NATIONAL STOCK EXCHANGE OF INDIA LIMITED

CAPITAL MARKET OPERATIONS

CIRCULAR

Circular No.: NSE/CMO/0146/2004

Download No. NSE/CMTR/5588

Date: November 10, 2004

 

Dear Members,

 

STT has been implemented by the exchange from October 1, 2004. The methodology of computation of STT was informed to the members vide circular no. NSE/CMO/0135/2004 for the Capital Market segment. The Exchange computes the STT liability of members after taking into consideration, the trade modification requests submitted by them.

 

However, certain members have represented that they issue the contract notes immediately after market close. Hence, they compute the STT liability on their own for mentioning it in the contract note. At times, this does not match with the figures computed by the exchange, which are received later. For facilitating computation of the STT amount by the members at their end, the procedure adopted by the Exchange is detailed below.

 

However, members must take note that the STT amounts intimated by the Exchange will be final and indisputable.

 

Securities Transaction Tax (STT) calculation in Cash Market Segment

 

A.           Steps for calculating the STT for securities traded in Netted settlement for a client.

 

1. Aggregate of all the trades executed for the day for each security for a client code shall be taken to arrive at the following values:

  • Total Buy quantity (BQTY) This is the sum of the quantity of all buy trades for the client for a security.
  • Total Buy Value (BVAL) - This is the sum of the trade value (Trade quantity * Trade price for each trade) of all buy trades for the client for a security.
  • Total Sell quantity (SQTY) This is the sum of the quantity of all sell trades for the client for a security.
  • Total Sell Value (SVAL) - This is the sum of the trade value (Trade quantity * Trade price for each trade) of all sell trades for the client for a security.

 

2. The volume weighted average price (VWAP) for each security for the client shall be calculated as under:

(BVAL+ SVAL) / (BQTY+ SQTY)

The above value is rounded off to two decimals to arrive at the VWAP. VWAP price is applicable only in case of netted trades.

 

3. Quantity of securities to be settled by actual delivery is arrived at as under

  • Purchase quantity delivery (PDELQTY) = BQTY SQTY if BQTY > SQTY
  • Sale Quantity delivery (SDELQTY) = - (BQTY SQTY) if BQTY< SQTY

 

4. Quantity to be settled other than by actual delivery is as under

  • Sale quantity other than delivery (SNDELQTY) = Minimum of BQTY and SQTY

 

5. Value of securities to be settled by actual delivery shall be calculated as under

  • Purchase value delivery (PDELVAL) = PDELQTY * VWAP
  • Sale value delivery (SDELVAL) = SDELQTY* VWAP

 

6. Value of securities to be settled by other than actual delivery is as under

  • Sale value other than delivery (SNDELVAL) = SNDELQTY* VWAP

 

7. STT on the value of securities quantity to be settled by actual delivery by applying the prescribed rate on the deliverable value. Currently this rate is 0.075%.

  • STT purchase delivery (PDELSTT) = PDELVAL* STT rate. This value is rounded off to two decimals.
  • STT sale delivery (SDELSTT) = SDELVAL* STT rate. This value is rounded off to two decimals.

 

8. STT on the value of securities to be settled other than by actual delivery by applying the prescribed rate on non deliverable value. Currently this rate is 0.015%.

  • STT sale other than delivery (SNDELSTT) = SNDELVAL* STT rate rounded off to two decimals.

 

9. Total STT for a security in the Netted settlement shall be arrived at by summing up the following:

  • Total STT for a Security in a Netted settlement = PDELSTT+ SDELSTT +SNDELSTT.

 

B.     Steps for calculating the STT for securities traded in Non Netted settlement for a client.

 

1. Aggregate of all the trades executed for the day for each security for a client code shall be taken to arrive at the following values:

  • Total Buy quantity (BQTY) This is the sum of the quantity of all buy trades for the client
  • Total Buy Value (BVAL) - This is the sum of the trade value (Trade quantity * Trade price for each trade) of all buy trades for the client
  • Total Sell quantity (SQTY) This is the sum of the quantity of all sell trades for the client
  • Total Sell Value (SVAL) - This is the sum of the trade value (Trade quantity * Trade price for each trade) of all sell trades for the client.

 

2. Quantity of securities to be settled by actual delivery is arrived at as under

  • Purchase quantity delivery (PDELQTY) = BQTY
  • Sale Quantity delivery (SDELQTY) = SQTY

 

3. Value of securities to be settled by actual delivery shall be calculated as under

  • Purchase value delivery (PDELVAL) = BVAL
  • Sale value delivery (SDELVAL) = SVAL

 

4. STT on the value of securities to be settled by actual delivery by applying the prescribed rate on the deliverable value. Currently this rate is 0.075%.

  • STT purchase delivery (PDELSTT) = PDELVAL* STT rate. This value is rounded off to two decimals.
  • STT sale delivery (SDELSTT) = SDELVAL* STT rate. This value is rounded off to two decimals.

 

5. Total STT for a security in the Non Netted settlement shall be arrived at by summing up the following:

Total STT for a Security in a Non Netted settlement = PDELSTT+ SDELSTT.

 

C.     Steps for calculating the STT for securities traded Auction settlement for a client.

 

1. Aggregate of all the trades executed for the day for each security for a client code shall be taken to arrive at the following values:

  • Total Buy quantity (BQTY) This is the sum of the quantity of all buy trades for the client. Since securities are bought by NSCCL on behalf of the members, the Trading Member code will be the client code.
  • Total Buy Value (BVAL) - This is the sum of the trade value (Trade quantity * Weighted Average price for Auction) of all buy trades for the client. Since securities are bought by NSCCL on behalf of the members, the Trading Member code will be the client code.
  • Total Sell quantity (SQTY) This is the sum of the quantity of all sell trades for the client
  • Total Sell Value (SVAL) - This is the sum of the trade value (Trade quantity * Trade price for each trade) of all sell trades for the client.

 

2. Quantity of securities to be settled by actual delivery is arrived at as under

  • Purchase quantity delivery (PDELQTY) = BQTY
  • Sale Quantity delivery (SDELQTY) = SQTY

 

3. Value of securities to be settled by actual delivery shall be calculated as under

  • Purchase value delivery (PDELVAL) = BVAL
  • Sale value delivery (SDELVAL) = SVAL

 

4. STT on the value of securities to be settled by actual delivery by applying the prescribed rate on the deliverable value. Currently this rate is 0.075%.

  • STT purchase delivery (PDELSTT) = PDELVAL* STT rate. This value is rounded off to two decimals.
  • STT sale delivery (SDELSTT) = SDELVAL* STT rate. This value is rounded off to two decimals.

 

5. Total STT for a security in the Auction settlement shall be arrived at by summing up the following:

  • Total STT for a Security in the Auction settlement = PDELSTT+ SDELSTT.

 

D.     The Total STT liability for a client is arrived at by summing up the Total STT for each security in various settlements arrived at as above and rounded off to the nearest rupee i.e. value with 50 paise and above will be rounded up to the higher rupee and value less than 50 paise will be rounded down to the lower rupee.

 

e.g. 14.79 will be rounded up to 15.00

14.50 will be rounded up to 15.00

14.49 will be rounded down to 14.00

14.00 will be retained as 14.00.

 

E.      The Total STT liability for a Member is arrived at by summing up the Total STT for each client.

 

In case of any clarifications on the subject matter you may kindly contact Janardhan Y Gujaran, Mr. Nitin Kataria on 022-26598153 and Ms. Madhuri N., Mr Viral Shah on 022-26598156.

 

 

For and behalf of

National Stock Exchange of India Ltd.

 

 

Authorised Signatory