rakshitra december issue
DESCRIPTION
Clearing Corporation of India Limited, Reserve Bank of IndiaTRANSCRIPT
December 2013
C O N T E N T SC O N T E N T S
Managing Director's Message
Repo Market - A Tool to Manage Liquidity in Financial Institutions
Article
7
5
Briefing
Article Summary
Measuring Capital Adequacy Supervisory Stress Tests in a Basel World
What's New 50
78
80
81
48
58
63
Speeches
Primary Market Analysis
Key Macroeconomic Indicators
Outstanding Government Debt
Domestic
CCIL Indices
World
Market Roundup
Macro-Economic Overview
Market Overview 70
93
95
Money Market
Milestones
Foreign Exchange Market
Derivatives
Interest Rate Movement
Government Securities Market
Statistics
Key Personnel
Corporate Bonds
97
125
131
134
146
149
137
118
100
Infocus
Report on Trend and Progress of Banking in India - 2012-13 29
STATISTICS
TABLES
TABLE 1 : DOMESTIC INDICATORS ......................................................................................................... 78
TABLE 2 : WORLD ECONOMIC INDICATORS ...................................................................................... 80
TABLE 3 : OUTSTANDING GOVERNMENT DEBT ............................................................................. 81
TABLE 4 : STATE DEVELOPMENT LOANS (SDLS) OUTSTANDING............................................ 89
TABLE 5 : CONSOLIDATED OUTSTANDING ....................................................................................... 90
TABLE 6 : ANALYSIS OF OUTSTANDING BONDS .............................................................................. 92
TABLE 7 : INDEX COMPOSITION .............................................................................................................. 93
TABLE 8 : INDEX PERFORMANCE ANALYSIS ..................................................................................... 94
TABLE 9 : SECURITIES & MONEY MARKET (PRIMARY) : COMPARATIVE DATA .................. 95
TABLE 10 : LIQUIDITY ANALYSIS ................................................................................................................ 96
TABLE 11 : CCIL SETTLEMENT DETAILS ................................................................................................. 97
TABLE 12 : CATEGORYWISE BUYING ACTIVITY .................................................................................. 98
TABLE 13 : CATEGORYWISE SELLING ACTIVITY ................................................................................ 98
TABLE 14 : COMPARABLE RATES (%) ......................................................................................................... 99
TABLE 15 : PROPRIETARY / CONSTITUENT SETTLEMENT ANALYSIS .......................................... 100
TABLE 16 : DEAL SIZE ANALYSIS ................................................................................................................. 100
TABLE 17 : INSTRUMENT WISE BREAKUP OF OUTRIGHT TRADES ........................................... 101
TABLE 18 : TENOR WISE ACTIVITY - CENTRAL GOVERNMENT DATED SECURITIES ...... 102
TABLE 19 : NETTING FACTOR - FUNDS ................................................................................................... 103
TABLE 20 : NETTING FACTOR: SECURITIES ........................................................................................... 103
TABLE 21 : LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTEDDURING THE MONTH ................................................................................ 104
TABLE 22 : MARKET SHARE OF TOP 'N' SECURITIES ........................................................................ 107
TABLE 23 : MARKET SHARE OF MEMBERS IN OUTRIGHT SETTLEMENT ................................. 107
TABLE 24 : MARKET SHARE OF TOP FIVE MEMBERS (CATEGORYWISE) ................................... 108
TABLE 25 : TRADING PLATFORM ANALYSIS OF OUTRIGHT TRADES ........................................ 108
TABLE 26B : WHEN-ISSUED TRADING - HISTORICAL ......................................................................... 109
TABLE 27 : MARKET SHARE IN PROPRIETARY TRADES ............................................................... 109
TABLE 28 : MARKET SHARE IN CONSTITUENT TRADES ................................................................ 110
TABLE 29 : TURNOVER RATIO .................................................................................................................... 110
TABLE 30 : NET MARKET ACTIVITY IN G-SEC TRADING ................................................................ 110
GOVERNMENT SECURITIES MARKET
TABLE 26A : WHEN-ISSUED TRADING DETAILS ..................................................................................... 109
TABLE 31 : TRADING SUMMARY ................................................................................................................ 111
TABLE 32 : G-SEC TRADING ANALYSIS .................................................................................................... 112
TABLE 33 : T-BILL TRADING ANALYSIS ................................................................................................... 113
TABLE 34 : SDL TRADING ANALYSIS ........................................................................................................ 114
TABLE 35 : LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC) .................................... 115
TABLE 36 : LIQUIDITY DISTRIBUTION (G-SEC) .................................................................................... 117
TABLE 39 : REPO TERM ANALYSIS .............................................................................................................. 119
TABLE 40 : INSTRUMENTWISE SETTLEMENT OF REPO TRADES ................................................ 119
TABLE 41 : CROMS TRADING ACTIVITY .................................................................................................. 120
TABLE 42 : CROMS HISTORICAL SUMMARY............................................................................................ 121
TABLE 43 : TOP 5 SECURITIES - BASKET REPO ..................................................................................... 121
TABLE 44 : TOP 5 SECURITIES - SPECIAL REPO .................................................................................... 121
TABLE 48 : FOREX SETTLEMENT ................................................................................................................ 125
TABLE 49 : FOREX TRADE TYPE ANALYSIS ........................................................................................... 126
TABLE 50 : FOREX DEAL SIZE ANALYSIS ................................................................................................ 126
TABLE 51 : TENORWISE FORWARD TRADES ANALYSIS ................................................................... 127
TABLE 52 : MARKET SHARE - FOREX ........................................................................................................ 127
TABLE 53 : CATEGORYWISE FOREX ACTIVITY - DEAL TYPE ........................................................ 128
TABLE 54 : NETTING FACTOR - FOREX ................................................................................................... 128
TABLE 55 : CLS SETTLEMENT ....................................................................................................................... 129
TABLE 56 : CURRENCY WISE GROSS SETTLEMENT ........................................................................... 129
TABLE 57 : TOP 5 CURRENCY PAIRS - CLS ............................................................................................. 130
TABLE 58 : TRADING DETAILS - FX CLEAR ............................................................................................ 130
TABLE 59 : INTEREST RATE SWAP TRANSACTIONS (MATCHED) ................................................. 131
TABLE 60 : INTEREST RATE SWAP (MIBOR) MARKET SHARE ........................................................ 131
MONEY MARKET
FOREIGN EXCHANGE MARKET
DERIVATIVES
TABLE 37 : MONEY MARKET COMPARISON .......................................................................................... 118
TABLE 38 : CBLO TRADING........................................................................................................................... 118
TABLE 45 : DEALT TRANSACTIONS ON THE NDS-CALL PLATFORM .......................................... 122
TABLE 46 : OTC DEALS REPORTED ON THE NDS-CALL SYSTEM .................................................. 123
TABLE 47 : NDS-CALL HISTORICAL ................................................................................................. 124
TABLE 61 : INTEREST RATE SWAP (MIFOR) MARKET SHARE ........................................................ 132
TABLE 64 : OUTSTANDING POSITION IN IRS TRANSACTIONS ..................................................... 133
TABLE 68 : PRIMARY MARKET ISSUANCE OF CORPORATE BONDS ............................................ 137
TABLE 75 : CORPORATE BONDS TRADING DETAILS ....................................................................... 140
TABLE 76 : HISTORICAL SUMMARY ....................................................................................................... 141
TABLE 77 : TRADING ANALYSIS ............................................................................................................... 141
TABLE 78 : RATING ANALYSIS .................................................................................................................. 142
TABLE 79 : CATEGORY ANALYSIS .......................................................................................................... 142
TABLE 80 : BOND TYPE ANALYSIS ........................................................................................................... 142
TABLE 84 : HISTORICAL SUMMARY - CP AND CD ............................................................................ 144
TABLE 85 : TENORWISE TRADING ANALYSIS ....................................................................................... 145
TABLE 62 : TOP ‘N’ MARKET SHARE - IRS .............................................................................................. 132
TABLE 63 : IRS TRADE SUMMARY (MATCHED) ................................................................................... 132
TABLE 65 : NETTING FACTOR - IRS NON-GUARANTEED SETTLEMENT ................................ 133
TABLE 66 : SPREAD ANALYSIS - SDL .......................................................................................................... 135
TABLE 67 : YIELD MOVEMENT .................................................................................................................... 136
TABLE 69 : ANALYSIS OF CORPORATE BOND ISSUANCE ................................................................ 138
TABLE 70 : RATING ANALYSIS OF CORPORATE BOND ISSUANCES ........................................... 138
TABLE 71 : TOP 5 ISSUANCES........................................................................................................................ 139
TABLE 72 : SECTOR ANALYSIS ...................................................................................................................... 139
TABLE 73 : CATEGORY ANALYSIS ............................................................................................................... 139
TABLE 74 : NON-FIXED RATE BOND ISSUANCE ANALYSIS ............................................................. 139
TABLE 81 : SPREAD ANALYSIS ...................................................................................................................... 142
TABLE 82 : TOP 25 TRADED CORPORATE BONDS .............................................................................. 143
TABLE 83 : CDs AND CPs TRADING DETAILS ........................................................................................ 144
CHART 1 : ZERO COUPON YIELD CURVE .............................................................................................. 134
CHART 2 : SOVEREIGN YIELD CURVE .................................................................................................... 134
INTEREST RATE MOVEMENT
CORPORATE BONDS
CERTIFICATE OF DEPOSIT AND COMMERCIAL PAPERS
CHARTS
Message from MDMessage from MD
Dear Colleagues,
The recent economic indicator data releases show challenging industrial
production scenario coupled with higher levels of wholesale and consumer
inflation. These negative factors affected market sentiment and market started
anticipating a hike in policy Repo rate to tackle inflation level. Liquidity situation is
slowly improving and banks are borrowing relatively lower amount in MSF window
of RBI. The support from RBI through term repo has also helped the market. The
stability of oil prices and fall in gold imports have helped in bringing down Current
Account Deficits (CAD) and this has helped the Indian Rupee to stabilize against
global currencies.
CCIL business volumes in Oct'13 decelerated in all segments except Forex. Daily
average volume of outright Government Securities transactions settled, decreased
by 12% while daily Repo transactions dropped by about 14%. Daily average Forex
settlement witnessed a marginal increase of 5% while CBLO daily average volume
dropped by 6%.
RBI has issued a notification on December 5, 2013 introducing cash settled Interest
Rate Futures on 10-year Government of India security. The cash settled Interest
Rate Futures (IRF) on 10-year Government of India security shall have as underlying
either a coupon bearing Government of India security or coupon bearing notional
10-year Government of India security with settlement price based on basket of
securities. The final settlement price for the IRF contract would be weighted
average price of the underlying security based on prices during the last two hours of
the trading on NDS-OM system. If less than 5 trades are executed in the underlying
security during the last two hours of trading, then FIMMDA price shall be used for
final settlement.
R. Sridharan
of the month
• CCIL Forex Segment has settled 34,418 deals on 29th November
2013, the highest recorded so far.
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Abstract
Repo is used in India as an instrument for monetary policy by institutionalizing daily Liquidity
Adjustment Facility (LAF) which allows banks and Primary Dealers to manage their liquidity needs.
Liquidity stress in the market has an impact on the short term interest rate. Entities not having
adequate securities balances borrow funds from inter-bank uncollateralized call market and the call
rates are prone to liquidity shocks in the system. The spread between Call and Repo rates is likely to
widen when there is liquidity stress in the market. The study tried to find the determinant of the
spread. It found that LAF window activity as well as total money market activity has an impact on
the spread. In order to understand if the spread behaves in a different manner when the system has
excess liquidity vis-à-vis shortage of liquidity, a Regime Switching model using Goldfeld and
Quandt's D-method for switching regression was used. The tests found that the monetary policy is
stable in both the regimes and the effectiveness of monetary policy in both the regimes are not
statistically different.
Dr. Golaka C Nath¥
Repo Market - A Tool to Manage Liquidity in Financial Institutions
For Correspondence with author - [email protected]
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JEL classification: G10, G20, G21, E52, C30.
Keywords: Repo, CBLO, Call, India, RBI, liquidity, financial crisis, central bank refinancing, spread,
interbank market.
¥Dr. Golaka C Nath
CCIL
is Senior Vice President, Economic Research & Surveillance, Membership, HRD,
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Introduction
Repo is abbreviated form of “Repurchase
Agreement” - a form of lending and borrowing
mechanism used by Central Banks and Banking
and near Banking Institutions all over the world
to manage liquidity. Predominantly Repos are
used by an institution for managing short-term
liquidity fluctuations and not for funding
general balance sheet. However, institutions
may use the facility to fund leveraged position-
taking in various securities. A survey by
European Repo Council (ERC) of the
International Capital Market Association
(ICMA) in June'13 found that the total value of
the repo contracts outstanding on the books of
the 65 institutions was EUR 6.01 trillion,
compared with the EUR 5.6 trillion in December
2012, (EUR 4.6 trillion in December 2008 and
the pre-crisis peak of EUR 6.8 trillion in June
2007). The U.S. repo market shrunk to $4.6
trillion in July'13 , down 35 percent from a peak
of $7.02 trillion in the first quarter of 2008. Post
financial crisis, many regulations have been
framed to secure the banking business as the
transmission from banking channel hurts the
society most in the times of stress. Regulators
feel that reforming the repo market is the top
priority. They fear that repo market makes the
banks vulnerable to sudden collapse should
counterparties become nervous about doing
business with them for some reason, as
repeatedly happened around the time of the
financial crisis. The repo market is believed to be
a key channel through which the last Financial
Crisis was transmitted. Repo being a
collateralized transaction, repo lenders
demanded higher collateral for a given level of
cash lending during the crisis as asset prices
declined. Investors holding leveraged portfolios
of securities were required to post higher
margins. The funding shortfall forced investors
to sell assets which resulted in further decline in
asset prices, creating a 'vicious cycle'. The
problem was acute as a major part of the repo
market used non-sovereign papers for the repo
transaction. The financial market crisis
witnessed the demand for quality collaterals as
the value of the corporate papers started dipping.
More recently, the regulatory focus on repo
markets has intensified to ensure that the market
remains stable at the time of stress. The Basel III
Accord introduced quantitative liquidity
requirements that stress-test large-bank funding
practices and force firms to move from primarily
overnight funding to longer-term financing
arrangements. Additionally, the global
regulators are focusing on banks' reliance on
short-term funding and on reform measures to
more closely link capital and liquidity
regulation. These efforts are likely to materially
alter the way banks fund themselves and change
the repo market for the better.
Unlike the global repo market, Indian repo
market predominantly uses sovereign securities,
though repo is allowed on corporate papers. The
dominance of low-risk collateral means that it is
much less likely to transmit shocks to other
markets in case there is stress condition in the
market. Repo market in India does not pose a
systemic risk to the wider financial system.
2
2Based on recent Federal Reserve data compiled from its 21 primary dealers.
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The objective of the current study is to
understand various dimensions of the Indian
repo market functioning and its important role
as a tool to manage liquidity in the system. The
rest of the paper is organized as follows: Section 1
details current repo market microstructure,
Section 2 details the RBI repo system, Section 3
details the market activity, Section 4 details the
types of collaterals used in the system, Section 5
details the statistical analysis of the market and
determinants of the spread and Section 6 gives
the concluding remarks.
Repo is defined as an agreement in which one
party sells securities or other assets to a
counterparty, and simultaneously commits to
repurchase the same asset, at an agreed future date
at a repurchase price. The said repurchase price
would cover the original sell price plus a return
on the use of the sale proceeds during the term of
the repo. It is a financing arrangement used
primarily in the government securities markets
whereby a dealer or other holder of government
securities sells the securities to a lender and agrees
to repurchase them at an agreed future date at an
agreed price which will provide the lender with
an extremely low risk return. Such a transaction
is called a repo when viewed from the perspective
of the supplier of the securities (the party
acquiring funds) and a reverse repo or matched
sale-purchase agreement when described from
the point of view of the supplier of funds Repos
are hybrid transactions that combine features of
both secured loans and outright purchase and
sale transactions but do not fit cleanly into either
classification. The use of margin or haircuts in
valuing repo securities, the right of repo
borrowers to substitute collateral in term
agreements, and the use of mark-to-market
provisions are examples of repo features that
typically are characteristics of secured lending
arrangements but are rarely found in outright
purchase and sale transactions The repo buyer's
right to trade the securities during the term of the
agreement, by contrast, represents a transfer of
ownership that typically does not occur in
collateralized lending arrangements. Repos are
popular because they virtually eliminate credit
problems. Repos can be traced back to the birth
of Federal Reserve System and to the inception of
the Bankers' Acceptances market at the close of
World War I (in 1918). In 1923, the Fed began to
use short term repos against Governments as a
tool for altering bank reserves. Central Banks
around the world use Repos to moderate money
supply in the economy by way of providing
liquidity at the time of stress and absorbing
liquidity at the time of excesses.
Repo markets are generally separated into
markets for “general” and “specific” collateral.
In case of specific collateral, a piece of specific
collateral is identified in the repo contract
making it possible to obtain specified securities.
Repos can be divided into four broad categories -
(a) Classic Repo (US style); (b) Buy-Sell Back
Repo (Indian market follows this type) and (c)
Securities Lending for a fee and (d) Tri-party
Repo. Classic repo involves an initial sale of
securities with a simultaneous agreement to
repurchase them at a later date where the start and
end prices of the securities are the same and a
separate payment of "interest" is made. Classic
repo makes it explicit that the securities are only
collateral for the loan and the coupon income
will be accrued to the seller of the security. The
principal difference between a repurchase
1. Repo Market Microstructure
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agreement and a buy/sell- back stem from the fact
that repurchase agreements are always
documented, while buy/sell-backs are not
required to be documented as there are implicitly
two separate contracts. Most of the repo terms are
taken from standard legal agreements - General
Master Repo Agreement (GMRA). Buy/sell-back
agreements and securities lending versus cash
transactions have somewhat different legal and
accounting treatments but these are equivalent
economic functions and also referred to as repo
market transactions. Under a Tripartite repo, a
common custodian /clearing agency arranges for
custody as well as clearing and settlement of
repos transactions. The system starts with signing
of agreements by all parties and the agreements
include Global Master Repurchase and Tripartite
Repo Service Agreements. This type of
arrangement minimizes credit risk and can be
utilized when dealing with clients with low credit
rating.
The maturity of repo agreements typically fall
into at least three descriptive categories:
overnight, open and term. Overnight refers to
repos with a single-day maturity (this should also
typically cover repos conducted in the Indian
market on Fridays) and the Indian market uses
this form of the market quite efficiently. Term
maturity refers to repos that have a fixed
maturity longer than one day - recently Reserve
Bank of India (RBI) introduced term repo for 7
and 14-days on reporting Fridays to mitigate the
liquidity shortage in the system. Open maturity
repos are those transactions where both parties
have the option to terminate the repo each day.
The open maturity structure permits entities in
the repo transaction to continuously roll over
overnight repos. In a securities lending
transaction, two securities are swapped for a
certain period of time. This typically happens
when funds are perceived to have higher
reinvestment risk which may result in bid-ask
bounce for the repo seller of the securities.
Repo are used by traders to obtain cash or to
obtain securities. Repo and reverse repo are two
parts of the same transaction. A bank needing
cash but having required securities can enter into
a repo transaction with another institution by
selling the securities under repo to acquire cash.
In this case, the lender of the cash uses the
securities as collateral. Repo transactions are
typically used to fund “long” positions in
securities - used to build up leveraged long
positions in securities markets. A trader uses cash
raised through an initial repo transaction to buy
securities which, in turn, are repoed out to raise
more cash to buy more securities and so on. With
each transaction the leverage ratio is increased.
The maximum extent of leverage that can be built
up through this process is determined by the
margin or “haircut”. Haircut depends on the
credit worthiness of the borrower of funds and
the price volatility of the collateral. Haircuts for
low-risk borrowers like banks using less-volatile
collateral like sovereign bonds can be very low.
The Repo market is probably the lowest-cost
source of leverage. In the reverse case, a bank
might have short sold a particular security with a
view on future price of the security and would
like to borrow the same for delivery purpose. The
short sale position results in cash inflows which
can be used in the repo transaction to acquire
securities for delivery purpose as no naked short
sales are typically allowed in institutional
markets. Or a bank in India can enter into a
reverse repo transaction to borrow securities
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11
from another bank by lending cash but the
purpose of the same is to maintain regulatory
investment norms in Statutory Liquidity Ratio
(SLR). As Indian market follows a buy/sell-back
repo mechanism, it allows the borrower of the
security to use the same for achieving the SLR
level specified by RBI. In markets where interest
rate futures are liquid, securities are borrowed to
manage delivery against the deliverable positions
by the sellers in the futures market. Depending
on their uses, either the securities or the cash
serve as collateral for a particular transaction. In
the case of specific collateral repos, the
transaction enables participants to obtain
particular securities.
Repo yield depends on whether the transaction
involves general or specific collateral. In case of
general repo, the yield is roughly comparable to
other short-term money market interest rates. In
case of special repo, the yield reflects the value of
the collateral in the securities loan. In rare
circumstances, participants sometimes transact
at negative special repo rates . Repo market
facilitates arbitrage and speculative activity as it
allows a trader to take leveraged positions by
posting a small margin. Arbitrage, market-
making and speculative activity are important
facets of the repo market. The repo lender of the
security has to maintain inventory of collaterals
and has to price the same in such a manner to
recover his holding cost and the security
borrower should make money from short sale
deals to make the same transaction viable. The
speculator takes a view on interest rate and
accordingly creates leveraged positions. Direct
trading of the repo rate itself is commonly
known as matched-book trading. It involves the
borrowing of securities or cash through the repo
markets with the intention of re-lending the cash
or securities at more favorable rates in the same
market. Speculative trading activity involves
taking a position on the basis of forecast of the
direction of interest rates - speculating on the
future direction of repo rates. If a trader expects
rates to rise, one could borrow money for term
and lend money overnight.
The above figure can be better explained using an
example of Buy/Sell Back Repo. Bank A would
like to do a repo to borrow funds from Bank B
using a security (7.16% GOI 2023 issued on 20-
May-2013) on Oct 21, 2013 for 21 days
(repayment on Nov 11, 2013) for a Face Value of
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Figure: 1: Repurchase Agreement Structure
First Leg (Ready leg): Initial Transaction
Security Seller / Cash Borrower
Cash + Interest
Cash - Haircut
Second Leg (Forward Leg): Forward Contract
Security Seller / Cash Borrower
Security Buyer / Cash Lender
Security Buyer / Cash Lender
Securities
Securities
3When the chance of penalties is high for failure to deliver the security.
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`500million at 8.36%. The underlying bond is
trading at 8.80% for settlement on Oct 21, 2013.
The underlying security has a Clean Price of
89.5197 (using 30/360E criteria) and has 151
days of accrued interest amounting to 3.0032
giving us a Dirty Price of 92.5229. The
consideration in the First Leg (Ready Leg)
becomes 462, 614,725. The repo interest will be
charged on the above funds at 8.36% for 21 days.
The same works out to 2, 225,113 using Act/365
criteria. So the Borrower (Bank A) will pay to
Bank B 464, 839,838 on Nov 11, 2013 and take
back the security. But in a uy/sell back repo, the
transaction is divided into two separate deals - in
the second leg the repayment becomes the
consideration and the Bank B must account the
same in terms of a Clean Price and Accrued
Interest. This is done to have proper accounting
in the books as Clean Price is a part of the
Balance sheet (Asset side when it enters the book)
while accrued interest is absorbed in the Profit
and Loss Account. The repayment amount in the
second leg (forward leg) can be converted into a
Dirty Price of 92.9680 out of which 3.4010 is the
accrued interest for 171 days as on 11-Nov-2013.
The implied Clean Price will be the difference
between Dirty price and Accrued Interest. The
same will re enter the ooks of Bank A at
89.5670 resulting in a small capital gain as it left
the Book at 89.5197. For Bank B, it can be a
capital loss and can be leveraged for ax purposes.
By doing the repo deal at the agreed rates, the
traders have also given their expectation about
the future yield of the bond. The forward price of
89.5670 implies a yield of 8.80% for the security
on 11-Nov-2013. This implies that traders do not
expect much change to the yield curve in next
three weeks - expectation of a flat yield structure
for next 3 weeks.
An important distinction between repo lending
and a collateralized loan is that legal ownership
of the security is transferred to the lender of
funds which provides the repo lender with better
control over the collateral in case the
counterparty defaults. At times, repo transaction
also provides for collateral substitution rights to
the lender of security. Right of substitution may
make the repo transaction restrictive as the
borrower of the security has to maintain the
collateral inventory or should be in apposition
to borrow the same through another repo
transaction if the lender of the security demands
the same.
Indian repo market is predominantly an
overnight repo market - dominated by banks and
institutions. The market uses sovereign securities
as collateral. The repo market in India was a pure
OTC market where both lenders and borrowers
to talk to each other to finalize a deal. The
anonymous online repo dealing system
introduced by Clearing Corporation of India
Ltd. (CCIL) helped the market to go for a radical
change - moving from OTC market to an
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The repo interest is for 21 days while bond interest accrued is for 20 days - the one day shortfall is because
of the different day count convention used for repo market (ACT/365) and bond market (30/360E).
CCIL introduced CROMS platform in Jan'09 for allowing institutions to deal in repo using both Basket
and Special windows.
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anonymous order driven market resulting in true
price discovery of the repo yield. It provides for
both General (Basket) and Special repo dealing.
