Download - Currency Product Note 3
-
8/8/2019 Currency Product Note 3
1/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
1
Product Note February, 2010
OVERVIEW
Foreign exchange rates, like any other asset class move depending on various factors, like demand-supply, intere
rate parity, trade and capital flow, speculators taking positions, clients hedging risk arising from their trade and
capital flow etc. Introduction of currency futures will complete the suite of instruments available for trading and
hedging to the Indian resident through exchange platform.
CURRENCY FUTURE TRADING
The currency futures trading will be of interest to those who wish to :-
Invest
Hedge
Arbitrage
Speculate
WHO IS ELIGIBLE TO TRADE
Individuals
Corporate
Firms
Others
HOW DO THE CLIENT STARTS TRADING
Currency futures can be bought and sold through RSL currency future trading platform. Client will have to op
a trading account with RSL and complete the following registration formalities
CLIENT REGISTRATION FORMALITIES
The client desirous of trading in currency futures through RSL would be required to submit following documents :
Know your client form (KYC) along with necessary required documents
Member Constituent Agreement
Risk Disclosure document
-
8/8/2019 Currency Product Note 3
2/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
2
Trading Monday To Friday
Trading Hours 9:00 AM to 5:00 PM
Price Quotation In INR
Tenor of Contract Maximum of 12 Months
Available Contracts Monthly
Settlement Mechanism In INR
Settlement Reference Rate RBI Reference Rate
Last Trading Date Two working days prior to Final Settlement Date
Final Settlement Date Last working day of month, except Saturday.
Settlement
Daily settlement : T + 1
Final settlement : T + 2
CONTRACT SPECIFICATIONS
-
8/8/2019 Currency Product Note 3
3/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
3
USD-INR
Symbol USD-INR
Contract Size USD 1000
Tick size 0.25 Paisa or INR 0.0025
Quantity Freeze Above 10,000
Price Range
+/-3 %(Tenure upto 6 months )
+/- 5% (Tenure greater than 6 months)
Client position limit Higher of 6% of total open interest or USD 10 million
Calendar spreads
Minimum Rs. 400/- per contract for one month of spread and Rs. 500
for Two month Spread and Rs.800/- for three months spread
Initial Margin Minimum 1.75 % on First day and 1% thereafter
Extreme
Loss Margin 1 %
-
8/8/2019 Currency Product Note 3
4/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
4
EUR-INR
Symbol EUR - INR
Contract Size EURO 1000
Tick size 0.25 Paisa or INR 0.0025
Quantity Freeze Above 10,000
Price Range
+/-3 %(Tenure upto 6 months )
+/- 5% (Tenure greater than 6 months)
Client position limit Higher of 6% of total open interest or EURO 5 million
Calendar spreads
Minimum Rs. 700/- per contract for one month of spread, Rs. 1000 for
Two month Spread and Rs.1500/- for three months spread or more
Initial Margin Minimum 2.80 % on First day and 2% thereafter
Extreme
Loss Margin 0.3 %
-
8/8/2019 Currency Product Note 3
5/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
5
GBP-INR
Symbol GBP - INR
Contract Size Pound Sterling 1000
Tick size 0.25 Paisa or INR 0.0025
Quantity Freeze Above 10,000
Price Range
+/-3 %(Tenure upto 6 months )
+/- 5% (Tenure greater than 6 months)
Client position limit Higher of 6% of total open interest or GBP 5 million
Calendar spreads
Minimum Rs. 1500/- per contract for one month of spread, Rs. 1800 for
Two month Spread and Rs.2000/- for three months spread or more
Initial Margin Minimum 3.20 % on First day and 2% thereafter
Extreme
Loss Margin 0.5 %
-
8/8/2019 Currency Product Note 3
6/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
6
JPY-INR
Symbol JPY - INR
Contract Size Japanese Yen 100000
Tick size 0.25 Paisa or INR 0.0025
Quantity Freeze Above 10,000
Price Range
+/-3 %(Tenure upto 6 months )
+/- 5% (Tenure greater than 6 months)
Client position limit Higher of 6% of total open interest or YEN 200 million
Calendar spreads
Minimum Rs. 600/- per contract for one month of spread, Rs. 1000 for
Two month Spread and Rs.1500/- for three months spread or more
Initial Margin Minimum 4.50 % on First day and 2.30% thereafter
Extreme
Loss Margin 0.7%
-
8/8/2019 Currency Product Note 3
7/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
7
TRADING PARAMETERS
Following trading parameters and order attributes are specified for the Currency Derivatives
segment:
DAILY SETTLEMENT PRICE
Daily settlement price for futures contracts shall be 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 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 defined by NSCCL.
Final Settlement Price for mark to market settlement of futures contracts
Final settlement price for a futures contract shall be the Reserve Bank Reference Rate on the last
trading day of such futures contract, or as may be specified by the relevant authority from time to
time.
