NATIONAL SECURITIES CLEARING CORPORATION LIMITED DEPARTMENT : CURRENCY DERIVATIVES Download No: NSE/CD/30371

Date: July 28, 2015

Circular Ref. No :709/2015

All Members, Sub: Exchange Traded Cash Settled Interest Rate Futures (IRF) on 6 year and 13 year Government of India (GoI) Security This is in reference to the SEBI circular number CIR/MRD/DRMNP/11/2015 dated June 12, 2015, NSE circular download reference number NSE/CD/30368 dated July 28,2015and partial modification to our circular download reference number NSE/CD/25525 dated January 09,2014; members are requested to note that the following shall be applied for Exchange Traded Cash Settled Interest Rate Futures (IRF) on 6 year and 13 year Government of India (GOI) Security : Calendar Spread Margins The margin requirement for calendar spread margin shall be as under: Spread Month 1 month 2 month 3 month More than 3 months

Calendar Spread Margin Rs 1500/Rs 1800/Rs 2100/Rs 3000/-

Position Limits Trading Member Level The gross open positions of the trading members across all IRF contracts within the respective maturity bucket shall not exceed 10% of the total open interest in the respective maturity bucket or INR 600 crores, whichever is higher Clearing Member Level No separate position limit is prescribed at the level of clearing member. However, the clearing member shall ensure that his own trading position and the positions of each trading member clearing through him is within the limits specified above.

Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai – 400 051

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Category I & II FPI/ Mutual Fund/ Insurance Companies /Housing Finance Companies/ Pension Funds Level The gross open positions across all IRF contracts within the respective maturity bucket shall not exceed 10% of the total open interest in the respective maturity bucket or INR 600 crores, whichever is higher. The total gross short (sold) position of each FPI in IRF contracts shall not exceed its long position in the government securities and in Interest Rate Futures, at any point of time. The total gross long (bought) position in cash and IRF markets taken together for all FPIs shall not exceed the aggregate permissible limit for investment in government securities for FPIs. FPIs shall ensure compliance of these limits. Exchange Level Overall Position Limit Exchange level overall open interest on all IRF contracts on each underlying shall not exceed 25% of the outstanding of underlying bond. The daily position limit applicable for TM/FPI and Client shall be made available via existing daily position limit file. A new file shall be made available on our website to enable members to identify and map the underlying bonds to respective maturity buckets. The name of the file shall be TENURE_SYMBOL_MAP_DD-MON-YYYY.lst and the file format of the same is attached as Annexure. All other provisions as per NSCCL circular download reference number NSE/CD/25525 dated January 09, 2014 shall be applicable for Exchange Traded Cash Settled Interest Rate Futures (IRF) on 6 year and 13 year Government of India (GOI) Security. The above circular shall be effective from the trade date July 31, 2015. For and on behalf of National Securities Clearing Corporation Limited

Huzefa Mahuvawala Head – Risk Management Telephone No 1800-2200-57

Fax No +91-22-26598242

Email id [email protected]

Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai – 400 051

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Annexure Format for Tenure – Bond Mapping

Naming Convention

TENURE_SYMBOL_MAP_DD-MON-YYYY.lst

File Format

comma separated file format (CSV)

Column No

Headers

Field Characteristics

Details

1

Instrument – Tenor

VARCHAR2 (10)

Alpha numeric 10 character unique code

2

Symbol

VARCHAR2 (10)

Symbol

Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai – 400 051

Page 3 of 3

NSE/CD/30371 Date

Jul 28, 2015 - The gross open positions of the trading members across all IRF contracts ... member shall ensure that his own trading position and the positions of ... made available on our website to enable members to identify and map the.
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