ICCL - IRD Settlement Price

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ICCL - IRD Settlement Price

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> Currency Derivatives Segment & IRD

> Settlement Price

Settlement Price

Daily Settlement Price ("DSP") for mark to market settlement of currency futures contracts

DSP for futures contracts is the closing price of such contracts on the trading day. The closing price for a futures contract is calculated on the basis of the last half an hour weighted average price of such contract or such other price as may be decided by the relevant authority from time to time. The theoretical DSP for unexpired futures contracts, which are not traded during the last half an hour on a day, is the price computed as per the prescribed formula.

F0=S0 e(r-r) fT
Where:
F0 = Theoretical futures price
S0 = Value of the underlying
r = Cost of financing (using continuously compounded interest rate)
rf = Foreign risk free interest rate
T = Time till expiration
e = 2.71828

Rate of interest (r) may be the relevant MIFOR rate or such other rate as may be specified by the Clearing Corporation from time to time.
Foreign risk free interest rate is the relevant LIBOR rate or such other rate as may be specified by the Clearing Corporation from time to time.
Final Settlement Price ("FSP") of Currency futures contracts and Final Exercise Settlement Price of Currency Options contracts

In case of USD-INR and EUR-INR, the FSP for a futures contract and final exercise settlement price for option contracts is the Reserve Bank Reference Rate on the last trading day of such contract. In case of GBP-INR and JPY-INR, the FSP for a futures contract is the Exchange rate published by the Reserve Bank in its Press Release captioned RBI Reference Rate for US$ and EURO or as may be specified by ICCL from time to time.
DSP for mark to market settlement of futures contracts on 91 Day GOI T-bills

All the open positions in futures on 91 day GOI T-bills shall be marked to market on the DSP.

The futures yield is the volume weighted average futures yield of traded futures contracts in the last 30 minutes of trading subject to there being at least 5 trades. Failing which, trades during the last 60 minutes shall be used for the calculation, subject to at least 5 trades. Failing which, trades during the last 120 minutes shall be used for the calculation, subject to at least 5 trades.

If the daily contract settlement value cannot be calculated as above, a theoretical futures yield would be used for computation.
FSP of futures contracts on 91 Day GOI T-bills
DSP for mark to market settlement of Cash settled Interest Rate Futures on 6/10/13 year G-Sec

DSP shall be the closing price of such contracts on the trading day. The closing price for a futures contract is calculated on the basis of the last half an hour weighted average price of such contract or such other price as may be decided by the relevant authority from time to time. In the absence of last half an hour trading, theoretical DSP of the contract shall be used for settlement.
FSP for Cash settled Interest Rate Futures on 6/10/13 year G-Sec

The FSP is the weighted average price of the underlying bond based on the prices during the last two hours of trading on NDS-OM, subject to a minimum of 5 trades during that period.

If less than 5 trades are executed in the underlying bond during the last two hours of trading on NDS-OM, then the FIMMDA price shall be used as final contract settlement price. In case FIMMDA price is not available, the price for settlement shall be as decided by ICCL from time to time.
Daily Settlement Price for Cross-currency futures & options contracts

The daily settlement price of cross-currency derivatives contracts shall be the last half an hour volume weighted average price of the contract. In the absence of last half an hour trading, the daily settlement price shall be the theoretical price as calculated by the stock exchange. Stock exchanges shall be required to disclose the model / methodology used for arriving at the theoretical price.

For arriving at the settlement value in INR for EUR-USD and GBP-USD contracts, the latest available RBI reference rate for USD-INR shall be used. For USD-JPY contracts, the settlement value in INR shall be arrived at using the latest available exchange rate published by RBI for JPY-INR.
Final Settlement Price for Cross-currency futures & options contracts

The final settlement price of the cross-currency derivatives contracts shall be computed using the RBI reference rate for USD-INR and the corresponding exchange rate published by RBI for EUR-INR, GBP-INR and JPY-INR, as applicable, on the last trading day of the contract.
For arriving at the final settlement value in INR for EUR-USD and GBP-USD contracts, the RBI reference rate for USD-INR on the last trading day of the contract shall be used. For USD-JPY contracts, the final settlement value in INR shall be arrived at using the exchange rate published by RBI for JPY-INR on the last trading day of the contract.
Contract Value for futures on 91 Day GOI T-bills
Daily Contract Settlement Value for futures on 91 Day GOI T-bills
Final Contract Settlement Value for futures on 91 Day GOI T-bills

All open positions of clearing members in expiring month futures contract shall be settled in cash and final settlement shall be conducted on expiry plus one working day.

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