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;
