Interest rate futures on 2 and 5 year notional GoI securities allowed; cash settled with polling settlement, VaR margins, and position limits. SEBI permits cash settled futures on 2 and 5 year notional coupon GoI securities with standardized contracts (Rs.2 lakh, quoted like underlying, up to 12 month tenor, initial three serial months). Settlement uses FIMMDA polling of selected primary dealers to derive an average settlement yield from a disclosed basket (eligible maturities 1.5-2.5 years for 2 year and 4.5-5.5 years for 5 year contracts) with outlier removal; exchanges must publish basket composition and theoretical price models. Risk management requires 99% one day VaR based initial margins subject to minimum percentages, specified extreme loss and calendar spread margins, exponential moving average volatility ( =0.94), and client/trading member position limits.
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Interest rate futures on 2 and 5 year notional GoI securities allowed; cash settled with polling settlement, VaR margins, and position limits.
SEBI permits cash settled futures on 2 and 5 year notional coupon GoI securities with standardized contracts (Rs.2 lakh, quoted like underlying, up to 12 month tenor, initial three serial months). Settlement uses FIMMDA polling of selected primary dealers to derive an average settlement yield from a disclosed basket (eligible maturities 1.5-2.5 years for 2 year and 4.5-5.5 years for 5 year contracts) with outlier removal; exchanges must publish basket composition and theoretical price models. Risk management requires 99% one day VaR based initial margins subject to minimum percentages, specified extreme loss and calendar spread margins, exponential moving average volatility ( =0.94), and client/trading member position limits.
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