analyst(s) may not be an associated person of Jefferies LLC, a FINRA member firm, and therefore maynot be subject to the FINRA Rule 2241 and restrictions on communications with a subject company, public appearances and trading securities held bya research analyst.As is the case with all Jefferies employees, the analyst(s) responsible for the coverage of the financial instruments discussed in this report receivescompensation based in part on the overall performance of the firm, including investment banking income. We seek to update our research as appropriate,but various regulations ma