Large part of the repo market moved to this
platform, while a very small part still remains
outside this platform.
The trading activity in repo market indicates
leverage positions taken by traders. A relatively
higher volume in Special window would indicate
traders are borrowing specific securities for their
leveraged positions like delivery against short
sale position or delivery against a forward
contract like Interest Rate Futures. Buyers of the
securities (having long positions with an interest
rate view) in the outright market may also use the
security in repo window to lend the same to other
users. If the trading activity in the Basket window
is higher, it would indicate traders are using the
same more as a collateral to lend funds or some
traders may be using the same for regulatory
purpose like maintaining SLR.
The Indian Repo market has three different
segments - RBI Repo (daily LAF at a fixed rate),
Market repo among banks and institutions at
market determined rates and Collateralised
Borrowing and lending Obligations (CBLO) - a
repo variant with the combined structure of held-
in-custody and tripartite repo in which the
contract can be traded, unlike other standard
repo in which the security under repo can be
traded but the contract cannot be unwound till
the end of the contract. CBLO market has been
the most liquid form of the short term market
with more than 60% of the short term market
share. CBLO provides an anonymous order
matching system for trading funds against the
collaterals in the form of Government securities
which are immobilized at the service provider .
CCIL allows entities to borrow from the market
against Government securities after applying the
applicable haircuts to manage risk. Both Market
repo and CBLO trades are guaranteed by CCIL
which plays the role of a CCP .
Central Bank Repo is one of the oldest
instruments of monetary policy. Federal Reserve
started using a type of repo in 1920s, while Bank
of Canada used repos since 1953. Bank of
England started using repos with government
securities in 1997, while Japan and Switzerland
started using repos in 1997 and 1998,
respectively. Canada, Italy and Sweden use the
buy/sell-backs, while Japan uses securities
borrowing with cash collateral. The Netherlands
uses a special loans system in which loans are
collateralised via pledge on a pool of collateral
(general). Most of the countries use the forms of
repo keeping in mind the legal and institutional
framework that prevails in each country. The use
of repos as a monetary policy instrument is more
justified from the fact that repos are well suited to
influence the interest rate level through two of
the main channels used to implement monetary
policy - for moderating or controlling liquidity
6
7
2. Central Bank Repo
6
7
CCIL offers CBLO trading platform for the market participants to trade. The system allows non-bank
entities like Non-Banking Finance Companies, Large Corporates investing in Government securities, Large
Oil Companies, etc. having stocks of Government bonds issues to support oil pool deficit.
Central-Counter Party guarantees settlement of all trades in Market repo and CBLO.
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in money markets and an effective mechanism
for signaling to markets the desired level of
interest rates. A central bank repo indicates the
rate at which the Central Bank is willing to lend
money against acceptable collaterals to banks - to
infuse liquidity to the system where there is
shortage of funds. Most central banks follow an
interest rate corridor to set a rate below the repo
rate at which the Central Bank is willing to
absorb excess liquidity in the banking system if
the need arises. So the repo and reverse repo rates
indicate both support and resistance level for
money market funds. The market logically has to
operate within the interest rate corridor as a
trader having excess cash would demand the
minimum rate from a borrower of funds which
she can get from the Central Bank by pledging
excess cash with her. If a bank has faced shortage
of liquidity, then it can approach the Central
bank with acceptable collaterals to pledge and
borrow funds at the repo rate. By changing the
repo rate, the central banks indicate the interest
rate direction. A shift in monetary policy can be
signaled by adjusting the interest rate corridor.
Central Banks use repo to infuse liquidity to the
system. During the financial crisis, central banks
around the world infused unprecedented level of
liquidity to the financial system by lowering the
quality of acceptable collaterals thereby
facilitating availability of credit to the economy
from the banking system. McAndrews et al.
(2008), Ashcraft et al. (2009), and Christensen et
al. (2009) find that the liquidity measures
adopted by the Federal Reserve were effective
during the 2007-08 financial crisis. When
liquidity dries up, central banks have two unique
abilities: to provide liquidity in sufficient
amounts in response to abnormal shocks
(Bhattacharya and Gale, 1987; Acharya et al.
2008) and to diversify risk across many illiquid
banks (Flannery, 1996; Rochet and Vives, 2004).
RBI uses a system called Liquidity Adjustment
Facility (LAF) for moderating liquidity situation
in the banking system. It has specific timing
window (typically at the beginning of market
hours) within which banks are required to access
funds or park funds in which RBI is the counter-
party. The rates at which such transactions take
place are fixed and are changed by RBI from time
to time depending upon its monetary policy
considerations. Currently, it uses repo rate for
lending money to Banks and Primary Dealers
against acceptable Government securities.
However, it currently restricts the said borrowing
with a cap of 0.5% of the Net Demand and Time
Liabilities (NDTL) of a Bank. In case the Bank
still requires more funds, it can access another
window called Marginal Standing Facility (MSF)
to borrow funds upto 1% of its NDTL. Recently
RBI introduced longer term repo under 7-day
and 14-day on eporting Fridays with a
market determined interest rate using auction
mechanism. RBI also conducts LAF fixed rate
repo auction second time in the afternoon
on reporting Fridays to ensure that the liquidity
is fully absorbed though currently it opens a
second LAF to allow banks to park
surplus funds with RBI. The RBI has also made
changes to the MSF window timing making it
the last time slot (7PM - 7.30PM) in the banking
channel for borrowing funds from RBI.
s
s
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the
for a
window
's
windows8
8Alternate Fridays are reporting Fridays for Banks in which their NDTL is calculated for Regulatory
maintenance of Cash Reserve Ratio and Statutory Liquidity Ratio.
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Repos are useful for monetary policy because
they have a number of features: (a) they carry a
low credit risk as they are collateralized; (b) they
are relatively flexible and their features can be
tailored by the central bank according to
liquidity conditions; (c) repos do not affect
securities prices or yield curve in general; and (d)
Central banks can reach out to a broader range of
institutions in case of need (viz. extending
facility to select non-bank entities at the time
financial crisis). Repo market also gives the credit
spread to understand the stress in the market.
The spread between clean Call rate and Market
Repo Rate gives the perceived credit risk in the
system. At the time of stress, the spread widens
and at the time of ample liquidity, the spread
shrinks.
The securities used in the RBI LAF repo by a
Bank (while borrowing money from RBI) can be
considered under SLR requirement while the
reverse repo deals entered with the RBI by a Bank
does not provide SLR benefit as RBI does not use
a pure Buy/Sell Back mechanism but credits the
securities to a kind of pool account and not to
the account of the individual Subsidiary General
Ledger (SGL) account of the Banks.
In Indian market, RBI support to the banking
system through daily LAF has been a major
liquidity management tool since its inception.
However, the substantial liquidity injected to
the banking system in a very short span of time
soon after the financial crisis resulted in interest
rates moving to their lowest levels in short term
money market and Treasury bills market. Since
June'10, RBI has been continuously supporting
the market with infusion of liquidity through
daily LAF.
Historically, the current stretch has been the
longest period in which banks have been
continuously borrowing funds from RBI (almost
42 months with a daily average borrowing of
more than 75000crores which is almost 1% of
the current NDTL of the banking system).
However, at times the liquidity support has been
very high and touched about 2% of the NDTL of
the banking system.
daily
,
-
9
10
3. Market Activity
`
9
10
Banks have to maintain SGL account with RBI for keeping their Securities balances.
RBI injected about 500,000Crores (1Crore is 10million) in a short span of time to fend off the impact of
financial crisis on the Indian financial system.
`
Table -1: RBI Injection of Liquidity to Banking System(Apr’07 to Nov’13)
Parameters Net RBI Support (` Crore)
Mean 7871
Standard Error 5890
Median -1696
Standard Deviation 64252
Minimum -130978
Maximum 146789
Months 119
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Net support to the banking system has a positive
correlation with the policy rates - with Repo rate
about 68% co-movement and with reverse repo
about 78% co-movement. In recent times, Banks
have been continuously borrowing funds from
the RBI. In 2009, the banks parked large sum of
funds with the RBI's reverse repo window due to
availability of excess liquidity in the system (as a
fallout of financial crisis). Daily money market
activity has not seen substantial variation during
2004-2013 and remained at about 1% of NDTL.
Daily RBI LAF window witnessed wide variations
in liquidity as banks have to manage systemic
liquidity with the help of this window.
Market has been using the RBI LAF system as a
most important support system to ensure proper
liquidity management. However, fixed policy
rate repos provide direction of the interest rate in
Table -2: Repo Rate, Spread, LAF Support and Market Activity (Daily Average)
Year Repo Rate Rev. Repo Rate Call Rate Spread Net LAF Support Money Market activity11
2004 6.25 4.54 4.60 0.39 -35600 15195
2005 6.05 4.96 5.10 0.19 -19858 22969
2006 6.78 5.74 6.42 0.37 -21748 35794
2007 7.67 6.00 6.65 1.00 -6334 48917
2008 8.01 5.94 7.74 0.60 5146 56466
2009 4.92 3.42 3.47 0.60 -94805 81625
2010 5.47 4.15 4.90 0.59 9063 69913
2011 7.48 6.48 7.55 1.01 64524 67252
2012 8.14 7.14 8.30 1.29 94044 70678
2013 7.50 6.50 8.16 1.22 88788 97167
11 Total daily average trading activity in Call, Repo and CBLO markets.
Chart - 1: RBI Policy Rate and Net Systemic Liquidity Support
Month/Year
LAF RP REVRP
3.00
4.00
5.00
6.00
7.00
8.00
9.00
Jan-0
4
Aug-0
4
Mar
-05
Oct
-05
May
-06
Dec
-06
Jul-07
Feb
-08
Sep-0
8
Apr-
09
Nov-
09
Jun-1
0
Jan-1
1
Aug-
11
Mar
-12
Oct
-12
May
-13
Poli
cyR
epo/R
ever
seR
epo
Rat
e(%
)
-150000
-100000
-50000
0
50000
100000
150000
Dai
lyliquid
ity
Support
from
RB
I(
Cro
re)
`
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the market. The market uses the said information
to firm up other interest rates in the system like
inter-bank call, market repo and CBLO rates.
These three forms of short term market in India
form the backbone of the money market system
and these rates typically hover around the policy
rates - at the time of excess liquidity in the system,
the rates are around the reverse repo rate while at
the time of shortage, the same hovers around
repo rate. The introduction of CBLO changed
the structure of the money market in India.
Before 2004, the market heavily depended on the
uncollateralized overnight inter-bank call
market for funding. RBI made some policy
changes and restricted the exposure to
uncollateralized market by putting exposure
controls as high dependence on uncollateralized
call market envisaged systemic risk to the entire
system. In Jan'04, uncollateralized call market
accounted for 62% of the market share while
market repo accounted for 35% and CBLO
accounted for less than 3% of the market share.
Non-bank entities (excluding Primary Dealers)
were phased out from the uncollateralized call
market and were advised to move to
collateralized markets like Repo and CBLO. As
of October'13, the CBLO accounted for about
59% of the market while market repo accounted
for 28% market share and uncollateralized call
market accounted for 14% of the market share.
12
RBI has been successful in moving larger
volumes in the short term market to the
collateralized segment from the clean call
market. This has helped in removing systemic
risk as well as created demand for securities as
traders have to hold securities against which they
can borrow funds from counter-parties.
12Non-bank entities like Mutual Funds, Non-Banking Finance Companies and Insurance Companies were typically
lenders in the call market and were phased out from the call market in a calibrated manner.
Chart - 2: Market Share in Money Market
16%
32%
44%
50%53%
61%65%
61%
55%59%
0%
10%
20%
30%
40%
50%
60%
70%
Year
2004 2005 2006 2007 2008 2009 2010 2011 2012
Mar
ket
Shar
e
Call Repo CBLO
2013
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Money market consolidated trading activity
indicates the level of liquidity absorbed by the
system. It has a very strong correlation with the
systemic liquidity support from RBI. The
correlation between absolute of net RBI LAF
activity and consolidated money market volume
has been found to be about 53% (monthly data
from Jan'04 to Nov'13), while the correlation
between the spread between Call and market repo
rates and consolidated money market volume is
about 31% (monthly data Jan'04 to Nov'13)
while with daily LAF, the correlation was 44%.
The interest Rate Corridor as measured by the
difference between policy Repo and Reverse
Repo rate had expectedly negative correlation
with LAF (-35%) and money market activity level
(-22%). The short term market predominantly
remains a pure overnight market and hence is
exposed to high rollover risk. It will be
interesting to see how far the recent introduction
of term repos of 7 and 14-day on reporting
Fridays is going to help in developing the term
market in India.
Table - 3: Pearson Correlation Coefficients
Prob > |r| under H0: Rho=0
CV RV CBV Spread MM LAF Abs
1 0.85 0.79 0.68 -0.05 0.10 -0.20CV
<.0001 <.0001 <.0001 0.604 0.33 0.041
0.85 1 0.74 0.55 -0.06 -0.15 -0.24RV
<.0001 <.0001 <.0001 0.564 0.125 0.014
0.787 0.743 1 0.50 0.22 -0.02 -0.07CBV
<.0001 <.0001 <.0001 0.022 0.878 0.503
0.68 0.55 0.50 1 0.31 0.44 0.36Spread
<.0001 <.0001 <.0001 0.001 <.0001 <.0001
-0.05 -0.06 0.22 0.31 1 0.26 0.53MM
0.60 0.56 0.02 0.001 0.004 <.0001
0.10 -0.15 -0.02 0.44 0.26 1 0.25LAF
0.33 0.13 0.88 <.0001 0.004 0.01
-0.20 -0.24 -0.07 0.36 0.53 0.25 1Abs (LAF)
0.04 0.01 0.50 <.0001 <.0001 0.01
Chart - 3: Spread and Money Market Activity
0.00
0.20
0.40
0.60
0.80
1.00
1.20
1.40
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Year
Spre
adbet
wee
nC
allan
dR
epo
(%)
0
20000
40000
60000
80000
100000
120000
Month
lyM
oney
Mar
ket
Tra
de
Val
ue
( `C
rore
)MM Spread
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At the time of severe liquidity crunch, the rates
move to unprecedented high levels. The volatility
measured by the difference between daily high
and low call rates and the spread between daily
call and market repo rate have a correlation 0.68.
Repo transactions in Indian repo market use
mostly Government securities though corporate
bonds can also be used for such transactions.
Very few transactions take place using corporate
bonds. Though market has a choice of using
different permissible Government securities like
Floating Rate Bonds, State Development Loans,
Special securities like Oil Bonds issued by
Government to fund oil pool deficits (subsidy
payments), and Treasury Bills, traders have been
using pure Government securities, though in
recent times, the Treasury Bills have been
contributing to a sizeable share in total repo
deals. This increase in market share for Treasury
Bills is mainly due to high value of Treasury Bills
issued since last three years .
4. Securities Used in Repo Transactions
13
Table - 4: Descriptive Statistics of Volatility, Spread and market Activity
Variable N Minimum Maximum Mean Std Dev Range
MM 119 10323 116450 55987 26097 106128
LAF 119 -130978 146789 7871 64252 277766
Abs 119 13 146789 51160 39387 146775
Spread 119 0.04 5.14 0.72 0.64 5.10
CV 106 0.76 13.92 2.10 1.48 13.16
RV 106 0.30 7.45 1.15 0.81 7.14
CBV 106 0.28 5.43 1.35 0.89 5.15
MM - Daily Money market activity; Abs - Daily average LAF support (absolute); CV, RV and CBV - Volatility in Call Repo andCBLO markets
Table - 5: Descriptive Statistics of Maturity of Securities used in Repo Deals
MATURITY Deals Value Share Cumulative
< 1 4727 1190017 5.66% 5.66%
1 12103 3093265 14.72% 20.39%
2 13475 3071121 14.62% 35.00%
3 7213 1622740 7.72% 42.73%
4 8462 1970000 9.38% 52.10%
5 9192 1728779 8.23% 60.33%
6 6396 802253.8 3.82% 64.15%
7 7915 1263331 6.01% 70.16%
8 6195 921031.5 4.38% 74.55%
9 9545 1062864 5.06% 79.60%
10 15383 1812031 8.62% 88.23%
13 Government has issued high value of short term Treasury Bills and Cash Management Bills in the aftermath of
Financial crisis. The notified amounts for Treasury Bills have increased substantially in recent times.
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Traders use the repo market in India more for
liquidity management and less for managing
portfolio of securities as can be seen from the
portfolio of underlying securities used in the
repo transactions. The market uses very short
term securities and securities upto 2 years
account for 35% of total repo deals in terms of
value.
Table - 6: Descriptive Statistics of Securities used in Repo Transactions
Year FRB GS SDL SPL TB
Securities 4 48 44 18 101
Value 1841 2234434 26481 253690 240102
Share 0.1% 81.1% 1.0% 9.2% 8.7%
Deals 55 13633 797 2945 2194
Securities 50 50 25 106
Value 2863365 56792 635302 346845
Share 0 73.4% 1.5% 16.3% 8.9%
Deals 14336 1022 5710 2005
Securities 1 58 75 22 120
Value 466 4936353 27613 327974 905559
Share 0.01% 79.6% 0.4% 5.3% 14.6%
Deals 9 21308 918 3331 5277
Securities 1 61 62 15 133
Value 16728 3316671 16500 190150 847600
Share 0.38% 75.6% 0.4% 4.3% 19.3%
Deals 215 17931 703 2091 5864
Securities 1 62 67 7 151
Value 55503 2202319 19475 206255 1468191
Share 1.40% 55.7% 0.5% 5.2% 37.2%
Deals 324 16383 571 1900 9619
Securities 1 64 92 7 148
Value 103000 2256932 70177 78166 2101344
Share 2.2% 49.0% 1.5% 1.7% 45.6%
Deals 825 21145 1054 635 15087
Year 2007
Year 2008
Year 2009
Year 2010
Year 2011
Year 2012
Year 2013
Securities 1 62 66 3 139
Value 1861 3200473 24508 1068 2831606
Share 0.0% 52.8% 0.4% 0.0% 46.7%
Deals 23 22618 543 22 16007
MM LAF(Abs) CV RV CBV Spread
10000
20000
30000
40000
50000
60000
70000
80000
90000
100000
0.1
0.6
1.1
1.6
2.1
2.6
3.1
3.6
4.1
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
YearD
aily
Money
Mar
ket
/LA
FA
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ity
(C
rore
)`
Spre
ad,Vola
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(%)
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The most liquid securities in the underlying
outright market are typically benchmark
securities like 10-year and 5-years bonds. The
market share of these securities in repo deals is
about 8% each vis-à-vis about 40% for 10-year
bonds in outright underlying market. From the
behavior of the repo market transactions, it can
be implied that the market uses the repo deals to
manage liquidity and not for leveraging
securities portfolio holding. This may be due to
the fact that the lending side of the market in
repo is dominated by Insurance Companies and
Mutual funds who typically do not have trading
interest in securities and accept the securities as
collaterals against funds lent. As such the market
does not witness significant short selling nor is
there a Interest Rate Futures (IRF) market in
India which requires borrowing of securities for
delivery against obligations.
Spread and volatility are important factors in
understanding the stress in the market. The tight
liquidity implies higher credit risk in the system
and spread between collateralized and
uncollateralized rates widens when the stress goes
up in the market. However, empirically,
volatility in Call market is relatively higher than
the repo and CBLO markets. Call market is
preferred by borrowers only when the avenues to
access funds using collaterals are exhausted and
can be said as a residual borrowing by Banks and
Primary Dealers. Lenders would charge a premia
when lending it in Call as they perceive the
market as relatively riskier vis-à-vis other
collateralized markets.
The daily LAF activity gives the systemic
liquidity shortage or excess as Banks and Primary
Dealers would use this window to manage their
balance sheet. If LAF support is not sufficient
due to quantitative limits or if the LAF policy
rate is lower than in other comparable markets
like CBLO and market repo, then borrowers
having securities would like to use these markets
to borrow. Theoretically, the spread should be
dependent on the amount of LAF support,
money market activity, lagged spread (to find it
there is any autoregressive structure) because past
5. Determinants of Spread
Chart 4: Spread and Volatility vis-a-vis Market Activity
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spreads indicate the continuity of stress
condition. Further, the interest rate corridor has
great significance to understand the monetary
policy stance of the central bank. In a channel
system like LAF, RBI offers two standing
facilities: a lending facility where it is ready to
supply money overnight at a given lending rate
against collateral and a deposit facility where
banks can make overnight deposits to earn a
deposit rate. The interest-rate corridor is chosen
to keep the overnight interest rate in the money
market close to the target rate. In a pure channel
system, a change in policy is implemented by
simply changing the corridor without any open
market operations. Central banks typically react
to changing economic conditions by increasing
or decreasing their interest-rate corridor. The
money market rates should be in the middle of
the corridor. Widening of the corridor implies
tighter monetary policy stance as borrowing
from central bank is relatively costlier than
placing money with the central bank. Hence, the
interest rate corridor should also give some
indication of the spread. The typical corridor
used by RBI in normal circumstance has been
100bps. Hence, if the same goes beyond 100bps,
we assume the tightening of the policy. We have
used the corridor as a dummy variable in the
regression model. The linear regression model is
likely to provide the determinants of the spread.
The estimated model indicates lag spread has no
significant influence on the current spread.
However, the spread is influenced by the LAF
support and total money market activity and the
relationships are positive. The original dataset
contained two months of data which were found
to be extreme outliers due to some extraordinary
liquidity measures introduced in March'07. The
effect of the same continued till April'07 and
the spread for March'07 was more than 5% while
15
16
Table - 7: General Linear Model Results (Jan’04 - Nov’13 excluding Mar-Apr’07)
Parameter Estimate Standard Error t Value Pr > |t|
Intercept 0.1213 0.0816 1.49 0.1401
LAF 1.91E-06 5.91E-07 3.23 0.0016
MM 3.71E-06 1.22E-06 3.04 0.0029
LS 0.5078 0.0939 5.41 <.0001
LS1 -0.0781 0.0659 -1.18 0.2388
LS2 0.0715 0.0515 1.39 0.1677
COR1 -0.0386 0.0688 -0.56 0.5756
R-Square 903 AIC Durbin h14
0.6484 0.2894 48.2832 -0.4518(0.3257)
- * Indicates significant at 99%
14
15
16
Since lagged values are included in the equation, DW stat is not strictly valid. Durbin h is reported.
Starting March 5, 2007, daily reverse repo absorptions was limited to a maximum of 3,000crore each day comprising
2,000crore in the First LAF and 1,000crore in the Second LAF. This was announced at a time when Banks were parking
about 30000crores in RBI LAF window (on March 1, 2007).
The restriction on reverse repo quantum was withdrawn in July'07.
`
` `
`
for April, the same was more than 2%. We
publish the above results after dropping these
two data outlier points. The Durbin-h stat clearly
shows that statistic is -0.4518 which is not
statistically significant
with a -value of 0.3257,
i n d i c a t i n g n o
autocorrelation. Interest
Rate corridor was not
found to be statistically
significant. Hence we
dropped the same and the
results did not change
substantially (R-Sq changed
from 0.6484 to 0.6474). The
results show that LAF
activity and consolidated
money market activity
along with one period
l a g g e d S p r e a d h a s
significant influence on the
spread. The residual of the
regression is normally
distributed (Kolmogorov-Smirnov D stat of
0.079 (p value >0.08) indicating a better fit of the
model.
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Chart-6: Kernel Density for Spread and Residual of Regression Model
Chart 5: Distribution of Residual
35
-0.8
30
-0.6
25
-0.4
20
-0.2
15
0
10
0.2
5
0.40
0.6 0.8 1.0 1.2 1.4
Residual
Per
cent
N 114
Normal Pr > D 0.080
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24
Determinants of Spread when Central Bank
Absorbs Liquidity vs. Injecting Liquidity
Central bank liquidity support structure is the
driver of systemic liquidity while the interbank
market is the main market for trading in
liquidity at appropriate cost. Central bank
liquidity support (both infusion and injection)
can be viewed as the market for primary liquidity
whereas the interbank market can be considered
as the secondary market for liquidity, where the
liquidity obtained in the primary market is
reallocated with appropriate risk cover . The
study tried to understand if the spread behavior
is different in different scenarios - excess
secondary market liquidity in which the Central
Bank absorbs liquidity and shortage of
secondary market liquidity in which the Central
Bank infuses liquidity to the system. We divided
the dataset (Jan'04-Nov'13 excluding Mar-Apr'07
for specific reason already explained earlier in
this paper) into two panels of datasets -
Absorption and Injection.
Surplus liquidity may have no material influence
on policy effectiveness, as has been the case in
Hungary and South Africa (De Bondt (2002)).
With surplus liquidity, monetary policy
transmission mechanism can break down or
become weakened. If the banks have surplus
funds, the commercial bank will have discretion
as to whether they lend their surplus to the
central bank at the policy rate or create more
credit by lowering credit standard if the policy
rate is not attractive and the banks have the risk
appetite. In case of surplus, the central bank's
ability to transmit its preferred interest rate
structure (yield curve direction) into the market
gets weakened. The central bank being the
monopoly supplier of funds in case of a shortage
situation (banker of the last resort for
commercial banking system), it works as a
- thereby indicating the marginal price of
the banks' credit to commercial sector. If the
shortage is a continuing feature of the market,
the central bank becomes a net creditor of the
banking system and the effectiveness of the
monetary policy is likely to be stronger. However,
the level of acceptable shortage for effectiveness
of the monetary policy is a debate in itself.
