CRISIL Short Term Bond Fund Index
Factsheet – December, 2017
Table of Contents
About the Index ... 3
Features ... 3
Key Characteristics ... 3
Methodology ... 3
CRISIL Short Term Bond Fund Index: Asset Allocation – December 04, 2017 ... 4
CRISIL Short Term Bond Fund Index Details – December 04, 2017 ... 6
3
About the Index
CRISIL Short Term Bond Fund Index seeks to track the performance of a debt portfolio that includes government securities, AAA/AA rated corporate bonds, Commercial Papers and Certificates of Deposit.
Features
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Total Return Index seeking to capture coupon and price returns of the underlying portfolio
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Base date for the Index : March 31, 2002
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Index portfolio marked-to-market on a daily basis using CRISIL Gilt and Bond valuations
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Index is fully invested at all points of time with no cash component
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Derived index from the following sub-indices
−
CRISIL Gilt Index
−
CRISIL AAA Short Term Bond Index
−
CRISIL AA Short Term Bond Index
−
CRISIL Composite CP Index
−
CRISIL Composite CD Index
Key Characteristics
●
Rich history: CRISIL Short Term Bond Fund Index has an inception date of March 31, 2002. Thus the index has been in existence over a decade, seen multiple interest rate cycles, and has stood the test of time
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Liquidity: The index seeks to capture the movement in a portfolio consisting of most liquid government and corporate securities by using appropriate market representation
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Replicability: The index constituents are valued on a daily basis. This lends the index a realistic approach by having the valuations close to the market levels
Methodology
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Weights to each of the sub-indices rebalanced annually based on market polls
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Index valued on a daily basis using CRISIL Valuation services
CRISIL Short Term Bond Fund Index: Asset Allocation – December 04, 2017
The securities that form part of the index with effect from December 04, 2017 are as follows:
