FIMMDA Daily Yield Matrix (annualised) for Valuation of Corporate Bonds - PSU,FIs & Banks as on 30 December 2021

Category of Rating /
Residual Maturity 0.5 1 2 3 4 5 6 7 8 9 10 15
(In Years)
AAA 4.38 4.73 5.33 5.72 5.98 6.23 6.58 6.88 7.02 7.02 6.97 7.06
AA+ 4.73 5.16 5.64 6.11 6.39 6.69 6.98 7.26 7.33 7.43 7.54 7.58
AA 4.92 5.35 5.86 6.36 6.62 6.90 7.20 7.50 7.59 7.71 7.84 7.99
AA- 5.27 5.70 6.23 6.76 7.06 7.38 7.63 7.88 7.99 8.14 8.29 8.42
A+ 6.27 6.70 7.23 7.76 8.06 8.38 8.63 8.88 8.99 9.14 9.29 9.42
A 6.52 6.95 7.48 8.01 8.31 8.63 8.88 9.13 9.24 9.39 9.54 9.67
A- 6.77 7.20 7.73 8.26 8.56 8.88 9.13 9.38 9.49 9.64 9.79 9.92
BBB+ 7.27 7.70 8.23 8.76 9.06 9.38 9.63 9.88 9.99 10.14 10.29 10.42
BBB 7.52 7.95 8.48 9.01 9.31 9.63 9.88 10.13 10.24 10.39 10.54 10.67
BBB- 8.02 8.45 8.98 9.51 9.81 10.13 10.38 10.63 10.74 10.89 11.04 11.17

Notes:
1. For spreads between 10 year & 15 year use linear interpolation.
2. For securities where the residual maturity is > 15 years, the spread of 15 year should be added to the yield (base yield curve)of applicable maturity.
3. Rest of the tenors are linearly interpolated.
4. For Bonds with ratings froom BBB- up to D, additonal spread to be applied (equal to spread between BBB and BBB-) for every one notch down.
5. For AT1 Bonds, fixed spreads for the month as determined at Valuation Committee as applicable.
6. The computation is as per FIMMDA published methodology.
7. Methodology document is availbale on "www.fimmda.org"

Regulatory Guidelines:
1. All users should also consider the following RBI guidelines while valuing securitites using FIMMDA Matrix.
2. All debentures/Bonds other than those which are in nature of advance should be valued on the YTM basis.
3. Where the debenture / bond is 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 o
exchange. For this purpose, FIMMDA publishes traded values of all Bonds of the past 15 calendar days separately, on all mumbai business days.
4. The yield used for the YTM for rated debentures / bonds should be at least 50 basis points above the rate applicable to a Government of India loan of equal maturity
5. The Mark-up for the unrated debentures / bonds should appropriately reflect the credit risk borne by the FI.
6. The yield used for the YTM for unrated debentures / bonds should not be less than the rate applicable to rated debentures / bonds of equivalent maturity.
7. Where interest / principal on the debenture / bond is in arrears, the provision should be made for the debentures / bonds as in the case of debentures / bonds treated as advances.
8. Pl refer to FIMMDA cirucular on Valuation of Securties at "www.fimmda.org".
Disclaimer: Evaluated securities are financial instruments that are traded infrequently.

The traded data is sourced from the Exchanges that maintain reporting /trading platforms. We have used methodology as described in the document to arrive at prices/yields of non-traded securities. It is gener
no evaluation method can generate prices/yields that may match the expected traded values. The user understands the limitations and agrees to use these values at their own risk and responsibility. FIMMDA as
responsibility expressed or implied of any kind for accuracy, completeness, reliability or fitness of the values published

