Futures on 91-day Government of India Treasury-Bill (T-Bill)
Summary
SEBI permits eligible stock exchanges to introduce futures on 91-day Government of India Treasury Bills after obtaining prior approval. The circular outlines the product design, including contract size, trading hours, and settlement mechanisms for these interest rate derivatives. It also establishes a comprehensive risk management framework covering margin requirements, position limits, and volatility estimation methodologies.
Text
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.
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.
The circular shall come into force from the date of the circular.
91 - day GoI T-bill.
` 2 lakh.
The 91-day T-Bill future would be settled in cash in Indian Rupees.
The expiry / last trading day / final settlement day for the contract would be the last Wednesday of the expiry month. If any expiry day is a trading holiday, then the expiry/ last trading day/ final settlement day would be the previous trading day.
The Initial Margin requirement shall be based on a worst case loss of a portfolio of an individual client across various scenarios of price changes... subject to a minimum of 0.1 % of the notional value of the contract on the first day of trading in 91-day T-bill futures and 0.05 % of the notional value of the contract thereafter...
Extreme loss margin of 0.03 % of the notional value of the contract for all gross open positions shall be deducted from the liquid assets of the clearing member on an on line, real time basis.
The calendar spread margin shall be at a value of ` 100/- for spread of one month, ` 150 for spread of two month, ` 200/- for spread of three month and ` 250/- for spread of four month and beyond.
The volatility estimation and margin fixation methodology should be clearly made known to all market participants so that they can compute the margin for any given closing level of the interest rate futures price.
The gross open positions of the client across all contracts should not exceed 6% of the total open interest or ` 300 crores whichever is higher.
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Source: SecMarx — Futures on 91-day Government of India Treasury-Bill (T-Bill). Verbatim text is public record; SecMarx structuring (linkage to applying orders) is cited to us.