Sr
No. ISIN Security Name Sub Index Coupon Redemptio
n Date Weight
1 IN0020170026 06.79% CGL 2027
CRISIL Gilt Index
6.79% 15-May-27 4.27%
2 IN0020170042 06.68% CGL 2031 6.68% 17-Sep-31 3.25%
3 IN0020160118 06.79% CGL 2029 6.79% 26-Dec-29 2.42%
4 IN0020130012 07.16% CGL 2023 7.16% 20-May-23 1.15%
5 IN0020150036 07.72% CGL 2025 - New 10 Year G-Sec. 7.72% 25-May-25 1.18%
6 IN0020090034 07.35% CGL 2024 7.35% 22-Jun-24 1.19%
7 IN0020160050 06.84% CGL 2022 6.84% 19-Dec-22 1.05%
8 IN0020150010 07.68% CGL 2023 7.68% 15-Dec-23 1.14%
9 IN0020150051 07.73% CGL 2034 - New 19 Year G-Sec. 7.73% 19-Dec-34 1.17%
10 IN0020070028 08.08% CGL 2022 (Recaptalised Bond) 8.08% 2-Aug-22 1.02%
11 IN0020120047 08.20% CGL 2025 8.20% 24-Sep-25 1.13%
12 IN0020140029 08.27% CGL 2020 (New 6 Year Bond) 8.27% 9-Jun-20 1.02%
13 INE001A07QZ0 HDFC 06.96% (Series S-001) 28-Dec-2018
CRISIL AAA Short Term Bond Index
6.96% 28-Dec-18 2.60%
14 INE002A08484 Reliance Industries 06.78% (PPD Series - B) 16-Sep-
2020 6.78% 16-Sep-20 1.27%
15 INE020B08AJ4 RECL 06.87% 24-Sep-2020 6.87% 24-Sep-20 2.60%
16 INE110L07054 Reliance Jio Infocomm Ltd. 08.10% (Series PPD9) 29-
Apr-2019 8.10% 29-Apr-19 1.85%
17 INE115A07MH5 LICHF 07.0650% (Tranche 346) 19-Jun-2019 7.07% 19-Jun-19 2.60%
18 INE134E08IW3 Power Finance Corp. 07.50% (Series 163) 17-Sep-
2020 7.50% 17-Sep-20 2.60%
19 INE148I07HW8 Indiabulls Housing finance 08.65% 22-Aug-2019 8.78% 22-Aug-19 2.60%
20 INE261F08907 NABARD 06.98% (Series 18 G) 30-Sep-2020 6.98% 30-Sep-20 2.60%
21 INE296A07QC5 Bajaj Finance 07.2525% (Series 223) 10-Nov-2020 7.25% 10-Nov-20 2.60%
22 INE556F09619 SIDBI 8.28% (Series 7 FY 2015-16) 26-Feb-2019 8.28% 26-Feb-19 1.03%
23 INE756I07BP5 HDB Financial Services 07.30% (Series 2017 A/1/112)
08-Sep-2020 7.30% 8-Sep-20 1.78%
24 INE916DA7LR5 KMPL 08.00% (Series I) 23-Aug-2018 8.00% 23-Aug-18 1.87%
25 INE027E07469 L&T Finance 07.85% (Series F of FY 2017-18) 19-Jun- 2020
CRISIL AA Short Term Bond Index
7.85% 19-Jun-20 1.02%
26 INE121A07NW0 Cholamandalam Investment & Fin 07.80% 26-Jul-
2019 7.80% 26-Jul-19 1.90%
27 INE155A08357 Tata Motors 07.28% (Series E 27 I Tranche I) 29-Jul-
2020 7.28% 29-Jul-20 1.22%
28 INE268A07145 Sterlite Inds 09.10% 05-Apr-2023 P/C 05-Apr-2018 9.10% 5-Apr-18 1.90%
29 INE306N07JJ5 TCFSL 07.87% (TCFSL D Series FY 2017-18) 09-Jun-
2020 7.87% 9-Jun-20 1.90%
30 INE572E09478 PNBHF 07.50% 15-Sep-2020 7.50% 15-Sep-20 1.90%
31 INE657N07183 Edelweiss Commodities Services 09.00% (Option II)
17-Apr-2020 C/P 19-Apr-2018 9.00% 19-Apr-18 1.06%
32 INE660A07PE0 Sundaram Finance 07.47% (Series Q15) 01-Sep-2020 7.47% 1-Sep-20 1.90%
33 INE721A07MP3 STFC 07.60% (Series PPD 17-18 E12) 17-Jan-2019 7.60% 17-Jan-19 1.90%
34 INE774D07NC2 MMFSL 08.6967% (Reset Rate) 27-Jun-2018 P - 26-
Dec-2016 9.06% 27-Jun-18 1.90%
35 INE860H07FI3 Aditya Birla Finance 07.60% (Series ABFL NCD D2
FY2017-18) 16-Sep-2020 7.60% 16-Sep-20 1.26%
5
SrNo. ISIN Security Name Sub Index Coupon Redemptio
n Date Weight 36 INE909H08014 Tata Motors Financial Services 10.90% (Series TMFL
Tier II Bonds A) 20-Jan-2020 10.90% 20-Jan-20 1.14%
37 INE238A16U45 Axis Bank Ltd.
