Index dashboard

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Index dashboard

September 2023

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Index dashboard — September 2023

Index Yield

(EOM) Yield(BOM) MD MacD 1-M 3-M 12-M 3Y 5Y

Composite indices 1 Month 3 month

1 3 5

year year year CRISIL Liquid Debt

Index 6.98 7.01 0.11 0.12 0.57 1.73 6.97 4.96 5.48

CRISIL Ultra Short

Term Debt Index 7.34 7.36 0.41 0.44 0.58 1.81 7.50 5.44 6.28

CRISIL Low Duration

Debt Index 7.52 7.52 0.72 0.77 0.57 1.79 7.48 5.47 6.67

CRISIL Short Term

Bond Index 7.78 7.73 1.84 1.97 0.51 1.65 7.35 5.33 7.28

CRISIL Medium Term

Debt Index 7.87 7.82 3.19 3.43 0.47 1.48 7.16 5.19 7.81

CRISIL Medium To

Long Term Debt Index 7.54 7.50 5.58 5.87 0.38 1.12 7.75 4.96 7.97

CRISIL Long Term

Debt Index 7.58 7.55 8.23 8.65 0.23 1.08 8.19 5.01 8.54

CRISIL Composite

Bond Index 7.63 7.58 5.01 5.27 0.33 1.30 7.72 4.82 7.83

CRISIL Dynamic Debt

Index 7.62 7.58 5.51 5.80 0.35 1.21 7.68 5.05 7.76

CRISIL Short Term

Corporate Bond Index 7.84 7.78 1.52 1.64 0.54 1.72 7.30 5.45 7.47

CRISIL Medium Term

CRISIL Long Term

CRISIL Corporate

Bond Composite Index 7.82 7.78 3.54 3.79 0.52 1.42 7.50 5.48 7.85

CRISIL Short Term

Credit Risk Index 8.73 8.69 1.27 1.36 0.64 2.05 8.64 7.26 8.53

CRISIL Medium Term

CRISIL Composite

CRISIL Banking and

PSU Debt Index 7.57 7.54 3.47 3.71 0.53 1.37 6.99 4.94 7.15

CRISIL – Aggressive Credit Debt Term Index

10.45 10.41 2.47 2.60 0.74 2.47 12.54 10.43 10.45

Gilt Indices

CRISIL Short Term

Gilt Index 7.21 7.12 2.39 2.48 0.37 1.30 7.17 4.69 7.13

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Index Yield

CRISIL Medium Term

Gilt Index 7.25 7.18 5.73 5.93 0.20 1.06 7.98 4.50 7.83

CRISIL Long Term Gilt

Index 7.36 7.29 10.44 10.82 -0.19 1.15 8.82 4.45 8.82

CRISIL Composite Gilt

Index 7.29 7.21 6.68 6.92 0.08 1.13 8.06 4.06 7.76

CRISIL Dynamic Gilt

Index 7.29 7.21 6.44 6.68 0.10 1.11 7.97 4.53 7.64

CRISIL 10 Year Gilt

Index 7.21 7.12 7.01 7.26 -0.06 0.65 8.10 3.28 6.66

CRISIL Broad Based

Long Term Gilt Index 7.35 7.28 10.04 10.40 -0.10 1.08 9.05 4.82 9.06 CRISIL Broad Based

