IRS and FRA
launched CCP clearing of Rupee denominated IRS and FRA in March 2014. All
trades referenced to the MIBOR and MIOIS with original maturities ranging from
1 month to 10 years are eligible for guaranteed settlement. Trades referenced
to the MIFOR and MMFOR Benchmark with residual maturity of less than equal to 5
years are eligible for guaranteed settlement.
are reported in a prescribed format through the Deal Reporting Utility. The
trades are validated and matched. Matched trades (having both the counterparties
as members of INR IRS GS segment) are subjected to margin adequacy checks on an
online basis. Trades supported by adequate margin are guaranteed for
settlement. Trades not supported by margins (by either or both counterparties)
are kept “Pending” with daily margin check till 2 days prior to next cash flow
settlement date. Novation occurs at the point in time when the trade is
accepted for guaranteed settlement by CCIL.
arrives at the net settlement obligation arising out of cash flows due on the
trades of members accepted for guaranteed settled through multi-lateral
netting. The net settlement obligation is settled through the member’s current
accounts with RBI.