FIXED

INCOME
TALK

Fixed Income Update

• GLOBAL – Higher than expected economic

growth in the US has increased chances of
‘soft landing’ of the US economy. Soft landing
refers to an optimistic scenario wherein
economic growth slows and inflation cools
without a recession. However, rising
commodity prices and a higher fiscal deficit
remain key upside risks to bond yields.

• DOMESTIC – Economic growth has sustained

momentum and inflation has remained within
the tolerable band. However, a sharp increase
in vegetable and cereals prices could bring
inflation above the RBI’s tolerable range,
albeit temporarily.

Mutual Fund investments are subject to market risks, read all scheme related documents carefully.
 System Liquidity

Banking Liquidity Surplus has seen a sustainable increase in the past few months.

Banking Liquidity Surplus (in lakh crore)

3.0

2.5

2.0

1.5

1.0

0.5

0.0
May 2023 Jun 2023 Jul 2023 Aug 2023

Source: www.rbi.org.in Data as on Aug 11, 2023

Our Outlook

• We expect monetary policy to be neutral in

the near future, keeping policy rates in a
narrow range until there is a meaningful shift
in growth indicators.

• Announcement of Incremental Cash Reserve

Ratio (I-CRR) is likely to impact the extreme
short-end of the yield-curve. However, we
expect this to be a temporary phenomena.

• We continue to recommend schemes with up

to 3 years duration range.

• Active strategy will continue to play a useful

role in such a dynamic macro environment.

Mutual Fund investments are subject to market risks, read all scheme related documents carefully.
 Why Accruals Now?
• As highlighted earlier, RBI is expected to maintain its stance without resorting for rate-cuts. In such a
scenario, accruals become the main strategy. One of the instruments providing good accrual income in our
various fixed income schemes is GOI floater bonds. We have sizable exposure in these instruments which has
helped us enhance overall portfolio yield. Yields continue to remain attractive due to high accruals from GOI
floater bonds.

Scheme Current Yield-to-Maturity

ICICI Prudential Savings Fund 7.67%

ICICI Prudential Floating Interest Fund 8.08%

ICICI Prudential Money Market Fund 7.33%

ICICI Prudential Corporate Bond Fund 7.84%

ICICI Prudential Banking & PSU Debt Fund 7.75%

ICICI Prudential Short Term Fund 7.85%

Data as on Aug 15, 2023

Why up to 3 Year Curve?

• G-Sec yields have increased across tenure in the recent past. The extreme short-end of the curve is the only
outlier that had declined owing to excess banking liquidity surplus.
• Possibility of increase in rates in the extreme short-end of the yield curve due to I-CRR and upside risks to the
longer-end yields due to global cues leaves the up to 3 year range as a comfortable space for investment.

G-Sec Yield Curve

7.2
G-sec Bond Yield (%)

7.0

6.8
10-Aug-23 30-Jun-23

6.6

6.4
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.5 9.0 9.5 10.0

Tenure of G-Sec Bond in Years

Source: CCIL. Data as on Aug 10, 2023.

Mutual Fund investments are subject to market risks, read all scheme related documents carefully.
 Scheme Recommendations

ICICI Prudential Savings Fund

Why to invest?

• Invests in shorter duration debt papers. Rating Allocation

64.91%

• Currently, the portfolio has 23.7% exposure to natural

floaters, as on July 31, 2023. 26.32%

3.70% 5.07%
• Predominant exposure to AAA & equivalent papers.
Sovereign AAA and AA and TREPS & Net
Securities Equivalent Equivalent Current Assets

ICICI Prudential Floating Interest Fund

Why to invest?

• Currently, the portfolio has higher exposure to Rating Allocation

Government of India (GOI) floaters. 57.48%

• Also invests in corporate bonds of AAA and AA rating. 27.45%

7.34% 7.74%
• Seeks to generate accrual income with low mark to
market risk. Sovereign AAA and AA and TREPS & Net
Securities Equivalent Equivalent Current Assets

ICICI Prudential Money Market Fund

Why to invest?

Rating Allocation
• For exposure to money market instruments like CDs, CPs
and T-bills. 80.64%

• Portfolio is 100% invested in AAA, Sovereign Securities

and TREPs & Current Assets. 18.64%
0.71%

Sovereign AAA and Equivalent TREPS & Net

Securities Current Assets

Data as on July 31, 2023. CD – Certificate of Deposits, CP – Commercial Paper, T-bill – Treasury Bills

Mutual Fund investments are subject to market risks, read all scheme related documents carefully.
 Scheme Recommendations

ICICI Prudential Corporate Bond Fund

Why to invest?

