Ch.20: Exchange Traded Interest Rate Futures

A participant buys 10 lots of 91-day T-Bill futures at a price of Rs.95 (implied discount yield 5%). Using Contract Value = Lots × 2,000 × (100 − 0.25×y), the contract value is:

The expiry day for 91-Day T-Bill futures is:

91-Day T-Bill futures are quoted as '100 minus futures discount yield (y)'. If the discount yield is 5%, the quoted futures price is:

For pricing 91-day T-Bill futures using the forward rate approach, participants determine the yield/rate for which two tenors from the FBIL Treasury Bill yield curve?

Which of the following is explicitly listed as an assumption underlying the theoretical (cash-and-carry) futures pricing model?

'Basis' is defined as the difference between spot price and futures price. If the futures price is greater than the spot price (a condition often seen in markets in contango), the basis is:

In bond futures specifically, the workbook notes that basis is most often observed to be:

In the workbook's worked example, a GOI security has a Dirty (Cash) Price of Rs.103.0174 and a Financing Cost of Rs.0.2597. If the Income on Cash Position (accrued interest over the holding period) is Rs.1.8847, the Theoretical Future Clean Price is closest to:

Per the theoretical bond futures pricing model, Future Bond Price is calculated as:

For Cash Settled Interest Rate Futures on GOI Securities (6/10/13-year), one lot is equivalent to notional bonds of which face value?

A participant buys 5 lots of single bond GOI futures at Rs.101. Using Contract Value = Lots × 2,000 × Trade Price, the contract value is:

Under SEBI's CBIF framework, what is the maximum weight a single issuer can have in the underlying Permitted Corporate Bond Index?

Per SEBI's January 2023 circular permitting derivatives on corporate debt security indices, what is the minimum credit rating requirement for constituents of a Permitted Corporate Bond Index?

If a bond futures price is trading higher than the underlying bond's current spot price, the Expectancy Model suggests market participants expect:

The Expectancy Model of futures pricing holds that, especially when an asset cannot be sold short or stored, futures prices are best understood as:

'Financing cost' or 'cost of carry' in the context of interest rate futures pricing refers to:

An investor can invest for 2 years directly at a 2-year spot rate of 6%, or invest for 1 year at 5% and reinvest for the second year at the 1-year forward rate (F). Using the no-arbitrage principle 1000×(1.06)² = {1000×(1.05)}×(1+F), the forward rate F is closest to:

Compared to Forward Rate Agreements (FRAs), Interest Rate Futures offer which key advantage, per the workbook's comparison table?

Which of the following is listed as a limitation of standardized Interest Rate Futures compared to customized FRAs?

Quantity Freeze limits, set by stock exchanges in the interest rate futures market, exist mainly to:

In a monthly interest rate futures contract cycle, the contract expiring in the subsequent (third) month is called the:

For single bond Government Securities futures, the standard expiry day (last trading day) of the monthly contract is:

Mark to Market (MTM) margins in the interest rate futures market are collected from and paid to participants:

Cash-settled Interest Rate Futures on 10-year Government of India Securities, based on revised SEBI/RBI guidelines, became a market success starting from:

In a futures contract, the words 'buy' and 'sell' at the time of execution are described as 'figurative only' because:

Which of the following is explicitly listed as an important characteristic of futures trading in the workbook?

If Mr. X holds a long position of 5 contracts on 6.10% GOI bond futures and Mr. Y holds the corresponding short position of 5 contracts, how many contracts contribute to the Open Interest figure reported for this security?

Overnight MIBOR futures have a notional principal of Rs.5 crore for one month, calculated on a 30/365 day basis. The value of 1 basis point on this contract works out to approximately:

For Overnight MIBOR futures, the tick size is a quarter basis point (0.25 bps). Using Tick Value = 0.25 × Rs.411, the tick value is closest to:

The payoff graph for both long and short futures positions is described in the workbook as having which shape?

An investor goes long in a futures contract at Rs.100. On a cash-settled basis, if the underlying's price at expiry is Rs.99, the investor will:

An investor goes short in a futures contract at Rs.100. If the underlying's price rises to Rs.101 at expiry, the short futures position will result in:

Why do futures and spot (cash market) prices always converge exactly at the maturity/expiry of a futures contract?

Per the workbook, interest rate derivatives are described as the primary instruments available to hedge which macroeconomic risk faced by the household sector, due to the 'Fisher effect'?

Per the workbook, which broader group of economic agents together carries more than 80% of the interest rate risk exposure of GOI securities, making them the largest constituency needing a credible hedging mechanism?

'Rollover' of a futures position refers to:

What is the settlement method for 91-day T-Bill futures?

If a participant buys 10 lots of single bond futures at Rs.99, the contract value is _________.

Which of the following is the last trading day for cash-settled 10-year bond futures?

The total number of derivatives contracts outstanding is called __________.

A person goes short in a futures contract at Rs.100, and on expiry the underlying price is Rs.101. He will ________.

The tick size for cash-settled GOI Bond Futures is Rs.0.0025. The change in contract value for one tick-size move, for a single lot, is closest to: