TaxTMI 
TaxTMI 
Exchange Traded Cash Settled Interest Rate Futures (IRF) on 6 year, 10 year and 13 year Government of India (GoI) Security
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....d to permit stock exchanges to introduce cash settled Interest Rate Futures on 6-Year and 13 year GoI Security. 3. The product specifications, position limits and risk management framework for both IRF products are given in Annexure 1. 4. Before the launch of the product/s, the Stock Exchange/Clearing Corporation shall submit proposal to SEBI for approval giving the details of contract specifications, risk management framework, the safeguards and the risk protection mechanisms, the surveillance systems etc. 5. 10-Year Cash Settled IRF: SEBI vide circular CIR/MRD/DRMNP/35/2013 dated December 05, 2013 while stipulating norms for cash settled 10-year IRF, inter alia, prescribed underlying bonds' maturity criteria, position limits and maximu....
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....BI website at www.sebi.gov.in, under the category "Circulars". Yours faithfully Maninder Cheema Deputy General Manager Division of Risk Management and New Products Market Regulation Department [email protected] Encl: as above Annexure 1: Cash Settled interest rate futures on 6 year and 13 year GoI security 1. Underlying a) 6 years: Exchanges are permitted to launch contracts on either one or both of the following options Option A: GoI security of face value INR 100 with semi-annual coupon and residual maturity between 4 years and 8 years on the day of expiry of IRF contract, as decided by stock exchanges in consultation with FIMMDA. Option B: Notional coupon bearing 6-year GoI security with a notional coupon paid semi-annual....
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....tion of the underlying bond/s in both options of cash settled Interest Rate Futures on 13 -Year Government of India security. 2. Coupon Option A: Coupon shall be same as that of the underlying bond. Option B: To be decided by the exchange to reflect the interest rate environment during the launch of the contract. 3. Trading Hours 9 a.m. to 5.00 p.m. on all working days from Monday to Friday. Exchanges shall align the trading hours of IRF with that of underlying market in case of change of trading hours of underlying NDS-OM platform. 4. Size of the Contract Each futures contract shall represent 2,000 underlying bonds of total face value of INR 2,00,000/-. 5. Quotation The Quotation shall be similar to the quoted price of the Governm....
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....al settlement price of the Underlying/Notional bond, which shall be determined as given below. Option A: Pf will be arrived at by calculating the volume 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. Option B: The final settlement price shall be based on average settlement yield (Ys) which shall be the weighted average of the yields of bonds in the underlying basket, where weights will be the assigned weight of the bonds in the underlying basket. Ys will be rounded off to 4 decimal digits. For each bond in the basket, y....
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....ities for FPIs. FPIs shall ensure compliance with the above limits. Stringent action shall be taken against FPI in case of violation of the limits. d) Clearing Member Level No separate position limit is prescribed at the level of clearing member. However, the clearing member shall ensure that his own trading position and the positions of each trading member clearing through him is within the limits specified above. e) Exchange Level Overall Position Limit At any Exchange overall open interest on IRF contracts on each underlying shall not exceed 25% of the outstanding of underlying bond. 14. Price Bands For every IRF contract, Stock Exchanges shall set an initial price band at 3% of the previous closing price thus preventing acceptanc....