Dated: 30th September, 2019
N O T I C E
Trading Members are hereby informed that the Exchange has received a Circular from SEBI Vide Ref. No. SEBI/HO/MRD/CIR/P/2019/103, dated September 26, 2019 regarding Position Limits in Interest Rate Derivatives (IRD). The contents of the said circular are reproduced hereunder for information of trading members.
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CIRCULAR |
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SEBI/HO/MRD/CIR/P/2019/103 |
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September 26, 2019 |
All Recognized Stock Exchanges
All Recognized Clearing Corporations |
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Dear Sir / Madam |
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Position Limits in Interest Rate Derivatives (IRD) |
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SEBI vide circulars CIR/MRD/DRMNP/35/2013 |
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December 5, 2013, |
CIR/MRD/DRMNP/ 2/2014 dated January 20, 2014 and CIR/MRD/DRMNP/11/2015 dated June 12, 2015 prescribed framework for trading of Cash settled Interest Rate Derivatives (IRD) on Stock Exchanges.
(i) Banks and Primary Dealers dealing as clients shall have same position limits as are applicable to Trading Members.
(ii) Institutions belonging to Category I and II FPIs (i.e. other than individuals, family offices and companies) shall have same position limits as are applicable to Trading Members, whereas non-institutions belonging to Category II FPI (i.e. individuals, family offices and companies) shall have same position limits as are applicable to clients.
(iii) Position limits have been revised for Interest Rate Derivatives falling in 8-11 years residual maturity bucket. The revised position limits for all the buckets shall be as under:
Category |
Position limits for 8-11 year bucket |
Position limits each for 4-8 and 11-15 years bucket |
Trading members, institutions in Category I and II FPIs (i.e. other than individuals, family offices and companies), banks and Primary Dealers, Mutual Funds (at AMC level), Insurance Companies, Pension Funds and Housing Finance companies |
10% of Open Interest or INR1,200 crore whichever is higher |
10% of Open Interest or INR 600 crore whichever is higher |
Non-institutions in Category II FPIs (i.e. individuals, family offices and companies), Mutual Fund (Scheme level) and other clients |
3% of Open Interest or INR 400 crore whichever is higher |
3% of Open Interest or INR 200 crore whichever is higher |
Yours faithfully
(Bithin Mahanta)
Deputy General Manager
email: bithinm@sebi.gov.in
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Trading Members are requested to take note of the aforesaid guidelines of SEBI and act accordingly.
Dhiraj Chakraboty
Deputy General Manager