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Futures

 
 

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." The underlying security for Interest Rate Futures is either Government Bond or T-Bill.

Currently, the futures contracts are available on 91 Day T-Bill and the below mentioned government securities:

  1. 8.27% GS 2020
  2. 7.72% GS 2025
  3. 7.88% GS 2030
  4. 8.40% GS 2024
  5. 7.68% GS 2023
  6. 7.59% GS 2029

Futures on G-Secs are traded in lots of Rs 2 Lacs with three serial monthly contracts outstanding. These contracts are traded on NSE, BSE and MSEI exchanges. In its current form, the futures contracts are cash settled on T+1 day. All the contracts expire on the last Thursday of every month. Settlement of outstanding positions in futures contracts is undertaken on the Daily Settlement Price (DSP) determined by the exchange. DSP is the price at which the daily valuation of the futures contract is carried out. In other words, the daily MTM pay-in/ pay-out is calculated as net of the price at which a trader holds the futures position minus the DSP as determined by the exchange. The calculation of DSP is based on the ‘Volume Weighted Average Futures Price of last half an hour’. In case of absence of last half an hour of trading in a particular futures contract, then the DSP is calculated based on theoretical formula.

However, on expiry, settlement takes place on the Final Settlement price. It is the price at which a futures contract is valued at on expiry. It is calculated as the ‘Weighted Average Price of the underlying bond during the last two hours of the trading on NDS-OM subject to minimum of 5 trades’. If less than 5 trades are executed in the underlying bond during the last two hours of trading, then FIMMDA price shall be used as final settlement price.

IRF trading has increased considerably with volumes ranging between Rs 1,500 – Rs 4,000 Crs on daily basis. STCI Primary Dealer Ltd. is an active player in this market and undertakes transactions on a proprietary basis.

 
 
 

Latest News

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RBI slashed the Statutory Liquidity Ratio by 50 bps from 20.0% to 19.5% of banks NDTL. The ceiling on SLR security’s under HTM will also be reduced from 20.25% to 19.50% in a phased manner by March 31, 2018
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In its Fourth Bi-monthly policy, the MPC panel kept the policy rates unchanged at 6.00% while maintaining a neutral policy stance
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Consequently, the policy rates are as follows: Repo rate: 6%, Reverse Repo rate: 5.75%, MSF rate: 6.25%
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The panel revised its inflation projection upwards for the second half of FY18 to 4.2-4.6% from 4.0%-4.5% in the previous policy
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India’s eight-core sector growth came in at 4.9% compared to 2.6% observed in the previous month mainly aided by a sequential increase in output of coal, fertilizers, steel and electricity
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Real GVA growth has been revised downwards to 6.7% for FY18 from 7.3% previously
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Surprising on the downside, headline CPI for Sep-17 came in at 3.28% as food prices saw a sharp decline. Additionally, the print for Aug-17 was also revised downwards to 3.28% compared to 3.36% estimated previously.
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Core inflation, however, stood 11 bps higher at 4.61% compared to 4.50% as implementation of HRA under the 7th CPC continued to impact housing prices.
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IIP registered a 4.3% growth in Aug as compared to 1.2% observed in July led by broad based growth across all sectors, viz. Manufacturing at 3.5%, Electricity at 2.3% and Mining at 0.3%.
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