IND FIA Market Conventions Revision

On Jul. 24, IND FIA wrote about modified forward offer rate trades.

  • IND FIA wrote regarding the decision to introduce 2 business day pay delay for all coupon payments for modified Mumbai interbank forward offer rate (MIFOR) trades.
  • Follows IND FIA Dec. 2021 issued conventions of MIFOR, modified MIFOR, #124381.
  • Decision
  • In partial modification of Dec. 2021 circular (#124381), a 2 business day pay delay in all coupon payments in all trades of modified MIFOR is being introduced as a standard market convention; said market participants are advised to take note of the same.
  • Market participants are also to capture the same in trade confirmation appropriately.
  • IND FIA said the effective date of this modification will be notified in due course.
  • Jan. 2024 Effective Date
  • On Jan. 30, 2024, IND FIA announced effective date of the change is Apr. 16, 2024.
  • The new convention applies to all modified MIFOR trades initiated from Apr. 16, 2024, it also applies to all outstanding modified MIFOR trades as of Apr. 15, 2024.
  • Existing trades require the execution of a multilateral amendment agreement (MLA).
  • Market participants are advised to incorporate the modified convention in trade confirmations for fresh trades, counterparties with existing trades shall execute MLA.
  • Mar. 2024 Rupee Derivatives Segment
  • On Mar. 12, 2024, IND FIA published notice re INR derivatives segment dated Mar. 11.
  • Introduces a 2 business day delay for settlement of INR interest rate swap trades.
  • Each cash flow's actual settlement date will be 2 business days after cash flow date (coupon payment date), excluding USD holidays but considering INR holidays.
  • The changes will be reflected in members' IRS obligation reports and IRIS platform.
  • Cash flows for MMFOR swaps will now be discounted from cash flow settlement date.
  • Implementation of pay delay shall be applicable to all MMFOR trades outstanding as on Apr. 15, 2024 and to all new trades entered into after this date, in the manner outlined.
  • Pay delay will be introduced for all modified MIFOR trades effective from Apr. 16, 2024.

Regulators IND FIA
Entity Types B/D; Exch; IA; Inv Co
Reference Nt CCIL/DRV/IRS/0324/07, 3/12/2024; Cir FIMCIR/2023-24/38, 1/30/2024; Cir FIMCIR/2023-24/16, 7/24/2023
Functions Compliance; Financial; Operations; Trading
Countries India
Products Derivatives; Fixed Income; Fund Mgt; Securities
Regions AP
Rule Type Final
Rule Date 7/24/2023
Effective Date 4/16/2024
Rule Id 180316
Linked to Rule :124381
Reg. Last Update 3/12/2024
Report Section International

Last substantive update on 03/14/2024