Contract Specifications - Energy Futures
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| Energy FUTURES | ||||
|---|---|---|---|---|
| Product Parameters | Brent Crude Oil | WTI Crude Oil | Natural Gas (Henry Hub) | |
| Underlying | Brent Crude Oil | WTI Crude Oil | Natural Gas | |
| Instrument Type | Futures Contract (FUTENR) | Futures Contract (FUTENR) | Futures Contract (FUTENR) | |
| Product | Brent Crude Oil Futures | WTI Crude Oil Futures | Natural Gas Futures | |
| Symbol | BRCRUDE | WTICRUDE | NATURALGAS | |
| Description | BRCRUDEYYMMM | WTICRUDEYYMMM | NATURALGASYYMMM | |
| Contract Listing | Monthly contracts. Details as per the launch calendar. | Monthly contracts. Details as per the launch calendar | Monthly contracts. Details as per the launch calendar | |
| Contract Start Day | Business day immediately following the last trading day. (Expiry Day + 1) | As per contract launch calendar | As per contract launch calendar | |
| Last Trading Day (Contract Expiry) | Last Day of Trading at the exchange shall the Last Business Day of the contract expiry month. In case the last business day is a holiday in the International market / NSE, then the preceding business day shall be the last trading day for the contract. Details as per the attached launch calendar (refer table below) On the day of expiry, the trading shall be allowed up to 11:30 pm/11:55 pm* *based on US daylight saving time period |
As per contract launch calendar | As per contract launch calendar | |
| Trading: | ||||
| Trading Period | Mondays to Fridays | |||
| Trading Session | Monday - Friday 9:00 am to 11:30 pm/11:55 pm* *based on US daylight saving time period |
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| Trading Unit | 100 Barrels | 100 Barrels | 1250 mmBtu | |
| Quotation/Base Value | Rs. Per 1 Barrel | Rs. Per 1 Barrel | Rs. Per mmBtu | |
| Max. Order Size | 10,000 Barrels | 10,000 Barrels | 60,000 mmBtu | |
| Tick Size (Minimum Price Movement) | Re. 1 | Re. 1 | Rs. 0.10 (10 Paise) | |
| Daily Price Limits | The base price limit shall be 6%. In case the daily price limit of 6% is breached, then after a cooling off period of 15 minutes, the daily price limit will be relaxed upto 9%. In case price movement in international markets is more than the maximum daily price limit (currently 9%), the same may be further relaxed in stages of 3% beyond the maximum permitted limit, and informed to the Regulator immediately | |||
| Initial Margin | Minimum margin based on volatility category or based on SPAN whichever is higher. | |||
| Extreme Loss Margin | 1% | |||
| Additional and/ or Special Margin |
In case of additional volatility, an additional margin (on both buy & sale position) and/ or special margin (on either buy or sale position) at such percentage, as deemed fit; will be imposed in respect of all outstanding positions. | |||
| Maximum Allowable Open Position |
For a member collectively for all clients: 40,00,000 Barrels or 20% of the market wide open position whichever is higher, for all Crude Oil contracts combined together. For individual client: 4,00,000 Barrels or 5% of the market wide open position whichever is higher for all Crude Oil contracts combined together. |
For a member collectively for all clients: 48,00,000 Barrels or 20% of the market wide open position, whichever is higher for all the Crude Oil contracts combined together. For individual clients: 4,80,000 barrels or 5% of the market wide open position, whichever is higher for all the Crude Oil contracts combined together. |
For a member collectively for all clients: 6,00,00,000 mmBtu or 20% of the market wide open position, whichever is higher. For individual clients: 60,00,000 mmBtu or 5% of the market wide open position, whichever is higher. |
|
| Quality Specification | Brent Blend confirming to the following quality:
|
Light Sweet Crude Oil confirming to the following quality specification: Sulfur 0.42% by weight or less, API Gravity: Between 37 degree – 42 degree |
Natural Gas meeting the specifications set forth in the FERC approved tariff of Sabine Pipe Line Company. | |
| Due Date Rate (Final Settlement Price) |
Due date rate (FSP) shall be the settlement price, in Indian rupees, as arrived at from the average of the five intra--month cash BFOE (Brent-Forties-Oseberg-Ekofisk) assessments' as made by ICIS on the last trading day of the NSE Brent Crude Oil Contract. The last available RBI USDINR reference rate will be used for the conversion. The price so arrived will be rounded off to the nearest tick. For example, on the day of expiry, if the ICIS average price is $70.75 and the last available RBI USDINR reference rate is 72.1500, then DDR for NSE Brent Crude oil contract would be Rs.5,105 per barrel (i.e. $70.75 * 72.1500 and rounded off to the nearest tick). |
Due date rate (FSP) shall be the settlement price, in Indian rupees, of the New York Mercantile Exchange’s (NYMEX)# Crude Oil (CL) front month contract on the last trading day of the NSE WTI Crude Oil contract. The last available RBI USDINR reference rate will be used for the conversion. The price so arrived will be rounded off to the nearest tick. For example, on the day of expiry, if NYMEX Crude Oil (CL) front month contract settlement price is $75.40 and the last available RBI USDINR reference rate is 82.7150, then DDR for NSE WTI Crude oil contract would be Rs. 6237 per barrel (i.e. $75.40 * 82.7150 and rounded off to the nearest tick). #A market division of Chicago Mercantile Exchange Inc. (“CME Group”) |
Due date rate (FSP) shall be the settlement price, in Indian rupees, of the New York Mercantile Exchange’s (NYMEX)# Natural Gas (NG) front month contract on the last trading day of the NSE Natural Gas contract. The last available RBI USDINR reference rate will be used for the conversion. The price so arrived will be rounded off to the nearest tick. For example, on the day of expiry, if NYMEX Natural Gas (NG) front month contract settlement price is $6.935 per mmBtu and the last available RBI USDINR reference rate is 82.7150, then DDR for NSE Natural Gas contract would be Rs. 573.60 per mmBtu (i.e. $6.935 * 82.7150 and rounded off to the nearest tick.) #A market division of Chicago Mercantile Exchange Inc. (“CME Group”). |
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| Settlement Mechanism | The contract would be settled in cash | |||
Kindly refer latest circular issued by Exchange / Clearing Corporation for updated Margins, Position Limits and Expiry Dates etc.
Settlement Procedure: Energy Futures
| Product Parameters | Energy Futures |
|---|---|
| Funds Pay-in | T+1 working day by 09.00 a.m. (“T” stands for Trade day) |
| Penal Provision | Penalties as applicable for Fund shortages shall be levied. |
| Close Out of Outstanding Positions | All outstanding positions on the expiry of contract, will be settled as per the Final Settlement Price (FSP). |
DISCLAIMER
CME GROUP MARKET DATA IS USED UNDER LICENSE AS A SOURCE OF INFORMATION FOR CERTAIN NSE PRODUCTS. CME GROUP HAS NO OTHER CONNECTION TO NSE PRODUCTS AND SERVICES AND DOES NOT SPONSOR, ENDORSE, RECOMMEND OR PROMOTE ANY NSE PRODUCTS OR SERVICES. CME GROUP HAS NO OBLIGATION OR LIABILITY IN CONNECTION WITH THE NSE PRODUCTS AND SERVICES. CME GROUP DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF ANY MARKET DATA LICENSED TO NSE AND SHALL NOT HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CME GROUP AND NSE.
Updated on: 15/05/2023
