With reference to BSE Circular No. 20190415-26 dated April 15, 2019, regarding introduction of Futures Contracts on Overnight Call rate (MIBOR), Members of Indian Clearing Corporation Ltd (ICCL) are hereby informed that the Clearing & Settlement and Risk Management framework for Futures contracts on overnight call rate (MIBOR) will be as follows:
Part A: Clearing & Settlement
1. The contracts will be settled in cash in Indian Rupee (INR).
2. The present funds settlement procedure in the Currency Derivatives segment will be applicable for these contracts also. The clearing member level net settlement obligations settled in the currency derivatives segment will also include obligations for overnight call rate (MIBOR) futures.
3. The Daily mark-to-market of MIBOR Futures contracts will be on T +1 day basis as per the timelines specified by ICCL.
4. The expiry / last trading day for the contract will be the last working day of the month. If any expiry day is a trading holiday, then the expiry/ last trading day will be the previous trading day. For expiring futures contract – the market timing on last trading day will be upto 10:00 am and custody confirmation end time will be till 10:30 am.
5. The Final Settlement will be on T+1 day basis as per the timelines specified by ICCL.
6. The Daily settlement rate will be volume weighted average rate of trades done
• In last 30 minutes of trading, subject to min 5 trades else
• In last 60 minutes of trading, subject to min 5 trades else
In the absence or non-fulfilment of the above, theoretical settlement rate will be considered for computation of Daily Settlement Value.
7. The Final Settlement Rate will be simple average of Overnight Call Rate (MIBOR) applicable for the expiry month (based on Overnight MIBOR rate published daily at 10:45 am by FBIL and rounded up to 4 decimals). In case there is a holiday, the rate will be considered for more than one day. For all computation purpose Saturday and Sunday will be considered as holiday.
Part B: Margins
Initial Margin
The Initial Margin requirement shall be based on a worst scenario loss of a portfolio of an individual client across various scenarios of price and volatility changes. The Initial Margin requirements is set so as to provide coverage of at least a 99% single-tailed confidence interval of the estimated distribution of future exposure over a one-day time horizon. The Initial Margin shall be collected on an upfront basis by adjusting against the total liquid assets of the Clearing Member at the time of trade.
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Particulars
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PSR (sigma)
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Minimum Initial Margin (%)
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MIBOR Futures
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3.5
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5
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Extreme Loss Margin
The extreme loss margin is deducted from the liquid assets of the Clearing Member on an online, real time basis.
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Particulars
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Extreme Loss Margin (%)
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MIBOR Futures
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1
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Calendar Spread Margin
A MIBOR futures position at one maturity which is hedged by an offsetting position at a different maturity shall be treated as a calendar spread. The Calendar Spread Margin shall be charged in addition to the worst-scenario loss of the portfolio. The benefit for the calendar spread shall continue till the expiry of the near month contract.
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Particulars
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Calendar Spread Margin
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1 month
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2 months
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3 months and above
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MIBOR Futures
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INR 6,500
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INR 7,000
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INR 7,500
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Additional Margins
ICCL may require clearing members to pay additional margins as may be decided from time to time. This shall be in addition to the aforementioned margins, which are or may have been imposed from time to time.
All other norms/guidelines pertaining to currency & interest rate derivatives would remain unchanged.
For any clarifications, Members may contact their respective Relationship Managers or any of the following officials:
For and on behalf of the Indian Clearing Corporation Limited
Piyush Chourasia Hitesh Shah
Chief Risk Officer & Head – Strategy DGM
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