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Currency Futures

Product Details

Take advantage of Currency Futures from USE. It allows one to electronically trade currency futures contracts. Currently currency futures are available on USE in 4 currency pairs - USD-INR, EUR-INR, GBP-INR and JPY-INR

 

 

US Dollar - Rupee Currency Futures Contract

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Symbol USDINR
Instrument Type FUTCUR
Unit of trading 1 (1 unit denotes 1000 USD)
Underlying The exchange rate in Indian Rupees for one US Dollar
Tick size 0.25 paisa or INR 0.0025
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 would be taken to 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 Operating Range
Tenure upto 6 months Tenure greater than 6 months
+/- 3% of base price +/- 5% of base price
Position limits
Clients Trading Members Banks
Higher of 6% of total open interest or USD 10 million Higher of 15% of the total open interest or USD 50 million Higher of 15% of the total open interest or USD 100 million
Initial margin SPAN Based Margin based on 99% VAR with a minimum of 1.75% on day 1 and 1% thereafter
Extreme loss margin 1% of MTM value of open position.
Calendar spreads

Rs. 400 for a spread on 1 month

Rs. 500 for a spread of 2 months

Rs. 800 for a spread of 3 months

Rs. 1000 for a spread of 4 months or more
Settlement Daily settlement : T + 1 | Final settlement : T + 2
Mode of settlement Cash settled in Indian Rupees
Daily settlement price (DSP) Calculated on the basis of the last half an hour weighted average price.
Final settlement price (FSP) RBI Reference Rate of last trading date

 

Euro - Rupee Currency Futures Contract

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Symbol EURINR
Instrument Type FUTCUR
Unit of trading 1 (1 unit denotes 1000 EUR)
Underlying The exchange rate in Indian Rupees for one Euro
Tick size 0.25 paisa or INR 0.0025
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 would be taken to 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 Operating Range
Tenure upto 6 months Tenure greater than 6 months
+/- 3% of base price +/- 5% of base price
Position limits
Clients Trading Members Banks
Higher of 6% of total open interest or EUR 5 million Higher of 15% of the total open interest or EUR 25 million Higher of 15% of the total open interest or EUR 50 million
Initial margin SPAN Based Margin based on 99% VAR with a minimum of 2.80% on day 1 and 2% thereafter
Extreme loss margin 0.3% of MTM value of gross open position.
Calendar spreads

Rs. 700 for a spread on 1 month

Rs. 1000 for a spread of 2 months

Rs. 1500 for a spread of 3 months or more
Settlement Daily settlement : T + 1 | Final settlement : T + 2
Mode of settlement Cash settled in Indian Rupees
Daily settlement price (DSP) Calculated on the basis of the last half an hour weighted average price.
Final settlement price (FSP) RBI Reference Rate of last trading date

 

British Pound - Rupee Currency Futures Contract

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Symbol GBPINR
Instrument Type FUTCUR
Unit of trading 1 (1 unit denotes 1000 GBP)
Underlying The exchange rate in Indian Rupees for one British Pound
Tick size 0.25 paisa or INR 0.0025
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 would be taken to 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 Operating Range
Tenure upto 6 months Tenure greater than 6 months
+/- 3% of base price +/- 5% of base price
Position limits
Clients Trading Members Banks
Higher of 6% of total open interest or GBP 5 million Higher of 15% of the total open interest or GBP 25 million
 Higher of 15% of the total open interest or GBP 50 million
Initial margin SPAN Based Margin based on 99% VAR with a minimum of 3.20% on day 1 and 2% thereafter
Extreme loss margin 0.5% of MTM value of gross open position.
Calendar spreads

Rs. 1500 for a spread on 1 month

Rs. 1800 for a spread of 2 months

Rs. 2000 for a spread of 3 months or more
Settlement Daily settlement : T + 1 | Final settlement : T + 2
Mode of settlement Cash settled in Indian Rupees
Daily settlement price (DSP) Calculated on the basis of the last half an hour weighted average price.
Final settlement price (FSP) RBI Reference Rate of last trading date

 

 

Yen - Rupee Currency Futures Contract

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Symbol JPYINR
Instrument Type FUTCUR
Unit of trading 1 (1 unit denotes 1,00,000 JPY)
Underlying The exchange rate in Indian Rupees for 100 Yen
Tick size 0.25 paisa or INR 0.0025
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 would be taken to 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 Operating Range
Tenure upto 6 months Tenure greater than 6 months
+/- 3% of base price +/- 5% of base price
Position limits
Clients Trading Members Banks
Higher of 6% of total open interest or JPY 200 million Higher of 15% of the total open interest or JPY 1000 million
 Higher of 15% of the total open interest or JPY 2000 million
Initial margin SPAN Based Margin based on 99% VAR with a minimum of 4.50% on day 1 and 2.3% thereafter
Extreme loss margin 0.7% of MTM value of gross open position.
Calendar spreads

Rs. 600 for a spread on 1 month

Rs. 1000 for a spread of 2 months

Rs. 1500 for a spread of 3 months or more
Settlement Daily settlement : T + 1 | Final settlement : T + 2
Mode of settlement Cash settled in Indian Rupees
Daily settlement price (DSP) Calculated on the basis of the last half an hour weighted average price.
Final settlement price (FSP) RBI Reference Rate of last trading date

 

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