Currency Futures on Additional Currency Pairs
Summary
SEBI permits eligible stock exchanges to introduce currency futures on Euro-INR, Pound Sterling-INR, and Japanese Yen-INR pairs. The circular specifies detailed product designs, margin requirements, and position limits for these new contracts in Annexures I, II, and III. Additionally, it modifies the calendar spread margin applicable to existing US Dollar-INR contracts as outlined in Annexure IV.
Text
It has now been decided to permit eligible Stock Exchanges to introduce currency futures on Euro-INR, Pound Sterling-INR and Japanese Yen-INR.
Euro-Indian Rupee (EUR-INR)
The contract size would be Euro 1000.
The maximum maturity of the contract would be 12 months.
The contract would be settled in cash in Indian Rupee.
The settlement price would be the Reserve Bank Reference Rate on the date of expiry.
The contract would expire on the last working day (excluding Saturdays) of the month... rules... laid down by FEDAI.
The initial margin so computed would be subject to a minimum of 2.80% on the first day of trading and 2% thereafter.
The calendar spread margin shall be at a value of Rs. 700 for a spread of 1 month; Rs 1000 for a spread of 2 months and Rs 1500 for a spread of 3 months or more.
Extreme loss margin of 0.3% on the mark to market value of the gross open positions shall be deducted from the liquid assets of the clearing member...
The gross open positions of the client across all contracts shall not exceed 6% of the total open interest or EUR 5 million whichever is higher.
The gross open positions of the trading member across all contracts shall not exceed 15% of the total open interest or EUR 25 million whichever is higher.
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Source: SecMarx — Currency Futures on Additional Currency Pairs. Verbatim text is public record; SecMarx structuring (linkage to applying orders) is cited to us.