UNITED STOCK EXCHANGE OF INDIA LIMITED CURRENCY DERIVATIVES SEGMENT CIRCULAR

Transcription

1 UNITED STOCK EXCHANGE OF INDIA LIMITED CURRENCY DERIVATIVES SEGMENT CIRCULAR Circular No: USE/MOPS/ 26 /2010 Date: September 15, 2010 Subject: Commencement of Live Trading Members of the Currency Derivatives Segment are hereby informed that the Exchange shall commence Live Trading in the currency futures contracts on US Dollar-Indian Rupee (US$-INR), Euro-Indian Rupee (EUR-INR), British Pound-Indian Rupee (GBP-INR) and Japanese Yen-Indian Rupee (JPY-INR) on the Currency Derivatives Segment of the Exchange with effect from Monday, 20 th September The contract specifications and other trading parameters are as follows: 1. Contract specifications The Contract specifications, trading parameters, and mode of settlement have been specified in Annexure - 1, which shall be binding on all the members and constituents trading through them. List of contracts available for trading on USE is enclosed as Annexure Market (Trading) Holidays The Market holidays observed by the Exchange during the calendar year 2010 for the Currency Derivatives Segment are enclosed as Annexure Trading Hours Monday to Friday: 9.00 A.M. to P.M. 4. Extension of Market hours The Exchange may extend the trading hours on any day for any reason that the Exchange may deem fit. 5. Market close for trading The Exchange may at its discretion, close the market for trading, for such time period as deemed necessary if, for reasons beyond their control, 40% or of its users are unable to trade or access the trading system during the normal or extended course of trading hours.

2 6. Transaction Charges In order to encourage active participation in the Currency Derivatives segment, it has been decided that no transaction charges shall be levied on the trades done in the Currency Derivatives segment of the Exchange until further notice. However, every Trading Member in the Currency Derivatives segment shall be required to make a contribution of Rs. 250/- per month as contribution to Investor Protection Fund. 7. Trading Software The trading software set-up can also be downloaded from the website at the following url: from the FasTrade downloads section. 8. Order Types Members are permitted to enter day orders, spread orders, market orders and stop loss orders. 9. Approved User The members who are desirous of accessing the trader workstation (authorized users), using viz., VSAT / Leased line / Internet shall apply to the Exchange in a prescribed format (Circular No. USE/MEM/4/2010 dated 1 st June 2010) mentioning the details of the authorized user for registration. 10. Password and expiry period for password In pursuance of the Trading Regulations of the Exchange, it is hereby notified that the password expiry period is 14 calendar days reckoned from the end of the day the password was reset last. All trading members shall have to reset their passwords after the expiry of 14 calendar days from the end of the day the password was last reset. 11. Pro-Account Trading The facility of placing orders on Pro-account through trading terminals shall be availed by the Trading Members only at one location of the Trading Members as specified/required by the Trading Members. Any trading terminal located at a place other than the above location shall have a facility to place order only for and on behalf of a Constituent by entering client code details as required/specified by the Exchange/SEBI. In case any Trading Member requires the facility of using Pro-account through trading terminals from than one location, such Trading Member shall request the Exchange stating the reason for using the Pro-account at multiple locations and the Exchange may, on a case to case basis after due diligence, consider extending the facility of allowing use of Pro-account from than one location. 12. Trade Modification: Trading Members shall be permitted to modify trades with respect to client codes only. Modification from Client to Pro or vice-versa shall not be allowed. 13. Clearing & Settlement The Clearing & Settlement of trades executed on USE Currency Derivatives Segment shall be performed by the Indian Clearing Corporation Limited (ICCL), which is promoted and wholly owned by Bombay Stock Exchange Ltd (BSE). ICCL shall be the central counterparty (CCP) for all bona fide trades done on the USE Currency Derivatives Segment as per the rules, bye-laws and regulations of ICCL. For details kindly refer to Circular No. ICCL/USE/1/2010.

