Spreads over FIMMDA-PDAI Gilt curve in bps for Banks

Annualised spreads
0.5
1
2
3
AAA
57
50
77
82
AA+
80
75
100
105
AA
97
99
116
122
AA120
120
140
147
A+
145
145
165
172
A
175
175
195
202
A210
210
230
237
BBB+
250
250
270
277
BBB
295
295
315
322
BBB345
345
365
372

4
77
100
118
143
168
198
233
273
318
368

5
72
96
113
138
163
193
228
268
313
363

6
74
97
114
139
164
194
229
269
314
364

Zero coupon spreads

0.5
1
2
3
4
5
6
AAA
57
50
78
83
77
71
86
AA+
80
75
101
106
100
95
109
AA
97
99
116
123
118
113
126
AA120
120
141
148
143
138
151
A+
145
145
166
173
169
163
176
A
175
175
196
203
199
193
206
A210
210
231
238
234
228
241
BBB+
250
250
271
278
274
268
281
BBB
295
295
316
323
319
313
326
BBB345
345
366
373
369
363
376
Please note that the procedure for valuation of Corporate Bonds has undergone a change subsequen
data on FIMMDA Reporting Platform, We are now furnishing four categories :
1. PSU's & FI's
2. Banks
3. NBFC
4. Corporates
Banks should categorise the bonds and apply applicable spread for valuations

Notes
1. For securities where the residual maturity is more than 15 years, the spread of 15 year should be added to t
base yield curve )of applicable maturity.
2. For spreads between 10 year & 15 year members are requested to interpolate and use their internal calculat
3. These spreads can be extrapolated after BBB- for every rating below.i.e.the difference between BBB- and BB
for each notch downward.
4. Supra-national ADB Bonds would be valued at zero spread over the respective annualised gilt yield.

7
77
99
115
140
165
195
230
270
315
365

Updated on
8
9
81
86
103
107
120
125
144
148
169
173
199
203
234
238
274
278
319
323
369
373

15-Jul-13
10
91
112
129
152
177
207
242
282
327
377

7
8
9
76
83
89
98
105
109
115
122
128
139
146
150
164
171
175
194
201
205
229
236
239
269
276
279
314
322
324
364
372
374
e a change subsequent to study of traded

ear should be added to the yield(as per the

se their internal calculators.

ce between BBB- and BBB is to be added

ualised gilt yield.

10
96
115
133
155
180
210
245
285
330
380

Spreads over FIMMDA-PDAI Gilt curve in bps for Corporates

Annualised spreads
0.5
1
2
3
AAA
77
90
103
110
AA+
102
115
128
135
AA
127
140
153
160
AA152
165
178
185
A+
177
190
203
210
A
207
220
233
240
A242
255
268
275
BBB+
282
295
308
315
BBB
327
340
353
360
BBB377
390
403
410

4
107
132
157
182
207
237
272
312
357
407

5
103
128
153
178
203
233
268
308
353
403

6
104
129
154
179
204
234
269
309
354
404

Zero coupon spreads

AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBB-

4
107
132
158
183
208
238
273
313
358
408

5
103
128
153
178
203
233
268
308
354
404

6
116
141
166
191
216
246
281
321
366
416

0.5
77
102
127
152
177
207
242
282
327
377

1
90
115
140
165
190
220
255
295
340
390

2
103
128
153
178
203
233
268
308
353
403

3
111
136
161
186
211
241
276
316
361
411

Please note that the procedure for valuation of Corporate Bonds has undergone a change subsequen
data on FIMMDA Reporting Platform, We are now furnishing four categories :
1. PSU's & FI's
2. Banks
3. NBFC
4. Corporates
Banks should categorise the bonds and apply applicable spread for valuations

Notes
1. For securities where the residual maturity is more than 15 years, the spread of 15 year should be added to t
base yield curve )of applicable maturity.
2. For spreads between 10 year & 15 year members are requested to interpolate and use their internal calculat
3. These spreads can be extrapolated after BBB- for every rating below.i.e.the difference between BBB- and BB
for each notch downward.
4. Supra-national ADB Bonds would be valued at zero spread over the respective annualised gilt yield.

