N. PARAKH CHIEF GENERAL MANAGER
SMD/DC/CIR-11/02 February 12, 2002
The Chief Executive Officer/ Managing Director of Derivative Segment of NSE & BSE and their Clearing House / Corporation.
Re: Scheme of FII Trading in all Exchange Traded Derivative Contracts
Dear Sir,
RBI had vide circular EC.CO.FII/ /11.01.01(16)/2000-01 dated August 7, 2000 permitted Foreign Institutional Investors (FIIs) to trade in exchange traded index futures contracts on the Derivative Segment of BSE and the F & O Segment of NSE provided the overall open interest of the FII would not exceed 100% of market value of the concerned FII's total investment.
The SEBI Board vide meeting dated December 28, 2001 has permitted FIIs to trade in all exchange traded derivative contracts and laid down the position limits for the trading of FIIs and their sub-accounts. RBI vide circular ECO.CO.FII/515/11.01.01/(16) 2000-01 dated February 4, 2002 permitted FIIs to trade in all the exchange traded derivative contracts subject to the position limits prescribed hereunder. The FIIs shall be under obligation to adhere to the position limits prescribed for them and their sub-accounts. The FIIs shall also comply with the procedure for trading, settlement and reporting as prescribed by the derivative exchange / Clearing House / Clearing Corporation from time to time. The position limits for FII and their sub-accounts shall be as under:
I POSITION LIMITS
At the level of the FII
At the level of the sub-account
or
This position limits would be applicable on the combined position in all derivative contracts on an underlying stock at an exchange.The Derivative Segment of the Exchanges and their Clearing House / Clearing Corporation would monitor the FII position limits at the end of each trading day. For this purpose, the Derivative Segment of the Exchanges and their Clearing House / Clearing Corporation would implement the following procedure for the monitoring of the FII and the sub-account's position limits:
II COMPUTATION OF THE POSITION LIMITS
The position limits would be computed on a gross basis at the level of a FII and on a net basis at the level of sub-accounts and proprietary positions.
The open position for all derivative contracts would be valued as the open interest multiplied with the closing price of the respective underlying in the cash market.
Yours sincerely,
N. PARAKH