Description

NSE updates conversion ratios for EUR, GBP, and JPY against USD 1 million for currency derivatives position limits, effective January 29, 2026.

Summary

NSE has revised the conversion ratios for calculating USD 1 million equivalent positions in currency derivatives involving EUR, GBP, and JPY. The new ratios will be effective from January 29, 2026, and replace the previous conversion factors issued in September 2025. This revision impacts how market participants calculate their aggregate positions across exchanges when determining compliance with the USD 100 million equivalent threshold for underlying exposure disclosure requirements.

Key Points

  • Revised conversion ratios: USD 1 million = EUR 0.86 million, GBP 0.75 million, or JPY 153.71 million
  • Applies to Currency Derivatives segment position calculations
  • Entities must ensure positions across all exchanges remain within prescribed limits
  • Positions exceeding USD 100 million equivalent require disclosure of underlying exposure to Trading Members
  • Previous conversion factors from September 25, 2025 (circular NSE/SURV/70417) remain valid until January 28, 2026

Regulatory Changes

The circular updates the conversion methodology for calculating equivalent USD positions when trading in EUR, GBP, and JPY currency derivatives. This follows the framework established in earlier circulars NSE/SURV/29575 (April 29, 2015) and NSE/SURV/37410 (April 03, 2018) regarding underlying exposure requirements in the Currency Derivatives segment.

Compliance Requirements

  • Position Monitoring: Entities must calculate their aggregate positions across all exchanges using the new conversion ratios from January 29, 2026
  • Disclosure Requirement: Clients with positions exceeding USD 100 million equivalent must provide disclosure of underlying exposure to their Trading Members
  • Limit Adherence: All entities must ensure positions remain within the limits prescribed in paragraph 5 of circular NSE/SURV/29575 dated April 29, 2015
  • Cross-Exchange Aggregation: Positions must be aggregated across all exchanges for limit calculation purposes

Important Dates

  • December 26, 2025: Circular issued
  • January 28, 2026: Last day for using previous conversion factors from circular NSE/SURV/70417
  • January 29, 2026: New conversion ratios become effective

Impact Assessment

Market Impact: The revised conversion ratios reflect updated exchange rate relationships between USD and other major currencies. Market participants trading in EUR, GBP, or JPY currency derivatives will need to recalculate their position limits using the new ratios.

Operational Impact: Trading members and clients must update their position monitoring systems to incorporate the new conversion ratios by January 29, 2026. Those currently near the USD 100 million threshold may see changes in whether they trigger disclosure requirements based on the updated conversion calculations.

Trading Impact: The changes are administrative in nature and should not significantly impact trading strategies, but may affect position sizing decisions for participants operating near regulatory limits across multiple currency pairs.

Impact Justification

Updates conversion ratios for currency derivatives position calculations affecting traders with cross-currency positions exceeding USD 100 million equivalent. Medium impact as it affects position limit calculations but does not change fundamental trading rules.