Almost every institutional investor and off-shore fund enterprise with an equity exposure in India would like to have an instrument for measuring returns on their equity investment in dollar terms. To facilitate this, a new index the S&P CNX Defty-Dollar Denominated S&P CNX Nifty has been developed. S&P CNX Defty is S&P CNX Nifty, measured in dollars.

Salient Features

• Performance indicator to foreign institutional investors, off-shore funds, etc.
• Provides an effective tool for hedging Indian equity exposure.
• Impact cost of the S&P CNX Nifty for a portfolio size of 50 Lakhs is 0.06%
• Provides fund managers an instrument for measuring returns on their equity investment in dollar terms.

Calculation of S&P CNX Defty

Computations are done using the S&P CNX Nifty index calculated on the NEAT trading system of NSE and INR-USD exchange rate that is based on the real time polled data feed.

S&P CNX Defty = S&P CNX Nifty at time t * Exchange rate as on base date
Exchange rate at time t

Calculation of closing value of S&P CNX Defty

Closing value of S&P CNX Defty is computed by considering average of INR-USD polled data values (exchange rate) of last 30 minutes of the market.

Closing value of    =  Closing value of S&P CNX Nifty * Exchange rate as on base date
S&P CNX Defty Average of exchange rate of last 30 minutes of the market

Specifications of S&P CNX Defty:

Base date: 03 November 1995
Base S&P CNX Defty Index Value: 1000
S&P CNX Nifty Value as on Base date: 1000
Exchange rate as on base date: 34.65
Adjustment factor as on Base date:1.00