Collateralized Borrowing and Lending obligation (CBLO) was introduced in the Indian money market in 2003 by Clearing Corporation of India (CCIL). Within a period of two years the product came to dominate the turnover in the Indian market far surpassing the combined turnover of call and repo market. The product also filled the gap in Indian market for a relevant benchmark of interest rate in the money market in comparison to the rates provided by MIBOR/MIBID rate disseminated by National Stock Exchange (NSE). However the turnover in CBLO was concentrated in the overnight maturity. A need was felt for benchmark rates for higher maturity of 15-days to 3-months. The case brings out the conditions in the Indian money market leading to the introduction of the CBLO in the Indian market and would help the students in understanding the creation of and role of benchmarks. In addition it helps the students to understand the way an emerging market goes about creating innovative products to meet its need.