This document provides an analysis of the Indian fixed income market and recommendations for positioning bond portfolios. It begins with a review of historical yield movements and the current high levels of term premium and spread premium. The document then recommends adding duration to benefit from higher term premiums and adding higher-rated corporate bonds to benefit from wider spread premiums. It provides examples of portfolio adjustments made across several ICICI Prudential bond funds to increase government bond and Treasury bill holdings and add exposure to AA-rated corporate bonds. The document concludes with fund-specific positioning strategies and takeaways for various maturity categories.

1. Market Musings
A period of reflection
Our Fixed Income Positioning

2. ‘You can’t drive a car or go forward looking
in the rear-view mirror’

3. Components of Fixed Income Return
Capital Appreciation Accrual Income
Realised when interest
rates comes down
Realised when everyday
coupon/accrual income
one gets from holding a
particular instrument

4. Return drivers for various instruments
Instrument Type Major driver for returns
Government Securities Capital Appreciation
AAA/A1+ rated Corporate Bonds Capital Appreciation
AA & Equivalent rated Corporate
Bonds
Accrual Income + Capital Appreciation
A & Equivalent rated Corporate
Bonds
Accrual Income + Marginal Capital Appreciation

5. Rear View Mirror Driving – Pick your side!
163
217
115
57
-34
-17
-50
0
50
100
150
200
250
AAA(3 Year) A1+(6Mnth
CD)
Repo Rate
Cut
Gsec(10
Year)
AA(3 Year) A(3 Year)
Rate Transmission (bps) for CY 2020
Instrument
Type
Yields (%)
01-Jan-20 14-Aug-20
AAA(3 Year) 6.86 5.23
A1+(6Mnth CD) 5.56 3.39
Repo Rate Cut 5.15 4.00
Gsec(10 Year) 6.51 5.94
AA(3 Year) 7.51 7.85
A(3 Year) 9.30 9.47
Value Zone
Expensive Zone
Source: CRISIL Research, Data as on August 14, 2020, CD – Certificate of Deposit, bps – basis points, Past performance may or may not sustained in future

6. Add
Duration
What are we recommending?
Value Zone
Expensive Zone
Add Spread Assets
163
217
115
57
-34
-17
-50
0
50
100
150
200
250
AAA(3 Year) A1+(6Mnth CD) Repo Rate Cut Gsec(10 Year) AA(3 Year) A(3 Year)
Rate Transmission (bps) for CY 2020
Source: CRISIL Research, Data as on August 14, 2020, CD – Certificate of Deposit, bps – basis points, Past performance may or may not sustained in future

7. Some basics with illustrations
Term Premium Spread Premium/ Credit Spread
Yield 1
Yield 2
Yield 3
Instrument
Name
Yield (%) Premium (%)
3 Year -GSEC X -
3 Year- AAA Y Y minus X
3 Year- AA Z Y minus Z
Steeper the yield curve, higher the term premium, which may make
the longer end of the yield curve more attractive
Higher the spread premium , higher would be the risk reward
benefit to move to higher spread assets
R
a
t
e
(%)
Duration (Years)

8. Current Scenario
Spread Premium/ Credit Spread
2.4
0.75
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
2.5
3
10 Yr Gsec minus 1 Yr TBill
Term Premium (10 Yr Gsec-1 Yr Tbill)
Term Premim Long Term Average
3
4
5
6
7
8
9
6 Months 1 Yr 3 Yr 5 Yr
Yields(%)
Repo AAA AA
Avg.
79 bps
Avg.
361 bps
Source: CRISIL Research, Data as on August 14, 2020,Past performance may or may not sustained in future
Currently, the term premium is at one of the highest levels seen in the
last 10 years.
Term Premium
Currently, the spread premium is one of the widest as compared to
the levels seen historically.

