Interest Rate Futures Contracts are contracts based on the list of underlying as may be specified by the Exchange and approved by SEBI from time to time. To begin with, interest rate futures contracts on the following underlyings shall be available for trading on the F&O Segment of the Exchange :

1. Notional T – Bills

2. Notional 10 year bonds (coupon bearing and non-coupon bearing)

A description of the characteristics of the futures contract such as the underlying security, market lot and the maturity date of the contract are as under:

The security descriptor for the interest rate future contracts is:

Market type : N
Instrument Type : FUTINT
Underlying : Notional T- bills and Notional 10 year bond (coupon bearing and non-coupon bearing)
Expiry Date : Last Thursday of the Expiry month.

- Instrument type represents the instrument i.e. Interest Rate Future Contract.
- Underlying symbol denotes the underlyiing.
- Expiry date identifies the date of exppiry of the contract

Interest rate futures contracts are available on Notional T- bills , Notional 10 year zero coupon bond and Notional 10 year coupon bearing bond stipulated by the Securities & Exchange Board of India (SEBI).

The interest rate future contract shall be for a period of maturity of one year with three months continuous contracts for the first three months and fixed quarterly contracts for the entire year. New contracts will be introduced on the trading day following the expiry of the near month contract.

Interest rate future contracts shall expire on the last Thursday of the expiry month. If the last thursday is a trading holiday, the contracts shall expire on the previous trading day.

Further, where the last Thursday falls on the annual or half-yearly closing dates of the bank, the expiry and last trading day in respect of these derivatives contracts would be pre-poned to the previous trading day.

Contract size

The permitted lot size for the interest rate futures contracts shall be 2000. The minimum value of a interest rate futures contract would be Rs. 2 lakhs at the time of introduction.

Price steps

The price steps in respect of all interest rate future contracts admitted to dealings on the Exchange is Re.0.01

The Futures contracts having face value of Rs 100 on notional ten year coupon bearing bond and notional ten year zero coupon bond would be based on price quotation and Futures contracts having face value of Rs. 100 on notional 91 days treasury bill would be based on Rs. 100 minus (-) yield.

Base Price & operating ranges

Base price of the Interest rate future contracts on introduction of new contracts shall be theoretical futures price computed based on previous days’ closing price of the notional underlying security. The base price of the contracts on subsequent trading days will be the closing price of the futures contracts. However, on such of those days when the contracts were not traded, the base price will be the daily settlement price of futures contracts.

There will be no day minimum/maximum price ranges applicable for the futures contracts. However, in order to prevent / take care of erroneous order entry, the operating ranges for interest rate future contracts shall be kept at +/- 2% of the base price. In respect of orders which have come under price freeze, the members would be required to confirm to the Exchange that the order is genuine. On such confirmation, the Exchange at its discretion may approve such order. If such a confirmation is not given by any member, such order shall not be processed and as such shall lapse.

Orders which may come to the Exchange as a quantity freeze shall be 2500 contracts amounting to 50,00,000 which works out on the day of introduction to approximately Rs 50 crores.

In respect of such orders which have come under quantity freeze, the member shall be required to confirm to the Exchange that the order is genuine. On such confirmation, the Exchange at its discretion may approve such order subject to availability of turnover/exposure limits, etc. If such a confirmation is not given by any member, such order shall not be processed and as such shall lapse.

- Regular lot order
- Stop loss order
- Immediate or cancel
- Good till day
- Good till cancelled*
- Good till date
- Spread order
- 2L and 3L orders

* Good till cancelled (GTC) orders shall be cancelled at the end of the period of 7 calendar days from the date of entering an order.