Contract Specifications
Contracts Specifications - 91 Day T-Bills
| Symbol | 10YGS7 | ||||
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| Market Type | N | ||||
| Instrument Type | FUTIRD | ||||
| Unit of trading | 1 lot - 1 lot is equal to notional bonds of FV Rs.2 lacs | ||||
| Underlying | 10 Year Notional Coupon bearing Government of India (GOI) security. (Notional Coupon 7% with semi annual compounding.) |
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| Tick size | Rs.0.0025 | ||||
| Trading hours | Monday to Friday 9:00 a.m. to 5:00 p.m. |
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| Contract trading cycle | Two fixed quarterly contracts for entire year ending March, June, September and December. | ||||
| Last trading day | Two business days prior to the delivery settlement day. | ||||
| Quantity Freeze | 1251 lots or greater | ||||
| Base price | Theoretical price of the 1st day of the contract. On all other days, DSP of the contract. |
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| Price operating range | +/-5 % of the base price | ||||
| Position limits |
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| Initial margin | SPAN Based Margin | ||||
| Extreme loss margin | 0.3% of the value of the gross open positions of the futures contract. | ||||
| Settlement | Daily settlement MTM: T + 1 in cash Delivery settlement : Last business day of the expiry month. |
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| Daily settlement price | Closing price or Theoretical price. | ||||
| Trading holidays | |||||
| Delivery Settlement | |||||
| Mode of settlement | Daily Settlement in Cash | ||||
| Deliverable Grade Securities | GOI securities | ||||
| Conversion Factor | The conversion factor would be equal to the price of the deliverable security (per rupee of principal) on the first calendar day of the delivery month, to yield 7% with semiannual compounding | ||||
| Invoice Price | Daily Settlement price times a conversion factor + Accrued Interest | ||||
| Delivery day | Last business day of the expiry month | ||||
| Intent to Deliver | Two business days prior to the delivery settlement day. | ||||