Description

Updated conversion factors for monitoring aggregate position limits of USD 100 Million across currency derivatives contracts (GBP-INR, EUR-INR, JPY-INR), effective January 29, 2026.

Summary

BSE has updated the conversion factors for monitoring aggregate position limits of USD 100 Million across currency derivatives contracts (GBP-INR, EUR-INR, and JPY-INR). The new conversion factors will be effective from January 29, 2026, replacing the factors specified in the previous notice dated September 25, 2025.

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
  • Entities must ensure positions across exchanges remain within USD 100 million equivalent limit
  • Clients with positions exceeding USD 100 million must provide disclosure of underlying exposure to trading members
  • Trading members must ensure their positions remain within limits prescribed in Exchange notice No. 20150430-20 dated April 30, 2015
  • Previous conversion factors from notice 20250925-52 remain applicable until January 28, 2026

Regulatory Changes

This circular continues the existing framework for position limit monitoring in currency derivatives but updates the conversion factors used for calculating equivalent USD exposure across different currency pairs. The regulatory requirement for monitoring aggregate positions across GBP-INR, EUR-INR, and JPY-INR contracts remains unchanged, only the conversion methodology is updated to reflect current market rates.

Compliance Requirements

  • Entities/Clients: Must ensure total position across all exchanges is within the prescribed limit of USD 100 million equivalent when calculated using the new conversion factors
  • Clients with excess positions: Must provide disclosure of underlying exposure to their trading member if positions exceed USD 100 million equivalent
  • Trading Members: Must monitor client positions using updated conversion factors and ensure their own positions comply with limits prescribed in para 4 of Exchange notice No. 20150430-20
  • Contact: Trading members requiring clarification should contact BSE at 022-2272 3030

Important Dates

  • December 26, 2025: Circular 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: Low to medium. This is an administrative update that adjusts conversion factors to reflect current foreign exchange rates. The change may result in slightly different calculated USD-equivalent positions for market participants holding GBP-INR, EUR-INR, or JPY-INR contracts.

Operational Impact: Minimal. Trading members need to update their position monitoring systems with new conversion factors. Some clients near the USD 100 million threshold may see their calculated exposure change, potentially requiring additional documentation or position adjustments.

Trading Impact: The adjustment in conversion factors, particularly the significant change in USD to JPY rate (153.71), may affect how positions in JPY-INR contracts are calculated toward the aggregate limit.

Impact Justification

Administrative update to conversion factors for currency derivatives position limit monitoring. Affects trading members dealing in currency derivatives but is a routine periodic update.