18:29 Apr 30, 2017
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1.    Introduction:

CCIL has, with effect from 28th March, 2014commenced CCP clearing for IRS trades referenced to the MIBOR and MIOIS benchmark.

 

CCIL, under Rupee Derivatives Dealing Segment of its subsidiary, Clearcorp Dealing Systems India Limited (CDSL), has launched a dealing platform (hereinafter called ASTROID- Anonymous System for Trading in Rupee OTC Interest Rate Derivatives) for Rupee Derivative Trades referenced to the MIBOR (O/N) benchmark. The trades dealt on the ASTROID are eligible for CCIL’s clearing and settlement services in accordance with Bye-laws, Rules and Regulations of Rupee Derivatives Guaranteed Settlement Segment.

 

2.    Membership:

All members of the Rupee Derivatives Guaranteed Settlement Segment are eligible to seek membership to Rupee Derivatives Dealing Segment of CDSL subject to completion of documentation formalities. The trading activities on ASTROID is governed by Bye-laws and Rules of CDSL and Regulations of Rupee Derivatives Dealing Segment.

 

3.    Product Features:

The following parameters shall be applicable for trading on ASTROID.

 

           a)   Session Parameters:

          The System is available for trading from 9.00 a.m to 5.00 p.m on all working days from Monday to Friday.

 

           b)   Market Information Parameter:

Market Movement Interval in Minutes: 60 minutes.

 

           c)   Order  Parameters:

          Minimum Lot size: Rs.5 crores and in multiples of 5 crores thereof.

          Tick size: 0.0025 (%)

          Minimum Disclose Quantity (DQ): 25 (%)

 

 

Details of Instruments available for trading:

 

Instrument Name

Instrument Category

Tenor

Coupon  Frequency

No of Settlement dates

OIS1M

Rolling Maturity

1M

Bullet

1

OIS2M

Rolling Maturity

2M

Bullet

1

OIS3M

Rolling Maturity

3M

Bullet

1

OIS6M

Rolling Maturity

6M

Bullet

1

OIS9M

Rolling Maturity

9M

Bullet

1

OIS1Y

Rolling Maturity

1Y

Bullet

1

OIS2Y

Rolling Maturity

2Y

Semi annual

4

OIS3Y

Rolling Maturity

3Y

Semi annual

6

OIS4Y

Rolling Maturity

4Y

Semi annual

8

OIS5Y

Rolling Maturity

5Y

Semi annual

10

OIS7Y

Rolling Maturity

7Y

Semi annual

14

OIS10Y

Rolling Maturity

10Y

Semi annual

20

 

 

           d)   Other Parameters:        

                 i. The Rate Band set by CDSL shall be fixed at 100 bps. A member shall not be allowed to place an order violating the CDSL Rate Band, with the lower and upper band computed w.r.t the previous day’s closing rate.

                 ii. A deal ticket generation option shall be provided. 

                 iii. All holidays declared on the trading platform shall be communicated separately.

                 iv. Trades concluded on the trading platform will be taken automatically for guaranteed settlement. These trades need not be reported separately.

                 v. Day Count Fraction: ACT/365

                 vi. Business Day Convention: MODIFIEDF.

                 vii. Market By Order (MBO): Displays best five Bid and Offer side orders based on price time priority.

                 viii. Market By Rate (MBR): Displays the best five outstanding Bid and Offer rates and the cumulative quantity of one or more orders at each best price.

                  ix. Market Inquiry: Displays the market summary.

                  x.Total Trades: Displays the value and rate of all trades executed in the market.

       

Reports:

 The following reports are available on the Rupee Derivatives Dealing System:

    i.        Market Movement Report - pdf

   ii.        Market Report - pdf

  iii.        Trade Report- All Instruments-pdf and csv.

 

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