Description

NSE clarifies DDR computation methodology for monthly electricity futures when contract expiry month ends on Sunday, detailing provisional and final settlement procedures.

Summary

NSE Clearing Limited has issued clarification on the DDR (Due Date Rate) computation methodology for Monthly Electricity Futures contracts when the last calendar day of the expiry month falls on a Sunday. This circular provides detailed procedures for both provisional and final settlement processes, using ELECMBL29AUGFUT as an example.

Key Points

  • DDR methodology applies when last calendar day of expiry month falls on Sunday
  • Last trading day is business day immediately preceding last calendar day of contract expiry month
  • Contract closes for trading prior to spot price dissemination based on UMCP of corresponding Day Ahead Market
  • Provisional settlement occurs on first business day following expiry
  • Final settlement includes Sunday’s DAM-UMCP data when available

Regulatory Changes

No new regulatory changes introduced. This circular clarifies existing DDR methodology for specific weekend expiry scenarios as previously notified in circular NCL/COM/69054 dated July 10, 2025.

Compliance Requirements

  • Members must follow specified settlement timeline for electricity futures expiring on Sundays
  • Provisional settlement obligations collected on T+1 basis
  • Final settlement differential obligations settled on T+1 from final DDR computation
  • Members should contact NSE Clearing Limited for queries via support@nsccl.co.in or 18002660050 (Option 2)

Important Dates

  • Example Contract: ELECMBL29AUGFUT
  • Last Trading Day: Friday, August 29, 2025
  • Contract Expiry: Sunday, August 31, 2025
  • Provisional Settlement: Monday, September 1, 2025
  • Final Settlement: Tuesday, September 2, 2025

Impact Assessment

Medium impact on electricity futures traders and clearing members. Clarifies settlement procedures for weekend expiry scenarios, ensuring proper cash flow management and settlement obligations. Affects commodity derivatives segment participants trading monthly electricity futures contracts that expire when month-end falls on Sunday.

Impact Justification

Clarifies specific settlement procedures for electricity futures expiring on weekends, affecting commodity traders and clearing operations