9. Key Recommendations
Add Spread Assets
with an aim to benefit
from high Spread
Premium
Add Duration with
an aim to benefit
from higher Term
Premium

10. Portfolio Strategy &
Recommendations

11. Surplus Parking Space
Repo Rate
Low carry zone over repo
Add Duration and add spread assets to the portfolios
Data as of July 31, 2020, Past performance may or may not sustained in future. This graph is used to indicate current YTM and does not indicate in any manner performance of the scheme
3.26 3.64
3.96
5.94
5.04
5.98
3
3.5
4
4.5
5
5.5
6
6.5
7
7.5
ICICI Prudential
Overnight Fund
ICICI Prudential Liquid
Fund
ICICI Prudential
Money Market Fund
ICICI Prudential Ultra
Short Term Fund
ICICI Prudential
Savings Fund
ICICI Prudential
Floating Interest Fund
YTM-31-July-2020 (%)

12. Short Term Space
Data as on July 31, 2020, YTM – Yield to Maturity, Past performance may or may not sustained in future. This graph is used to indicate current YTM and does not indicate in any manner performance of the scheme
Add Duration and add spread assets to the portfolios
Repo Rate
Modified
Duration :
3.5 Yrs
Modified
Duration :
5.4 Yrs
5.19
5.58
5.64
7.95
7.28
8.94
3
4
5
6
7
8
9
ICICI Prudential
Corporate Bond Fund
ICICI Prudential
Banking & PSU Debt
Fund
ICICI Prudential Short
Term Fund
ICICI Prudential
Medium Term Bond
Fund
ICICI Prudential All
Seasons Bond Fund
ICICI Prudential Credit
Risk Fund
YTM -31-July-2020 (%)

13. Yield Movement
Source: CRISIL Research, Data as on August 14, 2020, CD – Certificate of Deposit, CP – Commercial Paper, bps – Basis Points. Past performance may or may not be sustained in future
Instrument Yields (%) Carry (bps)
3 M CD 3.32 -68
3 M CP 3.65 -25
AAA rated Corporate Bonds (3 Years) 4.80 to 5.23 80 to 123
Perpetual Bonds (Major Banks) 7.20 to 7.70 320 to 370
AA rated Corporate Bonds (3 Years) 7.80 to 8.40 380 to 440
A rated Corporate Bonds (3 Years) 9.30 530
Repo Rate 4.00 0

14. Portfolio Positioning

15. Portfolio Positioning
• Across our portfolios we have increased duration, due to higher term premium
• In Schemes which aims to invest in short end of the yield curve (predominantly less than 1 Year), we have added exposure
towards T-bills, as the spread between T-bills and Commercial Papers/Certificate of Deposits have compressed significantly.
• We have added good quality spread assets (AA Corporate Bond) in our select portfolios, due to higher spread premium at this
juncture.
• We believe going forward the quantum of rate cuts may come down as compared to what we have seen historically, hence
Accrual strategy may take the driving seat and capital appreciation strategy may take the back seat.
• As the longer end of the yield curve remains elevated, we believe RBI may conduct various operations to flatten the yield curve
or to reduce the term premium, which may aid in better transmission of rates.
Some of the measures which seems likely are :
1. RBI may buy large quantity of govt. bonds through OMO (Open market operations)
2. Long term repo operations of 5 Years & above
3. Increase in HTM ( Hold till maturity) limit for bonds for banks

16. Current Portfolio Positioning –
Added T Bills and Added GSec
Scheme Name
Jul-20 Holdings (%) Apr-20 Holdings (%)
Difference (%)
T Bills Gsec Total T Bills Gsec Total
ICICI Prudential All Seasons Bond Fund 0.0 56.1 56.1 0.0 53.2 53.2 2.9
ICICI Prudential Banking & PSU Debt Fund 0.0 33.6 33.6 0.0 16.5 16.5 17.0
ICICI Prudential Bond Fund 0.3 21.7 21.9 0.0 0.0 0.0 21.9
ICICI Prudential Corporate Bond Fund 0.0 31.9 31.9 0.0 18.1 18.1 13.8
ICICI Prudential Credit Risk Fund 0.0 13.2 13.2 0.0 0.0 0.0 13.2
ICICI Prudential Floating Interest Fund 1.2 28.0 29.2 0.0 8.9 8.9 20.3
ICICI Prudential Liquid Fund 50.2 0.9 51.1 26.0 2.0 27.9 23.2
ICICI Prudential Long Term Bond Fund 0.0 77.2 77.2 0.0 68.3 68.3 9.0
ICICI Prudential Medium Term Bond Fund 0.0 20.7 20.7 0.0 0.0 0.0 20.7
ICICI Prudential Money Market Fund 0.2 18.1 18.3 0.3 0.0 0.3 18.0
ICICI Prudential Savings Fund 2.5 17.5 20.0 0.0 4.0 4.0 15.9
ICICI Prudential Short Term Fund 3.8 30.2 34.0 0.0 22.1 22.1 11.8
ICICI Prudential Ultra Short Term Fund 2.4 0.0 2.4 0.0 0.0 0.0 2.4
Data as on July 31, 2020, Past performance may or may not be sustained in future

