Pursuant to SEBI circular bearing no. CIR/MRD/DP/04/2015 dated April 08, 2015 referring RBI circular number A.P. (DIR Series) no. 90 dated March 31, 2015 & A.P. (DIR Series) no. 91 dated March 31, 2015 and BSE circular no 20150408-33 dated April 08, 2015 relating to revision of limits regarding requirement of underlying exposure for currency derivatives contracts, the trading members are being informed about the revision in the position limits as follows :
As per the aforementioned SEBI Circular, the revised position limits are ;
1. Foreign Portfolio Investors (FPIs) may take long as well as short positions per stock exchange up to the following limit without having to establish the existence of any underlying exposure:
(i) USD-INR currency pair: USD 15 million;
(ii) EUR-INR, GBP-INR and JPY-INR currency pairs (all put together): USD 5 million.
FPIs are required to ensure that their short positions at a stock exchange across all contracts in USD-INR pair do not exceed USD 15 million and do not exceed USD 5 million equivalent in EUR-INR, GBP-INR and JPY-INR pairs, all put together at any point of time.
To take long positions in excess of USD 15 million in USD-INR pair and in excess of USD 5 million equivalent in EUR-INR, GBP-INR and JPY-INR pairs, all put together, FPIs shall be required to have an underlying exposure in Indian debt or equity securities, including units of equity/debt mutual funds.
2. Domestic clients may take long as well as short positions per stock exchange up to the following limit without having to establish the existence of any underlying exposure:
(i) USD-INR currency pair : USD 15 million;
(ii) EUR-INR, GBP-INR and JPY-INR currency pairs (all put together): USD 5 million.
Domestic clients may take positions in excess of USD 15 million in USD-INR pair and in excess of USD 5 million equivalent in EUR-INR, GBP-INR and JPY-INR pairs, all put together, subject to the conditions specified in the RBI A.P. (DIR Series) Circular no. 147 dated June 20, 2014 and RBI A.P. (DIR Series) Circular no. 90 dated March 31, 2015.
3. Domestic Clients/FPI shall ensure that their position do not exceed USD 15 million in USD-INR pair and USD 5 million equivalent in EUR-INR, GBP-INR and JPY-INR pairs, all put together without the existence of any underlying exposure at any point of time.
4. The underlying exposure limit is over and above the respective free limit subject to overall limits prescribed / modified time to time vide SEBI Circulars bearing no. CIR/MRD/DP/20/2014 dated June 20, 2014, CIR/MRD/DP/23/2014 dated July 24, 2014 and CIR/MRD/DP/30/2014 dated October 22, 2014 and the overall limits are as follows :
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Overall Position Limits
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Currency Pair
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USDINR
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EURINR
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GBPINR
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JPYINR
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Stock Brokers (Both bank and non bank), DII, FPIs Category I & II
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Gross open position across all contracts shall not exceed 15% of the total open interest or USD 100 million, whichever is higher.
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Gross open position across all contracts shall not exceed 15% of the total open interest or EUR 50 million, whichever is higher.
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Gross open position across all contracts shall not exceed 15% of the total open interest or GBP 50 million, whichever is higher.
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Gross open position across all contracts shall not exceed 15% of the total open interest or JPY 2000 million, whichever is higher.
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Prop-position of non-bank Stock Brokers
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Gross open position across all contracts shall not exceed 15% of the total open interest or USD 50 million, whichever is higher.
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Gross open position across all contracts shall not exceed 15% of the total open interest or EUR 25 million, whichever is higher.
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Gross open position across all contracts shall not exceed 15% of the total open interest or GBP 25 million, whichever is higher.
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Gross open position across all contracts shall not exceed 15% of the total open interest or JPY 1000 million, whichever is higher.
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Clients & FPI Category III
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Gross open position across all contracts shall not exceed 6% of the total open interest or USD 10 million, whichever is higher.
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Gross open position across all contracts shall not exceed 6% of the total open interest or EUR 5 million, whichever is higher.
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Gross open position across all contracts shall not exceed 6% of the total open interest or GBP 5 million, whichever is higher.
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Gross open position across all contracts shall not exceed 6% of the total open interest or JPY 200 million, whichever is higher.
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5. Methodology for calculating aggregate limit of USD 5 million equivalents to Currency Pairs EUR-INR, GBP-INR and JPY-INR is as follows :
· A predefined conversion factor shall be provided by the Exchange for converting from USD to other 3 currencies. The conversion factor shall be reviewed and updated on a quarterly basis. Trading members shall be intimated on the conversion factor for next quarter in advance through a market wide notice.
· For the quarter ending on June 30, 2015, the conversion factor shall be as follows ;
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Currency
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Conversion Factor
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USD to EURO
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0.91
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USD to GBP
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0.66
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USD to JPY
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119.10
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· Based on the aforementioned conversion factor, Client/FPI can take positions up to Euro 4.55 million in EUR-INR OR GBP 3.30 million in GBP-INR OR JPY 595.5 million in JPY-INR during the quarter ending June 30, 2015.
· Client/FPI may take the entire USD 5 million equivalent positions in one currency pair or combination of currency pairs and shall ensure that their position in EUR-INR, GBP-INR and JPY-INR, all put together does not exceed USD 5 million equivalent using the aforementioned conversion factor.
· The USD 5 million limits shall be considered separately for short and long positions across the 3 currency pairs.
· The position limits shall be monitored on end of day basis.
· FPI /Clients shall ensure that the above limit is subject to overall limits as prescribed in Para 4 above.
6. Alerts for client level position:
Alerts for exceeding the aforesaid position limits shall be provided in e-BOSS ( Member Surveillance System) under CDS Alerts if the gross open position of the client across all members (on the basis of PAN) across all contracts exceeds the aforesaid position limits at the end of the day, under the head “Position exceeds the applicable limit”. Gross open position is computed as higher of long position (long futures, long call options, short put options) or short position (short futures, short call options, long put options) based on the total OI of the previous day’s trades in that respective currency pair.
The current arrangement of providing FPI positions to the Custodians shall remained unchanged.
In case of clarifications regarding the above, please contact the following officials;
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Sr. No.
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Name of Official
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Contact No.
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Email Id
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1
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Anish Nair
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022-22725002
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Bse.surv@bseindia.com
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2
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Zarana Shah
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022-22725091
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For and on behalf of BSE Limited
Rajesh Saraf Usha Sharma
Sr. General Manager Dy. General Manager
Surveillance & Supervision Surveillance & Supervision |