CCIL offers CCP (Central Counterparty) clearing for Rupee Interest Rate Swaps (IRS) and Forward Rate Agreements (FRA).
Instruments covered under IRS and FRA are Interest Rate Swap – Fixed/Floating Swaps referenced to MIBOR and MIOIS benchmarks with maximum maturity of 10 years and Forward Rate Agreements with maximum maturity of 10 years.
Interest Rate Swap- Fixed/Floating referenced to Modified MIFOR (MMFOR) benchmark with maximum residual maturity of 5 years.
CCIL as a CCP offers following services for IRS/FRA Trades.
Trade Processing Services
Validation: Deals reported by members are subjected to technical and business validation checks. Deals which pass through the validation checks successfully, are accepted for matching else the deals get rejected which are communicated to the concerned members with the rejection reason in the form of report.
Matching: Upon successful validation checks, the deals reported from the parties to the trade are taken up for matching based on pre-defined parameters. The resultant trade is assigned a Trade Id.
Amendment: Modifications to the existing deal can be carried out in terms of an amendment. The amendment would be required to make reference to the original deal. If the underlying is a matched trade, then both members to the contract are required to send the amendment.
Cancellation: New deals as well as subsequent amendments reported by members can be cancelled and such cancellation is accepted upon submission of cancel request by both the members to the trade.
Early Termination (Reversals): Both members may also resort to early termination of deals by reporting reversals. Such reversals would be reported either with or without consideration.
Settlement Services
CCIL receives details of trades reported by members in a prescribed format. Trades are validated and matched. Matched trades with status as “Passed Exposure” are eligible for settlement through CCIL on a guaranteed basis if both the counterparties have availed the facility of guaranteed settlement.
CCIL arrives at the settlement obligation of each member through multilateral netting across all trades of members. The final settlement obligation is made available to all members at EOD of the previous business day. This report would be the basis for settlement.
On the day of the settlement, the settlement file is sent to RBI for settlement through RTGS at around 12 noon.
Banks and Primary Dealers– Such entities can enrol themselves as Direct Members (Self-Clearing Member) for both MIBOR and Modified MIFOR benchmarks.
Institutional Entities e.g. Mutual Funds, Insurance Companies, Housing Finance Companies, Pension Funds, etc.- who are maintaining SGL (Subsidiary General Ledger) with RBI, can enrol themselves as direct members, subject to their sectoral Regulators approval and settle their INR leg using services of a Designated Settlement Bank (DSB). (Only for MIBOR benchmark)
Non-Retail Entities e.g. Corporates, FPI (Foreign Portfolio Investors) Such entities may join as Constituent via Clearing Member Model in Rupee Derivatives Segment. (Only for MIBOR benchmark)
Entities permitted by the Reserve Bank of India to enter into Rupee Derivatives Trades and satisfy the relevant membership eligibility criteria of Clearing Corporation.
(For further information on eligibility, please check the Membership tab)
There are two types of members in the IRS Guaranteed segment:
Self-Clearing Members (SCM) – SCMs are Direct Members of the IRS Guaranteed Segment who are permitted to clear and settle its own proprietary trades and are termed as Self Clearing Members.
Clearing Members (CM) – CM is a member of IRS Guaranteed Segment of Clearing Corporation who is permitted to clear its own proprietary trades as well as trades of its Constituents.
Reporting through Deal Utility: Members have been provided with a Deal Reporting Utility. This Utility (exe) is available on CCIL's Report Browser which can be downloaded by the member on the PC having INFINET connection. This utility helps members to create IRS deals in a standardized format for matching and further processing. Members are provided with an option to manually input a deal or use the bulk file upload option using this utility.
Reporting through CORE: Members can report the deals through online reporting tool (CORE) after logging to Core application. Members need to input the deal parameters and then they need to submit the deals.
As per RBI’s guidelines, an IRS deal needs to be reported to CCIL within 30 minutes from the deal execution time.
Yes. A member can report a deal done with old trade date. However, the termination date of such swap should be greater than the date of reporting the trade to CCIL.
Yes. Members can customize their own internal systems to generate the IRS deal in the standardized format as prescribed by CCIL for processing.
CCIL undertakes processing of IRS trades of 3 Benchmarks namely MIBOR, MMFOR (Modified MIFOR) and MIOIS.
As per RBI’s directive (RBI/2007-2008/122 IDMD/11.08 15/809/2007-08 dt. 23-Aug-2007), an IRS deal should be reported to CCIL within half an hour of the trade concluded between members. Further, members should also note that CCIL can process the deals on daily basis on all working days (except Saturday and Sunday) till 6.00 pm (unless otherwise notified). Deals reported after 6:00 pm are taken up for processing on the next working day. Click on this link to view the RBI Notification in this regards.
Yes. Members are allowed to amend / cancel / early terminate their trades subject to submission of the request to CCIL by both the members to the trade. Member has the option of manually creating the amend /cancel or reversal deal.
No. A Trade can not be Amended / Cancelled / Reversed on the Cash Flow or Termination date.
Matched deals report.
Alleged deals report.
Unmatched and rejected deals report.
Besides the above, members of the guaranteed settlement are provided with additional reports like the EOD Trade Status Report, Settlement Obligation Reports- Interim and Final, Reset Rates Report, Change in Cash Flow Dates Report, etc.
