NATIONAL STOCK EXCHANGE OF INDIA LIMITED DEPARTMENT : CURRENCY DERIVATIVES Download Ref No : NSE/CD/30368

Date : July 28, 2015

Circular Ref. No : 026/2015 All Members, Launch of trading in Cash Settled Interest Rate Futures (IRF) on 6 year and 13 year Government of India (GoI) Security In accordance with the guidelines pertaining to the selection of underlying for trading in Cash Settled Interest Rate Futures specified by SEBI vide circular No. CIR/MRD/DRMNP/11/2015 dated June 12, 2015; the Exchange hereby notifies the following for trading:

Instrument Name

Symbol of the Underlying

Expiry date

Contract cycle Spread contracts

Order type/Order book/Order attribute

Contract specification for Contract specification for IRF contract on 6 year IRF contract on 13 year Government of India Government of India (GoI) Security (GoI) Security FUTIRC FUTIRC 827GS2020 - Futures 788GS2030 - Futures contracts based on 8.27% contracts based on 7.88% Central Government Central Government Security having maturity on Security having maturity on June 09, 2020 March 19, 2030 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. Three Serial monthly contracts followed by three quarterly contracts of the cycle March/June/September/December 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

Market Type

Normal Market ‘N’

Permitted lot size

Rs 2 lakhs face value of GOI securities equivalent to 2000 units. Members shall place orders in terms of number of lots.

Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai – 400 051

Page 1 of 3

Price quotation Contract value Price steps for contracts Quantity Freeze 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

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. 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 details of contracts are as per Annexure 1. The contracts shall be made available for trading with effect from July 31, 2015. Kindly download cd_contract.gz and cd_spd_contract.gz files from Extranet path/cdsftp/ cdscommon and update the local database before trading on July 31, 2015, as the use of any older files will result in inability to setup and trade in Interest Rate Futures contracts. For and on behalf of National Stock Exchange of India Limited Khushal Shah Chief Manager

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

Page 2 of 3

Annexure 1 Details of the contracts are as follows: Futures Contracts: Instrument FUTIRC FUTIRC FUTIRC

Symbol 827GS2020 827GS2020 827GS2020

Expiry 27AUG2015 24SEP2015 29OCT2015

Instrument FUTIRC FUTIRC FUTIRC

Symbol 788GS2030 788GS2030 788GS2030

Expiry 27AUG2015 24SEP2015 29OCT2015

Spread Contracts: Instrument FUTIRC FUTIRC FUTIRC

Symbol 827GS2020 827GS2020 827GS2020

Leg 1 27AUG2015 27AUG2015 24SEP2015

Leg 2 24SEP2015 29OCT2015 29OCT2015

Instrument FUTIRC FUTIRC FUTIRC

Symbol 788GS2030 788GS2030 788GS2030

Leg 1 27AUG2015 27AUG2015 24SEP2015

Leg 2 24SEP2015 29OCT2015 29OCT2015

Quarterly Futures Contracts: Instrument FUTIRC FUTIRC

Symbol 827GS2020 827GS2020

Expiry 31DEC2015 31MAR2016

Instrument FUTIRC FUTIRC FUTIRC

Symbol 788GS2030 788GS2030 788GS2030

Expiry 31DEC2015 31MAR2016 30JUN2016

Regd. Office : Exchange Plaza, Bandra Kurla Complex, Bandra (E), Mumbai – 400 051

Page 3 of 3

NSE/CD/30368 Date

Jul 28, 2015 - Government of India (GoI) Security. In accordance with the guidelines pertaining to the selection of underlying for trading in Cash.
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