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TMI BlogEXCHANGE TRADED INTEREST RATE FUTURESX X X X Extracts X X X X X X X X Extracts X X X X ..... ons / Clearing Houses, Clearing Members and Trading Members have to comply with the following: 1. Exchange : The Currency Derivative Segment of a recognized Stock Exchange may apply to SEBI for grant of approval for starting trading in Interest Rate Futures. The application shall be accompanied by the details pertaining to the derivative product proposed to be introduced and the proposed amendments to the Bye-laws of the Exchange/ Clearing Corporation / Clearing House. Further, a Recognized Stock Exchange shall ensure that; a. Product design, margins and position limits as laid down in Annexure I are complied with. b. Risk management measures as mentioned in Annexure II are complied with. 2. Clearing Corporation / Clearing ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... e last 30 minute of trading, provided there are at least 5 trades for a minimum aggregate notional value of ₹ 10 crore. Failing which, trades during the last 60 minutes shall be used for the calculation of VWAP, subject to at least 5 trades for ₹ 10 crore. Failing which trades during the last 120 minutes shall be used for the calculation of VWAP, subject to at least 5 trades for ₹ 10 crore. Step 2 : If the DSP cannot be calculated as above, a theoretical price shall be used. This theoretical price shall be the minimum of the theoretical futures prices of all the securities in the delivery basket chosen by the Exchange. The theoretical futures price of each security is the weighted average cash price of outright trade ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... de through the depository system. The delivery schedule shall be as follows: T +0 day Delivery notice : It is the day when the selling Clearing Member (CM) sends a notice to the Clearing Corporation (CC) expressing his intention to deliver along with details of the security to be delivered. CM shall send the notice before 6:00 pm IST on the second business day prior to the day he wishes to deliver. For example, if he wishes to deliver on 4th September 2009 and 2 nd and 3rd are business days, he shall give notice before 6 PM on 2 nd September 2009. He can deliver on any business day during the delivery month of the contract. Along with the notice, he shall provide the notional face value (equal to its short position in the expir ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... e for one contract and ₹ 2,00,000 face value of another issue for the other contract). T + 2 day On the second business day following the receipt of the delivery notice, the CMs shall discharge their obligations and the CC shall complete the settlement accordingly. 5. Initial Margin: Methodology, as specified in the Annexure IV, shall be adopted for computation of initial margin. For this purpose, the yield for 10-Year benchmark GoI security, as published by FIMMDA, shall be used. In respect of FIIs, margin shall be collected either in cash or foreign sovereign securities rated AAA. For the purpose of intra-day updation of VaR, the Exchanges shall use the yield of the benchmark 10-Year bond, from the NDS Order Matchi ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... pay-in funds. The CC shall pay-out funds to the selling CM on T+2 day Further, In case of a settlement shortage of ₹ 5 lakh or more, the trading facility of all trading members clearing through the buying CM shall be withdrawn in the Currency Derivatives Segment and the securities pay-out to the buying CM shall be withheld. If the buying CM is short for an amount of ₹ 2 lakh or more on six or more occasions in the preceding three months, the trading facility of all the trading members clearing through the buying CM shall be withdrawn in the Currency Derivatives Segment and the securities pay-out to the buying CM shall be withheld. A penalty of 0.07% per day shall be levied on the amount of the shortage. Th ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... lling CM till two business days prior to the last delivery date, it shall be presumed that selling CM has failed to deliver the security and the auction mechanism, as specified for security shortages, shall be activated. The auction shall take place one business day prior to the last delivery date. This Circular is being 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. This Circular is available on SEBI website at www.sebi.gov.in., under the category Derivatives- Circul ..... X X X X Extracts X X X X X X X X Extracts X X X X
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