Interest rate futures on 6-, 10- and 13-year GoI securities allowed, cash-settled with defined contract specs and risk controls. Permits cash-settled Interest Rate Futures on 6-, 10- and 13-year GoI securities with two underlying options: an actual GoI security meeting residual maturity bands or a notional coupon-bearing basket; exchanges must disclose selection and weighting criteria. Contract specifications set size, quotation, tenure, settlement in INR, daily and final settlement calculations using NDS-OM volume-weighted prices or FIMMDA references, and permit three monthly plus up to three quarterly contracts. Detailed position limits, price bands, and a clearing corporation risk framework (99% one-day VaR, extreme loss and calendar spread margins) are mandated, with pre-launch SEBI approval required.
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Provisions expressly mentioned in the judgment/order text.
Interest rate futures on 6-, 10- and 13-year GoI securities allowed, cash-settled with defined contract specs and risk controls.
Permits cash-settled Interest Rate Futures on 6-, 10- and 13-year GoI securities with two underlying options: an actual GoI security meeting residual maturity bands or a notional coupon-bearing basket; exchanges must disclose selection and weighting criteria. Contract specifications set size, quotation, tenure, settlement in INR, daily and final settlement calculations using NDS-OM volume-weighted prices or FIMMDA references, and permit three monthly plus up to three quarterly contracts. Detailed position limits, price bands, and a clearing corporation risk framework (99% one-day VaR, extreme loss and calendar spread margins) are mandated, with pre-launch SEBI approval required.
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