INDIA - Government Bond Futures and Bills and Who can Trade Them
The National Stock Exchange (NSE) of India offers futures trading on government bonds (10-year) and (91-day) bills a.k.a. 91TDB. Trading members must be registered with SEBI to trade in the Currency Derivatives segment.
Price Quote Convention
Prices are quoted "clean" i.e. without considering accrued interest.
Settlement and Delivery of GOI Bond Futures
Bond futures settle on VWAP during the last thirty minutes of trading, or theoretical value. Note that the 10 year bond futures actually allows delivery of bonds with 8-11 years of residual maturity.
Clearing of Trades
Trades are cleared by NSCCL (National Securities Clearing Corporation Limited), a wholly owned subsidiary of the NSE incorporated in 1995, and the first clearing house to be incorporated in India, starting operations in 1996. Counterparty risk is avoided by cash settlement of the daily mark to market of open positions.
KOREA
Korean Bonds
AsianBondsOnline has good coverage of Korean Won bonds, and presentation of 2, 5 and 10 year yields. In Korea, all fixed income instruments are available to foreign investors.
Bond futures trade on KRX. They are known as KTB futures (Korean Treasury Bond futures), available in 3, 5 and 10 year varieties.
The wholesale market for KTBs is known as KTS (this is also the venue to trade Monetary Stabilisation Bonds, or MSBs and Deposit Insurance Fund Bonds (DIFBs)), and is limited to government bond dealers licensed by the Financial Services Commission (founded in 2008).
The National Stock Exchange (NSE) of India offers futures trading on government bonds (10-year) and (91-day) bills a.k.a. 91TDB. Trading members must be registered with SEBI to trade in the Currency Derivatives segment.
Price Quote Convention
Prices are quoted "clean" i.e. without considering accrued interest.
Settlement and Delivery of GOI Bond Futures
Bond futures settle on VWAP during the last thirty minutes of trading, or theoretical value. Note that the 10 year bond futures actually allows delivery of bonds with 8-11 years of residual maturity.
Clearing of Trades
Trades are cleared by NSCCL (National Securities Clearing Corporation Limited), a wholly owned subsidiary of the NSE incorporated in 1995, and the first clearing house to be incorporated in India, starting operations in 1996. Counterparty risk is avoided by cash settlement of the daily mark to market of open positions.
KOREA
Korean Bonds
AsianBondsOnline has good coverage of Korean Won bonds, and presentation of 2, 5 and 10 year yields. In Korea, all fixed income instruments are available to foreign investors.
Bond futures trade on KRX. They are known as KTB futures (Korean Treasury Bond futures), available in 3, 5 and 10 year varieties.
The wholesale market for KTBs is known as KTS (this is also the venue to trade Monetary Stabilisation Bonds, or MSBs and Deposit Insurance Fund Bonds (DIFBs)), and is limited to government bond dealers licensed by the Financial Services Commission (founded in 2008).
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