What are the contract specifications and trading parameters of Interest Rate Future Contracts ?
The underlying securities of Interest Rate Future Contracts are Notional Government Of India 91 Day T- bills (Treasury bills), Notional 10 year coupon bearing bond and Notional 10 year zero-coupon bond. These contracts can have a trading cycle for a period of maturity of one year with three months continuous contracts for the first three months and fixed quarterly contracts for the whole year. With the expiration of near month contract on the last Thursday of each month, a fresh contract is introduced on the very next day. The contract will expire on the previous trading day if last Thursday of the month is a trading holiday. Also if last Thursday were banks annual or half-yearly closing date, previous trading day would be considered as expiration date. Permitted trading lot size of Interest Rate Future Contracts is 2000 The minimum value of an Interest Rate Future contract is Rs2, 00,000. Tick size of Interest Rate Futures is Re0.05. On the day of introduction of future contract, Base
