On Oct. 14, 2026, IND FBIL said it has updated the T-bill rates methodology with a view to enhancing its robustness, following consultation feedback.
The publication of T-bill rates, as per the updated methodology, will commence from Nov. 2, 2026.
On Jan. 19, IND FBIL proposed publishing VaR, revising T-bill curve methodology.
IND FBIL proposed commencing the publication of value-at-risk (VaR) benchmarks and revising the treasury bill (T-bill) curve methodology.
VaR Publication
Aims to take over VaR computation, publication from IND FXA, using standard historical simulation approach with 250 days of data, 10-day holding period, 99% confidence level for USD/INR forward positions of USD 1mn across 1, 3, and 6-month tenors.
The proposed VaR methodology uses IND FBIL’s USD/INR spot rate and rolling forward premia, calculates worst-case returns for both long and short positions, and plans daily publication around 5:15 pm IST with no fallback mechanism.
T-Bill Curve methodology
IND FBIL has reviewed the existing T-bill curve methodology to ensure alignment with current market dynamics and to improve representativeness of benchmark rates.
T-bill curve review proposes including constituent subsidiary general ledger (CSGL) deals alongside secondary market trades, citing increased CSGL volumes and convergence of CSGL yields with other secondary market yields.
IND FBIL proposes reclassifying tenor buckets based on narrower residual maturity bands to reduce reliance on interpolation and increase the use of actual traded data, particularly for intermediate tenors.
The revised T-bill methodology keeps a three-trade minimum per tenor, applies a 3 standard deviation outlier filter, and uses auction weighted average yields for 3, 6, and 12-month tenors when trade thresholds are not met.
Effectiveness
Comment period of the consultation closes on Feb. 10, 2026.
Oct. 2026 Methodology Revised
On Oct. 14, 2026, IND FBIL said it has updated the T-bill rates methodology with a view to enhancing its robustness, following consultation feedback.
The publication of T-bill rates, as per the updated methodology, will commence from Nov. 2, 2026.
