Position Limits
Members are subject to the following position limits in addition to margin requirements.
Cash Settled Interest Rate Derivatives on G-SEC
| Interest rate Derivatives | Banks and Primary Dealers, Mutual Funds (at AMC level), Insurance Companies, Pension Funds and Housing Finance companies | Mutual Fund (Scheme level) and other clients |
|---|---|---|
| Across all contracts within the 8-11 year maturity bucket | 10% of Open Interest or INR 1,200 crores whichever is higher | 3% of Open Interest or INR 400 crores whichever is higher |
| Across all contracts within other maturity bucket | 10% of Open Interest or INR 600 crores whichever is higher | 3% of Open Interest or INR 200 crores whichever is higher |
- The position limit linked to open interest shall be applicable at the time of opening a position. Such positions shall not be required to be unwound immediately by the trading member in the event of a drop of total open interest in Interest Rate Derivatives contracts within the respective maturity bucket.
- However, in the aforementioned scenario, the trading member shall not be allowed to increase their existing positions or create new positions in the Interest Rate Futures contracts of the respective maturity bucket till they comply with the applicable position limits.
For Foreign Portfolio Investors:
|
Product |
FPI Category I and FPI Category II (other than individuals, family offices and corporates) |
FPI Category II (individuals, family offices and corporates) |
|---|---|---|
|
Across all contracts within the 8-11 year maturity bucket |
10% of Open Interest or INR1,200 crores whichever is higher |
3% of Open Interest or INR 400 crores whichever is higher |
|
Across all contracts within other maturity bucket |
10% of Open Interest or INR 600 crores whichever is higher |
3% of Open Interest or INR 200 crores whichever is higher |
- The total gross short (sold) position of each FPI in Interest Rate Derivatives contracts shall not exceed its long position in the government securities and in Interest Rate Futures, at any point of time.
- A separate limit of INR 5,000 crores to FPIs for taking long position in Interest Rate Derivatives. This limit will be calculated as follows:
- For each Interest Rate Derivatives instrument, position of FPIs with a net long position will be aggregated.
- FPIs with a net short position in the instrument will not be reckoned.
- No FPI can acquire net long position in excess of INR 1,800 crores at any point of time.
- For monitoring the limit Stock Exchanges, after consulting amongst themselves, shall adhere to the following mechanism:
- Stock Exchanges will put in place necessary mechanism for monitoring and enforcing limits of FPIs in Interest Rate Derivatives
- Stock Exchanges will aggregate net long position in Interest Rate Derivatives of all FPIs taken together at end of the day and shall jointly publish/ disseminate the same on their website on daily basis.
- Once 90% of the limit is utilized, Stock Exchanges will put in place necessary mechanism to get alerts and publish on their websites the available limit, on a daily basis.
- In case, there is any breach of the threshold limit, the FPI/s whose investment caused the breach shall square off their excess position/s within five trading days or by expiry of contract whichever is earlier.
Exchange Wide Position Limit for Cash settled Interest Rate Derivatives on G-SEC
Exchange level overall open interest on all Interest Rate Derivatives contracts on each underlying shall not exceed 25% of the outstanding of underlying bond.
Futures on 91 DAY GOI T-BILL
The gross open positions of the Trading member across all contracts should not exceed 15% of the total open interest or Rs.1000 crores whichever is higher.
Futures on overnight call rate (MIBOR)
Trading member and institutional client (including primary dealers) level position limit shall be higher of 15% of open interest or Rs.1000 Crores (200 contracts)
Updated on: 04/01/2023
