NATIONAL STOCK EXCHANGE OF INDIA LIMITED

FUTURES & OPTIONS SEGMENT

CIRCULAR

 

Circular No: NSE/F&O/012/2008 January 25, 2008

Download No: NSE/FAOP/10139

 

Dear Members,

 

Subject: Adjustment of Futures and Options contracts in the security

STATE BANK OF INDIA

 

In pursuance of the principles prescribed by SEBI for adjustments to futures and options contracts on announcement of corporate action of rights shares and in continuation of our circular NSE/F&O/007/2008 dated January 15, 2008, members are informed of the following methodology for adjustment:

 

Corporate action:

 

State Bank of India has informed the Exchange that Central Board of the Bank at its meeting held on January 14, 2008 has decided to raise an aggregate amount of Rs.16,736.31 crore (including premium) by way of Rights Issue offer to Government of India and to other eligible existing shareholders including GDR holders. Further, the Bank has submitted the details of the rights issue which is as follows: 1) Ratio for Rights Issue: one share for every five shares held by the eligible shareholders as on the Record Date. 2) Price for Rights Issue: Rs. 1590 per share (i.e. face value of Rs.10 each and a premium of Rs.1580 per share). Further, the Bank has fixed February 04, 2008 as the Record Date for determining the eligible shareholders for the Rights Issue.

 

Adjustments for equity share portion of Rights will be carried out as follows:

 

Symbol : SBIN

Rights ratio : 1:5

Record Date : February 04, 2008

Ex date : January 28, 2008

 

Adjustments for Options Contracts:

 

  1. Strike Price: The adjusted strike price shall be arrived at by multiplying the old strike price by the adjustment factor.
  2. Market Lot: The adjusted market lot shall be arrived at by dividing the old market lot by the adjustment factor. The revised market lot would be 132

 

 


 

Adjustments for Futures Contracts:

 

  1. Futures base Price: The adjusted Futures base price shall be arrived at by multiplying the old Futures base price by the adjustment factor.
  2. Market Lot: The adjusted market lot shall be arrived at by dividing the old market lot by the adjustment factor. The revised market lot would be 132

 

 

The methodology for position adjustments has been separately intimated by NSCCL.

 

The above changes shall be effective from January 28, 2008

 

Members are requested to load the following files in the NEATFO software before trading on January 28, 2008.

 

1.      Security.gz

2.      Contract.gz

 

These files can be obtained from the directory faoftp/faocommon in the Extranet server.

The details of the revised option strike prices available for trading in the security SBIN on January 28, 2008 is given in Annexure I.

 

For any clarifications, members are advised to contact the following officials:

Mr Janardhan Gujaran and Mr. Arvind Goyal at 022-26598151 and 022-26598152.

 

For and on behalf of

National Stock Exchange of India Limited

 

 

 

 

Suprabhat Lala

Asst. Vice President


 

Annexure 1

 

Underlying close price on the last cum date (P): 2407.40

Issue price of the rights (S) : 1590

 

Adjustment factor:

 

Number of Existing shares = 5

Rights Entitlement

(Rights to subscribe) = 1

Total Entitlement = 6

 

Benefit per Right Entitlement

= (P S)

= (2407.40-1590) = Rs.817.40

 

Benefits per share (E)

= (817.40/6) = 136.23

 

Hence, Adjustment Factor is

= (P-E)/P

= (2407.40-136.23) / 2407.40

= 0.943411

 

The revised strike/futures prices and the lot size on account of adjustment would appear in decimal places. The strike/futures prices are rounded off to the nearest tick size and the lot size is rounded off to the nearest integer.

 

S No.

