Contract Specifications
Contract Specifications - NSE Bond Futures II
| Symbol | 91DTB | ||||
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| 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. |
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| 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 |
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| 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 |
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| 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 |
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| 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 |
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| Price operating range | +/-1 % of the base price | ||||
| Position limits |
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| 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. |
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| 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 NSE Clearing. 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 |