Rating agency Crisil on Tuesday launched the Crisil Gilt Index, which will track the performance of government securities. The index will provide market participants a realistic and easily accessible benchmark to analyse and measure the performance of sovereign investments.

Explaining the reason behind launching the index, Mr Tarun Bhatia, Director, Capital Markets, CRISIL Research, said the index will allow for better price realisation for government securities (G-Secs).

The total outstanding debt in India is over Rs 29 lakh crore. Of this, government securities account for over 80 per cent or Rs 23-24 lakh crore. Even in terms of trading activity, government securities are the most liquid; they contribute over 80 per cent of the trading volumes of the debt market.

Crisil has been maintaining the Gilt Index for 14 years, with 1997 as the base year. It comprises 12 most liquid government securities.

For the construction of the index, Crisil has adopted a two-fold approach based on liquidity and the amount outstanding.

The selection of government securities is based on liquidity, while allocation of weights is based on the amount outstanding.

Calculation

The index is then calculated using a total return approach, capturing both coupon and clean price returns for the selected government securities across maturities, said a release issued by Crisil.

The Crisil Gilt Index will be a public index. The updated details on index performance and portfolio constituents will be available on the Crisil Web site daily.

Going ahead, Crisil will also introduce series of indices focused on corporate bonds, Mr Bhatia said.

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