RBI amends fiat on IRFs on G-Secs

The Reserve Bank of India (RBI) on Friday amended its directions on Interest Rate Futures (IRFs) on Government Securities (G-Secs) permitting two-year and five-year IRFs, with immediate effect.

“The two-year and five-year IRF contracts would be on two-year and five-year notional coupon bearing Government of India security, respectively. These would be cash-settled at expiry by the stock exchanges offering the contracts,” said the RBI.

The final settlement price of the two-year and five-year IRF contracts would be based on the yields of the basket of securities (as specified by respective stock exchanges) and disseminated by Fixed Income Money Market and Derivatives Association of India (FIMMDA) for the limited purpose of settlement of IRF contracts, as per the guidelines issued by the Reserve Bank from time to time.