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Fixed Income G-sec Indices


NIFTY G-Sec Indices represent the Government of India bonds across 6 distinct duration buckets. Up to 3 liquid securities within each duration bucket shall be eligible to form part of the index.

List of NIFTY G-Sec Indices

  • NIFTY Ultra Short Duration G-Sec Index
  • NIFTY Low Duration G-Sec Index
  • NIFTY Short Duration G-Sec Index
  • NIFTY Medium Duration G-Sec Index
  • NIFTY Medium to Long Duration G-Sec Index
  • NIFTY Long Duration G-Sec Index

Highlights

  • The indices have a base date of 03rd September 2001 and a base value of 1000
  • The Index seeks to measure the performance of most liquid Government of India bonds across 6 distinct duration buckets
  • Based on a well-defined, market-relevant and rules-based framework, the indices are a transparent and objective indicator of corporate bond market performance
  • The indices are rebalanced and reconstituted on a monthly basis

Links:

Download Fact Sheet of NIFTY G-Sec Indices (.pdf)

Download Portfolio of NIFTY G-sec Indices to be effective from next rebalancing (.pdf)

Download Methodology Document (.pdf)

The Nifty 5 yr Benchmark G-Sec Index is a single bond index tracking the most liquid 5 year benchmark security issued by the Government of India.

  • The index has a base date of September 03, 2001 and a base value of 1000.
  • The index seeks to measure the performance of the most liquid Government of India bond in the 5 year maturity segment.
  • The index is reviewed on a monthly basis.

Links:

Download Methodology of Nifty 5 yr Benchmark G-Sec Index (.pdf)

Download Factsheet of Nifty 5 yr Benchmark G-Sec Index (.pdf)

NIFTY 8-13 yr G-Sec index is constructed using the prices of top 5 (in terms of traded value) liquid GOI bonds with residual maturity between 8 to 13 years and has outstanding issuance exceeding Rs.5000 crores. The individual bonds are assigned weights considering the traded value and outstanding issuance in the ratio of 40:60. The index measures the changes in the prices of the bond basket.

  • The index has a base date of Jan 03, 2011 and base value of 1000

Links:

Download Fact Sheet of NIFTY 8-13 yr G-Sec Index (.pdf)

Download Methodology of NIFTY 8-13 yr G-Sec Index (.pdf)

The NIFTY 10 yr Benchmark G-Sec Index is constructed using the price of a 10-year bond issued by the Central Government, India. The index seeks to track the performance of the 10-year benchmark security.

  • The index has a base date of Jan 03, 2011 and base value of 1000
  • The index has a first value date of April 03, 1998

Links:

Download Fact Sheet of NIFTY 10 yr Benchmark G-Sec Index (.pdf)

Download Methodology of NIFTY 10 yr Benchmark G-Sec Index (.pdf)

Snippet 1 - June 2018 (.pdf)

The NIFTY 10 yr Benchmark G-Sec (Clean Price) Index is constructed using the clean price of a 10-year bond issued by the Central Government, India. This index will provide a measure of the price movement of a 10-year benchmark bond based on clean price only. Accrued Interest and coupon payments are not considered for index calculations.

  • The index has a base date of Jan 03, 2011 and base value of 1000.
  • The index has a first value date of April 03, 1998

Links:

Download Fact Sheet of NIFTY 10 yr Benchmark G-Sec (Clean Price) index (.pdf)

Download Methodology of NIFTY 10 yr Benchmark G-Sec (Clean Price) index (.pdf)

NIFTY 4-8 yr G-Sec index is constructed using the prices of top 3 (in terms of traded value) liquid GOI bonds with residual maturity between 4 to 8 years and having outstanding issuance of over Rs.5000 crores. The individual bonds are assigned weights considering the traded value and outstanding issuance in the ratio of 40:60. The index measures the changes in the dirty prices of the bond basket

  • The index has a base date of Jan 03, 2011 and base value of 1000

Links:

Download Fact Sheet of NIFTY 4-8 yr G-Sec index (.pdf)

Download Methodology of NIFTY 4-8 yr G-Sec index (.pdf)

NIFTY 11-15 yr G-Sec index is constructed using the prices of top 3 (in terms of traded value) liquid GOI bonds with residual maturity between 11 to 15 years and having outstanding issuance of over Rs.5000 crores. The individual bonds are assigned weights considering the traded value and outstanding issuance in the ratio of 40:60. The index measures the changes in the dirty prices of the bond basket

  • The index has a base date of Jan 03, 2011 and base value of 1000

Links:

Download Fact Sheet of NIFTY 11-15 yr G-Sec Index (.pdf)

Download Methodology of NIFTY 11-15 yr G-Sec Index (.pdf)

NIFTY 15 yr and above G-Sec index is constructed using the prices of top 3 (in terms of traded value) liquid GOI bonds with residual maturity of 15 years and above and having outstanding issuance of over Rs.5000 crores. The individual bonds are assigned weights considering the traded value and outstanding issuance in the ratio of 40:60. The index measures the changes in the dirty prices of the bond basket

  • The index has a base date of Jan 03, 2011 and base value of 1000

Links:

Download Fact Sheet of NIFTY 15 yr and above G-index (.pdf)

Download Methodology of NIFTY 15 yr and above G-Sec index (.pdf)

Updated on: 29/11/2019 12:00
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