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Settlement Price

Daily Settlement Price

Daily Settlement Price for Interest Rate Futures contracts is the closing price of such contracts on the trading day. The closing price for an Interest Rate Futures contract is calculated on the basis of the last half an hour weighted average price of such contract. In the absence of trades in the Interest Rate Futures contract in last half hour trading, theoretical futures price will be considered for computation of Daily Settlement Price in the following manner.

DSP = Cash Price + Financing cost – Income on cash position
Where; Cash Price = Clean Price + Accrued Interest

Clean Price will be as follows

  • Weighted average price of underlying bond in last 2 hours of trading on NDS-OM
  • If no trades are executed in the underlying bond then, a theoretical price provided by FIMMDA will be used.

The day count convention

The day count convention for accrued interest will be on the basis of a 360 days year, consisting of 12 months of 30 days each and half yearly coupon payment. The financing cost and income on cash position will be computed using the applicable FIMMDA Mumbai Interbank Overnight Indexed Swap (MIOIS) rates published by Thomson- Reuters on the basis of 365-day year, consisting of 12 months and actual days in the month.

Final Settlement Price

Final Settlement Price is arrived at by calculating the weighted average price of the underlying bond based on the prices during the last two hours of the trading on NDS-OM. If less than 5 trades are executed in the underlying bond during the last two hours of trading, then FIMMDA price will be used for final settlement.

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