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Fixed Income Money Market Indices


NIFTY CD Indices

NIFTY CD Indices consist of 6 indices which individually track the performance of Certificate of Deposits with short term rating of A1+ in 1 month, 2 months, 3 months, 6 months & 1-year maturity segment and aggregated performance across maturities through an all maturity index.

List of NIFTY CP indices

  • NIFTY 1 Month CD Index
  • NIFTY 2 Month CD Index
  • NIFTY 3 Month CD Index
  • NIFTY 6 Month CD Index
  • NIFTY 1 Year CD Index
  • NIFTY All Maturity CD Index

Highlights

  • The Indices have a base date of 03rd September 2001 and a base value of 1000
  • 5 distinct maturity based indices represent the performance of CD of 1 month, 2 months, 3 months, 6 months and 1 year with up to 14 issuers
  • NIFTY All Maturity CD Index represents the aggregated performance of 4 distinct maturities (2 months, 3 months, 6 months and 1 year) based CD indices
  • 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 fortnightly basis

Links:

Download Fact Sheet of NIFTY CD Indices (.pdf)

Download Portfolio of NIFTY CD Indices to be effective from next rebalancing (.pdf)

Download Methodology Document (.pdf)

NIFTY CP Indices

NIFTY CP Indices consist of 6 indices that individually track the performance of Commercial Papers with short term rating of A1+ in 1 month, 2 months, 3 months, 6 months & 1-year maturity segment and aggregated performance across maturities through an all maturity index.

List of NIFTY CP indices

  • NIFTY 1 Month CP Index
  • NIFTY 2 Month CP Index
  • NIFTY 3 Month CP Index
  • NIFTY 6 Month CP Index
  • NIFTY 1 Year CP Index
  • NIFTY All Maturity CP Index

Highlights

  • The Indices have a base date of 03rd September 2001 and a base value of 1000
  • 5 distinct maturity based indices represent the performance of CP of 1 month, 2 months, 3 months, 6 months and 1 year with up to 14 issuers
  • NIFTY All Maturity CP Index represents the aggregated performance of 4 distinct maturities (2 months, 3 months, 6 months and 1 year) based CP indices
  • 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 fortnightly basis

Links:

Download Fact Sheet of NIFTY CP Indices (.pdf)

Download Portfolio of NIFTY CP Indices to be effective from next rebalancing (.pdf)

Download Methodology Document (.pdf)

NIFTY T-Bills Indices

NIFTY T-Bills Indices consist of 6 indices which individually track the performance of 'on-the-run' T-bill representing 5 distinct maturity segment (30 days, 60 days, 91 days, 182 days and 1 year) and aggregated performance across maturities through an all maturity index.

List of T-Bills Indices

  • NIFTY 30 Day T-Bill Index
  • NIFTY 60 Day T-Bill Index
  • NIFTY 91 Day T-Bill Index
  • NIFTY 182 Day T-Bill Index
  • NIFTY 1 Year T-Bill Index
  • NIFTY All Maturity T-Bill Index

Highlights

  • 5 distinct maturity based indices represent the performance of T-Bill of 30-days, 60-days, 91-days, 182-days, and 1-year maturity
  • NIFTY All Maturity T-Bill Index represents the aggregated performance of 3 distinct maturities (91-days, 182-days, and 1-year) based T-Bill indices
  • 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 weekly basis

Links:

Download Fact Sheet of NIFTY T-Bills Indices (.pdf)

Download Methodology Document (.pdf)

The NIFTY 1D Rate Index has been developed to measure the returns generated by market participants lending in the overnight market. The index uses the “Triparty Repo Dealing System (TREPS)" overnight rate for computation of index values.

  • The index is computed daily at the end of the day
  • The base date for the index is January 03, 2011 and base value is 1000
  • The index has a first value date of September 17, 2003

Links:

Download Fact Sheet (.pdf)

Download Methodology (.pdf)

Updated on: 11/11/2019
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