The product will benefit retailers, corporates, proprietary traders, HNIs, banks, FIIs, brokerage houses, insurance companies, NBFCs and primary dealers, among others. Following are the Product Features of cash settled Interest Rate Futures (IRF) on 10-year Government of India security.
• Underlying: 8.83% GOI 2023 (25tth Nov 2023), 7.16% GOI 2023 (20th May 2023)
• Coupon: 8.83%, 7.16% (Coupon shall be same as that of the underlying bond)
• Trading: 9:00 AM to 5:00 PM; Monday to Friday
• Quotation: Similar to quoted price of GOI underlying security One Bond of face value INR 100
• Tick size: 0.25 paise (or INR 0.0025)
• Tenor: Serial monthly contracts up to 3 months
• Contract Value: Quoted price * 2000 (Each futures contract shall represent 2000 underlying bonds of
FV Rs 100 each)
• Lots Size /Unit of Trading: INR 2,00,000/-
• Daily Contract Settlement Value
• Volume weighted average futures price of last half an hour
• In the absence of last half an hour trading theoretical futures price, following shall be considered
~Weighted average price of underlying bond in last two hours of trading on NDS-OM
~ If no trades are executed in the underlying bond then, a theoretical price with
reference to FIMMDA rates shall be used.
• Expiry/Last trading day
• Last Thursday* of the expiry month.
( *If holiday/shut period, then it shall be the previous trading day).
• Settlement Mechanism: Cash in INR
~ Final Contract Settlement Value: Final Settlement price* 2000
~ Final Settlement price (FSP): Final Settlement price will be arrived at by calculating the 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.
• Initial Margin – 1.5% of contract value
The Initial Margin requirement shall be based on a worst case loss of a portfolio of an individual client across various scenarios of price changes. The various scenarios of price changes would be so computed so as to cover a 99% VaR over a one day horizon
• Extreme Loss margins
Clearing members shall be subject to Exposure/Extreme Loss margins in addition to initial margins. The exposure margins shall be 0.5% of the contract value. In case of spread position ELM will be applicable on one third of the far month contract value
(Mark To Market on T+1 day basis)
• Calendar Spread Margin
The calendar spread charges shall be in addition to worst-scenario loss of the portfolio. The calendar spread charge shall be Rs.800 for 1 month spread and Rs.1250 for 2 month spread.
• Client Level gross open position
Up to 3% of Total OI or INR 200 Crores, whichever is higher.