CRISIL 2 Month CD Index
- 12-Jan-18 1.08%
38 INE092T16CD7 IDFC Bank ltd. - 19-Jan-18 1.08%
39 INE528G16J01 Yes Bank - 16-Jan-18 1.08%
40 INE095A16VI9 IndusInd Bank Ltd. - 19-Jan-18 1.08%
41 INE514E16AC8 Export Import Bank Of India - 12-Jan-18 1.08%
42 INE514E16AW6 Export Import Bank Of India
CRISIL 3 Month CD Index
- 1-Mar-18 0.88%
43 INE095A16WB2 IndusInd Bank Ltd. - 1-Mar-18 0.88%
44 INE238A16U94 Axis Bank Ltd. - 26-Feb-18 0.88%
45 INE090A168L5 ICICI Bank Ltd. - 5-Mar-18 0.88%
46 INE237A16X27 Kotak Mahindra Bank Ltd. - 23-Feb-18 0.88%
47 INE528G16J50 Yes Bank - 23-Feb-18 0.88%
48 INE092T16BQ1 IDFC Bank ltd. - 28-Feb-18 0.88%
49 INE556F16127 Small Industries Development Bank Of India - 7-Mar-18 0.88%
50 INE551W16024 Ujjivan Small Finance Bank Ltd. - 2-Mar-18 0.88%
51 INE261F16256 National Bank for Agriculture & Rural Development - 2-Mar-18 0.88%
52 INE238A16S56 Axis Bank Ltd.
CRISIL 6 Month CD Index
- 6-Jun-18 0.14%
53 INE526V16218 Abu Dhabi Commercial Bank Ltd. - 6-Jun-18 0.14%
54 INE090A166M7 ICICI Bank Ltd. - 30-May-18 0.14%
55 INE095A16WI7 IndusInd Bank Ltd. - 30-May-18 0.14%
56 INE092T16BG2 IDFC Bank ltd. - 29-May-18 0.14%
57 INE556F16242 Small Industries Development Bank Of India - 29-May-18 0.14%
58 INE237A163A3 Kotak Mahindra Bank Ltd. - 24-May-18 0.14%
59 INE092T16BY5 IDFC Bank ltd.
CRISIL 1 Year CD Index - 5-Nov-18 2.40%
60 INE556F16283 Small Industries Development Bank Of India - 6-Nov-18 2.40%
61 INE053T14AA4 ONGC Mangalore Petrochemicals Ltd.
CRISIL 2 Month CP Index
- 16-Jan-18 0.57%
62 INE870D14BJ4 National Fertilizers Ltd. - 22-Jan-18 0.57%
63 INE110L14FI1 Reliance Jio Infocomm Ltd. - 22-Jan-18 0.57%
64 INE831R14777 Aditya Birla Housing Finance Ltd. - 12-Jan-18 0.57%
65 INE306N14LY6 Tata Capital Financial Services Ltd. - 16-Jan-18 0.57%
66 INE121A14ON3 Cholamandalam Investment & Finance Co. Ltd. - 12-Jan-18 0.57%
67 INE514E14ML9 Export Import Bank Of India - 19-Jan-18 0.57%
68 INE373A14735 BASF India Ltd. - 10-Jan-18 0.57%
69 INE148I14TL2 Indiabulls Housing Finance Ltd. - 12-Jan-18 0.57%
70 INE660A14QB0 Sundaram Finance Ltd. - 9-Jan-18 0.57%
71 INE001A14RJ8 Housing Development Finance Corporation Ltd.
CRISIL 3 Month CP Index
- 28-Feb-18 0.78%
72 INE038A14197 Hindalco Industries Ltd. - 23-Feb-18 0.78%
73 INE261F14BR4 National Bank for Agriculture & Rural Development - 28-Feb-18 0.78%
74 INE660A14QK1 Sundaram Finance Ltd. - 1-Mar-18 0.78%
75 INE404K14CT4 Shapoorji Pallonji & Company Ltd. - 27-Feb-18 0.78%
76 INE296A14LP4 Bajaj Finance Ltd. - 26-Feb-18 0.78%
Sr
No. ISIN Security Name Sub Index Coupon Redemptio
n Date Weight
77 INE891K14EN1 AXIS FINANCE LTD. - 8-Mar-18 0.78%
78 INE688I14EG9 Capital First Ltd. - 8-Mar-18 0.78%
79 INE008I14HK5 Cox & Kings (India) Ltd. - 8-Mar-18 0.78%
80 INE572E14BJ4 PNB Housing Finance Ltd. - 8-Mar-18 0.78%
81 CRISIL 6 Month CP
Index - CRISIL 6 Month CP
Index - - 0.30%
82 CRISIL 12 Month
CP Index - CRISIL 1 Year CP Index - - 1.20%
CRISIL Short Term Bond Fund Index Details – December 04, 2017
Parameters Values
Average Maturity (years) 2.86
Modified Duration (years) 2.14
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