Interest rate futures on a notional decade bond allowed, cash settled and priced by a basket average YTM. SEBI permits cash settled interest rate futures on a 10 year coupon bearing notional bond, priced as 100 minus the simple average YTM of a disclosed basket of at least three government bonds (maturities around nine to eleven years); Exchanges must disclose contract conventions, settlement formulas, and allow contracts up to twelve months with possible quarterly expiries.
Cases where this provision is explicitly mentioned in the judgment/order text; may not be exhaustive. To view the complete list of cases mentioning this section, Click here.
Provisions expressly mentioned in the judgment/order text.
Interest rate futures on a notional decade bond allowed, cash settled and priced by a basket average YTM.
SEBI permits cash settled interest rate futures on a 10 year coupon bearing notional bond, priced as 100 minus the simple average YTM of a disclosed basket of at least three government bonds (maturities around nine to eleven years); Exchanges must disclose contract conventions, settlement formulas, and allow contracts up to twelve months with possible quarterly expiries.
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