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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
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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 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
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