|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.)
|Trading hours||Monday to Friday
9:00 a.m. to 5:00 p.m.
|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.
|Price operating range||+/-5 % of the base price|
|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.
|Daily settlement price||Closing price or Theoretical price.|
|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.|