Trading Members and market participants of the Currency Derivatives Segment are hereby informed that the Exchange shall commence Trading in 10 Year Cash Settled Interest Rate Derivative contracts with effect from January 28, 2014.
Attention of the market participants is also drawn towards the Master Circular for Interest Rate Derivatives 20131126-18 issued on November 26, 2013 and Currency Derivatives -20131121-19 issued on November 21, 2013.
Product Details & Trading Parameters
BSE will introduce the Interest Rate Futures on following underlying Government of India (GOI) securities
- 7.16% GOI maturing on 20th May 2023 (ISIN: IN0020130012)
- 8.83% GOI maturing on 25th November 2023 (ISIN : IN0020130061)
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Underlying
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7.16% GOI maturing on 20th May 2023
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8.83% GOI maturing on 25th Nov 2023
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Coupon
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7.16%
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8.83%
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Instrument Type
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FUTIRD
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Symbol
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10YGS716
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10YGS883
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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 January 2014, February 2014 and March 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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Quotation
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In terms of Face Value; For instance 99.1876
The spread contracts will be quoted on price difference.
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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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Price Bands
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Initial price band at 3% of the previous closing price.
If trade is executed at lowest/highest price of the band, it may be expanded by 0.5% after 30 minutes. Maximum two expansions in a day will be allowed. SEBI in consultation with RBI may halt the trading in case of extreme volatility in the IRF market.
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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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Closing Price
1) Daily Close Price and
2) Final Settlement value
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Theoretical price will be used on the first day of the contract.
1) Daily Close Price = Pw*2000
pw is volume weighted average futures price of last half an hour trades.
In the absence of last half an hour trading, theoretical futures price shall be considered for computation of Daily Contract Settlement Value. For computing theoretical futures price, following shall be considered:-
a) Weighted average price of underlying GOI security in last two hours of trading on NDS-OM
b) If no trades are executed in the underlying GOI security then, a theoretical price with reference to FIMMDA rates shall be used.
(Detailed methodology appended as Annexure )
2) Final Contract Settlement Value = 2000 * Pf
pf is the final settlement price of the underlying GOI security, which shall be determined as given below.
Pf will be arrived at by calculating the weighted average price of the underlying GOI security 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 GOI security during the last two hours of trading, then FIMMDA price shall be used for final settlement.
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Position Limits
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Client Level: The gross open positions of the client across all contracts shall not exceed 3% of the total open interest or INR 200 crores, whichever is higher.
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Trading Member Level: The gross open positions of the Trading Member across all contracts shall not exceed 10% of the total open interest or INR 600 crores, whichever is higher.
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Clearing Member Level: No separate position limit is prescribed at the level of clearing member. However, the clearing member shall ensure that its own trading position and the positions of each Trading Member clearing through it is within the limits specified above.
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FII's: The gross open positions of the FII across all contracts shall not exceed 10% of the total open interest or INR 600 crores, whichever is higher. The total gross short (sold) position of each FII in IRF shall not exceed its long position in the government securities and in IRF, at any point in time. The total gross long (bought) position in cash and IRF markets taken together for all FIIs shall not exceed the aggregate permissible limit for investment in government securities for FIIs.
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Exchange Level Overall Position Limit:
Following limits shall be applicable on overall open interest on derivatives contracts of IRF in GOI Security :
INR 25,000 crore or 25% of the outstanding of underlying GOI security whichever is higher
Outstanding issue size of the instruments as on Jan 06, 2014:
7.16% GOI maturing on 20th May 2023 : Rs. 77,000 crores
8.83% GOI maturing on 25th November 2023 : Rs. 21,000 crores
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For any clarifications, Trading Members are advised to contact the following officials or their respective Relationship Manager.
Hetal Kotak: 022-22728701 / Anuj Doshi: 022-22728562 / Sunny Trisal: 022-22728057
Currency Derivative/Bolt plus Front End– 022 2272 8080
IML Tech Support: 022 2272 8053
For and on behalf of BSE Ltd.
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Girish Joshi
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Devika Shah
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Sr. General Manager – Fixed Income
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Sr. General Manager – Trading Operations
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