Index Dashboard

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Index Dashboard

July 2023

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Index dashboard — July 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

y ear y ear y ear

CRISIL Liquid Debt Index 6.75 6.97 0.11 0.11 0.56 1.73 6.75 4.79 5.50

CRISIL Ultra Short Term

Debt Index 7.28 7.28 0.42 0.46 0.60 1.87 7.24 5.29 6.29

CRISIL Low Duration Debt

Index 7.45 7.45 0.76 0.82 0.59 1.84 7.14 5.32 6.64

CRISIL Short Term Bond

Index 7.70 7.68 1.95 2.09 0.51 1.64 6.87 5.05 7.15

CRISIL Medium Term Debt

Index 7.79 7.75 3.33 3.57 0.39 1.46 6.67 4.70 7.57

CRISIL Medium To Long

Term Debt Index 7.49 7.42 5.53 5.82 0.16 1.42 7.64 4.42 7.70

CRISIL Long Term Debt

Index 7.54 7.49 8.25 8.66 0.16 1.32 8.92 4.36 8.13

CRISIL Composite Bond

Index 7.56 7.52 4.97 5.22 0.34 1.45 7.72 4.39 7.57

CRISIL Dynamic Debt

Index 7.57 7.52 5.83 6.13 0.25 1.37 7.70 4.56 7.52

CRISIL Short Term

Corporate Bond Index 7.74 7.74 1.65 1.77 0.57 1.78 6.95 5.34 7.35

CRISIL Medium Term

CRISIL Long Term

CRISIL Corporate Bond

Composite Index 7.74 7.71 3.68 3.93 0.33 1.63 7.25 5.11 7.51

CRISIL Short Term Credit

Risk Index 8.69 8.70 1.41 1.52 0.68 2.17 8.32 7.20 8.37

CRISIL Medium Term

Credit Risk Index 8.93 8.92 2.10 2.24 0.64 2.26 9.59 7.57 8.72

CRISIL Composite Credit

Risk Index 8.94 8.92 2.96 3.15 0.54 2.40 10.02 8.18 8.58

CRISIL Banking and PSU

Debt Index 7.49 7.45 3.59 3.83 0.32 1.47 6.72 4.61 7.05

CRISIL – Aggressive

Credit Debt Term Index 10.38 10.40 2.58 2.73 0.78 3.70 13.19 9.52 10.21

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Index Yield (EOM)

Yield

Gilt indices

CRISIL Short Term Gilt

Index 7.08 7.01 2.46 2.55 0.37 1.32 6.45 4.40 7.08

CRISIL Medium Term Gilt

Index 7.19 7.13 5.48 5.68 0.22 1.31 7.82 4.10 7.72

CRISIL Long Term Gilt

Index 7.31 7.29 10.28 10.65 0.37 1.02 10.29 3.94 8.63

CRISIL Composite Gilt

Index 7.21 7.16 6.41 6.64 0.34 1.25 8.33 3.64 7.61

CRISIL Dynamic Gilt Index 7.23 7.18 6.97 7.22 0.32 1.16 8.20 4.16 7.55

CRISIL 10 Y ear Gilt Index 7.17 7.11 6.65 6.89 0.16 1.26 7.91 2.89 6.48

CRISIL Broad Based Long

Term Gilt Index 7.30 7.27 10.12 10.49 0.29 1.01 10.38 4.00 8.86

CRISIL Broad Based

Medium Term Gilt Index 7.19 7.13 5.63 5.84 0.22 1.37 7.85 4.32 8.08

CRISIL Broad Based Short

Term Gilt Index 7.08 7.02 2.34 2.43 0.38 1.37 6.55 4.44 6.85

CRISIL Broad Based Gilt

Index 7.20 7.16 6.54 6.78 0.30 1.21 8.53 4.25 8.08

SDL index

CRISIL 10 Y ear SDL Index 7.47 7.43 6.78 9.81 0.18 1.39 8.07 2.73 7.20

Credit indices

CRISIL AAA Long Term

Bond Index 7.61 7.55 6.72 7.17 0.01 1.55 7.87 4.43 8.23

CRISIL AAA Medium Term

Bond Index 7.65 7.61 3.25 3.49 0.38 1.45 6.29 4.38 7.51

CRISIL AAA Short Term

Bond Index 7.66 7.67 1.82 1.96 0.58 1.72 6.85 5.04 7.23

CRISIL AAA up to 1 Y ear

Short Term Bond Index 7.38 7.49 0.62 0.66 0.62 1.87 7.12 5.11 6.42

CRISIL AAA 1 to 3 Y ear

CRISIL Composite AA

Long Term Bond Index 8.75 8.65 5.43 5.86 -0.04 2.29 9.95 10.89 8.23

CRISIL Composite AA

Medium Term Bond Index 8.99 8.94 3.10 3.33 0.44 2.28 11.51 8.50 8.74

CRISIL Composite AA

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Index Yield (EOM)