Rating Allocation
• 100% exposure to AAA-rated corporate bonds,
65.57%
Sovereign securities and TREPs & Current Assets.

• Provide both accrual income and potential mark- 31.44%

to- market returns.

2.99%
• Derive potential benefit from any changes in short-
term interest rates. Sovereign AAA and Equivalent TREPS & Net
Securities Current Assets

ICICI Prudential Banking & PSU Debt Fund

Why to invest?

• To invest in debt instruments of banks, Public Sector Rating Allocation

Undertakings, Public Financial Institutions and
68.04%
Municipal Bonds.

• 100% exposure to AAA-rated corporate bonds,

29.91%
Sovereign securities and TREPs & Current Assets.

• Aims to generate accrual income by following hold till 2.05%

maturity approach for some portion of the portfolio. Sovereign AAA and Equivalent TREPS & Net
Securities Current Assets

ICICI Prudential Short Term Fund

Why to invest?

• 87% exposure to AAA, Sovereign securities and TREPs Rating Allocation

& Current Assets. 44.28%

39.16%
• Exposure to spread assets for better accrual

• For short term income generation and capital

12.97%
appreciation.
3.59%

• Lower interest rate risk due to portfolio duration being

Sovereign AAA and AA and TREPS & Net
less than 3 years. Securities Equivalent Equivalent Current Assets

Data as on July 31, 2023. Current Assets shall be read as Net Current Assets.

Mutual Fund investments are subject to market risks, read all scheme related documents carefully.
 YTM Disclaimer

Data as on Aug 15, 2023

ICICI Prudential Money ICICI Prudential Savings ICICI Prudential Floating Interest
Scheme Name
Market Fund Fund Fund
An open ended debt scheme
An open ended low duration
predominantly investing in
debt scheme investing in
An open ended debt scheme floating rate instruments
instruments such that the
investing in money market (including fixed rate instruments
Macaulay duration of the
Description instruments. A relatively low converted to floating rate
portfolio is between 6
interest rate risk and exposures using
months and 12 months. A
moderate credit risk swaps/derivatives). A relatively
relatively high interest rate
high interest rate risk and
risk and moderate credit risk.
moderate credit risk.
Annualised
Portfolio YTM*: 7.33% 7.67% 8.08%

Macaulay
Duration 180.32 Days 0.74 Years 0.84 Years

Residual
Maturity 182.05 Days 2.52 Years 6.84 Years

Scheme Name ICICI Prudential Banking & ICICI Prudential Corporate ICICI Prudential Short Term Fund
PSU Debt Fund Bond Fund
An open ended debt scheme
An open ended debt An open ended short term debt
predominantly investing in Debt
scheme predominantly scheme investing in instruments
instruments of banks, Public
investing in AA+ and above such that the Macaulay duration
Sector Undertakings, Public
Description rated corporate bonds. A of the portfolio is between 1 Year
Financial Institutions and
relatively high interest rate and 3 Years. A relatively high
Municipal bonds. A relatively
risk and moderate credit interest rate risk and moderate
high interest rate risk and
risk. credit risk.
moderate credit risk.
Annualised
Portfolio YTM*: 7.75% 7.84% 7.85%

Macaulay
Duration 1.96 Years 1.79 Years 2.25 Years

Residual
Maturity 4.34 Years 4.02 Years 5.25 Years

As per AMFI Best Practices Guidelines Circular No. AMFI/ 35P/ MEM-COR/ 72 / 2022-23 dated December 31, 2022
on Standard format for disclosure Portfolio YTM for Debt Schemes, Yield of the instrument is disclosed on
annualized basis as provided by Valuation agencies.

*in case of semi annual YTM, it will be annualised.

Mutual Fund investments are subject to market risks, read all scheme related documents carefully.
 Risk-O-Meter

ICICI Prudential Corporate Bond Fund ICICI Prudential Short Term Fund
(An open ended debt scheme predominantly investing in AA+ (An open ended short term debt scheme investing in instruments
or above rated corporate bonds. A relatively high interest rate such that the Macaulay duration of the portfolio is between 1 Year
risk and moderate credit risk.) and 3 Years. A relatively high interest rate risk and moderate
credit risk.)

This product is suitable for This product is suitable for

investors who are seeking*: investors who are seeking*:
• Short term savings • Short term income generation
• An open ended debt and capital appreciation
scheme predominantly solution
investing in highest rate • A debt fund that aims to
corporate bonds. generate income by investing in
a range of debt and money
market instruments of various
maturities.