Clearing Member (CM) is a Member who is permitted to submit its Proprietary Trades and its Constituents’ Trades for clearing and settlement to Clearing Corporation. The Clearing Member Structure has been introduced for both, trades dealt on ASTROID Dealing platform and trades concluded bilaterally in INR IRS segment. Members desirous of becoming a CM under the IRS Guaranteed Segment are required to submit an undertaking stating that CM shall undertake full responsibility for clearing of all trades of its Constituents in IRS Guaranteed Segment and also undertake to fulfil the required margin contribution of its constituents in the IRS Guaranteed Segment.
Constituent means an entity or a person on whose instructions and on whose account the Clearing Member clears and settles Trades in the Rupee Derivatives (Guaranteed) Settlement Segment. Constituents shall avail the services of CCP clearing and settlement through Clearing Member(s) both for trades concluded bilaterally and dealt on the ASTROID Dealing platform.
There can be two types of Constituents.
Constituent User- An entity permitted to undertake Rupee Interest Rate Swaps as a User (e.g. FPI, Corporate, etc.).
Constituent Market Maker- A Market Maker (e.g. Banks) who wish to join as Constituent via a Clearing Member (CM).
Any Non-Retail Entities- like Corporates, FPI (Foreign Portfolio Investors) permitted to undertake IRS trades (based on RBI’s Guidelines) can become Constituent under Clearing Member in IRS Guaranteed Segment.
CCIL does not have any contractual relationship with any Constituents. It is the duty of the Clearing Member(s) to carry out due diligence towards all its constituents. Clearing Corporation shall rely on information received from a Clearing Member in relation to its constituents.
Collaterals to meet the margin requirements in IRS Guaranteed Segment should be in the form of eligible Government of India Securities (as notified by CCIL) and INR cash.
It’s the responsibility of Clearing Member to report deals undertaken by their constituents.
If the deal is between Clearing member and its own constituent, then reporting has to be done by the clearing member only and such deals will get auto matched (Unilateral Reporting from Clearing Member perspective).
If the deal is between a constituent and other market maker, then deal has to be reported by both the entities (Clearing member of the constituent and other Market Maker).
The CM can report their Constituents trades using the existing straight through process of FRS network (File Routing System) using the existing file format (in notepad) using .DRVTS file extension. The CM shall be required to download the latest version of IRS Deal Reporting Utility which is available over the CCIL Report Browser.
Critical Data Element 3 Field (CDE3) field will hold the reporting member’s id (i.e. Clearing Member ID) - If a CM is reporting trades on behalf of its own Constituents OR if the Clearing member is reporting its own proprietary trade done with his own Constituent (unilateral reporting), then the Clearing Member ID in the CDE3 field in IRS deal (the note pad file in .drvts format) is mandatory.
The CM is required to ensure that its Constituent deals are reported by them in timely manner (As per the reporting Guidelines i.e. within half an hour of the trade concluded between members).
Yes. A Constituent may avail services of multiple Clearing Members. The Clearing Member reporting the trade on behalf of the Constituent, shall also undertake the responsibility of providing margin and conducting settlement for such trades.
No. As per the existing RBI guidelines, one party to the IRS OTC trade has to be a market maker.
The settlement shall be carried out by the Clearing Member (CM). The position of the constituents shall be netted with the position of the clearing member and one consolidated position shall be provided to the clearing member. The CM is required to ensure that there are adequate funds in the RBI account on Settlement day when CCIL shall be carrying out its usual settlement process for IRS Guaranteed Settlement on Settlement day.
Settlement shortage, if any, shall be dealt as shortage of the clearing member. Hence, CM has to ensure that its account is funded adequately on the settlement day.
For trades dealt on ASTROID, no separate reporting shall be required. Such trades shall continue to flow to the settlement system with CCIL as the counterparty to the trade.
The CM shall be provided with the Reports over CCIL Report Browser and IRIS (Integrated Risk Information Systems) at regular intervals to track the status of deals. CCIL shall generate all the basic reports on CCIL Report browser like Matched Deals Reports, Unmatched and Rejected Deals Report, Alleged Deals, Settlement Obligation, Outstanding Trades Report, Stamp Duty reports for the respective Constituents of the Clearing Member. The reports can be downloaded by the CM from the CCIL Report Browser.
The settlement shall be carried out by the Clearing Member. The position of the constituents shall be netted with the position of the clearing members and one consolidated position shall be provided to the clearing member. CM shall ensure Settlement of the constituents’ trades. The CM shall also be provided with all the information with respect to its own and Constituent wise Settlement obligation Reports over CCIL Report Browser.
The settlement process will continue in the usual manner between CCIL and its direct members (CM and SCM).
The generation of settlement status report by CCIL and making it available to members in their Report Server is the time when CCIL informs the member of completion of settlement process. The information to members of completion of settlement on a normal week day may be expected around 2 p.m.
Operational FAQs
Please call on 022-66639424 / 022-61546471/74/75/78/79 or send us an email at irs@ccilindia.co.in stating the error message shown and the User ID.
Please send us an email at irs@ccilindia.co.in alongwith Core Id creation form for granting access rights. Kindly ensure that the email id of Head-Treasury Back Office/Head of Department and the email id of the official (whose Core Id needs to be created) are marked in such mails.
Please contact the respective department or send a mail to ithelpdesk@ccilindia.co.in / reportbrowsersupport@ccilindia.co.in along with any earlier day’s sample report.