Fixed Income Research
Our offerings include
We offer valuations of government securities, state development loans, T-bills, STRIPS, corporate bonds, and money market instruments. We also provide bond matrices, intraday valuations, customised valuations and market linked debentures valuations.
Fixed Income Research Tools
Our fixed income research tool - Bond Valuer, is the most widely accepted bond valuation tool. It is used by asset management companies, insurance companies, and pension funds in India. The other tools we offer are CRISIL Aggregator and CRISIL Rating Tracker.
Fixed Income Data Services
We have a comprehensive database of fixed income instruments with over 18,000 securities. Our Rating Updates track rating changes on fixed income instruments at a security level from all five rating agencies.
We leverage our experience in valuations, benchmarking, and data analytics for providing customised research. The reports include data and analysis, covering different aspects of the fixed income market to suit client requirements.
We provide security level valuation of government securities, state development loans, T-bills, STRIPS, corporate bonds, and money market instruments like commercial papers, certificate of deposit and bill re-discounting scheme. We also provides bond matrices, intraday valuations, customised valuations, and market linked debentures valuations.
CRISIL Security Level Valuation of SLR securities
CRISIL provides valuation for all outstanding dated Government securities, Treasury bills, State Development Loans, and STRIPS on a daily basis.
The coverage includes:
- All Central Government Securities (G-Secs) including IIB, FRBs and surrogates such as oil and fertilizer bonds.
- All State Development Loans (SDLs) including the special securities issued by State governments including special SDLs and bonds issued under UDAY scheme.
- Treasury Bills (T-Bills)
- Separate Trading of Registered Interest and Principal of Securities (STRIPS)
CRISIL Security Level Valuations of Corporate Bonds
CRISIL provides valuations for corporate bonds on a daily basis. The coverage includes different type of securities including plain vanilla bonds, pass through securities, floating rate securities, high yield bonds, bonds with optionality, tax-free bonds etc.
CRISIL Bond Matrix - Standard
We provide two dimensional matrices of various rating categories and modified duration (tenors) on a daily basis. The two types of sector matrices published are - TRAD (traditional sectors - PSU, Corporate, Banks etc.) and NPR (covering NBFC, PTC and Real estate sectors).
CRISIL Bond Matrix - Customised
We provide customised yield curves for select issuers for desired tenor based on requirements of the clients. The curves can be very useful for issuers for peer comparison for issuances and investors for identifying new investment opportunities.
CRISIL Security Level Valuations
We provide intra-day security level valuations which are customised based on methodology, cut-offs and turn-around time best suited for client's requirements. This service is extremely useful for clients seeking fair value of the security for purpose of Inter Scheme Transfers (ISTs) and debt ETFs.
CRISIL Security Level Valuations - FIMMDA Based approach
CRISIL acts as a calculation agent for providing security level valuations using the FIMMDA's approach and policy. Valuations are provided for debt securities for banks, NBFCs and general insurance companies, using the FIMMDA-defined process. Valuations are provided at different frequencies, depending upon client requirements.
Security Level Valuations - Based on client's policies
CRISIL acts as a calculation agent for providing security level valuations using the client's valuation policy. These valuations are highly customised suiting clients requirements.
Independent portfolio valuation and Portfolio reports
CRISIL provides security level valuations covering clean price, dirty price, accrued income, modified duration, convexity etc for securities in clients portfolio in format desired by the client. Additionally customised portfolio analytics reports covering portfolio attributes like portfolio yield, coupon, duration, convexity, exposure (sector wise, duration wise, tenor wise, rating wise etc) are also provided based on client's requirements.
We provide valuations for Market Linked Debentures (MLDs) having varying payoffs and different underlying benchmarks including equity indices, basket of equity stocks, commodities and other highly customised structures.
List of Market Linked Debenture
- Citicorp Finance (India) Limited
- Credit Suisse Finance (India) Private Limited
- DSP Merrill Lynch Capital Ltd
- ECL Finance Limited
- Edelweiss Finance & Investments
- India Infoline Finance Limited
- Karvy Financial Services Limited
- Macquarie Finance (India) Private Limited
- Morgan Stanley India Capital Private Limited
- Nomura Capital (India) Private Limited
- Reliance Capital Limited
- Religare Finvest Limited
- Reliance Financial Limited
- ECap Equities Limited
- Edelweiss Finvest Private Limited
- IIFL Wealth Finance Limited
Fixed Income Research Tools
We provide fixed income research tools such as Bond Valuer, the most widely accepted bond valuation tool used by asset management companies, insurance companies and pension funds in India. Other tools include CRISIL Aggregator and CRISIL Rating Tracker.
CRISIL Bond Valuer
CRISIL Bond Valuer (CBV) is the most accepted bond valuation tool used by asset management companies (AMCs), insurance companies and pension funds. The tool lets clients calculate price interest accruals, gross price, modified duration and convexity for fixed income securities in their portfolio. The CBV generates customised valuation reports in an excel that can be directly used by other systems for generation of net asset value/portfolio valuations.
An extension of CBV, CRISIL Aggregator is a tool that averages the prices for fixed income securities provided by two different sources/agencies. The fixed income securities include commercial papers (CPs), certificates of deposit (CDs), corporate bonds, Treasury bills (T-bills), government securities (G-secs) and state development loans (SDL). The tool runs simulations to calculate the yields and modified duration based on the average of prices.
CRISIL Rating Tracker
A tool that tracks, updates the rating actions and provides automatic updates for the securities available in a client's portfolio at an ISIN level. The daily update of securities downgrades and upgrades is utilised by the risk management/compliance/operations departments of AMCs, banks, insurance agencies and custodians for monitoring their credit risk.
Fixed Income Data Services
Our database offers comprehensive coverage on:
The services we offer
Primary Market Datapoints
Primary Market Datapoints Issuer details, Instrument Class, Face Value, Notified Issue Size, Green Shoe Option, Allotment date, Coupon Type, Coupon Frequency, Conversion Type, Conversion Date/Value, Allotment date, First Coupon Date, Coupon Dates, Redemption Date, Put/Call Option Date(s) Put / Call Price, Issuer Rating , ISIN number etc.
Secondary Market Datapoints
Secondary Market Datapoints Clean Price, Gross Number of Trades, Volume, Turnover, Yield, Modified Duration, Tenor, Accrued Interest etc.
Under this service, rating changes on fixed income instruments are tracked at a security-wise level from all the five rating agencies. This data is disseminated as a feed file via e-mail or FTP. We cover about 9,000 securities under this service.
CRISIL's fixed income database has valuations data for over 3,500 securities over two years and yield curve data across rating categories and duration buckets for over 10 years.
Fixed Income Customised Research
Our Fixed Income Research provides customised research using its 15+ years of experience in valuations, benchmarking and data analytics. These reports include data and analysis to suit client requirement and typically cover different aspects of the fixed income market using primary and secondary market data. Analysis includes key trends in debt market, top issuers, concentration, performance analysis, back testing of debt portfolio strategy, sectoral spread analysis etc.
Our clientele includes:
- Offshore funds
- Wealth managers
- Financial distributors and more