Index Dashboard – Fiscal 2021

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Index

Dashboard – Fiscal

2021

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Top 5 performing indices in fiscal 2021 Bottom 5 performing indices in fiscal 2021

Index FY21 FY20 FY19

CRISIL Hybrid 25+75 - Aggressive Index

57.06% -16.60% 10.95%

CRISIL Hybrid 35+65 - Aggressive Index

49.75% -12.94% 10.46%

CRISIL Hybrid 50+50 - Moderate Index

39.21% -7.32% 9.67%

CRISIL Short Term Debt Hybrid 60+40 Fund Index

32.51% -4.98% 9.63%

CRISIL Hybrid 65+35 - Conservative Index

29.17% -1.53% 8.84%

Index FY21 FY20 FY19

CRISIL AA- Long Term Bond Index

-0.70% 3.37% 8.46%

CRISIL Overnight Index 3.08% 5.28% 6.31%

CRISIL 1 Month T-Bill Index 3.42% 5.73% 6.70%

CRISIL 2 Month T-Bill Index 3.55% 5.92% 6.86%

CRISIL 10 Year Gilt Index 3.60% 14.65% 6.82%

Source: CRISIL Research 5.50%

5.70%

5.90%

6.10%

6.30%

6.50%

6.70%

6.90%

7.10%

7.30%

7.50%

31-Mar-20 30-Apr-20 31-May-20 30-Jun-20 31-Jul-20 31-Aug-20 30-Sep-20 31-Oct-20 30-Nov-20 31-Dec-20 31-Jan-21 28-Feb-21 31-Mar-21

Yield comparison of gilt and credit benchmarks

Benchmark 10 Year Gilt Benchmark 10 Year AAA

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

31-Mar-20 30-Apr-20 31-May-20 30-Jun-20 31-Jul-20 31-Aug-20 30-Sep-20 31-Oct-20 30-Nov-20 31-Dec-20 31-Jan-21 28-Feb-21 31-Mar-21

Yield comparison of money market instruments

Benchmark 1 Year T-Bill Benchmark 1 Year CD Benchmark 1 Year CP

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Summary

Gilt indices

Returns on government security (G-sec or gilt) indices ranged between 3.60% and 7.22% in fiscal 2021, compared with 9.78-16.37% the previous fiscal. The 10-year Gilt Index yield hardened by 28 basis points (bps) on-year, compared with an easing of 106 bps on-year in fiscal 2020.

The events that influenced yields in fiscal 2021 were:

Phases Influencers

Easing till end-July, 2020

● Liquidity and regulatory measures announced by the Reserve Bank of India (RBI)

● Reduction of the repo rate from 4.4% to 4.0% by the Monetary Policy Committee at its emergency meeting in May to support the economy buffeted by Covid-19

● Actual short-term fiscal expenditure of the Rs 20 lakh crore stimulus package announced being much lower at 1.2% of GDP

Hardening in August 2020

● Sentiment dented as central bank did not announce open market operations (OMOs) to absorb excess supply of G-secs/ state development loans (SDLs)

● Retail inflation was well above the upper limit of the RBI’s medium-term target band of 4% +/-2% on account of high food inflation caused by disruptions in the supply chain

Easing in September and October 2020

● Four OMOs conducted in September of Rs 10,000 crore each

Flat from November 2020 to January 2021

● The apex bank’s accommodative stance to ensure sustainable long-term growth as well as periodic OMOs despite highest Consumer Price Index (CPI) inflation in over six years (7.6%)

● Surplus liquidity in the banking system, which sharply lowered short-term rates.

The three-month treasury bill marked its first-ever issuance at sub-3% level in more than a decade

● CPI inflation for December came in lower than anticipated

Hardening in February 2021

● Wider-than-expected fiscal deficit estimate of 6.8% of GDP for fiscal 2022 announced in Union Budget 2021–22

● US Treasury yields inched higher

● Brent crude oil prices rose 13.6% on-month

Easing in March 2021

● Crude oil prices edged lower from February levels on renewed fears of falling demand amid a surge in new Covid-19 infections globally

● Expectations that the central bank would maintain an accommodative monetary policy amid the surge in Covid-19 cases

The CRISIL 10-Year Gilt Index clocked a return of 3.60% in fiscal 2021 compared with 14.65% in the previous

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fiscal, and the CRISIL 10-Year SDL Index printed 5.48% vis-à-vis 14.21%.

