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CRISIL Indices

CRISIL is a global analytical company providing ratings, research, and risk and policy advisory services. CRISIL’s majority shareholder is S&P Global Inc. CRISIL is considered the leading provider of debt and hybrid indices in India, maintaining 45 standard and over 100 customized indices. These indices are used by mutual funds, insurance companies, provident funds and investors in Indian markets.

CRISIL’s expertise in fixed income valuations is a key input to their indices. They also maintain 4 government securities indices for the Sri Lankan fixed income market. Apart from the various marked to market indices, they also provide customized Held To Maturity (HTM) indices that are used as benchmarks for fixed income portfolios that are held to maturity. CRISIL has coverage for composite, sovereign (gilt) indices, credit, hybrid, money market and gold based indices, also providing dollar denominated versions of a few of these indices.

Some facts about CRISIL Research, India’s largest independent research house:

  • Provides comprehensive research coverage to more than 1200 Indian and global customers.
  • Provides coverage on 86 industries.
  • 95 per cent of India’s commercial banks are our customers.
  • Largest independent equity research house in India.
  • Official provider of valuations to all mutual funds in India.
  • Helps Employees’ Provident Fund Organisation (EPFO) select fund managers.

Key Features and Coverage on RIMES

For this data source, RIMES has access to 45 standard fixed income and hybrid indices, including:

Composite Indices

  • CRISIL Composite Bond Fund – To track the performance of a debt portfolio that includes government securities and AAA/AA rated corporate bonds.
  • CRISIL Short Term Bond Fund – Index government securities, AAA/AA rated corporate bonds, CPs and CDs.
  • CRISIL Liquid Fund Index – To track the performance of a debt portfolio that includes CBLO, CPs and CDs.

Gilt Indices

  • CRISIL Gilt Index – To track the performance of a portfolio comprising government securities, across maturities.
  • CRISIL Short Term Gilt Index – To track the performance of a portfolio of government securities with residual maturity up to five years.
  • CRISIL Medium Term Gilt Index – To track the performance of a portfolio of government securities with residual maturity greater than five and up to ten years.
  • CRISIL Long Term Gilt Index – To track the performance of a portfolio of government securities with residual maturity greater than ten years.
  • CRISIL 10 Year Gilt Index – CRISIL 10 Year Gilt Index seeks to track the performance of the 10 year benchmark government security.
  • CRISIL Inflation Indexed Government Securities Index – CRISIL IIGS Index seeks to track the performance of inflation indexed government securities across maturities.

Credit Indices

  • CRISIL AAA Long Term Bond Index – To track the performance of a long-term debt portfolio consisting of AAA rated corporate bonds with residual maturity greater than five years.
  • CRISIL AAA Medium Term Bond Index – To track the performance of a medium-term debt portfolio consisting of AAA rated corporate bonds with residual maturity greater than three and up to five years.
  • CRISIL AAA Short Term Bond Index – To track the performance of a short-term debt portfolio consisting of AAA rated corporate bonds with residual maturity up to three years.
  • CRISIL AA Long Term Bond Index – To track the performance of a long-term debt portfolio consisting of AA rated corporate bonds with residual maturity greater than five years.
  • CRISIL AA Medium Term Bond Index – To track the performance of a medium-term debt portfolio consisting of AA rated corporate bonds with residual maturity greater than three and up to five years.
  • CRISIL AA Short Term Bond Index – To track the performance of a short-term debt portfolio consisting of AA rated corporate bonds with residual maturity up to three years.
  • CRISIL A Long Term Bond Index – To track the performance of a long-term debt portfolio consisting of A rated corporate bonds with residual maturity greater than three years.
  • CRISIL A Short Term Bond Index – To track the performance of a short-term debt portfolio consisting of A rated corporate bonds with residual maturity up to three years.