7
104
129
154
179
204
234
269
309
354
404

Updated on
8
110
135
160
185
210
240
275
315
360
410

9
115
140
165
190
215
245
280
320
365
415

7
103
128
153
178
203
233
268
308
353
403

8
112
137
162
187
213
243
278
318
364
414

9
118
143
168
193
218
248
282
322
367
417

change subsequent to study of traded

should be added to the yield(as per the

heir internal calculators.

etween BBB- and BBB is to be added

sed gilt yield.

15-Jul-13
10
121
146
171
196
221
251
286
326
371
421
10
126
150
175
200
225
255
290
330
375
425

Spreads over FIMMDA-PDAI Gilt curve in bps for PSU,FI's

Annualised spreads
0.5
1
2
3
AAA
67
60
88
97
AA+
85
80
110
113
AA
105
100
130
135
AA124
120
155
159
A+
149
145
180
184
A
179
175
210
214
A214
210
245
249
BBB+
254
250
285
289
BBB
299
295
330
334
BBB349
345
380
384

4
88
110
132
156
181
211
246
286
331
381

5
78
106
128
153
178
208
243
283
328
378

6
85
111
133
157
182
212
247
287
332
382

Zero coupon spreads

AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBB-

4
88
111
133
157
182
212
247
287
332
382

5
77
106
129
154
179
209
244
284
329
379

6
97
124
146
170
195
225
260
300
345
396

0.5
67
85
105
124
149
179
214
254
299
349

1
60
80
100
120
145
175
210
250
295
345

2
89
111
131
156
181
211
246
286
331
382

3
99
114
137
161
186
216
251
291
336
386

Please note that the procedure for valuation of Corporate Bonds has undergone a change subsequen
data on FIMMDA Reporting Platform, We are now furnishing four categories :
1. PSU's & FI's
2. Banks
3. NBFC
4. Corporates
Banks should categorise the bonds and apply applicable spread for valuations

Notes
1. For securities where the residual maturity is more than 15 years, the spread of 15 year should be added to t
base yield curve )of applicable maturity.
2. For spreads between 10 year & 15 year members are requested to interpolate and use their internal calculat
3. These spreads can be extrapolated after BBB- for every rating below.i.e.the difference between BBB- and BB
for each notch downward.
4. Supra-national ADB Bonds would be valued at zero spread over the respective annualised gilt yield.

7
91
115
137
160
185
215
250
290
335
385
7
92
116
138
161
186
216
251
291
336
386

Updated on
8
9
95
99
120
124
142
146
166
171
191
196
221
226
256
261
296
301
341
346
391
396
8
98
124
146
170
195
226
261
301
347
397

15-Jul-13
10
103
128
151
176
201
231
266
306
351
401

9
102
128
150
175
200
230
265
305
350
400

10
107
133
156
182
207
237
272
312
357
406

ne a change subsequent to study of traded

year should be added to the yield(as per the

use their internal calculators.

nce between BBB- and BBB is to be added

nualised gilt yield.

Spreads over FIMMDA-PDAI Gilt curve in bps for NBFC

Annualised spreads
0.5
1
2
3
AAA
93
103
121
130
AA+
118
128
151
160
AA
143
153
181
190
AA168
178
211
220
A+
193
203
236
245
A
223
233
266
275
A258
268
301
310
BBB+
298
308
341
350
BBB
343
353
386
395
BBB393
403
436
445

4
124
154
184
214
239
269
304
344
389
439

5
117
147
177
207
232
262
297
337
382
432

Zero coupon spreads

AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBB-

4
124
154
185
215
240
270
305
345
390
440

5
117
147
177
207
232
262
297
337
382
432

0.5
93
118
143
168
193
223
258
298
343
393

1
103
128
153
178
203
233
268
308
353
403

2
122
152
182
213
238
268
303
343
388
438

3
131
161
191
221
246
276
311
351
397
447

Please note that the procedure for valuation of Corporate Bonds has undergone a change subsequen
data on FIMMDA Reporting Platform, We are now furnishing four categories :
1. PSU's & FI's
2. Banks
3. NBFC
4. Corporates
Banks should categorise the bonds and apply applicable spread for valuations

Notes
1. For securities where the residual maturity is more than 15 years, the spread of 15 year should be added to t
base yield curve )of applicable maturity.
2. For spreads between 10 year & 15 year members are requested to interpolate and use their internal calculat
3. These spreads can be extrapolated after BBB- for every rating below.i.e.the difference between BBB- and BB
for each notch downward.
4. Supra-national ADB Bonds would be valued at zero spread over the respective annualised gilt yield.

