CRISIL Research has launched India’s first index to act as a benchmark for performance of investments of foreign portfolio investors (FPI) in the fixed-income market, in both rupee and dollar versions.
The composite index is constructed based on the regulatory restrictions for FPIs and its investment trends in domestic fixed-income securities. Accordingly, it will track the performance of government securities, and AAA and AA rated corporate bonds with residual maturity greater than 3 years.
Jiju Vidyadharan, Senior Director, CRISIL Research, said, “The indices have significance because of rising FPI investments in fixed-income securities and progressive hikes in the limits prescribed by the Reserve Bank of India in its medium-term framework introduced in October 2015. Since 2011, the investment limit has shot up from Rs 436 billion to Rs 2,893 billon for G-secs, and from 1,865 billion to Rs 2,273 billion for corporate bonds.”
Utilisation of the limits stands at 95% in corporate bonds and 84% in gilts today. Indeed, at Rs 1,988 billion, the net debt investment of FPIs in 2017 was the highest since 2002, barring only 2014.
Annualised return on the CRISIL FPI Index over the past five years has been 9.15%, which, adjusted for currency fluctuation, works out to 5.78%.
Apart from the FPI index, CRISIL maintains 47 indices across the bond, gilt, money market, hybrid and commodity segments, which are used by asset managers for benchmarking their products and portfolios. CRISIL will continue to develop indices that help market participants gauge the performance of different asset classes and make investment decisions in an otherwise shallow debt market.
All CRISIL indices are public indices with details on index performance and portfolio constituents available on the CRISIL Indices website (www.crisil.com/en/home/what-we-do/financial-products/indices.html) daily.
