9911796707
TMI BlogFutures on 91-day Government of India Treasury-Bill (T- Bill)X X X X Extracts X X X X X X X X Extracts X X X X ..... uct design and risk management framework for futures on 91-day Government of India Treasury-Bill (T- Bill) are as given under Annexure I. 4. This circular is issued in exercise of the powers conferred under Section 11 (1) of the Securities and Exchange Board of India Act 1992, read with Section 10 of the Securities Contracts (Regulation) Act, 1956 to protect the interests of investors in securities and to promote the development of, and to regulate the securities market. 5. The circular shall come into force from the date of the circular. 6. This circular is available on SEBI website at www.sebi.gov.in., under the category "Derivatives- Circulars". Yours faithfully, Sujit Prasad General Manager Derivatives and New Products Department ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... day, then the expiry/ last trading day/ final settlement day would be the previous trading day. 1.11 Final Contract Settlement value ₹ 2000 * (100 - 0.25 * yf) (Here yf is weighted average discount yield obtained from weekly auction of 91-day T-Bill on the day of expiry). The methodology of computation and dissemination of the weighted average discount yield would be publicly disclosed by RBI. 1.12 Initial margin The Initial Margin requirement shall be based on a worst case loss of a portfolio of an individual client across various scenarios of price changes. The various scenarios of price changes would be so computed so as to cover a 99% VaR over a one day horizon. In order to achieve this, the price scan range may initially be ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... e at the end of the previous time period. i.e. as at the end of t-1 time period (σydt-1), and the return (rydt) observed in the futures market during the time period t. The formula would be as under: (σydt)2 = λ (σydt-1)2 + (1 - λ ) (rydt)2 where λ is a parameter which determines how rapidly volatility estimates change. The value of λ is fixed at 0.94. i. σydt (sigma) means the standard deviation of daily logarithmic returns of discount yield of 91-day T-Bill futures at time t. ii. The "return" is defined as the logarithmic return: rydt = ln(Ydt/Ydt-1) where Ydt is the discount yield of 91-day T-Bill futures at time t. The plus/minus 3.5 sigma limits for a 99% VAR based on ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... n position of the client exceeds 3% of the total open interest at the end of the previous day's trade. ii. Trading Member Level: The gross open positions of the trading member across all contracts should not exceed 15% of the total open interest or ₹ 1000 crores whichever is higher. iii. 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. iv. FIIs: In case of Foreign Institutional Investors, registered with Securities and Exchange Board of India, the total gross long (bought) position in cash and Interest Rate Futur ..... X X X X Extracts X X X X X X X X Extracts X X X X
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