Description
BSE announces change in methodology for calculating interest accruals on holidays for BSE Liquid Rate Index, effective September 1, 2025.
Summary
BSE Index Services Private Ltd announces a change in the methodology for calculating interest accruals on holidays for the BSE Liquid Rate Index, effective September 1, 2025. The change shifts from including holiday interest accruals on the prior working day to the following working day.
Key Points
- Change applies specifically to BSE Liquid Rate Index
- Effective date: September 1, 2025
- Affects treatment of interest accruals during holidays and weekends
- Methodology change from prior working day inclusion to following working day inclusion
Regulatory Changes
Old Methodology: Interest accruals for holidays were added to the index value on the prior working day (e.g., Saturday and Sunday interest included in Friday’s index value)
New Methodology: Interest accruals for holidays will be reflected in the index values on the following working day (e.g., Saturday and Sunday interest included in Monday’s index value)
Compliance Requirements
- Market participants using BSE Liquid Rate Index should adjust their systems and calculations accordingly
- Clients with queries should contact bseindex@bseindia.com
Important Dates
- Notice Date: August 1, 2025
- Effective Date: September 1, 2025
Impact Assessment
The change will affect how daily index values are calculated for the BSE Liquid Rate Index, potentially impacting products and strategies that track or reference this index. Market participants should review their systems and processes to ensure compatibility with the new methodology.
Impact Justification
Methodology change affects index calculation but limited to specific BSE Liquid Rate Index