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CRISIL has launched 28 new indices based on potential risk class (PRC) classification that fund houses can adopt as Tier I benchmarks for their open-ended debt schemes, said the company.
SEBI has introduced 9-level matrix titled PRC which is based on interest rate risk (measured in terms of Macaulay Duration) and credit risk (measured by credit risk value) of the scheme. The matrix frames the maximum interest rate and credit risk a fund manager can take in a scheme, which helps investors arrive at informed decisions.
In a press release, Bhushan Kedar, Director, CRISIL Fixed Income Research said, “The criteria of these indices are created such that they follow a predictable band in terms of duration and credit profile suitable to each debt mutual fund category and PRC bucket combination. What that means is the risk profiles and constraints of indices and mutual funds will now be closely aligned, which creates the ground for far better benchmarking of performance.”
CRISIL currently maintains 105 standard and over 100 customised indices, which are used by mutual funds, insurance companies, provident funds, and investors in India.
Jiju Vidyadharan, Senior Director, CRISIL Research said, “These could be specific to a scheme’s investment style — in addition to meeting different credit and duration strategies stipulated by the PRC buckets — and enhance benchmarking practices. The PRC indices underscore CRISIL’s sharp focus on creating relevant and differentiated products for the evolving Indian debt market.”