Yield

CRISIL AA and AA+ Long

Term Bond Index 8.63 8.50 5.49 5.89 -0.28 1.61 7.25 8.37 7.64

CRISIL AA and AA+

Medium Term Bond Index 9.53 9.55 3.20 3.45 0.67 1.56 9.17 8.01 8.65

CRISIL AA and AA+ Short

Term Bond Index 8.96 8.94 1.60 1.74 0.58 1.96 8.00 6.91 7.92

CRISIL AA and AA+ up to 1 Y ear Short Term Bond Index

7.93 7.94 0.59 0.63 0.61 1.94 8.14 6.64 7.85

CRISIL AA and AA+ 1 to 3 Y ear Short Term Bond Index

9.08 9.01 1.89 2.06 0.52 1.93 8.21 6.84 7.80

CRISIL AA+ Long Term

Bond Index 8.53 8.36 5.66 6.11 -0.49 1.04 6.96 6.22 5.62

CRISIL AA+ Medium Term

Bond Index 8.44 8.35 3.18 3.43 0.31 1.59 6.71 6.69 7.08

CRISIL AA+ Short Term

Bond Index 8.09 8.09 1.47 1.59 0.54 1.99 7.33 6.01 7.63

CRISIL AA Long Term

Bond Index 8.96 8.95 5.19 5.61 0.45 1.86 9.68 15.95 11.95

CRISIL AA Medium Term

Bond Index 10.11 10.09 2.76 2.97 0.66 2.23 13.93 9.75 10.12

CRISIL AA Short Term

Bond Index 9.17 9.20 1.36 1.48 0.68 2.35 8.55 7.68 8.38

CRISIL AA- Long Term

Bond Index 9.95 9.87 4.40 4.70 0.35 9.41 22.84 13.64 8.10

CRISIL AA- Medium Term

Bond Index 10.14 10.15 3.06 3.19 0.69 3.98 14.43 10.34 9.62

CRISIL AA- Short Term

Bond Index 9.05 9.02 1.47 1.57 0.92 2.52 9.29 8.05 8.94

CRISIL A Medium to Long

Term Bond Index 11.57 11.57 4.13 4.21 0.87 3.08 13.25 11.52 10.67

CRISIL A Short Term Bond

Index 11.09 11.13 0.96 1.00 0.88 2.82 12.23 11.16 11.26

CRISIL A Medium Term

Bond Index 11.35 11.36 2.82 2.94 0.86 5.65 17.33 10.66 11.70

CRISIL Medium to Long

Term Banking Debt Index 8.24 8.19 8.88 9.61 0.15 1.63 6.68 6.56 8.54

CRISIL Short Term

Banking Debt Index 8.10 8.08 1.26 1.36 0.49 1.94 7.42 6.28 7.87

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Index Yield (EOM)