Credit indices

Fiscal 2021 was marked by fissures in the financial sector, with multiple downgrades. Of the issuers that were part of CRISIL bond indices at any time during the year, 26 saw downgrades – the highest in the past five years – while 15 saw upgrades.

Source: CRISIL Research

Credit indices clocked returns between -0.70% and 14.33% on-year in fiscal 2021 vis-à-vis 3.37-15.93% on-year in fiscal 2020. Also, the credit spread in the AAA PSU 10-year segment narrowed 32 bps during the year as investments shifted towards higher rated liquid Public Sector Units (PSUs) avoiding credit risk.

Though the limit for foreign portfolio investment (FPI) in corporate bonds was raised to Rs 5.42 lakh crore in fiscal 2021 from Rs 3.17 lakh crore in fiscal 2020, utilization fell from 54.49% to 24.54% as well. This was because FPIs shifted from corporate debt to equity on renewed optimism and rising risk appetite.

Money market indices

Money market indices clocked 3.08-8.24% on-year returns in fiscal 2021 vis-à-vis 5.28-8.48% on-year in the previous fiscal. On-year basis, yields fell 228 bps for commercial papers (CPs), 190 bps for certificates of deposit (CDs), and 99 bps for treasury bills. Given a liquidity surplus, banks and corporates reduced the issuance of CDs (Rs 1.21 lac crores) and CPs (Rs 16.48 lac crores) in fiscal 2021.

Dollar indices

Dollar-denominated fixed-income indices clocked returns of 6.26-10.89% in fiscal 2021 compared with 3.60-8.20%

for rupee-denominated peers. The outperformance was because of a 2.56% appreciation in the rupee against the dollar.

13

9 10

20

26

9

16 16

7

15

0 5 10 15 20 25 30

FY17 FY18 FY19 FY20 FY21

Ratings action - Index issuers

No. of index issuers downgraded No. of index issuers upgraded

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Annexure

For further information on CRISIL indices, please visit https://www.crisil.com/en/home/what-we-do/financial- products/indices.html

Key macroeconomic numbers

Parameters FY20 FY21 FY22F

CPI inflation (%, average) 4.77% 6.19% 5.00%

Repo rate (%, March-end) 4.40% 4.00% 4.25%

SLR (%, March-end) 18% 18% N/A

Brent crude oil price ($ per barrel, March-end) 19.19 44.81 55-60

Current account deficit (as % of GDP) 0.9% -1.5% 1.4%

Fiscal deficit (as % of GDP) 4.60% 9.50% 6.8%**

Rupees per dollar (March-end) 74.4 72.8 75.0

GDP growth (on-year %) 4.20% -8.00% 11.00%*

FPI investment in corporate bonds (Rs crore;

March-end)

1,72,772 (54.49% of limit)

1,32,865 (24.54% of limit)

--

FPI investment in government securities (Rs crore)

27,540 for long-term FPIs

1,32,765 for non-long term FPIs

20,865 for long-term FPIs (20.15% of limit) 93,136 for non-long term

FPIs (39.71% of limit)

-

GOI net market borrowing (Rs lakh crore) 4.989 9.37 -

F: Forecast; NA: Not available

* With downward bias; **BE – Budget estimate; is likely to be exceeded in case of additional fiscal stimulus by the government owing to Covid- 19 pandemic

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Performance of CRISIL Indices for the Financial Year 2020-2021

