Computation of Daily Contract Settlement Value – Interest Rate Futures

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..... est Rate Futures Kindly refer to SEBI circular CIR/MRD/DRMNP/35/2013 dated December 05, 2013 and circular CIR/MRD/DRMNP//11/2015 dated June 12, 2015 on Exchange Traded Cash Settled Interest Rate Futures (IRF) on Government of India security. 2. Based on the consultations held with the stakeholders, it has been decided to provide flexibility to the exchanges with regards the computation meth .....

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..... e weighted average price of underlying bond in the entire day shall be considered. b) In case there are no trades in the entire day on NDS-OM, then the previous day s theoretical price shall be considered. The same can be considered up to maximum 5 trading days. c) If case there are no trades for more than 5 consecutive days, then a theoretical price with reference to FIMMDA rates shall be u .....

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