Medium Term Gilt Index

7.26 7.19 5.60 5.80 0.19 1.06 8.08 4.77 8.12

CRISIL Broad Based

Short Term Gilt Index 7.19 7.12 2.23 2.31 0.41 1.34 7.21 4.72 6.89

CRISIL Broad Based

Gilt Index 7.28 7.21 6.50 6.74 0.13 1.15 8.22 4.80 8.19

SDL Index

CRISIL 10 Year SDL

Index 7.46 7.44 6.70 9.72 0.40 1.26 7.38 3.91 7.45

Credit Indices

CRISIL AAA Long

Term Bond Index 7.66 7.65 6.56 7.01 0.56 0.98 7.67 5.22 8.78

CRISIL AAA Medium

Term Bond Index 7.73 7.68 3.11 3.35 0.45 1.42 6.75 4.88 7.77

CRISIL AAA Short

Term Bond Index 7.76 7.70 1.70 1.83 0.52 1.67 7.15 5.19 7.34

CRISIL AAA up to 1 Year Short Term Bond Index

7.51 7.42 0.46 0.50 0.55 1.79 7.36 5.29 6.45

CRISIL AAA 1 to 3 Year Short Term Bond Index

7.82 7.75 1.83 1.98 0.50 1.67 7.08 5.11 7.60

CRISIL Composite AA

Long Term Bond Index 8.73 8.74 5.30 5.74 0.73 1.62 10.22 10.68 8.88

CRISIL Composite AA Medium Term Bond Index

9.01 8.96 3.00 3.22 0.57 2.00 11.74 8.70 9.06

CRISIL Composite AA Short Term Bond Index

8.68 8.64 1.25 1.35 0.64 2.04 8.59 7.16 8.44

CRISIL AA and AA+

Long Term Bond Index 8.64 8.64 5.35 5.76 0.70 1.33 7.54 8.73 8.34

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Index Yield

CRISIL AA and AA+

Medium Term Bond Index

9.55 9.54 3.06 3.30 0.72 2.36 10.03 8.19 8.98

CRISIL AA and AA+

Short Term Bond Index

9.00 8.97 1.44 1.58 0.66 2.03 8.47 7.00 8.15

CRISIL AA and AA+

up to 1 Year Short Term Bond Index

7.93 7.88 0.44 0.47 0.61 1.92 8.14 6.67 7.93

CRISIL AA and AA+ 1 to 3 Year Short Term Bond Index

9.09 9.08 1.74 1.90 0.69 2.01 8.82 6.89 8.05

CRISIL AA+ Long

Term Bond Index 8.51 8.52 5.48 5.93 0.77 1.06 7.19 6.78 6.31

CRISIL AA+ Medium

Term Bond Index 8.49 8.45 3.08 3.33 0.54 1.53 7.18 7.06 7.45

CRISIL AA+ Short

Term Bond Index 8.16 8.10 1.32 1.43 0.57 1.83 7.83 6.03 7.80

CRISIL AA Long Term

Bond Index 8.96 8.96 5.13 5.55 0.69 2.19 10.30 15.64 12.60

CRISIL AA Medium

Term Bond Index 10.08 10.09 2.69 2.89 0.86 2.61 14.33 9.63 10.41

CRISIL AA Short Term

Bond Index 9.16 9.16 1.21 1.32 0.72 2.18 8.90 7.73 8.60

CRISIL AA- Long

Term Bond Index 9.66 9.62 4.27 4.57 0.58 3.06 22.76 13.23 8.75

CRISIL AA- Medium

Term Bond Index 10.04 9.94 2.93 3.05 0.51 2.78 14.86 11.10 9.98

CRISIL AA- Short

Term Bond Index 9.26 9.17 1.10 1.16 0.64 2.42 9.70 7.93 9.06

CRISIL A Medium to

Long Term Bond Index 11.49 11.48 3.95 4.02 0.94 2.99 12.91 12.95 11.05 CRISIL A Short Term