Calendar Spread Margins
A currency futures position in one expiry month which is hedged by an offsetting position in a
different expiry month would be treated as a calendar spread.
-
8/8/2019 Currency Product Note 3
8/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
8
Futures Final Settlement Margin
Futures Final Settlement Margin shall be levied at the clearing member level in respect of the final settlement
amount due. The final settlement margins shall be levied from the last trading day of the contract till thecompletion of pay-in towards the Final Settlement.
Extreme Loss margins
Clearing members shall be subject to extreme loss margins in addition to initial margins. The applicable
extreme loss margin shall be 1% on the mark to market value of the gross open positions or as may be
specified by the relevant authority from time to time.
In case of calendar spread positions, extreme loss margin shall be levied on one third of the mark to market
value of the open position of the far month contract.
Extreme Loss margin requirement shall be computed as under:
1. For client positions - shall be netted at the level of individual client and grossed across all clients, at
the trading/ clearing member level, without any set-offs between clients.
2. For proprietary positions - shall be netted at trading/ clearing member level without any set-offs
between client and proprietary positions.
The margins so computed shall be aggregated first at the trading member level and then aggregated at the
clearing member level.
-
8/8/2019 Currency Product Note 3
9/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
9
Dollar/INR Trading:
View Trade on USD/INR View Trade on USD/INR
Bullish on USD Buy USD/INR Bearish on USD Sell USD/INR
Bullish on INR Sell USD/INR Bearish on INR Buy USD/INR
Lets take an example, suppose that USD/INR March contract is trading at Rs. 50.9550, one has a
bullish view on USD or bearish view on INR. He enters the market to buy 10 lots of USD/INRMarch
future.
Trading USD/INR
Entry Price Rs. 50.9550
Lot Size 1000 USD
No. of Lots 10
Assuming that USD/INR closes at 51.0550, current position is shown in the table given below
Trading USD/INR
Entry Price Rs. 50.9550
Closing Price Rs. 51.0550
Lot Size 1000 USD
No. of Lots 10
MTM Profit Rs. 1000 (on 10 lots)
-
8/8/2019 Currency Product Note 3
10/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
10
Movement of 10 paise or INR 0.10 in favour of the trade; gave a profit of Rs. 1000 on 10 lots. If only
1 lot was traded, movement of 10 paise will affect the net position by Rs 100.
Similarly if someone has opposite view i.e. bearish view on USD or bullish view on INR. He will enter
market to sell USD/INR and lets say,sell 10 lots of USD/INR March futureat Rs. 50.9550.
Trading USD/INR
Entry Price Rs. 50.9550
Lot Size 1000 USD
No. of Lots 10
Assuming that USD/INR closes at Rs. 51.0550, current position is shown in the table given below
Trading USD/INR
Entry Price Rs. 50.9550
Closing Price Rs. 51.0550
Lot Size 1000 USD
No. of Lots 10
MTM Loss Rs. 1000
-
8/8/2019 Currency Product Note 3
11/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
11
If someone wants to trade in GBP/INR bearish view on GBP or bullish view on INR. He will enter
market to sell GBP/INR and lets say,sell 10 lots of GBP/INR February futureat Rs. 74.
Trading GBP/INR
Entry Price Rs. 74
Lot Size 1000 GBP
No. of Lots 10
Assuming that GBP/INR closes at 74.10, current position is shown in the table given below
Trading GBP/INR
Entry Price Rs. 74
Closing Price Rs. 74.10
Lot Size 1000 GBP
No. of Lots 10
MTM Loss 1000
-
8/8/2019 Currency Product Note 3
12/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
12
If someone wants to trade in EUR/INR bearish view on EUR or bullish view on INR. He will enter
market to sell EUR/INR and lets say,sell 10 lots of EUR/INR February futureat Rs. 64.
Trading EUR/INR
Entry Price Rs. 64
Lot Size 1000 Euro
No. of Lots 10
Assuming that EUR/INR closes at 64.10, current position is shown in the table given below
Trading EUR/INR
Entry Price Rs. 64
Closing Price Rs. 64.10
Lot Size 1000 Euro
No. of Lots 10
MTM Loss 1000
-
8/8/2019 Currency Product Note 3
13/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
13
If someone wants to trade in JPY/INR bearish view on JPY or bullish view on INR. He will enter
market to sell JPY/INR and lets say,sell 10 lots of JPY/INR February futureat Rs. 52.
