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Examination Objectives:

On successful completion of the examination the candidate should:

  • Know the basics of fixed income securities markets and specifically interest rate derivative markets in Indian and developed world.
  • Understand the analytical framework required for Bond Futures market in India along with trading and hedging strategies involved
  • Understand the clearing, settlement and risk management as well as the operational mechanism related to interest rate derivatives markets
  • Know the regulatory environment in which the interest rate derivatives markets operate in India.


Test Details:


Name of Module: NISM-Series-IV: Interest Rate Derivatives Certification Examination

Fees (Rs.) Test Duration (in minutes) No. of Questions Maximum Marks Pass Marks* (%) Certificate # Validity (in years)
1500+ 120 100 100 60 3


NISM Interest Rate Derivatives Syllabus


I. Fixed-income or Debt Securities – Introduction

A. Financial Markets: Overview

B. Debt/ Fixed-income Securities : Introduction

C. Debt/ Fixed-income Securities : Classification

D. Fixed-income Securities vs. Fixed-return Securities

E. Debt Securities vs. Equity Securities

F. Relative Size of Debt and Equity Markets: Globally and in India

II. Interest Rate – Introduction

A. Concept of Interest Rate

B. Risk-free Interest Rate vs. Risky Rate

C. Term Structure of Rates: Shapes

D. Term Structure of Rates: Shifts

E. Conversion of Rate into Amount

F. Accrued Interest

III. Return and Risk Measures for Debt Securities

A. Return Measure: Spot Rate

B. Coupon, Current Yield and Yield-To-Maturity

C. Spot rate, Bond price and YTM

D. Risk Measures

IV. Interest Rate Derivatives

A. Derivatives: Definition and Economic Role

B. Interest Rate Derivatives

C. Over-The-Counter (OTC) vs. Exchange-Traded Derivatives

D. Derivatives Market in India

V. Contract Specification for Interest Rate Derivatives

A. Underlying Assets of Permissible Interest Rate Derivative Contracts in India

B. Market Lot / Contract Amount

C. Contract Months, Expiry Dates and Last Trading Day of Exchange Traded Derivatives

D. Price Quotation and Tick

E. Daily Settlement Price

F. Final Settlement Price

G. Delivery Aspects of Interest Rate Derivatives Contracts

VI. Trading, Clearing, Settlement and Risk Management

A. Operational Guidelines of Exchanges

B. Order Types and Execution

C. Spread Orders

D. Margining and Mark-To-Market (MTM)

E. Clearing and Settlement

F. Procedure for Delivery

VII. Regulations and compliance

A. Role of Various Regulators in Bond and Interest Rate Derivatives Market

B. Restrictions and Limits Applicable to Resident and Non-resident Investors

C. List the Regulatory Reporting Requirements

D. Accounting Aspects of Interest Rate Derivatives

VIII. Trading and Hedging

A. Speculative / Trading Strategies

B. Hedging Strategies

C. Basis Risk, Yield Curve Spread Risk and Market Liquidity Risk