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NISM Series V-D · Chapter 20: Exchange Traded Interest Rate Futures

एक्सचेंज ट्रेडेड ब्याज दर फ्यूचर्स · NISM-Series-V-D: Mutual Fund – Specialized Investment Fund (SIF) Distributors Certification Examination

10% weightage · ~15 questions 150 questions · 180 minutes · 60% to pass · −0.10 per wrong answer 39 practice questions in our bank

What this chapter covers

Ten marks on the mechanics of interest-rate futures on Indian exchanges: the underlying G-Secs and T-Bills, contract specifications, pricing via the cheapest-to-deliver / conversion-factor idea, cash settlement, margins, and the pay-off to long and short positions when yields move.

भारतीय एक्सचेंजों पर ब्याज-दर फ्यूचर्स: अंडरलाइंग, कॉन्ट्रैक्ट स्पेसिफ़िकेशन, मूल्य-निर्धारण, सेटलमेंट और पे-ऑफ़।

What to master before the exam

Exam tip: The direction trap is the whole chapter: yields up → prices down → long futures loses. Check every answer against that sentence before you mark it.

Sample questions from this chapter

Five of the 39 questions in our free bank. Open the answer to see the explanation — every question in the mock test has one, in English and Hindi.

Question 1
Interest Rate Futures (IRF) are standardized contracts to buy/sell:
इंटरेस्ट रेट फ्यूचर्स (IRF) किसे खरीदने/बेचने के मानकीकृत अनुबंध हैं?
  1. A notional security or interest-bearing instrument (or index/rate) at a future dateभविष्य की तिथि पर एक नोशनल सिक्योरिटी या ब्याज-वाहक साधन (या इंडेक्स/दर)
  2. Equity shares onlyकेवल इक्विटी शेयर
  3. Gold onlyकेवल सोना
  4. Real estateरियल एस्टेट
Show answer & explanation
Answer: A — A notional security or interest-bearing instrument (or index/rate) at a future date
An IRF is a standardized exchange-traded contract on a notional security/interest-bearing instrument, an index of such, or interest rates; it includes money-market futures.
IRF एक मानकीकृत एक्सचेंज-ट्रेडेड अनुबंध है जो नोशनल सिक्योरिटी/ब्याज-वाहक साधन, उनके इंडेक्स, या ब्याज दरों पर होता है; इसमें मनी-मार्केट फ्यूचर्स भी शामिल हैं।
Question 2
“Notional bond futures” are derivatives whose underlying is:
"नोशनल बॉन्ड फ्यूचर्स" वे डेरिवेटिव हैं जिनका अंतर्निहित है:
  1. A theoretical bond, not a physical bondएक सैद्धांतिक बॉन्ड, न कि भौतिक बॉन्ड
  2. A single physical bondएक अकेला भौतिक बॉन्ड
  3. An equity shareएक इक्विटी शेयर
  4. Goldसोना
Show answer & explanation
Answer: A — A theoretical bond, not a physical bond
Notional bond futures use a theoretical (notional) bond as the underlying rather than a specific physical bond — e.g. a 10-year notional GOI security.
नोशनल बॉन्ड फ्यूचर्स किसी विशिष्ट भौतिक बॉन्ड की बजाय एक सैद्धांतिक (नोशनल) बॉन्ड को अंतर्निहित मानते हैं — जैसे 10-वर्षीय नोशनल GOI प्रतिभूति।
Question 3
The settlement method for 91-day T-bill futures is:
91-दिवसीय T-बिल फ्यूचर्स के लिए निपटान विधि क्या है?
  1. Cashनकद
  2. Physicalभौतिक
  3. Either cash or physicalनकद या भौतिक कोई भी
  4. No settlementकोई निपटान नहीं
Show answer & explanation
Answer: A — Cash
91-day Treasury bill futures are cash settled — only the profit/loss is exchanged, no physical delivery of bills.
91-दिवसीय ट्रेज़री बिल फ्यूचर्स नकद-निपटान होते हैं — केवल लाभ/हानि का आदान-प्रदान होता है, बिलों की भौतिक डिलीवरी नहीं।
Question 4
The successful cash-settled IRF introduced in December 2013 is based on:
दिसंबर 2013 में शुरू किया गया सफल नकद-निपटान IRF किस पर आधारित है?
  1. The on-the-run 10-year GOI security (a single bond futures)ऑन-द-रन 10-वर्षीय GOI प्रतिभूति (एक सिंगल बॉन्ड फ्यूचर्स)
  2. A basket of equity sharesइक्विटी शेयरों की एक टोकरी
  3. The US Treasuryअमेरिकी ट्रेज़री
  4. Goldसोना
Show answer & explanation
Answer: A — The on-the-run 10-year GOI security (a single bond futures)
Based on revised SEBI/RBI guidelines (Dec 2013), exchanges launched cash-settled single bond futures on the on-the-run 10-year GOI security, which succeeded.
संशोधित SEBI/RBI दिशानिर्देशों (दिसंबर 2013) के आधार पर, एक्सचेंजों ने ऑन-द-रन 10-वर्षीय GOI प्रतिभूति पर नकद-निपटान सिंगल बॉन्ड फ्यूचर्स शुरू किए, जो सफल रहे।
Question 5
The underlying of an IRF can be:
किसी IRF का अंतर्निहित क्या हो सकता है?
  1. An interest rate (e.g. Overnight MIBOR), a G-Sec, an index of such, or a notional securityएक ब्याज दर (जैसे ओवरनाइट MIBOR), एक G-Sec, उनका इंडेक्स, या एक नोशनल सिक्योरिटी
  2. Only equity sharesकेवल इक्विटी शेयर
  3. Only foreign currencyकेवल विदेशी मुद्रा
  4. Only goldकेवल सोना
Show answer & explanation
Answer: A — An interest rate (e.g. Overnight MIBOR), a G-Sec, an index of such, or a notional security
An IRF’s underlying can be an interest rate (e.g. Overnight MIBOR), an interest-bearing instrument (G-Secs), an index of such, or a notional security.
IRF का अंतर्निहित एक ब्याज दर (जैसे ओवरनाइट MIBOR), एक ब्याज-वाहक साधन (G-Secs), उनका इंडेक्स, या एक नोशनल सिक्योरिटी हो सकता है।
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All V-D chapters

1. Investment Landscape · 5%2. Concept and Role of a Mutual Fund · 4%3. Legal Structure of Mutual Funds in India · 3%4. Legal and Regulatory Framework · 7%5. Scheme Related Information · 7%6. Fund Distribution and Channel Management · 4%7. NAV, Total Expense Ratio and Pricing of Units · 5%8. Taxation · 3%9. Investor Services · 10%10. Risk, Return and Performance of Funds · 5%11. Mutual Fund Scheme Performance · 5%12. Mutual Fund Scheme Selection · 10%13. Basics of Derivatives · 10%14. Understanding the Index · 5%15. Introduction to Forwards and Futures · 15%16. Introduction to Options · 13%17. Strategies using Equity Futures and Options · 9%18. Interest Rate, Instruments and Fixed Income · 6%19. Interest Rate Derivatives · 2%20. Exchange Traded Interest Rate Futures · 10%21. Exchange Traded Interest Rate Options · 6%22. Strategies using Interest Rate Derivatives · 6%
← Chapter 19: Interest Rate Derivatives Chapter 21: Exchange Traded Interest Rate Options →

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