Trading JPY/INR
Entry Price Rs. 52
Lot Size 100000 Yen
No. of Lots 10
Assuming thatJPY/INR closes at 52.20, current position is shown in the table given below
Trading JPY/INR
Entry Price Rs. 52
Closing Price Rs. 52.20
Lot Size 100000 Yen
No. of Lots 10
MTM Loss 2000
-
8/8/2019 Currency Product Note 3
14/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: [email protected]:www.religarecommodities.com | REL/RCL/CRD/TM/19/00
14
Payoff profile for Futures Trading
Long at 51.60
5 1 . 1
5 1 . 2
5 1 . 3
5 1 . 4
5 1 . 5
5 1 . 6
5 1 . 7
5 1 . 8
long at 51.60
P
rice
s
Short at 51.60
51.1
51.2
51.3
51.4
51.5
51.6
51.7
51.8
Sh ort at 51.60
Contracts
P
rices
-
8/8/2019 Currency Product Note 3
15/15
ESEARCH DESK - Religare Commodities Limited Address: A2 A-3,A-4,plot No.11, 5th Floor, Park Centra ,Sector-125,Noida ,U.P-201301-mail: currency@religare inWebsite: www religarecommodities com | REL/RCL/CRD/TM/19/00
Disclaimer
Religare Commodities Limited (Religare) Research is aimed to service the clients of Religare. This document has been prepared by Religare. Affiliates o
Religare may have issued other reports that are contrary with and reach different conclusion from the information presented in this report. The views an
opinions expressed in this document may or may not match or may be contrary with the views, estimates, rating and target price of the other affiliates o
Religare.
We are not soliciting any action based upon this material. This report is not to be construed as an offer to sell or the solicitation of an offer to buy an
investment / contract in any jurisdiction where such an offer or solicitation would be illegal. It is for the general information of clients of Religare. It does n
constitute a personal recommendation or take into account the particular investment objectives, financial situations, or needs of individual clients. Not a
customers may receive this report at the same time. Religare will not treat recipients as customers by virtue of their receiving this report. It should be noted th
the information contained herein is from publicly available data or other sources believed to be reliable. Neither Religare, nor any person connected with i
accepts any liability arising from the use of this document.
This document is not intended to be and must not be taken as the basis for any investment decision. The investment discussed or views expressed may not b
suitable for all investors. The user assumes the entire risk of any use made of this information. The recipients of this material should rely on their ow
investigations and take their own professional advice. Each recipient of this document should make such investigations as it deems necessary to arrive at a
independent evaluation of an investment referred to in this document (including the merits and risks involved), and should consult its own advisors to determin
the merits and risks of such an investment. Price and value of the investments referred to in this material may go up or down. Past performance is not a guide fo
future performance. Certain transactions -including those involving futures, options and other derivatives involve substantial risk and are not suitable for ainvestors. Reports based on technical analysis centers on studying charts of a price movement and trading volume, as opposed to focusing on fundamentals an
as such, may not match with a report on commodities fundamentals.
Opinions expressed are our current opinions as of the date appearing on this material only. We do not undertake to advise you as to any change of our view
expressed in this document. While we would endeavor to update the information herein on a reasonable basis, Religare, its subsidiaries and associate
companies, their directors and employees are under no obligation to update or keep the information current. Also there may be regulatory, compliance, or oth
reasons that may prevent Religare and affiliates from doing so. Prospective investors and others are cautioned that any forward-looking statements are no
predictions and may be subject to change without notice.
This report is not directed or intended for distribution to, or use by, any person or entity who is a citizen or resident of or located in any locality, state, count
or other jurisdiction, where such distribution, publication, availability or use would be contrary to law, regulation or which would subject Religare and affiliat
to any registration or licensing requirement within such jurisdiction. The investments described herein may or may not be eligible /permitted in all jurisdictio
or to certain category of investors. Persons in whose possession this document may come are required to inform themselves of and to observe such restriction.
Religare and its affiliates, officers, directors, and employees may: (a) from time to time, have long or short positions in, and buy or sell the contracts thereof,
commodities / contracts mentioned herein or (b) be engaged in any other activity involving such commodities / contracts and earn brokerage or oth
compensation or act as a market maker in the commodities / contracts discussed herein or act as advisor or lender / borrower or have other potential conflict
interest with respect to any recommendation and related information and opinions. Without limiting any of the foregoing, in no event shall Religare, any of i
affiliates or any third party involved in, or related to, computing or compiling the information have any liability for any damages of any kind.
Copy right in this document vests exclusively with Religare. This information should not be reproduced or redistributed or passed on directly or indirectly in an
form to any other person or published, copied, in whole or in part, for any purpose, without prior written permission from Religare. We do not guarantee th
integrity of any e-mails or attached files and are not responsible for any changes made to them by any other person.
The analyst for this report certifies that all of the views expressed in this report accurately reflect his or her personal views about the subject commodities
contracts, and no part of his or her compensation was, is or will be, directly or indirectly related to specific recommendations or views expressed in this repo
Analysts holding in the commodities / contracts mentioned in the report: NIL