INDEX FY21 FY20 FY19 3Y 5Y

Composite indices

CRISIL Liquid Fund Index 4.07 6.39 7.63 6.02 6.40

CRISIL Ultra Short Term Debt Index 5.41 7.42 8.16 6.99 7.12

CRISIL Low Duration Debt Index 6.46 8.09 8.17 7.57 7.65

CRISIL Short Term Bond Fund Index 7.80 9.82 7.56 8.39 8.08

CRISIL Medium Term Debt Index 9.05 11.66 6.40 9.01 8.81

CRISIL Medium To Long Term Debt Index 7.98 13.13 6.27 9.09 8.75

CRISIL Long Term Debt Index 7.99 15.59 5.66 9.67 9.17

CRISIL Composite Bond Fund Index 7.69 12.65 6.72 8.99 8.62

CRISIL Dynamic Debt Index 7.97 12.32 6.43 8.88 8.54

CRISIL Long Term Corporate Bond Index 9.37 13.25 4.24 8.89 9.05

CRISIL Medium Term Corporate Bond Index 9.31 11.37 6.17 8.93 8.79

CRISIL Short Term Corporate Bond Index 9.26 9.78 7.72 8.92 8.63

CRISIL Corporate Bond Composite Index 9.22 11.53 5.78 8.82 8.83

CRISIL Short Term Credit Risk Index 9.88 9.85 8.22 9.31 9.02

CRISIL Composite Credit Risk Index 9.60 10.21 5.27 8.34 8.88

CRISIL Banking and PSU Debt Index 7.20 10.95 7.24 8.45 8.47

Gilt indices

CRISIL Short Term Gilt Index 6.46 10.32 8.80 8.51 8.19

CRISIL Medium Term Gilt Index 6.81 12.18 8.58 9.17 8.39

CRISIL Long Term Gilt Index 6.71 16.16 8.79 10.48 9.24

CRISIL Composite Gilt Index 5.87 13.44 8.54 9.24 8.37

CRISIL Dynamic Gilt Index 6.49 12.73 7.89 9.00 8.21

CRISIL 10 Year Gilt Index 3.60 14.65 6.82 8.26 7.18

CRISIL Broad Based Long Term Gilt Index 6.73 16.37 8.90 10.59 9.65

CRISIL Broad Based Medium Term Gilt Index 7.22 12.48 9.22 9.62 8.85

CRISIL Broad Based Short Term Gilt Index 6.12 9.78 8.49 8.12 7.79

CRISIL Broad Based Gilt Index 6.75 13.33 8.89 9.62 8.93

SDL indices

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INDEX FY21 FY20 FY19 3Y 5Y

Credit indices

CRISIL AAA Long Term Bond Index 9.01 15.93 5.03 9.90 9.56

CRISIL AAA Medium Term Bond Index 9.30 12.05 6.18 9.15 8.82

CRISIL AAA Short Term Bond Index 9.13 9.69 7.61 8.81 8.41

CRISIL AAA up to 1 Year Short Term Bond Index 6.08 8.06 8.11 7.41 7.48

CRISIL AAA 1 to 3 Year Short Term Bond Index 9.21 10.32 7.54 9.02 8.73

CRISIL Composite AA Long Term Bond Index 10.78 5.40 2.63 6.22 7.81

CRISIL Composite AA Medium Term Bond Index 9.10 9.35 6.25 8.22 8.79

CRISIL Composite AA Short Term Bond Index 9.63 10.00 8.01 9.21 9.04

CRISIL AA and AA+ Long Term Bond Index 9.00 10.36 0.88 6.66 7.64

CRISIL AA and AA+ Medium Term Bond Index 10.58 10.15 5.18 8.61 8.97

CRISIL AA and AA+ Short Term Bond Index 9.48 9.62 7.44 8.84 8.79

CRISIL AA and AA+ up to 1 Year Short Term Bond Index 7.98 10.09 8.39 8.82 8.30 CRISIL AA and AA+ 1 to 3 Year Short Term Bond Index 9.82 8.22 7.56 8.53 8.58

