CURRENCY DERIVATIVES SEGMENT Circular No.

020/2011 Sub: Launch of Interest Rate Futures contracts on 91 Day GOI T-Bill

Date: June 24, 2011 Download No: 18178

Dear Members, In continuation to the Exchange circular No. 009/2011, download reference no. 17891, Interest Rate Futures contracts in 91 Day GOI T-Bill will be launched on the Currency Derivatives Segment of the Exchange on Monday, July 4, 2011.

Vikramaditya Delima Vikas Mishra Sonali Karnik 022-26598131 022-26598164

Members are advised to take the latest cd_contract.gz, cd_spd_contract.gz, and cd_participant.gz files, from NSE EXTRANET path: /cdsftp/cdscommon before start of trading on Monday, July 4, 2011. New contracts to be introduced for trading will be available (file name: CONTRACTDDMMYYYY.CSV) on Extranet path: cdsftp/cdscommon/Contracts. The list of new Interest Rate Futures contracts on 91 Day GOI T-Bill to be introduced for trading is provided in Annexure 1. Important information about Interest Rate Futures contracts on 91 Day GOI T-Bill is provided in Annexure 2. For and on behalf of National Stock Exchange of India Ltd.

022-26598325

cdtrade@nse.co.in

No of Pages:

Suprabhat Lala Vice President

Annexure 1 List of new Interest Rate Futures contracts on 91 Day GOI T-bill Normal Contracts Instrument
FUTIRT FUTIRT FUTIRT FUTIRT

Symbol
91DTB 91DTB 91DTB 91DTB

Expiry Date
27-Jul-11 30-Aug-11 28-Sep-11 28-Dec-11

Spread Contracts Instrument

FUTIRT FUTIRT FUTIRT FUTIRT FUTIRT FUTIRT

Symbol
91DTB 91DTB 91DTB 91DTB 91DTB 91DTB

Leg 1
27-Jul-11 27-Jul-11 27-Jul-11 30-Aug-11 30-Aug-11 28-Sep-11

Leg 2
30-Aug-11 28-Sep-11 28-Dec-11 28-Sep-11 28-Dec-11 28-Dec-11

Annexure 2 Important information about Interest Rate Futures contracts on GOI T-Bill CONTRACT INFORMATION

a) Underlying Security : 91 Day Treasury Bill b) Contract Descriptor Market type: N Instrument Type: FUTIRT Trading Symbol: 91DTB Expiry date: Last Wednesday of the Expiry month (In case last Wednesday of the month is a designated holiday, the expiry day would be the previous working day.) c) Contract trading cycle: The Exchange shall introduce three consecutive monthly contracts and one quarterly contract. The new contract shall be issued on expiration of an existing monthly/ quarterly contract and will be available for trading after 01:00 P.M, on the expiry day. d) Expiry day & time: 91DTB futures contracts shall expire on the last Wednesday of the expiry month at 01:00 PM. For all expiring contracts the cutoff time for Trade Modification/ Cancellation will be 01:30 P.M. e) Spread Contracts: A facility to enter spread orders through a single order entry window shall be available to members with DAY time attribute. Members will be able to place such orders for any exchange provided spread combination. Such spread orders shall be matched in the specific spread order book. Members will be provided a facility to enter Immediate or Cancel time attribute orders which shall be matched in the normal order book of respective contracts. All spread orders shall be placed in terms of price difference only.

TRADING PARAMETERS a) Trading Hours a. Days : Monday to Friday b. Time : 09:00 Hours to 17:00 Hours c. Trade Modification/ Cancellation time : Till 17:30 Hours b) Permitted lot size: One lot shall constitute 2000 units (` 2 lakh face value). Example: Members shall place orders in terms of number of lots. Hence to place an order for buying futures on GOI 91 Day T-Bill having face value Rs 5 crores, members shall enter (5,00,00,000/2,00,000) = 250 in the quantity field on the Trading System. c) Price Quotation: The quotation can be made on the price which would be 100 minus futures discount yield (annualised yield) and is called Quote price. Order matching would take place on the basis of the quote price. d) Contract Value: The contract value would be determined in the following manner `{2000 * (100 0.25 * y)} Where y is the futures discount yield. For example, for a futures discount yield of 5% p.a., the contract value would be 2000 * (100 0.25 * 5) = ` 197,500 e) Price Steps: The tick size by which all the 91DTB contracts admitted to dealing on the Exchange shall be 0.25 paisa or ` 0.0025 (quarter of a paisa) i.e. Orders can be placed at minimum price intervals of 0.0025. f) Quantity Freeze: Quantity Freeze for 91DTB contracts shall be 7001 lots or greater i.e. orders having quantity up to 7000 lots shall be allowed. In respect of orders which have come under quantity freeze, members would be required to confirm to the Exchange that there is no inadvertent error in the order entry and that the order is genuine. On such confirmation, the Exchange may approve such orders. However, in exceptional cases, the Exchange may, at its discretion, not allow the orders that have come under quantity freeze for execution for any reason whatsoever including non-availability of turnover / exposure limits. g) Base Price & Price ranges: Base price of 91DTB futures contracts on the first day shall be the theoretical futures quote price. The base price of the contracts on subsequent trading days will be the quote price corresponding to the daily settlement price of the futures contracts. There shall be no daily price bands applicable for IRF T-Bill contracts. However in order to prevent erroneous order entry by members, operating ranges will be kept at +/-1% of the base price. In respect of orders which have come under price freeze, the members would be required to confirm to the Exchange that there is no inadvertent error in the order entry and that the order is genuine. On such confirmation, the Exchange may take appropriate action. h) Daily close price: The daily closing price of 91DTB contract is the volume weighted average price (VWAP) in the last 30 minutes of trading subject to there being at least 5 trades. Failing which, trades during the last 60 minutes shall be used for the calculation, subject to at least 5 trades. Failing which, trades during the last 120 minutes shall be used for the calculation, subject to at least 5 trades. If none of the above criteria is met and the contract is traded during the day, the daily closing price of 91DTB contract is the last traded price for the day. If the contract is not traded during the day, previous day's close price is considered as daily closing price for 91DTB contracts.