Settlement Price

Daily Settlement Price for mark to market settlement of futures contracts

Daily settlement price for futures contracts is the closing price of such contracts on the trading day. The closing price for a futures contract shall be calculated on the basis of the last half an hour weighted average price across exchanges of such contract or such other price as may be decided by the relevant authority from time to time.

Theoretical daily settlement price for unexpired futures contracts which are not traded during the last half an hour on a day

Theoretical daily settlement price for unexpired futures contracts, which are not traded during the last half an hour on a day, shall be the price computed as per the 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 for mark to market settlement of futures contracts:

Final settlement price for a futures contract for the various currencies shall be as mentioned below, or as may be specified by the relevant authority from time to time.