The Clearing Corporation of India Ltd (CCIL) on March 11, 2024, notified regarding the Introduction of delayed payment of 2 (two) business day for settlement of Rupee Interest Rate Swap trades referenced to Modified MIFOR (MMFOR) benchmark.
The CCIL shall be introducing two business day pay delay as a standard convention for all Interest Rate Swaps trades referenced to Modified MIFOR (MMFOR) benchmark reported by Members of Rupee Derivative Segment and Rupee Derivatives (Guaranteed Settlement) Segment.
The implementation of pay delay shall be applicable to all MMFOR trades outstanding as on April 15, 2024 and to all new trades entered into after this date in the following manner:
• The actual settlement date of each cash flow shall be arrived at by adding two business days to the cash flow date (coupon payment date) of Interest Rate Swap trades referenced to Modified MIFOR (MMFOR) benchmark. The actual settlement date shall follow INR (Mumbai) holidays based on ‘FOLLOWING’ business day convention. USD (New York) holiday shall not be considered for arriving at the actual settlement date.
• The cash flow dates for all the outstanding (guaranteed and non-guaranteed) MMFOR trades in CCIL’s records and new MMFOR trades reported by members, falling on 16th Apr 2024 or any subsequent date shall be shifted by two business days. This shall also include all the transitioned trades (converted from MIFOR to Modified MIFOR) which are outstanding in CCIL's records.
• There shall be no change in the existing logic of computation of cash flow dates (coupon payments dates), their corresponding reset dates (fixing dates) and the cash flow amounts for such trades.
• Further, there shall be no change in the format of the IRS trade reporting message structure used for reporting trades to CCIL.
• “Pay Delay” will be introduced for all Modified MIFOR trades effective from April 16, 2024.
[Notification No.: CCIL/DRV/IRS/0324/07]