Praagy Srivastava Deepika Rathod P. Das Gupta Sir

Maker 1st Checker 2nd Checker
Asst Manager Asst Manager Dy CEO
ransaction is recorded on the stock

d securities. It is generally found that

ponsibility. FIMMDA assumes no
 FIMMDA Daily Yield Matrix (annualised) for Valuation of Corporate Bonds - NBFCs as on 30 December 2021
Category of Rating /
Residual Maturity (In 0.5 1 2 3 4 5 6 7 8 9 10 15
Years)
AAA 4.17 4.77 5.25 5.72 5.84 6.08 6.25 6.43 6.74 6.92 7.15 7.96
AA+ 4.63 5.23 5.70 6.17 6.35 6.65 6.80 6.95 7.24 7.39 7.54 8.29
AA 4.97 5.57 6.06 6.54 6.77 7.12 7.25 7.37 7.64 7.76 7.89 8.52
AA- 5.37 5.97 6.43 6.89 7.15 7.53 7.64 7.76 8.01 8.13 8.24 8.81
A+ 7.37 7.97 8.43 8.89 9.15 9.53 9.64 9.76 10.01 10.13 10.24 10.81
A 7.62 8.22 8.68 9.14 9.40 9.78 9.89 10.01 10.26 10.38 10.49 11.06
A- 7.87 8.47 8.93 9.39 9.65 10.03 10.14 10.26 10.51 10.63 10.74 11.31
BBB+ 8.37 8.97 9.43 9.89 10.15 10.53 10.64 10.76 11.01 11.13 11.24 11.81
BBB 8.62 9.22 9.68 10.14 10.40 10.78 10.89 11.01 11.26 11.38 11.49 12.06
BBB- 9.12 9.72 10.18 10.64 10.90 11.28 11.39 11.51 11.76 11.88 11.99 12.56

Notes:
1. For spreads between 10 year & 15 year use linear interpolation.
2. For securities where the residual maturity is > 15 years, the spread of 15 year should be added to the yield (base yield curve)of applicable maturity.
3. Rest of the tenors are linearly interpolated.
4. For Bonds with ratings froom BBB- up to D, additonal spread to be applied (equal to spread between BBB and BBB-) for every one notch down.
5. For AT1 Bonds, fixed spreads for the month as determined at Valuation Committee as applicable.
6. The computation is as per FIMMDA published methodology.
7. Methodology document is availbale on "www.fimmda.org"
Regulatory Guidelines:
1. All users should also consider the following RBI guidelines while valuing securitites using FIMMDA Matrix.
2. All debentures/Bonds other than those which are in nature of advance should be valued on the YTM basis.
3. Where the debenture / bond is 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 transactio
exchange. For this purpose, FIMMDA publishes traded values of all Bonds of the past 15 calendar days separately, on all mumbai business days.
4. The yield used for the YTM for rated debentures / bonds should be at least 50 basis points above the rate applicable to a Government of India loan of equal maturity
5. The Mark-up for the unrated debentures / bonds should appropriately reflect the credit risk borne by the FI.
6. The yield used for the YTM for unrated debentures / bonds should not be less than the rate applicable to rated debentures / bonds of equivalent maturity.
7. Where interest / principal on the debenture / bond is in arrears, the provision should be made for the debentures / bonds as in the case of debentures / bonds treated as advances.
8. Pl refer to FIMMDA cirucular on Valuation of Securties at "www.fimmda.org".
Disclaimer: Evaluated securities are financial instruments that are traded infrequently.
The traded data is sourced from the Exchanges that maintain reporting /trading platforms. We have used methodology as described in the document to arrive at prices/yields of non-traded securi
evaluation method can generate prices/yields that may match the expected traded values. The user understands the limitations and agrees to use these values at their own risk and responsibility.
responsibility expressed or implied of any kind for accuracy, completeness, reliability or fitness of the values published
Praagy Srivastava Deepika Rathod P. Das Gupta Sir
Maker 1st Checker 2nd Checker
Asst Manager Asst Manager Dy CEO
 nsaction is recorded on the stock

