CRISIL 10 Year Gilt Index. Factsheet April 2013

Transcription

1 CRISIL 10 Year Gilt Index Factsheet April 2013

2 About the Index CRISIL 10 Year Gilt Index seeks to track the performance of the 10 Year benchmark government security Features Base date for the Index: September 01, 2001 Total Return Index seeking to capture coupon and price return of the on-the-run 10-year benchmark government security. Index marked to market on a daily basis using CRISIL Gilt Valuations Fully invested at all points of time with cash component Key Characteristics Rich history: CRISIL 10 Year Gilt Index has an inception date of September 01, Thus the Index has been in existence for over a decade witnessing multiple interest rate cycles Replicability: The Index seeks to track the movement of the most actively traded government security in the market Methodology The on-the-run 10 Year government security considered as the 10 Year benchmark security Market participants (Banks, Insurance, Mutual Funds and Primary Dealers) polled on a weekly basis to ascertain the 10 Year benchmark government security. If there is a change in the benchmark security the same is reflected in the Index Index computed on daily basis using the gross price return of 10 Year benchmark government security and its coupon cash flow return 2

3 Historical Benchmarks used in the Index Benchmark Security ISIN Name Maturity From To IN % CGL Nov Sep Jan-02 IN % CGL Jul Feb May-02 IN % CGL May May Dec-02 IN % CGL May Jan Aug-03 IN % CGL Sep Sep Dec-03 IN % CGL Apr Jan Dec-04 IN % CGL Sep Jan Apr-06 IN % CGL Apr Apr Jan-07 IN % CGL Jan Jan Jul-07 IN % CGL Apr Jul Sep-07 IN % CGL Jul Sep Apr-08 IN % CGL Apr Apr Feb-09 IN % CGL 2019 FEB 02-Feb Feb Jul-09 IN % CGL Jul Jul Nov-09 IN % CGL Jan Nov May-10 IN % CGL May May Apr-11 IN % CGL Apr Apr Nov-11 IN % CGL Nov Nov Jul-12 IN % CGL Jun Jul-12 Till Date 3

4 Feb-02 Feb-03 Feb-04 Feb-05 Feb-06 Feb-07 Feb-08 Feb-09 Feb-10 Feb-11 Feb-12 Feb-13 Performance As on March 31, months 6 months 1 year 3 years 5 years 7 years 10 years Since inception Returns 2.62% 5.38% 11.30% 6.04% 6.62% 6.52% 5.50% 7.53% Growth in investment of Rs.10,000 10,262 10,538 11,130 11,925 13,776 15,562 17,079 23,193 *Returns for period more than 1 year are annualized Period Mar '10-'11 Mar '11-'12 Mar '12-'13 Since Inception Year-on-Year returns 1.81% 5.26% 11.30% 7.53% Annualized return CRISIL 10 Year Gilt Index 4

5 About CRISIL Limited CRISIL is a global analytical company providing ratings, research, and risk and policy advisory services. We are India's leading ratings agency. We are also the foremost provider of high-end research to the world's largest banks and leading corporations. CRISIL s majority shareholder is Standard and Poor s (S&P). About CRISIL Research CRISIL Research is India's largest independent and integrated research house. We provide insights, opinions, and analysis on the Indian economy, industries, capital markets and companies. We are India's most credible provider of economy and industry research. Our industry research covers 70 sectors and is known for its rich insights and perspectives. Our analysis is supported by inputs from our network of more than 4,500 primary sources, including industry experts, industry associations, and trade channels. We play a key role in India's fixed income markets. We are India's largest provider of valuations of fixed income securities, serving the mutual fund, insurance, and banking industries. We are the sole provider of debt and hybrid indices to India's mutual fund and life insurance industries. We pioneered independent equity research in India, and are today India's largest independent equity research house. Our defining trait is the ability to convert information and data into expert judgments and forecasts with complete objectivity. We leverage our deep understanding of the macro economy and our extensive sector coverage to provide unique insights on micro-macro and cross-sectoral linkages. We deliver our research through an innovative web-based research platform. Our talent pool comprises economists, sector experts, company analysts, and information management specialists. Disclaimer CRISIL Limited [2013]. All Rights Reserved. Each CRISIL Index (including, for the avoidance of doubt, its values and constituents) is the sole property of CRISIL Limited (CRISIL). No CRISIL Index may be copied, retransmitted or redistributed in any manner. While CRISIL uses reasonable care in computing the CRISIL Indices and bases its calculation on data that it considers reliable, CRISIL does not warrant that any CRISIL Index is error-free, complete, adequate or without faults. Anyone accessing and/or using any part of the CRISIL Indices does so subject to the condition that: (a) CRISIL is not responsible for any errors, omissions or faults with respect to any CRISIL Index or for the results obtained from the use of any CRISIL Index; (b) CRISIL does not accept any liability (and expressly excludes all liability) arising from or relating to their use of any part of CRISIL Indices. CRISIL Privacy Notice CRISIL respects your privacy. We use your contact information, such as your name, address, and id, to fulfill your request and service your account and to provide you with additional information from CRISIL and other parts of The McGraw-Hill Companies, Inc. you may find of interest. For further information, or to let us know your preferences with respect to receiving marketing materials, please visit You can view McGraw-Hill's Customer Privacy Policy at Last updated: March 2013 Contact Details: Deepak Mittal Associate Director, Business Development Tel no ID: deepak.mittal@crisil.com CRISIL Limited CRISIL House, Central Avenue, Hiranandani Business Park, Powai, Mumbai India Phone: Fax: CRISIL Ltd is a Standard & Poor's Company