In pursuance of SEBI guidelines for adjustment of Futures & Options Contracts on announcement of corporate actions, the members of the Equity Derivatives Segment are hereby informed the following:

TATA STEEL LTD (Scrip Code: 500470) has informed the Exchange that It has approved Rights issue of 4 Fully paid up Equity share for every 25 Equity Shares held by shareholders in the company with Issue price- Rs.510 per Equity share (including premium of Rs.500 per Equity share) and 2 Partly paid up Equity share for every 25 Equity Shares held by shareholders in the company with Issue price- Rs.615 per Equity share (including premium of Rs.605 per Equity share) as on the record date.

In view of the above and in compliance with the aforementioned SEBI guidelines, the Exchange shall make the necessary adjustments for all the available Futures & Options contracts on the underlying scrip TATA STEEL LTD (Derivatives Asset Code – TISC), on Tuesday, January 30, 2018 end of day, the ‘ex-date’ being Wednesday, January 31, 2018.

The adjustments to be made on account of the above corporate action in line with SEBI guidelines are given below:

A) Adjustment Factor:

If the ratio of Rights Issue is say A: B and the Issue price of Rights Issue is S, the adjustment factor is defined as (P-E)/P where P= Spot price on last cum date and 

(Benefits per share) E = (P-S) x A / (A+B).

Underlying close price on the last cum date (P): 780.05#

Issue price of the rights (S): 545 (Weighted average issue price of fully & partly paid up shares)

Adjustment Factor:

Number of Existing Shares = 25

Rights Entitlement = 6

Total Entitlement =   31

Benefit per Right Entitlement

= (P – S) x Rights Entitlement

= (780.05-545) x 6 = Rs.1410.30

Benefits per share (E)

= (1410.30/31) = Rs.45.4936

Hence, Adjustment Factor is

= (P-E)/P

= (780.05 – 45.4936) / 780.05

= 0.941679

Therefore, the adjustment factor in this case would be 0.941679

# the figure is only an indicative value for the purpose of example.

B) Adjustments for Options Contracts:

1. Strike Price: The adjusted strike price will be arrived at by multiplying the Existing Strike price by the adjustment factor 0.941679. The revised strike prices on account of adjustment would be as shown below (example):

2. Change in Market Lot: The adjusted market lot will be arrived at by dividing the existing market lot by the adjustment factor 0.941679.  The revised market lot would therefore be as under:

    1000(existing market lot) / 0.941679 (adjustment factor) = 1062 (revised market lot)

C) Adjustments for Futures Contracts:

1. Futures price: The adjusted futures price will be arrived at by multiplying the old futures price by the adjustment factor (0.941679). 

2. Market Lot: The adjusted market lot will be arrived at by dividing the existing market lot by the adjustment factor (0.941679).The revised market lot would be as under:

     1000 (existing market lot) / 0.941679 (adjustment factor) =1062 (revised market lot)

The details of the revised option strike prices, futures prices and lot size will be informed to members separately on January 30, 2018.

For any further clarifications, Trading members are requested to contact their designated Relationship Managers.

For and on Behalf of BSE Ltd.