The Securities and Exchange Board of India on 9th July 2021 has issued a framework for the valuation of securities, having multiple put options, held by mutual funds. The Framework shall be effective from 1st October 2021.
In respect of valuation of securities with multiple put options present ab-initio wherein put option is factored into the valuation of the security by the valuation agency, the following is decided based on the recommendation of Mutual Fund Advisory Committee
If the put option is not exercised by a Mutual Fund while exercising the put option would have been in favour of the scheme.
Further, the put option shall be considered as ‘in favour of the scheme’ if the yield of the valuation price ignoring the put option under evaluation is more than the contractual yield/coupon rate by 30 basis points.
