Securities and Exchange Broad of India
SEBI /DNPD/ 3 /2011
March 7, 2011
Recognized Stock Exchanges and their Clearing Corporations / Clearing Houses
Sub: Futures on 91-day Government of India Treasury-Bill (T- Bill)
1. This is in continuation of SEBI Circular No. SEBI/DNPD/Cir- 46/2009 dated August 28, 2009 regarding Exchange Traded Interest Rate Futures.
2. It has now been decided to permit introduction of futures on 91-day Government of India Treasury-Bill (T- Bill) on currency derivatives segment of Stock Exchanges. Eligible Stock Exchanges may do so after obtaining prior approval from SEBI.
3. The details in terms of product design and risk management framework for futures on 91-day Government of India Treasury-Bill (T- Bill) are as given under Annexure I.
4. This circular is issued in exercise of the powers conferred under Section 11 (1) of the Securities and Exchange Board of India Act 1992, read with Section 10 of the Securities Contracts (Regulation) Act, 1956 to protect the interests of investors in securities and to promote the development of, and to regulate the securities market.
5. The circular shall come into force from the date of the circular.
6. This circular is available on SEBI website at www.sebi.gov.in., under the category “Derivatives- Circulars”.
Derivatives and New Products Department
Encl: as above
PRODUCT DESIGN AND RISK MANAGEMENT FRAMEWORK FOR 91-DAY GOVERNMENT OF INDIA (GoI) TREASURY BILL (T- bill) FUTURES
91 – day GoI T-bill.
1.2 Trading hours
9 a.m. to 5 p.m.
1.3 Size of the contract
Rs. 2 lakh.
100 minus futures discount yield (i.e. for a yield of 5% the quote would be 100- 5=95). The value of 1 basis point change in the futures discount yield would be ` 5.
1.5 Tenor of the contract
The maximum maturity of the contract would be 12 months.
Three serial monthly contracts followed by three quarterly contracts of the cycle March/June/September/December.
1.7 Settlement mechanism
The 91-day T-Bill future would be settled in cash in Indian Rupees.