The Clearing Corporation of India Limited (CCIL) on September 04, 2026, issued circular on Risk Management processes and Margining Methodology.
CCIL has revised its Risk Management Processes and Margining Methodology for the Rupee Derivatives Segment. The key changes relate to the source of forward premia used for deriving Modified MIFOR (MMFOR) swap rates for tenors below two years and the parameter used for USD/INR spot-rate inference.
For MMFOR, swap rates for one year and below will use USD SOFR OIS swap rates along with USD/INR forward premia inferred at market close from eligible bilateral trades reported to CCIL and trades executed on CCIL’s FX-clear platform. For two-year and longer tenors, End-of-Day Modified MIFOR swap rates published by FBIL will continue to be used.
The existing margin framework continues to include portfolio VaR at 99% confidence with a 5-day holding period, spread margin, minimum initial margins of 0.50% for 0–3 years, 1.00% for >3–5 years and 1.75% for >5 years, along with concentration, MTM, volatility and incremental MTM margins.
The revised methodology will become effective from October 6, 2026 and will supersede CCIL Notification No. RMD/DRVT/26/27 dated July 30, 2026.
[Notification No. RMD/DRVT/26/33]
