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INRUSD Futures

PRODUCT DESIGN AND RISK MANAGEMENT FRAMEWORK FOR FUTURES CONTRACTS ON INRUSD
Contract Type Future
Underlying Indian Rupee - US Dollar Spot Rate (INR-USD)
Symbol

INRUSD

Instrument Type FUTCUR
Contract Size INR 1,000,000
Quotation US$ quoted in Cents per 100 Indian Rupees (e.g. 150.01 - 150.02 US Cents per 100 Indian Rupees)
Contract Value The contract value shall be = Quoted Price*1,000,000/10,000
Minimum Price Movement (Tick Size) US CENTS 0.01 per 100 INR
Tick Value US$ 1.00
Available Contracts Twelve (12) serial monthly contracts
Eleven (11) serial weekly contracts expiring on Friday
Settlement mechanism The contracts would be settled in cash in US Dollar (US $)
Daily Settlement Price The Daily Settlement Price (DSP) of Futures contract shall be the Volume Weighted Average Price of all trades during the last thirty (30) minutes of each Trading Session. In the event there are no trades during the last 30 minutes of the Trading Session, then the Volume Weighted Average Price of all trades during the entire Trading Session, subject to a minimum of 5 trades during the Trading Session shall be taken for the computation of the DSP. If there are less than 5 trades during the Trading Session, then the Exchange reserves the right to determine the DSP based on the prices in the underlying reference markets.
Trading hours Monday to Friday
Session 1 : 04:30 Hours to 17:00 Hours ,
Session 2 : 17:00 Hours to 02.30 Hours
Last Trading Day / Expiry The last trading day for the contract would be two days prior to the last working day of the month at 12:30 pm. For weekly contracts, every Friday of the week at 12:30 pm.

If last trading day is a trading holiday, then previous day will be last trading day.
Final Settlement Price (FSP) The settlement price for contracts involving Rupee shall be the FBIL Reference rate on the last trading day of the contract
Settlement Daily Settlement:
The daily contracts for each session would be settled as follows:
Trading Session 1 - 04:30 Hours to 17:00 Hours – Cash Settlement in USD on next Business Day by 08:00 Hours (IST)
Trading Session 2 - 17:00 Hours to 02:30 Hours – Cash Settlement in USD on the same Business Day by 16:30 Hours (IST)

Final Settlement:

Along with daily cash settlement cycle in USD for the respective contracts.
Position limits For currency derivatives contracts involving Indian Rupee, the position limits for eligible market participants, per currency pair per stock exchange, shall be as follows:
a) Trading Members (positions on proprietary basis as well as clients' position) - Gross open position across all contracts not to exceed 15% of the total open interest or USD 1 billion equivalent, whichever is higher
b) Institutional Investors - Gross open position across all contracts not to exceed 15% of the total open interest or USD 1 billion equivalent, whichever is higher
c) Eligible Foreign Investors (as referred to in SEBI Circular IMD/HO/FPIC/CIR/P/2017/003 dated January 04, 2017) – Gross open position across all contracts not to exceed 15% of the total open interest or USD 1 billion equivalent, whichever is higher
d) Other Clients – Gross open position across all contracts not to exceed 6% of the total open interest or USD 100 million equivalent, whichever is higher.
Price Bands Initial Price Band will be 3%
After breach of 3%, relaxation by 1% on continuing basis.
Risk Management The margins shall be collected in USD.
Initial Margin Initial Margin would be calculated using SPAN; the margining framework of India ICC shall be compliant with the PFMI including a margin model that provides coverage of at least a 99% single-tailed confidence interval of the estimated distribution of future exposure. India ICC shall conduct daily stress testing, back testing and reverse stress testing for credit risk to ascertain the impact of failures of members and adequacy of its financial resources in meeting any shortfall arising out of such failures.
Extreme Loss Margin The clearing corporation may impose an extreme loss margin to provide additional risk coverage. The extreme loss margin shall be deducted from the liquid assets of the clearing member on an online, real time basis.
Real-Time Computation The computation of worst scenario loss would have two components. The first is the valuation of the portfolio under the various scenarios of price changes. At the second stage, these scenario contract values would be applied to the actual portfolio positions to compute the portfolio values and the initial margin. The scenario contract values shall be updated at the start of the business day, then every 1.5 hours and finally at the end of the business day. The latest available scenario contract values would be applied to member/client portfolios on a real time basis.
Calendar Spread Margins A futures position at one expiry period which is hedged by an offsetting position at a different maturity would be treated as a calendar spread. The benefit for a calendar spread would continue till expiry of the near month contract. The calendar spread margin shall be deducted from the liquid net worth of the clearing member on an online, real time basis.
Mark-to-Market (MTM) Settlement The MTM settlement shall be done at least twice in a business day, at settlement times as specified by the clearing corporation from time to time.


PRODUCT DESIGN AND RISK MANAGEMENT FRAMEWORK FOR OPTIONS CONTRACTS ON INRUSD
Contract Type

Option

Option Type Premium Style European Call and Put Options
Underlying

Indian Rupee - US Dollar Spot Rate (INR-USD)

