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Interest Rate Derivatives

An interest rate futures is a financial derivative. The underlying asset for interest rate futures is an interest bearing instrument. It is a standardized agreement to buy or sell certain quantity of a given underlying on a specified future date at a set price. Interest Rate futures are mainly used to hedge against the risk of adverse movement in interest rates. Examples of Interest rate futures are 91-day Treasury Bill Futures, 10-Year Government of India Bond Futures.

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Product Specifications :

10-Year Government of India (GOI) Security

Description Security Description
Symbol
718GS2033 726GS2033 710GS2034 679GS2034
Underlying
7.18% Central Government Security having maturity on August 14, 2033 7.26% Central Government Security having maturity on February 06, 2033 7.10% Central Government Security having maturity on April 08, 2034 6.79% Central Government Security having maturity on October 07, 2034
Instrument Type FUTIRF
Unit of trading Each futures contract shall represent 2000 underlying bonds of total face value of INR 2,00,000/-.
Quotation/Price Quote One Bond of face value Rs. 100
Tick size 0.25 paise or INR 0.0025
Trading hours Monday to Friday
9:00 a.m. to 5:00 p.m.
Contract trading cycle Three serial monthly contracts followed by three quarterly contracts of the cycle March/June/September/December.
Last trading day The expiry / last trading day for the contract shall be the last Thursday of the expiry month. If any expiry day is a trading holiday/ shut period, then the expiry/ last trading day shall be the previous trading day.
Price operating range +/-3 % of base price
Whenever a trade in any contract is executed at the highest/lowest price of the band, the Exchange may expand the DPR/ dynamic price band for that contract by 0.5% in that direction after 30 minutes after taking into account market trend. However, no more than 2 expansions in the price band shall be allowed within a day. Further, SEBI in consultation with RBI may halt the trading in case of extreme volatility.
Position limits Client/ Scheme of Mutual Fund Level Higher of 3% of total open interest or Rs. 200 crore within the respective maturity bucket
Trading Members /FPI Category I & II* /Mutual Fund/Insurance Companies /Housing Finance Companies /Pension Funds Higher of 10% of total open interest or Rs. 600 crore within the respective maturity bucket
FPI Category I & FPI Category II * Higher of 10% of total open interest or Rs. 600 crore within the respective maturity bucket
FPI Category III * Higher of 3% of total open interest or Rs. 200 crore within the respective maturity bucket
Exchange Level Overall 25% of the outstanding of underlying bond
Settlement Daily settlement : T+1
Final settlement : T+1
Mode of settlement Cash settled in Indian Rupees
Daily Contract Settlement value Daily Settlement price(DSP) * 2000
Base price Base price for the first day would be theoretical price. On all other days base price would be Daily Settlement Price (DSP) of the contract.
Daily settlement price (DSP) DSP shall be calculated on the basis of the last half an hour volume weighted average price of such contract. In the absence of last half an hour trading on the Exchange, theoretical futures price shall be considered for computation of DSP.
Final settlement price (FSP) Final Settlement price 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.

13-Year Government of India (GOI) Security

Description Security Description
Symbol
718GS2037 667GS2035 754GS2036 741GS2036 723GS2039
Underlying
7.18% Central Government Security having maturity on July 24, 2037 6.67% Central Government Security having maturity on December 15, 2035 7.54% Central Government Security having maturity on May 23, 2036 7.41% Central Government Security having maturity on December 19, 2036 7.23% Central Government Security having maturity on April 15, 2039
Instrument Type FUTIRF
Unit of trading Each futures contract shall represent 2000 underlying bonds of total face value of INR 2,00,000/-.
Quotation/Price Quote One Bond of face value Rs. 100
Tick size 0.25 paise or INR 0.0025
Trading hours Monday to Friday
9:00 a.m. to 5:00 p.m.
Contract trading cycle Three serial monthly contracts followed by three quarterly contracts of the cycle March/June/September/December.
Last trading day The expiry / last trading day for the contract shall be the last Thursday of the expiry month. If any expiry day is a trading holiday/ shut period, then the expiry/ last trading day shall be the previous trading day.
Price operating range +/-3 % of base price
Whenever a trade in any contract is executed at the highest/lowest price of the band, the Exchange may expand the DPR/ dynamic price band for that contract by 0.5% in that direction after 30 minutes after taking into account market trend. However, no more than 2 expansions in the price band shall be allowed within a day. Further, SEBI in consultation with RBI may halt the trading in case of extreme volatility.
Position limits Client/ Scheme of Mutual Fund Level Higher of 3% of total open interest or Rs. 200 crore within the respective maturity bucket
Trading Members /FPI Category I & II* /Mutual Fund/Insurance Companies /Housing Finance Companies /Pension Funds Higher of 10% of total open interest or Rs. 600 crore within the respective maturity bucket
FPI Category I & FPI Category II * Higher of 10% of total open interest or Rs. 600 crore within the respective maturity bucket
FPI Category III * Higher of 3% of total open interest or Rs. 200 crore within the respective maturity bucket
Exchange Level Overall 25% of the outstanding of underlying bond
Settlement Daily settlement : T+1
Final settlement : T+1
Mode of settlement Cash settled in Indian Rupees
Daily Contract Settlement value Daily Settlement price(DSP) * 2000
Base price Base price for the first day would be theoretical price. On all other days base price would be Daily Settlement Price (DSP) of the contract.
Daily settlement price (DSP) DSP shall be calculated on the basis of the last half an hour volume weighted average price of such contract. In the absence of last half an hour trading on the Exchange, theoretical futures price shall be considered for computation of DSP.
Final settlement price (FSP) Final Settlement price 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.

* The total gross short (sold) position of each FPI in IRF shall not exceed its long position in the government 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 FPIs shall not exceed the aggregate permissible limit for investment in government securities for FPIs.