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Fixed Income SDL Indices

Capital Market Derivatives Fixed Income & Debt Emerge Platform Public Issues

Fixed Income SDL Indices

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NIFTY 10 Year SDL Index

NIFTY 10 Year SDL Index seeks to measure the performance of a portfolio of State Development Loans (SDLs) with residual maturity of about 10 years. The index contains SDLs issued by the top 14 states selected every year based on their primary issuance volume during the previous year. The index captures the total return, including price return and coupon return on the underlying SDL portfolio.

Highlights

  • The index has a base date of September 03, 2001 and a base value of 1000
  • With top 14 states reviewed annually, the index adequately represents the dynamics of the 10-year maturity bucket of the SDL market
  • Most recently issued on-the-run 10 year SDL of each of the selected 14 states to be included in the index
  • Weightage to each SDL based on the issue size of the security
  • The index is computed using the total return methodology including price return and coupon return
  • The index is rebalanced and reconstituted at every auction

Links:

NIFTY 10 Year SDL Index - a white paper by NSE Indices (.pdf)

Download Factsheet of NIFTY 10 Year SDL Index (.pdf)

Download Methodology of NIFTY 10 Year SDL Index (.pdf)

Download Portfolio of NIFTY 10 Year SDL Index (to be effective from next rebalancing)(.pdf)

Updated on: 17/06/2020
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