Futures Contract Generic specifications

Expiration Expiration (also known as maturity or expiry date) refers to

the last trading day of the futures contract. After the expiry
of a futures contract, final settlement and delivery is made
according to the rules laid down by the exchange in the
contract specifications document.
Contract Size Contract size, or lot size, is the minimum tradable size of a
contract. I

Initial Margin Initial margin is the minimum collateral required by the

exchange before a trader is allowed to take a position.

Price Quotation Price Quotation is the units in which the traded price of a
contract is displayed. It can be different from the trading size
of a contract and is often based on industry practices and
conventions.
Tick Size Tick Size is the minimum movement allowed by the
exchange in Price Quotation.

Tick Value Tick Value refers to the minimum profit or loss that can arise
from holding a position of one contract. Tick value depends
on the size of the contract and its tick size.
Mark to Market Mark to market refers to the process by which the exchange
calculates and values all open positions according to pre-
defined rules and regulations. Mark-to-market is an essential
feature of exchange-traded futures contracts whereby the
exchange ensures that all profit and losses are recognized by
pricing them according to accurate market conditions.
Delivery Date Delivery date or delivery period refers to the time specified
by the exchange during or by which the seller has to make
delivery according to contract specifications and regulations.
Daily Settlement Daily settlement refers to the process whereby the exchange
debits and credits all accounts with daily profits and losses
as calculated by the mark-to-market process. Daily
settlement is necessary in order to recover losses and pay
profits to respective accounts.

FX Options Product Specifications

Description: British pound currency options are quoted in terms of U.S.
dollars per unit of the underlying currency and premium is
paid and received in U.S. dollars.
Contract Size 1000 Bristish Pund

Trading Symbol XDB

Settlement Value Symbol: BFW

CUSIP Number: 69336X

Exercise Style: European

Expiration Date: The third Friday of the expiration month.

Expiration Cycle: Quarterly on the March cycle plus two additional near-term
months (six months at all times).
Settlement: U.S. dollars

Settlement Value for Expiring The spot price at 12:00:00 Eastern Time (noon) on the
expiration date. The settlement value is disseminated under
Contracts: the symbol BFW Consult PHLX Rule 1057 for further
information.
Last Trading Day for Expiring The third Friday of the expiration month.

Contracts:
Last Trading Day for Expiring The third Friday of the expiration month.

Contracts:
Contract Point Value: $100 (i.e., .01 x 10,000)

Exercise (Strike) Price Intervals: The Exchange shall determine fixed-point intervals of
exercise prices. Generally, the exercise (strike) price interval
shall be set at half-cent intervals. Consult PHLX Rule 1012 for
further information.
Premium Quotation: One point = $100. Thus a premium quote of 2.13 is $213.
The minimum change in a premium is .01= $1.00.
Position Limits: 600,000 contracts on the same side of the market. Hedge
exemptions are available. For more information consult
PHLX Rules 1001 and 1002.
Trading Hours: 9:30 a.m. to 4:00 p.m. (Eastern Time)

Issuer and Guarantor: The Options Clearing Corporation (OCC)

FX Futures Product Specifications

Symbol USDINR, JPYINR

Instrument Type FUTCUR

Unit of Trading 1-1 unit denotes 1000 USD

Underlying/Order Quotation The exchange rate in Indian Rupees for US Dollar

Tick Size 0.25 paise or INR 0. 0025

Price Precision
Contract Trading Cycle 12 month trading cycle

Final Settlement day Last working days (excluding Saturdays) of the expiry month.
The last working day will be the same as that for Interbank
Settlements.
Base price Theoretical price on the 1st day of the contract.

Settlement Daily Settlement : T+1

Mode of Settlement Cash settled in Indian Rupees

 Daily Settlement Price (DSP) Calculated on the basis of the last half an hour weighted
average price else theoretical price.
Final Settlement Price Press release

Stock Futures Specifications

Underlying Securities Each Single Stock Future shall be based on an underlying

security,
Trading Unit Stock Future shall require the delivery of a particular
number of shares of the underlying security, as determined
by the Exchange

Trading Hours Stock Futures shall be traded during such hours, as

determined by the Exchange.
Minimum Price Fluctuations The minimum price fluctuation for each Single Stock Future
shall be equivalent to $0.01 per share.
Delivery Months Stock Futures shall be traded for delivery in such months, as
determined by the Exchange.
Position Limits, Exemptions, The applicable position limits and/or accountability levels, in
addition to the reportable levels, are set forth in the Position
Position Accountability and Limit, Position Accountability and Reportable Level
Reportable Levels
Price Limits There is no daily price limit for Single Stock Futures.

DAILY SETTLEMENT PRICE Stock Future will be the average of the final bid and final
offer of the Single Stock Future at the close of trading.
FINAL SETTLEMENT PRICE The final settlement price of a Single Stock Future shall be
calculated in accordance with Rule 34105, unless the final
settlement price is fixed in accordance with the Rules of the
Exchange’s Clearing House.
LISTING STANDARDS

A typical Cash reconciliations scenario

This is a key component of operations. In this chapter we are going to explain how to perform a cash reconciliation and
why this reconciliation is important.

