When I trade Nifty futures and don’t square off on the expiry day, my Nifty futures is settled according to the closing price of Nifty Index. But how does this work in case of Currency futures? What happens on the expiry day if I don’t square off my currency futures position?
The RBI reference price will be considered as the settlement price for currency futures.
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The reference rate fixed by RBI on last trading day or expiry day will be the final settlement price of currency futures after expiry. The last trading day is 2 days prior to the last working day of the month.
Every evening RBI sets a reference price which is used to settle and arrive at the MTM transactions. You can find the RBI’s settlement price on their website (if fact its flashed on their home page itself) - http://www.rbi.org.in/home.aspx
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if you don’t square off your currency futures position by expiry, the reference rate fixed by RBI on last trading day will be taken as the closing price.
Currency settlement is based on the RBI reference price which is considered for settlement on the expiry of the Future contract.
If you don’t close your currency future contracts on expiry the reference rate fixed by RBI will be considered as closing price.
Final settlement price for a futures contract shall be the Reserve Bank of India Reference rate on the last trading day of such futures contract or as may be specified by ICCL (Indian clearing corporation Limited) from time to time
The settlement price is arrived at by the Reserve Bank of India because unlike Nifty and other stocks, there is no real underlying for USDINR on which you can base your futures price.
As per this SEBI FAQ sheet, "The final settlement price is the Reserve Bank of India USD-INR Reference Rate on the date of expiry of the contracts."
Currency futures which are not closed/squared off by expiry, will be settled by reference rate of RBI.
The last trading day is 2 days prior to the last working day of the month, all mark to market will based on RBI reference rate.
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In currency derivative segment, the final settlement price is the RBI reference rate for the last trading day of the futures contract. All open positions are marked to market on the final settlement price for all the positions which gets settled at contract expiry.
RBI Reference rate: The reference rate fixed by RBI two working days prior to the final settlement date.
For more information visit: http://capitalmind.in/2012/07/how-the-usd-inr-rate-is-calculated-from-rbis-subbarao/
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On the expiry of the futures contracts.The final settlement profit / loss is computed as the difference between trade price or the previous day’s settlement price, as the case may be, and the RBI reference rate of the such futures contract on the last trading day.
Kindly Check below mention link.
http://www.nse-india.com/products/content/derivatives/curr_der/settlement_mech.htm
if you don’t square off your currency futures position on the expiry day the reference rate fixed by RBI on last trading day or expiry day will be the final settlement price of currency futures after expiry such futures contract on the last trading day.
On expiry day, settlement price for currency futures is derived from RBI Ref. Rate. One can refer this link too!
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The settlement price for currency futures is based on the reference rate fixed by RBI…
Currency futures Settlement price is based on rate fixed by the RBI on the expiry or last day.
The reference rate fixed by RBI is considered for the settlement price
In case of currency futures expiry ,settlement happens by RBI reference rate fixed by RBI two working days prior to the final settlement date.
The Final Settlement price is the “Reference Rate” of the Reserve Bank on the last trading day of a currency derivative contract. The Reference Rates are polled in a five minute window from 11:45 AM to
12.15 PM chosen randomly. These rates are used as final settlement price for Currency
Derivatives contracts on the day of expiry.
If you do not square off your position the Exchange would expire your position on the last day of the contract expiry after running the EOD MTM. Your position would be closed at the final settlement price as per the current regulations. Margin blocked on such expired position will also be released and added into your trading limits after adjusting profit/loss, applicable brokerage, taxes and statutory levies on close out.