InvestorQ : How is the final settlement price determined in case of IRFs?
Sam Eswaran made post
F&O

How is the final settlement price determined in case of IRFs?

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swati Bakhda answered.
2 years ago
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NSE Bond Futures II (NBF II)

The final settlement price is the weighted average price of the underlying bond based on the process during the last two hours of the trading on NDS-OM subject to minimum of 5 trades. If less than 5 trades are executed in the underlying bond during the last two hours of trading, then FIMMDA price shall be used as final settlement price.

Futures on 91 Day T-bills

The final settlement price would be determined in the following manner: Rs 100 – 0.25 * Yf

Where Yf is weighted average discount yield obtained from RBI’s weekly auction of 91-day GOI T-Bill on the day of expiry. The weighted average price obtained from the weekly auction of 91day GOI Treasury Bill on the day of expiry of the contract (notified by the RBI in its press release announcing the auction results of the day) shall be used for arriving at the weighted average discount yield.

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