NCEL 3-Month KIBOR Futures Contract

Contract Name

NCEL 3-Month KIBOR Futures Contract

Contract Underlying

3-Month KIBOR

Contract Size

PKR 1 Million

Future Contract
Price Quotation

The contract grade shall be 100 minus 3-Month KIBOR, up to two decimal places e.g. if 3-Month KIBOR expectation is 9.25%, the futures contract will be quoted as 90.75

Tick Size (Minimum
allowed price move)

1 Basis Point (0.01)

Tick Value

Rs 25

Price Limits

+/- 100 Basis Points per trading day

Futures Contract
Delivery Months

3-Month KIBOR Futures Contracts will be available for delivery in the Twelve Quarterly Expiries in the Mar, Jun, Sep, Dec cycle covering a period of three years

Daily Settlement

On T+0 basis all open positions shall be marked to market according to the daily settlement price

Daily Settlement

Daily Settlement Price shall be determined in order of priority by:

Closing Session Call Auction, provided minimum of 5 traders and 15 contracts traded
Volume-Weighted Average Price of last 30 minutes trading, provided minimum of 5 traders and 25 contracts traded
Exchange determined price based on NCEL Analytics’ Bootstrapping Methodology for Yield Curve Construction under No-Arbitrage Framework.

Futures Contract
Final Settlement Price

3-Month KIBOR Fixing on the Last Trading Day, as reported by FMAP and Reuters. In case 3-Month KIBOR fixing is not available on the Last Trading Day, previous fixing will be used for computation of Final Settlement Price

Delivery against 3- Month
KIBOR Futures Contract

After trading in 3-Month KIBOR Futures Contracts for future delivery has ceased, outstanding contracts for such delivery shall be liquidated by cash settlement at the final settlement price. Final settlement will result in a cash amount equal to the incremental profit/loss for the last trading day in the delivery month.

Trading Days & Hours

Monday to Friday: 09:00 am to 05:00 pm PST, except on the Last Trading Day of a contract in the delivery month when trading will end at 12:00 noon

Trading Sessions

Hours of trading for future delivery in 3-month KIBOR Futures Contract will be Monday to Friday (excluding Exchange specified holidays):

9:00 am to 9:14 am PST
Open Call Matching:
9:14 am to 9:16 am PST
Normal Trading:
9:16 am to 4:45 pm PST
4:45 pm to 5:00 pm PST
Closing Call Matching:
5:00 pm PST

Position Limits

Clients: Greater of 5% of Open Interest or 5,000 Contracts. Brokers: Greater of 10% of Open Interest or 20,000 Contracts per Broker across all open Clients and Proprietary positions, on a Gross Basis

Initial Margin

Based on 99% 1-day VaR