In order to understand if the determinants of the
spread are different in different market situation,
we divided the data into two categories -
absorption and injection of liquidity by RBI
using the Linear Regression model in Eq 1. The
result showed that in case of Injection of
liquidity, lagged spread is significant along with
LAF activity but in case of absorption, only LAF
activity is significant. However, the results for
INJECT shows AR structure.
17
price
setter
ARTICLE
17bA ank may obtain Central Bank liquidity by using its excess holding of approved securities and use the
same in the inter-bank Call market to lend at higher rate to a bank which does not have required securities to
obtain funding from Central Bank.
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Further, to understand if the spread behaves in a
different manner when the system has excess
liquidity vis-à-vis shortage of liquidity, we used a
Regime Switching model using Goldfeld and
Quandt's D-method for switching regression.
Assuming that observations exist on some
exogenous variables, z , z , .., z , where
determines whether the observation is
generated from one equation or the other. The
equations are given as follows:
where are unknown coefficients to be
estimated. Define (zi) as a continuous
approximation to a step function. Replacing the
unit step function with a continuous
approximation by using the cumulative normal
integral enables a more practical method that
produces consistent estimates.
D is the dimensional diagonal matrix
consisting of d(zi)
The parameters to estimate are now the 's, the
's, 's, and the introduced in the
d(z ) equation. The can be considered as given
, or it can be estimated, in which case, the
estimated magnitude provides an estimate of the
success in discriminating between the two
regimes (Goldfeld and Quandt 1976). Given the
preceding equations, the model can be written as:
Where W = (1 - D) * U + D*U , and is a vector
of unobservable and heteroscedastic error terms.
The covariance matrix of is denoted by ,
where . The maximum
likelihood parameter estimates maximize the
following log-likelihood function.
1i 2i pi
1
2
i
1 2
z
i
d
n
k
k p
a
priori
W
W
th
�
� � �
�
j
�
�
� � �
1 2
2 2, ,�
= (1 - D) * + D *2 2 2 2
1 2
ARTICLE
Table - 8: General Linear Model Results (Jan’04 - Nov’13 excluding Mar-Apr’07)
Parameter Estimates - ABSORB Parameter Estimates -INJECT
Standard Approx Standard ApproxVariable Estimate
Errort Value
Pr > |t|Estimate
Errort Value
Pr > |t|
Intercept 0.0285 0.0515 0.55 0.583 0.3082 0.1462 2.11 0.0399
LAF -0.000003 0.000001 -3.79 0.0004 0.000004 0.000002 2.58 0.0128
MM 0.000002 0.000001 1.58 0.1202 0.000000 0.000003 -0.06 0.949
LS 0.1829 0.1116 1.64 0.1075 0.4394 0.1336 3.29 0.0018
LS1 0.1022 0.1088 0.94 0.3518 -0.0968 0.0818 -1.18 0.2425
LS2 0.0296 0.0488 0.61 0.5468 0.1294 0.1324 0.98 0.3331
R-Sq RMSE Durbin h R-Sq RMSE Durbin h
0.59 0.16983 0.56(0.29) 0.55 0.3316 -30.24(.01)
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The parameter estimates and ANOVA table from
this regression are shown below.
We have included five TEST statements to test the
hypothesis that the parameters are the same in
both regimes. The test results shown suggest that
the variance Spreads, Sig1 and Sig2, are not
significantly different in the two regimes. This
clearly tells that the monetary policy is stable in
both the regimes and the effectiveness of
monetary policy in both the regimes are not
statistically different. The tests also show a
significant difference in the AR term on the
Spreads.
Repo is used by market participants to obtain
funds or to obtain securities depending on the
need. This latter feature of the instrument is
valuable to traders as it helps them to meet their
contractual obligations, such as to make delivery
for a short sale or against a futures contract.
Repos are also used for leverage, to fund long
Conclusion
ARTICLE
Nonlinear Likelihood Summary of Residual Errors
Equation DF Model DF Error SSE MSE Root MSE R-Square Adj R-Sq
spread 11 105 10.5031 0.1 0.3163 0.5905 0.5515
Table 9 : Nonlinear Likelihood Parameter Estimates for the Regime Switching Model
ApproxParameters for Two Regimes Estimate Approx Std Err t Value
Pr > |t|
sig1 0.299759 0.0294 10.2 <.0001
sig2 0.301833 0.0267 11.31 <.0001
intercept1 0.176698 0.216 0.82 0.4151
LS 0.636381 0.0997 6.38 <.0001
COR -0.03858 0.1 -0.39 0.7004
MM 2.43E-06 1.88E-06 1.29 0.1994
intercept2 -0.06541 0.1596 -0.41 0.6828
LS 0.732519 0.1028 7.12 <.0001
COR 0.064435 0.1007 0.64 0.5239
MM 2.96E-06 1.75E-06 1.69 0.0943
p 445.2923 0 .
Table - 10: Test Results from Regime Switching Model (test of Coefficients)
Test Type Statistic Pr > ChiSq Label
Test0 L.M. 0.8 0.3711 int1 = int2
Test1 L.M. 18372* <.0001 b11 = b21 18
Test2 L.M. 0.52 0.4702 b13 = b23
Test3 L.M. 3.14E+22* <.0001 b14 = b24 19
Test4 L.M. 0 0.9584 sig1 = sig2
* indicates significant at 1%
18
19
Significant at 1% for Coefficient of Lag of Spread (AR term) in both regimes.
Significant at 1% for Coefficients of Money Market Volume in both regimes
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positions in securities and to fund short
positions for hedging interest rate risks. Repo
markets have strong linkages with securities and
derivatives markets. Repos are used by central
banks both as a monetary policy instrument and
as a source of information on market
expectations. Repos carry low credit risk as these
are fully collateralized transactions and are used
by central banks for liquidity management.
Central banks also use Repo as an effective
mechanism for signaling the stance of monetary
policy.
In India, RBI has been using Repo as an
in s t rument fo r mone ta ry po l i c y by
institutionalizing daily Liquidity Adjustment
Facility which allows banks and Primary Dealers
to manage their liquidity needs. Market
participants also trade in Repo using
Government securities. The Repo market in
India has been growing steadily and both Repo
and CBLO account for a large part of the total
short-term money market transactions.
Liquidity stress in the market has an impact on
the short term interest rate. The entities who do
not maintain sufficient amount of Government
securities in their portfolio may have to borrow
funds in the inter-bank call market at higher
interest rate. The spread between Call and Repo
rate widens when there is liquidity stress in the
market. The current study has explored the
determinant of the spread. It found that LAF
window activity as well as total money market
activity has an impact on the Spread. In order to
understand if the spread behaves in a different
manner when the system has excess liquidity vis-
à-vis shortage of liquidity, we used a Regime
Switching model using Goldfeld and Quandt's
D-method for switching regression. The tests
found that the monetary policy is stable in both
the regimes and the effectiveness of monetary
policy in both the regimes are not statistically
different.
Ashcraft, A., McAndrews J. and D. Skeie (2009).
Precautionary Reserves and the Interbank
Market. Federal Reserve Bank of New York Staff
Reports, 370.
Ashcraft, A.B., Bech, M.L., Frame W.S., 2008. The
Federal Home Loan Bank System: The Lender of
Nextto-Last Resort? Federal Reserve Bank of New
York, Staff Report no. 357.
Acharya V.V., Skeie, D., 2011. A Model of
Liquidity Hoarding and Term Premia in Inter-
Bank Markets, CEPR Discussion Paper No.
8705.
Acharya, V., Gale, D., and Yorulmazer T., 2009.
“Rollover Risk and Market Freezes", New York
U n i v e r s i t y w o r k i n g p a p e r ,
Acharya, V.V., Gromb, D., and Yorulmazer, T.,
2008. “Imperfect Competition in the Interbank
Market for Liquidity as a Rationale for Central
Banking.” Working Paper, London Business
School.
Acharya , V.V. , Merrouche , O. , 2010 .
Precautionary Hoarding of Liquidity and Inter-
Bank Markets: Evidence from the Sub-prime
Crisis, NBER Working Paper No. 16395.
Affinito, M., 2012. Do interbank customer
relationships exist? And how did they function
in the crisis? Learning from Italy. Journal of
Banking and Finance, 36.
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BIS (1999), Implications of repo market for
central banks, CGFS Publications No. 10.
Bhattacharya, Sudipto, and Douglas Gale. (1987)
“Preference Shocks, Liquidity and Central Bank
Policy.” In New Approaches to Monetary
Economics, edited by William A. Barnett and
Kenneth J. Singleton, pp. 69-88. New York:
Cambridge University Press.
Christensen J.H.E., Lopez J.A., Rudebusch G.D..
2009. Do Central Bank Liquidity Facilities Affect
Interbank Lending Rates? Federal Reserve Bank
of San Francisco, Working paper series 13.
Flannery, M.J., 1996. Financial crises, payment
system problems, and discount window lending.
Journal of Money, Credit, and Banking 28, 804-
824.
McAndrews, J., A. Sarkar and Z. Wang (2008)
.The Effect of the Term Auction Facility on the
London Inter-Bank Offered Rate, .Staff Reports
335, Federal Reserve Bank of New York.
S.M. Goldfeld & R.E. Quandt (1973), Estimation
of Structural Shifts by Switching Regressions,
Econometric Research Program, Research
Memorandum 147
S.M. Goldfeld & R.E. Quandt (1965), Some Tests
for Homoskedasticity.
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Rochet J and Vives X (2004) Coordination
failures and the lender of last resort: Was Bagehot
right after all? Journal of the European
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ARTICLE
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Perspectives on the Indian Banking Sector
Global growth continued to remain sluggish in
2012-13. Adverse international economic
developments combined with the loss of growth
momentum in the domestic economy posed
challenges to the banking sector in India during
2012-13. There was a rise in asset impairment
coupled with a dip in profitability. Considering
the implications of various emerging international
and domestic factors on the banking system,
regulatory and supervisory policy responses during
the year pertained to initiatives for implementing
risk-based supervision (RBS), enhanced oversight
of financial conglomerates and steps towards
improved coordination among regulators, besides
positioning banks to meet the needs of inclusive
growth. Further, several forward looking initiatives
were undertaken to expand the banking system,
increase competition, further strengthening the
payments and settlement mechanism and
fortification of capital.
The Reserve Bank is entrusted with the
responsibility of supervising the Indian banking
system under various provisions of the Banking
Regulation Act, 1949 and the RBI Act, 1934. While
the banking landscape has witnessed considerable
changes over the last two decades, supervisory
resources and processes based on the CAMELS
framework within the Reserve Bank have remained
more or less the same. Post the global financial
crisis, there has been a shift towards RBS away from
the erstwhile CAMELS approach. CAMELS is
essentially a scorecard based approach which is
more of a backward looking methodology and
transaction testing model operating with a lag.
RBS, on the other hand, is a forward looking
approach inasmuch as it assesses the risk buildup in
banks. Based on the principles and approach for
RBS as suggested by High-level Steering
Committee and after taking into account the
uniqueness of the Indian banking system, the
Reserve Bank has finalised the supervision
framework under RBS. As part of RBS phase I
rollout, 29 banks have been brought under RBS
from 2013-14 constituting approximately 66 per
cent of the total assets of the Indian banking
system.
The cross border
operations of Indian banks are rapidly increasing.
In view of this, the formalisation of the
relationship between “Home” and “Host”
supervisors, by way of a Memorandum of
Understanding (MoU), has become an important
channel for the Reserve Bank. The Reserve Bank
has initiated the process of signing MoUs with
overseas regulators on supervisory cooperation and
exchange of information. The Reserve Bank has
executed MoUs with 16 overseas supervisors. In
addition, proposals with respect to 28 other
overseas supervisors are in various stages of
arriving at a mutually agreeable format of MoUs.
An institutional structure for the
oversight and monitoring of Financial
Conglomerates has been set up in the form of an
Inter-Regulatory Forum (IRF) modeled around the
“lead regulator” principle. IRF has identified 12
FCs for monitoring, each having a significant
presence in two or more market segments from
amongst banking, insurance, capital market,
Policy Responses
Move towards risk-based supervision aimed at
enhancing the efficacy of the supervisory review
process:
Policy initiatives for improved cross border
supervision and cooperation:
Steps initiated to enhance oversight of financial
conglomerates:
Report on Trend and Progress of Banking in India - 2012-13
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pension fund and non-banking finance. Of the 12
identified FC groups, the Reserve Bank is the lead
regulator for five identified FC groups, IRDA is the
lead regulator for four and SEBI is the lead
regulator for three FC groups.
The Reserve Bank has been
furthering financial inclusion (FI) through a
combination of strategies including relaxing
regulatory guidelines and providing new products
and other supportive measures to achieve
sustainable and scalable financial inclusion. The
Reserve Bank has adopted a bank-led model for
financial inclusion which seeks to leverage on
technology. A structured and planned approach
was followed under financial inclusion wherein all
banks were advised to implement Board-approved
Financial Inclusion Plans (FIPs) congruent with
their business strategies and comparative
advantage for a three-year period (2010-2013). The
implementation of these plans was closely
monitored by the Reserve Bank. In order to take
financial inclusion to the next stage of universal FI
in which all eligible individuals will have
transactional accounts, banks were advised to draw
up FIPs for 2013-16, which have since been
submitted by the banks.
The Reserve Bank invited applications for
“Licensing of New Banks in the Private Sector”. It
received 26 applications for new bank licenses. The
Reserve Bank will soon issue new bank licenses
consistent with the highest standards of
transparency and diligence.
The Basel III capital regulation
has been implemented in India from April 1, 2013
in phases and will be fully implemented as on
March 31, 2018. These norms lay more focus and
importance on quality, consistency and
transparency of the capital base. The Reserve Bank
has estimated the additional capital requirements
of domest ic banks for ful l Base l I I I
implementation till March 2018. The estimates
suggest that public sector banks will require an
additional capital to the tune of 4.15 trillion, of
which equity capital will be of the order of 1.4 - 1.5
trillion. Being the majority stakeholder,
Government has been infusing capital in these
banks. During the last five years, the Government
has infused 477 billion in the public sector banks.
The Government will infuse 140 billion in the
public sector banks during 2013-14.
While the primary driver of the deteriorating asset
quality was the domestic economic slowdown, the
contribution of other factors like delays in
obtaining statutory and other approvals as well as
lax credit appraisal/monitoring by banks was also
significant. In order to upgrade the banks' credit
monitoring system, the Reserve Bank advised them
to have a robust mechanism for early detection of
signs of distress and to use such early warning
signals to put in place an effective preventive asset
quality management framework. The Reserve Bank
has also advised banks to strengthen the
information sharing mechanism among lenders by
making it compulsory for banks to receive/share
information on borrowers before sanctioning
loans.
Banks need to not only
follow the various measures put in place by the
Reserve Bank and the Government of India
effectively for resolution and recovery of bad loans
but also strengthen their due diligence, credit
Structured and planned approach to further
financial inclusion:
Issue of new bank licenses to further improve
competition and enhance access to banking
Services:
Capital infusion in public sector banks to enhance
capital adequacy:
Need for improving the asset quality of bank:
Effective reduction in NPAs and improvements in
the loan recovery process:
`
`
`
`
The Way Forward
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appraisal and post sanction loan monitoring
systems to minimize and mitigate the problems of
increasing NPAs.
One of the mandates for the Reserve
Bank in the RBI Act is ensuring the flow of credit to
productive sectors of the economy. In this context,
it is necessary to reduce banks' requirements of
investing in government securities in a calibrated
way, to what is strictly needed from a prudential
perspective. It is recognised that the scope for such
reduction will increase as government finances
improve. Further, as the penetration of other
financial institutions, such as pension funds and
insurance companies increases, it will be possible
to reduce the need for commercial banks to invest
in government securities.
The
objective of foreign banks' participation in India
was primarily to increase competition, promote
efficiency of the local banking system and also
adapting their sophisticated financial services and
products with respect to domestic banks. At present
foreign banks are operating in India as branches.
From the perspective of financial stability, a move
towards subsidiarisation of foreign banks should
be welcome. India needs foreign banks to
participate more in the growth process, but in
exchange it is important to have more regulatory
and supervisory control over their local operations.
Regulators
need to ensure that their regulatory stance does not
create barriers to the entry or exit of institutions or
result in unwarranted costs to the economy and
consumers. Accordingly, the Reserve Bank's
Discussion Paper 'Banking Structure in India : The
Way Forward' favours continuous authorisations
of new banks and explores the possibility of
introducing differentiated licences for small and
wholesale banks and the possibility of converting
large urban co-operative banks into commercial
banks to impart dynamism to the banking system.
The Indian financial landscape is dominated by the
banking sector with banking flows accounting for
over half of the total financial flows in the
economy. Banks play a major role in not just
purveying credit to the productive sectors of the
economy but also as facilitators of financial
inclusion. Although the Indian banking sector
exhibited considerable resilience in the immediate
aftermath of the global financial crisis, it has been
impacted by the global and domestic economic
slowdown over the last two years.
Against the backdrop of a slowdown in the
domestic economy and tepid global recovery, the
growth of the Indian banking sector slowed down
for the second consecutive year in 2012-13. There
was also a decline in the growth of profits of
scheduled commercial banks (SCBs) as credit off-
take slowed down and interest rates softened. The
asset quality also deteriorated, more perceptibly for
public sector banks. On the positive side, capital
positions of Indian banks, including public sector
banks, remained strong and above the stipulated
minimum to face any unforeseen losses. There was
also a significant expansion in the outreach of
banking in unbanked rural centres, as financial
inclusion plans completed three years. The short
term target for the banking system could be to lend
support to productive sectors facilitating
economic recovery without hampering asset
quality. In the medium to long-term, sustained
improvements in efficiency and inclusiveness
remain key areas of concern.
Continued need to reduce pre-emption of banks'
resources:
Increasing the presence of foreign banks:
Need to liberalise licensing policies:
Operations and Performance of Commercial
Banks
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Balance Sheet Operations of Scheduled
Commercial Banks
In continuation with the trend during 2011-12, the
overall growth in balance sheet of banks moderated
further in 2012-13. Slowdown in real economic
activity along with the higher risk aversion by
banks resulted in moderation in credit growth.
Deposits, however, maintained their growth in
2012-13 on account of a revival in the growth of
current and savings account (CASA) which was
held at 33 per cent. In 2012-13, growth in CASA for
new private sector banks, at 18.5 per cent, was the
highest among all bank groups. In part, this could
be attributed to improved competition among
banks in attracting savings deposits following the
deregulation of the savings deposit rate. The share
of savings deposits for new private sector banks
stood at around 25 per cent of their total deposit
base and was the highest among all bank groups in
2013. The Credit - Deposit ratio for all SCBs, on an
outstanding basis, remained broadly unchanged at
about 79 per cent. The incremental C-D ratio of
SCBs posted a declining trend over a major part of
2012-13.
Growth in Balance Sheet of Scheduled Commercial Banks (Per cent)
ItemPublic Sector
BanksPrivate Sector
BanksOld privateSector Banks
New privateSector Banks
Foreign Banks All SCBs
2011-12 2012-13 2011-12 2012-13 2011-12 2012-13 2011-12 2012-13 2011-12 2012-13 2011-12 2012-13
1. Capital -4.2 4.3 - 4.5 -4.2 6.1 1.7 3.9 15.6 13.9 8.0 10.4
2. Reserve and Surpluses 24.4 15.5 15.5 21.6 18.5 18.9 14.9 22.2 15.6 15.2 20.8 17.2
3. Deposits 14.4 14.9 17.1 18.8 19.6 18.4 16.3 19.0 15.1 4.0 14.9 15.1
3.1. Demand Deposits -6.3 16.8 4.4 15.4 6.5 15.6 4.0 15.4 9.9 -7.8 -1.8 13.3
3.2. Savings Bank Deposits 12.1 14.4 19.1 19.3 16.3 14.9 19.9 20.5 5.6 2.9 13.1 15.0
3.3. Term Deposits 18.2 14.8 19.7 19.4 22.1 19.5 18.6 19.4 21.0 10.4 18.6 15.4
4. Borrowings 17.2 19.8 38.9 16.1 80.3 28.3 36.4 15.1 29.7 27.4 24.9 19.8
5. Other Liabilities and Provisions -7.5 15.4 42.1 0.2 12.5 9.6 47.1 -1.0 26.9 -25.1 8.6 2.2
Total Liabilities/Assets 14.1 15.3 21.1 17.5 21.3 18.6 21.0 17.2 19.8 5.7 15.8 15.1
1. Cash and Balances with RBI -20.5 -0.2 -18.1 5.4 -7.9 -0.2 -20.8 7.1 14.2 -7.4 -18.5 0.4
2. Balances with Banks and Money
at Call and Short Notice40.7 38.0 15.6 57.9 80.4 52.6 6.5 59.2 13.7 10.7 32.4 37.5
3. Investments 12.8 16.7 24.6 19.0 18.0 23.0 26.5 18.0 21.2 13.7 16.1 17.0
4. Loans and Advances 17.3 15.4 21.2 18.3 24.6 17.3 20.1 18.6 17.6 14.7 18.1 15.9
5. Fixed Assets 5.9 11.2 3.0 8.3 6.9 14.9 2.1 6.6 1.2 20.4 4.8 11.3
6. Other Assets 14.9 2.8 67.5 -7.9 26.9 8.0 74.5 -9.9 26.9 -31.0 27.9 -9.5
Source: Balance Sheets of respective banks.
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While there was a spurt in international liabilities
of banks located in India, international assets of
these banks remained almost unchanged. Maturity
mismatch has always been an area of concern for
the banking sector as long-term infrastructural
loans are financed primarily from deposits of
shorter maturities putting strain on liquidity,
earning and at times, solvency of the bank.
Maturity mismatch analysis suggested a positive
gap (liabilities-assets) in the shortest maturity
bucket of up to 1 year.
In 2012-13, interest earnings were adversely affected
with credit growth slowing down and softening of
the interest rates. Interest expended also grew at a
slower pace during the year but its growth was
higher than that of interest earned, thereby putting
a downward pressure on the growth in both
operating and net profits of banks. Return on assets
(RoA), the most commonly used indicator of
profitability, showed a further reduction by about
5 basis points in 2012-13. This reduction was
discernible in the case of public sector banks in
general, and nationalized banks in particular. New
private sector banks and foreign banks reported an
increase in RoA in 2012-13 as against nationalised
banks and SBI Group. Although the interest
income of new private/foreign banks posted a
lower growth during the year, they could manage to
maintain their profits growth through a reduction
in the growth of their operating expenses,
particularly wage bill. There was a fall in both net
interest margin (NIM) and spread (difference
between return and cost of funds) at the aggregate
level suggesting some improvement in operating
efficiency of SCBs.
An analysis of the standard accounting measures
and the Data Envelopment Analysis showed an
improvement in the efficiency in the banking
sector over recent decades.
The capital to risk-weighted assets ratio (CRAR)
remained above the stipulated 9 per cent norm
both at the system and bank group levels in 2012-13
but showed a declining trend. The core CRAR (Tier
I) under Basel II too showed a moderate decline.
Financial Performance of Scheduled
Commercial Banks
Soundness Indicators
Trends in Income and Expenditure of SCBs (Amt in Billion)`
Item 2011-12 2012-13
Amount Percentage Variation Amount Percentage Variation
1. Income 7,416.0 29.8 8,614.0 16.2
a) Interest Income 6,553.0 33.4 7,636.0 16.5
b) Other Income 863.0 8.1 978.0 13.3
2. Expenditure 6,600.0 31.8 7,702.0 16.7
a) Interest Expended 4,304.0 44.0 5,138.0 19.4
b) Operating Expenses 1,376.0 11.7 1,566.0 13.8
of which: Wage Bill 780.0 7.3 873.0 11.9
c) Provisions and Contingencies 920.0 16.8 998.0 8.5
3. Operating Profit 1,737.0 16.5 1,910.0 10.0
4. Net Profit 817.0 16.1 912.0 11.6
5. Net Interest Income (1a-2a) 2,249.0 16.9 2,498.0 11.1
Net Interest Margin (as % of average assets) 2.9 2.8
Source: Annual Accounts of respective banks.
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The decline in capital positions at the aggregate
level, however, was on account of deterioration in
the capital positions of public sector banks. Public
sector banks remain above the statutory norm for
CRAR. However, as they migrate to the advanced
Basel III framework, both the quantity and quality
(common equity) of capital will need to be
improved, while meeting the growing credit needs
of the economy and maintaining the floor for
public ownership.
The gross NPA ratio at the aggregate level stood at
3.6 per cent at end-March 2013 up from 3.1 per cent
at end-March 2012. The deterioration in asset
quality was most perceptible for the SBI Group
with its NPA ratio reaching a high of 5 per cent at
end-March 2013. With the gross NPA ratio reaching
about 3.6 per cent by end-March 2013, the
nationalized banks were positioned next to the SBI
Group. There were also signs of a deepening
deterioration within NPAs with an increase in the
proportion of “doubtful” loan assets. The slippage
ratio, defined as additions to NPAs during the year
as per cent of standard advances at the beginning of
the year, also showed an increase during 2012-13. At
the aggregate level, the ratio of restructured
standard advances to gross advances stood at 5.8
per cent at end-March 2013. It was the highest for
nationalized banks (at 8.3 per cent) followed by the
SBI Group (at 4.7 per cent).
