CRISIL Research has launched 11 new debt indices and also announced a change in nomenclature of an existing index in line with the new norms issued by the Securities and Exchange Board of India (SEBI) for classification of mutual funds (MFs).

Says Nagarajan Narasimhan, Senior Director, CRISIL Research: “With SEBI delineating different categories of schemes as per eligible securities, asset classes, maturity profiles and nomenclature, the mutual fund Industry is undergoing transition. With this launch, we are at 62 indices, and perfectly aligned to the benchmarking requirements of MFs given the change in SEBI guidelines.”

Of the new indices, six – CRISIL CBLO Index, CRISIL Ultra Short Term Debt Index, CRISIL Money Market Index, CRISIL Medium Term Debt Index, CRISIL Medium To Long Term Debt Index and CRISIL Long Term Debt Index – represent duration buckets. The remaining five – CRISIL Short Term Corporate Bond Index, CRISIL Medium Term Corporate Bond Index, CRISIL Long Term Corporate Bond Index, CRISIL Corporate Bond Composite Index, CRISIL Credit Risk Index – represent credit buckets. CRISIL Research will also shortly be launching CRISIL Banking and PSU Debt Index, mapped to the ‘banking and PSU fund’ category.

The SEBI categories and relevant Indices are detailed below –

The change of nomenclature has been done for the CRISIL Ultra Short Term Debt Index, which will now be called the CRISIL Low Duration Debt Index. The index corresponds to the ‘Low duration’ bucket.

Jiju Vidyadharan, Senior Director, CRISIL Research, says, “The indices will help in smooth transition by serving as the right tool to emulate the risk-return profile and continue to represent more than 95% of the market. Our long standing experience in fixed income markets and relevant valuation practices, will ensure that we are able to adapt our indices to the changing market dynamics.”

With this, CRISIL Research offers a composite index for each duration and credit bucket in the debt sub-categories prescribed by SEBI. Besides the twelve indices detailed above, the existing three – CRISIL Liquid Fund Index, CRISIL Short Term Bond Fund Index and the CRISIL Composite Bond Fund Index – represent the liquid fund, short duration fund and dynamic bond categories, respectively.

All the indices in duration categories have a long-term average Macaulay duration closer to the median of the range mandated by SEBI. Besides, the asset allocation of the sub-indices factors in the issuance and mutual fund holdings pattern, and most of the indices have a long history, dating back to 2002.

All CRISIL indices are public indices with details on index performance and portfolio constituents available on the CRISIL indices website here www.crisil.com/en/home/what-we-do/financial-products/indices.html