6
123
153
183
213
238
268
303
343
388
438

7
128
158
188
218
243
273
308
348
393
443

6
136
166
196
226
251
281
316
356
401
451

7
129
159
189
219
244
274
310
350
395
445

Updated on
8
131
161
191
221
246
276
311
351
396
446
8
134
164
195
225
250
280
316
356
401
452

9
134
164
194
224
249
279
314
354
399
449
9
137
167
197
226
251
281
316
356
401
451

rgone a change subsequent to study of traded

15 year should be added to the yield(as per the

nd use their internal calculators.

erence between BBB- and BBB is to be added
annualised gilt yield.

15-Jul-13
10
137
167
197
227
252
282
317
357
402
452
10
140
170
200
230
255
285
320
360
405
454

Spreads over FIMMDA-PDAI-Gilt curve in bps

Updated on

Banks

PSU & FI's

NBFC's

Annualised spreads

15

15

15

AAA

69

76

105

AA+

93

100

135

AA

110

123

165

AA-

131

148

195

A+

156

173

220

186

203

250

A-

221

238

285

BBB+

261

278

325

BBB

306

323

370

BBB-

356

373

420

Please note that the procedure for valuation of Corporate Bonds has undergone a change subsequen
data on FIMMDA Reporting Platform, We are now furnishing four categories :
1. PSU's & FI's
2. Banks
3. NBFC
4. Corporates

Banks should categorise the bonds and apply applicable spread for valuations
Notes
1. For securities where the residual maturity is more than 15 years, the spread of 15 year should be added to t
base yield curve) of applicable maturity.
2. For spreads between 10 year & 15 year members are requested to interpolate and use their internal calculat
3. These spreads can be extrapolated after BBB- for every rating below.i.e.the difference between BBB- and BB
for each notch downward.
4. Supra-national ADB Bonds would be valued at zero spread over the respective annualised gilt yield.

15-Jul-13

Corporates
15
94
119
144
169
194
224
259
299
344
394

rgone a change subsequent to study of traded

15 year should be added to the yield (as per the

and use their internal calculators.

ference between BBB- and BBB is to be added

e annualised gilt yield.

Fixed Income Money Market and Derivatives Association of India

FIMMDA, PDAI GOI Base/Par Yield as on July 15th, 2013

Maturity

YTM (SemiAnnual)

0.25
0.5
0.75
1
1.25
1.5
1.75
2
2.25
2.5
2.75
3
3.25
3.5
3.75
4
4.25
4.5
4.75
5
5.25
5.5
5.75
6
6.25
6.5
6.75
7
7.25
7.5
7.75
8
8.25
8.5
8.75
9
9.25

7.57
7.72
7.76
7.81
7.78
7.77
7.72
7.69
7.64
7.62
7.60
7.61
7.63
7.67
7.71
7.76
7.80
7.82
7.82
7.80
7.76
7.72
7.68
7.66
7.66
7.67
7.69
7.72
7.75
7.79
7.81
7.83
7.82
7.78
7.71
7.65
7.58

9.5
9.75
10
10.25
10.5
10.75
11
11.25
11.5
11.75
12
12.25
12.5
12.75
13
13.25
13.5
13.75
14
14.25
14.5
14.75
15
15.25
15.5
15.75
16
16.25
16.5
16.75
17
17.25
17.5
17.75
18
18.25
18.5
18.75
19
19.25
19.5
19.75
20
20.25

7.55
7.55
7.60
7.68
7.78
7.86
7.93
7.94
7.89
7.79
7.69
7.62
7.62
7.65
7.70
7.74
7.79
7.82
7.86
7.88
7.91
7.93
7.94
7.95
7.96
7.96
7.97
7.97
7.97
7.96
7.96
7.95
7.94
7.93
7.92
7.91
7.90
7.89
7.88
7.87
7.87
7.85
7.85
7.84

