Trading Members and other market participants of the Currency Derivatives Segment are hereby informed that the Exchange shall commence Live Trading in Interest Rate Derivative contracts in the Currency Derivative Segment w.e.f. November 29, 2013
Trading in Interest Rate Derivative contracts shall commence with Interest Rate Futures (IRF) contracts on 91 day Treasury Bill Futures on ‘cash settlement’ basis detailed as under.
The contract specifications and other trading parameters are as follows:
1. Contract Specifications:
The Contract specifications, trading parameters, and mode of settlement have been specified in Annexure-I, which shall be binding on all the members and constituents trading through them.
2. Market Trading Holidays:
The Market holidays observed by the Exchange during the Calendar Year 2013 for the Currency Derivatives Segment as intimated vide Exchange notice 20131121-19 issued on November 19, 2013
3. Trading Hours:
Monday to Friday: 9.00 am to 5.00 pm
On the day of expiry of contract, trading will be stopped at 1.00 pm for current month contracts.
4. Extension of Market Hours:
The Exchange may extend the trading hours on any day for any reason that the Exchange may deem fit.
5. Market close for Trading:
The Exchange may at its discretion, close the market for trading, for such time period as deemed necessary if, for reasons beyond their control, 40% or more of its users are unable to trade or access the trading system during the normal or extended course of trading hours.
6. Transaction Charges:
Since IRF contracts shall be available in the Currency Derivative Segment, in order to encourage active participation in the Currency Derivatives Segment, it has been decided that no transaction charges shall be levied on the trades done in the Currency Derivatives segment of the Exchange until further notice.
7. Trading Software:
The Exchange shall launch trading in IRF contracts its new trading platform viz. BOLT Plus on Currency Derivative Segment. The members can access BOLT Plus system using following access channels –
A. Exchange provided trading workstation (BOLT Plus Trading Workstation)
B. API based connectivity - The Exchange has already published APIs for the new trading system using its existing API messages viz. IML/APIs as well as new advanced APIs viz. ETI,MDI and EMDI APIs.
Trading members desirous of trading on IRF through API based trading applications such as 3rd party software from empanelled front office vendors or in-house software developed by themselves shall have to seek Exchange’s approval for their trading applications before commencing live trading in IRF. However if Trading Members have already taken approval of Currency Derivatives Segment itself, no separate approval is needed for IRF trading.
For more details on the trading software set-up, please refer to weblink http://www.bseindia.com/nta.aspx.
8. Order Management :
Permissible order types –
Members are permitted to enter day orders, market orders, limit orders, stop loss orders and IOC orders.
Order matching rules –
Orders entered into the trading system shall be matched on price-time priority basis. The best buy order shall match with the best sell order. For the purposes of trading, the best buy order shall be the one with the highest price and the best sell order shall be the one with the lowest price.
The Exchange may modify or change the matching algorithms relevant to any market or order books any time where it is necessary to do so.
Order modification and cancellation –
A Trading Member shall be permitted to modify or cancel his orders, provided a trade has not already taken place in respect of that order. The order can be modified by effecting changes in the order attributes in the manner and on such conditions as specified by the Exchange from time to time. The modified order shall lose or retain its time priority depending upon the trading attribute(s) modified.
9. Calendar Spreads:
The convention for calendar spread contracts shall be different from those in Equity Derivatives segment. A Buy spread order in IRF contracts shall mean Buy in Near Month leg and Sell in Far Month leg. A Sell spread order in IRF contracts shall mean Sell in Near Month leg and Buy in Far Month leg.
The Exchange shall offer calendar spreads on all combinations of monthly future contracts. Only regular limit orders shall be allowed for spread orders.
10. Price Bands:
In order to avoid erroneous order entry by participants, price bands will be applicable on all the contracts. Price band range will be +/-1% on base price and the same may be relaxed based on members request.
11. EOD File Formats:
The EOD files for the members back office will be downloaded to Trading Members through extranet. Trading Members will be able to access the same through Internet using the following weblink –http://member.bseindia.com. The members will be able to access the back dated files of last 30 calendar days. For the list of EOD files and file formats for member back office reference may be drawn to Exchange notice 20131121-19 issued on November 19 ,2013.
12. Trade Modification:
Trading Members shall be permitted to modify trades with respect to client codes only. Modification from Client to Pro or vice-versa shall not be allowed. The same shall be available in RTRMS system. A detailed circular shall be issued by ICCL on the same.
13. Clearing and Settlement:
The Clearing & Settlement of trades in IRF contracts shall be performed by the Indian Clearing Corporation Ltd (ICCL), wholly owned subsidiary of BSE Ltd. ICCL shall be the central counter party for all bona fide trades done in the segment as per the Rules, Byelaws and Regulations of ICCL. A detailed circular shall be issued by ICCL on the same.
Trading members may be aware that, by regulation, trades done on FII clients shall be subject to limits placed on FIIs for permissible limit for investment in Government of India securities for FIIs. Trading Members are requested to put in adequate checks and balances at their end to ensure the same.
In case of any difficulty in implementing the provisions of this circular and/or requirements of SEBI and BSE, BSE reserves its right to provide appropriate clarifications, which shall be final and binding
For compliance related clarifications of the Currency Derivatives Segment , members may refer to master circular notice 20131121-19 issued on November 19 ,2013.
"For any clarifications, members are advised to contact following touch points-
Currency Derivative Helpdesk for queries on BOLT Plus/ETI - 022 2272 8080 (hunting)
or
Queries on User Id Management, Password reset, Membership and other queries on Currency Derivative - 022 6136 3136 (hunting)
or
Respective Relationship Manager"
For and on behalf of BSE Ltd,
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Devika Shah
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Sameer Vaze
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Sr.GM – Trading Operations
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Manager – Trading Opeartions
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