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April 04, 2018 location Mumbai

CRISIL launches 22 debt indices, renames six

Basket size expands to 83 indices covering debt and hybrid segments

CRISIL Research has launched 22 new debt indices and also announced a change in the nomenclature of six existing ones.


Of these, the composite CRISIL Banking and PSU Debt Index is mapped to the ‘Banking and PSU Fund’ category, comprising the newly launched CRISIL Medium to Long Term Banking Debt Index, CRISIL Medium to Long Term PSU Debt Index and CRISIL Short Term PSU Debt Index, besides the existing CRISIL Composite CD Index.


A standalone CRISIL Short Term Banking Debt Index has also been launched. So, while the medium to long term indices in this category will track portfolios of bonds with residual maturity greater than three years, the short term indices will track portfolios of bonds with residual maturity of up to three years.


Says Nagarajan Narasimhan, Senior Director, CRISIL Research: “With this, our basket expands to 83 indices, ensuring representation of most of the sub-categories in debt and hybrid segments as specified by the Securities and Exchange Board of India. It also reinforces our leadership and expertise in offering relevant, transparent and replicable indices.”


Besides the above-mentioned five indices, nine more representing the three rating level notches of AA (i.e. AA+, AA, AA-) in three maturity buckets (long, medium and short) have been launched. These would serve as relevant sub-indices for the composite indices in ‘Corporate Bond Fund’ and ‘Credit Risk Fund’ categories.


Then there are three new indices representing only AA+ and AA securities in three maturity buckets – CRISIL AA and AA+ Long Term Bond Index, CRISIL AA and AA+ Medium Term Bond Index, and CRISIL AA and AA+ Short Term Bond Index.


Of the remaining five new indices, the CRISIL Composite Gilt Index will represent the top three liquid government securities in three buckets – long (residual maturity greater than 10 years), medium (residual maturity greater than 5 years and up to 10 years) and short (residual maturity up to 5 years).


The CRISIL Dynamic Gilt Index (the renamed CRISIL Gilt Index) will be a sub-index of the new CRISIL Dynamic Debt Index, which also has three other existing sub-indices for AAA and three new sub-indices for AA and AA+.


The CRISIL Short Term Credit Risk Index will comprise short-term corporate bond indices across rating categories with 70% exposure to indices rated below AA+.


Then there are two new indices in the Hybrid broad category – CRISIL Arbitrage Index and CRISIL Equity Savings Index.


Says Jiju Vidyadharan, Senior Director, CRISIL Research, “The new indices, along with other major enhancements carried out as part of periodic review, will ensure we are able to adapt our indices to changing market dynamics in both mutual fund and insurance space. Essential variables such as market trends, regulatory framework and portfolio composition have been factored in to produce a relevant set of benchmarks for investors. The indices have a long history, with strong foundation of relevant and independent valuation practices as a key input.”


The six nomenclature changes are: CRISIL Dynamic Gilt Index (erstwhile CRISIL Gilt Index), CRISIL Composite AA Long Term Bond Index (erstwhile CRISIL AA Long Term Bond Index), CRISIL Composite AA Medium Term Bond Index (erstwhile CRISIL AA Medium Term Bond Index), CRISIL Composite AA Short Term Bond Index (erstwhile CRISIL AA Short Term Bond Index), CRISIL A Medium to Long Term Bond Index (erstwhile CRISIL A Long Term Bond Index) and CRISIL Composite Credit Risk Index (erstwhile CRISIL Credit Risk Index).


All CRISIL indices are public indices with details on index performance and portfolio constituents available on the CRISIL indices website www.crisil.com/en/home/what-we-do/financial-products/indices.html



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    Jiju Vidyadharan
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    Nagarajan Narasimhan
    Senior Director
    CRISIL Research
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