Clarification on the valuation of bonds issued under Basel III framework

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..... on the valuation of bonds issued under Basel III framework. 1. SEBI, vide para 8 of the circular No. SEBI/HO/IMD/DF4/CIR/P/2021/032 dated March 10, 2021, has inter alia stated that the maturity of all perpetual bonds shall be treated as 100 years from the date of issuance of the bond for the purpose of valuation. 2. Based on the representation of the Mutual Fund Industry to consider a glide path .....

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..... ity as mentioned in the above table. 3. Further, if the issuer does not exercise call option for any ISIN then the valuation and calculation of Macaulay Duration shall be done considering maturity of 100 years from the date of issuance for AT-1 Bonds and Contractual Maturity for Tier 2 bonds, for all ISINs of the issuer. In addition to the above, if the non-exercise of call option is due to the f .....

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