NATIONAL STOCK EXCHANGE OF INDIA LIMITED DEPARTMENT : CURRENCY DERIVATIVES Download Ref No : NSE/CDS/25524
Date : January 09, 2014
Circular Ref. No : 002/2014 All Members, Launch of trading in Interest Rate Futures The Exchange hereby notifies the following for trading in Interest Rate Futures contracts Instrument Name
Symbol of the Underlying
Expiry date
Contract cycle Spread contracts
Order type/Order book/Order attribute
Market Type Permitted lot size Price quotation Contract value Price steps for contracts Quantity Freeze
FUTIRC 883GS2023 - Futures contracts based on 8.83% Central Government Security having maturity on November 25, 2023 716GS2023 - Futures contracts based on 7.16% Central Government Security having maturity on May 20, 2023 Last Thursday of the Month. In case the last Thursday is a trading holiday, the previous trading day shall be the expiry/last trading day. The FUTIRC contracts shall expire at the normal market closing time on the expiry day or such other time as decided by Exchange. Monthly - 3 serial months Near-Mid, Near-Far & Mid-Far All spread orders shall be placed in terms of price difference only. • Regular lot order • Stop loss order • Immediate or cancel • Day Order • Spread order Normal Market ‘N’ Rs 2 lakhs face value of GOI securities equivalent to 2000 units. Members shall place orders in terms of number of lots. Similar to the quoted price of GOI security Quoted price * 2000 Rs.0.0025 1251 lots or greater i.e. orders having quantity up to 1250 lots shall be allowed.
Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai – 400 051
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Base Price applicable to IRF contracts Daily closing price
Price ranges of contracts
Normal Trading Hours Trade modification / Trade Cancellation request / Give-up Approval of custodian trades
Theoretical price on the first day of the contract. On all other days Daily Settlement Price of the contract. Volume Weighted Average Futures Price of trades in the last half an hour. The operating range shall be +- 3 % of the base price. Whenever a trade in any contract is executed at the highest/lowest price of the band, the Exchange may expand the price band for that contract by 0.5% in that direction after 30 minutes after taking into account market trend. Price band shall be relaxed only twice on any trading day. Monday to Friday 9:00 A.M. to 05:00 P.M. Monday to Friday 9:00 A.M. to 05:30 P.M.
The contracts shall be made available for trading with effect from January 21, 2014.
For and on behalf of National Stock Exchange of India Limited
Suprabhat Lala Vice President
Toll Free No 1800-22-00-53
Fax No +91-22-26598325
Email id
[email protected]
Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai – 400 051
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