Capital to Risk-Weighted Assets Ratio under Basel I and Basel II - Bank Group-wise (per cent)
(As at end-March)
Item/Bank Group Basel I Basel II
2012 2013 2012 2013
Public Sector Bank 11.88 11.31 13.23 12.38
Nationalized banks* 11.84 11.39 13.03 12.26
SBI Group 11.97 11.14 13.70 12.67
Private Sector Bank 14.47 15.10 16.21 16.84
Old Private Sector Bank 12.47 12.33 14.12 13.73
New Private Sector Bank 14.90 15.71 16.66 17.52
Foreign Banks 17.30 18.76 16.75 17.87
Scheduled commercial Banks 12.94 12.77 14.24 13.88
Note: *: Includes IDBI Bank Ltd.
Source: Based on off-site returns.
Component-wise Capital Adequacy of SCBs (As at end-March) (Amount in ` billion)
Basel I Basel IIItem
2012 2013 2012 2013
1. Capital funds (i+ii) 7,810 8,906 7,780 8,879
i) Tier I capital 5,686 6,595 5,672 6,580
ii) Tier II capital 2,124 2,311 2,109 2,299
2. Risk-weighted assets 60,376 69,742 54,621 63,969
3. CRAR (1 as % of 2) 12.94 12.77 14.24 13.88
of which: Tier I 9.42 9.46 10.38 10.29
Tier II 3.52 3.31 3.86 3.59
Source: Based on off-site returns.
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In 2012-13, there was a growth of about 37 per cent
in the total number of cases approved for
restructuring under corporate debt restructuring
(CDR) mechanism and the debt thus restructured
posted a growth of 52 per cent, marking a sharp
increase over its corresponding growth in 2011-12.
The growth in the number of cases and amount of
debt receded marginally in the first quarter of 2013-
14. The sectors that witnessed the maximum
distress were iron and steel, and infrastructure. At
end-March 2013, iron and steel accounted for 23
per cent of the total restructured debt, while
i n f r a s t r u c t u re ( i n c l u d i n g p o w e r a n d
telecommunications) held an almost comparable
share of 22.7 per cent in the total restructured debt.
Although there was a rise in the gross NPA ratio in
2012-13, the provisioning coverage ratio (PCR),
defined as provisions for credit loss as per cent of
gross NPAs, showed a marginal decline during the
year at the aggregate level. The decline was most
perceptible for nationalized banks.
The year 2012-13 was marked by a slowdown in the
growth of credit to all productive sectors, viz.,
agriculture, industry and services. The slowdown
was the sharpest for agriculture and allied activities
(from 14.1 per cent in 2011-12 to 7.6 per cent in
2012-13). There was a slowdown in the growth of
credit to the infrastructural sector within industry
(from 20.8 per cent to 15.8 per cent). The slowdown
in credit to NBFCs (from 24.0 per cent to 12.8 per
cent) - accounting for about one-fifth of the total
credit to the services sector - was an important
reason behind an overall slowdown in the growth
of services sector credit. By contrast, retail loans
was the only segment, which maintained its growth
in 2012-13 (from 15.7 per cent to 12.0 per cent). It is
noteworthy that even in a period of overall
slowdown in credit growth; retail credit maintained
its growth. Growth in retail loans was maintained
in 2012-13 on account of a sustained double digit
growth in housing loans - the largest segment of
retail loans, and a rising growth in auto loans - the
third major segment of retail loans. The increase in
Sectoral Distribution of Bank Credit
Trends in Non-performing Assets - Bank Group-wise (Amount in billion)`
ItemPublicsectorbanks
Nationalizedbanks*
SBIGroup
Privatesectorbanks
Foreignbanks
Scheduledcommercial
banks
Gross NPAs
Closing balance for 2011-12 1,178.00 696.00 482.00 187.00 62.00 1,429.00
Closing balance for 2012-13 1,650.00 1,022.00 627.00 210.00 79.00 1,940.00
Gross NPAs as per cent of Gross Advances**
2011-12 3.30 2.80 4.60 2.10 2.60 3.10
2012-13 4.10 3.60 5.00 2.00 2.90 3.60
Net NPAs
Closing balance for 2011-12 593.00 391.00 202.00 44.00 14.00 652.00
Closing balance for 2012-13 900.00 619.00 281.00 59.00 26.00 986.00
Net NPAs as per cent of Net Advances
2011-12 1.50 1.40 1.80 0.50 0.60 1.30
2012-13 2.00 2.00 2.00 0.50 1.00 1.70
Notes: 1. *: Includes IDBI Bank Ltd.
2. **: Calculated taking gross NPAs from annual accounts of respective banks and gross advances from off -site returns.
Source: Annual Accounts of banks and off-site returns.
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the growth in credit card receivables too
contributed to the overall growth in retail loans,
although their share in total retail loans was less
than 4 per cent.
There was a rise in the growth of priority sector
credit in 2012-13 against a drop in overall credit
growth during the year. The growth in priority
sector credit, however, remained lower than the
growth in overall credit. In 2012-13, credit to
priority sectors by public and private sector banks
was 36.3 per cent and 37.5 per cent (of Adjusted Net
Bank Credit/ Credit equivalent of Off-Balance
Sheet Exposure, whichever is higher) respectively,
indicating a shortfall against the overall target of 40
per cent.
Though the Indian banking industry weathered the
recent global financial crisis largely unscathed,
weakening asset quality has emerged as a major
concern. The global financial crisis has brought
into sharp focus, the need for reorienting
prudential policies to have a macro dimension. In
this evolving global and domestic environment,
the Reserve Bank has been constantly reviewing
and fine-tuning its regulatory and supervisory
policies to ensure a sound, resilient, robust and
inclusive banking system that is capable of taking
on various challenges effectively.
The monetary policy stance during 2012-13 was
geared towards addressing the sharp slowdown in
growth while not jeopardising the objective of
reigning in inflation. While there was a front-
loading of easing of the key policy rate, the repo
rate, by 50 basis points in April 2012, the Reserve
Bank further reduced the repo rate by 25 basis
points each in January and March 2013 using the
policy space made available by the softening of
WPI inflation in the second half of 2012-13,
thereby, leading to a cumulative 100 basis points
easing in 2012-13. The repo rate was further
reduced by 25 basis points in May 2013 to 7.25 per
cent to address the accentuated risks to growth
while noting that upside risks to inflation were still
significant. Considering the imperative need to
curb the mounting inflationary pressures and
anchor inflation expectations and thereby
strengthen the foundations of growth, the repo rate
was increased by 25 basis points each in the mid-
quarter review of September and the second quarter
review of October 2013 to 7.75 per cent.
The year 2012-13 was marked by periods of
significant stress in liquidity conditions. These
were brought on by a number of factors including
high government cash balances maintained with
the Reserve Bank, strong seasonal demand for
currency, the Reserve Bank's intervention in the
foreign exchange market and divergence between
deposit mobilisation and credit off-take of banks.
A number of measures were undertaken for
liquidity management. The cash reserve ratio
(CRR) was reduced in three stages by a cumulative
75 basis points in 2012-13, taking it to 4.0 per cent
of net demand and time liabilities (NDTL) of
banks, its lowest level since 1974. The statutory
liquidity ratio (SLR) was reduced by 100 basis
points to 23.0 per cent of NDTL of banks in August
2012. Besides the liquidity injected through the
daily liquidity adjustment facility (LAF)
operations, the Reserve Bank purchased
government securities worth 1.5 trillion through
open market operations (OMOs) during 2012-13.
During early 2013-14, liquidity conditions
generally improved mainly because of drawdown
of government cash balances and narrowing of the
gap between deposit and credit growth. In order to
contain exchange rate volatility in the domestic
forex market, the Reserve Bank undertook a
Policy Environment
Monetary Policy
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number of measures since mid-July 2013 such as
increasing the MSF rate and the bank rate by 200
bps to 10.25 per cent, announcing an auction of
120 billion in open market sales of government
securities, capping LAF borrowing access for each
individual bank at 0.5 per cent of its NDTL and
increasing the minimum daily maintenance of
CRR from 70 per cent to 99 per cent of the daily
average requirement on a fortnightly basis. Further,
the Reserve Bank auctioned 960 billion of
Government of India Cash Management Bills in
the weeks following its announcement on August
8, 2013.
In the wake of improvement in exchange market
conditions, the Reserve Bank in its Mid-Quarter
Review on September 20, 2013 began calibrated
withdrawal of exceptional measures taken since
mid-July. The MSF rate was reduced by 75 basis
points to 9.5 per cent and minimum daily
maintenance of CRR was reduced to 95 per cent of
the average fortnightly requirement. Further, based
on the assessment of liquidity condition and in
anticipation of the seasonal pick-up in credit
demand, festival-related currency demand, and the
Government's borrowing programme in second
half of 2013-14, with a view to easing the liquidity
pressure the Reserve Bank conducted OMO
purchases of 99.74 billion on October 7, 2013.
Moreover, continuing with the gradual
normalisation process, the MSF rate was lowered by
50 bps from 9.5 per cent to 9.0 per cent, and
additional access to liquidity through term repo up
to 0.25 per cent of NDTL was announced on
October 7, 2013. As a result of these measures, the
liquidity situation eased in October 2013. The
Reserve Bank in its Second Quarter Review of
Monetary Policy 2013-14 reduced the MSF rate
further by 25 basis points to 8.75 per cent and hiked
the repo rate by 25 basis points to 7.75 per cent;
thereby completing the process of realigning the
interest rate corridor to normal monetary policy
operations. Also, Reserve Bank increased the
liquidity access through term repos of 7-day and 14-
day tenor from 0.25 per cent of NDTL of the
banking system to 0.5 per cent.
In order to increase flow of credit to certain
segments covered under the priority sector, loan
limits were raised with effect from April 1, 2013.
With a view to encouraging exports, the
Government decided to continue to extend interest
subvention of 2 per cent on pre and post shipment
rupee export credit for certain employment
oriented sectors, while increasing the rate of
interest subvention from 2 per cent to 3 per cent,
effective August 1, 2013. In order to hasten the
process of identifying a MSE unit as sick, early
detection of incipient sickness and laying down a
procedure to be adopted by banks before declaring
a unit as unviable, the Reserve Bank issued revised
guidelines on November 1, 2012 for rehabilitation
of sick units in the MSE sector. In view of the
concerns emerging from the deceleration in credit
growth to the MSE sector, an Indian Banks'
Association (IBA) led sub-committee (Chairman:
Shri K.R. Kamath) was set up to suggest a
structured mechanism to be put in place by banks
to monitor the entire gamut of credit related issues
pertaining to the sector. Based on the
recommendations of the Committee, guidelines
were issued on May 9, 2013 for monitoring credit
growth to the MSE sector. The SHG-BLP is a saving-
led credit product for the unbanked poor. National
Bank for Agriculture and Rural Development
(NABARD) initiated the process of repositioning
the SHG-BLP as SHG2. This approach is basically
aimed at encouraging the poor to save.
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Credit Delivery
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Financial Inclusion
In order to facilitate the smooth implementation
of the Electronic Benefit Transfer (EBT) scheme for
routing MGNREGA wages, other social security
benefits including proposed cash transfers with
respect to subsidies on kerosene, LPG and
fertilisers, guidelines were issued on November 30,
2011 to all scheduled commercial banks to ensure
opening of Aadhaar-enabled bank accounts of all
the beneficiaries including those residing in
villages with less than 2,000 population. Banks
were advised to expand their reach in remote
locations either through a branch or Business
Correspondent (BC) or other modes as every
eligible individual should have a bank account for
DBT to take place. State Level Bankers' Committee
(SLBC) convenor banks of concerned states and
Lead banks of selected districts were advised in
October 2012 to co-ordinate with the state
administrator and field level implementing
agencies to ensure smooth rollout of Aadhaar
enabled payment systems. To facilitate speedier
branch expansion in unbanked rural centres for
ensuring a seamless roll-out of the DBT/EBT
scheme of the Government of India, instructions
were issued to banks on May 28, 2013 that they may
consider front-loading (prioritising) the opening
of branches in unbanked rural centres over a three-
year cycle co-terminus with their Financial
Inclusion Plan (FIP) for 2013-16. Various measures
were also taken to improve financial inclusion and
financial literacy for MSEs. In order to ease some of
the avoidable inconveniences faced by customers
due to some provisions in KYC guidelines, the
Reserve Bank initiated steps to reduce the
inconvenience a customer faces while opening a
bank account or when transferring his account to
another place.
In order to address gender related aspects of
empowerment and financial inclusion, Union
Budget 2013-14 announced to set up India's first
Women's Bank as a public sector bank with 10
billion as initial capital. As a follow up, the Reserve
Bank gave licence to the Bharatiya Mahila Bank
Ltd. on September 25, 2013. The registered office of
the proposed Bharatiya Mahila Bank Ltd. will be in
New Delhi.
As per an announcement made in the Union
Budget 2010-11, the Reserve Bank put out draft
guidelines on licensing of new banks in the private
sector on August 29, 2011 for public comments
and the final guidelines were released on February
22, 2013 after amendments to the Banking
Regulation Act, 1949 were made in December 2012.
The last date for receipt of applications was July 1,
2013. The Reserve Bank received 26 applications
for new bank licences. The applications are being
processed. A High Level Advisory Committee will
s c r e e n t h e a p p l i c a n t s a n d m a k e i t s
recommendations to the Reserve Bank which will
make the final decision in this regard. The new
banks in the private sector will be set up through
wholly-owned Non-Operative Financial Holding
Companies (NOFHCs). The Reserve Bank also
released the framework for setting up of Wholly
Owned Subsidiaries (WOS) by foreign banks in
India on November 6, 2013. The policy framework
is guided by the two cardinal principles of
reciprocity and single mode of presence. As a
locally incorporated bank, the WOSs will be given
near national treatment which will enable them to
open branches anywhere in the country at par with
Indian banks (except in certain sensitive areas
where the Reserve Bank's prior approval would be
required). The policy incentivises the existing
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Prudential Regulatory Policy
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foreign bank branches to convert into WOS due to
the attractiveness of near national treatment. Such
conversion is also desirable from the financial
stability perspective, factoring in the lessons from
the global economic crisis.
With the objective of rationalising the branch
authorisation policy and to foster more
competition, bank branching was made completely
free for well managed domestic SCBs in every part
of the country. On September 19, 2013 Reserve
Bank extended the general permission to domestic
SCBs (other than RRBs) for opening branches
without its prior approval to branches in Tier 1
centres also, subject to certain conditions.
A comprehensive provisioning framework for
banks with dynamic and countercyclical elements
is being contemplated to overcome the limitations
of the current provisioning policy. In this regard, a
Discussion Paper on 'Introduction of Dynamic
Provisioning Framework for Banks in India' was
released on March 30, 2012 for public comments.
The primary objective of the dynamic provisioning
framework is to smoothen the impact of incurred
losses on the profit and loss account through the
cycle. With identification of bulk deposits being
important from the viewpoint of asset-liability
management (ALM), it has been decided that with
effect from April 1, 2013 the expression 'bulk
deposits' would be used only for single Rupee term
deposits of 10 million and above.
Addressing the concern that direct bank financing
for purchase of gold in any form, viz.,
bullion/primary gold/jewellery/gold coins could
lead to fuelling of the demand for gold for
speculative purposes, the Reserve Banks directed
that with effect from November 19, 2012, no
advances should be granted by banks for purchase
of gold in any form including primary gold, gold
bullion, gold jewellery, gold coins, units of gold
Exchange Traded Funds (ETF) and units of gold
mutual funds. However, banks can provide finance
for the genuine working capital requirements of
jewellers. The guidelines regarding bank lending
against gold were also rationalized.
To enable banking companies in India to raise
capital in accordance with the international best
practices and to ensure that control of banking
companies is in the hands of “fit and proper
persons”, provisions were made in the Banking
Regulation Act, 1949, effected by an amendment
notified by the Government of India vide Banking
Law Amendments Act, 2012. The notification
stipulates that it would be mandatory for persons
to obtain prior approval of the Reserve Bank to
acquire five per cent or more of the share capital of
a banking company. The notification confers
power upon the Reserve Bank to impose such
conditions as it deems necessary while granting
such approvals. In this regard guidelines are being
issued to banks shortly.
On request from a depositor, a bank shall allow
withdrawal of a rupee term deposit of less than 10
million, before the completion of the period of the
deposit agreed upon at the time of making the
deposit. However, banks will have the freedom to
determine their own penal interest rates on
premature withdrawal of term deposits. Banks
should ensure that the depositors are made aware of
the applicable penal rates along with the deposit
rates. The issue of Intersol charges was deliberated
upon by the Committee on Customer Service in
Banks (Chairman: Shri M. Damodaran) and, banks
were advised by the Reserve Bank on July 1, 2013
that if a particular service is provided free at home
branch then the same should be available free at
non-home branches also.
Reserve Bank issued draft guidelines on July 2,
2013 on the methodology to be followed for
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computing incremental provisioning and capital
requirements for exposure to corporates having
unhedged foreign currency exposures. Draft
guidelines also require banks to factor in the risk
arising from high forex exposures of corporates in
their internal rating processes and share this data
with the concerned credit rating agencies so that
the external bank loan rating may also factor in this
risk. Based on the comments/feedback received,
the Reserve Bank will finalise the guidelines and
banks will be required to implement the same from
October 1, 2013.
Commercial Real Estate (CRE) being a sector
prone to volatility has attracted stricter prudential
norms from regulators globally. The Reserve Bank
has also prescribed stricter prudential norms in
terms of higher risk weight at 100 per cent and
higher provision at 1.0 per cent for CRE standard
assets as against generally a lower provision of 0.40
per cent for other standard assets. Guidelines were
issued to banks on June 21, 2013 regarding carving
out a Commercial Real Estate - Residential
Housing (CRE-RH) segment from CRE with lower
risk weight at 75 per cent and lower provisioning at
0.75 per cent for standard assets as compared to
CRE. CRE-RH would consist of loans to
builders/developers for residential housing
projects (except for captive consumption). It was
also advised that such projects should ordinarily
not include non-residential CRE.
Some of the existing prudential guidelines on
restructuring of advances by banks/financial
institutions have been revised following the
recommendations of the Working Group
(Chairman: Shri B. Mahapatra) to Review the
Existing Prudential Guidelines on Restructuring
of Advances by Banks/Financial Institutions.
Accordingly, the regulatory forbearance on asset
classification will stand withdrawn from April 1,
2015 except in case of change of date of
commencement of commercial operation (DCCO)
of infrastructure and other project loans. Further,
provisioning requirement on all fresh standard
restructured accounts has been increased to 5.00
per cent with effect from June 1, 2013. The
increased provisioning requirement for the stock
(as on May 31, 2013) of restructured standard
accounts will be implemented in a more gradual
way i.e. 3.50 per cent - with effect from March 31,
2014 (spread over the four quarters of 2013-14);
4.25 per cent - with effect from March 31, 2015
(spread over the four quarters of 2014-15); and 5.00
per cent - with effect from March 31, 2016 (spread
over the four quarters of 2015-16). With a view to
enabling the upgradation of risk management
framework as also capital efficiency likely to accrue
to the banks by adopting the advanced approaches
envisaged under the Basel II Framework and the
emerging international trend in this regard,
guidelines on Advanced Measurement Approach
(AMA) were issued on April 27, 2011. Applications
for migration to advanced measurement approach
were opened for banks with effect from April 1,
2012.
The Board for Financial Supervision (BFS), which
was constituted in November 1994, continued to
be the principal force behind the Reserve Bank's
supervisory and regulatory initiatives. In BFS
meetings, it was decided to make the format of the
inspection report more risk focussed and a
Monitorable Action Plan (MAP) with a timeline
for completion was issued to the banks. This
resulted in focussed supervisory attention on key
supe rv i so ry conce rn s . Ba s ed on BFS '
directions/guidance, thematic reviews were
conducted in certain areas such as the KYC/AML
environment in banks, banks' exposure to the real
estate/housing sector and major frauds beyond a
threshold limit. Under directions from BFS,
Supervisory Policy
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guidelines on a revised compensation structure
have been issued to private sector and foreign
banks. With regards to supervision over urban co-
operative banks (UCBs), BFS approved the Revised
Graded Supervisory Action, financial restructuring
of UCBs under directions and made the rating
model for UCBs less complex. The BFS reviewed
the regulations regarding rural credit institutions
and approved a proposal to issue directions to
unlicenced district central co-operative banks
(DCCBs).
In order to have a strong internal audit control
framework, banks were advised on June 26, 2012 to
put in place similar policy guidelines and
procedures as applicable in the case of compliance
officers of banks for appointment/changes of the
head, internal audit. Banks were advised on
September 13, 2012 to ensure strict adherence to
the KYC/AML guidelines issued from time to time
in opening, risk categorisation and monitoring of
transactions in customer accounts. Banks were
further advised that they will be held responsible
for losses incurred by customers by way of
deposits/remittances from such accounts if they
are found to be in violation of extant
regulations/statutory requirements, besides
inviting supervisory action. The Reserve Bank
advised the PSBs on November 30, 2012 that they
should take adequate steps to strengthen their risk
management systems, credit appraisal and sanction
process, post-sanction monitoring and follow-up
and have a robust MIS mechanism for early
detection of incipient weaknesses/distress and for
taking steps for remedial measures and recovery of
bank's dues. They were also advised that the
restructuring of advances should be undertaken in
a transparent and objective manner and in
conformity with regulatory guidelines. The
progress in reduction in NPAs and restructured
accounts should be regularly reviewed.
In the light of the recommendations of the High
Level Steering Committee (HLSC) (Chairman: Dr.
K. C. Chakrabarty) to review the supervisory
processes for commercial banks, on September 28,
2012 banks were informed of the imminent
transition to a risk-based approach to supervision
from the supervisory cycle beginning April 2013 in
two phases. They were also asked to put in place an
institutional mechanism to monitor the progress
made and ensure compliance to the best practices
on risk management systems. In order to
rationalise processes and procedures in the Reserve
Bank and to provide increased operational
autonomy to the top management of banks, the
existing guidelines which require furnishing of a
report on cases of attempted fraud involving an
amount of 10 million and above to the Reserve
Bank was dispensed with from November 15, 2012.
However, the banks were advised to continue to
place individual cases involving 10 million and
above before the Audit Committee of their Boards.
In March, 2013, an online media portal raised
certain allegations against three private sector
banks that these banks were indulging in practices
that encouraged money laundering, sale of gold
and other third party products such as insurance
and wealth management. The allegations by media
against banks accelerated the process of
undertaking scrutiny in 39 banks by the Reserve
Bank during March-May, 2013. Based on the
findings of the scrutinies, 36 banks were issued
show cause notices for violation of certain
regulations and instructions issued by the Reserve
Bank. After considering the facts of each case and
the individual bank's reply, the Reserve Bank came
to the conclusion that some of the concerns were
substantiated and warranted imposition of
monetary penalty. Monetary penalty was imposed
on 31 banks. The thematic reviews of KYC/AML
systems and compliance in banks revealed the need
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for better regulatory compliance by banks. Certain
corrective measures were envisioned and
subsequently various guidelines were issued to
banks: (i) draft guidelines on wealth management
services offered by banks; (ii) detailed guidelines on
marketing and distribution of third party financial
products; and (iii) detailed guidelines on KYC
norms/AML standards/Combating of Financing
of Terrorism (CFT).
Based on the thematic reviews and the follow-up
action taken, the Reserve Bank has provided a list
of actionable issues to banks. It has been felt that
inspections and scrutinies have to be more targeted
and the focus should be on 'the results' rather than
'the mere processes'. Therefore, with a view to
improving the focus and quality of inspections and
scrutinies of the Reserve Bank, a Guidance Note for
inspecting officers, on the areas that may be
concentrated upon while assessing the adherence to
KYC/AML guidelines by banks was issued.
The Reserve Bank advised banks on June 7, 2013 to
subject title deeds and other documents with
respect to all credit exposures of 50 million and
above to periodic legal audit and re-verification of
title deeds with relevant authorities as part of a
regular audit exercise till the loan stands fully
repaid. Banks were also advised to furnish a review
note to their Boards/audit committees of the Board
at quarterly intervals on aspects such as number of
loan accounts due for legal audit for the quarter,
total accounts covered, list of deficiencies observed
by the auditors, number of accounts in which the
rectification could not take place and course of
action to safeguard the interests of the bank in such
cases.
Basel Committee on Banking Supervision (BCBS)
initiated a Quantitative Impact Study (QIS) to
assess the potential impact of a consultative
document published in March 2013, “Supervisory
Framework for Measuring and Controlling Large
Exposures”. The Reserve Bank, being a member of
the Large Exposure Group, has initiated QIS in its
jurisdiction by seeking details from six large banks
(three from the public sector and three from the
private sector). The results of data so collected have
been submitted to BCBS for further analysis.
With the implementation of core banking solution
(CBS) in public sector banks (PSBs) with
c o n c o m i t a n t c e n t r a l i s a t i o n o f
information/documents, streamlining of MIS and
increased operational efficiency, it was considered
necessary to revise the professional and other
norms for selecting statutory auditors and for
rationalising the existing system of extensive
branch audit of PSBs. As per revised norms, besides
prescribed experience, at least two partners of the
firm or its paid Chartered Accountants must
possess DISA/CISA/ISA or any other equivalent
qualification. The Financial Stability Board (FSB)
undertook a peer review on resolution regimes with
the objective of evaluating the FSB jurisdictions'
existing resolution regimes and any planned
changes to those regimes using key attributes (KAs)
as a benchmark. Among others, the resolution
regime in India, which is a member of FSB, was also
evaluated and a number of areas for reforms were
identified.