CRISIL AA+ Long Term Bond Index 6.68 5.23 2.88 4.92 6.68

CRISIL AA+ Medium Term Bond Index 8.91 5.70 6.59 7.06 8.16

CRISIL AA+ Short Term Bond Index 9.16 10.10 7.81 9.02 8.83

CRISIL AA Long Term Bond Index 14.33 8.10 1.52 7.85 8.66

CRISIL AA Medium Term Bond Index 13.54 11.05 5.84 10.10 9.99

CRISIL AA Short Term Bond Index 9.44 9.86 7.77 9.02 9.09

CRISIL AA- Long Term Bond Index -0.70 3.37 8.46 3.64 6.54

CRISIL AA- Medium Term Bond Index 4.65 10.32 6.74 7.21 8.74

CRISIL AA- Short Term Bond Index 10.76 9.92 9.00 9.89 9.94

CRISIL A Medium to Long Term Bond Index 5.52 9.13 8.74 7.78 8.93

CRISIL A Short Term Bond Index 11.65 9.85 10.46 10.65 9.36

CRISIL Medium to Long Term Banking Debt Index 7.95 12.09 6.71 8.89 9.68

CRISIL Short Term Banking Debt Index 9.77 9.76 8.43 9.32 9.31

CRISIL Medium to Long Term PSU Debt Index 7.58 15.60 6.52 9.83 9.31

CRISIL Short Term PSU Debt Index 8.13 9.45 7.81 8.46 8.13

Money market indices

CRISIL Overnight Index 3.08 5.28 6.31 4.88 5.37

CRISIL 1 Month CD Index 3.97 6.05 7.08 5.69 6.06

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INDEX FY21 FY20 FY19 3Y 5Y

CRISIL 1 Year CD Index 7.04 8.43 7.90 7.79 7.48

CRISIL Composite CD Index 5.03 6.78 7.87 6.55 6.69

CRISIL 1 Month CP Index 4.70 6.59 7.52 6.26 6.61

CRISIL 1 Year CP Index 8.24 8.21 8.40 8.28 8.05

CRISIL Composite CP Index 5.11 7.34 8.41 6.95 7.16

CRISIL 1 Month T-Bill Index 3.42 5.73 6.70 5.27 5.76

CRISIL 2 Month T-Bill Index 3.55 5.92 6.86 5.43 5.95

CRISIL 91 day T-Bill Index 3.76 6.25 7.07 5.68 6.03

CRISIL 182 day T-bill index 4.23 6.60 7.16 5.99 6.26

CRISIL 1 Year T-Bill Index 4.66 7.47 7.36 6.49 6.51

CRISIL Composite T-Bill Index 4.10 6.69 7.14 5.97 6.21

CRISIL Money Market Index 4.87 7.08 8.08 6.67 6.86

CRISIL Money Market Index – Insurance 5.11 7.18 7.60 6.62 6.72

Hybrid indices

CRISIL Hybrid 25+75 - Aggressive Index 57.06 -16.60 10.95 13.27 14.23

CRISIL Hybrid 50+50 - Moderate Index 39.21 -7.32 9.67 12.27 12.63

CRISIL Hybrid 75+25 - Conservative Index 22.76 2.43 8.26 10.83 10.75

CRISIL Hybrid 35+65 - Aggressive Index 49.75 -12.94 10.46 12.92 13.62

CRISIL Hybrid 65+35 - Conservative Index 29.17 -1.53 8.84 11.45 11.53

CRISIL Hybrid 85+15 - Conservative Index 16.57 6.46 7.66 10.14 9.93

CRISIL Short Term Debt Hybrid 75+25 Fund Index 22.83 0.46 8.89 10.35 10.33 CRISIL Short Term Debt Hybrid 60+40 Fund Index 32.51 -4.98 9.63 11.34 11.56

CRISIL Arbitrage Index 5.38 7.65 7.67 6.89 7.67

CRISIL Equity Savings Index 27.31 -3.27 10.62 10.85 11.19

Dollar indices

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INDEX FY21 FY20 FY19 3Y 5Y

CRISIL Short Term Bond Fund Dollar Index 10.56 0.77 1.14 4.06 5.89

CRISIL Liquid Fund Dollar Index 6.73 -2.38 1.21 1.78 4.24

CRISIL Gilt Dollar Index 9.21 3.44 1.45 4.65 6.01

CRISIL 10 Year Gilt Dollar Index 6.26 5.20 0.44 3.94 5.00

CRISIL 91 day T-Bill Dollar Index 6.42 -2.51 0.68 1.46 3.87

CRISIL 1 Year T-Bill Dollar Index 7.34 -1.39 0.95 2.24 4.34

CRISIL FPI Dollar Index 10.89 3.39 0.24 4.75 6.56

FPI indices

CRISIL FPI Index 8.12 12.68 6.60 9.10 8.77

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