3 This circular shall be effective from 20 th September, 2010 For any clarifications, members are advised to contact the following Exchange officials: Name of Official Telephone No. id. Priti Thomare Kunjal Modi Nikita Mehta For and on behalf of United Stock Exchange of India Limited V Balasubramaniam Chief Operating Officer

4 Contract Specifications of all four currency pairs available for trading on USE Annexure 1 Symbol USDINR EURINR GBPINR JPYINR Market Type N N N N Instrument Type FUTCUR FUTCUR FUTCUR FUTCUR Unit of trading Underlying / Order Quotation denotes 1000 USD Rupees for US Dollar denotes 1000 EUROS Rupees for Euro denotes 1000 POUND STERLING Rupees for Pound Sterling denotes JAPANESE YEN Rupees for 100 Japanese Yen Tick size 0.25 paise or ` Trading hours Monday to Friday 9:00 a.m. to 5:00 p.m. Contract trading cycle 12 month trading cycle Last trading day Two working days prior to the last business day of the expiry month at 12 noon Final settlement day Last working day (excluding Saturdays) of the expiry month. The last working day will be the same as that for Interbank Settlements in Mumbai Quantity Freeze 10,001 or greater Base price Theoretical price on the 1st day of the contract. On all other days, DSP of the contract Price Tenure upto 6 +/-3 % of base price operating range Tenure greater +/- 5% of base price than 6 Position limits Clients Trading Members interest or USD 10 million interest or USD 50 million interest or EURO 5 million interest or EURO 25 million interest or GBP 5 million interest or GBP 25 million interest or JPY 200 million interest or JPY 1000 million Banks interest or USD 100 million interest or EURO 50 million interest or GBP 50 million interest or JPY 2000 million

5 Initial margin SPAN Based Margin 1 to cover than 99% VAR over one day 3.5 standard deviation Minimum on day % 2.8% 3.2% 4.5% Minimum thereafter 1% 2% 2% 2.3% Extreme loss margin 1% of MTM 0.3% of MTM 0.5% of MTM 0.7% of MTM Calendar spreads ` 400 for spread of 1 month ` 500 for spread of 2 ` 800 for spread of 3 ` 1000 for spread of 4 and ` 700 for spread of 1 month ` 1000 for spread of 2 ` 1500 for spread of 3 and ` 1500 for spread of 1 month ` 1800 for spread of 2 ` 2000 for spread of 3 and ` 600 for spread of 1 month ` 1000 for spread of 2 ` 1500 for spread of 3 and Settlement Daily settlement : T + 1 Final settlement : T + 2 Mode of settlement Cash settled in Indian Rupees Daily settlement price Calculated on the basis of the last half an hour weighted average price. (DSP) Final settlement price RBI Reference Rate on last trading day (FSP) 1 Initial Margin requirement shall be based on a worst case loss of a portfolio of an individual client across various scenarios of price changes. The various scenarios of price changes would be so computed so as to cover than 99% VaR over a one day horizon. In order to achieve this, the price scan range may initially be fixed at 3.5 standard deviation. The initial margin shall be deducted from the liquid net worth of the clearing member on an online, real time basis.

6 Annexure 2 List of Contracts available for trading in USEIL for all the four currency pairs i.e. USD-INR, GBP-INR, JPY-INR and EUR-INR. Expiry Month September October November December January February March April May June July August Expiry Date 27-Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug-2011

7 Annexure 3 In pursuance of its Bye-Laws and Regulation, the Exchange hereby notifies trading holidays for Currency Derivatives Segment for the calendar year 2010 as below: S No Date Day Description 1 30-Sep-10 Thursday Half Yearly Closing of Banks 2 5-Nov-10 Friday Diwali / LaxmiPuja* 3 17-Nov-10 Wednesday Bakri Id 4 17-Dec-10 Friday Moharram The holidays falling on Saturday / Sunday are as follows: S No Date Day Description 1 2-Oct-10 Saturday Gandhi Jayanti 2 17-Oct-10 Sunday Dussera-Vijaya Dashami 3 7-Nov-10 Sunday Bhau Bhij 4 21-Nov-10 Sunday Gurunanak Jayanti 5 25-Dec-10 Saturday Christmas * Muhurat Trading timings shall be intimated separately, if approved by regulator.