Edelweiss MF files with SEBI for short duration 80:20 index fund

The firm has collaborated with the National Stock Exchange for the index. As per the Potential Risk Class Matrix, the scheme is classified under Relatively Low Interest Rate Risk and Relatively Low Credit Risk group.

The fund will invest in a mix of CDs and CPs and T-Bills which is part of the Nifty CPCD Plus T-Bill Low Duration 80:20 Index, and will be benchmarked against the same.

Securities with residual maturity of 6-12 months are considered. As the title suggests, CPCD and T-Bills are given 80% and 20% weighting respectively in the index.

For the CPCD component, issuers who have CPs or CDs rated A1+ and have a long-term credit rating of “AAA” (Triple A) at the time of index creation/review are shortlisted. In addition, issuers are ranked on the basis of CP outstanding and CDs and trading volume as on data cut-off date with residual maturities of 6 to 12 months as on index creation/review date.

In the case of T-Bills, six T-Bills with residual maturity of 6-12 months are selected, each maturing in each of the six calendar months from the index creation/review date. T-bills with the latest maturity are selected for each month.

Each issuer that is part of the CP and CD component (constituting 80% of the index) and T-bill component (constituting 20% ​​of the index) is given the same weighting as the index’s base date/review date.

As per the draft document, the likely constituents of the index as on 1 December 2021 include 56 securities. Some of them are Axis Bank’s CDs, Bajaj Housing Finance’s CPs, Housing Development Finance and LIC’s Housing Finance and Government of India’s T-Bills.

The index will be reviewed and rebalanced monthly.