INTEREST RATE FUTURES Interest Rate Futures are derivatives contract which have an interest bearing security as the underlying instrument. In theory, the buyer of the Bond futures contract agreed to take delivery of the underlying bond when the contract expires, and the contract seller agrees to deliver the debt instrument.

The value of the contract rises and falls inversely to change in interest rates. The Indian version of IRF is based on 10-year notional government securities with an interest rate of 7% per annum. The maximum duration of an IRF contract could be of 12 months and settlement will be every three months--March, June, September and December. Each contract is of Rs 2 lakh

PRODUCT SPECIFICATION

PARTICULARS                     DESCRIPTION
Symbol                                          10YGS7
Market Type                                  N
Instrument Type                              FUTIRD
Underlying                                     10 Year Notional Coupon Bearing GOI Security
Notional Coupon                           7% with semi annual compounding
Tick Size                                       0.25 Pasie or INR .0025
Trading Hours                                9.00 AM to 5.00 PM (Monday to Friday)
Contract Size                                 2 Lakhs
Quotation                                       Upto 4 Decimal with 30/360 Day count convention
Tenor                                              Maximum Maturity 12 Months
Contract Cycle                                Four Fixed Quarterly Contracts ending March June Sept and Dec
Daily Settlement Price                      Weighted Avg Price of the last half an hour Trade
Settlement Mechanism                      Daily: Marked To Market
                                                        Final Settlement: Physical Settlement in Delivery Month
Last Trading Day                              7th Business day preceding the last business day of the delivery month
Last Delivery Day                              Last business day of the delivery month
Initial Margin                                     SPAN based mini. 2.33% on day 1 and 1.6% subsequently
Calendar Spread Margin                   Rs 2000 per month of spread

KEY BENEFITS OF IRF
• Directional Trading
• Hedge your portfolio
• Calendar Spread Trading
• Reduce the Duration Of the Portfolio
• Arbitrage between cash and future market

MARKET PARTICIPANTS
• Banks
• Primary Dealers
• Corporate HousesII’s
• Mutual Funds and Insurance Companies
• and NRIsMember Brokers
• and Retail Investors