9911796707
TMI BlogScheme for introduction of Exchange Traded Interest Rate Derivative Contracts on a basket of Government SecuritiesX X X X Extracts X X X X X X X X Extracts X X X X ..... egulation) 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 in continuation of SEBI Circular No. SEBI/SMDRP/DC/Cir-16/2003/04/17 dated April 17, 2003 on the scheme for introduction of Exchange Traded Interest Rate Derivative Contracts. The SEBI Advisory Committee on Derivatives and Market Risk Management (RMG), in its meeting on October 28, 2003 and November 11, 2003 had recommended the introduction of exchange traded interest rate futures contract which would derive its value from a basket of dated Government Securities (hereinafter referred to as bond). Based on the recommendation of the RMG, SEBI has decided to permit interest ra ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... hether the quarters should be fixed months of the year or rolling quarterly horizon from the contract introduction date. The features of the notional bond including, the coupon rate shall be disclosed to the market in advance and shall form a part of the contract specification. The composition of the basket of bonds shall be disclosed to the market prior to the launch of the futures contract. Exchange shall specify the eligibility criteria for selecting the bonds constituting the basket. The Exchange shall also review the eligibility criteria and the basket at periodic intervals. The eligibility criteria shall be based on volume, turnover etc., and shall be disclosed to the market. The price of the futures contract shall be quoted ..... X X X X Extracts X X X X X X X X Extracts X X X X ..... Polling shall be carried out by the Exchange in a transparent manner and the prices of bond constituting the basket shall be regularly polled and published. The methodology of polling shall be disclosed to the market. II) RISK CONTAINMENT MEASURES The present portfolio based margining approach applicable to existing exchange traded equity and interest rate derivative contracts shall be extended to interest rate futures contract on a 10 year coupon bearing notional bond which shall be priced off a basket of bonds. The margins shall be computed taking an integrated view on the risk on a portfolio of an individual client comprising positions in all derivative contracts. The risk containment parameters for the contract shall be the same ..... X X X X Extracts X X X X X X X X Extracts X X X X
|
