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. |
| Listing program |
Quarterly |
| 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. |
| Contract size |
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 |
|
Market fees
|
| Participant |
Percentage |
| NSE Clear |
0.02% |
| Clearing Member |
0.02% |
| Trading Member |
0.08% |
| IPF Levy |
0.01% |
| CMA Fee |
0.01% |
| TOTAL |
0.14% |
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;
