Contract Specifications
Contract Specifications - NSE Bond Futures II
| Instrument Name | Futures based on overnight call rate (MIBOR) |
|---|---|
| Underlying | Average daily FBIL overnight MIBOR for the contract month |
| Symbol | ONMIBOR |
| Market Type | N |
| Instrument Type | FUTIRC |
| Unit of trading | Interest on notional principal of Rs. 5 crores for one month calculated on 30/365 day basis at a rate equal to average daily FBIL overnight MIBOR for the contract month. Members shall place orders in terms of number of contracts. |
| Quoting | Interest Rate |
| Contract Value | Quoted Rate * 100 * 411 [ Value for 1 basis point : Rs. 411 = (Rs. 5 Crs * 0.01% * 30/365 ] |
| Tick size | Quarter basis point (0.25 basis point i.e. 0.0025) |
| Tick value | Rs.102.75 = (Rs.411/4) |
| Contract cycle | 3 serial monthly contracts i.e., 1-month (near-month), 2-month (mid-month) and 3-month (far-month). and additionally 3 quarterly contracts of the cycle March/June/September/December | Trading hours | 9.00 am to 5.00 pm (Monday to Friday) |
| Price operating range | +/-5 % of the base rate. (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 5% in that direction after taking into account market trend or as may be decided by relevant authority) |
| Quantity Freeze | Quantity Freeze for FUTIRC contracts shall be 41 lots or greater i.e. orders having quantity up to 40 lots shall be allowed. |
| Base rate | MIBOR OIS rate for the corresponding tenure will be considered to compute base rate on the first day of the contract. On all other days, daily settlement rate will be considered for base rate of the contract |
| Last trading day | Last working day of the month. In case the last working day is a trading holiday,
the previous trading day shall be the last trading day.
For Expiring futures contract -
The market timing on last trading day will be 9:00 am to 10:00 am and trade modification end time will be till 10:30 am |
| Daily settlement rate price | Volume weighted average rate of trades
-In last 30 minutes of trading, subject to min 5 trades else -In last 60 minutes of trading, subject to min 5 trades else Theoretical rate would be made applicable. |
| Final settlement rate | Average daily FBIL Overnight MIBOR rate, up to 4 decimals, applicable for the contract month |
| Daily settlement | Daily MTM settlement on T+1 day in cash, based on daily settlement rate |
| Final settlement | Final settlement on T+1 day in cash, based on final settlement rate |