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Informist, Tuesday, Nov. 25, 2025

 

NEW DELHI – The Fixed Income Money Market and Derivatives Association of India Tuesday, in consultation with market participants, put forth the settlement basis and market conventions for an Overnight Indexed Swap product using Secured Overnight Rupee Rate as the underlying floating rate benchmark. The organisation has sought feedback and comments on the same by Dec. 15. 

 

The SORR-OIS product will be an independent fixed or floating interest rate swap, with SORR being the floating rate index, observed daily and compounded and paid at agreed frequency, on the lines of the existing Mumbai Inter-Bank Offered Rate-OIS product, it said. In December last year, the Reserve Bank of India had proposed to introduce a new benchmark, the SORR, to further develop the interest rate derivatives market and improve the credibility of interest rate benchmarks. 

 

In October 2024, the committee on the Mumbai Interbank Offered Rate, or MIBOR, benchmark recommended that Financial Benchmarks India Pvt. Ltd. construct a new overnight market benchmark based on secured money market rates. From Jul. 7, the FBIL had started publishing the rate on its website.  

 

The swap product will be of a T+1 start date and will be used to deal between banks as well as between banks and clients. The notional amount and maturity date under the swap product will be mutually agreed and the minimum notional amount for interbank transactions will be INR 50 million, FIMMDA said. The standard interbank tenors for the product will range from one-month to nine months and one-year to 10 years.

 

The trading hours for the swap product will be 0900-1700 IST from Monday to Friday. Further, net difference between fixed and floating rate legs of SORR-OIS trades up to one year will be settled annually or on maturity of the swap, it said. Swaps with maturity beyond one year will be settled semi-annually while the difference between cashflow on fixed and floating legs will be net exchanged, either bilaterally or through the Clearing Corp. of India Ltd. 

 

For interest rate calculation, the fixed leg of the swap will be based on nominal quoted rate while the floating leg will be based on daily compounding on Mumbai business days. All SORR-OIS transactions will be reported to the CCIL trade repository as per requirements of the RBI's Rupee Interest Rate Derivatives (Reserve Bank) Directions, 2019. End

 

Reported by Pratiksha

Edited by Akul Nishant Akhoury

 

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