322 INTERNATIONAL FINANCIAL MANAGEMENT
a. The underlying shall be coupon-bearing notional 10-year GOI Security with
face value of `100. For each contract, there shall be a basket of Government
GOI Securities, with residual maturity between 9 and 11 years on the day of
expiry futures contract, with appropriate weight assigned to each security in the
basket. Exchanges shall determine criteria for including securities in the basket
and determining their weights.
b. The underlying security shall have coupons with semi-annual compounding.
c. The contract shall be cash settled in Indian rupees.
d. The final settlement price shall be based on the average settlement yield, which
shall be the weighted average of the yields of securities in ...