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JPY USD

JPYUSD Futures
JPYUSD Options

Contract Specifications JPYUSD Futures

Symbol	JPYUSD
Underlying	Japanese Yen - US Dollar Spot Rate (JPYUSD)
Trading hours	Monday to Friday Session 1 - 04:30:00 Hours to 17:00:00 Hours Session 2 - 17:00:01 Hours to 02:30:00 Hours
Size of the Contract	JPY 1,000,000
Quotation	US Cents per 100 Japanese Yen (e.g. 89.23 – 89.24) or US$ 0.000001 per ¥
Minimum Price Movement (Tick Size)	0.01 (Value - US$ 1)
Contract Months	Three (3) serial monthly contracts followed by three (3) quarterly contracts of the cycle March / June / September / December.
Settlement Mechanism	The contracts would be settled in cash in US Dollar (US $)
Contract Value	The contract value shall be = (Quoted Price*1000000)/10000 USD
Daily Settlement Price	The daily settlement price of JPYUSD contracts shall be the last half an hour volume weighted average price of the contract. In the absence of last half an hour trading, volume weighted average futures price of trades in the entire day, subject to a minimum of 5 trades in the day will be taken for the computation.
Last Trading Day	The last trading day for the futures contract would be two working days prior to the last working day of the expiry month at Around 12:00 - 12:30 p.m. If any last trading day is a trading holiday, then last trading day shall be the previous trading day.
Settlement	Daily Settlement: The daily contracts for each session would be settled as follows: Trading Session 1 - 04:30:00 Hours to 17:00:00 Hours – Settlement on next working day by 08.30 Hours Trading Session 2 - 17:00:01 Hours to 02:30:00 Hours – Settlement on the same day by 16:30 Hours Final Settlement: Along with daily settlement cycle for the respective contracts.
Final Settlement Price	The final settlement price of the JPYUSD contracts shall be computed using the RBI reference rate for JPYINR and USDINR on the last trading day of the contract. Computed RBI Reference Rate for JPYUSD = (RBI Reference Rate for JPYINR/ RBI Reference Rate for USDINR)100 Example: JPYINR – 58.00 & USDINR – 65.00, therefore JPYUSD = (65.00/58.00)100 = 89.23
Position limits	Eligible market participants are allowed to take positions in JPYUSD Future contracts as prescribed below: 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 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 Eligible Foreign Investors - Gross open position across all contracts not to exceed 15% of the total open interest or USD 1 billion equivalent, whichever is higher 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% limit, 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 exposure margin to provide additional risk coverage. The exposure 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.
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.

Contract Specifications JPYUSD Options

Symbol	JPYUSD
Underlying	Japanese Yen - US Dollar Spot Rate (JPYUSD)
Instrument Type	OPTCUR
Options Type	Premium Style European Call and Put Options
Trading hours	Monday to Friday Session 1 - 04:30:00 Hours to 17:00:00 Hours Session 2 - 17:00:01 Hours to 02:30:00 Hours
Size of the Contract	JPY 1,000,000
Quotation	U.S. dollars per EURO, quoted up to the fourth decimal place (e.g. 1.0400 – 1.0401)
Premium	Premium quoted in US$ Cents
Minimum Price Movement (Tick Size)	0.01 (Value - US$ 1)
Strike Price Intervals	$ 0.25 At all times there will be a minimum of 3 in-the-money, 1 at-the-money and 3 out-of-money Options available. Once the settlement price reaches close to the lower end or higher end of the Options chain, additional Options strikes will be introduced.
Contract Months	Three (3) serial monthly contracts followed by three (3) quarterly contracts of the cycle March / June / September / December.
Settlement Mechanism	The contracts would be settled in cash in US Dollar (US $)
Contract Value	The contract value shall be = (Quoted Price*1000000)/10000 USD
Daily Settlement Price	The daily settlement price of JPYUSD Options contracts shall be the last half an hour volume weighted average price of the contract. In the absence of last half an hour trading, volume weighted average futures price of trades in the entire day, subject to a minimum of 5 trades in the day will be taken for the computation
Last Trading Day/Final Settlement Day	The last trading day for the futures contract would be two working days prior to the last working day of the expiry month around 12:00 - 12:30 p.m. If any last trading day is a trading holiday, then last trading day shall be the previous trading day.
Settlement	Daily Settlement: The daily contracts for each session would be settled as follows: Trading Session 1 - 04:30:00 Hours to 17:00:00 Hours – Settlement on next working day by 08.30 Hours Trading Session 2 - 17:00:01 Hours to 02:30:00 Hours – Settlement on the same day by 16:30 Hours Final Settlement: Along with daily settlement cycle for the respective contracts.
Final Settlement Price	The final settlement price of the JPYUSD contracts shall be computed using the RBI reference rate for JPYINR and USDINR on the last trading day of the contract. Computed RBI Reference Rate for JPYUSD = (RBI Reference Rate for JPYINR/ RBI Reference Rate for USDINR)100 Example: JPYINR – 58.00 & USDINR – 65.00, therefore JPYUSD = (65.00/58.00)100 = 89.23
Position limits	Eligible market participants are allowed to take positions in JPYUSD Options contracts as prescribed below: 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 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 Eligible Foreign Investors - Gross open position across all contracts not to exceed 15% of the total open interest or USD 1 billion equivalent, whichever is higher 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 exposure margin to provide additional risk coverage. The exposure 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 month 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. 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 each month. A portfolio consisting of a near month Options with a delta Δ of 100 and a far month Options 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 Options 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 Options Minimum Margin is applied to each product to account for this potential exposure. The Short Options 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 Options Value	The Net Options Value is the current market value of the Options times the number of Options (positive for long Options and negative for short Options) in the portfolio. The Net Options 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 $US 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 Options contracts. For Options 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.