Interest rate futures on 91Day GOI T-Bills

The National Stock Exchange (NSE) will launch interest rate futures on the 91-day treasury bills from July 4. So, what is this interest rate futures is all about? Interest rate futures (IRF) is a standardised interest rate derivative contract traded on a stock exchange to buy or sell an interest bearing instrument at a specified future date, at a price determined at the time of the contract.

Why are they issued?

These Money market instruments are issued to finance the short term requirements of the Government of India and they are issued at a discount to face value (Rs 100). The return is the difference between the par value and issue price There are different types of T-bills based on the maturity period like 91 days, 182 days and 364 days. Such instruments are very helpful for banks and mutual funds to hedge their exposure.

How are they quoted?

Quote Price = 100 minus futures discount yield.
E.g. For a futures discount yield of 7% p.a, the quote price would be 100 – 7 = Rs 93.00.

How are they settled?

The interest rate futures would be cash settled. In case of the 91-day treasury bill, the final settlement price of the futures contract is based on the weighted average price/ yield obtained in the weekly auction of the 91-day treasury bills on the date of expiry of the contract.


There is no Securities Transaction Tax (STT) and lower margins as compared to other forms of trading. This gives an easier and cheaper access to interest rates trading.

To put it in a nutshell, the interest rate futures can be used to take a directional call on the interest rates or for hedging their existing position. One can enter into an 91 DTB futures contract based on your interest rates view. If your anticipation is rise in interest rates you can create a short position in interest rates futures and vice-versa.