IRS and FRA
CCIL 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 Benchmark with residual maturity of less than equal to 5 years are eligible for guaranteed settlement.
Trades 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.
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.