Description

BSE introduces new Market Wide Position Limit calculation methodology and strengthened entity-level position monitoring during ban periods for equity derivatives.

Summary

BSE has implemented new measures to enhance trading convenience and strengthen risk monitoring in equity derivatives. The circular introduces a revised Market Wide Position Limit (MWPL) calculation methodology and establishes enhanced entity-level position monitoring during ban periods.

Key Points

  • New MWPL calculation: Lower of 15% Free Float or 65 times market wide Average Daily Delivery Value (ADDV), subject to minimum 10% Free Float
  • MWPL will be recomputed quarterly based on latest free float and 3-month ADDV data
  • Ban period triggers when Future Equivalent Open Interest exceeds 95% of MWPL
  • Trading resumes when combined FutEq Open Interest falls to 80% of MWPL
  • Enhanced entity-level monitoring during ban periods using delta-adjusted positions
  • Base position tracking and violation detection system for entities during ban periods

Regulatory Changes

  • Adoption of new SEBI-prescribed MWPL methodology replacing existing calculations
  • Discontinuation of gross open interest monitoring for MWPL purposes
  • Implementation of delta-based position monitoring using SPAN file parameters
  • Quarterly recalibration of position limits based on market data

Compliance Requirements

  • Clearing Corporations must obtain latest free float data from stock exchanges
  • Daily monitoring of FutEq Open Interest against MWPL thresholds
  • Dissemination of MWPL calculations by 20th of last month of reference quarter
  • Daily publication of MWPL utilization and banned stocks on CC websites
  • Entity position tracking and violation assessment during ban periods
  • Penalty levy for entities violating position reduction requirements during bans

Important Dates

  • MWPL effective from October 1, 2025 (based on data from June 16 to September 15, 2025)
  • Quarterly recalculation schedule ongoing
  • Daily dissemination requirements for ban period stocks and utilization

Impact Assessment

This circular significantly impacts equity derivatives trading by introducing more market-responsive position limits and stricter monitoring. The new methodology should provide better risk management while the enhanced monitoring ensures entities cannot circumvent ban period restrictions. Market participants must adapt their risk management systems to comply with the new position tracking and delta-based calculations.

Impact Justification

Fundamental changes to position limit calculations and monitoring mechanisms affecting all equity derivatives trading