During 2012-13, the Deposit Insurance and Credit
Guarantee Corporation (DICGC) settled aggregate
claims for 1,998 million with respect to 63 co-
operative banks (15 main claims and 154
supplementary claims) as compared with claims for
2,873 million during the previous year. The size of
the Deposit Insurance Fund (DIF) stood at 361
billion as on March 31, 2013, yielding a Reserve
Ratio (DIF/Insured Deposits) of 1.7 per cent.
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Non-Banking Financial Companies (NBFCs)
During 2012-13, a new category of NBFC, viz.,
Non-Banking Financial Company - Factors was
created and a regulatory framework in the form of
entry point capital and prudential regulations was
placed on them. NBFCs lending against collateral
of gold jewellery were advised to maintain a loan-to-
value (LTV) ratio not exceeding 60 per cent and to
disclose in their balance sheets the percentage of
such loans to their total assets. If the loans extended
by a NBFC comprise 50 per cent or more of its
financial assets, it shall maintain a minimum Tier-l
capital of 12 per cent by April 01, 2014. All NBFCs
were advised that no advances should be granted by
them for purchase of gold in any form. The
recommendations of the Working Group to Study
the Issues Related to Gold Imports and Gold Loans
NBFCs in India (Chairman: Shri K.U.B. Rao) set
up by the Reserve Bank and relating to NBFCs
lending against the collateral of gold jewellery, were
broadly accepted by the Reserve Bank and
guidelines were issued covering inter alia aspects
such as appropriate infrastructure for storage of
gold ornaments, prior approval of the Reserve
Bank for opening branches in excess of 1000 in
number, standardisation of value of gold in
arriving at LTV Ratio, verification of the ownership
of gold jewellery and process and procedures for
auction of gold jewellery. The Fair Practices Code
has been revised to include sector specific features
to enhance transparency and fair practices relating
to micro lending and lending against collateral of
gold in the light of operational issues surrounding
these activities.
Given the problems being faced by NBFCs-MFI,
the margin cap for lending by NBFCs-MFI
irrespective of their size stands at 12 per cent till
March 31, 2014. With effect from April 1, 2014,
margin cap as defined by the Report of the Sub-
Committee of the Central Board of Directors of
Reserve Bank of India to Study Issues and
Concerns in MFI Sector (Chairman: Shri Y.H.
Malegam) shall not exceed 10 per cent for large
MFIs (loans portfolios exceeding 1 billion) and 12
per cent for others. In view of their unique business
model a separate set of guidelines were issued for
core investment companies (CICs), registered with
the Reserve Bank, for their entry into insurance
business. A separate set of regulations have been
placed on overseas investments by CICs.
Guidelines were issued with regard to private
placement of non-convertible debentures by
NBFCs after certain adverse features came to the
notice of the Reserve Bank. The guidelines aim to
bring NBFCs at par with other financial entities as
far as private placement is concerned by restricting
the maximum number of subscribers.
An internal Working Group for revision and
updation of the Banking Ombudsman Scheme
(BOS), 2006 was constituted by the Reserve Bank in
July 2012 and its recommendations are being
examined by the Reserve Bank for implementation.
The Committee on Customer Service in Banks
(Chairman: Shri M. Damodaran) had made 232
recommendations in its report. Of these, 155
recommendations stand implemented. Some of the
important recommendations which are yet to be
implemented are: minimum account balance-
transparency, uniformity in charges for non-
maintenance, charges for basic services,
compensation for wrong returns of cheques by
banks, internet banking - secure total protection
policy, home-loans - non-discrimination between
existing and new borrowers with floating interest
rate and onus on banks to prove customer
negligence. The Reserve Bank is in consultation
with the Indian Banks' Association (IBA) for early
implementation of these recommendations.
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Customer Service in Banks
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The Reserve Bank undertook policy initiatives as
outlined in the Payment System Vision Document
2012-15 focusing on migrating payment
transactions from cash/paper modes to electronic
modes and also increasing the accessibility of
payment systems to people who are presently
excluded. The major policy initiatives taken during
the year such as widening access to centralised
payments systems, various measures undertaken to
make NEFT more efficient and rationalization
Merchant Discount Rates (MDR) for debit card
transactions to encourage its usage even for small
value transactions. An oversight framework
commensurate with international standards
prescribed by the Committee on Payment and
Settlement Systems (CPSS) has been put in place to
monitor the activities of the 44 authorised entities
(both bank and non-bank) operating payment
systems in the country. Also, the Clearing
Corporation of India Limited (CCIL) was assessed
against the new PFMI principles. The Technical
Committee to Examine Uniform Routing Code
and Account Number Structure (Chairman: Shri
Vijay Chugh) recommended continuation of IFSC
and implementation of International Bank
Account Number (IBAN). However, the
Committee noted that IBAN will not bring in
portability of accounts across banks. The Report of
the Committee is under examination.
To address the issue of absence of a dedicated
system for facilitating bill payments and for
providing common infrastructure for all bill
payment needs of the public, Committee to Study
the Feasibility of Implementation of Giro based
Payment System in India (Chairman: Shri G
Padmanabhan ) wa s cons t i tu t ed which
recommended that a giro based payment system
christened the “India Bill Payment System” (IBPS)
may be designed and implemented in the country
which will provide bill payment services to all
stakeholders at one single place. The Report has
been examined and the proposal to set up the Giro
Advisory Group has been approved by the Board
for Regulation and Supervision of Payment and
Settlement Systems (BPSS).
To strengthen electronic modes of payments and
f u r t h e r m i t i g a t e t h e r i s k s f a c e d b y
customers/banks, guidelines have been issued to
banks and other stakeholders to put certain security
measures in place in a time bound manner. In view
of the increasing volumes and changing business
requirements, the Reserve Bank is replacing the
existing RTGS with a new system which provides
for improved functions and features. Some of the
new features implemented in the new system are
advanced liquidity management facility; Extensible
Markup Language (XML) based messaging system
conforming to ISO 20022; real time information
and transaction monitoring and control systems;
and gridlock avoidance mechanism and advanced
queue management techniques. In NG-RTGS, the
ISO 20022 message formats are being used for
transmitting RTGS messages, this is first instance
across the globe, of usage of this message formats
for high value payment systems.
The Banking Laws (Amendment) Act, 2012 came
into force from January 18, 2013 enhancing the
powers of the Reserve Bank. The Enforcement of
Security Interest and Recovery of Debt Laws
(Amendment) Act, 2012 (except Section 8 and
Section 15 (b)) that was brought into force with
effect from January 15, 2013, amends the
Securitisation and Reconstruction of Financial
Assets and Enforcement of Security Interest Act,
2002 (SARFAESI Act) and the Recovery of Debts
Due to Banks and Financial Institutions Act, 1993
(RDDBFI Act). The definition of “bank” both in
the SARFAESI Act and in the RDDBFI Act is
amended to include 'multi state co-operative bank'
so that the provisions of said Acts apply to multi-
Banking Sector Legislation
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state co-operative banks and the measures for
recovery through the Debt Recovery Tribunals
(DRTs) would now be available to them.
Securitisation and reconstruction companies can
now convert any part of the debt into equity/shares
of a borrower company. Secured creditors can
acquire the immovable property in full or partial
satisfaction of their claim against the defaulting
borrower, in times when no buyer for the amount
of reserve price is available. The National Housing
Bank (Amendment) Bill, 2012 was introduced in
the Lok Sabha on April 30, 2012. It seeks to amend
the National Housing Bank (NHB) Act, 1987. The
Bill provides for transfer of shareholding of the
Reserve Bank in NHB to the Central Government
to avoid conflict of ownership and regulatory role.
The Micro Finance Institutions (Development and
Regulation) Bill, 2012 was introduced in the Lok
Sabha on May 22, 2012 with a view to provide a
statutory framework for promotion, development,
regulation and orderly growth of micro finance
institutions (MFI) and thereby to facilitate
financial inclusion.
Co-operative banks play an important role in
meeting the credit requirements of both the urban
and rural India. Though they account for a small
share in the total credit they hold a significant
position in credit delivery as they cater to different
geographic locations and demographic categories.
The total number of UCBs at end-March 2013
stood at 1,606 as against 1,618 at end-March 2012.
There has been an increase in asset concentration
within the UCB sector in recent years, partly as an
outcome of consolidation. The assets of UCBs
increased by 11.4 per cent in 2012-13. On the other
hand investments of these institutions showed
relatively higher growth in 2012-13 on account of a
sharp increase in SLR investments. UCBs' net
profits witnessed a moderation during 2012-13.
There was a sharp increase in both their interest and
non-interest income. The share of non-interest
income remained nearly stable both for SCBs and
UCBs. However, UCBs' total expenditure also rose
during the year primarily due to a pick-up in the
interest component of expenditure. Major
indicators of profitability like Return on Assets and
Return on Equity remained largely at previous
year's levels. The gross non-performing assets
(NPAs) of UCBs exhibited a decline in absolute
terms as well as per cent to total advances in 2012-13
vis-a-vis 2011-12. About 88 per cent of UCBs
reported CRAR above the statutory minimum in
2012-13. The banking business of UCBs
comprising of deposits plus advances continued to
be concentrated largely in the western region.
The share of short-term credit co-operatives,
comprising State Co-operative Banks (StCBs),
District Central Co-operative Banks (DCCBs) and
Primary Agricultural Credit Societies (PACS),
continued to be above 90 per cent of the total assets
of the rural co-operative credit institutions at end-
March 2012 while the long-term credit co-
operatives accounted for the remaining 10 per cent
of total assets. The financial performance of short-
term credit co-operatives, at the aggregate level,
showed losses in 2011-12 in contrast to profitability
in the preceding three years primarily due to the
losses incurred by the primary agricultural credit
societies. While the StCBs and DCCBs reported net
profits during 2011-12, the extent of losses incurred
by PACS, outpaced the profits of the other two tiers.
Long-term credit co-operatives showed a continued
deterioration in profitability.
The growth in the balance sheet of StCBs was
sustained in 2011-12. The StCBs' net profits in
Developments in Co-operative Banking
Urban Co-operative Banks
Rural Co-operatives
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2011-12 were more than double the amount
recorded by these institutions in 2010-11 as growth
in income outpaced that of expenditure. There was
a decline in the amount of NPAs of StCBs in 2011-
12 largely due to decline in sub-standard and
doubtful assets. District Central Co-operative
Banks (DCCBs) witnessed near stable growth in
their balance sheet in 2011-12. They also reported
better performance in terms of net profit in 2011-12
as compared to 2010-11 facilitated by an increase in
interest income. The asset quality of DCCBs
improved in 2011-12 with the NPA ratio showing a
decline.
Non-Banking Financial Institutions (NBFIs) are a
heterogeneous group of institutions that cater to a
wide range of financial requirements and can
broadly be grouped as financial institutions (FIs),
non-banking financial companies (NBFCs) and
primary dealers (PDs).
As at end-March 2013, there were four financial
institutions (FIs) the Export-Import Bank of India
(EXIM Bank), National Bank for Agriculture and
Rural Development (NABARD), National
Housing Bank (NHB) and Small Industries
Development Bank of India (SIDBI). The
combined balance sheet of all the four
FIs expanded by 15.9 per cent during 2012-13. On
the liability side, “deposits” along with “bonds and
debentures” constituted more than 60 per cent of
total liabilities. On the assets side, “loans and
advances” continued to be the single largest
component, accounting for 88.8 per cent of total
assets. Commercial papers (CPs) were the major
instruments for raising funds from the money
market for all the four FIs during 2012-13.
Financial performance of FIs improved during
2012-13 as both their operating and net profits
increased. As compared to last year, net NPAs of FIs
at aggregate level increased mainly on account of
higher net NPAs in respect of EXIM Bank, SIDBI
and NHB. All the four FIs maintained a CRAR
higher than the minimum stipulated norm of 9 per
cent.
Based on liabilities, NBFCs are classified into two
categories - Category “A” companies (NBFCs-D),
and Category “B” companies (NBFCs not raising
public deposits or NBFCs-ND). During 2012-13,
various policy measures were introduced to
improve the regulation and supervision of NBFCs.
During the year, the consolidated balance sheet of
NBFCs-D expanded marginally by 2.2 per cent. On
the liability side, during 2012-13, borrowings from
banks, albeit declined, constituted the biggest
source of funding for NBFCs-D. Debentures and
public deposits were the next important sources of
finance. Borrowings from FIs were relatively
minimal but this picked up dramatically by 170 per
cent during the year. On the contrary, borrowings
from government and inter-corporate borrowings
declined substantially. On the asset side, loans and
advances of NBFCs-D constituted close to three-
fourth of their assets. The investments declined
during the year mainly on the back of a decline in
investments in equity shares. The investments in
commercial paper also declined substantially.
Investment in government securities, debentures &
bonds, and mutual funds schemes, however,
showed an increase. Notwithstanding a decline in
the asset size of LCs, the total assets of the NBFCs-D
sector registered a marginal increase during 2012-13
mainly due to rise in assets of AFCs. During 2012-
13, the net profit of NBFC-D showed marginal
improvement, while the cost-to-income ratio rose.
They also witnessed deterioration in asset quality.
Non-Banking Financial Institutions
Financial Institutions
Non-Banking Financial Companies
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Residuary Non-Banking Companies (RNBCs)
NBFCs-ND-SI
The assets of RNBCs declined marginally during
the year ended-March 2013. Both the income and
expenses of RNBCs declined during 2012-13. As the
decline in total income of RNBCs was less than the
decline in total expenditure, their operating profits
increased modestly and further due to lesser tax
outgo their net profit increased by 9.1% during
2012-13.
The consolidated balance sheet of NBFCs-ND-SI
expanded by 19.5 per cent during 2012-13. The
NBFCs-ND-SI borrowed mainly by floating
debentures, followed by borrowings from banks
and FIs, commercial paper, and intercorporate
borrowings. Unsecured borrowings of NBFCs-ND-
SI, constituting slightly less than half the total
borrowings, expanded significantly and outpaced
the growth in secured borrowings. The asset
position of NBFCs-ND-SI further strengthened in
2012-13. Loans and advances, which form a major
part of the assets, increased by 22 per cent. The
financial performance of the NBFCs-NDSI sector
improved as reflected in an increase in their net
profit during 2012-13. As at end-March 2013, a
majority of the reporting companies maintained
the stipulated minimum norm of 15 per cent
capital adequacy as measured by CRAR.
As at end-June 2013, there were 21 Primary Dealers
(PDs) operating in financial markets, of which 13
were run by banks and were called as bank-PDs and
the remaining eight were non-bank entities, which
are known as standalone PDs. During 2012-13, the
bid-to-cover ratio in both dated Government of
India (GoI) securities and treasury bills of PDs were
marginally higher than they were in the previous
year. All the PDs achieved the stipulated minimum
success ratio (bids accepted to the bidding
commitment) of 40 per cent for treasury bills (T-
Bills) and cash management bills (CMBs) put
together. In the auctions of dated securities, the
share of PDs (bids accepted to the securities issued)
increased from 47.7 per cent in 2011-12 to 51.1 per
cent in 2012-13. As compared to 14 instances of
partial devolvement for 121.1 billion on the PDs
in 2011- 12, there were only two such instances for
18.3 billion during 2012-13, which reflected
favourable bond market conditions during the year.
In the secondary market, PDs individually achieved
the required minimum annual total turnover
(outright and repo transactions) ratio of 5 times in
G-Secs and 10 times in T-Bills. PDs also achieved the
minimum annual outright turnover ratio of 3 times
in G-Secs and 6 times in T-Bills. Despite their higher
turnover, the share of standalone PDs declined,
from 26.3 to 16.4 per cent in outright transactions
and from 20.3 to 19.2 per cent in repo transactions,
respectively during the year.
Though the capital of PDs declined by 2.2 per cent
in 2012-13, it was more than compensated by a
sharp rise in reserves and surplus resulting in an
increase in the net owned funds (NOF) to the tune
of 5.8 per cent. Borrowings remained the major
source of funds, accounting for 84 per cent of the
total funds. They had significant increase in
investments in commercial papers (CPs), bonds and
equities. The profit after tax of standalone PDs
showed a significant increase of 146 per cent during
2012-13 on account of huge growth in trading
profits on the back of declining interest rate
scenario for the later part of 2012-13. Reflecting
their increase deficiency, PDs witnessed an increase
in RoNW and RoAA and a decline in cost-to-
income ratio. Their CRAR declined from 53.8% as
of March 2012 to 39.4% as of March 2013, due to
significant rise in their holding of risk-weighted
assets.
Primary Dealers
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Source: www.rbi.org.in
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Prior to 2009, capital adequacy ratios have been an
important tool of prudential supervision and the
focus was to analyze the overall financial stability of
the banking system along with the risk in selected
parts of banks' balance sheet. After 2009, two
relatively sophisticated approaches - Basel III and
Stress Tests are emphasized for measuring capital
adequacy, but both are costly risk-based measures
for bank's capital adequacy requirement. The paper
explores strengths and weaknesses of both
approaches - stress testing and Basel III and analyzes
how stress testing could mitigate weaknesses in the
way Basel III measures credit, interest rate risk and
bank capital and how it creates countercyclical
capital buffers. The primary reason for comparing
strengths and weaknesses of both is that the
supervisors have considerably more flexibility in
the implementation of the stress tests and can use
that flexibility to minimize the impact of Basel III's
weakness. The secondary reason is that Basel III
purports to measure the full range of bank risks
whereas the stress tests only measures the losses
associated with a handful of specific scenarios.
As stress testing is in place for risk measure across
the globe, the question of concern is what the
incremental value of Basel III implementation is.
The paper also discusses the potential contributions
of stress testing to overcome weaknesses in Basel
III's approach to measuring credit risk, interest rate
risk and bank capital. The paper finds that stress
testing could provide an alternative method of
implementing countercyclical capital buffers that
may be less subject to political pressures than the
mechanism in Basel III.
Both stress testing and Basel III are costly risk-based
measurements and rely on projections of losses in
an extreme scenario to evaluate the adequacy of
individual bank's capital. Both measures require the
estimation of statistical models, but differ in some
fundamental ways. The stress tests as currently
applied to measuring individual bank capital
adequacy are conditional measures with the risk
adjustment occurring via reductions in capital (the
numerator of the capital adequacy ratio). The stress
tests begin with several different regulatory
measures of capital adequacy. The stress tests are
dynamic as they simulate how these regulatory
ratios would evolve over time and are conditional in
that results are calculated for a specific scenario for
the economy. The primary focus of the stress tests
has been on estimating changes in accounting
capital following the standards set by the Financial
Accounting Standards Board (FASB) in the US or
the International Financial Reporting Standards
(IFSR) in the EU. The estimates of the change in
accounting capital are based in part on estimates of
each bank's losses in each portfolio in each period.
The first step in conducting a stress test is to
estimate the historic impact of economic variables
such as GDP growth on bank's losses and pre-
provision net revenue (PPNR) given certain
important characteristics of each bank's portfolio.
The next step is to develop one or more internally
consistent scenarios for the future evolution of the
economy. Estimates of losses and PPNR for each
period in each scenario are then obtained by
plugging in the characteristics of the bank's
portfolio and the stress scenario into the bank's and
the supervisor's model estimated using historical
data. The projected losses and projected capital
distribution are subtracted from PPNR to estimate
each period's change in capital. The capital at the
end of each period is then its value at the start of the
Measuring Capital Adequacy Supervisory Stress Tests in a Basel World
ARTICLE
SUMMARY
ARTICLE
SUMMARY
Larry D. Wall/Research Department/Federal Reserve Bank of Atlanta/WP
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next period.
In contrast, Basel III provides an unconditional
static measure with the risk adjustment occurring in
the risk weighting of assets (the denominator of the
capital adequacy ratio) at a single point in time
using a process that does not depend upon
projections of the future state of the economy. The
calculation of the Basel III ratios depends on past
performance to estimate the loss distributions
associated with various portfolio positions. The
estimated loss distributions are then used to
calculate the expected losses in the extreme tail of
the distribution. The current portfolio positions
(assets and derivatives) are then summed using
weights derived from the expected losses to calculate
the denominator of the Basel III ratios. In effect,
Basel III derives a generic severely adverse scenario
for each portfolio category from that category's own
(recent) past experience.
Basel III provides three different methods of risk
weighting assets. In the Standardized Approach, the
supervisors provide the risk weights to the banks
based on the supervisor's estimates of the riskiness
of different assets. In the internal rating based (IRB)
approach banks supply their own estimates of the
probability of default which is then entered into
supervisory models to obtain risk weights. Finally,
in the advanced IRB approach, banks also come up
with their own estimates of loss given default and
exposure at default along with their estimate of the
probability of default. Basel III uses three different
measures of capital - common equity Tier 1 capital,
Tier 1 capital and Tier 2 capital. Common Equity
Tier I capital includes items such as common equity
and retained earnings that are available to absorb
losses on a going-concern basis, while Tier 1 capital
includes other perpetual instruments that are
subordinated to the deposits and subordinated debt
of the bank and meet additional criteria. Tier 2
capital includes items available to absorb losses
only on a gone-concern (in resolution) basis such as
subordinated debt.
In its concluding remarks, the paper finds that Basel
III casts a dim light over a wide range of possible
scenarios and predicts losses in tail of the
distribution across a wide variety of scenarios. Basel
III also cannot say very much about what may
happen in any particular scenario. In contrast, each
individual stress test casts a very bright light, but
only on one particular scenario. The stress test is
intended to provide a good estimate of what
happens in a particular scenario. Moreover, there is
no reason to expect that any given scenario will be
predictive of the results of a very different stress
scenario. The weaknesses in Basel III can be
mitigated by stress testing because of differences in
the way the two measures are structured and
implemented.
Stress testing can mitigate the incentives created by
Basel III credit risk underestimation for three
reasons. First, stress test errors are unlikely to be
perfectly correlated with Basel III errors. Second
stress tests are less reliant on models run by the
banks, and third stress test scenarios can be designed
to address weaknesses in both the Basel III risk
weightings and supervisors' perception of
estimation error in the stress test models. Stress
testing could mitigate the failure of Basel III to
include an explicit interest rate risk component by
including an interest rate stress scenario in the
analysis and using more granular data on
individual bank's current exposure. Stress testing
can mitigate Basel III's use of possibly overvalued
book capital by forcing banks to estimate losses over
a multiyear period in scenarios in which economic
conditions do not improve enough to make good
embedded credit losses.
Source: Federal Reserve Bank of Atlanta
ARTICLE
sUMMARY
ARTICLE
sUMMARY
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WHAT'S NEW
InternationalDevelopments
• The Governing Council of the ECB cut the interest rates on the main
refinancing operations of the Eurosystem and the marginal lending facility
by 25 bps each to 0.25% and 0.75% respectively, w.e.f November 13, 2013 in
a bid to prevent slowing inflation from taking hold in a still-fragile euro-area
economy. The interest rate on the deposit facility was left unchanged at
0.00%.
• Reserve Bank of Australia the cash rate unchanged at 2.5% stating that a
lower currency will be needed to achieve balanced growth. In its quarterly
monetary policy statement, it forecast below-trend growth and rising
unemployment in 2014 as resource investment drops and renewed currency
strength drags on the economy, leaving open the chance of lower interest
rates.
• Denmark held its key policy rate unchanged at 0.2%, breaking with a custom
of following the ECB after it unexpectedly lowered its benchmark rate to
rekindle inflation in the euro area.
• Federal Reserve Bank of Atlanta President Dennis Lockhart said the central
bank will consider reducing its bond-buying program at next month's policy
meeting.
• Federal Reserve Chairman Ben S. Bernanke said a process under
development that would allow regulators to take down a failing bank will
help ensure investors discipline weak firms and prevent them from taking
risks without consequence.
• Federal Reserve Chairman Ben S. Bernanke said the labor market has shown
“meaningful improvement” since the start of the central bank's bond-
buying program and that the benchmark interest rate will probably stay low
long after the purchases end.
• Federal Reserve Vice-Chairman Janet Yellen told the Senate Banking
Committee that supporting the recovery is the surest path to returning to a
more normal approach to monetary policy.
• As per the minutes of their last meeting, Federal Reserve might reduce their
$85 billion in monthly bond purchases “in coming months” as the economy
improves.
• China's central bank will “basically” end normal intervention in the
currency market and broaden the yuan's daily trading limit, Governor Zhou
Xiaochuan said, without giving a timeframe.
briefing
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InternationalDevelopments
WHAT'S NEW
• The People's Bank of China said the country does not benefit any more from
increases in its foreign-currency holdings.
• Reserve Bank of Australia Governor Glenn Stevens said that while the
central bank has been unconvinced about the effectiveness of trying to drive
down the Aussie, he remains “open-minded” on currency intervention.
• Federal Reserve Bank of Atlanta President Dennis Lockhart said he thinks
the central bank can handle its exit from quantitative easing.
• Bank of England Governor Mark Carney took action to restrain the U.K.'s
house-price boom by ending incentives for mortgage lending in a package
aimed at curbing “evolving risks” to financial stability.
• The Swiss National Bank will maintain the cap on the franc as the global
economic recovery proceeds sluggishly, board member Fritz Zurbruegg said.
• European Central Bank President Mario Draghi said keeping interest rates
low for an extended period carries risks that policy makers weighed carefully
before they reduced the benchmark rate to a record low.
• Acceleration of yuan convertibility and liberalization of interest rates were
among the key reform proposals decided on at the Third Plenum of the
Chinese Communist Party.
