FBIL Benchmarks

FBIL announces the benchmark rate for Overnight Mumbai Interbank Outright Rate (MIBOR) on a daily basis, except Saturdays, Sundays and local holidays. The benchmark rate is calculated based on the actual call money transactions data obtained from the NDS-call platform of Clearing Corporation of India Ltd (CCIL). The CCIL acts as the Calculating Agent. The rate is announced at 10.45 AM every day. However, if the time is extended due to non-fulfillment of threshold criteria, the dissemination time may get suitably extended.

FBIL announces the benchmark for Market Repo Overnight Rates (FBIL- MROR) on a daily basis, except Saturdays, Sundays and local holidays. The benchmark rate is calculated based on the Basket Repo trades executed on the Basket Repo segment on the CROMS Platform of Clearing Corporation of India (CCIL) in the first hour of trading between 9.00 AM to 10 AM. The CCIL acts as the Calculating Agent. The rate is announced by 10.45 AM every day. However, if the time is extended due to non-fulfillment of threshold criteria, the dissemination time may get suitably extended.

FBIL has developed the FBIL-MROR, as a new benchmark for near risk free rate for the money market. The publication of MROR commences from 12th December, 2017.

FBIL announces the benchmark rates for Term MIBOR for three tenors of 14-day, 1-month and 3-month on a daily basis except Saturdays, Sundays and public holidays. The benchmark rates are determined through a polling-based submission by the participating banks and Primary Dealers [PDs] out of the FBIL's list of identified submitters. The CCIL acts as the Calculating Agent. The rates are announced at 11.45 AM every day. However, if the rate submission time is extended due to non-fulfillment of threshold criteria, the dissemination time may get suitably extended.

FBIL has taken over the publication of Reference Rates from RBI with effect from July 10, 2019. FBIL is publishing the USD/INR, EURO/INR, GBP/INR and JPY/INR Reference Rates on a daily basis on all Mumbai business day at around 13.30 hours. FBIL computes and publishes the USD/INR, EURO/INR, GBP/INR and JPY/INR Reference Rates using the transaction level data available on the electronic trading platforms.

A 15-minute random window is selected between 11.30 a.m. and 12.00 noon for the computation of USD/INR Reference Rate (USD/INR) based on the data in respect of the actual spot US dollar/Indian rupee transactions taking place on electronic platforms on each business day. Normally, the data are sourced from the electronic platforms of Thomson Reuters and CCIL. A +/- 3 Standard Deviation rule is applied to the transaction data to remove the outliers. The Reference Rate is set equal to the volume-weighted average of the surviving transactions, after the removal of the outliers.

Cross currency reference rates for INR/ 1 EUR, INR/ 1 GBP, INR/100 JPY are calculated using the USD cross-currency quotes in the selected 15-minute window

FBIL announces the benchmark rates for US Dollar - Indian Rupee Forward Premia for Overnight and from 1 month to 12 months tenor on a daily basis except Saturdays, Sundays and public holidays. The benchmark rates are determined based on the USD/INR transactions data reported upto 3 PM on the CCIL platform. For calculation of Overnight rate, the Cash-Tom transactions upto 12 noon are used. The Rolling Forward Premia in rupees and percentage term are calculated from the month-end forward transactions and the rolling forward transactions.

The MIFOR ( Mumbai Interbank Forward Outright Rate) for Overnight, 1 month, 2 months, 3 months, 6 months and 12 months tenor is calculated using the rolling forward premia in percentage term and the USD LIBOR for the relevant tenor. MIFOR is published upto two decimal points. The CCIL is the calculating agent. The USD/INR rolling forward rates are published by 4.15 PM, and the MIFOR is published by 5 PM subject to availability of LIBOR.

FBIL announces the benchmark rates for Treasury Bills (FBIL-TBILL) on a daily basis except Saturdays, Sundays and public holidays at 5.30 PM. FBIL has developed the FBIL-TBILL, a new benchmark for the money market based on Treasury bills traded in the market. FBIL-TBILL is announced for seven tenors of 14 days, 1 month, 2 months, 3 months, 6 months, 9 months and 12 months. FBIL-TBILL is calculated on the basis of secondary market trades executed and reported up to 5 PM on the NDS-OM Platform. All trades having a value of Rs.5 crores and above and a minimum of three trades in each tenor are considered for calculating the benchmark for each tenor. If there are less than 3 trades in a particular tenor, the data is augmented by including the executable orders on the NDS –OM Platform. The CCIL is the Calculating Agent.

