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.

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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%