Daily Contract Settlement Value calculation for interest rate futures clarified; VWAP-based pricing with layered theoretical-price fallbacks and disclosure requirement. SEBI requires the Daily Contract Settlement Value for interest rate futures to be computed from the volume weighted average futures price of the last half hour multiplied by a fixed multiplier; absent last half hour trading, a theoretical futures price is used based on NDS OM two hour VWAP of the underlying bond, with fallback options of a FIMMDA referenced theoretical price or the day's VWAP, previous day's theoretical price usable up to five trading days, and mandatory disclosure of the theoretical price model by exchanges.
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Daily Contract Settlement Value calculation for interest rate futures clarified; VWAP-based pricing with layered theoretical-price fallbacks and disclosure requirement.
SEBI requires the Daily Contract Settlement Value for interest rate futures to be computed from the volume weighted average futures price of the last half hour multiplied by a fixed multiplier; absent last half hour trading, a theoretical futures price is used based on NDS OM two hour VWAP of the underlying bond, with fallback options of a FIMMDA referenced theoretical price or the day's VWAP, previous day's theoretical price usable up to five trading days, and mandatory disclosure of the theoretical price model by exchanges.
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