Yield

Term PSU Debt Index 7.57 7.49 5.25 5.59 0.05 1.16 6.65 3.70 7.82

CRISIL Short Term PSU

Debt Index 7.40 7.40 1.66 1.78 0.53 1.64 6.73 4.62 6.83

CRISIL Liquid Debt A-I

Index 6.71 6.92 0.11 0.12 0.56 1.72 6.69 4.65 5.28

CRISIL Liquid Debt B-I

Index 6.78 7.02 0.11 0.11 0.56 1.74 6.78 4.78 5.44

A-I Index 7.25 7.35 0.83 0.89 0.59 1.79 6.87 4.93 6.36

B-I Index 7.48 7.59 0.70 0.75 0.59 1.86 7.27 5.33 6.38

C-I Index 7.74 7.86 0.66 0.71 0.61 1.93 7.66 5.93 6.75

CRISIL Short Duration

Debt A-II Index 7.36 7.40 1.82 1.95 0.49 1.62 6.68 4.70 6.83

Debt B-II Index 8.00 8.01 1.81 1.94 0.50 1.73 7.34 5.58 7.20

Debt C-II Index 9.67 9.71 1.44 1.51 0.73 2.53 10.59 8.88 9.50

CRISIL Medium Duration

Debt A-III Index 7.56 7.51 3.30 3.54 0.36 1.44 6.40 4.38 7.48

Debt B-III Index 8.41 8.39 3.37 3.61 0.45 1.50 7.58 6.06 7.97

Debt C-III Index 9.77 9.75 3.20 3.38 0.60 3.34 13.45 9.55 9.39

Duration Debt A-III Index 7.41 7.35 5.34 5.62 0.20 1.41 7.50 4.26 7.82

Duration Debt B-III Index 8.51 8.48 4.68 5.00 0.30 1.53 8.21 6.40 8.24

Duration Debt C-III Index 9.22 9.18 4.96 5.30 0.42 3.72 12.81 13.09 10.33

CRISIL Long Duration

Debt A-III Index 7.46 7.42 8.46 8.88 0.19 1.29 9.05 4.20 8.43

CRISIL Credit Risk Debt C-

II Index 9.13 9.13 1.44 1.53 0.74 2.31 9.21 7.89 8.99

CRISIL Credit Risk Debt C-

III Index 9.54 9.51 3.21 3.37 0.58 2.63 10.97 8.69 8.91

CRISIL Corporate Bond B-

II Index 7.98 7.98 1.65 1.77 0.54 1.89 7.16 5.75 7.57

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Index Yield (EOM)

Yield

CRISIL Corporate Bond B-

III Index 8.26 8.18 3.10 3.34 0.33 1.57 6.82 6.29 7.22

CRISIL Dynamic Bond A-III

Index 7.43 7.38 6.08 6.39 0.25 1.34 7.69 4.29 7.74

CRISIL Dynamic Bond B-III

Index 8.52 8.48 4.83 5.15 0.31 1.52 8.25 6.41 8.22

CRISIL Dynamic Bond C-

III Index 9.20 9.17 5.13 5.48 0.43 3.70 12.84 13.09 10.31

CRISIL Money Market A-I

Index 6.97 7.10 0.31 0.33 0.59 1.81 6.96 4.89 5.79

CRISIL Money Market B-I

Index 7.09 7.23 0.35 0.37 0.60 1.84 7.06 4.98 5.84

CRISIL Money Market C-I

Index 7.44 7.59 0.32 0.34 0.62 1.92 7.52 5.68 6.35

CRISIL Ultra Short

Duration Debt A-I Index 7.13 7.27 0.43 0.47 0.60 1.84 7.04 4.98 6.05

CRISIL Ultra Short

Duration Debt B-I Index 7.28 7.41 0.39 0.42 0.61 1.87 7.30 5.32 6.26

CRISIL Ultra Short

Duration Debt C-I Index 7.53 7.69 0.33 0.36 0.62 1.94 7.65 5.86 6.57

Money market indices

CRISIL Liquid Overnight

Index 6.37 6.75 0.00 0.00 0.53 1.63 6.32 13.78 26.10

CRISIL 1 Month CD Index 6.87 6.90 0.05 0.06 0.57 1.75 6.92 4.89 5.40

CRISIL 1 Y ear CD Index 7.40 7.37 0.85 0.91 0.58 1.86 7.04 5.20 6.64

CRISIL Composite CD

Index 7.18 7.15 0.37 0.40 0.59 1.83 7.10 5.10 5.94

CRISIL 1 Month CP Index 7.15 7.38 0.06 0.07 0.60 1.86 7.27 5.27 5.86

CRISIL 1 Y ear CP Index 8.43 7.78 0.84 0.90 0.72 2.24 7.89 6.45 7.51

CRISIL Composite CP

Index 7.32 7.34 0.25 0.27 0.63 1.94 7.47 5.44 6.33

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Index Yield (EOM)

