Settlement procedure for Index Futures Contracts
On August 17, 2020, the MCXCCL issued a circular (MCXCCL Circular No. MCX CCL/C&S/192/2020). This circular details the settlement procedure for index futures contracts. Below are the key details regarding the procedure.
Implications:
- MCX iCOMDEX Bullion Index Futures shall be available for trading w.e.f. Monday, August 24, 2020.
- Settlement procedure for Index Futures Contracts.
- Daily MTM settlement shall be conducted similar to that of the commodity futures contracts on a T+1 day at the scheduled timelines and it shall form part of the Member daily obligation report.
- The logic for computation of daily settlement/ closing price shall be as under
1.Closing Price= WAP of all trades done during the last 30 minutes
2.If the no. of trades in 30 minutes are less than 10, then it is based on the WAP of the last 10 trades executed.
3.If the no. of trades done during the day are more than 10, then it is taken as the WAP of all the trades executed during the day
- If no trades are executed in an index futures contract on a day, then MCXCCL shall compute the theoretical price and modify the closing price for the purpose of MTM and making the open positions closer to the market as specified.
- However CC at its own discretion may arrive at the close price through any other method to reflect a fair close price of the illiquid contract.