G-Sec Valuation

FBIL publishes on a daily basis, on all Mumbai business days, the prices/YTM for Government of India Securities(G-sec) and State Development Loans(SDL) with effect from March 31, 2018. The rates are announced around 7 PM. The valuation rates for G-sec based on the extant methodology are computed sourcing transaction level data from NDS-OM electronic platform and using the cubic spline model. The SDL valuation methodology was revised and implemented from April 15, 2019. The valuation rates of SDLs are computed based on the transaction level data on SDL and interpolation/extrapolation methods. Uday/ Discom bonds issued by the state governments are valued at par with SDL. FIMMDA acts as the Calculating Agent.

The following benchmarks are published:

  • FBIL Prices/ YTM for G-Sec, including FRBs and IIBs.
  • FBIL Par Yield Curve.
  • FBIL Prices/ YTM for Special Securities/ Uday /Discom bonds.
  • FBIL Prices/ YTM for STRIPS and ZCYC.
  • FBIL Prices/ YTM for SDL.

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[FBIL does not authorize commercial use of the data available in its website without written permission]

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