Yield

CRISIL 1 Month T-Bill

Index 6.60 6.75 0.08 0.09 0.57 1.69 6.38 4.48 5.00

CRISIL 2 Month T-Bill

Index 6.65 6.75 0.15 0.16 0.57 1.72 6.55 4.55 5.12

CRISIL 91 day T-Bill Index 6.71 6.71 0.23 0.24 0.55 1.71 6.59 4.60 5.29

CRISIL 182 day T-bill

index 6.84 6.85 0.46 0.49 0.54 1.77 6.66 4.69 5.52

CRISIL 1 Y ear T-Bill Index 6.87 6.85 0.93 0.99 0.49 1.71 6.41 4.40 5.73

CRISIL Composite T-Bill

Index 6.79 6.79 0.48 0.52 0.53 1.73 6.57 4.57 5.45

CRISIL Money Market

Index 7.14 7.14 0.35 0.37 0.59 1.85 7.14 5.17 6.05

CRISIL Money Market

Index-Insurance 7.09 7.14 0.54 0.58 0.57 1.85 6.92 5.03 6.01

CRISIL Upto 91 Day CD

Index - A_ 6.69 6.88 0.10 0.11 0.56 1.71 6.61 4.44 5.06

CRISIL Upto 91 day CD

Index - B 6.83 7.03 0.09 0.09 0.57 1.74 6.80 4.71 5.33

index - A 7.00 7.12 0.40 0.43 0.60 1.81 6.92 4.60 5.66

index - B 7.04 7.19 0.35 0.37 0.61 1.84 7.14 5.04 5.88

Index - C 7.41 7.41 0.26 0.28 0.60 1.85 7.30 5.49 6.25

CRISIL Upto 365 Day CP

Index - A 7.12 7.32 0.28 0.30 0.61 1.86 7.16 5.06 6.02

Index - B 7.49 7.74 0.23 0.25 0.64 1.96 7.47 5.28 6.00

Index - C 7.84 8.20 0.28 0.30 0.67 2.08 8.13 6.23 6.76

Index - A 6.86 7.14 0.10 0.10 0.58 1.78 6.92 4.80 5.48

Index - B 7.11 7.51 0.10 0.10 0.60 1.86 7.20 5.18 5.94

Dollar Indices

CRISIL Composite Bond

Dollar Index 0.09 0.88 4.02 3.41 20.14

CRISIL Short Term Bond

Dollar Index 0.25 1.07 3.19 5.38 17.81

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Index Yield (EOM)

Yield

CRISIL Liquid Debt Dollar

Index 0.31 1.16 3.08 4.61 9.01

CRISIL Dynamic Gilt Dollar

Index 0.07 0.59 4.48 2.73 20.01

CRISIL 10 Y ear Gilt Dollar

Index -0.09 0.69 4.20 -0.33 2.68

CRISIL 91 day T-Bill Dollar

Index 0.30 1.14 2.93 1.33 1.54

CRISIL 1 Y ear T-Bill Dollar

Index 0.24 1.13 2.75 1.13 1.96

CRISIL FPI Dollar Index -0.01 0.89 3.90 1.21 3.84

Hybrid Indices

CRISIL Hybrid 25+75 -

Aggressive Index 2.76 9.07 14.14 19.11 12.39

Moderate Index 1.95 6.49 12.04 14.14 11.06

Conserv ative Index 1.15 3.95 9.90 9.23 9.45

Aggressive Index 2.44 8.04 13.31 17.11 11.89

CRISIL Short Term Debt

Hy brid 75+25 Fund Index 1.27 4.09 9.26 9.74 9.12

CRISIL Short Term Debt

Hy brid 60+40 Fund Index 1.73 5.59 10.67 12.58 10.18

CRISIL Arbitrage Index 0.70 2.32 7.65 5.94 6.50

CRISIL Equity Savings

Index 1.47 4.82 10.73 11.73 9.66

FPI indices

CRISIL FPI Index 7.65 7.60 8.55 5.64 0.24 1.46 7.60 4.48 7.68

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

Yield on the 10-year benchmark government security (G-sec; 7.26% GS 2033) closed July at 7.17%, up 6 basis points (bps) compared with its June closing of 7.11%. Although there was net tightening month-on-month, the yield had a see-saw ride in July.

India’s June CPI that printed at 4.81%, compared with 4.25% a month ago, saw a somewhat muted response. This, however, changed as the US inflation print gave a positive surprise as it came slightly below expectations. The domestic 10-year benchmark yield corrected ~7 bps in the first two weeks of July, following its US peer. Thereafter, sentiment in the bond market experienced a slight downturn, especially toward end-July, led by global headwinds.

The yield saw an uptick in the final week, on account of stronger US gross domestic product print and an unexpected adjustment of the Yield Curve Control (YCC) strategy by the Bank of Japan, which led US Treasury yields to harden, especially at the longer end. Higher inflation expectations on account of the inclement weather also played a major role in domestic hardening.

