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Currency Derivatives by SANDEEP ARORA

Currency Derivatives by SANDEEP ARORA

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Published by SANDEEP ARORA
SANDEEP ARORA
ITM,GURGAON
SANDEEP ARORA
ITM,GURGAON

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Published by: SANDEEP ARORA on Oct 06, 2009
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06/21/2013

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Underlying

Initially, currency futures contracts on US Dollar – Indian Rupee (US$-INR) would be
permitted.

Trading Hours

The trading on currency futures would be available from 9 a.m. to 5 p.m.

Size of the contrac t

The minimum contract size of the currency futures contract at the time of introduction
would be US$ 1000. The contract size would be periodically aligned to ensure that
the size of the contract remains close to the minimum size.

Quotation

The currency futures contract would be quoted in rupee terms. However, the
outstanding positions would be in dollar terms.

Tenor of the contract

The currency futures contract shall have a maximum maturity of 12 months.

Available contracts

All monthly maturities from 1 to 12 months would be made available.

Settlement mechanism

The currency futures contract shall be settled in cash in Indian Rupee.

[Project report on Currency Derivatives] IBMR-Ahmedabad
Page 45

Settlement price

The settlement price would be the Reserve Bank Reference Rate on the date of
expiry. The methodology of computation and dissemination of the Reference Rate
may be publicly disclosed by RBI.

Final settlement day

The currency futures contract would expire on the last working day (excluding
Saturdays) of the month. The last working day would be taken to be the same as that
for Interbank Settlements in Mumbai. The rules for Interbank Settlements, including
those for ‘known holidays’ and ‘subsequently declared holiday’ would be those as
laid down by FEDAI.

The contract specification in a tabular form is as under:

Underlying

Rate of exchange between one USD and
INR

Trading Hours
(Monday to Friday)

09:00 a.m. to 05:00 p.m.

Contract Size

USD 1000

Tick Size

0.25 paisa or INR 0.0025

Trading Period

Maximum expiration period of 12 months

Contract Months

12 near calendar months

FinalSettlement

date/

Value date

Last working day of the month (subject to
holiday calendars)

Last Trading Day

Two working days prior to Final Settlement
Date

Settlement

Cash settled

Final Settlement Price

ThereferenceratefixedbyRBItwo
working days prior to the final settlement
date will be used for final settlement

[Project report on Currency Derivatives] IBMR-Ahmedabad
Page 46

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