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RBI issued final guidelines for 6-year and 13-year Interest Rate Futures

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The Reserve Bank of India today released the final guidelines for introduction of 6-year and 13-year cash settled Interest Rate Futures (IRF).

These guidelines settled IRF on Government of India Securities with residual maturity of 4-8 years and 11-15 years respectively.

The 10-Year cash settled IRF contracts shall have two options as follows:

  1. For a coupon bearing Government of India security of face value Rs.100 and residual maturity between 8 and 11 years on the expiry of futures contract.
  1. For coupon bearing notional 10-year Government of India security with a face value of Rs.100. For each contract, there shall be basket of Government of India securities, with residual maturity between 8 and 11 years on the day of expiry of futures contract, with appropriate weight assigned to each security in the basket.

The 6-Year cash settled IRF contracts shall have two options as follows:

  1. For a coupon bearing Government of India security of face value Rs.100 and residual maturity between 4 and 8 years on the expiry of futures contract.
  1. For a coupon bearing notional 6-year Government of India security with a face value of Rs.100. For each contract, there shall be basket of Government of India securities, with residual maturity between 4 and 8 years on the day of expiry of futures contract.

The 13-Year cash settled IRF contracts shall have two options as follows:

  1. For a coupon bearing Government of India security of face value Rs. 100 and residual maturity between 11 and 15 years on the expiry of futures contract.
  1. For a coupon bearing notional 13-year Government of India security with a face value of Rs.100. For each contract, there shall be basket of Government of India securities, with residual maturity between 11 and 15 years on the day of expiry of futures contract, with appropriate weight assigned to each security in the basket.