17. Rationale for Higher Tbills in shorter duration
schemes
3
3.5
4
4.5
5
5.5
6
6.5
7
GSec and Corporate Bond Yield Curve (%)
Government Security Curve Corporate Bond Curve
-0.1
0.0 0.1
0.3
0.4
0.3
0.6 0.6
0.3
0.5
0.7
0.9
1.1
1.0
0.9
1.0
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
1 M (T
Bill/CD)
3 M (T
Bill/CD)
6 M (T
Bill/CD)
12 M (T
Bill/CD)
2 Yr (Gsec/
AAA)
3 Yr
(Gsec/AAA)
5 Yr
(Gsec/AAA)
10 Yr
(Gsec/AAA)
Spread Between GSec and Corporate Bond
Space – Current & Historical Average (%)
Current Spread Historical Spread ( 3 Years)
Source: CRISIL Research, Data as on July 31, 2020, Past performance may or may not be sustained in future. CD: Certificate of Deposits

18. Add Duration and Add Spread Assets
Data as on July 31, 2020, Past performance may or may not be sustained in future, * Includes TREPS & Net Current Assets, ^ Includes Treasury Bills. @includes '+' (plus) and '-' (minus) signs for ratings
Scheme Name
Cash* +
Gsec^
AAA/A1+
(% Holding)
@AA (%
Holding)
@A (%
Holding)
YTM
Modified
Duration
ICICI Prudential Overnight Fund 100.0% 0.0% 0.0% 3.26% 1 Day
ICICI Prudential Liquid Fund 51.8% 48.2% 0.0% 3.64% 37 Days
ICICI Prudential Money Market Fund 22.7% 77.3% 0.0% 3.96% 165 Days
ICICI Prudential Savings Fund 22.7% 63.7% 13.6% 5.04% 385 Days
ICICI Prudential Floating Interest Fund 30.9% 34.7% 32.5% 1.9% 5.98% 550 Days
ICICI Prudential Ultra Short Term Fund 7.5% 55.1% 33.2% 4.3% 5.94% 121 Days
ICICI Prudential Corporate Bond Fund 36.0% 64.0% 0.0% 5.19% 2.73 Yrs
ICICI Prudential Short Term Fund 38.4% 45.5% 16.0% 5.64% 2.71 Yrs
ICICI Prudential Banking & PSU Debt Fund 34.6% 48.6% 16.8% 5.58% 3.31 Yrs
ICICI Prudential Medium Term Bond Fund 24.4% 20.1% 55.4% 7.95% 3.53 Yrs
ICICI Prudential Credit Risk Fund 16.7% 6.7% 43.8% 27.3% 8.94% 2.19 Yrs
ICICI Prudential All Seasons Bond Fund 59.4% 9.8% 30.7% 7.28% 5.38 Yrs
Spread Assets

19. Key - Takeaways
Particulars ICICI Prudential Product Call to action Reason
Extreme Short Duration
ICICI Prudential Overnight Fund/ ICICI Prudential
Liquid Fund
Move to high
duration/better spread
schemes
Very Low carry
Short Duration
ICICI Prudential Savings Fund/
ICICI Prudential Ultra Short Term Fund/ICICI
Prudential Floating Interest Fund
Invest for parking surplus
funds
Better Accrual +
Moderate Volatility
Medium Duration
ICICI Prudential Short Term Fund/ICICI Prudential
Banking & PSU Debt Fund/
ICICI Prudential Credit Risk Fund/ICICI Prudential
Medium Term Bond Fund/ICICI Prudential All
Seasons Bond Fund
Core Portfolio with more
than 1 Yr horizon
Higher Accrual + Capital
Appreciation