The Brent crude oil price surge of ~ $12 per barrel from 69.9 to 81.8, contributed further to the yield's firming.

The CRISIL 10-year SDL Index returned 0.18%, with yield hardening 5 bps over the month.

Note: All yield levels quoted are volume-weighted average yields in the last trading hour of the day 6.70%

6.80%

6.90%

7.00%

7.10%

7.20%

7.30%

7.40%

7.50%

7.60%

7.70%

3 0 -J u n -2 3 0 3 -J u l- 2 3 0 6 -J u l- 2 3 0 9 -J u l- 2 3 1 2 -J u l- 2 3 1 5 -J u l- 2 3 1 8 -J u l- 2 3 2 1 -J u l- 2 3 2 4 -J u l- 2 3 2 7 -J u l- 2 3 3 0 -J u l- 2 3

Yield com parison

CRISIL 10 Year Gilt Index yield CRISIL AAA Long Term Bond Index yield CRISIL 10 Year SD L Index yield

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Credit indices

Returns on credit indices ranged between -0.49% and 0.92% in July.

Credit spreads on annualised 10-year maturity G-secs, using the PSU FI benchmark paper, maintained a near-flat trajectory. Meanwhile, the AAA yield curve steepened, with yield in the 1-year segment declining 5 bps and the 10- year yield hardening by 4 bps.

Money market indices

Despite conducting two 14-day variable rate reverse repo auctions with an accepted amount of Rs 1,53,636 crore, liquidity was in surplus at end-July, as indicated by the M3 supplsy numbers as per the latest Reserve Bank of India (RBI) data.

Returns on money market indices ranged from 0.49% to 0.72%, compared with 0.54% to 0.71% in June. On average, index yields softened for commercial papers (CPs) by 16 bps, certificates of deposit (CDs) by 10 bps, and treasury bills (T-bills) by 5 bps.

0.60%

0.62%

0.58%

-0.01% -0.01%

-0.03%

-0.04%

-0.02%

0.00%

0.02%

0.04%

0.06%

0.08%

0.10%

0.560%

0.570%

0.580%

0.590%

0.600%

0.610%

0.620%

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

One month returns Change in yield (%)

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Dollar indices

Returns on dollar-denominated fixed-income indices ranged between -0.09% and 0.31%, compared with 0.16%

and 0.56% for rupee-denominated peers. The local currency depreciated 0.25% against the greenback. The RBI’s intervention through dollar purchases has contributed to the rupee depreciation.

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 81.2

81.4 81.6 81.8 82 82.2 82.4 82.6 82.8

0 1 -J u l- 2 3 0 2 -J u l- 2 3 0 3 -J u l- 2 3 0 4 -J u l- 2 3 0 5 -J u l- 2 3 0 6 -J u l- 2 3 0 7 -J u l- 2 3 0 8 -J u l- 2 3 0 9 -J u l- 2 3 1 0 -J u l- 2 3 1 1 -J u l- 2 3 1 2 -J u l- 2 3 1 3 -J u l- 2 3 1 4 -J u l- 2 3 1 5 -J u l- 2 3 1 6 -J u l- 2 3 1 7 -J u l- 2 3 1 8 -J u l- 2 3 1 9 -J u l- 2 3 2 0 -J u l- 2 3 2 1 -J u l- 2 3 2 2 -J u l- 2 3 2 3 -J u l- 2 3 2 4 -J u l- 2 3 2 5 -J u l- 2 3 2 6 -J u l- 2 3 2 7 -J u l- 2 3 2 8 -J u l- 2 3 2 9 -J u l- 2 3 3 0 -J u l- 2 3 3 1 -J u l- 2 3

USD/INR

-

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

A u g -2 2 S e p -2 2 O ct -2 2 N o v -2 2 D e c -2 2 J a n -2 3 F e b -2 3 M a r- 2 3 A p r- 2 3 M a y- 2 3 J u n -2 3 J u l- 2 3 G -s e c V o lu m e

S D L , T -b il ls , c o rp o ra te b o n d s , C P /C D v o lu m e s

SDL T-bill CD CP Corporate bonds G-sec

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Contact details Bhavik Bhathgara

Associate Director – Funds and Fixed Income Research +91-22-3342 8053

[email protected]

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