*Last edited: Oct-31, 2024* Tags: #tripartyrepos #repos 1. From June, 2021 - MIFOR was replaced by Modified MIFOR 2. Modified MIFOR stands for Modified Mumbai Interbank Forward Offer Rate, also called MMFOR 3. Modified MIFOR is the interest rate on rupees from USD borrowing implied by the USD SFOR and USD INR forward premium. 1. MMFOR is an interest rate benchmark used to price **cross currency interest rate swaps (MMFOR swaps)** and forward rate agreements (MMFOR FRAs). 2. MIFOR FRAs - In MIFOR Forward Rate Agreements (FRAs), say 3×8, the interest rate is fixed now for a future period, and the floating (variable) rate is MIFOR. It is settled at the start of month 3, and the net interest difference for 5 months is calculated and settled (in discounted form). The settlement occurs at the start of the borrowing period, called the settlement date), not at maturity, and hence the difference of interest payments are discounted to the settlement date. 4. FBIL Modified MIFOR (MMFOR) Curve is computed by combining the FBIL Forward Premia Curve published by the FBIL and the Adjusted SOFR Rate published by the Bloomberg Index Services Limited (BISL)(but sourced directly Federal Reserve Bank of New York (NY Fed). 5. Methodology Documents for **US Dollar - Indian Rupee Forward Premia** 1. Different versions - [Link](https://www.fbil.org.in/#/benchmark/premia) 6. Before Modified MIFOR (MMFOR), MIFOR was used which was based on LIBOR. 1. MIFOR was [derived]((https://www.fbil.org.in/uploads/FBIL_Modified_MIFOR_Methodology_Document_Version_2_8f0c0d6989.pdf) from USD LIBOR and USD INR forward premium. It was the **implied** INR interest rate of USD borrowing. It was used as reference rate for valuation of MIFOR-linked interest rate swap contracts 2. [March 13, 2018](FBIL_Press%20Release_20180313_Press%20Statement%20on%20Publication%20of%20FBIL%20–%20Forwards%20and%20FBIL-MIFOR%20(Mumbai%20Inter-bank%20Forward%20Outright%20Rate.pdf) - FBIL issued press release saying it will start publishing FBIL forward rates and FBIL MIFOR rates from April 2, 2018. 3. [[CCIL_Working Papers_201804_Methodology for Computation of Benchmark Forward Premia and MIFOR Curve.pdf|April 2018]] - CCIL published a working paper titled =="Methodology for Computation of Benchmark Forward Premia and MIFOR Curve"==, authored by Golaka C Nath, Sahana Rajaram and Manoel Pacheco 4. April 2, 2018- MIFOR (FIMMDA-Thomson Reuters Mumbai Interbank Forward Offered Rate) and MIOIS (FIMMDA-Thomson Reuters Mumbai Interbank Overnight Indexed Swaps)  to FBIL MIFOR and FBIL MIOIS respectively wef 2nd April 201 5. April 3, 2018 - FBIL started publishing Mumbai Interbank Forward Outright Rate (MIFOR) benchmark for six different tenors (Overnight, 1month, 2-month, 3-month, 6 month & 12 month) on a daily basis since April 3, 2018 by synthetically combining the USD/INR rolling forward premia (forward premia data is obtained from CCIL so CCIL is the calculation agent) for different tenors and the corresponding USD LIBOR obtained from the ICE (Intercontinental Exchange Benchmark Administration, a subsidiary of the Intercontinental Exchange) 1. November 19, 2018 - CCIL also commenced clearing of IRS trades linked to MIFOR benchmark with ==(maximum) maturity of 5 years== as on the date of acceptance for CCP clearing. 6. The USD/INR rolling forward rates were published by 4.15 PM, and the MIFOR is published by 5 PM subject to availability of LIBOR. 7. Methodology Documents for MIFOR 1. [Feb 2018](FBIL_Methodology%20Document_20180220_FBIL%20-%20Forwards%20and%20FBIL%20-%20MIFOR%20(Mumbai%20Inter-bank%20Forward%20Outright%20Rate).pdf) - Version 1 2. [Jan 29, 2021](FBIL_Methodology%20Document_20210129_FBIL%20-%20Forwards%20and%20FBIL%20-%20MIFOR%20(Mumbai%20Inter-bank%20Forward%20Outright%20Rate).pdf) - Version 2 3. [Oct 22, 2021](FBIL_20211022_Methodology%20Document%20for%20FBIL%20Forward%20Premia%20Curve%20And%20MIFOR%20Curve_Version%203.pdf) - Version 3 8. In the aftermath of LIBOR scandal, the Financial Conduct Authority (FCA), UK, which regulated the LIBOR, had announced on March 05, 2021 that LIBOR will either cease to be provided in a phased manner by [June-2023](https://www.rbi.org.in/Scripts/NotificationUser.aspx?Id=12128&Mode=0#:~:text=The%20Financial%20Conduct%20Authority%20(FCA)%2C%20UK%20has%20announced%20on%20March%2005%2C%202021%20that%20LIBOR%20will%20either%20cease%20to%20be%20provided%20by%20any%20administrator%20or%20no%20longer%20be%20a%20representative%20rate%3A). 