Symbol INRUSD
Instrument Type OPTCUR
Contract Size INR 1,000,000
Quotation US$ quoted in Cents per 100 Indian Rupees (e.g. 23.01 - 23.02 US Cents per 100 Indian Rupees)
Contract Value The contract value shall be = (Strike price + premium) * 1000000 / 10000
Minimum Price Movement (Tick Size) US CENTS 0.01 per 100 INR or (Value - US$ 1)
Tick Value US$ 1.00
Strike Price Interval INR 0.25 converted to USD to 2 decimal places
No. of Strikes 25 CE and 25 PE i.e. minimum 12 strikes in-the-money (ITM), minimum 12 strikes out-of-the-money (OTM) and 1 Near-the-money
Available Contracts 3 serial monthly contracts followed by 3 quarterly contracts (June, September, December, March) Eleven (11) serial weekly contracts expiring on Friday
Settlement mechanism The contracts would be settled in cash in US Dollar (US $).
Daily Settlement Price The Daily Settlement Price (DSP) of Futures contract shall be the Volume Weighted Average Price of all trades during the last thirty (30) minutes of each Trading Session. In the event there are no trades during the last 30 minutes of the Trading Session, then the Volume Weighted Average Price of all trades during the entire Trading Session, subject to a minimum of 5 trades during the Trading Session shall be taken for the computation of the DSP. If there are less than 5 trades during the Trading Session, then the Exchange reserves the right to determine the DSP based on the prices in the underlying reference markets.
Trading hours Monday to Friday
Session 1 : 04:30 Hours to 17:00 Hours,
Session 2 : 17:00 Hours to 02.30 Hours
Last Trading Day/Final Settlement Day The last trading day for the contract would be two days prior to the last working day of the month at 12:30 pm. For weekly contracts, every Friday of the week at 12:30 pm.

If last trading day is a trading holiday, then previous day will be last trading day.
Final Settlement Price The settlement price for contracts involving Rupee shall be the FBIL Reference rate on the last trading day of the contract.
Settlement 1. Daily Settlement:
The daily contracts for each session would be settled as follows:
Trading Session 1 - 04:30 Hours to 17:00 Hours – Cash Settlement in USD on next Business Day by 08:00 Hours (IST)

Trading Session 2 - 17:00 Hours to 02:30 Hours – Cash Settlement in USD on the same Business Day by 16:30 Hours (IST)

2. Final Settlement:
Along with daily cash settlement cycle in USD for the respective contracts.
Position limits For currency derivatives contracts involving Indian Rupee, the position limits for eligible market participants, per currency pair per stock exchange, shall be as follows:
a) Trading Members (positions on proprietary basis as well as clients' position) - Gross open position across all contracts not to exceed 15% of the total open interest or USD 1 billion equivalent, whichever is higher
b) Institutional Investors - Gross open position across all contracts not to exceed 15% of the total open interest or USD 1 billion equivalent, whichever is higher
c) Eligible Foreign Investors (as referred to in SEBI Circular IMD/HO/FPIC/CIR/P/2017/003 dated January 04, 2017) – Gross open position across all contracts not to exceed 15% of the total open interest or USD 1 billion equivalent, whichever is higher
d) Other Clients – Gross open position across all contracts not to exceed 6% of the total open interest or USD 100 million equivalent, whichever is higher.
Price Bands A contract specific price range based on its delta value computed and updated on daily basis.
Risk Management The margins shall be collected in USD.
Initial Margin Initial Margin would be calculated using SPAN; the margining framework of India ICC shall be compliant with the PFMI including a margin model that provides coverage of at least a 99% single-tailed confidence interval of the estimated distribution of future exposure. India ICC shall conduct daily stress testing, back testing and reverse stress testing for credit risk to ascertain the impact of failures of members and adequacy of its financial resources in meeting any shortfall arising out of such failures.
Extreme Loss Margin The clearing corporation may impose an extreme loss margin to provide additional risk coverage. The extreme loss margin shall be deducted from the liquid assets of the clearing member on an online, real time basis.
Real-Time Computation The computation of worst scenario loss would have two components. The first is the valuation of the portfolio under the various scenarios of price changes. At the second stage, these scenario contract values would be applied to the actual portfolio positions to compute the portfolio values and the initial margin. The scenario contract values shall be updated at the start of the business day, then every 1.5 hours and finally at the end of the business day. The latest available scenario contract values would be applied to member/client portfolios on a real time basis.
Calendar Spread Margins The margin for options calendar spread would be the same as specified for futures calendar spread. The margin would be calculated on the basis of delta Δ of the portfolio in eachperiod. A portfolio consisting of a near month option with a delta Δ of 100 and a far month option with a delta Δ of –100 would bear a spread charge equal to the spread charge for a portfolio which is long 100 near month futures and short 100 far month futures.
Short Option Minimum Margin Deep-out-of-the-money short options may show zero or minimal Scan Risk given the price and volatility moves in the 16 market scenarios, yet still present risk in the event that these options move closer-to-the-money or in-the-money, thereby generating potentially large losses. Hence a Short Option Minimum Margin is applied to each product to account for this potential exposure. The Short Option Minimum Margin is calculated on the Notional Value of all short options.
Mark-to-Market (MTM) Settlement The MTM settlement shall be done at least twice in a business day, at settlement times as specified by the clearing corporation from time to time.
Net Option Value The Net Option Value is the current market value of the option times the number of options (positive for long options and negative for short options) in the portfolio. The Net Option Value would be added to the Liquid Net Worth of the clearing member. Thus, mark to market gains and losses would not be settled in cash for options positions.
Settlement of Premium Premium would be settled in USD and would be paid in by the buyer in cash and paid out to the seller in cash. Until the buyer pays in the premium, the premium due shall be deducted from the available liquid assets on a real time basis.
Assignment Margin Assignment Margin shall be levied on assigned positions of the clearing members towards exercise settlement obligations for option contracts. For option positions exercised, the seller of the options shall be levied assignment margins which shall be 100% of the net exercise settlement value payable by a clearing member towards exercise settlement. Assignment margin shall be levied till the completion of pay-in towards the exercise settlement. Assignment margins shall be computed as net of assignment settlement and futures final settlement.