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TMI BlogExchange Traded Cash Settled Interest Rate Futures (IRF) on 10-Year Government of India SecurityX X X X Extracts X X X X X X X X Extracts X X X X ..... permit stock exchanges to introduce cash settled Interest Rate Futures on 10-Year Government of India Security. 3. The product specifications, position limits and risk management framework for cash settled futures on 10-year GoI security is given in Annexure-1. Two different designs (Option-A: Coupon bearing Government of India security as underlying and Option-B: Coupon bearing notional 10-year Government of India security with settlement price based on basket of Securities as underlying) are permitted for cash settled futures on 10-year GoI Secuirty. Exchanges are permitted to launch contracts on either one or both of these options. 4. The cash settled 10-year IRF is being introduced on a pilot basis and the product features would ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... residual maturity between 9 and 11 years on the day of expiry of IRF contract, with appropriate weight assigned to each security in the basket. Exchanges shall determine criteria for including securities in the basket and determining their weights such as trading volumes in cash market, minimum outstanding etc. Exchanges shall disclose the criteria for selection of the underlying bond/s in both options of cash settled Interest Rate Futures on 10 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 work ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... holiday, then the expiry/ last trading day shall be the previous trading day. 10. Settlement Day Settlement day shall be the next working day of the Expiry day. 11. Settlement Mechanism Settlement shall happen in cash in INR. 12. Final Contract Settlement Value The Final Contract Settlement Value shall be = 2000 * Pf where Pf is the final settlement price of the Underlying/Notional bond, which shall be determined as given below. Option-A: Pf will be arrived at by calculating the 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 ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... ceed 10% of the total open interest or INR 600 crores, whichever is higher. Additional restriction: The total gross short (sold) position of each FII in IRF shall not exceed its long position in the government securities and in Interest Rate Futures, at any point in time. The total gross long (bought) position in cash and IRF markets taken together for all FIIs shall not exceed the aggregate permissible limit for investment in government securities for FIIs. FIIs shall ensure compliance with the above limits. Stringent action shall be taken against FII in case of violation of the limits. e) Exchange Level Overall Position Limit: Following limits shall be applicable on overall open interest on derivatives contracts on each un ..... X X X X Extracts X X X X X X X X Extracts X X X X
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