FIMMDA unveils SORR-based OIS plan, invites comments by December 15

FIMMDA has released a proposed settlement and trading framework for a new SORR-linked OIS product, aligning with the shift to secured benchmarks, and has invited market feedback by December 15

The Fixed Income Money Market and Derivatives Association of India (FIMMDA) on Tuesday proposed the settlement framework and market conventions for a new Overnight Indexed Swap (OIS) product using the secured overnight rupee rate (SORR) as the floating rate benchmark. The association has invited feedback on the proposal by December 15.

 

The SORR-OIS will be a standard interest rate swap, with SORR as the floating rate, observed daily, compounded and paid at an agreed frequency, similar to the existing Mumbai inter-bank offered rate (MIBOR) OIS product.

 

The SORR-OIS will have a T+1 start date and can be traded both between banks as well as between banks and their clients. Trading hours for the swap product will be 9:00 am to 5:00 pm, Monday to Friday. For swaps maturing within one year, the net difference between fixed and floating legs will be settled annually or at maturity. For swaps beyond one year, settlement will be semi-annual, with net cash flows exchanged bilaterally or through the Clearing Corporation of India (CCIL).

 

FIMMDA has proposed that the notional amount and maturity of the swap will be mutually agreed, with a minimum interbank notional of Rs 5 crore. Standard interbank tenors will range from one month to nine months, and one year to ten years.

 

The Reserve Bank of India’s MIBOR committee, in a report published on October 1, 2024, had suggested that the Financial Benchmarks India Limited (FBIL) may develop and publish a benchmark based on the secured money market. Later, based on the recommendations of the MIBOR committee and the feedback received, and aligned with market dynamics, it was proposed to establish SORR, a secured money market-based benchmark, encompassing both basket repo and triparty repo (TREP).

 

From July 7, the FBIL had started publishing the rate on its website.