When a fund is created all that the fund has is cash. The fund will deposit this cash into an account with a prime broker
(“PB”) or simply use a bank account from which it starts to either invest or pay for recurring expenses such as
administration, research and audit fees. At the end of the month the PB will send the fund a PB statement that indicates
 the remaining cash that the fund has with the PB. At the same time, the fund has its own ledger record where it keeps
account of its cash position. When the PB statement comes at the end of the month the fund will pull its own cash
ledger (“CL”) account and compare it to the PB. This comparison of PB balances against CL balances is called cash
reconciliation. Let us assume that we have a cash reconciliation that is showing.

 Balance per prime broker of $20,000,000

 Balance per ledger of $20,000,000

In above example the prime broker and the ledger agree hence the cash reconciliation is straight forward. However,
What would happen if we realize, at month end, that the prime broker (“PB”) actually has a different cash amount, say
$21,000,000 instead of the $20,000,000 that we have in the CL? If these balances, i.e. the PB and CL balances, are
not in agreement then the fund has to investigate and list the items, called reconciling items, which explain the breaks.
The following are some of the reasons for the breaks in a cash reconciliation:

 Pending trades accounts for the majority of cash breaks. The fund might be using trade date accounting whilst the PB is
using settlement date accounting. Trade date accounting is the GAAP recommended way of accounting that books trades
when the trades are executed. Settlement date accounting is an accounting method that only books trades when the trades
settle. Typically there are a few days’ lag between the trade date and the settlement date. So for example let’s assume that
Fund A buys Citi shares on 5/31 for $1,000,000. The shares then settle a few days later on 6/3. Therefore, on 5/31, Fund
A’s CL will show a cash balance of $19,000,000 whilst the PB will still show $20,000,000. The PB will only show a balance
of $19,000,000 on 6/3. Mean while on 5/31 the $1,000,000 difference will have to be listed as a reconciling item on the cash
reconciliation. The majority of cash breaks fall into this category;
 The PB is missing valid trades that the fund executed. Let’s assume that the fund buys the 1m Citi shares on 5/26 with an
expected settlement date of 5/30. If the broker does not post this trade on 5/30, because the PB is missing the trade, the
cash reconciliation will break by 1m. This is why cash reconciliations are so important. The fund will have to call up the
broker and have the broker post the trade so as to avoid having the same break appearing at month end on 5/31;
 Cancellation of trades can cause breaks. Sometime a fund might cancel a trade. A good example of a trade cancellation
would happen if say the broker were to buy an incorrect security that is different from the security ordered by the fund. If
the cancellation happens just before month end the PB might not reflect the change until the beginning of the following
month. In this case the cash reconciliation will show a break;
 Sometimes the broker might add trades that the fund is not even aware of. The fund needs to investigate such trades. If
the trades are valid then the fund needs to book those trades. However if the trades are simply a mistake made by the
broker then the fund needs to call the broker and have the broker correct the mistake. If the broker corrects the mistake
the following month, instead of correcting the mistake in the current month, then those trades will appear as reconciling
items;
 Duplication of trades, either by the fund or by the broker, can cause cash breaks. The fund needs to investigate such
duplicates and correct the ledger or have the broker correct the PB statement.

A typical Holdings or Position Reconciliation scenario

Instrument Quantity Price per Market Trade date Settle Date

id share value
PB ABC 100 10 120
Ledger ABC 90 10 100

The fund needs to investigate the quantity break of the 10 shares and then update the
ledger if the fund is missing the shares otherwise the fund will have to call the broker to
amend the PB statement. The market price might be breaking because the fund is using a
different pricing source from that used by the broker.
Types of Breaks
 Share Break

This happens when we see an open trade, i.e. a trade that was purchased and is still in the fund ledger, but
we cannot find the position on the PB statement.

 Valuation Break.

Valuation breaks happens when the market value break is over the thresholds set by the fund. The fund
should have a valid pricing methodology policy in place. The methodology for calculating market values for
different product types should be the same between the fund and the PB.

 Reverse Position Break.

This refers to a situation whereby the PB has an open position that the fund does not have on its books.
 Notional quantity breaks
This happens when the fund’s trade quantity does not match the PB, similar to a position break.

Reasons for breaks

 Breaks due to a booking error. In this case the fund needs to check the confirmation statement to ensure that initial
quantities were booked correctly.
 A trade booked using an incorrect local or base currency. Swaps are generally booked in the currency in which they are
traded because certain currencies are not deliverable
 Breaks due to some statements containing many-to-one position where the fund might be showing multiple trades
whereas the PB only shows one. In such cases there could be a booking lag on the fund’s part. The fund would need to
check its numbers. If not then the fund needs to request a confirmation from PB;
 Breaks due to corporate actions. Dividends, rights, Stock split can also create share or position breaks:
 Breaks due to notional quantity breaks that result in valuation breaks. In this case the fund needs to resolve all share
or notional breaks first then resolve valuation breaks if the break still exists;
 Breaks on swaps and CDSs due to upfront fees and breaks on fully funded trades. The fund needs to check which trades
have upfront fees and properly account for the upfront fees;
 Breaks due to multipliers (DQTY). A fund might have some equities that may have a multiplier associated with them. In
this case the fund needs to check its pricing source, e.g. Bloomberg, and apply the multiplier to the PB MTM.