CRISIL-IBX 50:50 Gilt Plus SDL Index – April 2037 seeks to track the performance of Gilt and SDL securities maturing between 01 May 2036 to 29 April 2037. The index shall mature on 29 April 2037.
Asset Allocation
• Gilt: 50%
• SDL:50%
The weights between asset classes may drift due to price movement and will be reset quarterly.
Features
• Total Return Index seeking to capture price and coupon returns of the underlying portfolio.
• It's a target date index which follows a roll-down approach.
• Government securities with a minimum outstanding of Rs. 10000 crores, having the security with highest liquidity.
• State issuers with a minimum outstanding of Rs. 1,000 crores in the eligible period, having the security with highest liquidity.
• Index portfolio marked-to-market on a daily basis using CRISIL valuations
• Inception Date of Index: 23rd September 2022.
Key Characteristics
• Replicability: The index constituents are valued on a daily basis. This lends the index a realistic approach by having the valuations close to the market levels
Methodology
Gilt
Security Selection:
• Most liquid securities in the eligible period will be selected. If less than 5 securities are available, all securities will be selected.
• Minimum Amount Outstanding should be Rs. 10,000 crores.
• The index constituents are valued on a daily basis using CRISIL Valuations Weighing Approach:
• Weights to individual securities will be calculated in the ratio of amount outstanding (30% weightage) and liquidity score (70% weightage).
• Liquidity score will be calculated based on the volume traded (70%), number of trades (15%) and days traded (15%) in the previous quarter.
• Weights will be reset during the quarterly rebalancing.
Rebalancing and Review:
• Eligible securities will be added on a quarterly basis and weights will be redistributed based on ratio of amount outstanding (30% weightage) and liquidity score (70% weightage).
• Any cash flows accruing to the index on account of coupon cash flows, part redemption of the security or securities, will be reinvested on the same day in the index in the proportion of existing weights.
• As the index includes securities that shall mature during the twelve-month period ending on the final maturity date of the index, any proceeds from the redemption of securities prior to the final maturity date of the index shall be reinvested according to following waterfall approach –
o The proceeds from security redemption will be reinvested in the longest maturity outstanding security and maturing on or just before the index maturity date.
o In case a replacement in the form of outstanding security cannot be found for reinvestment then the proceeds from such redemption shall be reinvested in the remaining portfolio on the same date in the proportion of the existing weights.
o In case if there are no eligible securities, then the proceeds from such redemption shall be reinvested in a T-Bill maturing on or just before the index maturity date.
o If the last outstanding security (including T-Bill) in the index matures before the final index maturity date, all redemption proceeds shall be assumed to be re-invested in The Clearing Corporation of India Ltd.'s (CCIL) TREPS overnight rate for any subsequent days till the maturity of the index
• The effective date of the above rebalancing shall be first working day of the month or the quarter.
• Any index having maturity date on a weekend (Saturday and Sunday) or on a holiday, or on an unplanned market off, will mature on the next working day.
SDL
Issuer Selection:
• All states with issuances in maturing in the eligible period will be shortlisted
• 5 most liquid issuers with a minimum total amount outstanding of Rs. 1000 crores in the eligible period will be selected on the basis of liquidity. If less than 5 issuers are available, all issuers will be selected.
• Liquidity score will be calculated based on the volume traded (70%), number of trades (15%) and days traded (15%) in the previous quarter
Security Selection:
• For each issuer selected, most liquid security based on liquidity score in the previous quarter will be selected. Securities maturing in eligible period before the target date, with minimum amount outstanding of Rs. 500 crores will be considered. If there are no trades in the previous quarter for a particular issuer, then security nearest to the maturity from the eligible universe will be selected.
• The index constituents are valued on a daily basis using CRISIL Valuations.
Weighing Approach:
• Weights to the issuers will be divided equally, at the inception of the index.
• The weights may drift due to price movement and due to cash flows accruing on account of coupon cash flows and will be reset during rebalancing.
• Weights will reset every quarter.
Rebalancing and Review:
• The rebalancing period will be quarterly.
• During the quarterly rebalancing, if a new issuer meets the eligibility criteria, it will be added to the index.
The weights of the issuers will be reset to equal weights during the quarterly rebalancing, when a new issuer is added in the index.
• The selected securities will be held till maturity unless a new security of same issuer is identified during, quarterly rebalancing to be more liquid.
• Any cash flows accruing to the index on account of coupon cash flows, part redemption of the security or securities, will be reinvested on the same day in the index in the proportion of existing weights.
• As the index includes securities that shall mature during the twelve-month period ending on the final maturity date of the index, any proceeds from the redemption of securities prior to the final maturity date of the index shall be reinvested according to following waterfall approach
o The proceeds from security redemption will be reinvested in the longest maturity outstanding security issued by the same issuer and maturing on or just before the index maturity date.
o In case a replacement in the form of outstanding security of the same issuer cannot be found for reinvestment then the proceeds from such redemption shall be reinvested in the remaining portfolio on the same date in the proportion of the existing weights.
o In case due to any reason, it is not possible to reinvest in any issuer or security, then the proceeds from such redemption shall be reinvested in a T-Bill maturing on or just before the index maturity date.
o If the last outstanding security (including T-Bill) in the index matures before the final index maturity date, all redemption proceeds shall be assumed to be re-invested in The Clearing Corporation of India Ltd.'s (CCIL) TREPS overnight rate for any subsequent days till the maturity of the index.
• The effective date of the above rebalancing shall be first working day of the month or the quarter.
• Any index having maturity date on a weekend (Saturday and Sunday) or on a holiday, or on an unplanned market off, will mature on the next working day.
Portfolio as on 03 October 2023
Asset Class ISIN Issuer Name Maturity Weights
Gilt
IN0020220102 Central Government 19-Dec-36 33.60%
IN0020220029 Central Government 23-May-36 11.60%
IN0020060045 Central Government 7-Jun-36 4.80%
SDL
IN2920230181 Rajasthan 6-Sep-36 5.56%
IN4520220109 Telangana 3-Aug-36 5.56%
IN2220210206 Maharashtra 4-Aug-36 5.56%
IN1620210055 Haryana 16-Jun-36 5.56%
IN1020210150 Andhra Pradesh 23-Jun-36 5.56%
IN2020210224 Kerala 30-Mar-37 5.56%
IN2120200232 Madhya Pradesh 20-Jan-37 5.56%
IN3320220152 Uttar Pradesh 15-Mar-37 5.56%
IN1720220087 Himachal Pradesh 14-Sep-36 5.56%