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TMI BlogCurrency Futures on Additional Currency PairsX X X X Extracts X X X X X X X X Extracts X X X X ..... additional currency pairs are as given under Annexure I, II and III respectively. Based on feedback received from Stock Exchanges, it has been decided to modify the calendar spread margin to be applied on the US Dollar-INR contract and the same is specified under Annexure IV. This circular is issued in exercise of the powers conferred under Section 11 (1) of the Securities and Exchange Board of India Act 1992, read with Section 10 of the Securities Contracts (Regulation) Act, 1956 to protect the interests of investors in securities and to promote the development of, and to regulate the securities market. This circular is available on SEBI website at www.sebi.gov.in., under the category "Derivatives- Circulars". Yours faithfully, SUJIT ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... 80% on the first day of trading and 2% thereafter. The initial margin shall be deducted from the liquid networth of the clearing member on an online, real time basis. 11. Calendar spread margin A currency futures position at one maturity which is hedged by an offsetting position at a different maturity would be treated as a calendar spread. The calendar spread margin shall be at a value of ₹ 700 for a spread of 1 month; ₹ 1000 for a spread of 2 months and ₹ 1500 for a spread of 3 months or more. The benefit for a calendar spread would continue till expiry of the near month contract. 12. Extreme Loss margin Extreme loss margin of 0.3% on the mark to market value of the gross open positions shall be deducted from the liq ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... e contracts All monthly maturities from 1 to 12 months would be made available. 7. Settlement mechanism The contract would be settled in cash in Indian Rupee. 8. Settlement price Exchange rate published by the Reserve Bank in its Press Release captioned RBI Reference Rate for US$ and Euro. 9. Final settlement day The contract would expire on the last working day (excluding Saturdays) of the month. The last working day would be taken to be the same as that for Interbank Settlements in Mumbai. The rules for Interbank Settlements, including those for 'known holidays' and 'subsequently declared holiday' would be those as laid down by FEDAI. 10. Initial Margin The Initial Margin requirement would be based on a worst case loss of a portf ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... b) Trading Member Level: The gross open positions of the trading member across all contracts shall not exceed 15% of the total open interest or GBP 25 million whichever is higher. c) Bank: The gross open positions of the bank across all contracts shall not exceed 15% of the total open interest or GBP 50 million whichever is higher. d) Clearing Member Level: No separate position limit is prescribed at the level of clearing member. However, the clearing member shall ensure that his own trading position and the positions of each trading member clearing through him is within the limits specified above. ANNEXURE III PRODUCT DESIGN, MARGIN & POSITION LIMITS FOR JAPANESE YEN-INR CURRENCY PAIR 1. Underlying Japanese Yen - Indian Rupee (JP ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... shall be deducted from the liquid networth of the clearing member on an online, real time basis. 11. Calendar spread margin A currency futures position at one maturity which is hedged by an offsetting position at a different maturity would be treated as a calendar spread. The calendar spread margin shall be at a value of ₹ 600 for a spread of 1 month; ₹ 1000 for a spread of 2 months and ₹ 1500 for a spread of 3 months or more. The benefit for a calendar spread would continue till expiry of the near month contract. 12. Extreme Loss margin Extreme loss margin of 0.7% on the mark to market value of the gross open positions shall be deducted from the liquid assets of the clearing member on an on line, real time basis. 13. ..... X X X X Extracts X X X X X X X X Extracts X X X X
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