RBI issued final guidelines for 6-year and 13-year Interest Rate Futures
09:58
Who: Reserve Bank of India
What: Issued final guidelines of Interest Rate Futures
When: 12 June 2015
What: Issued final guidelines of Interest Rate Futures
When: 12 June 2015
For this purpose, RBI amended the Interest Rate Futures (Reserve Bank) Directions, 2013 dated 5 December 2013.
For the 6-year cash settled IRF contracts, the underlying shall be a coupon bearing government security of face value of 100 rupees and the residual maturity of 6-year IRF is between 4 and 8 years on the expiry of futures contract.
For the 13-year cash settled IRF contracts, the underlying can be a coupon bearing government security of face value of 100 rupees and residual maturity will be between 11 and 15 years on the expiry of futures contract.
Moreover, the RBI also expanded the residual maturity for the existing 10-year cash settled IRF from 9-11 years to 8-11 years to provide market participants a greater choice and flexibility to hedge their interest rate risk across different tenors.
For the 6-year cash settled IRF contracts, the underlying shall be a coupon bearing government security of face value of 100 rupees and the residual maturity of 6-year IRF is between 4 and 8 years on the expiry of futures contract.
For the 13-year cash settled IRF contracts, the underlying can be a coupon bearing government security of face value of 100 rupees and residual maturity will be between 11 and 15 years on the expiry of futures contract.
Moreover, the RBI also expanded the residual maturity for the existing 10-year cash settled IRF from 9-11 years to 8-11 years to provide market participants a greater choice and flexibility to hedge their interest rate risk across different tenors.
Subscribe to:
Post Comments (Atom)
