As per the guidelines, the contract size for futures trading would be Rs 2 lakh with a maximum maturity period of 12 months.
The contract cycle, it added, would consist of four fixed quarterly contracts expiring in March, June, September and December.
The notional coupon rate for such trade, the guidelines said, would be 7 per cent to be compounded every six months. The guidelines further said stock exchanges will have to seek approval of Sebi before starting trading in interest rate futures in their currency derivative segment.
The clearing system for the interest rate futures, it added, would be the same as for the currency derivatives segment. The exchanges will also be required to disclose upfront the composition of the basket of deliverable grade securities and the associated conversion factors for each of the quarterly contract.
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