9. In Aug-2020, RBI had asked banks to prepare plans to discontinue using LIBOR as reference rates. 10. ==[Nov 2020](CCIL_Working%20Paper_202011_SOFR%20Index-%20A%20Plausible%20Tool%20for%20Computing%20the%20Modified%20MIFOR%20Curve%20in%20India.pdf) - CCIL published Working Paper titled "SOFR Index- A Plausible Tool for Computing the Modified MIFOR Curve in India", authored by Golaka Nath Manoel Pacheco, published by Economic Research Department The Clearing Corporation of India Ltd.== 11. [Nov 11, 2020](RBI_Monthly_Bulletin_Article_202011_LIBOR-The%20Rise%20and%20the%20Fall.pdf) - RBI published article =="LIBOR: The Rise and the Fall"== in RBI bulletin Nov 2020 edition. 12. [Feb 16, 2021](FBIL_20210216_Modified%20Mumbai%20Interbank%20Forward%20Outright%20Rate%20(Modified%20MIFOR)%20Curve_Methodology%20Document_Version%201.pdf) - FBIL published the first methodology document for new reference rate (Modified MIFOR) 13. **Adjusted MIFOR** 1. June 15, 2021 - FBIL started publishing daily adjusted _MIFOR_ rates from June 15, 2021, which were applicable to the legacy contracts referenced to MIFOR. 2. It used the the All-in-Fallback Rate, which is published by Bloomberg Index Services Ltd.(BISL) and is computed as sum of the Adjusted SOFR and the Spread Adjustment, and the FBIL Forward Premia Curve. 3. The publishing of FBIL Adjusted MIFOR for all tenors were stopped after Sept 30, 2025. 4. Methodology Documents for Adjusted MIFOR 1. [Dec 21, 2020](FBIL_Methodology%20Document_20201221_Adjusted%20MIFOR_Version%201.pdf) - Version 1 2. [Oct 22, 2021](FBIL_Methodology%20Document_20211022_Adjusted%20MIFOR_Version%202.pdf) - Version 2 3. [May 15, 2023](FBIL_Methodology%20Document_20230515_Adjusted%20MIFOR_Version%203.pdf) - Version 3 14. **Modified MIFOR** 15. [June 15, 2021](FBIL_Press%20Release-20210615_Publication%20of%20FBIL%20Modified%20MIFOR%20Curve.pdf) - From June 30, 2021, FBIL started publishing new reference rate, called the FBIL Modified MIFOR Curve, for new contracts. 16. It uses the Adjusted SOFR rate which is compounded in arrears, but WITHOUT ANY spread adjustment value, and the FBIL Forward Premia Curve. 17. [Methodology Documents](https://www.fbil.org.in/#/benchmark/modifiedmifor) for Modified MIFOR (MMFOR) Using Adjusted SOFR Rate published by the Bloomberg Index Services Limited (BISL) 1. [February 16, 2021](FBIL_Methodology%20Document_20210216_Modified%20Mumbai%20Interbank%20Forward%20Outright%20Rate%20(Modified%20Mifor)%20Curve_Version%201.pdf) 2. [October 22, 2021](FBIL_Methodology%20Document_20211022_Modified%20Mumbai%20Interbank%20Forward%20Outright%20Rate%20(Modified%20Mifor)%20Curve_Version%202.pdf) 3. [May 15, 2023](https://www.fbil.org.in/uploads/FBIL_Modified_MIFOR_Methodology_7db48d7ffe.pdf) 18. [July 8, 2021](RBI_Notification_20210708_Roadmap%20for%20LIBOR%20Transition.pdf) - RBI issued documents on the roadmap for [LIBOR transition](RBI_Notification_20210708_Roadmap%20for%20LIBOR%20Transition.pdf) and [transition arrangements](RBI_Press%20Release_20210708_Cessation%20of%20LIBOR-%20Transition%20arrangements.pdf) 19. [August 3, 2021](FBIL_Notification_20210803_Consultation%20on%20Cessation%20of%20MIFOR%20benchmarks%20for%20various%20tenors%20published%20by%20FBIL.pdf) - FBIL issued notification asking for proposals on cessation of MIFOR benchmarks for various tenors published by FBIL. 20. January 1, 2022 - Banks started trading new swap contracts using Modified MIFOR 21. April 3, 2023 - CCIL has extended CCP