Bond Index 10.76 10.71 1.00 1.05 0.79 2.60 12.10 11.66 11.40

CRISIL A Medium

Term Bond Index 11.51 11.48 2.75 2.85 0.82 2.54 14.96 12.53 11.92

CRISIL Medium to Long Term Banking Debt Index

8.31 8.27 8.67 9.39 0.30 0.90 6.12 6.68 8.64

CRISIL Short Term

Banking Debt Index 8.15 8.13 1.11 1.20 0.61 1.80 7.80 6.28 7.93

CRISIL Medium to Long Term PSU Debt Index

7.61 7.61 5.13 5.47 0.64 1.17 7.00 4.51 8.05

CRISIL Short Term

PSU Debt Index 7.50 7.45 1.51 1.63 0.52 1.61 7.06 4.83 6.89

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Index Yield

CRISIL Liquid Debt A-I

Index 6.95 6.97 0.11 0.11 0.56 1.72 6.92 4.85 5.28

CRISIL Liquid Debt B-I

Index 6.99 7.04 0.11 0.11 0.57 1.74 7.00 4.97 5.43

CRISIL Low Duration

Debt A-I Index 7.43 7.39 0.76 0.81 0.55 1.73 7.22 5.11 6.41

CRISIL Low Duration

Debt B-I Index 7.62 7.62 0.62 0.68 0.59 1.81 7.58 5.48 6.43

CRISIL Low Duration

Debt C-I Index 7.94 8.00 0.62 0.67 0.61 1.87 7.93 6.04 6.79

CRISIL Short Duration

Debt A-II Index 7.50 7.44 1.72 1.84 0.49 1.57 7.10 5.01 6.95

Debt B-II Index 8.09 8.06 1.70 1.82 0.56 1.74 7.82 5.78 7.36

Debt C-II Index 9.55 9.50 1.41 1.48 0.65 2.28 10.76 9.30 9.63

CRISIL Medium Duration Debt A-III Index

7.65 7.59 3.17 3.40 0.44 1.38 6.86 4.87 7.73

CRISIL Medium Duration Debt B-III Index

8.47 8.43 3.23 3.47 0.57 1.77 8.20 6.42 8.27

CRISIL Medium Duration Debt C-III Index

9.71 9.67 3.09 3.26 0.66 2.51 13.78 9.92 9.73

CRISIL Medium to Long Duration Debt A- III Index

7.47 7.42 5.39 5.67 0.36 1.11 7.62 4.79 8.09

CRISIL Medium to Long Duration Debt B- III Index

8.55 8.53 4.57 4.89 0.60 1.65 8.60 6.82 8.65

CRISIL Medium to Long Duration Debt C- III Index

9.15 9.13 4.90 5.23 0.63 2.30 13.09 13.07 10.89

CRISIL Long Duration

Debt A-III Index 7.51 7.47 8.46 8.88 0.19 1.07 8.24 4.85 8.81

CRISIL Credit Risk

Debt C-II Index 9.13 9.06 1.29 1.37 0.63 2.17 9.51 8.05 9.13

CRISIL Credit Risk

Debt C-III Index 9.52 9.47 3.09 3.24 0.62 2.27 11.29 9.31 9.23

CRISIL Corporate

Bond B-II Index 8.05 7.99 1.51 1.62 0.55 1.77 7.69 5.83 7.74

CRISIL Corporate

Bond B-III Index 8.32 8.28 3.01 3.24 0.52 1.52 7.31 6.66 7.54

CRISIL Dynamic Bond

A-III Index 7.49 7.44 5.74 6.04 0.30 1.14 7.62 4.80 8.00

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Index Yield

CRISIL Dynamic Bond

B-III Index 8.55 8.53 4.65 4.96 0.59 1.65 8.60 6.83 8.63

CRISIL Dynamic Bond

C-III Index 9.13 9.11 4.99 5.33 0.62 2.29 13.08 13.07 10.87

CRISIL Money Market

A-I Index 7.16 7.15 0.28 0.30 0.57 1.77 7.21 5.07 5.79

CRISIL Money Market

B-I Index 7.26 7.27 0.31 0.34 0.58 1.77 7.32 5.15 5.84

CRISIL Money Market

C-I Index 7.67 7.74 0.31 0.33 0.61 1.86 7.72 5.81 6.35

CRISIL Ultra Short Duration Debt A-I Index

7.32 7.28 0.37 0.39 0.57 1.77 7.30 5.16 6.06

CRISIL Ultra Short Duration Debt B-I Index

7.43 7.42 0.32 0.35 0.58 1.81 7.51 5.46 6.28

CRISIL Ultra Short Duration Debt C-I Index

7.75 7.81 0.31 0.33 0.61 1.88 7.83 5.97 6.58

Money Market

Indices

CRISIL Liquid

Overnight Index 6.80 6.62 0.00 0.00 0.55 1.66 6.55 4.60 4.76

CRISIL 1 Month CD

Index 7.19 7.30 0.06 0.07 0.60 1.78 7.14 5.06 5.40

CRISIL 2 Month CD

Index 7.11 7.22 0.13 0.14 0.59 1.77 7.23 5.12 5.54

CRISIL 3 Month CD

