The Securities and Exchange Board of India (Sebi) has modified provisions related to valuation of debt and money market instruments to ensure that portfolios of fund houses reflect the current market scenario.
In a circular issued on Tuesday, the market regulator said all money market and debt securities, including floating rate securities, with residual maturity of up to 91 days or over 91 days, would have to be valued at the weighted average price at which they are traded on the particular valuation day. If securities with residual maturity of up to 91 days are not traded on a particular valuation day, they would be valued on amortisation basis.
In a similar context, securities of residual maturity of over 91 days, will be valued at benchmark yield/ matrix of spread over risk free benchmark yield obtained from agency entrusted for the said purpose by the Association of Mutual Funds of India. Sebi has also directed mutual funds to provide transaction details, including inter scheme transfers of money market and debt securities, on a daily basis.
