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    Factsheet NIFTY AA Category Corporate Bond Indices

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    Grimoire Hearts
    The document summarizes NIFTY AA Category Corporate Bond Indices, which measure the performance of AA+, AA and AA- rated corporate bonds across six duration buckets. Each index is derived from underlying AA+ AA and AA- rated indices for the relevant duration bucket. The indices are reconstituted quarterly and have issuer weight caps of 10%. Key statistics are provided for each index, including average coupon, yield, duration, maturity and returns over different time periods as of April 2022.

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    Factsheet NIFTY AA Category Corporate Bond Indices

    Uploaded by

    Grimoire Hearts
    35 views1 page
    The document summarizes NIFTY AA Category Corporate Bond Indices, which measure the performance of AA+, AA and AA- rated corporate bonds across six duration buckets. Each index is derived from underlying AA+ AA and AA- rated indices for the relevant duration bucket. The indices are reconstituted quarterly and have issuer weight caps of 10%. Key statistics are provided for each index, including average coupon, yield, duration, maturity and returns over different time periods as of April 2022.

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    Fixed income securities and nifty factsheets

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    The document summarizes NIFTY AA Category Corporate Bond Indices, which measure the performance of AA+, AA and AA- rated corporate bonds across six duration buckets. Each index is derived from underlying AA+ AA and AA- rated indices for the relevant duration bucket. The indices are reconstituted quarterly and have issuer weight caps of 10%. Key statistics are provided for each index, including average coupon, yield, duration, maturity and returns over different time periods as of April 2022.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    35 views1 page

    Factsheet NIFTY AA Category Corporate Bond Indices

    Uploaded by

    Grimoire Hearts
    The document summarizes NIFTY AA Category Corporate Bond Indices, which measure the performance of AA+, AA and AA- rated corporate bonds across six duration buckets. Each index is derived from underlying AA+ AA and AA- rated indices for the relevant duration bucket. The indices are reconstituted quarterly and have issuer weight caps of 10%. Key statistics are provided for each index, including average coupon, yield, duration, maturity and returns over different time periods as of April 2022.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 1

    April 2022

    NIFTY AA Category Corporate Bond Indices measure the aggregated performance of AA+, AA and AA- rated corporate
    bonds across 6 duration buckets (Macaulay Duration). Each index is derived from the underlying AA+, AA and AA- rated
    indices of the concerned Macaulay duration bucket. The indices are rebalanced and reconstituted on quarterly basis and issuer
    level weights are capped at 10%.

    Index Characteristics
    Methodology Total Returns
    No. of Constituents 14
    Launch Date February 09, 2018
    Base Date September 03, 2001
    Base Value 1000
    Calculation Frequency Daily - End of day
    Reconstitution Frequency Quarterly

    Statistics ( Returns as on Apr 30, 2022 )

    Index Name Avg. Avg. Avg. Macaulay Avg. Since


    coupon % Yield %* Duration* Maturity* 3M 6M 1 Yr. 3 Yr. Inception

    NIFTY AA Category Ultra Short Duration Bond Index 8.43 7.08 0.31 0.31 1.58 3.29 6.35 7.74 8.74
    NIFTY AA Category Low Duration Bond Index 7.84 7.53 0.85 0.87 1.65 3.18 6.80 8.44 8.65
    NIFTY AA Category Short Duration Bond Index 7.31 7.90 1.99 2.15 1.38 2.53 6.94 9.25 8.71
    NIFTY AA Category Medium Duration Bond Index 8.44 8.98 3.52 4.16 0.84 1.98 7.10 9.59 8.59
    NIFTY AA Category Medium to Long Duration Bond Index 8.45 9.62 5.60 7.81 1.35 2.64 7.86 10.12 8.61
    NIFTY AA Category Long Duration Bond Index 8.16 8.43 8.31 12.90 -0.50 1.63 2.00 5.52 7.59
    Note: Returns for periods longer than 1 year are annualized
    *As on April 30, 2022

    NIFTY AA Category Corporate Bond Indices


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    Disclaimer: All information contained herewith is provided for reference purpose only. NSE Indices ensures accuracy and reliability of the above information to the best of its endeavors. However,
    NSE Indices makes no warranty or representation as to the accuracy, completeness or reliability of any of the information contained herein and disclaim any and all liability whatsoever to any person
    for any damage or loss of any nature arising from or as a result of reliance on any of the information provided herein. The information contained in this document is not intended to provide any
    professional advice.

    Contact us :
    Email: [email protected] | Tel: +91 22 26598386 | Fax: +91 22 26598120

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