• Premier Li Keqiang said China needs 7.2% growth to keep unemployment
stable and signaled reluctance to widen the budget deficit or ease monetary
policy to ensure expansion. China's growth has entered a stage of medium-
to-high speed, meaning about 7.5% or above 7%, he said.
• China released a raft of detailed reform plans promising sweeping changes
to the economy.
• France's credit rating was cut to AA from AA+ by S&P which said President
Francois Hollande's policies will fail to spur growth and fix public finances.
• S&P lowered Netherland's credit rating to AA+ while rewarding Spain for
moves to reform public finances with an improved stable outlook. Real GDP
in the United States increased at an annual rate of 2.8% in the third quarter
of 2013 as per the "advance" estimate released by the Bureau of Economic
Analysis. In the second quarter, real GDP increased 2.5%.
• The data released by Eurostat showed that the 17-country Eurozone's GDP
expanded at 0.1% during July-September 2013 compared with the previous
quarter when GDP had grown at 0.3%.
• Japan's economy slowed less than expected in July-September quarter to
0.5% vis-à-vis previous quarter growth of 0.9%.
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InternationalDevelopments
• China's exports rose 5.6% in October from a year earlier, while imports rose
7.6% leaving a trade surplus of $31.1 billion, the biggest this year.
• Japan's trade deficit widened to $10.9 billion in October.
• Britain's trade gap widened to GBP 9.72 billion, the most in more than a year
in the third quarter as imports rose to a record, holding back the economic
recovery.
• The US consumer-price index declined 0.1% in October, the first decline in
six months.
• China's consumer price index rose 3.2% in October from a year earlier.
• U.K. inflation dipped to 2.2% in October from 2.7% in September 2013.
• Eurozone inflation rose to 0.9% in November from 0.7% in October.
• The European Union trimmed its forecast for euro-area growth next year to
1.1% as the economy struggles to gain momentum with the continuing debt
crisis and record unemployment.
• The US budget deficit in October 2013 narrowed to $91.6 billion as rising
employment contributed to the strongest October revenue on record.
Indian Economy • As per estimates released by the CSO, quarterly GDP at factor cost at
constant (2004-2005) prices for Q2 of 2013-14 is estimated at 13.69 lakh
crores, as against 13.06 lakh crores in Q2 of 2012-13, showing a growth rate
of 4.82%. The WPI has risen by 6.1% during Q2 of 2013-14 over Q2 of 2012-
13, while the CPI-IW has shown a rise of 10.90% during the period.
• India registered a fiscal deficit of 45,798 crore during October 2013
representing an increase of 47.67% over the fiscal deficit of 31,016 crore in
October 2012. The fiscal deficit during April-October 2013 accounted for
84.4% of the budgeted estimates of 5,42,499 crore for 2013-14.
• India's exports grew 13.47% in October 2013 to $27.27 billion from $24.03
billion in October 2012. Imports declined 14.50% to $37.83 billion from
$44.24 billion in October 2012. The trade deficit for April-October 2013-14
was estimated at $90.68 billion which was lower than the deficit of $112.03
billion during April-October 2012-13.
• The Index of Industrial Production (IIP) registered a growth of 2.00% in
September 2013 as compared to a negative growth of 0.70% in September
2012. The cumulative growth during April-September 2013-14 was 0.40% as
against a growth of 0.10% during April-September 2012-13.
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• The eight core industries with a combined weight of 37.90% in the Index of
Industrial Production (IIP) contracted 0.60% in October 2013 compared to
7.80% growth in October 2012. Cumulative growth for April-October 2013
was 2.60% as against 6.80% in April-October 2012.
• The annual rate of inflation, based on monthly WPI, stood at 7.00%
(Provisional) for the month of October 2013 as compared to 6.46% in
September 2013 and 7.32% during October 2012. The annual rate of
inflation based on final index for August 2013 stood at 6.99% as compared
to 6.10% reported earlier.
• Provisional annual inflation rate based on all India general CPI (Combined)
for October 2013 on point to point basis was 10.09% as compared to 9.84%
(final) for September 2013. The corresponding inflation rates (provisional)
for rural and urban areas were 10.11% and 10.20% respectively (were 9.71%
and 9.93% respectively in September).
• The year-on-year inflation measured by monthly CPI-IW stood at 11.06%
for October 2013 as compared to 10.70% in September 2013 and 9.60%
during October 2012.
• Point to point rate of inflation based on the CPI-AL decreased from 12.78%
to 12.65% in October, 2013 while for CPI-RL increased from 12.44% to
12.48% in October, 2013.
• India's holding of US Treasury Securities at the end of September 2013 stood
at $56.80 billion vis-à-vis $57.0 billion at the end of August 2013.
• Gross direct tax collections during April-October 2013-14 was up by 11.58%
at 3,37,907 crore as against 3,02,844 crore in the same period last year. Net
direct tax collections rose 13.33% to 2,84,339 crore.
• Collection of indirect taxes excise, stood at about 2,69,100 crore during
April-October 2013-14, up 5.3% from the same period last fiscal year.
• The total debt of the government increased by 6.7% in the second quarter
ended September 2013 to 45,80,472 crore.
• On November 19, 2013 IFC issued the first tranche of US$161 million
under its USD 1 billion Global Rupee Bond Program.
• Planning Commission Deputy Chairman Montek Singh Ahluwalia said
that Indian economy will get back on the targeted growth trajectory of 8%
after two years.
• According to the PMEAC chairman C Rangarajan, India will see “distinctly
better” economic growth in the second half of the current fiscal on
improvement in manufacturing (growth is anticipated to touch 3%) and
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Indian Economy
briefing
good monsoon this season.
• In the second OECD Economic Outlook India's GDP has been projected to
grow 3.4% in the current financial year, almost same as the 3.3% growth
recorded last year.
• Narrowing current account deficit will not be enough to shield India from
pressures tied to Fed tapering, said Fitch Ratings. It added that India's
economy has "not lost much momentum" on the back of "resilient"
agriculture and exports, and predicted economic growth of 4.8% in 2013-14
and 5.8% in 2014-15.
• Moody's maintained its negative outlook on India's banking system,
reflecting the negative effects of currency volatility, persistent inflation, and
slowing economic growth.
• Fitch said the government may have to shift part of the soaring oil subsidy
bill of the current financial year to the next fiscal.
• Moody's Investors Service attributed half of India's slowdown to structural
problems.
• Goldman Sachs expects India's GDP to gradually pickup to 5.5% in FY 15,
higher than earlier forecast of 5.4% based on the slight uptick in capital
investment and the normal post-election pickup in growth.
• India is exploring local currency trade with Japan and South Korea as it seeks
to cut outflow of dollars needed to finance its current account deficit.
• S&P warned it may cut India's sovereign rating to below investment grade
should the next government fail to provide a credible plan to reverse the
country's low economic growth.
• A report on Asia Pacific Economics by Morgan Stanley Research expects
India's exports to grow by 7.2% in 2014 fiscal as against -1% in 2013 on the
back of improvement in growth of developed markets.
Reserve Bank of India:(Source:http://rbi.org.in)
• RBI Governor Raghuram Rajan's reassurance to the market clarifying on
RBI's interpretation of economic events and the likely direction of policies
at times of uncertainty:
o The Current Account Deficit (CAD) for this year is expected at $56 bn, less
than 3% of GDP and $ 32 billion less than last year.
o The lower CAD to be financed and the money raised through new channels
will help break even on capital flows.
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o Fears of the return of oil marketing companies are unfounded as the market
has unknowingly but smoothly absorbed the demand for dollars generated
by their return to the market.
o Fears of a downward pressure on the rupee in case of repayment of dollars by
the OMCs to RBI was a non-issue as the RBI had 3 ways to manage it: i)
OMCs buy in the market if markets are calmer; ii) Rollover of the swaps so
they mature at a calmer time; iii) Settle swaps by making net payments in
rupees and avoid need for them to go to the market.
o Good monsoon, associated pickup in consumption, healthy exports strong
growth in power sector could lead to good IIP numbers.
o Despite high CPI inflation, the decline in core inflation in September is
heartening.
o Reassurance that the RBI is concerned about the weak economy as well as
high inflation. Weak economy, increase in food supply and recent policy
hikes will provide a disinflationary impetus over time.
o RBI will conduct OMO on November 18 for 8000 crore to alleviate the
liquidity tightness.
• The aggregate Normal Ways and Means Advances (WMA) limit for the State
Governments inclusive of Union Territory of Puducherry has been increased
by 50% to 15,360 crore with effect from November 11, 2013.
• RBI, in consultation with Government of India, has decided to launch
Inflation Indexed National Savings Securities-Cumulative (IINSS-C) for
retail investors in the second half of December 2013.
• RBI will henceforth make available the money market data on RBI website
around 10.30 a.m. in view of the change in the timings of the Marginal
Standing Facility (MSF) operations.
• RBI released the framework for setting up of Wholly Owned Subsidiaries
(WOS) by foreign banks in India.
• RBI clarified on the taxation matters in the framework for setting up of
wholly owned subsidiaries by foreign banks in India.
• RBI further liberalized the procedure relating to payments for
exports/imports.
• RBI has allowed unlisted companies incorporated in India to raise capital
abroad, without the requirement of prior or subsequent listing in India,
initially for a period of two years, subject to conditions.
• Banks were advised to put in place systems that will enable them to provide
Form 16A to the customers within the time-frame prescribed under the
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WHAT'S NEW
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Income Tax Rules.
• Banks were directed to levy SMS alert charges on all customers on actual
usage basis.
• RBI has included the incremental bank loans to medium manufacturing
enterprises (as defined in the MSMED Act, 2006), extended after November
13, 2013, as priority sector advances.
• RBI has released 'Draft Guidelines on Entry of Banks into Insurance
Business Insurance Broking Business' on its website for comments and
feedback.
• RBI extended liquidity support to Micro, Small and Medium Enterprises.
• RBI shifted the arrangement for reporting of data on issuance of
guarantees/LoUs/LoCs by all AD banks to the online mode.
• The Government of India further updated the Harmonised Master List of
Infrastructure sub-sectors.
• RBI issued directives on security and risk mitigation measures for card
present transactions.
• RBI allowed banks to pay interest on Rupee savings and term deposits at
intervals shorter than quarterly intervals.
• RBI has raised the total FDI and FII investment in credit information
companies to 74% from 49%.
• RBI has kept interest rate ceilings on FCNR (B) deposits for maturity period
of one year to less and interest rate offered by bank on incremental NRE
deposits with maturity of 3 years and above without any ceiling unchanged
till January 31, 2014.
• RBI notified relaxations regarding overseas foreign currency borrowings by
AD banks.
• RBI received $17.5 billion under special concessional window for swapping
foreign currency non-resident bank deposits and foreign currency
borrowings.
• RBI has received US$ 22.7 billion under the Forex Swap Window till
November 20, 2013.
• All RRBs have to maintain a minimum CRAR of 9% with effect from March
31, 2014.
• RBI notified revised rules regarding participation of NBFCs in insurance
sector.
• RBI issued directions to NBFCs for migration of post-dated cheques
(PDC)/equated monthly installment (EMI) cheques to electronic clearing
service (Debit).
Reserve Bank of India:(Source:http://rbi.org.in)
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WHAT'S NEW
• RBI asked NBFCs to get ready for settlement of dues through Lok Adalat to
be held on November 23, 2013.
• RBI has invited applications for a Self Regulatory Organization (SRO) for
NBFC-MFI.
• RBI launched the 23rd round of its Order Books, Inventories and Capacity
Utilisation Survey (OBICUS). The survey is for the reference period July-
September 2013.
• RBI launched the 64th round of the Industrial Outlook Survey (IOS) for
reference period October-December 2013.
• RBI issued Sectoral Deployment of Bank Credit for October 2013.
• RBI released the data on ECB/FCCB for September 2013.
• RBI released the data on Overseas Direct Investment for October 2013.
• RBI released the minutes of the October 23rd, 2013 meeting of the Technical
Advisory Committee on Monetary Policy.
• RBI released the statutory Report on Trend and Progress of Banking in India
2012-13.
• RBI released its monthly bulletin for November 2013.
• RBI released monthly data on India's International Trade in Services for the
month of September 2013.
• RBI released the Statistical Tables Relating to Banks in India 2012-13.
• RBI signed MoU on “Supervisory Cooperation and Exchange of
Supervisory Information with Supervisors in Australia and New Zealand.
• Tata Sons Limited has withdrawn its application made on July 1, 2013 for a
new bank licence.
• RBI has cancelled the Primary Dealer authorisation of Royal Bank of
Scotland N.V with effect from December 02, 2013.
Reserve Bank of India:(Source:http://rbi.org.in)
CCIL • CCIL Forex Segment has settled 34,418 deals on 29th November 2013, the
highest recorded so far.
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Speaking on the opportunities for growth in India,
Mr. Raghuram Rajan said that the Indian
population is young, India's infrastructure is
inadequate, and too many Indians are poorly
educated, poorly fed, and poorly connected. These
are precisely the reasons for plentiful opportunities
for betterment in the coming years. While some are
of the opinion that India needs to focus on
manufacturing, some others point out the need for
industries such as electronics or computer chips. It
is essential to focus on improving the overall
conditions for growth instead of targeting specific
industries for governmental attention, which risks
bringing back of the Licence Permit Raj.
The measure of success should be achieved by
developing a facilitating, though competitive,
environment that will result in the emergence of the
best solutions. This requires a disciplined focus on
four issues. First, the need to improve the quality of
infrastructure, especially the logistical support and
power that industry and services need. Second, the
youth need education and training for the jobs that
will be created. India can be at the forefront of
providing mass technology-enabled education
laced with appropriate human inputs to the world.
Third, the need for better business regulation that
is appropriate to the objective and that is enforced.
We have strong labour laws in theory that are meant
to protect employees, but in practice we have a very
flexible system with no incentive for firms to invest
in their workers or hold on to them, and no loyalty
towards the firms from workers. This needs to
change if we are to have more skilled
manufacturing jobs. Fourth, the need for a better
financial system, which will finance the needed
infrastructure and the expansion of every producer
ranging from the kirana shop owner to the
industrialist even as it allows households to save
safely with positive real returns, insure themselves
against health emergencies or old age costs, and
borrow at low cost to finance consumption.
Importantly, the financial system should not
require constant subsidies to bail it out.
Focussing on what the Reserve Bank is doing to
improve the financial system he said that they plan
to build the RBI's developmental measures over the
next few quarters on five pillars. First, we are among
the large countries with the highest consumer price
inflation in the world, even though growth is
weaker than we would like it to be. Much of the
inflation is concentrated in food and services.
Inflation comes from demand exceeding supply,
and it can be curtailed only by bringing both in
balance. There is a need to reduce demand without
having serious adverse effects on investment and
supply. Thus there is a need for clarifying and
strengthening the current monetary policy
framework. Second is strengthening banking
structure through new entry, branch expansion,
encouraging new varieties of banks, and moving
foreign banks into better regulated organisational
forms.
Third is broadening and deepening financial
markets and increasing their liquidity and
resilience so that they can help allocate and absorb
the risks entailed in financing India's growth.
Liquid markets will help banks offload risks they
should not bear, such as interest rate or exchange
risk, and it will also help promoters raise equity.
The Five Pillars of RBI's Financial Sector Policies
Address by Raghuram G. Rajan at BANCON 2013, Mumbai on November 15, 2013
Speech
59
Further, it will also allow banks to sell assets that
they have no comparative advantage in holding,
such as long term loans to completed infrastructure
projects, which are better held by infrastructure
funds, pension funds, and insurance companies.
The Reserve Bank plans to roll out more
recommendations of the Gandhi Committee
report to improve the liquidity and depth of the G-
Sec market, and then turn to money markets and
corporate debt markets. It also plans to introduce
new variants of interest rate futures and products
like inflation indexed certificates, and work to
improve liquidity in derivative markets.
Fourth is the need for financial inclusion by
expanding access of financial services to small and
medium enterprises, the unorganised sector, the
poor, and remote and underserved areas of the
country through technology, new business
practices, and new organisational structures. Many
experiments are under way to use technology,
mobile phones, new products such as mobile
wa l l e t s , and new ent i t i e s a s bus ines s
correspondents to link people up to the formal
financial system. The Dr. Nachiket Mor
Committee is helping with possible models, and at
a more detailed level, committees like the
Sambamurthy Committee have been set up to
advise on how to expand mobile banking in India
through encrypted SMS based funds transfer in any
type of handset. Lastly, there is a need to ensure that
the system recognises financial distress early, and
improves the system's ability to deal with corporate
distress and financial institution distress by
strengthening real and financial restructuring as
well as debt recovery.
In conclusion he said that India is going through a
period of great cynicism about what it can do.
Moreover, every policy is greeted with suspicion
and scrutinised for evidence of malfeasance, and
decision making has slowed. Thus, the solution lies
in action that is, and is seen to be, purposeful,
unbiased, and effective, and the Reserve Bank of
India aims to play its part in making this happen.
Source: www.rbi.org.in
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Drawing reference from his earlier speech in which
Jaime Caruana had highlighted the interactions
between accommodative monetary policies in
major countries and emerging markets by five
distinct overlapping channels, he said that the
experience in 2013 has taught about each of the five
channels, and how important policy spillovers
were, are and will be. This evidence strengthens the
case for policymakers to take into account these
interactions when setting their own policy.
Furthermore, policymakers in small open
economies need to take advantage of the temporary
lull to undertake prudent measures to make their
economies more robust when the exit really
happens. Proposing a new theme, he said that
capital flows have become even less reliable as an
indicator of overall positioning. The development
of hedging markets means that investors can reduce
their exposure with little outright selling.
He then discussed about the five channels of
international monetary interactions, which
include: (i) follow-the-leader behaviour in setting
low short-term policy rates; (ii) diffusion of low
bond yields to local bond markets; (iii) exchange
rate appreciation; (iv) booming dollar credit
growth; and (v) capital inflows.
Focusing on the follow-the-leader behavior, he
suggested that central banks tend to set their
domestic policy rates on the low side in the face of
very accommodative monetary policy in the major
currencies. It was also seen by plotting average
policy interest rates against those indicated by a
Taylor rule with fairly conventional parameters.
Such rule of thumb suggested that policy rates have
been low since well before the global financial
crisis. The reason for variation in follow the leader
were currency appreciation and its potential to
damage the traded goods sector in some places and
the threat of capital flows financing unsustainable
and potentially damaging credit extension in
others. However, between May - August 2013 the
process reversed. The mere prospect of tapering in
bond buying sent the exchange rates of many
commodity exporters and emerging markets down,
risked higher inflation. Thus, some emerging
market central banks that had maintained interest
rate differentials at prudent but often
uncomfortable levels have been able to cut their
policy rates since May, notwithstanding the
pressure on their currencies.
Second channel is through the integration of global
bond markets. In 2013, authorities had succeeded
in putting their thumb on the scale in the global
bond market by making the investors pay away
about 1% of the expected short term rates over the
next 20 years for securing a yield. Investors in
sovereign and corporate dollar or euro bonds were
not surprised that these underperformed US
Treasuries or German bunds, respectively. What
came as a surprise to many, perhaps, was the
Address by Jaime Caruana in Santiago Chile on 15 November 2013
Speech
Ebbing global liquidity and monetary policy interactions
61
underperformance of many local government
bonds. Domestic bonds did offer some
diversification benefits in economies where
previous prudence in policy rate setting allowed the
central bank to stand pat, or even to lower rates.
Without attempting a full analysis, there is no
doubt some merit in the popular identification of
the worst performers as countries that both ran
current account deficits and depended on bond
inflows.
The third channel works through currency
depreciation. Many studies had suggested that
emerging market and other advanced economy
currenc ie s apprec ia t ed in response to
announcements of large-scale bond purchases. Yet
most of these studies, like those that analysed the
global diffusion of lower bond yields from the
same announcements, examined relatively short
windows and left open the question of the
persistence of any currency appreciation. It was
observed that over a four-year period since mid-
2008, the US dollar had depreciated just a bit
against emerging market currencies.
The fourth channel was dollar credit growth
outside the United States. Continued growth in
dollar bank credit to borrowers outside the United
States was all the more remarkable in view of the
retreat of the largest providers of such credit,
namely European banks. Their deleveraging has
constrained the supply of dollar credit to borrowers
outside the United States. The argument
mentioned that if domestic currencies carried
higher yields, if they were expected to appreciate
and if volatility were priced cheaply, firms (and, in
places, households) were tempted to redenominate
the i r debt in major currenc ie s . Such
redenomination tends itself to put upward pressure
on domestic currencies and creates the possibility
of a scramble to hedge if the environment changes.
From the borrowing country perspective, dollar
credit in Asia was growing faster than credit
denominated in domestic currency. In Latin
America it was growing about as fast. At the same
time, important changes have occurred that deserve
some attention, in particular the rapid increase in
emerging market corporate bond issuance in
foreign currencies. Bond market borrowing by
emerging market firms has advantages and
disadvantages from a financial stability point of
view. In contrast to firms borrowing from banks
and banks in turn funding themselves with short-
term loans, bond market finance tends to bind
investors and issuers over the medium term. This
makes sudden reversals of dollar credit less likely.
However, the longer-term funding available in
dollars may tempt emerging market firms to run
currency mismatches.
The last channel includes capital outflows. Central
banks said at different meetings about derivatives
transactions that allow what might be called virtual
selling by non-residents. Investors engaged in such
virtual selling through sales of the domestic
currency forward (and perhaps interest rate swaps)
rather than cash selling. Instead of non-resident
investors, including multinationals with local
operations, liquidating positions, they hedged
them through forward sales of the currency (often
offshore). Such virtual selling amounts to cross-
border risk flows rather than cross-border capital
flows alone. This reinforces the point that capital
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flows, like currency moves, cannot serve as a
summary statistic of the manifold monetary policy
interactions.
Policy rates may be set precisely to avoid capital
flows; global bond markets can move in sympathy
without flows; dollar credit can be funded
domestically; and non-residents can trade in
derivatives markets, leaving no trace in capital
flows. All in all, the experience of May through
August 2013 can be read as evidence of the previous
effect of accommodative monetary policy in major
countries in (i) lowering emerging market policy
rates; (ii) lowering local currency bond yields; (iii)
appreciating currencies; (iv) inducing the shifting
of corporate liabilities to dollars and euros; and (v)
propelling capital flows. He further stated that
policymakers can use the current interval - however
long it proves to be - to bolster their resiliency in the
face of monetary policy normalization and the
inevitable ebbing of global liquidity.
Source: www.bis.org
Conclusion
Speech
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Market Roundup
Macro-Economic Overview
MArket RoundupMArket Roundup
Domestic Economy
Macro-economic Overview: Domestic Economy
According to the Central Statistics Office (CSO) provisional estimates, Gross Domestic Product (GDP) for
the second quarter (July - September) of 2013-14 at factor cost (at 2004-05 prices) registered the four-quarter
highest growth at 4.83% (Y/Y) compared to 4.35% in the previous quarter, but stood lower than 5.19% in
2012-13:Q2. The marginal improvement in economic performance was driven mainly by strong growth in
agriculture production (4.63% in 2013-14:Q2 against 1.68% in 2012-13:Q2) and impressive growth in
industrial output (2.35% against 1.27%). But the slowdown in service sector output (5.94% against 7.64%)
reduced the magnitude of recovery of overall GDP growth.
The generous rise in agriculture & allied sector output was mainly on account of better Kharif crops'
production along with strong production of fruits & vegetables, livestock products, forestry and fisheries.
The impressive growth in industrial production was driven primarily by sharp increase in electricity
generation, gas & water supply (7.73% in 2013-14:Q2 against 3.19% in 2012-13:Q2) and noticeable rise in
manufacturing production (1.01% against 0.06%). But mining production is still in contraction trajectory
with contraction rate of 0.41% in the same quarter. However, slowdown in the services sector output was
factored by sharp decline in growth pace of Community, Social and Personal Services (4.24% in 2013-14:Q2
against 8.40% in 2012-13:Q2).
According to the RBI's latest data release on Balance of Payment (BoP), India's current account deficit (CAD) in
the second quarter of 2013-14 contracted sharply by 75.5% (Y/Y) to $5.17 billion compared to $21.13 billion in
2012-13:Q2. The nose-diving drop in CAD comes mainly from joint effect of impressive growth in exports
(11.9% on Y/Y basis and 9.9% on Q/Q basis) and noticeable fall in imports (4.8% on Y/Y basis and 7.9% on
Q/Q basis) in the second quarter of current financial year. The Y/Y growth of 5.5% in invisibles also
contributed significantly in bringing down the CAD to 1.2 percent of the GDP compared to 5.0 percent of GDP
in 2012-13:Q2.
