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| NOTICES |
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| Notice No. |
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20140731-38 |
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Notice Date |
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31 Jul 2014 |
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| Category |
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Trading |
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Segment |
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IRD |
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| Subject |
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Introduction of Interest Rate Futures Contracts based on 8.40% Goverment of India Bond maturing on July 28,2024. |
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| Content |
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Trading Members and market participants of the Currency Derivatives Segment are requested to refer to the Exchange notice number 20140111-1 dated January 11, 2014 regarding Introduction of Trading in Interest Rate Futures (IRF) Contracts on 10 Year Cash Settled Government Securities at BSE and notice number 20131126-18 dated November 26, 2013 regarding Master Circular for Interest Rate Derivatives.
The Exchange will be introducing Interest Rate Futures contracts based on 8.40 % Government of India Bond maturing on July 28, 2024 (ISIN- IN0020140045) with effect from Monday August 04, 2014.
Product details and trading parameters are as follows: -
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Underlying
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8.40 % GOI Maturing on July 28,2024
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Coupon
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8.40%
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Instrument Type
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FUTIRD
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Symbol
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10YGS840
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Trading Hours
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9:00 AM to 5:00 PM
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Trade modification and give-up timings
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9:00 AM to 5:30 PM
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Contract trading cycle
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Serial monthly contracts with maximum maturity of 3 months. To begin with 3 contracts for August 2014, September 2014 and October 2014 shall be enabled.
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Spread Contracts
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Calendar spread facility shall be available for trading across 3 contract months at any time, corresponding to the current, near and far monthly futures instruments viz: Near – Mid, Mid – Far and Near – Far.
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Expiry/Last trading day
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Last Thursday of the expiry month.
(If any expiry day is a trading holiday, then the expiry/ last trading day shall be the previous trading day. Trading in expiry day till 5. 00 PM.)
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Unit of Contract
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1 contract
1 contract = 2000(No. of Bonds) * 100 (Face Value) = INR 200,000/-
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Contract Value
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Quoted Price * 2000
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Tick Size
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0.0025
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Maximum Quantity Limit
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1250 (Orders with Qty more than 1250 will be rejected.)
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Settlement ( Daily and Final Settlement) Mechanism
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Cash Settled contracts in INR on T + 1 day
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Other contract specification will be similar to existing Interest rate Futures (IRF) Contracts
For any clarifications, Trading Members are advised to contact their respective Relationship Manager or BSE helpdesk.
For and on behalf of BSE Ltd.
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Rajesh Saraf
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Ketan Jantre
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Sr.GM – Trading Operations
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GM-Trading Operations
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