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What are different interest rate futures contracts that have been permitted by regulators?

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posted Jul 6 by Anurag Kashyap

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As per circulars issued by regulators (RBI and SEBI) on December 5, 2013, stock exchange have been permitted to launch interest rate futures contracts on 10 year GoI securities and new tenor bonds guidelines have been issued on June 12, 2015 by RBI and SEBI:
- Option-A: A GoI security of face value Rs. 100 with semi-annual coupon with residual maturity between 4 and 8 years for 5 year tenor bucket, 8 and 11 years for 10 year tenor bucket and 11 and 15 years for 15 year tenor bucket as on the day of expiry of IRF contract
- Option-B: A notional coupon bearing 10-year GoI security with a face value of Rs. 100 having a
notional coupon paid semi-annually.
For contracts within each maturity bucket, there shall be basket of Government of India Securities, with residual maturity between 4 and 8 years for 5 year tenor, 8 and 11 years for 10 year tenor and 11 and 15 years for 15 year tenor as on the day of expiry of IRF contract, with appropriate weight assigned to each security within the respective 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. Exchange will disclose the criteria for selection of the underlying bond/s in both options of

answer Jul 6 by Pratiksha Shetty
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