Deemed residual maturity for Basel III bonds revised into a phased schedule, impacting valuation and Macaulay duration calculations. The circular prescribes a phased glide path for the deemed residual maturity applied to Basel III AT 1 and Tier 2 bonds for valuation, requiring Macaulay Duration to be calculated on those deemed maturities; if an issuer does not exercise a call option, all its ISINs are to be valued using 100 years' maturity for AT 1 and contractual maturity for Tier 2, with any issuer stress or adverse news reflected in valuation. AMFI must issue detailed valuation guidelines.
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Provisions expressly mentioned in the judgment/order text.
Deemed residual maturity for Basel III bonds revised into a phased schedule, impacting valuation and Macaulay duration calculations.
The circular prescribes a phased glide path for the deemed residual maturity applied to Basel III AT 1 and Tier 2 bonds for valuation, requiring Macaulay Duration to be calculated on those deemed maturities; if an issuer does not exercise a call option, all its ISINs are to be valued using 100 years' maturity for AT 1 and contractual maturity for Tier 2, with any issuer stress or adverse news reflected in valuation. AMFI must issue detailed valuation guidelines.
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