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NSE will launch bond futures on 10-year Government bond with a coupon of 8.83 per cent on January 21.
One lot of these bond futures would mean a notional principal amount of Rs 2 lakh or 2,000 bonds of face value Rs 100 each.
The quotes for the instrument would be price-based, similar to a G-Sec quote with the value of one contract equalling price multiplied by 2,000. Three serial monthly contracts would be traded with the near-term contract expiring on the last Thursday of every month.
The base price would initially be decided theoretically and on subsequent days it would equal the contract’s daily settlement price.
3% operating rangeA 3 per cent operating range on either side of the base price for the bond futures contract has been fixed.
Retail investors can take positions of up to 3 per cent of total open interest or Rs 200 crore, whichever is higher. For brokers and FIIs, the position limits are the higher of Rs 600 crore or 10 per cent of the total open interest.
Open interest signifies the number of futures contracts that have not been closed or delivered at the end of every trading day. Higher the open interest, more liquid is the futures contract. Open interest is different from volume of a futures contract. When an entity buys five contracts and sells three, volume is eight while open interest is two as three contracts out of the five bought have been closed out.
Settlement would be cash-based and on a T+1 basis.
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