Description

BSE updates conversion factors for monitoring aggregate position limits of USD 100 million across currency derivative contracts effective January 29, 2026.

Summary

BSE has revised the conversion factors for monitoring aggregate position limits across currency derivative contracts. Trading members must use these updated factors from January 29, 2026, to ensure compliance with the USD 100 million equivalent position limit across GBP-INR, EUR-INR, and JPY-INR currency pairs.

Key Points

  • New conversion factors effective from January 29, 2026: USD to EURO: 0.86, USD to GBP: 0.75, USD to JPY: 153.71
  • Conversion factors apply for monitoring aggregate position limits across currency derivatives
  • Previous conversion factors (from notice 20250925-52) remain valid until January 28, 2026
  • Entities must ensure positions across all exchanges stay within USD 100 million equivalent limit
  • Clients exceeding USD 100 million equivalent must provide underlying exposure disclosure to trading members

Regulatory Changes

This notice continues the framework established in Exchange notices 20150430-20 (April 30, 2015) and 2018040339 (April 03, 2018) regarding position limit requirements for currency derivative contracts. The update only revises the conversion factors used for calculating equivalent USD positions.

Compliance Requirements

  • Entities: Must monitor and ensure aggregate positions across all exchanges remain within USD 100 million equivalent using the new conversion factors
  • Clients: Those with positions exceeding USD 100 million equivalent must provide disclosure of underlying exposure to their trading member
  • Trading Members: Must ensure client positions remain within prescribed limits as per para 4 of Exchange notice 20150430-20 dated April 30, 2015
  • Cross-Exchange Monitoring: Position limits apply cumulatively across all exchanges, not per exchange

Important Dates

  • December 26, 2025: Notice issued
  • Until January 28, 2026: Previous conversion factors from notice 20250925-52 remain applicable
  • January 29, 2026: New conversion factors become effective

Impact Assessment

Market Impact: Medium. The revised conversion factors reflect current forex market rates and will affect how trading members calculate their aggregate currency derivative positions. The change in JPY conversion factor (153.71) is particularly notable.

Operational Impact: Trading members must update their position monitoring systems with the new conversion factors. Clients near the USD 100 million equivalent threshold may need to adjust their positions based on the updated calculations.

Trading Impact: Entities with significant positions in GBP-INR, EUR-INR, or JPY-INR contracts should recalculate their aggregate exposure using the new factors to ensure continued compliance with position limits.

Impact Justification

Administrative update of currency conversion factors for position limit monitoring; affects currency derivative traders but is routine periodic adjustment