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Sectors2011-12
(RE)2012-13
(PE)2012-13 : Q3 2012-13 : Q4 2013-14 : Q1 2013-14 : Q2
Agriculture, Forestry & Fishing 3.65 1.91 1.80 1.35 2.72 4.63
Industry 3.49 2.08 2.49 2.66 0.21 2.35
Mining & Quarrying -0.63 -0.58 -0.69 -3.07 -2.79 -0.41
Manufacturing 2.69 1.05 2.48 2.58 -1.19 1.01
Electricity, Gas & Water Supply 6.51 4.15 4.50 2.78 3.69 7.73
Construction 5.56 4.33 2.87 4.38 2.78 4.29
Services 8.20 7.11 6.65 6.57 6.63 5.94
Trade, Hotels, Transport & Communication 7.03 6.37 6.39 6.21 3.88 4.04
Financing, Insurance, Real Estate 11.67 8.63 7.81 9.10 8.94 9.97
Community Services 6.01 6.57 5.55 4.05 9.42 4.24
GDP at Factor Cost (at 2004-05 Prices) 6.21 4.99 4.71 4.78 4.35 4.83
Source: Central Statistical Office (CSO)
Table M1: Sector-Wise Growth Rates (%)
Macro-Economic Overview
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The analysis of other components of BoP indicates that Capital Account balance fell sharply to a deficit of
$5.36 billion in the second quarter of 2013-14 against surplus of $20.51 billion in the previous quarter and
$20.75 billion in the corresponding quarter a year ago. The substantial decline in Capital Account was driven
mainly on capital outflows from portfolio investment ($6.60 billion against inflows of $7.72 billion in the
same quarter a year ago) - which left total foreign investment to net inflows of $0.29 billion against net
inflows of $15.88 billion in the same period. The severe deterioration in Capital Account balance brought the
overall BoP to deficit of $10.36 billion (against $0.35 billion in the previous quarter) - which was mainly
financed by foreign exchange reserves.
As per cyclic trend in the first month of 2013-14:Q3, the central government's revenue recorded a decline on
M/M basis to 67161 crore in October'13, but on Y/Y basis, the government receipts rose at 23.4% due to
impressive growth in both - tax revenue (22.13%) and non-tax revenue (28.95%) receipts. The cumulative
revenue receipts during April - October'13 stood at 4,64,123 crore, 12.78% higher than 4,11,547 crore in
the corresponding period a year ago - which constitutes 41.34% of BE: 11, 22,799 crore for 2013-14). Both
revenue receipts and non-debt capital receipts also registered significant growth of 12.8% and 11.48%
respectively in the same period.
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Table M2: India's Balance of Payment: Second Quarter of 2013-14
Net ($ Billion)July - September
2012 PRApril - June
2013 PJuly - September
2013 PGrowth Rate(%) (Q/Q)
Growth Rate(%) (Y/Y)
Current Account Balance -21.13 -21.79 -5.17 -76.27 -75.53
Merchandise -47.79 -50.48 -33.31 -34.03 -30.31
Invisibles 26.66 28.69 28.14 -1.95 5.52
Capital Account Balance 20.75 20.51 -5.37 -126.20 -125.91
Foreign Investment 15.88 6.27 0.29 -95.41 -98.19
Foreign Direct Investment 8.16 6.49 6.89 6.07 -15.56
Portfolio Investment 7.72 -0.22 -6.60 - -185.54
Others 4.87 14.24 -5.66 -139.75 -216.31
Errors & Omissions 0.23 0.93 0.19 -79.58 -16.02
D. Overall Balance (A+B+C) -0.16 -0.35 -10.35 - -
Current Account Deficit (CAD) as % of GDP 5.00 4.90 1.20 - -
Source: RBI BoP Press Release
65
The expenditure-profile shows a robust growth of 32.2% (Y/Y) in total central government expenditure to
1,12,959 crore in October'13 on account of sharp rise in both plan expenditure (43.8%) and non-plan
expenditure (28.1%). However on M/M basis, both categories of expenditure - plan and non-plan stood lower
at 31,943 crore (39.8%) and 81,016 crore (13.0%) respectively in the same month. The cumulative
expenditure of central government during April - October'13 stood at 9,22,009 crore (55.4% of BE:
16,65,297 crore). Relatively steeper growth in the total expenditure (18.29%) than total receipts (12.78%) led
to sharp rise in fiscal deficit to 4,57,886 crore (84.40% of BE: 5,42,499 crore) in the same period.
The cyclic trend in direct tax collection ( 31,223 crore) October'13 with sharp fall on M/M
basis in - both corporate tax collection (82.1%) and personal tax collection (40.5%) to 14,534 crore and
16,689 crore respectively. But indirect tax collection followed a growth trend at 8.1% (M/M) to 42,072 crore
in the same month. However on Y/Y basis, both direct tax and indirect tax collection rose at 34.81% and
10.62% from 23,161 crore and 38,034 crore in October'12 . The net tax revenue stood at 74,050
crore in October'13. On cumulative basis, net direct tax collection during April - October 2013 grew at 13.7%
to 2,82,724 crore on account of impressive growth in corporate tax (9.85)% and personal tax collection
(19.8%). The cumulative net indirect tax collection in the same period rose by 4.72% to 2,44,129 crore.
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Table M4 : Direct & Indirect Tax Collection Details
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Table M3: Central Government's Income - Expenditure Details ( Crore)`
BE: 2013-14 April - October 2013 % of Actuals to BE
Total Receipts 1122799 464123 41.34%
Revenue Receipts 1056331 456041 43.17%
Non-Debt Capital Receipts 66468 8082 12.16%
Total Expenditure 1665297 922009 55.37%
Plan Expenditure 555322 268059 48.27%
Non-plan Expenditure 1109975 653950 58.92%
Fiscal Deficit 542499 457886 84.40%
Revenue Deficit 379838 353010 92.94%
Primary Deficits 171814 273464 159.16%
Source: Controller General of Accounts (CGA)
(Amount in Crore)`
Net Direct Tax Collection Net Indirect Tax Collection
ItemsApril -
October 2013Growth (%) Items
April -October 2013
Growth (%)
Corporate Tax 168262 9.85% Customs Duty 97206 5.92%
Personal Tax 114462 19.80% Central Excise Duty 74386 -7.03%
Net Direct Tax 282724 13.67% Service Tax 72537 18.27%
Other Tax (includingWealth Tax & STT)
5368 7.73% Total Indirect Tax 244129 4.72%
Source: Press Information Bureau/Ministry of Finance, CGA (www.cga.nic.in)
Macro-Economic Overview
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Chart M1: Monthly Trade Deficit
Export kept its growing (Y/Y) trend in tact with higher gravity at 13.5% to $27.27 billion in October'13 from
$24.03 billion in the same month a year ago. However on M/M basis, exports discontinued its 3-month
continual growth trend in a row. On other hand, imports continued to shrink at 14.5% (Y/Y) to $37.83 billion
in same month, but on M/M basis, the imports grew at 9.8% - which lead to higher trade deficit of $10.56
billion in October'13 (against $6.76 billion in the previous month). However on Y/Y basis, the trade deficit
stood almost half of $20.21 billion in October'12. On cumulative basis, the exports grew at 6.34% to $179.38
billion during April - October 2013, while imports rose to $270.06 billion - which was 3.53% lower than
$279.93 billion in the same period a year ago.
WPI inflation rose to an eight-month high of 7.0% (Y/Y) in October'13 (against 6.46% in previous month and
stood lower than 7.32% figure a year ago. The soaring price rise (a 30-month high) in primary articles (14.68%
against 7.81% a year ago) sharp rise in WPI inflation, though fuel & power inflation (10.33%)
and manufacturing products inflation (2.50%) also contributed to the rise in WPI inflation to some extent.
has caused the
The WPI inflation for August'13 was revised upward to 6.99% from a provisional figure of 6.10%.
Year/Month Export Growth (%) Import Growth (%) Trade Balance
2010-11 251136 40.49 369769 28.23 -118633
2011-12 305964 21.83 489320 32.33 -183356
2012-13 300571 -1.76 491487 0.44 -190917
Apr-13 24164 1.68 41952 10.96 -17787
May-13 24506 -1.11 44649 6.99 -20144
Jun-13 23786 -4.56 36035 -0.37 -12249
Jul-13 25834 11.64 38103 -6.20 -12268
Aug-13 26136 12.97 37054 -0.68 -10918
Sep-13 27679 11.15 34440 -18.10 -6760
Oct-13 27271 13.47 37827 -14.50 -10556
Source: Ministry of Commerce / Trade Statistics
Table M5: Trend in Exports and Imports (Amt. in USD Million)
Oct
-12
Nov-1
2
Dec
-12
Jan-1
3
Feb
-13
Mar
-13
Apr-
13
May
-13
Jun-1
3
Jul-13
Aug-1
3
Sep
-13
Oct
-13
-24000
-21000
-18000
-15000
-12000
-9000
-6000
-3000
0A
mount
(USD
Mil
lion)
Oct
-12
Nov-1
2
Dec
-12
Jan-1
3
Feb
-13
Mar
-13
Apr-
13
May
-13
Jun-1
3
Jul-13
Aug-1
3
Sep
-13
Oct
-13
67
The retail inflation - measured by CPI-Combined rose above 10% after six months and stood at 10.09%
(provisional) in October'13 against 9.84% (final) in the previous month and 9.75% a year ago. This upsurge in
retail consumer prices comes mainly from price rise in food, beverage and tobacco -FB&T (12.28% against
11.33% a month ago), while other
major sub-groups recorded some
moderation in prices, but failed to
balance off the impact of rise in
FB&T prices. The rural and urban
area CPI inflation also witnessed
some spikes to 10.11% (against
9.71%) and 10.20% (against 9.93%)
respectively in the same period -
indicting upward pressured of
supply side constraints.
The volatility in Index of Industrial
Production (IIP) growth trend
continued in the month of
September'13, with a sharp rise in
industrial production growth to
1.96% against 0.43% in the previous
month and also significant
higher than contraction of 0.73% in September'12. The noticeable improvement in industrial production
was factored mainly by significant rise (3.33%) in mining output after 11-month of continual
was ly
the
contraction
Macro-Economic Overview
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Table M6: Indian Inflation Environment: Inflation (Y-o-Y) Rate (%)
* P stands for Provisional Inflation Rate; R for Revised Rate for WPI; F for Final Inflation Rate for CPI
Type ItemsOctober'13:
PSeptember'13:
R3 Months Ago:
R6 Months Ago:
R1 Year Ago:
R
Primary 14.68 13.54 9.68 5.06 7.81
Food Articles 18.19 18.40 12.29 6.08 6.72
Fuel 10.33 10.08 11.36 8.33 11.65
Manufacturing 2.50 2.03 2.60 3.69 5.95
WPI
Infl
atio
nR
ate
WPI 7.00 6.46 5.85 4.77 7.32
CPI-Rural 10.11 9.71 9.14 9.16 9.90
CPI-Urban 10.20 9.93 10.18 9.73 9.46
CPI
Infl
atio
n
Rat
e
CPI-Combined 10.09 9.84 9.64 9.39 9.75
Source: Office of the Economic Advisor & MOSPI (Ministry of Statistics and Programme Implementation
Chart M2: Monthly WPI Inflation Rate (%)
4.00
4.50
5.00
5.50
6.00
6.50
7.00
7.50
8.00
8.50
9.00
Mar
-12
Apr-
12
May
-12
Jun-1
2
Jul-12
Aug-1
2
Sep-1
2
Oct
-12
Nov-1
2
Dec
-12
Jan-1
3
Feb
-13
Mar
-13
Apr-
13
May
-13
Jun-1
3
Jul-13
Aug-1
3
Sep
-13
Oct
-13
Revised Provisional
Macro-Economic Overview
averaged at 3.45% during October'13 - August'13. The other important contributor in better industrial
production was electricity generation - which grew by 12.9% against 7.16% growth in August'13.
Manufacturing also witnessed marginal growth of 0.57% in the same month. In Used-based classification, the
production of capital goods (which indicates investment pattern) declined at intensified pace of 6.84%.
The performance of eight core industries witnessed sharp reversal in October'13 with overall contraction of
0.64% against impressive growth of 7.98% in September'13 and average of 3.25% during April - September'13.
Many industries registered either contraction or sharp slowdown in their production activities. The
production of Coal, crude oil, natural gas and petroleum products recorded decline at 3.93%, 0.77%, 13.59%
and 4.78% respectively in October'13, while other four industries - Fertilizers, Steel, Cement and electricity
generation registered slowdown at 4.12% (against 5.26% a month ago), 3.51% (against 6.63%), 0.96%
(11.52%) and 1.33% (12.61%) respectively in the same period.
After five years of turbulence, in which businesses have faced the near-collapse of the financial system, a
global recession and the euro zone's debt crisis, the world economy seems to be moving onto a firmer footing
in the second half of 2013. Though direct/indirect effects of these events are still being felt - from austerity in
Euro area to currency jitters in emerging market economies, the economic outlook is becoming more settled -
reflected from the steadier upswing in the peaks and troughs of the past few years. In 2014, the largest rich
economies - the US, the Euro zone and Japan are expected to grow all together for the first time in the last four
years indicating better prospects of global recovery.
Global Economic Development and Prospects
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Table M7: International 10-year Yield Movements (% p.a.) (Month-End)
Category Sep-13 Aug-13 3 Months Ago 6 Months Ago 1 Year Ago
Sectoral
General 1.96 0.43 -1.85 3.52 -0.73
Mining 3.33 -1.05 -4.59 -2.14 2.21
Manufacturing 0.57 -0.17 -1.74 4.33 -1.58
Electricity 12.89 7.16 0.00 3.53 3.89
Use-Based Classification
Basic Goods 5.42 1.07 -1.85 3.25 2.71
Capital Goods -6.84 -2.04 -6.55 9.58 -13.28
Intermediate Goods 4.08 3.69 1.31 2.06 1.72
Consumer Goods 0.56 -0.92 -1.45 1.81 0.00
Consumer Durables -10.83 -7.70 -10.12 -4.86 -1.46
Consumer Non-Durables 11.27 4.82 6.17 7.30 1.43
Source: Ministry of Statistics and Programme Implementation (MOSPI)
69
Market Overview
The growth projection for advanced economies improved in the third quarter. The US economy is projected
to grow at 2.8% (Q/Q) in the third quarter of 2013, up from 2.5% in the second quarter. The UK economy is
also expected to pick up at 0.80 percent in the same quarter, up from 0.7% in the second quarter. The Chinese
economy registered a sound recovery at 7.8% (Y/Y) against 7.5% in the same period. However the growth pace
of Euro area economy and Japan has been projected with some slowdown to 0.10% and 0.50% for the third
quarter respectively.
Except Japan, the majority of advanced economies experienced moderation in consumer price inflation in
September'13, a fourth third month in a row since July'13. The US CPI inflation moderated to 1.0% from
1.18% in the previous month, while in UK it declined significantly to 2.20% (against 2.67%) in the same
period. The Euro area CPI eased to 0.70% from 1.10% in the same period. However, Japanese CPI rose to
1.10% (against 1.00%) in the same period. The emerging economies except Brazil registered significant rise in
October'13. Chinese CPI rose to 3.20% (against 3.10%) and Russian CPI went up to 6.30% (against 6.10%),
but Brazilian CPI moderated fractionally to 5.84% (against 5.86%) in the same period.
Treasury yields across most of advanced economies closed up at end-November 2013. However, on Y/Y basis,
treasury yields also hardened for all major advanced economies except for Japan - which is eased by 11 bps
from 0.72%, while the US yield stood 112 bps higher than 1.62% in November'13.
Standard & Poor's removed one of the euro zone's few remaining AAA credit ratings and cut the Netherlands
to “AA+”, while rewarding Spain for moves to reform public finances with an improved stable outlook. With
this change, only three countries - Germany, Luxembourg, and Finland in the currency bloc are left with the
top credit rating. However, both Moody's and Fitch still rate the Netherlands as AAA.
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Table M8: GDP Growth (on Quarter Quarter basis) Rate (%)-on-- -
Source: National Central Banks
Country 2012:Q2 2012:Q3 2012:Q4 2013:Q1:R 2013:Q2:R 2013:Q3:P/R
US 1.20 2.80 0.10 1.10 2.50 2.80
EURO 16 -0.20 -0.10 -0.60 -0.30 0.30 0.10
Japan -0.20 -0.90 0.30 1.00 0.60 0.50 : R
UK -0.50 0.70 -0.20 0.30 0.70 0.80
Australia 0.50 0.80 0.70 0.60 0.60 -
China (On Y-o-Y basis) 7.60 7.40 7.90 7.70 7.50 7.80
Table M9: International 10-year Yield Movements (% p.a.) (Month-End)
Country Nov-13 Oct-13 3 Months Ago 6 Months Ago 1 Year Ago
US 2.74 2.55 2.77 2.13 1.62
UK 2.77 2.62 2.77 2.00 1.76
Japan 0.61 0.60 0.72 0.86 0.72
Germany 1.69 1.67 1.86 1.51 1.37
Australia 4.22 4.02 3.91 3.36 3.17
Source: Bloomberg
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Money Market Review
Easy liquidity conditions as compared to the previous months resulted in decline in short term rates by close
to 50 bps. Average rates which were in double digit for more than a month since mid-August, fell to 8.50%
during November 2013. Weighted average rates in the Call and the Repo markets fell by over half a percentage
point from 9.03% and 9.07% in October to 8.50% and 8.56% respectively. CBLO rates, too, eased by 46 bps
from 8.88% to 8.42% m-o-m. Except during the first three trading days of the month and reporting Fridays
when money market rates were close to 7.80%, weighted average rates remained range bound between 8.00%
and 8.75%.
As far as trading volumes are concerned, only the Call market witnessed m-o-m growth of 11% with the market
share climbing from 14% to 17%. The other two segments, namely Repo and CBLO, observed m-o-m volume
decrease of 17% and 11% respectively.
The ensuing tables give the comparative weighted average rates over a period of time and the comparative
statistics of volume and rates across the different sub-groups of the money market.
TABLE M10: Comparative Weighted Average Money Market Rates (%)
Table M11: Comparative Money Market Volumes and Rates
Nov-13 Oct-13 3 Months ago 6 Months ago Year ago
CALL 8.50 9.03 9.93 7.29 8.04
REPO 8.56 9.07 9.93 7.28 7.99
CBLO 8.42 8.88 9.77 7.10 7.94
Gross Daily Average Std Minimum Maximum Market Share
Volumes (` Cr) Volumes (` Cr) Dev Rate (%) Rate (%) (%)
Nov-13 Oct-13 Nov-13 Oct-13 Nov-13 Oct-13 Nov-13 Oct-13 Nov-13 Oct-13 Nov-13 Oct-13
CALL 351,849.26 317,433.39 18,518.38 15,115.88 0.33 0.25 7.62 8.67 8.75 9.55 16.81 13.69
REPO 539,334.59 651,575.42 28,386.03 31,027.40 0.29 0.27 7.79 8.63 8.75 9.63 25.76 28.10
CBLO 1,202,388.75 1,350,064.00 63,283.62 64,288.76 0.47 0.51 6.99 7.23 8.75 9.50 57.43 58.22
Liquidity Adjustment Facility
Operationalization of the term repo upto 0.50% of
NDTL of the banking system, reduction in MSF
rate and conduct of OMOs had impact on the
liquidity available with the banks during
November 2013. Total as well as the average
volumes absorbed by the RBI via LAF Reverse Repo
window leap sharply by 318% and 362%
respectively m-o-m. Total and average volumes
which were 3,850 crore and 183 crore respectively
during October 2013, shot up to reach 16,079
crore and 846 crore during November.
On the , total amount lent by the RBI to
banks through LAF Repo auctions declined by 13%
from 8 45,568 crore to 7 37,348 crore. The
average amount, too, fell marginally to 38,808
crore - decline of 4%.t
other hand
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Banks' average borrowing through MSF continued
to slide from the peak of 69,517 crore in
September 2013 to 37,107 crore in October 2013
and further down to 11,923 crore during the
month under consideration.
RBI auctioned 21 government securities for
74,000 crore (includes new 10-year benchmark
security for 7,000 crore with the coupon of 8.83% -
highest since 2011), 18 SDLs for 14,734.88 crore
and treasury bills worth 71,283.00 crore during
November 2013. RBI purchased 4 securities under
OMOs for 6 156.74 crore on November 18. There
wasn't any auction of short term treasury bills
called CMBs during the month under review.
The following tables provide the details of the
auctions of government securities, OMOs, SDLs
and treasure bills along with its average cut-off
yields over a period of time.
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Government Securities Market
Primary Market
Table M12: Dated G-Sec Auction/Issue
Date of Issue/Auction
PaperAmount(` Crore)
Cut-off Price(`)
Yield (%)Devolvement onPDs (` Crore)
01-Nov-13 8.12% G.S. 2020 4,000.00 96.76 8.7396 0.00
01-Nov-13 8.28% G.S. 2027 6,000.00 95.27 8.8774 0.00
01-Nov-13 9.20% G.S. 2030 2,000.00 101.77 8.9925 0.00
01-Nov-13 8.83% G.S. 2041 2,000.00 97.17 9.1092 0.00
08-Nov-13 7.28% G.S. 2019 4,000.00 92.84 8.9400 0.00
08-Nov-13 7.16% G.S. 2023 7,000.00 88.76 8.9368 0.00
08-Nov-13 8.32% G.S. 2032 2,000.00 91.05 9.3378 0.00
08-Nov-13 8.30% G.S. 2042 2,000.00 89.67 9.3351 0.00
14-Nov-13 8.12% G.S. 2020 4,000.00 95.46 9.0008 460.50
14-Nov-13 8.28% G.S. 2027 7,000.00 93.67 9.0904 0.00
14-Nov-13 9.20% G.S. 2030 2,000.00 100.26 9.1671 0.00
14-Nov-13 8.83% G.S. 2041 2,000.00 95.43 9.2894 0.00
22-Nov-13 7.28% G.S. 2019 3,000.00 92.97 8.9190 0.00
22-Nov-13 8.83% G.S. 2023 7,000.00 100.00 8.8300 0.00
22-Nov-13 8.32% G.S. 2032 2,000.00 91.87 9.2391 0.00
22-Nov-13 8.30% G.S. 2042 3,000.00 90.29 9.2679 0.00
26-Nov-13 1.44% IIB 2023 1,000.00 82.50 3.6301 0.00
29-Nov-13 8.12% G.S. 2020 3,000.00 96.25 8.8476 0.00
29-Nov-13 8.24% G.S. 2027 6,000.00 93.73 9.0609 0.00
29-Nov-13 9.20% G.S. 2030 2,000.00 100.92 9.0895 0.00
29-Nov-13 8.83% G.S. 2041 3,000.00 96.39 9.1903 0.00
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TABLE M13: DETAILS OF SDL AUCTIONS/ISSUE
Date of Issue/Auction
PaperAmount(` Crore)
Cut-off Price(`)
Yield(%)
Under-subscription
05-Nov-13 9.30% Madhya Pradesh SDL 2023 500.00 - 9.30 0.00
05-Nov-13 9.32% Kerala SDL 2023 500.00 - 9.32 0.00
05-Nov-13 9.33% Rajasthan SDL 2023 500.00 - 9.33 0.00
05-Nov-13 9.34% Punjab SDL 2023 600.00 - 9.34 0.00
05-Nov-13 9.35% Meghalaya SDL 2023 100.00 - 9.35 0.00
05-Nov-13 9.36% Maharashtra SDL 2023 1,500.00 - 9.36 0.00
05-Nov-13 9.37% Tamil Nadu SDL 2023 1,250.00 - 9.37 0.00
05-Nov-13 9.40% Uttar Pradesh SDL 2023 750.00 - 9.40 0.00
05-Nov-13 9.42% West Bengal SDL 2023 1,500.00 - 9.42 0.00
19-Nov-13 9.37% Kerala SDL 2023 750.00 - 9.37 0.00
19-Nov-13 9.39% Andhra Pradesh SDL 2023 1,004.88 - 9.39 745.12
19-Nov-13 9.39% Gujarat SDL 2023 1,000.00 - 9.39 0.00
19-Nov-13 9.39% Maharashtra SDL 2023 1,500.00 - 9.39 0.00
19-Nov-13 9.39% Tamil Nadu SDL 2023 1,500.00 - 9.39 0.00
19-Nov-13 9.40% Goa SDL 2023 150.00 - 9.40 0.00
19-Nov-13 9.40% Nagaland SDL 2023 130.00 - 9.40 0.00
19-Nov-13 9.40% Rajasthan SDL 2023 500.00 - 9.40 0.00
19-Nov-13 9.42% West Bengal SDL 2023 1,000.00 - 9.42 0.00
TABLE M15: DETAILS OF T-BILLS AUCTIONS
TABLE M14: DETAILS OF OMOs AUCTIONS
Date of Repurchase Paper Amount Accepted (` Crore) Cut-off Price (`) Yield (%)
18-Nov-13 7.17% G.S. 2015 3,732.98 98.08 8.4963
18-Nov-13 7.59% G.S. 2016 1,000.60 97.93 8.5573
18-Nov-13 7.83% G.S. 2018 382.05 97.10 8.6332
18-Nov-13 8.20% G.S. 2025 1,041.11 93.16 9.1552
91 day T-Bill 182 day T-Bill 364 day T-BillDate Amt
(` Cr)MSS
(` Cr)Price(`)
YTM(%)
Amt(` Cr)
MSS(` Cr)
Price(`)
YTM(%)
Amt(` Cr)
MSS(` Cr)
Price(`)
YTM(%)
06-Nov-13 9,510 0.00 97.91 8.5619 6,000 0.00 95.81 8.7705 - - - -
13-Nov-13 8,806 0.00 97.81 8.9807 - - - - 4,901 0.00 91.77 8.9927
20-Nov-13 12,806 0.00 97.82 8.9388 6,000 0.00 95.65 9.1206 - - - -
27-Nov-13 17,260 0.00 97.82 8.9388 - - - - 6,000 0.00 91.82 8.9332
Total 48382.00 0.00 12000.00 0.00 10901.00 0.00
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Secondary Market
Yield Movement
Secondary market for the government securities
witnessed down trend in the trading activity with
number of trades falling by 20% whereas trading
volume by 19%. In absolute terms, number of
trades, during November, stood at 50,819 with the
volume at 5 05 637 crore.