20. 20
Our Fixed Income Schemes
Scheme Name Type of Scheme
ICICI Prudential Ultra Short Term Fund
An open ended ultra-short term debt scheme investing in instruments such that the Macaulay duration of the portfolio is between
3 months and 6 months.
ICICI Prudential Short Term Fund
An open ended short term debt scheme investing in instruments such that the Macaulay duration of the portfolio is between
1 Year and 3 Years.
ICICI Prudential Medium Term Bond Fund An open ended medium term debt scheme investing in instruments such that the Macaulay duration of the portfolio is between 3
Years and 4 Years. The Macaulay duration of the portfolio is 1 Year to 4 years under anticipated adverse situation.
ICICI Prudential Credit Risk Fund An open ended debt scheme predominantly investing in AA and below rated corporate bonds.
ICICI Prudential Floating Interest Fund
An open ended debt scheme predominantly investing in floating rate instruments (including fixed rate instruments converted to
floating rate exposures using swaps/derivatives).
ICICI Prudential All Seasons Bond Fund An open ended dynamic debt scheme investing across duration.
ICICI Prudential Savings Fund
An open ended low duration debt scheme investing in instruments such that the Macaulay duration of the portfolio is between
6 months and 12 months
ICICI Prudential Banking & PSU Debt Fund
An open ended debt scheme predominantly investing in Debt instruments of banks, Public Sector Undertakings, Public
Financial Institutions and Municipal Bonds
ICICI Prudential Corporate Bond Fund An open ended debt scheme predominantly investing in AA+ and above rated corporate bonds.
ICICI Prudential Money Market Fund An open ended debt scheme investing in money market instruments
ICICI Prudential Liquid Fund An open ended liquid scheme
ICICI Prudential Bond Fund
An open ended medium to long term debt scheme investing in instruments such that the Macaulay duration of the portfolio is between
4 Years and 7 Years. The Macaulay duration of the portfolio is 1 Year to 7 years under anticipated adverse situation
ICICI Prudential Overnight Fund An open ended debt scheme investing in overnight securities
ICICI Prudential Long Term Bond Fund An open ended debt scheme with Macaulay duration greater than 7 years
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

21. 21
Riskometers
ICICI Prudential Credit Risk Fund is suitable for investors who are seeking*:
 Medium term savings
 A debt scheme that aims to generate income through investing predominantly in AA and below rated corporate bonds while
maintaining the optimum balance of yield, safety and liquidity
*Investors should consult their financial advisers if in doubt about whether the product is suitable for them
ICICI Prudential Medium Term Bond Fund is suitable for investors who are seeking*:
 Medium term savings
 A debt scheme that invests in debt and money market instruments with a view to maximize income while maintaining optimum balance
of yield, safety and liquidity
*Investors should consult their financial advisers if in doubt about whether the product is suitable for them
ICICI Prudential Short Term Fund is suitable for investors who are seeking*:
 Short term income generation and capital appreciation solution
 A debt fund that aims to generate income by investing in a range of debt and money market instruments of various maturities.
*Investors should consult their financial advisers if in doubt about whether the product is suitable for them
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

22. 22
Riskometers
ICICI Prudential Floating Interest Fund is suitable for investors who are seeking*:
 Short term savings
 An open ended debt scheme predominantly investing in floating rate instruments
*Investors should consult their financial advisers if in doubt about whether the product is suitable forthem
ICICI Prudential Ultra Short Term Fund is suitable for investors who are seeking*:
 Short term regular income
 An open ended ultra-short term debt scheme investing in a range of debt and money market instruments
*Investors should consult their financial advisers if in doubt about whether the product is suitable forthem
ICICI Prudential All Seasons Bond Fund is suitable for investors who are seeking*:
 All durationsavings
 A debt scheme that invests in debt and money market instruments with a view to maximize income while maintaining optimum balance
of yield, safety andliquidity
*Investors should consult their financial advisers if in doubt about whether the product is suitable for them
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

