Current · Source: Reserve Bank of India · RBI/2010-11/417 · issued 07 Mar 2011 · ~2 min read
Quick answerRBI has allowed exchange-traded Interest Rate Futures on 91-Day Treasury Bills, expanding the derivatives market. The contract will be cash-settled based on weekly auction yields. This move aims to deepen the interest rate risk management toolkit for regulated entities.
What changed
RBI amended its 2009 Interest Rate Futures Directions to include 91-Day Treasury Bills as an underlying asset. The 10-year contract remains physically delivered, while the new T-Bill futures will be cash-settled using the weighted average yield from the weekly auction on expiry.
What it means for you
Banks and other regulated entities now have a new hedging instrument for short-term interest rate exposure. Cash settlement simplifies the process compared to physical delivery, reducing operational complexity. This could increase participation in the interest rate futures market and improve liquidity in the T-Bill segment.
What you must do
Review your current interest rate risk management framework to incorporate 91-Day T-Bill futures as a hedging tool.
Ensure compliance with the amended Directions, particularly the cash settlement mechanism and auction-based final settlement price.
Coordinate with exchanges and depositories to understand the operational aspects of trading and settlement for the new contract.
Train treasury and risk management teams on the features and pricing of the 91-Day T-Bill futures contract.
Who it affects
All RBI-regulated entities including banks, primary dealers, and financial institutions, Treasury departments managing interest rate risk, Exchanges and clearing corporations offering interest rate futures, Depositories (NSDL, CDSL) and Public Debt Office involved in settlement
❓ Common questions
What is the settlement method for the 91-Day T-Bill futures?
The contract is cash-settled in Indian Rupees. The final settlement price is based on the weighted average price/yield from the weekly auction of 91-Day Treasury Bills on the contract expiry date.
How does this differ from the existing 10-year Interest Rate Futures?
The 10-year contract is physically delivered using eligible government securities, while the new 91-Day T-Bill futures are cash-settled. The underlying asset is a short-term Treasury Bill instead of a long-term notional bond.
Which entities are eligible to trade these futures?
All RBI-regulated entities, including banks, primary dealers, and other financial institutions, are permitted to trade exchange-traded Interest Rate Futures as per the Directions.
📜 Read the original circular — full text as issued by RBI
RBI/2010-11/417
IDMD.PCD. 28 /14.03.01/2010-11
March 7, 2011
To,
All RBI-regulated entities
Dear Sirs,
Exchange-traded Interest Rate Futures
It has been decided to introduce Interest Rate Futures on 91-Day Treasury Bills issued by Government of India. In this regard, Reserve Bank of India has issued an amendment direction IDMD.PCD.27/ED(HRK)-2010 dated March 7, 2011 under section 45W of the Reserve Bank of India Act, 1934, which has been placed on the Reserve Bank of India website ( www.rbi.org.in ).
2. A copy of the Direction is enclosed .
Yours faithfully,
( R N Kar )
General Manager
RESERVE BANK OF INDIA
INTERNAL DEBT MANAGEMENT DEPARTMENT
23rd FLOOR, CENTRAL OFFICE FORT
MUMBAI 400 001
Interest Rate Futures (Reserve Bank) (Amendment) Directions, 2011
IDMD.PCD. 27 /ED (HRK) - 2010 dated March 7, 2011
The Reserve Bank of India having considered it necessary in public interest and to regulate the financial system of the country to its advantage, in exercise of the powers conferred by section 45W of the Reserve Bank of India Act, 1934 and of all the powers enabling it in this behalf, hereby amends the Directions contained in Notification FMD.MSRG.1/02.04.003/2009-10 dated August 28, 2009 (hereinafter referred to as ‘Directions’) as follows, namely -
1. In paragraph 3(i) of the Directions, after the words “are permitted on” and before the words “10-year notional coupon bearing Government of India security” the following words shall be inserted:
“91-Day Treasury Bills,”
2. Paragraph 4 of the Directions shall be amended to read as under –
4. Features of Interest Rate Futures
4.1 The 10-year Interest Rate Futures contract shall have the following features:
The contract shall be on 10-year notional coupon bearing Government of India security.
The notional coupon shall be 7% per annum with semi-annual compounding.
The contract shall be settled by physical delivery of deliverable grade securities using the electronic book entry system of the existing Depositories, namely, National Securities Depositories Ltd. and Central Depository Services (India) Ltd. and Public Debt Office of the Reserve Bank.
Deliverable grade securities’ shall comprise GoI securities maturing at least 7.5 years but not more than 15 years from the first day of the delivery month with a minimum total outstanding stock of ` 10,000 crore. Exchanges may fix their own basket of securities for delivery from the deliverable grade securities in accordance with guidelines issued by the Securities Exchange Board of India from time to time.
4.2 The 91-Day T-Bill Futures shall have the following features:
The contract shall be on 91-Day Treasury Bills issued by the Government of India.
The contract shall be cash settled in Indian Rupees.
The final settlement price of the contract shall be 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.
(H R Khan)
Executive Director
Reproduced for reference with acknowledgment — Source: Reserve Bank of India · RBI/2010-11/417 · issued 07 Mar 2011. The plain-English explanation above is BankPulse’s own independent summary.
Ensure compliance with the amended Directions, particularly the cash settlement mechanism and auction-based final settlement price.
Coordinate with exchanges and depositories to understand the operational aspects of trading and settlement for the new contract.
📜 Compliance
Review your current interest rate risk management framework to incorporate 91-Day T-Bill futures as a hedging tool.
Train treasury and risk management teams on the features and pricing of the 91-Day T-Bill futures contract.
Grouped from the action items above — a single circular may involve more than one team.
Worked example & action-note template
Example: if you are a Compliance officer at a bank this circular applies to (All RBI-regulated entities including banks, primary dealers, and financial institutions, Treasury departments managing interest rate risk, Exchanges and clearing corporations offering interest rate futures, Depositories (NSDL, CDSL) and Public Debt Office involved in settlement), your first concrete step on “RBI Introduces 91-Day T-Bill Interest Rate Futures” is: “Review your current interest rate risk management framework to incorporate 91-Day T-Bill futures as a hedging tool.” (RBI issued this 07 Mar 2011).
Action required: Review your current interest rate risk management framework to incorporate 91-Day T-Bill futures as a hedging tool.
Action required: Ensure compliance with the amended Directions, particularly the cash settlement mechanism and auction-based final settlement price.
Action required: Coordinate with exchanges and depositories to understand the operational aspects of trading and settlement for the new contract.
Action required: Train treasury and risk management teams on the features and pricing of the 91-Day T-Bill futures contract.
Owner: ____________ Target date: ____________
Board/committee approval needed? Y / N
Evidence filed in compliance register on: ____________
Built only from this circular’s own published fields — not legal advice; always confirm against the official RBI source.
💬 Banker Discussion
Discuss this circular with fellow bankers — reply, upvote what helps, report what doesn’t belong. Be professional; no client data. Views are the commenter’s own, not BankPulse’s.
BankPulse Compliance Evidence Pack — generated 03 Aug 2026 · status cross-checked against RBI’s official withdrawal register (refreshed weekly). Official RBI source: https://www.rbi.org.in/Scripts/NotificationUser.aspx?Id=6276&Mode=0 — Plain-English summary by BankPulse (bankpulse.ai), reviewed by our expert reviewer, CA Amit Jain. Independent platform, not affiliated with the Reserve Bank of India; is our own plain-English paraphrase, not RBI’s original wording.
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