settlement to IRS and FRA trades based on Modified MIFOR (MMFOR) benchmark 1. So CCIL has extended CCP settlement to IRS and FRA trades for MIBOR and MIOIS benchmark from March 18, 2004 and Modified MIFOR (MMFOR) benchmark since April 3, 2023 22. [May 12, 2023](RBI_Notification_20230512_LIBOR%20Transition.pdf) - An [update](https://www.rbi.org.in/Scripts/NotificationUser.aspx?Id=12503) was released on LIBOR transition by RBI 1. The MIFOR, a domestic interest rate benchmark reliant on US$ LIBOR, will also cease to be published by Financial Benchmarks India Pvt. Ltd. (FBIL) after June 30, 2023 23. [May 15, 2023](FBIL_Newsletter_202306_Newsletter.pdf) - FBIL announced that it would discontinue the computation and _publication_ of FBIL MIFOR immediately after after June 30, 2023 for all the six tenors, viz. Overnight, 1-month, 2-month, 3-month, 6-month and 12-month. 24. By May 26, 2023, CCIL had moved from MIFOR to Modified MIFOR (MMBOR). 25. [June 23, 2023](RBI_Notification_20230623_Status%20of%20MIFOR%20as%20a%20Significant%20Benchmark.pdf) - As publication of MIFOR would stop from June 20, 2023, RBI informed that MIFOR administered by FBIL shall cease to be a ‘significant benchmark’ after June 30, 2023, and updated the list of **‘significant benchmarks’ administered by FBIL** 26. [March 11, 2024](https://www.fimmda.org/UploadPopupPageFiles/CCIL_DRV_IRS_11Mar24.pdf) - CCIL implemented the delayed payment of 2 business day. 1. The actual settlement date of each cash flow shall be arrived at by adding two business days to the cash flow date (coupon payment date) of Interest Rate Swap trades referenced to Modified MIFOR (MMFOR) benchmark. 7. IRS linked to MMFOR are not exchanged traded. In India, [volumes](https://www.ccilindia.com/web/ccil/interbank-inr-interest-rate-swaps-real-time-trade-by-trade-dissemination) in inter-bank [IRS linked to MMFOR](https://www.ccilindia.com/web/ccil/interbank-inr-interest-rate-swaps) is low compared to MIBOR OIS. 8. [January 28, 2025](FBIL_%20Methodology%20Document_20250128_Modified%20MIFOR%20Swap%20Rate_Version%201.pdf) - Methodology document for FBIL Modified MIFOR Swap Rates was released. 9. [Feb 14, 2025](https://www.ccilindia.com/documents/d/ccil/notification_gs-modified-mifor-10-years) - residual maturity of CCP Clearing for IRS trades referenced to MMFOR benchmark increased from 5 years to 10 years, effective from 17th March 2025 onwards. 10. [October 24, 2025](FBIL_Press%20Release_20251024_Publication%20of%20FBIL%20Modified%20MIFOR%20Swap%20Curve%20Rates%20from%20November%2010,%202025.pdf) - FBIL notified it will commence publication of the Modified MIFOR Swap Curve Rates (swap rates are different from benchmark rates) effective November 10, 2025. > Must Read - SOFR Index- A Plausible Tool for Computing the Modified MIFOR Curve in India, by Golaka Nath Manoel Pacheco, published by Economic Research Department The Clearing Corporation of India Ltd., November 2020. [Link](https://www.ccilindia.com/documents/d/ccil/WP012_SOFR%20Index-A%20Plausible%20Tool%20For%20Computing%20the%20Modified%20MIFOR%20Curve%20in%20India_12-pdf) ==[List](https://rbi.org.in/scripts/Bs_viewcontent.aspx?Id=4278) of ‘significant benchmarks’== ## Master Directions 1. December 28, 2023 - [Reserve Bank of India (Financial Benchmark Administrators) Directions, 2023](https://rbi.org.in/scripts/NotificationUser.aspx?Mode=0&Id=12581) 2. Supersession 1. [June 26, 2019](RBI_Press%20Release_20190626_RBI%20releases%20Financial%20Benchmark%20Administrators%20(Reserve%20Bank)%20Directions,%202019%20under%20section%2045%20W%20of%20the%20RBI%20Act,%201934.pdf) - RBI released the Financial Benchmark Administrators (Reserve Bank) Directions, 2019 1. Amendments - [Jan 1, 2020](https://rbi.org.in/scripts/NotificationUser.aspx?Mode=0&Id=11777) ## IRDs based on MMFOR 1. MIFOR-OIS ## Related Notes 1. [[Interest Rate Derivatives (IRDs) (Rupee)]] 2. [[MIBOR]] ## References 1. [[Interest Rate Derivatives (IRDs) (Rupee)#References|Link]]