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March 2020 NIFTY AAA Corporate Bond Indices consist of 6 indices which individually measure performance of AAA rated corporate
bonds from 6 distinct Macaulay Duration buckets. Each index in the series consists of up to 14 most liquid issuers
represented by their most liquid bonds. The indices are rebalanced and reconstituted on quarterly basis and issuer level
weights are capped at 10%.
Note: Returns for periods longer than 1 year are annualized *As on 31st March 2020.
Disclaimer: All information contained herewith is provided for reference purpose only. NSE Indices ensures accuracy and reliability of the above information to
the best of its endeavors. However, NSE Indices makes no warranty or representation as to the accuracy, completeness or reliability of any of the information
contained herein and disclaim any and all liability whatsoever to any person for any damage or loss of any nature arising from or as a result of reliance on any of
the information provided herein. The information contained in this document is not intended to provide any professional advice.
Contact Us:
Email: [email protected] | Tel: +91 22 26598386 | Fax: +91 22 26598120
1000.001400.001800.002200.002600.003000.003400.003800.004200.004600.005000.005400.00
Sep-01 May-04 Feb-07 Nov-09 Aug-12 May-15 Feb-18 Nov-20
Ind
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Val
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NIFTY AAA Corporate Bond Index Series
NIFTY AAA Ultra Short Duration Bond Index NIFTY AAA Low Duration Bond Index
NIFTY AAA Short Duration Bond Index NIFTY AAA Medium Duration Bond Index
Index Characteristics
Methodology Total Return
No. of Constituents Up-to 14 issuers
Launch Date February 09, 2018
Base Date September 03,2001
Base Value 1000
Calculation Frequency Daily - End of Day
Reconstitution Frequency Quarterly
Statistics
Index Name Avg.
coupon Avg.
Yield*
Avg. Macaulay Duration*
Avg. Maturity*
Returns as on 31st March 2020
3 M 6 M 1 Yr. 3 Yr. Since
inception
NIFTY AAA Ultra Short Duration Bond 6.81% 5.64% 0.19 0.22 1.66% 3.44% 7.70% 7.77% 8.18%
NIFTY AAA Low Duration Bond 7.79% 6.40% 0.64 0.73 1.56% 3.63% 8.28% 7.70% 8.01%
NIFTY AAA Short Duration Bond 7.43% 6.75% 2.00 2.13 2.03% 4.28% 9.42% 7.68% 8.10%
NIFTY AAA Medium Duration Bond 8.65% 7.38% 3.48 4.13 2.52% 5.33% 10.83% 7.44% 8.26%
NIFTY AAA Medium to Long Duration Bond 8.09% 7.42% 6.33 8.68 3.95% 6.69% 12.96% 7.28% 8.15%
NIFTY AAA Long Duration Bond 7.68% 7.31% 8.01 12.27 4.80% 8.19% 15.80% 7.76% 9.00%