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BRENT CRUDE OIL

Contract Specifications BRENT CRUDE OIL Futures
Symbol BRENTCRUDE
Underlying Brent Crude Oil Spot
Trading hours Monday to Friday
Session 1 : 04:30:00 Hours to 17:00:00 Hours,
Session 2 : 17:00:01 Hours to 02:30:00 Hours
Size of the Contract 100 Barrels
Quotation US Dollars and Cents per barrel (e.g. Bid 49.01 / Ask 49.02)
Minimum Price Movement (Tick Size) USD 0.01
Contract Months Twelve (12) Months Trading Cycle shall be available for trading
Settlement Mechanism The contracts would be settled in cash in US Dollar (US $).
Contract Value The contract value shall be = Quoted Price*100 USD
Daily Settlement Price

The daily settlement price of Brent Crude Oil contracts shall be the last half an hour volume weighted average price of the contract.

In the absence of last half an hour trading, volume weighted average futures price of trades in the entire day, subject to a minimum of 5 trades in the day will be taken for the computation.
Last Trading Day As per the Contract Launch Calendar
Settlement Daily Settlement:
The daily contracts for each session would be settled as follows:
Trading Session 1 - 04:30:00 Hours to 17:00:00 Hours – Settlement on next working day by 08.00 Hours
Trading Session 2 - 17:00:01 Hours to 02:30:00 Hours – Settlement on the same day by 16:30 Hours

Final Settlement:

Along with daily settlement cycle for the respective contracts.
Final Settlement Price DGCX Brent Crude Oil Contract Closing Price on Expiry Date at 01:25 hrs IST
Position limits

Eligible market participants are allowed to take positions in Brent Crude Oil futures contracts as prescribed below:

(i) Position limits for stock brokers (Trading Members):
Gross open position across all contracts shall not exceed 30% of the total open interest or 4 lakhs contracts whichever is higher.
(ii) Position limits for Clients:
Gross open position across all contracts shall not exceed 10% of the total open interest or 40000 contracts whichever is higher.
Price Bands Initial Price Band will be 4%.
Relaxation upto 6% after breaching 4% limit
Relaxation upto 9% after breaching 6% limit
After 9%, Price Band will be relaxed to 3% and this shall continue in multiple.
Risk Management The margins shall be collected in USD.
Initial Margin
Initial Margin would be calculated using SPAN; the margining framework of India ICC shall be compliant with the PFMI including a margin model that provides coverage of at least a 99% single-tailed confidence interval of the estimated distribution of future exposure. India ICC shall conduct daily stress testing, back testing and reverse stress testing for credit risk to ascertain the impact of failures of members and adequacy of its financial resources in meeting any shortfall arising out of such failures.

Extreme Loss Margin
The clearing corporation may impose an extreme loss margin to provide additional risk coverage. The extreme loss margin shall be deducted from the liquid assets of the clearing member on an online, real time basis.
Real-Time Computation The computation of worst scenario loss would have two components. The first is the valuation of the portfolio under the various scenarios of price changes. At the second stage, these scenario contract values would be applied to the actual portfolio positions to compute the portfolio values and the initial margin. The scenario contract values shall be updated at the start of the business day, then every 1.5 hours and finally at the end of the business day. The latest available scenario contract values would be applied to member/client portfolios on a real time basis.
Mark-to-Market (MTM) Settlement The MTM settlement shall be done at least twice in a business day, at settlement times as specified by the clearing corporation from time to time.