On Jun. 24, 2025, IND FBIL decided to revise 5th, 6th maturity buckets, which previously covered maturities of 30 to 34 years, and over 34 years respectively.
The 5th bucket will now cover maturities for a period of greater than 30 years to 38 years, and the 6th bucket will now cover maturities greater than 38 years.
These changes will take effect from Jul. 14, 2025.
On Aug. 30, IND FBIL sought feedback on draft methodology.
Issued draft government security (G-sec) valuation methodology for comment.
Consultation published Aug. 30, 2020; summary added to Reg-Track Oct. 28, 2020.
Also issued concept note on revision to G-sec valuation methodology, G-sec valuation data for quarters ended Jun. 2019, Sep. 2019, Dec. 2019, Mar. 2020 and Jun. 2020.
Background
Believes that a comprehensive review of the methodology will be in order in view of the change of the administrator of this important benchmark from FIMMDA to FBIL.
Following IND RBI decision that benchmark administration activities relating to the valuation of G-sec and SDL shall be transferred from FIMMDA to FBIL, see #42150.
Effectiveness
Comment period closes Sep. 25, 2020.
Nov. 2020 Feedback
On Nov. 15, 2020, IND FBIL said the queries and suggestions received in response to its consultation have been analyzed and issued its response to the comments.
Nov. 2021 Error Policy
On Nov. 26, 2021, IND FBIL said it has issued a consultation after framing the error policy for all the significant benchmarks including G-sec and SDL valuation.
FBIL is seeking feedback on materiality of errors threshold in respect of G-sec, SDL.
A detailed study has been carried out to assess the level of average changes in the G-sec YTMs over time to validate proposed error materiality threshold for error re-fix.
Comment period closes Dec. 11, 2021.
Dec. 2022 Revised Methodology
On Dec. 27, 2022, IND FBIL completed the revisions to the extant G-sec valuation methodology, software development for computation/publication of G-sec valuation.
IND FBIL also announced its intention to calculate and publish the G-sec valuation benchmark as per the revised methodology tentatively from Feb. 13, 2023.
A meeting with market participants to discuss the revised methodology including the new publication file formats and salient features has been scheduled for Jan. 3, 2023.
Comparison of GSEC YTMs, ZCYs, par-yields for Jul. to Nov. 2022 has been provided.
Jan. 9, 2023 File Formats
On Jan. 9, 2023, IND FBIL issued file formats of final upload files of GSEC valuation, SDL/SGS valuation and GSEC STRIPS/ZCYC that will take effect from Feb. 13, 2023.
Jan. 10, 2023 Consultation Minutes
On Jan. 10, 2023, IND FBIL published the minutes of the market consultation held on Jan. 3, 2023 on publication of G-sec valuation based on the revised methodology.
The market consultation discussed the proposal to commence publication of G-sec valuation based on the revised methodology tentatively from Feb. 13, 2023.
As well as the proposal to revise the format of publication for G-sec and SDL.
Jan. 19, 2023 Revised Methodology
On Jan. 19, 2023, IND FBIL confirmed publication of FBIL G-sec valuation benchmark will commence as per revised methodology (version 2) with effect from Feb. 13, 2023.
Board retained the cubic spline model and underlying principles for valuation of G-sec.
Agreed to carry out certain improvements in input selection framework and calibration of model outputs to better reflect underlying interest of Indian sovereign yield curve.
Revised methodology for valuation of G-secs and other related securities based on cubic spline model; the impact of the revised methodology for valuation of G-sec has been examined extensively using market data for an extended period of time.
Review of calculation methodology of all benchmarks published by FBIL is an ongoing process and G-sec methodology will also be subject to regular review in future.
Revised methodology updated in benchmark methodology section of IND FBIL website.
In Jan. 2024, IND FBIL adopted error policy re publishing benchmarks, see #197972.
Sep. 2024 Revisions to Methodology Document
On Sep. 12, 2024, IND FBIL said it published version 4 of G-Sec (Government of India securities) valuation methodology document (of Aug. 8, 2024) that contains revisions.
During a routine review, it was noticed that occasionally a security might lack an ISIN adjustment factor, tenor adjustment factor, or alternatively a bucket adjustment factor.
Revised the illustration for bucket adjustment factor (AF) in section VIII, point 5.
Added fallback process in section VIII, point 6, stating that if ISIN AF, tenor AF, bucket AF are unavailable on valuation date, previous day's bucket AF value will be used.
Document dated Sep. 12, 2024, received from IND FBIL Sep. 13, summarized Sep. 17.
Jun. 2025 Change in Maturity Bucket
On Jun. 24, 2025, IND FBIL decided to revise 5th, 6th maturity buckets, which previously covered maturities of 30 to 34 years, and over 34 years respectively.
The 5th bucket will now cover maturities for a period of greater than 30 years to 38 years, and the 6th bucket will now cover maturities greater than 38 years.
These changes will take effect from Jul. 14, 2025.