Index 7.11 7.14 0.21 0.23 0.57 1.79 7.33 5.24 5.90

CRISIL 6 Month CD

Index 7.31 7.26 0.41 0.44 0.57 1.82 7.53 5.46 6.41

CRISIL 1 Year CD

Index 7.83 7.71 0.82 0.88 0.56 1.70 7.33 5.33 6.72

CRISIL Composite CD

Index 7.32 7.31 0.38 0.41 0.57 1.77 7.36 5.25 5.94

CRISIL 1 Month CP

Index 7.51 7.28 0.06 0.07 0.61 1.86 7.48 5.45 5.87

CRISIL 2 Month CP

Index 7.31 7.45 0.14 0.15 0.60 1.85 7.55 5.40 5.89

CRISIL 3 Month CP

Index 7.15 7.24 0.18 0.19 0.59 1.85 7.62 5.46 6.33

CRISIL 6 Month CP

Index 7.89 7.82 0.41 0.44 0.61 1.97 8.30 6.26 7.31

CRISIL 1 Year CP

Index 8.02 7.86 0.85 0.92 0.58 2.03 8.29 6.53 7.61

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Index Yield

CRISIL Composite CP

Index 7.31 7.37 0.25 0.27 0.59 1.87 7.74 5.59 6.31

CRISIL 1 Month T-Bill

Index 6.70 6.68 0.09 0.10 0.55 1.72 6.65 4.68 5.00

CRISIL 2 Month T-Bill

Index 6.70 6.74 0.16 0.17 0.56 1.72 6.80 4.74 5.11

CRISIL 91 day T-Bill

Index 6.76 6.77 0.23 0.25 0.57 1.71 6.81 4.80 5.29

CRISIL 182 day T-bill

index 7.02 6.99 0.47 0.50 0.55 1.63 6.99 4.87 5.54

CRISIL 1 Year T-Bill

Index 7.03 7.01 0.93 1.00 0.52 1.53 6.74 4.59 5.76

CRISIL Composite T-

Bill Index 6.91 6.90 0.49 0.52 0.55 1.64 6.85 4.76 5.46

CRISIL Money Market

Index 7.21 7.23 0.35 0.38 0.57 1.78 7.40 5.32 6.04

CRISIL Money Market

Index-Insurance 7.26 7.19 0.54 0.58 0.56 1.72 7.23 5.18 6.04

CRISIL Upto 91 Day

CD Index - A_ 6.96 6.98 0.09 0.10 0.56 1.72 6.88 4.64 5.06

CRISIL Upto 91 day

CD Index - B 6.97 7.09 0.10 0.11 0.57 1.73 7.02 4.89 5.33

CRISIL Upto 365 Day

CD index - A 7.15 7.14 0.35 0.37 0.57 1.76 7.24 4.81 5.68

CRISIL Upto 365 Day

CD index - B 7.15 7.17 0.23 0.24 0.56 1.78 7.35 5.14 5.90

CRISIL Upto 365 Day

CD Index - C 7.65 7.74 0.30 0.32 0.61 1.84 7.52 5.62 6.25

CRISIL Upto 365 Day

CP Index - A 7.41 7.39 0.25 0.27 0.58 1.80 7.42 5.24 6.02

CRISIL Upto 365 Day

CP Index - B 7.70 7.76 0.21 0.23 0.61 1.90 7.73 5.45 6.00

CRISIL Upto 365 Day

CP Index - C 8.13 8.23 0.24 0.26 0.65 2.00 8.34 6.35 6.76

CRISIL Upto 91 Day

CP Index - A 7.13 7.21 0.09 0.09 0.57 1.76 7.15 5.01 5.47

CRISIL Upto 91 Day

CP Index - B 7.31 7.48 0.09 0.10 0.59 1.83 7.43 5.34 5.93

Dollar Indices

CRISIL Composite

Bond Dollar Index -0.13 0.06 5.76 0.77 4.95

CRISIL Short Term

Bond Dollar Index 0.05 0.41 5.41 1.26 4.41

CRISIL Liquid Debt

Dollar Index 0.11 0.49 5.03 0.90 2.66

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Index Yield

CRISIL Dynamic Gilt

Dollar Index -0.36 -0.13 6.01 0.49 4.77

CRISIL 10 Year Gilt

Dollar Index -0.51 -0.58 6.14 -0.71 3.81

CRISIL 91 day T-Bill

Dollar Index 0.11 0.47 4.88 0.75 2.48

CRISIL 1 Year T-Bill

Dollar Index 0.06 0.29 4.80 0.55 2.93

CRISIL FPI Dollar

Index -0.05 0.00 5.67 0.96 5.07

Hybrid Indices

CRISIL Hybrid 25+75 -

Aggressive Index 1.72 3.69 14.04 18.63 13.41

Moderate Index 1.26 2.90 11.97 13.99 11.82

Conservative Index 0.80 2.10 9.86 9.38 9.95

Aggressive Index 1.54 3.37 13.21 16.77 12.80

CRISIL Short Term Debt Hybrid 75+25 Fund Index

0.93 2.36 9.58 9.78 9.52

CRISIL Short Term Debt Hybrid 60+40 Fund Index

1.18 2.79 10.91 12.46 10.75

CRISIL Arbitrage

Index 0.50 1.94 7.84 6.10 6.51

CRISIL Equity Savings

Index 0.99 2.13 10.72 11.58 9.95

