Thanks, it was very close and useful. I ended up with this :

WITH DtlIdxcolumn (tblnm,type_desc,object_id,index_id,column_id,name)

AS

-- Define the CTE query.

(

select main.name as tblnm,main.type_desc,Sec.*

from

(

select Obj.name,obj.object_id,Idx.index_id,Idx.type_desc

from sys.indexes as Idx

inner join

sys.objects as Obj

on Idx.object_id=Obj.Object_id

) as Main

inner join

(

select idxcol.object_id,idxcol.index_id,col.column_id,col.name

from sys.index_columns as Idxcol

inner join

Sys.columns as col

on Idxcol.object_id=col.object_id and Idxcol.column_id=col.column_id

) as Sec

on (Main.object_id=Sec.object_id) and (main.index_id=Sec.index_id)

)

Select F1.*,F2.object_id,F2.tblnm ,(case when (F2.Retievdcolumnnm) IS null then 'NOTEXISTS' else 'EXISTS' end)comments

From

(

SELECT A.*,B.object_id,B.name

FROM [PRGX_AS_DEV_SandBox_REFERENCE_TABLES].[dbo].[RequiredObjects] as A

inner join

[PRGX_AS_CC_SandBox_Pricing_2014].[sys].[objects] as B

on A.IndexTable=B.name

where ObjectType='index'

)as F1

Left join

(

Select distinct ST2.object_id,ST2.tblnm,

substring(

(

Select ', '+ convert(varchar(500),rtrim(ltrim(name))) AS [text()]

From DtlIdxcolumn as ST1

Where (ST1.object_id = ST2.object_id) and (st1.index_id=st2.index_id)

ORDER BY ST1.name

For XML PATH ('')), 2, 1000

) [Retievdcolumnnm]

From DtlIdxcolumn ST2

)as F2

on (F1.object_id=F2.object_id) and (rtrim(ltrim(upper(F1.IndexColumn)))=rtrim(ltrim((F2.Retievdcolumnnm))))