Contract Specifications

Contract Specifications - 91 Day T-Bills

Contract Specifications - MIBOR Futures

Instrument Type FUTIRC
Symbol 768GS2023 668GS2031 726GS2029 795GS2032 727GS2026 757GS2033 645GS2029
The symbol shall denote coupon, type of bond and Maturity Year.
The symbol shall denote coupon, type of bond and Maturity Year. For example 7.68% Central Government Security having maturity on December 15, 2023 shall be denoted as 768GS2023 The symbol shall denote coupon, type of bond and Maturity Year. For example 6.68% Central Government Security having maturity on September 17, 2031 shall be denoted as 668GS2031 The symbol shall denote coupon, type of bond and Maturity Year. For example 7.26% Central Government Security having maturity on January 14, 2029 shall be denoted as 726GS2029 The symbol shall denote coupon, type of bond and Maturity Year. For example 7.95% Central Government Security having maturity on August 28, 2032 shall be denoted as 795GS2032 The symbol shall denote coupon, type of bond and Maturity Year. For example 7.27% Central Government Security having maturity on April 08, 2026 shall be denoted as 727GS2026 The symbol shall denote coupon, type of bond and Maturity Year. For example 7.57% Central Government Security having maturity on June 17, 2033 shall be denoted as 757GS2033 The symbol shall denote coupon, type of bond and Maturity Year. For example 6.45% Central Government Security having maturity on October 07, 2029 shall be denoted as 645GS2029
Underlying Futures contracts based on 7.68% Central Government Security having maturity on December 15, 2023 Futures contracts based on 6.68% Central Government Security having maturity on September 17, 2031 Futures contracts based on 7.26% Central Government Security having maturity on January 14, 2029 Futures contracts based on 7.95% Central Government Security having maturity on August 28, 2032 Futures contracts based on 7.27% Central Government Security having maturity on April 08, 2026 Futures contracts based on 7.57% Central Government Security having maturity on June 17, 2033 Futures contracts based on 6.45% Central Government Security having maturity on October 07, 2029
Market Type N
Unit of trading Rs. 2 lakhs face value of GOI securities equivalent to 2000 units. Members shall place orders in terms of number of lots.
Quotation Similar to the quoted price of GOI security
Contract Value Quoted price * 2000
Tick size Rs.0.0025
Trading hours Monday to Friday
9:00 a.m. to 5:00 p.m.
Contract trading cycle Three Serial monthly contracts followed by three quarterly contracts of the cycle March/June/September/December
Spread Contract Near-Mid, Near-Far & Mid-Far
All spread orders shall be placed in terms of price difference only.
Last trading day Last Thursday of the month. In case the last Thursday is a trading holiday, the previous trading day shall be the expiry/last trading day
Quantity Freeze 1251 lots or greater i.e. orders having quantity up to 1250 lots shall be allowed.
Base price Theoretical future price of the 1st day of the contract.
On all other days, daily settlement price of the contract
Price operating range +/-3 % of the base price
(Whenever a trade in any contract is executed at the highest/lowest price of the band, Exchange may expand the price band for that contract by 0.5% in that direction after 30 minutes after taking into account market trend. Price band may be relaxed only 2 times during the day)
Daily Settlement Daily MTM settlement on T+1 in cash based on daily settlement price
Final Settlement Final settlement on T+1 day in cash based on final settlement price
Daily Settlement Price Volume Weighted Average Futures Price of last half an hour across exchanges or Theoretical price.
Final Settlement Price Weighted average price of the underlying bond based on the prices during the last two hours of the trading on NDS-OM. If less than 5 trades are executed in the underlying bond during the last two hours of trading, then FIMMDA price shall be used for final settlement