MLD Valuation

Overview

Principal Protected Market Linked Debentures (PPMLD) are instruments issued with coupons associated with the performance of a certain underlying asset, generally an equity index. The Principal portion of the instrument is protected for downside and even in case of any negative return on the underlying equity index, the coupon is not negative. The structure benefits from the positives of a debt instrument in form of protection of the principal amount and benefits from the positives of an equity instrument in form of participation in positive returns.