InvestorQ : What are the IRF contracts available and what does it denote?
Aashna Tripathi made post

What are the IRF contracts available and what does it denote?

Answer
user profile image
Tisha Malhotra answered.
2 years ago


The Interest Rate Futures (IRF) symbol is a mix of the coupon, type of bond and the maturity year. For example, 768GS2023 refers to an interest rate future on the 7.68% coupon bearing Government Security maturing in the year 2023. That is how all symbols of IRF are coded and used.

FUTIRC

Symbol

768GS2023

772GS2025

788GS2030

761GS2030

684GS2022

679GS2029

679GS2027

668GS2031

717GS2028

The symbol shall denote coupon, type of bond and Maturity Year.

The symbol shall denote coupon, type of bond and Maturity Year. For example 7.68% Central Government Security having maturity on December 15, 2023 shall be denoted as 768GS2023

The symbol shall denote coupon, type of bond and Maturity Year. For example 7.72% Central Government Security having maturity on May 25, 2025 shall be denoted as 772GS2025

The symbol shall denote coupon, type of bond and Maturity Year. For example 7.88% Central Government Security having maturity on Mar 19, 2030 shall be denoted as 788GS2030

The symbol shall denote coupon, type of bond and Maturity Year. For example 7.61% Central Government Security having maturity on May 09, 2030 shall be denoted as 761GS2030

The symbol shall denote coupon, type of bond and Maturity Year. For example 6.84% Central Government Security having maturity on December 19, 2022 shall be denoted as 684GS2022

The symbol shall denote coupon, type of bond and Maturity Year. For example 6.79% Central Government Security having maturity on December 26, 2029 shall be denoted as 679GS2029

The symbol shall denote coupon, type of bond and Maturity Year. For example 6.79% Central Government Security having maturity on May 15, 2027 shall be denoted as 679GS2027

The symbol shall denote coupon, type of bond and Maturity Year. For example 6.68% Central Government Security having maturity on September 17, 2031 shall be denoted as 668GS2031

The symbol shall denote coupon, type of bond and Maturity Year. For example 7.17% Central Government Security having maturity on January 08, 2028 shall be denoted as 717GS2028

Underlying

Futures contracts based on 7.68% Central Government Security having maturity on December 15, 2023

Futures contracts based on 7.72% Central Government Security having maturity on May 25, 2025

Futures contracts based on 7.88% Central Government Security having maturity on Mar 19, 2030

Futures contracts based on 7.61% Central Government Security having maturity on May 09, 2030

Futures contracts based on 6.84% Central Government Security having maturity on December 19,2022

Futures contracts based on 6.79% Central Government Security having maturity on December 26, 2029

Futures contracts based on 6.79% Central Government Security having maturity on May 15, 2027

Futures contracts based on 6.68% Central Government Security having maturity on September 17, 2031

Futures contracts based on 7.17% Central Government Security having maturity on January 08, 2028

Market Type

N

Unit of trading

Rs. 2 lakhs face value of GOI securities equivalent to 2000 units. Members shall place orders in terms of number of lots.

Quotation

Similar to the quoted price of GOI security

Contract Value

Quoted price * 2000

Tick size

Rs.0.0025

Trading hours

Monday to Friday 9:00 a.m. to 5:00 p.m.

Contract trading cycle

Three Serial monthly contracts followed by three quarterly contracts of the cycle March/June/September/December

Spread Contract

Near-Mid, Near-Far & Mid-Far All spread orders shall be placed in terms of price difference only.

Last trading day

Last Thursday of the month. In case the last Thursday is a trading holiday, the previous trading day shall be the expiry/last trading day

Quantity Freeze

1251 lots or greater i.e. orders having quantity up to 1250 lots shall be allowed.

Base price

Theoretical future price of the 1st day of the contract. On all other days, daily settlement price of the contract

Price operating range

+/-3 % of the base price (Whenever a trade in any contract is executed at the highest/lowest price of the band, Exchange may expand the price band for that contract by 0.5% in that direction after 30 minutes after taking into account market trend. Price band may be relaxed only 2 times during the day)

Daily Settlement

Daily MTM settlement on T+1 in cash based on daily settlement price

Final Settlement

Final settlement on T+1 day in cash based on final settlement price

Daily Settlement Price

Volume Weighted Average Futures Price of last half an hour or Theoretical price

Final Settlement Price

Weighted average price of the underlying bond based on the prices during the last two hours of the trading on NDS-OM. If less than 5 trades are executed in the underlying bond during the last two hours of trading, then FIMMDA price shall be used for final settlement

Interest rate futures allow us to manage the uncertainties pertaining to interest rates movements in the market and can be very useful at times when bond yields become very volatile.