FPI indices

CRISIL FPI Index 7.71 7.67 8.52 5.61 0.41 1.24 7.62 5.02 7.95

MD and MacD are as of the beginning of the month; returns for periods over one year are annualised

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Summary

Source: CRISIL MI&A Research

Gilt indices

The yield on the 10-year benchmark government security (G-sec; 7.18% GS 2033) closed September at 7.21%, up 9 basis points (bps) from its August close of 7.12%.

September witnessed significant volatility due to a combination of internal and external factors. While the external factors put upward pressure on the domestic yield, the internal factors came to the rescue.

US Treasury yields edged higher throughout September — especially at the long end of the curve — due to better- than-expected economic data, higher-for-longer stance of the US Federal Reserve and an increase in term premia leading to a hardening of domestic yields at the start of the month. Also, crude oil prices crossed $90 per barrel and headed towards the $100 mark, exacerbating the situation.

Domestic yields softened a tad as a moderation in vegetable prices led to the Consumer Price Index (CPI) printing below expectations at 6.83% for August, down from a 15-month high of 7.44% clocked for July.

In addition, bonds traded with a largely positive bias on news of inclusion of Indian government bonds in JP Morgan’s Global Bond Index-Emerging Markets from June 2024.

The RBI released the calendar for issuance of Government of India’s dated securities during October 1, 2023, to March 31, 2024. The amount declared, at Rs 6,55,000 crore, was as per the budgeted estimate. The central bank also said a new 50-year dated security will be introduced to cater to demand in the Ultra Long space.

The CRISIL 10-year SDL Index returned 0.40%, with the yield hardening 4 bps on-month.

Note: All yield levels quoted are volume-weighted average yields in the last trading hour of the day

Credit indices

Returns on credit indices ranged between 0.19% and 0.94% in September, compared with 0.29% and 1.98% in August. Credit spreads over annualised G-secs in the 10-year maturity segment — based on the PSU FI

6.80%

6.90%

7.00%

7.10%

7.20%

7.30%

7.40%

7.50%

7.60%

7.70%

7.80%

31-Aug-23 03-Sep-23 06-Sep-23 09-Sep-23 12-Sep-23 15-Sep-23 18-Sep-23 21-Sep-23 24-Sep-23 27-Sep-23 30-Sep-23

Yield Comparison

CRISIL 10 Year Gilt Index yield CRISIL AAA Long Term Bond Index yield CRISIL 10 Year SDL Index yield

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yield in the 1-year segment hardened 2 bps compared with 10 bps in August and that in the 10-year segment was flattish vs a hardening of 6 bps seen in August.

Money market indices

Lacklustre response on the variable rate reverse repo (VRRR) auctions continued in September with two VRRR auctions receiving offers less than half of the notified amount. Banks continued to rely on SDF/MSF corridors to maintain their liquidity positions. On September 8, the RBI decided to discontinue the incremental cash reserve ratio (I-CRR) in a phased manner. By the third week of September, the liquidity in the banking system fell into a deficit of Rs 1.50 trillion.

