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INR/USD Futures
Normal Daily Settlement Procedure
Daily settlement of INR/USD futures (SIR) is determined by CME Group staff based on trading activity on CME Globex during the 30 second window ending on the designated settlement time.
Lead month
The lead month is the expiry month and the contract expected to be the most active.
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Tier 3: If a bid and ask are not available on Globex during this period, then CME staff uses quote vendor spot rates and forward points to International Monetary Market (IMM) dates to determine the lead contract’s synthetic daily settlement.
Back months
All back months will settle to interpolated prices from WM Reuters. The settlements will be normalized against the Lead Month settle vs. the interpolated price for the lead month from WM Reuters. All settlements for back months will be validated against any spread markets involving the lead month.
Normal daily settlements from “rollover date” to termination of trading day
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Final Settlement Procedure
https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/III/250/279.pdf
Additional Details
INR/USD futures (SIR) futures are futures are financially settled upon expiration. For additional details on delivery, please see the CME Rulebook (Chapter 279).
Micro INR/USD Futures
Normal Daily Settlement Procedure
The settlement in the Micro INR/USD (MIR) futures contract is derived directly from the settlement in the corresponding INR/USD (SIR) futures contract.
For Example:
If the SIRU5 settles 15428, then the value of the corresponding Micro Indian Rupee/USD, MIRU5, would be 1.5428.
Normal Final Settlement Procedure
The settlement in the Micro INR/USD (MIR) futures contract is derived directly from the settlement in the corresponding INR/USD (SIR) futures contract.
For Example:
If the final settlement in the SIRU5 is 15428, then the final settlement in the corresponding Micro Indian Rupee/USD, MIRU5, would be 1.5428.
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