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| NOTICES |
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| Notice No. |
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20210615-43 |
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Notice Date |
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15 Jun 2021 |
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| Category |
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Settlement/RMS |
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Segment |
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IRD |
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| Subject |
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First Day Default Volatility of Interest Rate Derivatives |
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| Content |
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SEBI vide its circular on Exchange traded Interest Rate Futures (Circular No: SEBI/DNPD/Cir- 46 /2009) dated August 28, 2009, had inter-alia prescribed that “During the first time-period on the first day of trading in 10-year Notional Coupon-bearing GoI security futures, the sigma would be equal to 0.8 %.”
As per letter received from SEBI, default volatility that shall be considered for the first day of derivatives trading on a newly issued security in a tenor shall be the historical volatility of FIMMDA marked nodal points for that tenor.
Members are requested to take note of the above.
In case of any assistance/clarification, please do not hesitate to contact us.
For and on behalf of Indian Clearing Corporation Ltd.
Piyush Chourasia
Chief Risk Officer & Head – Strategy
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Risk
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Email
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risk.iccl@icclindia.com
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Contact:
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+91-22-22728759/5820
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