NEXT Equity Index Futures are derivative instruments that give investors exposure to price movements on an underlying index. Market participants can profit from the price movements of a basket of equities without trading the individual constituents.
An index futures contract gives investors the ability to buy or sell an underlying listed financial instrument at a fixed price on a future date. These products are cash settled and easily accessible via NEXT members. The NSE shall initially construct Equity Index Futures contracts based on the NSE 25 Index.
|NSE Derivatives Market|
|Category of contract||Equity Index Future|
|Underlying financial instrument|
Equity Index listed on the NSE
E.g. NSE25 Share Index – N25I
|System code||Jun19 N25I|
|Contract months||Quarterly (March, June, September and December).|
|Expiry dates||Third Thursday of expiry month. (If the expiry date is a public holiday then the previous business day will be used.)|
|Expiry times||15H00 Kenyan time.|
|Valuation method on expiry||Based on the volume weighted average price (VWAP) of the underlying instrument for liquid contracts, and the theoretical price (spot + cost of carry) for illiquid contracts.|
|Settlement methodology||Cash settlement.|
One index point equals one hundred Kenyan
Shillings. (KES 100.00)
|Minimum price movement (Quote spread)||One index point (KES 100.00)|
|Initial Margin requirements||As determined by the NSE Methodology.|
|Mark-to-market||Explicit daily. Based on the volume weighted average price (VWAP) of the underlying for liquid contracts, and the theoretical price (spot + cost of carry) for illiquid contracts.|
|Market trading times|
As determined by the NSE
09H30 to 15H00 Kenyan time
The percentages indicated above will be used to calculate the fees based on the notional contract value.
NEXT Equity Index Futures allow investors to get some form of “insurance” for their stock portfolio by protecting portfolios from potential price declines;