With the commencement of Interest Rate Futures trading under a new framework, the Indian financial markets would achieve another milestone. Interest rates are linked to a variety of economic conditions. They can change rapidly, influencing investments and debt obligations. In a market environment where long term debt issuance by the government is increasing and the demand for it is growing, there is a strong need for a cost efficient hedging instrument against interest rate risk. Electronic trading platform of NSE ensures transparency of prices, volumes and trade data.

An Interest Rate Futures contract is "an agreement to buy or sell a debt instrument at a specified future date at a price that is fixed today. Interest rate futures are used to hedge against the risk that interest rates will move in an adverse direction. This includes Treasury bills, notes, and bonds; Government National Mortgage Association (GNMA) mortgage-backed securities, municipal bonds, and inter-bank deposits. We provide services to Hedge clients’ holdings of Treasury bonds and other debt instruments or their costs of future borrowings.

Products

Currently, Interest Rate Futures segment of NSE offers two instruments i.e. Futures on 6 year, 10 year and 13 year Government of India Security (NBF II) and 91-day Government of India

91 Day Treasury Bill

The 91-Day Treasury Bill (91DTB) futures contract is available on notional 91-day Government of India (GOI) Treasury Bill.

NSE Bond Futures II (NBF II)

The NSE Bond Futures II (NBF II) contracts are available for trading based on Government of India (GOI) security of face value 100 with semi-annual coupon and residual maturity between 9 and 10 years on the day of expiry of IRF contract, as decided by stock exchanges in consultation with FIMMDA. Three serial month contracts will be made available along with functionality for spread contract trading on the NSE electronic trading platforms.

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