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Position Limits


Members are subject to the following position limits in addition to margin requirements.

Category Position Limits for 8-11 year bucket Position Limits each for 4-8 year and 11-15 years bucket
Trading   members, institutions in Category I and II FPIs (i.e. other than individuals, family offices and companies), banks and Primary Dealers, Mutual Funds (at AMC level), Insurance Companies, Pension Funds, and Housing Finance companies 10% of Open Interest  or INR1,200 crore whichever is higher   10% of Open Interest    or INR 600 crore whichever is higher
Non-institutions in Category II FPIs (i.e.  individuals,  family  offices and companies), Mutual  Fund  (Scheme level) and other clients 3% of Open Interest  or INR 400 crore whichever is higher 3%  of  Open Interest    or INR 200 crore whichever is higher

Trading Members

The gross open positions of the trading member across all contracts should not exceed 15% of the total open interest or Rs.1000 crores whichever is higher.

FPI

In case of Foreign Institutional Investors, registered with Securities and Exchange Board of India, the total gross long (bought) position in cash and Interest Rate Futures markets taken together should not exceed their individual permissible limit for investment in government securities and the total gross short (sold) position, for the purpose of hedging only, should not exceed their long position in the government securities and in Interest Rate Futures, at any point in time.

Client level

The gross open positions of the client across all contracts should not exceed 6% of the total open interest or Rs.300 crores whichever is higher.

The client level gross open position would be computed on the basis of PAN across all members. Wherever the prescribed limits are crossed, alerts would be disseminated to the respective Trading Members or Clearing Members through UCI-Online application (https://www.connect2nse.com).

Exchange Level Overall open position limit

Exchange level overall open position limit on all IRF contracts on a specific underlying shall not exceed 25% of the outstanding underlying bond.

The position limit linked to open interest shall be applicable at the time of opening a position. Such positions shall not be required to be unwound immediately by the market participants in the event of a drop of total open interest in Interest Rate Futures contracts within the respective maturity bucket

The position limits for futures on overnight call rate (MIBOR) shall be as given below:-

  • Trading member and institutional client (including primary dealers) level position limit shall be higher of 15% of open interest or Rs.1000 Crores (200 contracts).
  • Client level position limit shall be higher of 6% of open interest or Rs.300 Crores (60 contracts).
Updated on: 06/12/2019 12:00
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