Informist, Tuesday, Jul. 8, 2025

--FBIL releases methodoloy for calculating secured overnight rupee rate

--FBIL: Secured overnight rupee rate for Monday was 5.16%

--FBIL starts publishing secured overnight rupee rate

NEW DELHI – Financial Benchmarks India Pvt. Ltd. has released a methodology for calculating the Secured Overnight Rupee Rate and has also started publishing the rate on its website. The Secured Overnight Rupee Rate for Monday was 5.16%, according to FBIL.

In December, the Reserve Bank of India had proposed to introduce a new benchmark, the Secured Overnight Rupee Rate, or SORR, to further develop the interest rate derivatives market and improve the credibility of interest rate benchmarks. In October, the committee on the Mumbai Interbank Offered Rate, or MIBOR, benchmark recommended that FBIL construct a new overnight market benchmark based on secured money market rates.

The benchmark rate will be published by 1245 IST every day, except Saturdays, Sundays and local Mumbai holidays, on FBIL's website. However, the benchmark dissemination time will get suitably extended if there is any time extension due to non-fulfilment of threshold criteria, as per the approved methodology. In case of extension of time, it will be published by 1300 IST or 1315 IST.

For computation of the benchmark rate, all basket repo and triparty repo trades, executed in the first three hours of trading between 0900 IST and 1200 IST, will be considered and the tenor which will be used is the overnight or the applicable tenor for Mumbai business days, excluding Saturday, FBIL said.

Only trades of INR 50 million and above will be considered for calculation of the benchmark rate. Moreover, a minimum of 25 trades with aggregate traded value of INR 50 billion will be the threshold criteria for computation of the benchmark rate. Both the threshold criteria, after combining the basket repo and triparty repo trades, are required to be fulfilled, FBIL said.

Further, only the trades which will be settled on T+0 basis will be included for the purpose of benchmark computation. "If the threshold criteria are met, volume-weighted mean rate and standard deviation of rates will be computed for all the trades (rounded off to four decimal places)," it said. "Traded rates falling in the range of volume weighted mean +/- 3SD (standard deviation) will be considered for computation and traded rates which are outside the range will be removed as outliers." Thus, volume weighted mean rate of the surviving trades, after removal of the outliers, will be the benchmark Secured Overnight Rupee Rate.

In case both the threshold criteria for trade are not met, the time frame for computation of rates will be extended by 15 minutes first and if both the threshold criteria are still not met, then by another 15 minutes, it said. If the threshold criteria are not met even after two-time extensions, the previous working day's benchmark Secured Overnight Rupee Rate will be repeated, being the fallback provision. End

Reported by Pratiksha

Edited by Tanima Banerjee

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