Instrument

Symbol

Expiry

Existing strike price

Revised strike price

1

OPTSTK

SBIN

31-Jan-08

1860.00

1754.75

2

OPTSTK

SBIN

31-Jan-08

1890.00

1783.05

3

OPTSTK

SBIN

31-Jan-08

1920.00

1811.35

4

OPTSTK

SBIN

31-Jan-08

1950.00

1839.65

5

OPTSTK

SBIN

31-Jan-08

1980.00

1867.95

6

OPTSTK

SBIN

31-Jan-08

2010.00

1896.25

7

OPTSTK

SBIN

31-Jan-08

2040.00

1924.55

8

OPTSTK

SBIN

31-Jan-08

2070.00

1952.85

9

OPTSTK

SBIN

31-Jan-08

2100.00

1981.15

10

OPTSTK

SBIN

31-Jan-08

2130.00

2009.45

11

OPTSTK

SBIN

31-Jan-08

2160.00

2037.75

12

OPTSTK

SBIN

31-Jan-08

2190.00

2066.05

13

OPTSTK

SBIN

31-Jan-08

2220.00

2094.35

14

OPTSTK

SBIN

31-Jan-08

2250.00

2122.65

15

OPTSTK

SBIN

31-Jan-08

2280.00

2151.00

16

OPTSTK

SBIN

31-Jan-08

2310.00

2179.30

17

OPTSTK

SBIN

31-Jan-08

2340.00

2207.60

18

OPTSTK

SBIN

31-Jan-08

2370.00

2235.90

19

OPTSTK

SBIN

31-Jan-08

2400.00

2264.20

20

OPTSTK

SBIN

31-Jan-08

2430.00

2292.50

21

OPTSTK

SBIN

31-Jan-08

2460.00

2320.80

22

OPTSTK

SBIN

31-Jan-08

2490.00

2349.10

23

OPTSTK

SBIN

31-Jan-08

2520.00

2377.40

24

OPTSTK

SBIN

31-Jan-08

2550.00

2405.70

25

OPTSTK

SBIN

28-Feb-08

2040.00

1924.55

26

OPTSTK

SBIN

28-Feb-08

2070.00

1952.85

27

OPTSTK

SBIN

28-Feb-08

2100.00

1981.15

28

OPTSTK

SBIN

28-Feb-08

2130.00

2009.45

29

OPTSTK

SBIN

28-Feb-08

2160.00

2037.75

30

OPTSTK

SBIN

28-Feb-08

2190.00

2066.05

31

OPTSTK

SBIN

28-Feb-08

2220.00

2094.35

32

OPTSTK

SBIN

28-Feb-08

2250.00

2122.65

33

OPTSTK

SBIN

28-Feb-08

2280.00

2151.00

34

OPTSTK

SBIN

28-Feb-08

2310.00

2179.30

35

OPTSTK

SBIN

28-Feb-08

2340.00

2207.60

36

OPTSTK

SBIN

28-Feb-08

2370.00

2235.90

37

OPTSTK

SBIN

28-Feb-08

2400.00

2264.20

38

OPTSTK

SBIN

28-Feb-08

2430.00

2292.50

39

OPTSTK

SBIN

28-Feb-08

2460.00

2320.80

40

OPTSTK

SBIN

28-Feb-08

2490.00

2349.10

41

OPTSTK

SBIN

28-Feb-08

2520.00

2377.40

42

OPTSTK

SBIN

28-Feb-08

2550.00

2405.70

43

OPTSTK

SBIN

27-Mar-08

2040.00

1924.55

44

OPTSTK

SBIN

27-Mar-08

2070.00

1952.85

45

OPTSTK

SBIN

27-Mar-08

2100.00

1981.15

46

OPTSTK

SBIN

27-Mar-08

2130.00

2009.45

47

OPTSTK

SBIN

27-Mar-08

2160.00

2037.75

48

OPTSTK

SBIN

27-Mar-08

2190.00

2066.05

49

OPTSTK

SBIN

27-Mar-08

2220.00

2094.35

50

OPTSTK

SBIN

27-Mar-08

2250.00

2122.65

51

OPTSTK

SBIN

27-Mar-08

2280.00

2151.00

52

OPTSTK

SBIN

27-Mar-08

2310.00

2179.30

53

OPTSTK

SBIN

27-Mar-08

2340.00

2207.60

54

OPTSTK

SBIN

27-Mar-08

2370.00

2235.90

55

OPTSTK

SBIN

27-Mar-08

2400.00

2264.20

56

OPTSTK

SBIN

27-Mar-08

2430.00

2292.50

57

OPTSTK

SBIN

27-Mar-08

2460.00

2320.80

58

OPTSTK

SBIN

27-Mar-08

2490.00

2349.10

59

OPTSTK

SBIN

27-Mar-08

2520.00

2377.40

60

OPTSTK

SBIN

27-Mar-08

2550.00

2405.70