This is in continuation to SEBI circular CIR/MRD/DP/118/2017 dated October 26, 2017 and Exchange circular no. 20171030-5 dated October 30, 2017 regarding review of block deal window mechanism in the Equity segment.
Trading members of the Exchange are hereby informed that the revised mechanism shall be applicable with effect from Monday, January 01, 2018.
Guidelines of the revised block deal mechanism are as follows –
1. Timings – Block deal windows shall be available on all trading days in Equity segment as follows –
a. Morning Block Deal Window - This window shall operate between 08:45 AM to 09:00 AM.
b. Afternoon Block Deal Window - This window shall operate between 02:05 PM to 2:20 PM.
2. Block Reference Price (BRP): The reference price for execution of block deals will be provided in the market picture of the security as ‘BRP’. The orders placed shall be within ±1% of the applicable reference price in the respective windows.
a. BRP for execution of block deals in the morning block deal window shall be the previous day closing price or adjusted previous close price (on account of corporate action) of the security. If security is not traded on the previous day then the latest available close price shall be considered.
b. BRP for afternoon block deal window shall be the volume weighted average market price (VWAP) of the trades executed in the stock in the Equity segment between 01:45 PM to 02:00 PM. If no trades are executed between 01:45 PM to 02:00 PM, then the reference price considered shall be previous close price of that security.
3. The minimum order size for execution of trades in the block deal window shall be Rs.10 Crore. There shall be no minimum quantity check applicable.
4. For new listings e.g. IPO securities only the afternoon block deal window shall be applicable. The reference price for the afternoon block deal window shall be the volume weighted average market price (VWAP) of the trades executed in the stock in the Equity segment between 01:45 PM to 02:00 PM. If no trades are executed between 01:45 PM to 02:00 PM then the reference price shall be the price at which the security was listed.
5. For Relisted securities, only the afternoon block deal window shall be applicable, subject to price discovery in the special pre-open session (SPOS). The reference price for the afternoon block deal window shall be the volume weighted average market price (VWAP) of the trades executed in the stock in the Equity segment between 01:45 PM to 02:00 PM. If no trades are executed between 01:45 PM to 02:00 PM then the reference price shall be the discovered price at which the security was relisted. However If there is no price discovery for the relisted security on any of the Exchange in SPOS then afternoon block deal window also shall not be applicable.
6. All unmatched orders of both block deal windows (first & second sessions) shall be cancelled. Unmatched orders of morning block deal window session shall not be carried forward to the afternoon block deal window session.
7. If index-based market-wide circuit breaker is triggered during or before the second block deal window such that it is overlapping the VWAP timings (1:45 PM to 2:00 PM) or second session (2:05 PM to 2:20 PM) either completely or partially, then the second block deal window will not be conducted on that trading day.
8. The information on block deals for the day such as the Scrip Code, name of the scrip, name of the client, quantity of shares bought/sold, traded price, etc. shall be made available to the general public on the Exchange website on the same day, after the market hours.
9. There shall not be any changes in the existing functionality of Block deals other than the ones which are mentioned above.
10. For illiquid securities traded in PCAS, no block deal session will be available.
The API changes with regards to the Block Reference Price have been communicated to members via circular no 20171127-34, dated November 27, 2017 and shall be made live with effect from January 01, 2018.
Members are requested to refer to the updated FAQs on the revised block deal window enclosed herewith as an Annexure and available on the Exchange website. Members can test the revised block deal mechanism in the mock trading session on Saturday, December 30, 2017. Please refer to the mock trading session circular no 20171222-31 dated December 22, 2017.
In case of any queries or clarifications, trading members may kindly get in touch with the Trading Operations team at the contact details given below –
Trading Operations Team
E-mail: trading.ops@bseindia.com
T: 022-2272 5626/ 5808
For and on behalf of BSE Ltd.,
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Vivek Garg
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Tejash Somaiya
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General Manager
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Dy. General Manager
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Trading Development
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Trading Development
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December 29, 2017
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