T bill futures: new cash settled interest rate contract with defined valuation and strict margin and position limit regimes. SEBI permits cash settled futures on the 91 day Government of India Treasury Bill with defined contract design, quotation as 100 minus futures discount yield, maximum maturity of twelve months, specified contract months and expiry mechanics, and contract valuation formulas for contract, daily settlement and final settlement values using weighted average discount yields. A risk management framework mandates margins based on a 99% one day VaR (3.5 sigma scan), minimum initial margin thresholds, an extreme loss margin, calendar spread margins with reduced extreme loss treatment, volatility estimation by exponential moving average ( =0.94) converted to price volatility via modified duration, and prescribed position limits for clients, trading members and FIIs.
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T bill futures: new cash settled interest rate contract with defined valuation and strict margin and position limit regimes.
SEBI permits cash settled futures on the 91 day Government of India Treasury Bill with defined contract design, quotation as 100 minus futures discount yield, maximum maturity of twelve months, specified contract months and expiry mechanics, and contract valuation formulas for contract, daily settlement and final settlement values using weighted average discount yields. A risk management framework mandates margins based on a 99% one day VaR (3.5 sigma scan), minimum initial margin thresholds, an extreme loss margin, calendar spread margins with reduced extreme loss treatment, volatility estimation by exponential moving average ( =0.94) converted to price volatility via modified duration, and prescribed position limits for clients, trading members and FIIs.
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