March 2020 NIFTY AAA Corporate Bond Indices consist of 6 indices which individually measure performance of AAA rated corporate bonds from 6 distinct Macaulay Duration buckets. Each index in the series consists of up to 14 most liquid issuers represented by their most liquid bonds. The indices are rebalanced and reconstituted on quarterly basis and issuer level weights are capped at 10%. Note: Returns for periods longer than 1 year are annualized *As on 31 st March 2020. 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 1000.00 1400.00 1800.00 2200.00 2600.00 3000.00 3400.00 3800.00 4200.00 4600.00 5000.00 5400.00 Sep-01 May-04 Feb-07 Nov-09 Aug-12 May-15 Feb-18 Nov-20 Index Values NIFTY AAA Corporate Bond Index Series NIFTY AAA Ultra Short Duration Bond Index NIFTY AAA Low Duration Bond Index NIFTY AAA Short Duration Bond Index NIFTY AAA Medium Duration Bond Index Index Characteristics Methodology Total Return No. of Constituents Up-to 14 issuers Launch Date February 09, 2018 Base Date September 03,2001 Base Value 1000 Calculation Frequency Daily - End of Day Reconstitution Frequency Quarterly Statistics Index Name Avg. coupon Avg. Yield* Avg. Macaulay Duration* Avg. Maturity* Returns as on 31 st March 2020 3 M 6 M 1 Yr. 3 Yr. Since inception NIFTY AAA Ultra Short Duration Bond 6.81% 5.64% 0.19 0.22 1.66% 3.44% 7.70% 7.77% 8.18% NIFTY AAA Low Duration Bond 7.79% 6.40% 0.64 0.73 1.56% 3.63% 8.28% 7.70% 8.01% NIFTY AAA Short Duration Bond 7.43% 6.75% 2.00 2.13 2.03% 4.28% 9.42% 7.68% 8.10% NIFTY AAA Medium Duration Bond 8.65% 7.38% 3.48 4.13 2.52% 5.33% 10.83% 7.44% 8.26% NIFTY AAA Medium to Long Duration Bond 8.09% 7.42% 6.33 8.68 3.95% 6.69% 12.96% 7.28% 8.15% NIFTY AAA Long Duration Bond 7.68% 7.31% 8.01 12.27 4.80% 8.19% 15.80% 7.76% 9.00%

NIFTY AAA Corporate Bond Index Series · March 2020 NIFTY AAA Corporate Bond Indices consist of 6 indices which individually measure performance of AAA rated corporate bonds from

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Page 1: NIFTY AAA Corporate Bond Index Series · March 2020 NIFTY AAA Corporate Bond Indices consist of 6 indices which individually measure performance of AAA rated corporate bonds from

March 2020 NIFTY AAA Corporate Bond Indices consist of 6 indices which individually measure performance of AAA rated corporate

bonds from 6 distinct Macaulay Duration buckets. Each index in the series consists of up to 14 most liquid issuers

represented by their most liquid bonds. The indices are rebalanced and reconstituted on quarterly basis and issuer level

weights are capped at 10%.

Note: Returns for periods longer than 1 year are annualized *As on 31st March 2020.

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.

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

1000.001400.001800.002200.002600.003000.003400.003800.004200.004600.005000.005400.00

Sep-01 May-04 Feb-07 Nov-09 Aug-12 May-15 Feb-18 Nov-20

Ind

Val

NIFTY AAA Corporate Bond Index Series

NIFTY AAA Ultra Short Duration Bond Index NIFTY AAA Low Duration Bond Index

NIFTY AAA Short Duration Bond Index NIFTY AAA Medium Duration Bond Index

Index Characteristics

Methodology Total Return

No. of Constituents Up-to 14 issuers