NCEL 3-Month KIBOR Futures Contract |
|
|
NCEL 3-Month KIBOR Futures Contract
|
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) |
|
+/- 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 |
|
On T+0 basis all open positions shall be marked to market
according to the daily settlement price |
|
Daily Settlement Price shall be determined in order of priority by: |
| |
| |
1. |
Closing Session Call Auction, provided minimum of 5
traders and 15 contracts traded |
| |
2. |
Volume-Weighted Average Price of last 30 minutes
trading, provided minimum of 5 traders and 25 contracts
traded |
| |
3. |
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. |
|
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 |
|
Hours of trading for future delivery in 3-month KIBOR Futures
Contract will be Monday to Friday (excluding Exchange specified
holidays): |
| |
Pre-Open: |
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 |
Pre-Close: |
4:45 pm to 5:00 pm PST |
Closing Call Matching: |
5:00 pm PST |
|
|
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 |
|