d securities. It is generally found that no

sibility. FIMMDA assumes no
 FIMMDA Daily Yield Matrix (annualised) for Valuation of Corporate Bonds - Corporates as on 30 December 2021
Category of Rating /
Residual Maturity (In 0.5 1 2 3 4 5 6 7 8 9 10 15
Years)
AAA 3.82 4.67 5.13 5.59 5.74 6.00 6.17 6.34 6.65 6.82 6.99 7.84
AA+ 4.18 5.03 5.54 6.05 6.22 6.50 6.66 6.82 7.13 7.29 7.45 8.26
AA 4.55 5.40 5.87 6.33 6.51 6.80 6.96 7.12 7.42 7.58 7.74 8.54
AA- 4.97 5.82 6.28 6.74 6.92 7.21 7.37 7.53 7.82 7.98 8.14 8.93
A+ 6.47 7.32 7.78 8.24 8.42 8.71 8.87 9.03 9.32 9.48 9.64 10.43
A 6.72 7.57 8.03 8.49 8.67 8.96 9.12 9.28 9.57 9.73 9.89 10.68
A- 7.22 8.07 8.53 8.99 9.17 9.46 9.62 9.78 10.07 10.23 10.39 11.18
BBB+ 7.72 8.57 9.03 9.49 9.67 9.96 10.12 10.28 10.57 10.73 10.89 11.68
BBB 7.97 8.82 9.28 9.74 9.92 10.21 10.37 10.53 10.82 10.98 11.14 11.93
BBB- 8.47 9.32 9.78 10.24 10.42 10.71 10.87 11.03 11.32 11.48 11.64 12.43

Notes:
1. For spreads between 10 year & 15 year use linear interpolation.
2. For securities where the residual maturity is > 15 years, the spread of 15 year should be added to the yield (base yield curve)of applicable maturity.
3. Rest of the tenors are linearly interpolated.
4. For Bonds with ratings froom BBB- up to D, additonal spread to be applied (equal to spread between BBB and BBB-) for every one notch down.
5. For AT1 Bonds, fixed spreads for the month as determined at Valuation Committee as applicable.
6. The computation is as per FIMMDA published methodology.
7. Methodology document is availbale on "www.fimmda.org"

Regulatory Guidelines:

1. All users should also consider the following RBI guidelines while valuing securitites using FIMMDA Matrix.
2. All debentures/Bonds other than those which are in nature of advance should be valued on the YTM basis.
3. Where the debenture / bond is 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
For this purpose, FIMMDA publishes traded values of all Bonds of the past 15 calendar days separately, on all mumbai business days.
4. The yield used for the YTM for rated debentures / bonds should be at least 50 basis points above the rate applicable to a Government of India loan of equal maturity
5. The Mark-up for the unrated debentures / bonds should appropriately reflect the credit risk borne by the FI.
6. The yield used for the YTM for unrated debentures / bonds should not be less than the rate applicable to rated debentures / bonds of equivalent maturity.
7. Where interest / principal on the debenture / bond is in arrears, the provision should be made for the debentures / bonds as in the case of debentures / bonds treated as advances.
8. Pl refer to FIMMDA cirucular on Valuation of Securties at "www.fimmda.org".

Disclaimer: Evaluated securities are financial instruments that are traded infrequently.

The traded data is sourced from the Exchanges that maintain reporting /trading platforms. We have used methodology as described in the document to arrive at prices/yields of non-traded securities.
evaluation method can generate prices/yields that may match the expected traded values. The user understands the limitations and agrees to use these values at their own risk and responsibility. FIMM
expressed or implied of any kind for accuracy, completeness, reliability or fitness of the values published

Praagy Srivastava Deepika Rathod P. Das Gupta Sir

Maker 1st Checker 2nd Checker
Asst Manager Asst Manager Dy CEO
 ch the transaction is recorded on the stock exchange.

nces.

on-traded securities. It is generally found that no

nd responsibility. FIMMDA assumes no responsibility