20.5
20.75
21
21.25
21.5
21.75
22
22.25
22.5
22.75
23
23.25
23.5
23.75
24
24.25
24.5
24.75
25
25.25
25.5
25.75
26
26.25
26.5
26.75
27
27.25
27.5
27.75
28
28.25
28.5
28.75
29
29.25
29.5
29.75
30

7.83
7.83
7.83
7.82
7.83
7.83
7.83
7.83
7.84
7.85
7.87
7.88
7.89
7.90
7.92
7.93
7.95
7.96
7.97
7.98
7.99
8.00
8.01
8.02
8.03
8.03
8.03
8.03
8.03
8.02
8.02
8.01
8.00
7.98
7.97
7.95
7.93
7.93
7.93

Fixed Income Money Market and Derivatives Association of India

FIMMDA, PDAI - GOI Prices as on 15th July, 2013

Maturity in
Yrs
0.25
0.50
0.75
1.00
1.25
1.50
1.75
2.00
2.25
2.50
2.75
3.00
3.25
3.50
3.75
4.00
4.25
4.50
4.75
5.00
5.25
5.50
5.75
6.00
6.25
6.50
6.75
7.00
7.25
7.50
7.75
8.00
8.25
8.50
8.75
9.00

Zero Coupon
(in %) (semiannual)
7.64
7.72
7.78
7.81
7.80
7.77
7.73
7.68
7.64
7.61
7.60
7.60
7.63
7.67
7.73
7.78
7.82
7.85
7.85
7.82
7.77
7.72
7.68
7.65
7.64
7.65
7.68
7.72
7.76
7.81
7.85
7.87
7.86
7.80
7.71
7.61

fv
maturity
coupon

1000
10
10%

1
2
3
4
5
6
7
8
9
10

100
100
100
100
100
100
100
100
100
1100
price

92.75619
86.24435
80.26678
74.10979
68.63177
64.26299
62.27497
54.5481
51.69297
531.6286
1166.417

9.25
9.50
9.75
10.00
10.25
10.50
10.75
11.00
11.25
11.50
11.75
12.00
12.25
12.50
12.75
13.00
13.25
13.50
13.75
14.00
14.25
14.50
14.75
15.00
15.25
15.50
15.75
16.00
16.25
16.50
16.75
17.00
17.25
17.50
17.75
18.00
18.25
18.50
18.75
19.00
19.25
19.50
19.75
20.00

7.52
7.47
7.47
7.54
7.67
7.82
7.95
8.05
8.07
7.98
7.82
7.65
7.55
7.54
7.60
7.68
7.76
7.84
7.90
7.96
8.01
8.05
8.08
8.11
8.13
8.14
8.15
8.15
8.14
8.14
8.13
8.11
8.10
8.08
8.06
8.03
8.01
7.99
7.96
7.94
7.92
7.89
7.87
7.85

20.25
20.50
20.75
21.00
21.25
21.50
21.75
22.00
22.25
22.50
22.75
23.00
23.25
23.50
23.75
24.00
24.25
24.50
24.75
25.00
25.25
25.50
25.75
26.00
26.25
26.50
26.75
27.00
27.25
27.50
27.75
28.00
28.25
28.50
28.75
29.00
29.25
29.50
29.75
30.00

7.84
7.82
7.81
7.80
7.80
7.80
7.80
7.81
7.83
7.85
7.88
7.91
7.94
7.98
8.02
8.06
8.10
8.14
8.18
8.22
8.26
8.29
8.32
8.35
8.37
8.39
8.40
8.40
8.40
8.39
8.37
8.34
8.30
8.25
8.19
8.12
8.05
7.98
7.98
7.98

Zero Coupon (in %) (semi-annual)

8.60
8.40
8.20
8.00
7.80

Zero Coupon (in %)

(semi-annual)

7.60
7.40
7.20
0.25
2.00
3.75
5.50
7.25
9.00
10.75
12.50
14.25
16.00
17.75
19.50
21.25
23.00
24.75
26.50
28.25
30.00

7.00