FBIL Benchmarks

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 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.