NIFTY AAA Corporate Bond Index

NIFTY AAA Corporate Bond Index measures the performance of AAA rated corporate bonds across maturities. The index consists of up to 70 AAA rated corporate bonds that represent five distinct maturity buckets with up to 14 most liquid bonds within each maturity bucket. The index captures the total return on the bond portfolio including price return and coupon return.

Highlights

  • The Index has a base date of December 31, 2013 and a base value of 1000
  • The Index seeks to measure the performance of AAA rated bonds market in India
  • With up to 70 most liquid AAA rated bonds, the index is well-diversified, broad based and investible
  • Covering 5 distinct maturity buckets (ultra-short term, short-term, medium term, long term and ultra-long term), the index adequately represents the dynamics of entire yield curve
  • Based on a well-defined, market relevant and rules-based framework, the index is a transparent and objective indicator of Indian corporate bond market performance
  • With unique threshold mechanism that lays down stringent criteria for bond inclusion and exclusion, the index seeks to minimize degree of churning and replication cost
  • The index is computed using the total returns methodology capturing price return and coupon return
  • The index is rebalanced and reconstituted on quarterly basis

Download Fact Sheet of NIFTY AAA Corporate Bond Index (.pdf)

Download Methodology of NIFTY AAA Corporate Bond Index (.pdf)

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