Thread by @stepbystep888

Target Maturity Index
Nifty BHARAT Bond Index – April 2023 & April 2030 index measures the performance of bonds AAA rated bonds issued by government owned entities maturing within 12 months prior to the maturity date of the index
#Bharatbond

Bharat Bond ETF will have two target maturities:
3 years (maturity on 15 April’2023)
No. of Constituents: 99 & No. of Issuer in the index : 13

10 years (maturity on 15 April’2030)
No. of Constituents: 50 & No. of Issuer in the index : 12

Issuer eligibility (1/2):
Issuing entity should be domiciled in India and should either be:
Central Public Sector Enterprises (CPSEs)
Maharatna
Navratna
Miniratna
PFIs
Statutory body

Issuer eligibility (2/2):
having credit rating of “AAA” (Triple A) at the time of index creation/review are shortlisted.
issuers which have total o/s of > 100 crores in eligible bonds maturing within 12 months prior to
the maturity date

Bond Eligibility (1/2):
Bond should be:
1. Plain vanilla with fixed coupon and fixed maturity
2. Denominated in INR
3. Be listed and traded on NSE and/or BSE and should be rated

Bond Eligibility (2/2):
should not be
1Tax Free
2Backed or serviced by GOI
3Floating Rate Bond
4Partially Paid up
5Perpetual
6Having Single Option (Call/Put)
7Having step up/step down coupon which is linked to any contingent event
8Convertible bonds
9Having Staggered redemption

weights:
⚫️ Single issuer weight capped at 15% at the time of index creation/review.
⚫️ Any coupon or redemption amount received is assumed to be reinvested in the portfolio on the same date, in the proportion of the existing weights.

When the last bond in the Index matures, the entire redemption amount shall be assumed to be reinvested in The Clearing Corporation of India Ltd. (CCIL) TREP overnight rate till the maturity of the index.

Re-balancing (1/2):
⚫️ Index will be reviewed at the end of each calendar quarter.
⚫️ Entities in which govt has in principle approved the disinvestment of its stake are not included.

Apart from scheduled review, bonds of existing issuers to be excluded from the index
as per the following exclusion schedule 👇:

Nifty BHARAT Bond Index - April 2030
Yield: 7.58%
MD: 6.93 years
Residual Maturity: 9.69 years

Nifty BHARAT Bond Index - April 2023
Yield: 6.69%
MD: 2.56 years
Residual Maturity: 2.83 years

@iRadhikaGupta @EdelweissAMC