Description
BSE modifies methodology for calculating interest accruals on holidays in the BSE Liquid Rate Index, effective September 1, 2025.
Summary
BSE Index Services Private Ltd announces a change in the methodology for treating interest accruals on holidays in the BSE Liquid Rate Index, effective September 1, 2025. The change shifts from including holiday interest accruals on the prior working day to including them on the following working day.
Key Points
- Change affects BSE Liquid Rate Index methodology for holiday interest accruals
- Effective date: September 1, 2025
- Methodology shifts from pre-holiday to post-holiday interest inclusion
- Query contact: bseindex@bseindia.com
Regulatory Changes
Old Methodology: Interest accruals for holidays (including weekends) were added to the index value on the preceding working day. For example, Saturday and Sunday interest was included in Friday’s index value.
New Methodology: Interest accruals for holidays will be reflected in the index values on the following working day instead of the prior working day. Weekend interest will be included in the next working day’s index value.
Compliance Requirements
- Market participants using BSE Liquid Rate Index must adjust their systems and calculations to accommodate the new methodology
- Index users should update their models and processes before the September 1, 2025 effective date
Important Dates
- Notice Date: August 1, 2025
- Effective Date: September 1, 2025
Impact Assessment
This methodology change will affect how interest accruals are distributed across trading days in the BSE Liquid Rate Index. While the total interest calculation remains the same, the timing of when holiday interest is reflected in index values will change, potentially affecting daily index movements and related financial products or strategies that depend on this index.
Impact Justification
Technical methodology change affecting index calculation but limited to specific index with operational impact