Returns on money market indices ranged from 0.52% to 0.64%, compared with 0.46% to 0.67% in August. Index yields for 3-month certificates of deposit (CDs) yields saw a modest increase of 2 basis points (bps), while the 3- month commercial paper (CP) yields decreased by 1 bps. Additionally, the 91-day treasury bills (T-bills)

experienced a slight uptick of 0.7 bps.

Dollar indices

0.57%

0.59%

0.57%

0.02%

-0.01%

0 0.5 1 1.5 2 2.5 3 3.5

-0.02%

-0.01%

0.00%

0.01%

0.02%

0.03%

0.555%

0.560%

0.565%

0.570%

0.575%

0.580%

0.585%

0.590%

CRISIL 3 Month CD Index CRISIL 3 Month CP Index CRISIL 91 Day T-Bill Index

One month returns Change in yield (%)

82.3 82.4 82.5 82.6 82.7 82.8 82.9 83.0 83.1 83.2 83.3

01-Sep-23 02-Sep-23 03-Sep-23 04-Sep-23 05-Sep-23 06-Sep-23 07-Sep-23 08-Sep-23 09-Sep-23 10-Sep-23 11-Sep-23 12-Sep-23 13-Sep-23 14-Sep-23 15-Sep-23 16-Sep-23 17-Sep-23 18-Sep-23 19-Sep-23 20-Sep-23 21-Sep-23 22-Sep-23 23-Sep-23 24-Sep-23 25-Sep-23 26-Sep-23 27-Sep-23 28-Sep-23 29-Sep-23 30-Sep-23

USD/INR

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Returns on dollar-denominated fixed-income indices ranged between -0.51% and 0.11%, compared with -0.06%

and 0.57% for rupee-denominated peers. The local currency depreciated 0.46% against the greenback. Dollar continued its momentum as long-term rates in the US reached their cycle highs in September.

Note: All yield levels quoted are volume-weighted average yields in the last trading hour of the day

SDL, T-bill, corporate bond, CP/CD, and G-sec trading volume (Rs crore)

Source: CRISIL MI&A Research

For further information on CRISIL indices, visit http://www.crisil.com/capital-markets/indices.html Note: All yield levels quoted are volume-weighted average yields in the last trading hour of the day

No material disciplinary action has been taken against CRISIL MI&A Research or its analysts by any Regulatory Authority impacting Research Analyst activities.

-

200,000.00 400,000.00 600,000.00 800,000.00 1,000,000.00 1,200,000.00

- 50,000.00 100,000.00 150,000.00 200,000.00 250,000.00 300,000.00 350,000.00 400,000.00 450,000.00 500,000.00

Aug-22 Sep-22 Oct-22 Nov-22 Dec-22 Jan-23 Feb-23 Mar-23 Apr-23 May-23 Jun-23 Jul-23 Aug-23 Sep-23 G-sec Volume

SDL, T-bills, corporate bonds, CP/CD volumes

SDL T-bill CD CP Corporate bonds G-sec

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Contact details.

Jainish Shah

Manager – Funds & Fixed Income Research +91- 9022252437

[email protected]

Siddhesh Kasarekar

Senior Research Analyst – Funds & Fixed Income Research +91- 9920030906

[email protected]

Shubham Alshi

Research Analyst – Funds & Fixed Income Research +91- 9029692609

[email protected]

Shubham Bhosale

Research Analyst – Funds & Fixed Income Research +91- 9011395069

[email protected]

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About CRISIL Limited

CRISIL is a leading, agile and innovative global analytics company driven by its mission of making markets function better.

It is India's foremost provider of ratings, data, research, analytics and solutions with a strong track record of growth, culture of innovation, and global footprint.

It has delivered independent opinions, actionable insights, and efficient solutions to over 100,000 customers through busines ses that operate from India, the US, the UK, Argentina, Poland, China, Hong Kong, UAE and Singapore.

It is majority owned by S&P Global Inc, a leading provider of transparent and independent ratings, benchmarks, analytics and data to the capital and commodity markets worldwide.

For more information, visit www.crisil.com

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CRISIL Privacy Notice

CRISIL respects your privacy. We may use your personal information, such as your name, location, contact number and email id to fulfil your request, service your account and to provide you with additional information from CRISIL. For further information on CRISIL’s privacy policy please visit www.crisil.com/privacy.