9911796707
TMI BlogExchange Traded Cash Settled Interest Rate Futures (IRF) on 10-Year Government of India SecurityX X X X Extracts X X X X X X X X Extracts X X X X ..... cash settled Interest Rate Futures on 10-Year Government of India Security. 3. The product specifications, position limits and risk management framework for cash settled futures on 10-year GoI security is given in Annexure-1. Two different designs (Option-A: Coupon bearing Government of India security as underlying and Option-B: Coupon bearing notional 10-year Government of India security with settlement price based on basket of Securities as underlying) are permitted for cash settled futures on 10-year GoI Secuirty. Exchanges are permitted to launch contracts on either one or both of these options. 4. The cash settled 10-year IRF is being introduced on a pilot basis and the product features would be reviewed based on the experience gain ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... e weight assigned to each security in the basket. Exchanges shall determine criteria for including securities in the basket and determining their weights such as trading volumes in cash market, minimum outstanding etc. Exchanges shall disclose the criteria for selection of the underlying bond/s in both options of cash settled Interest Rate Futures on 10 -Year Government of India security. 2. Coupon Option-A: Coupon shall be same as that of the underlying bond. Option-B: To be decided by the exchange to reflect the interest rate environment during the launch of the contract. 3. Trading Hours 9 a.m. to 5.00 p.m. on all working days from Monday to Friday. Exchanges shall align the trading hours of IRF with that of underlying market i ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... f the Expiry day. 11. Settlement Mechanism Settlement shall happen in cash in INR. 12. Final Contract Settlement Value The Final Contract Settlement Value shall be = 2000 * Pf where Pf is the final settlement price of the Underlying/Notional bond, which shall be determined as given below. Option-A: Pf will be arrived at by calculating the weighted average price of the underlying bond based on the prices during the last two hours of the trading on NDS-OM. If less than 5 trades are executed in the underlying bond during the last two hours of trading, then FIMMDA price shall be used for final settlement. Option-B: The final settlement price shall be based on average settlement yield (Ys) which shall be the weighted average of the ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... vernment securities and in Interest Rate Futures, at any point in time. The total gross long (bought) position in cash and IRF markets taken together for all FIIs shall not exceed the aggregate permissible limit for investment in government securities for FIIs. FIIs shall ensure compliance with the above limits. Stringent action shall be taken against FII in case of violation of the limits. e) Exchange Level Overall Position Limit: Following limits shall be applicable on overall open interest on derivatives contracts on each underlying per exchange: Option-A: INR 25,000 crore or 25% of the outstanding of underlying bond whichever is higher. Option-B: INR 30,000 crore or 20% of the outstanding of all underlying bonds whichever is h ..... X X X X Extracts X X X X X X X X Extracts X X X X
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