Contract Specifications

Contracts Specifications - NSE Bond Futures II

Symbol 91DTB
Market Type N
Instrument Type FUTIRT
Unit of trading One contract denotes 2000 units (Face Value Rs.2 lacs)
Underlying 91-day Government of India (GOI) Treasury Bill
Tick size 0.25 paise  i.e. INR 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 one quarterly contract of the cycle March/June/September/December
Last trading day Last Wednesday of the expiry month at 1.00 pm
In case last Wednesday of the month is a designated holiday, the expiry day would be the previous working day
Price Quotation 100 minus futures discount yield
e.g. for a futures discount yield of 5% p.a. the quote shall be 100 - 5 = Rs 95
Contract Value Rs 2000 * (100 - 0.25 * y), where y is the futures discount yield
e.g. for a futures discount yield of 5% p.a. contract value shall be
2000 * (100 - 0.25 * 5)= Rs 197500
Quantity Freeze  7,001 lots or greater
Base price Theoretical price of the first day of the contract
On all other days, quote price corresponding to the daily settlement price of the contracts
Price operating range +/-1 % of the base price
Position limits
Clients Trading Members
6% of total open interest or Rs.300 crores whichever is higher 15% of the total open interest or Rs.1000 crores whichever is higher
Initial margin SPAN ® (Standard Portfolio Analysis of Risk) based subject to minimum of 0.1 % of the notional value of the contract on the first day and 0.05 % of the notional value of the contract thereafter
Extreme loss margin 0.03 % of the notional value of the contract for all gross open positions
Settlement Daily settlement MTM: T + 1 in cash
Delivery settlement : Last business day of the expiry month.
Daily settlement Mark to Mark (MTM) : T + 1 in cash
Daily settlement price & Value Rs (100 - 0.25 * yw) where yw is weighted average futures yield of trades during the time limit as prescribed by NSCCL. In the absence of trading in prescribed time limit, theoretical futures yield shall be considered
Daily Contract Settlement Value Rs 2000 * daily settlement price
Final Contract Settlement Value  Rs 2000 * (100 - 0.25 * yf) where yf is weighted average discount yield obtained from weekly auction of 91-day T-Bill conducted by RBI on the day of expiry
 Mode of settlement  Settled in cash in Indian Rupees

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