Hybrid Indices

  • CRISIL Balanced Fund – Aggressive Index – To track the performance of an equity-oriented hybrid portfolio having a blend of the Nifty 50 Index (65%) and CRISIL Composite Bond Fund Index (35%).
  • CRISIL Balanced Fund – Moderate Index – To track the performance of an equity-oriented hybrid portfolio having a blend of the Nifty 50 Index (50%) and CRISIL Composite Bond Fund Index (50%).
  • CRISIL Balanced Fund – Conservative Index – To track the performance of an equity-oriented hybrid portfolio having a blend of the Nifty 50 Index (35%) and CRISIL Composite Bond Fund Index (65%).
  • CRISIL MIP Blended Fund Index – To track the performance of a debt-oriented hybrid portfolio having a blend of the Nifty 50 Index (15%) and CRISIL Composite Bond Fund Index (85%).
  • CRISIL Debt Hybrid 75+25 Fund Index – To track the performance of a debt-oriented hybrid portfolio having a blend of the Nifty 50 Index (25%) and CRISIL Short Term Bond Fund Index (75%).
  • CRISIL Debt Hybrid 60+40 Fund Index – To track the performance of a debt-oriented hybrid portfolio having a blend of the Nifty 50 Index (40%) and CRISIL Short Term Bond Fund Index (60%).

Money Market Indices

  • CRISIL 2 Month CD Index – To track the performance of a portfolio of CDs with residual maturity around 2 months.
  • CRISIL 3 Month CD Index – To track the performance of a portfolio of CDs with residual maturity around 3 months.
  • CRISIL 6 Month CD Index – To track the performance of a portfolio of CDs with residual maturity around 6 months.
  • CRISIL 1 Year CD Index – To track the performance of a portfolio of CDs with residual maturity around 1 year.
  • CRISIL Composite CD Index – To track the performance of a portfolio of CDs across maturities.
  • CRISIL 2 Month CP Index – To track the performance of 2 month A1+ rated CP.
  • CRISIL 3 Month CP Index – To track the performance of 3 month A1+ rated CP.
  • CRISIL 6 Month CP Index – To track the performance of 6 month A1+ rated CP.
  • CRISIL 1 Year CP Index – To track the performance of 1 year A1+ rated CP.
  • CRISIL Composite CP Index – To track the performance of A1+ rated CPs across maturities.
  • CRISIL 91 Day T-bill Index – To track the performance of the ‘on-the-run’ 91 Day T-Bill.
  • CRISIL 182 day T-Bill Index – To track the performance of the ‘on-the-run’ 182 Day T-Bill.
  • CRISIL 1 Year T-bill Index – To track the performance of the ‘on-the-run’ 1 Year T-Bill.
  • CRISIL Composite T-Bill Index – To track the performance of T-Bills across maturities.

Dollar Denominated Indices

  • CRISIL Composite Bond Fund Dollar Index – To track the performance of CRISIL Composite Bond Fund Index converted in USD denomination.
  • CRISIL Short Term Bond Fund Dollar Index – To track the performance of CRISIL Short Term Bond Fund Index converted in USD denomination.
  • CRISIL Liquid Fund Dollar Index – To track the performance of CRISIL Liquid Fund Index converted in USD denomination.
  • CRISIL 91 Day T-Bill Dollar Index – To track the performance of CRISIL 91 Day T-Bill Index converted in USD denomination.
  • CRISIL 1 Year T-Bill Dollar Index – To track the performance of CRISIL 1 Year T-Bill Index converted in USD denomination.
  • CRISIL 10 Year Gilt Dollar Index – To track the performance of CRISIL 10 Year Gilt Index converted in USD denomination.
  • CRISIL Gilt Dollar Index – To track the performance of CRISIL Gilt Index converted in USD denomination.

Some of the data items available include:

  • Index Items: Database Source, Description, Last Price Date, Total Return, etc.
  • Company Items: Accrued Interest, Accrued Interest for previous day, Adjusted Accrued Interest, Adjusted Accrued Interest For Previous Day, Adjusted Clean Price, Adjusted Clean Price for previous day, Adjusted Dirty Price, Adjusted Dirty Price for previous day, Amount outstanding (Mn), Asset Type, Clean Price, Clean Price for previous day, Coupon, Coupon Frequency (ANN/SEMI/QTR/MON), Date, Dirty Price, Dirty Price for previous day, Expected Remaining Life, Final Maturity, First Coupon date, Index, ISIN, Issue Currency, Issue Name, Issuer, Issuer Country, Notional Amount/ Face Value, Rating, Real Accrued Interest, Real Clean Price, Straight Modified Duration, Straight Yield, Weights, etc.

CRISIL Research

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