FBIL announces the benchmark rates for Certificates of Deposit ( FBIL-CD) on a daily basis except Saturdays, Sundays and public holidays at 5.30 PM. FBIL has developed the FBIL- CD, a new benchmark for the money market based on traded CDs reported on the FTRAC platform of CCIL up to 5 PM. FBIL-CD is announced for seven tenors of 14 days, 1 month, 2 months, 3 months, 6 months, 9 months and 12 months. All trades having a value of Rs.5 crores and above and a minimum of three trades in each tenor are considered for calculating the benchmark for each tenor. In the event of the threshold criteria not being met for any tenor, the benchmark rate thereof is calculated using the FBIL- TBILL rates for that tenor plus a spread. The CCIL is the Calculating Agent.

FBIL announces the benchmark rates for MIBOR-OIS for tenors from 6 months to 5 years on a daily basis except Saturday, Sunday and public holidays. The benchmark rates for 6 months, 9 months, 1 year, 2 years, 3 years, 4 years and 5 years tenors are calculated based on the MIBOR-OIS transactions data reported to the CCIL upto 5 PM. The rate for each tenor is calculated as the volume weighted average rate of the surviving trades after removing the outliers. The rates are published upto two decimal points. The CCIL is the calculating agent. The rates are published by 5.45 PM.

FBIL announces the benchmark matrix of FC-Rupee Options Volatilities for five tenors of 1- week, 1-month, 3-month, 6-month and 12-month on a daily basis except Saturdays, Sundays and public holidays. The matrix is determined on the basis of data obtained through a poll among participating banks out of FBIL's list of identified submitters. The CCIL acts as the Calculating Agent. The matrix is announced at 6 PM every day. However, if the rate submission time is extended due to non-fulfillment of threshold criteria, the dissemination time may get suitably extended.

In terms of Reserve Bank of India announcement dated February 7, 2018 the benchmark administration activities relating to the valuation of Government of India Securities (G-Sec) and State Development Loans (SDL) have been taken over by Financial Benchmarks India Pvt. Ltd from FIMMDA with effect from March 31, 2018. So far, the benchmark yield-to-maturity (YTM)/price/par yield curve in respect of G-Sec and SDL for their periodic valuation were being calculated and published by FIMMDA as per the methodology available on FIMMDA website.

With effect from March 31, 2018, FBIL publishes the following G-Sec and SDL valuation benchmarks on all Mumbai business days (i.e., excluding Saturday, Sunday and Holidays in Mumbai) by 7 PM. based on the extant methodology with FIMMDA as the Calculating Agent.

  • 1. FBIL Prices/ YTM for G-Sec, FRBs, IIBs and Par Yield Curve
  • 2. FBIL Prices/ YTM for SDL.
  • 3. FBIL Prices/ YTM for Special Securities and UDAY bonds.
  • 4. FBIL Prices/ YTM for STRIPS and ZCYC.

SDL VALUATION

Effective from March 31, 2018, FBIL took over the publication of prices/ YTM of SDL from FIMMDA. The valuation prices/YTMs were calculated as per the master circular of RBI on valuation of investment, dated July 1, 2015. However, in a recent modification of its policy in this regard, RBI directed that FBIL may publish the prices/YTM of all SDLs based on the actual /observed prices in the market.

Accordingly, with effect from April 15, 2019, FBIL is publishing the valuation of SDL based on a revised methodology. The methodology essentially makes use of the entire days’ transactions in SDL for arriving at the Volume Weighted Average Yield of the SDL. Further, a concept of tenor wise Market Yield Movement(MYM) and interpolation/ extrapolation techniques are used for publishing the prices/YTMs of SDLs not traded on that day.

UDAY/DISCOM bonds/securities issued by the State Governments will be valued at par with SDL