Transcription of Corporate Bond Valuation Methodology - FIMMDA
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Corporate Bond Valuation Methodology - FIMMDA
Regd. Office: 2nd Floor, UNITED INDIA BUILDING, Next to RBI Amar Bldg Monetary Museum, Sir Road, Fort, Mumbai 400 001. Tel: 022- 2269 0321- 26 Fax: 2262 645 1 Corporate bond Valuation Methodology RBI guidelines for Valuation of Non-SLR Bonds: A) TRADED BONDS: As per RBI Master Circular Prudential Norms for Classification and Operation of Investment Portfolio by Banks dated July 1 2015, where the debentures/ bonds are quoted and there have been transactions within 15 days prior to the Valuation date, the value adopted should not be higher than the rate at which the transaction is recorded on the stock exchange . Explanation: The traded price is to be used for Valuation of those traded bonds. For this purpose, the volume weighted average price (VWAP) is considered. When a bond is traded on more than one exchange or OTC trades in a bond are reported to more than one exchange the VWAP of all the exchanges is considered.
Regd. Office: 2nd Floor, UNITED INDIA BUILDING, Next to RBI Amar Bldg Monetary Museum, Sir P.M. Road, Fort, Mumbai 400 001. Tel: 022- 2269 0321- 26 Fax: 2262 645 5 10) For securities where the residual maturity is more than 15 years, the spreads of 15 years should be added to the base yield of applicable maturity.
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