Derivatives

What you wanted to know about Due Date Rate

Gurumurthy K BL Research Bureau | Updated on October 02, 2021

Due Date Rate (DDR) is the rate of a contract calculated on the final trading day (contract expiry day) for the purpose of settlement. It is also called as the Final Settlement Price (FSP). All positions that are kept open until the expiry will be settled at this rate. Each commodity category has different ways of calculating the DDR.

In case of gold, copper etc. the DDR is the average of the polled spot prices of the last three trading days. This includes the expiry day also. Assume that the expiry day is E, then the polled spot price on E, E-1 and E-2 will be taken for the calculation of DDR. In case if spot price is not available for any of these days, then the polled spot price on E-4 will be considered. Spot prices are polled twice a day from the physical market participants for all commodities. The spot price fixed based on the second poll for the day on the last three days is taken into consideration for calculating the DDR.

For products such as crude oil and natural gas, the DDR calculation is different. For these two contracts, the settlement price of the front month contracts of crude oil and natural gas traded on the New York Mercantile Exchange (NYMEX) converted to Indian rupees will be considered as the DDR. Assume that 30-Sep-21 is the expiry date for MCX-Crude Oil and the NYMEX Crude has settled at $78 on that day. Assume that RBI’s reference rate for USDINR on that day is 74. So, the DDR for MCX Crude will be ₹5,772 (78*74).

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Published on October 02, 2021

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