23. 23
Riskometers
ICICI Prudential Savings Fund is suitable for investors who are seeking*:
 Short term savings
 An open ended low duration debt scheme that aims to maximize income by investing in debt and money market instruments while
maintaining optimum balance of yield, safety and liquidity
*Investors should consult their financial advisers if in doubt about whether the product is suitable for them.
ICICI Prudential Banking & PSU Debt Fund is suitable for investors who are seeking*:
 Short term savings
 An open ended debt scheme predominantly investing in Debt instruments of banks, Public Sector Undertakings, Public Financial Institutions
and Municipal Bonds
*Investors should consult their financial advisers if in doubt about whether the product is suitable for them.
ICICI Prudential Corporate Bond Fund is suitable for investors whoare seeking*:
 Short term savings
 An open ended debt scheme predominantly investing in highest rated corporate bonds
*Investors should consult their financial advisers if in doubt about whether the product is suitable for them.
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

24. 24
Riskometers
ICICI Prudential Money Market Fund is suitable for investors who are seeking*:
 Short term savings
 A money market scheme that seeks to provide reasonable returns, commensurate with low risk while providing a high level of liquidity
*Investors should consult their financial advisors if in doubt about whether the product is suitable for them.
ICICI Prudential Liquid Fund is suitable for investors who are seeking*:
 Short term savings solution
 A liquid fund that aims to provide reasonable returns commensurate with low risk and providing a high level of liquidity
*Investors should consult their financial advisors if in doubt about whether the product is suitable for them.
ICICI Prudential Overnight Fund is suitable for investors who are seeking*:
 Short term savings solution
 An overnight fund that aims to provide reasonable returns commensurate with low risk and providing a high level of liquidity
*Investors should consult their financial advisers if in doubt about whether the product is suitable for them
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

25. 25
Riskometers
ICICI Prudential Bond Fund is suitable for investors who are seeking*:
 Medium to Long term savings
 A debt scheme that invests in debt and money market instruments with an aim to maximise income while maintaining an optimum balance of
yield, safety and liquidity.
*Investors should consult their financial advisors if in doubt about whether the product is suitable for them.
ICICI Prudential Long Term Bond Fund is suitable for investors who are seeking*:
 Long term wealth creation
 A debt scheme that invests in debt and money market instruments with an aim to maximise income while maintaining an optimum balance of
yield, safety and liquidity.
*Investors should consult their financial advisors if in doubt about whether the product is suitable for them.
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

26. 26
Disclaimer
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. The same may or may not be relevant at a future date. The AMC takes no responsibility of updating any
data/information in this material from time to time. The information shall not be altered in any way, transmitted to, copied or distributed, in part or in whole, to any other
person or to the media or reproduced in any form, without prior written consent of ICICI Prudential Asset Management Company Limited. Prospective investors are
advised to consult their own legal, tax and financial advisors to determine possible tax, legal and other financial implication or consequence of subscribing to the units
of ICICI Prudential Mutual Fund. Past Performance may or may not be sustained in future.
Disclaimer: In the preparation of the material contained in this document, ICICI Prudential Asset Management Company Ltd. (the AMC) has used information that is pub-
licly available, including Budget speech and information developed in-house. The stock(s)/sector(s) mentioned in this slide do not constitute any recommendation and
ICICI Prudential Mutual Fund may or may not have any future position in this stock(s). Some of the material used in the document may have been obtained from mem-
bers/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 informa-
tion. 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 statements due to risk or uncertainties associated with 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 Management Company Lim-
ited (including its affiliates), the Mutual Fund, The Trust and any of 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 any
manner. Further, the information contained herein should not be construed as forecast or promise or investment advice. The recipient alone shall be fully responsible/are
liable for any decision taken on this material.

27. Thank You
The information contained herein is solely for private circulation for reading/understanding of registered Advisors/Distributors of ICICI Prudential Asset Management Company & should not be circulated to investors/prospective investors.