ICICI Prudential Money Market Fund ICICI Prudential Savings Fund

(An open ended debt scheme investing in money market (An open ended low duration debt scheme investing in
instruments. A relatively low interest rate risk and relatively instruments such that the Macaulay Duration of the portfolio
low credit risk.) is between 6 months and 12 months. A relatively high
interest rate risk and moderate credit risk.)
This product is suitable for This product is suitable for
investors who are seeking*: investors who are seeking*:
• Short term savings • Short term savings
• A money market scheme • An open ended low
that seeks to provide duration scheme that aims
reasonable returns, to maximize income by
commensurate with low investing in debt and
risk and providing a high money market instruments
level of liquidity while maintaining
optimum balance of yield,
safety and liquidity.

ICICI Prudential Floating Interest Fund ICICI Prudential Banking & PSU Debt Fund
(An open ended debt scheme predominantly investing in floating (An open ended debt scheme predominantly investing in Debt
rate instruments (including fixed rate instruments converted to instruments of banks, Public Sector Undertakings, Publi c
floating rate exposures using swaps/derivatives). A relatively Financial Institutions and Municipal bonds. A relatively high
high interest rate risk and moderate credit risk.) interest rate risk and moderate credit risk.)

This product is suitable for This product is suitable for

investors who are seeking*: investors who are seeking*:
• Short term savings • Short term savings
• An open ended debt • An open ended debt
scheme predominantly scheme predominantly
investing in floating rate investing in debt
instruments. instruments of banks,
Public Sector
Undertakings, Public
Financial Institutions and
Municipal Bonds.

Please note that the Risk-o-meter(s) specified will be evaluated and updated on a monthly basis. The below
riskometers are as on July 31, 2023. Please refer to https://www.icicipruamc. com /news-and-updates/all-new s for more
details.

The Macaulay duration is the weighted average term to maturity of the cash flows from a bond. The weight of each
cash flow is determined by dividing the present value of the cash flow by the price

Mutual Fund investments are subject to market risks, read all scheme related documents carefully.
 Disclaimers

The Potential risk class (PRC) matrix based on interest rate risk and credit risk.

ICICI Prudential Savings Fund, ICICI Prudential Floating

Interest Fund, ICICI Prudential Corporate Bond Fund, ICICI ICICI Prudential Money Market Fund
Prudential Banking & PSU Debt Fund, ICICI Prudential Short
Term Fund

Mutual Fund investments are subject to market risks, read all scheme related documents
carefully.
All figures and other data given in this document are dated as of July 31, 2023 unless stated otherwise. The same may or
may not be relevant at a future date. The information shall not be altered in any way, transmitted to, copied or
distributed, in part or in whole, to any o ther person or to th e media or reproduced in any form, w ithout prior written
consent of ICICI Prudential Asset Managemen t Company Limited (the AMC). Prospective investors are advised to consult
their own legal, tax and financial advisors to determine possible tax, legal and o ther financial implication or consequence
of subscribing to the units of ICICI Prudential Mutual Fund.

Disclaimer: In th e preparation of the material contained in this document, the AMC has used information that is publicly

avail- able, including information developed in-house. Some of the material(s) used in the document may have been
obtained from members/persons other than the AMC and/or its affiliates and which may have been made available to
the AMC and/or to its affiliates. Information gathered and material used in this document is believed to be from reliable
sources. The AMC however does not warrant the accuracy, reasonableness and / or completeness of any information.
We have included statements / opinions / recommendations in this document, which contain words, or phrases such as
“will”, “expect”, “should”, “believe” and similar expressions or variations of such expressions, that are “forward looking
statements”. Actual results may differ materially from those suggested by the forward looking statemen ts due to
risk or uncertainties associated w ith our expectations with respect to, but not limited to, exposure to market risks,
general economic and political conditions in India and other countries globally, which have an impact on our services and / or
investments, the monetary and interest policies of India, inflation, deflation, unanticipated turbulence in interest rates,
foreign exchange rates, equity prices or other rates or prices etc. ICICI Prudential Asset Man agement Company Limited

(including its affiliates), the Mu tual Fund, The Trust and any o f its officers, directors, personnel and employees, shall not
liable for any loss, damage of any nature, including but not limited to direct, indirect, punitive, special, exemplary,
consequential, as also any loss of profit in any way arising from the use of this material in an y manner. Further, the
information contained herein should not be construed as forecast or promise. The recipient alone shall be fully
responsible/are liable for any decision taken on this material.

The asset allocation and investment strategy will be as per SID of the Scheme.

Mutual Fund investments are subject to market risks, read all scheme related documents carefully.