The Clearing Corporation of India Limited (CCIL) on September 04, 2026, issued revised requirements relating to the risk management process and margining methodology for the Forex Forward Segment, particularly with respect to the sourcing of Mark-to-Market (MTM) rates. The revised approach covers Initial Margin, Volatility Margin, MTM valuation and margin computation, Intraday MTM Margin, Concentration Margin, replenishment/rejection levels and margin shortfall.
For Initial Margin, VaR continues to be computed using 1,000 price scenarios comprising volatility-scaled historical returns and stressed unscaled returns, with VaR determined at a 99% confidence level over a five-day holding period. The methodology also provides for spread margin, minimum initial margin at 2% of the net currency position, and additional margin for weaker entities. Volatility Margin may be imposed where specified forward-rate movements breach the prescribed triggers, while Concentration Margin is levied at 15% or 20% of Initial Margin depending on the applicable threshold breach.
The revised MTM methodology specifies the use of the last qualifying inter-bank USD/INR spot trade on the Fx Clear platform, with Refinitiv rates used as an alternative where the primary rate is unavailable or considered an outlier. Margin calls are triggered when margin utilisation exceeds 90%, while further trades may be rejected if utilisation would exceed 95%. Margin shortfalls must generally be replenished within one hour of imposition, or by 9:00 AM on the next business day where identified during end-of-day revaluation. The revised approach will be effective from October 06, 2026.
[Notification No. RMD/FX-FF/26/32]