The same was the case with the settlement numbers.
CCIL settled total volume of 4,99,569 in a month -
20% lower than the previous month's settlement
volume of 6,27,706 crore.
During November, total trades transacted in the
When Issued market jumped to 195 having the
total value of 1,605 crore. Out of which, 10 trades
of “8.12% G.S. 2020” for 50 crore, 58 trades worth
395 crore of a new 10-year benchmark “8.83% G.S.
2023”, 92 trades of “8.24% G.S. 2027” for 965
crore and 35 trades worth 195 crore of “8.28% G.S.
2027” were transacted on the said platform.
10-year G-Sec yields hardened by 30-35 bps during
the month with average yield standing at 8.89%. It
fluctuated between 8.66% and 9.09% during the
month under consideration. First three weeks of
the month witnessed benchmark yields remaining
at an elevated level (around 9% after mid-August)
mainly because of the domestic factors like selling
of bonds by FIIs, absence of OMO announcement,
higher inflation along with the external
data/statement such as warning by Standard &
Poor's to downgrade the country's sovereign rating
if the next government fails to provide a credible
plan to revive growth and stronger-than-expected
US economic growth giving rise to anticipation of
early tapering of QE3 measures.
Towards the end of the month, nonetheless, yields
settled near 8.70% as market awaited key GDP
figures for the Q2 of FY13-14 and fiscal deficit data
for the month of October. Surprise release of
India's BoP data for Q2 of FY13-14, one month
prior to the scheduled publication, showing sharp
contraction in the CAD as compared to the Q1 of
FY 13-14 as well as corresponding quarter previous
year boosted the market sentiments.
The yields of various tenors prevailing on the last
working day of the month and the spread analysis
of different tenors over a period of time are
provided in the following tables.
`
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, ,
TABLE M1 :6 Average T-Bills Cut-Off Yields (%)
Nov-13 Oct-13 3 Months ago 6 Months ago Year ago
91-day T-Bill 8.8551 8.9391 11.3532 7.3417 8.1753
182-day T-Bill 8.9456 8.7269 11.5051 7.3924 8.1606
364-day T-Bill 8.9630 8.7355 9.9113 7.2528 8.1069
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TABLE M17: YIELD MOVEMENTS (%)*
TABLE : SPREAD ANALYSISM18
* on the last working day of the month
Tenor Nov-13 Oct-13 3 Months ago 6 Months ago Year ago
O/N 7.7374 8.7370 10.3903 7.2662 8.0868
3 month 8.9283 8.4709 11.4573 7.4129 8.1230
6 month 8.7988 8.4522 11.0694 7.4062 8.1592
1 year 8.6341 8.3892 10.7186 7.2671 8.2316
2 year 8.4429 8.4004 10.1666 7.3763 8.1592
5 year 8.6566 8.5344 9.2728 7.2504 8.1696
10 year 8.7239 8.5504 8.7416 7.1104 8.1686
G-Sec Spread (bps)Period
Nov-13 Oct-13 3 Months 6 Months 1 Year
1 - 5 Years 2 15 -145 -2 -6
1 - 10 Years 29 37 -173 1 0
5 - 10 Years 27 22 -28 4 7
10 - 30 Years 24 25 32 8 23
Foreign Exchange Market
The Indian currency started off the month on a
weaker note following speculation that oil
marketing companies have been advised to buy a
part of their US dollar needs from the market and
possible end of cheap money from the US Fed
following strong US jobs data. Rupee depreciated
by 2.83% ( 1.73) between 1-13 November from
61.90 per dollar to 63.65 per dollar. RBI
governor Raghuram Rajan's confidence that the
country would have adequate foreign exchange
resources to finance the CAD and his assurance
that dollar repayments by oil marketing companies
to the central bank could be rolled over saw the
rupee recover smartly. News from the international
markets like statement by Yellen of the FRB on
continuation of the monetary stimulus in the face
of labour market performing far short of their
potential and China's ambitious economic reforms
agenda also helped the rupee to appreciate to
62.23 per dollar by November 19.
After weakening to 63.02 a dollar till November
22, rupee recovered to 62.39 at the end of the
month on optimism of a smaller CAD, higher FII
purchase of equities as well as Iran's landmark
agreement with western nations to halt nuclear
enrichment for six months in exchange for the
lifting of some sanctions.
The following tables give analysis of rupee
movement against major currencies and the
exchange rate prevailing on the last working day of
the month over a period of time.
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TABLE M19: EXCHANGE RATE MOVEMENT
TABLE M20: EXCHANGE RATE MOVEMENT
` / Euro ` / Pound ` / 100 yen ` / Dollar
Movement (%) -1.31 -2.89 3.54 -0.79
Average Rate 84.53 100.88 62.63 62.63
Stdev 0.53 0.91 0.99 0.53
Max 85.55 102.06 63.97 63.65
Min 83.42 98.66 60.97 61.79
Exchange Rate Nov-13 Oct-13 3 Months ago 6 Months ago Year ago
` / Euro 84.98 84.12 88.16 73.68 71.47
` / Pound 102.06 98.29 103.34 86.01 88.38
` / 100 yen 60.97 62.44 67.83 56.03 67.20
` / Dollar 62.39 61.41 66.57 56.50 55.20
The movement of 1-month, 3-months and 6-months forward premia over a period of time is exhibited in thenext table.
TABLE M21: MOVEMENT OF FORWARD PREMIA OVER A PERIOD OF TIME (MONTHLY AVERAGE)
FII activity in the Indian markets remained modest during the month under review. They were net buyers
of equities worth $1.30 billion - a decline of $1.25 billion (49%) as against the previous month. On the
contrary, though they remained net sellers of debt for the sixth consecutive month - the amount of bond
selling reduced by $1.24 billion. The total Indian debt net sold by FIIs stood at $0.96 billion in a month vis-
à-vis $2.20 billion during the previous month. Taking both the markets into an account, they were net
buyers of $0.34 billion - marginally lower (-4%) than the previous month's $0.36 billion. The relevant
information regarding FII flows is provided in the following table.
TABLE M22: MOVEMENT OF FII FLOWS Amount USD Mn.
Nov-13 Oct-13 3 Months ago 6 Months ago Year ago
1-month 8.83 9.13 9.75 6.82 6.69
3-month 8.80 8.88 9.36 6.67 6.36
6-month 8.58 8.42 8.60 6.36 6.14
Quarter Net Investment in Equity Net Investment in Debt Total
2008-09 -11826.40 470.10 -11356.30
2009-10 22780.66 7470.89 30251.55
2010-11 24294.73 7931.30 32226.03
2011-12 9011.66 8451.76 17463.42
2012-13 25832.61 5214.43 31047.04
Q1 2013-14 -1852.15 -5683.48 -7535.63
Q2 2013-14 144.71 -4475.89 -4331.18
Oct-13 2553.40 -2196.90 356.50
Nov-13 1300.71 -957.49 343.22
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Reserve Bank of India said that the concessional swap facility will not be extended beyond November 30,
putting all speculation to rest, but allowed some breathing space for banks currently busy with negotiating with
global lenders for taking overseas loans. The central bank said it will allow banks to get the benefit if they get
firm commitment from global financial institutions on or before November 30, 2013. RBI had in September
allowed banks to borrow up to 100% of their Tier-I capital from overseas markets and swap dollar with it for
rupees. The measures were aimed at attracting dollar inflows and arrest the rupee's depreciation. It offered one
percentage point lower swap rate than the market rate till November 30. As time was running out, RBI observed
that banks currently in the process of negotiation may not be in a position to draw the loan even after getting a
sanction and deliver it for swapping before the deadline. In such cases, a bank will be allowed to enter into a
forward-forward swap. In its first leg, the bank will sell forward the contracted amount of foreign currency
corresponding to the loan amount for delivery up to December 31, 2013. However, if the bank is not in a
position to deliver the contracted amount of foreign currency on the contracted date, it will have to pay the
difference between the concessional swap rate contracted and the market swap rate plus one hundred basis
points.
As per the figures released by the RBI, $34 billion has been mobilized from special concessional dollar swap
windows opened in September for deposits by non-resident Indians and overseas foreign currency borrowings
by banks.
The RBI extended the stipulated date for relaxed norms on FCNR (B) deposits till January 31, 2014. In case of
non-resident external (NRE) deposits with maturities of three years and above, the central bank said banks will
be allowed to offer interest rates higher than those for domestic deposits. These deposits will continue to be
exempt from statutory liquidity ratio (SLR) and cash reserve ratio (CRR) requirements. The special window
allows banks to swap fresh FCNR (B) dollar funds, mobilised for a minimum tenor of three years, at a fixed rate
of 3.5% per annum. Similarly, for foreign currency non-resident (FCNR) (B) deposits, where RBI had raised the
ceiling on deposits with maturities between three and five years to 400 basis points over Libor from the earlier
ceiling of 300 bps over Libor, the new deadline will now be applicable.
Foreign direct investment (FDI) in the country declined by about 38%, year-on-year, to $2.91 billion in
September. In September 2012, the country had attracted foreign investment worth $4.67 billion. During the
April-September period of 2013-14 fiscal, FDI has thus dipped by 11% to $11.37 billion, from $12.84 billion in
the first half of 2012-13. Decline in FDI in sectors like services, telecom and metallurgical industries were
responsible for the fall in total FDI inflows. From April-September this fiscal, FDI in services, telecom and
metallurgical industries declined to $1.32 billion, $32 million and $240 million, respectively. In the first six
months of last fiscal, services had attracted $3.04 billion, telecom $43 million and metallurgical industries $685
million.
India’s foreign exchange reserves inched closer to the $300 billion mark. It surged to their highest level to over
six-month high as strong US dollar inflows via the Reserve Bank of India's concessional swap facilities added
$10 billion to reserves in a single month. Reserves have been depleting since May when the rupee started sliding
due to fears of a tightening in global liquidity conditions, forcing the RBI to intervene by selling dollars in the
market and also providing foreign exchange directly to oil importers. Foreign exchange reserves reached $291.30
billion during the week ended November 29 via-a-via $281.29 billion during the week ended November 01,
clocking a growth of 4%. The entire accretion was due to the rise in foreign currency assets which was $263.74
billion (November 29) against $253.61 billion (November 01).
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TABLE M2 : TRENDS IN SCHEDULED COMMERCIAL BANKS' BUSINESS ( C )3 r.`
Banking Sector
The non-food credit of scheduled commercial banks grew at a moderated pace of 15.92% year-on-year for the
fortnight ended November 15. According to the data, credit grew to 55,48,130 crore compared to 47,86,330
crore in the corresponding period last year. Meanwhile, deposits grew at 15.28%. Total deposits grew to
73,89,750 crore compared to 64,10,030 crore in the same period last year.
` `
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TABLE M24: KEY BANKING RATES AND RATIOS (%)
CHART M3: FOREIGN EXCHANGE RESERVES
Nov-13 Oct-13 3 Months ago 6 Months ago Year ago
Money Stock 9074140 8949240 8769700 8519850 7784590
Aggregate Deposits 7389750 7305820 7103690 6874300 6410030
Non-food Credit 5548130 5522380 5400640 5210260 4786330
Investment in G-Secs 2205750 2179890 2146710 2045030 1971190
Nov-13 Oct-13
Credit-Deposit Ratio 76.46 76.86
Investment-Deposit Ratio 29.88 29.87
Base Rate 10.00 - 10.25 9.80 - 10.25
Term Deposit Rate >1 Year 8.00 - 9.05 8.00 - 9.05
Savings Deposit Rate 4.00 4.00
150,000
175,000
200,000
225,000
250,000
275,000
300,000
325,000
May
-07
Aug
-07
Nov
-07
Feb-
08M
ay-0
8Aug
-08
Nov
-08
Feb-
09M
ay-0
9Aug
-09
Nov
-09
Feb-
10M
ay-1
0Aug
-10
Nov
-10
Feb-
11M
ay-1
1Aug
-11
Nov
-11
Feb-
12M
ay-1
2Aug
-12
Nov
-12
Feb-
13M
ay-1
3Aug
-13
Nov
-13
USD
Mil
lion
-40,500
-35,500
-30,500
-25,500
-20,500
-15,500
-10,500
-5,500
-500
4,500
9,500
14,500
19,500
USD
Mil
lion
Change in Forex Reserves Forex Reserves
Key Macroeconomic IndicatorsTABLE 1 : DOMESTIC INDICATORS
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CCIL Monthly Newsletter December 2013
Sr.No.
Item Unit/Base 1990-91 2000-01 2006-07 2007-08 2008-09 2009-10 2010-11 2011-12
2012-13(Latest
availablefigures)
2013-14(Latest
availablefigures)
Changeover
PreviousMonth
National Income
1Gross Domestic Product at market price (at2004-05 prices)
` Crore 692871 (1) 18703873117372(9.60%)
3402716(9.00%)
4416350(6.70%)
4790847(8.60%)
5296108(9.30%)
5631379(6.20%)
5813664(5.00%)$
1430067(4.80%)$
2 Fiscal Deficit ` Crore 44632.00 118816.00 142793.00 94283.00 ¥ 330114.00 412307.00 369043.00 509731.00 489890 457886 45798
Industry
3 General Index of Industrial Production 2004-05=100 212.60* 162.60284.50
(12.90%)297.80
(3.90%)297.90
(-2.30%)347.30
(13.50%)401.20
(7.30%)186.40
(-3.50%)192.30
(2.50%)166.30
(2.00%)0.90
Money Supply, Banking & Interest Rates
4 M3 ` Crore 265828 13132203295644(20.8%)
3876926(17.10%)
4655831(16.20%)
5579567(14.90%)
6491756(16.00%)
7344070(13.00%)
8359280(13.60%)
9074140(8.30%)
124900
5 Aggregate Deposits ` Crore 192541 9626182594259(23.0%)
3075224(17.90%)
3732501(16.80%)
4486573(14.80%)
5204703(15.80%)
5903660(13.40%)
6751420(14.30%)
7389750(9.50%)
83930
6 Bank Credit ` Crore 116301 5114341923192(27.6%)
2272603(17.80%)
2690513(13.90%)
3240399(12.60%)
3938659(21.40%)
4611630(17.00%)
5262830(14.10%)
5649910(7.40%)
34980
7 S C Banks Investment in Govt. Securities ` Crore 49998 340035 771060 966516 1166237 1375704 1495467 1733700 2003460 2205750 25860
8 Credit - Deposit Ratio Per cent 60.40 53.39 74.13 73.90 72.08 70.97 75.68 78.11 77.95 76.46
9 Bank Rate Per cent 10.00 7.00 6.00 6.00 6.00 6.00 6.00 9.50 8.50 8.75
10 Cash Reserve Ratio Per cent 15.00 8.00 6.00 7.50 5.00 5.75 6.00 4.75 4.00 4.00
11 Repo Rate Per cent - - 7.75 7.75 5.00 5.00 6.75 8.50 7.50 7.75
12 Inter-bank call money rate (Mumbai) Per cent 4.00 - 70.00 4.00 - 19.00 6.00 - 80.00 2.50 - 9.70 2.00 - 5.05 1.00 - 4.10 3.71 - 9.01 5.88 - 13.14 7.34 - 13.69 7.16 - 10.53
13 Base Rate Per cent -- 11.00 -12.00 12.25 - 12.50 12.25 - 12.75 11.50 -12.50 11.00 - 12.00 8.25 - 9.50 10.00 - 10.75 9.70 - 10.25 10.00 - 10.25
Inflation
14 Wholesale Prices (Monthly)
a. All Commodities 2004-05=100 182.70*** 155.70210.00
(5.74%)223.60
(6.68%)227.30
(0.31%)250.80
(9.90%)148.00
(8.98%)159.80
(6.89%)170.60
(5.96%)180.30
(7.00%)0.60
b. Fuel, power, light and lubricants 2004-05=100 175.80*** 208.10 320.10 341.00 320.90 361.80 158.20 174.00 195.90 209.40 1.90
15 Consumer Price Index - New 2010=100 - - - - - - -115.50
(8.96%)127.50
(10.39%)137.50
(10.09%)1.30
16 Consumer Prices-Industrial Workers 2001=100 193.00 444.00 127.00μ 137.00μ 148.00μ 170.00μ 185.00μ 201.00μ 224.00 241.00 3.00
Balance of Trade****
17 Value of Imports US$ Million 24073 50536181368
(29.33%)235911
(27.01%)287759
(14.30%)278681
(-8.20%)350695
(21.61%)488640
(32.15%)491487.22
(0.44%)270058.66
(-3.80%)37827
18 Value of Exports US$ Million 18145 44560124629
(23.88%)155512
(23.02%)168704(3.40%)
176574(-4.70%)
245868(37.55%)
303719(20.94%)
300570.58(-1.76%)
179376.37(6.32%)
27271
19 Balance of Trade US$ Million -5927 -5976 -56739 -80398 -119055 -102106 -104826.68 -184921.69 -190916.64 -90682.29 -10556
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TABLE 1 : DOMESTIC INDICATORS
Source: RBI Annual Report, Bulletin, Weekly Statistics, SEBI & CCILNotes:Yearly figures are as in March-end* : Base: 1980-81=100*** : Base : 1981-82=100**: Figure as at March-end****: Figures are cumulative for the yearQ.E : Quick EstimateR.E : Revised EstimateA.E : Advance EstimateB.E.: Budget Estimate#Turnover Ratio=(Central Government Securities Volumes for 12 months/MarketCapitialisation during the month)*100Percentage figures in brackets denote y-o-y growth
^ Turnover Ratio as on November 29, 2013(1) At 1993-94 prices
¥: Excluding acquisition cost of RBI stake in SBI ( 35,531 crores)$: GDP for Jul - Sep (Q2) of 2013-14. GDP for Jul-Sep (Q2) of 2012-13: 13,53,630 Crore - (5.2%).`
`
�: GDP data till 2008-09 are calculated taking 1999-00 prices as the base.¤: Base Rate relates to five major banks since July 1, 2010. Earlier figures relate toBenchmark Prime Lending Rate (BPLR).ø: Inflation data till 2009-10 are calculated taking 1993-94 as base†: IIP data till 2010 - 2011 are calculated taking 1993-94 as base
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Ind
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Sr.No.
Item Unit/Base 1990-91 2000-01 2006-07 2007-08 2008-09 2009-10 2010-11 2011-12
2012-13(Latest
availablefigures)
2013-14(Latest
availablefigures)
Changeover
PreviousMonth
Foreign Exchange Inflows/Outflows & Exchange Rate
20 Foreign Exchange Reserves****
a. Foreign Currency Assets US$ Million 2236.00 39554.00 191924.00 294649.00 241597.00 254685.00 282037.00 260068.70 259725.90 258664.70 4161.30
b. Gold US$ Million 3496.00 2725.00 6784.00 9558.00 9746.00 17920.00 23790.00 27023.10 26292.30 21227.30 -538.10
c. SDRs US$ Million 102.00 2.00 2.00 18.00 1.00 5006.00 4671.00 4469.30 4327.60 4420.70 -48.70
21 Net FII Investment US$ Million -- 399.00 6708.00 16039.80 -11356.30 30251.55 32226.03 17463.42 31047.06 -3999.09 343.22
22 Cumulative Net Investment+ US$ Million -- 13416.00 51965.70 68005.40 56649.30 89332.60 121558.70 140481.70 171528.69 167529.61 343.20
Central Government Borrowings (Dated Securities and 364 day T-bills)
23 Government Borrowings****
Gross ` Crore -- 115183 227687 188205 306550 459497 479482 600409 558000 464000 74000.00
Net ` Crore -- 73787 146574 106895 230018 313010 323661 473952 467384 389265 74000.00
24 Outstandings (Dated Securities) ` Crore 1181604 1434086 1706083 2033452 2349966 2782985 3244536 3633801 74000.00
25 CCIL Settlement Statistics****
a. Securities (F.V.) ` Crore 3578037** 5602602** 6254519 8986719 6970236 7252080 11994797 11711154 -18.74%
b. Forex US$ Million -- -- 1776981 ** 3133664** 3758904 2988971 4191037 4642573 4830933 3147760 -11.06%
c. CBLO (F.V.) ` Crore -- -- 4732271 ** 8110828** 8824784 15541378 12259745 11155428 12028040 12065130 -9.62%
26 Gilts Turnover Ratio# Per cent -- -- 0.40^ 0.69^ 0.94^ 0.69^ 0.71^ 0.72^ 1.92^ 1.34^
@ Figures Refer to next period
# Figures Refer to previous period
USA: Fed Funds Rate, UK: Official bank rate, Main refinancing operations (fixed rate), Japan: Uncollateralised Overnight rate, Germany: Main refinancing rate, South Korea:
Base Rate, China: One year Lending rate, India: Repo Rate
&: US Treasury Securities Holding of Germany
^: 201
Respective countries central bank.
��
September 3
Source:
TABLE 2: WORLD ECONOMIC INDICATORS
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CCIL Monthly Newsletter December 2013
UK USA Japan Euro South Korea China India
Gross Domestic Product (%): 2013 Q3 0.80 3.60 0.50 0.10 1.10 2.20 4.8#
Fiscal Deficit: 2012 (% of GDP) -6.10 -4.10 @ -9.20 -3.70 -1.10 -1.50 -4.80
Exports: September 2013 £ 41.743 bn $192.673 bn @ ¥ 6104.51 bn@ € 158.000 bn $ 47.918 bn @ $ 185.406 bn @ $ 27.27 bn @
Imports: September 2013 £ 45.011 bn $233.334 bn @ ¥ 7195.19 bn @ € 144.99 bn $ 43.114 bn @ $ 154.299 bn @ $ 37.83 bn @
Current Account (Q2 2013) -£ 14.512 bn # -$98.89 bn ¥ 587.30 bn^ € 14.04 bn ^ $ 9.51 bn ^ @ $ 39.70 bn @ -$ 5.20 bn @
Inflation (October 2013) 2.20 1.00 1.10 0.90 @ 0.90 @ 3.20 7.00
Industrial Production (%) (September 2013) 2.20 3.20@ 5.10 1.10 3.00 @ 10.30@ 2.00
US Treasury Securities Holding (USD Billion)( September 2013) 158.30 - 1178.10 61.90 (&) 55.60 1293.80 56.80
Exchange rate (per 1USD) ( November 29, 2013) 0.61 1.00 102.35 0.73 1057.64 6.13 62.39
10-yr Bond Yield (%) (November 29, 2013) 2.78 2.75 0.61 1.70(&) 3.67 4.40 8.72
Key Policy Rates (%) 0.50 0.00-0.25 0.00-0.10 0.25 2.50 6.00 7.75
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TABLE 3: OUTSTANDING GOVERNMENT DEBT
OUTSTANDING GOVERNMENT DEBT
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December 2013CCIL Monthly Newsletter
Sr.No.
ISIN No. SecurityIssueDate
MaturityDate
NextCoupon
date
Outstanding(` Crore)
MarketCapitali-zation
(` Crore)
Coupon Prices YieldPreviousYield (%)
DurationMod
DurationV+ (for100bps)
V- (for100bps)
Convexity
PriceChangeDue to
ModifiedDuration
for100bps
(%)
PriceChangeDue to
Convexityfor
100bps(%)
Expectedprice Changefor a 100bps
rise inyield due toDuration and
ConvexityEffect(%)
ActualChange
for 100pbsincrease in
yield
PV01
Central Government Securities
1 IN0020030105 5.32% 2014 16-Feb-04 16-Feb-14 16-Feb-14 5000.00 4963 5.32% 99.25 8.7800% 8.5366% 0.2111 0.20 100.58 101.00 0.09 -0.20 0.00 -0.20 -0.21 0.00
2 IN0020020221 6.72% 2014 (Pvt. Placement) 24-Feb-03 24-Feb-14 24-Feb-14 15273.60 15189 6.72% 99.45 8.9874% 8.8664% 0.2333 0.22 101.01 101.47 0.10 -0.22 0.00 -0.22 -0.23 0.00
3 IN0020020049 7.37% 2014 16-Apr-02 16-Apr-14 16-Apr-14 42000.00 41781 7.37% 99.48 8.7168% 8.8117% 0.3778 0.36 100.01 100.75 0.27 -0.36 0.00 -0.36 -0.36 0.00
4 IN0020090018 6.07% GS 2014 15-May-09 15-May-14 15-May-14 40000.00 39495 6.07% 98.74 8.9127% 8.4878% 0.4583 0.44 98.56 99.43 0.39 -0.44 0.00 -0.44 -0.44 0.00
5 IN0019830010 10% 2014 30-May-83 30-May-14 30-May-14 2333.26 2345 10.00% 100.49 8.9864% 8.4729% 0.5000 0.48 100.01 100.97 0.46 -0.48 0.00 -0.48 -0.48 0.00
6 IN0020090067 7.32% 2014 20-Oct-09 20-Oct-14 20-Apr-14 18000.00 17788 7.32% 98.82 8.7128% 8.4393% 0.8711 0.83 98.81 100.47 1.10 -0.83 0.01 -0.83 -0.83 0.01
7 IN0019840084 10.50% 2014 29-Oct-84 29-Oct-14 29-Apr-14 1755.10 1782 10.50% 101.54 8.6962% 8.4322% 0.8892 0.85 101.57 103.32 1.15 -0.85 0.01 -0.85 -0.85 0.01
8 IN0020080043 7.56% G.S. 2014 03-Nov-08 03-Nov-14 3-May-14 41000.00 40563 7.56% 98.93 8.7737% 8.5145% 0.9067 0.87 98.64 100.37 1.18 -0.87 0.01 -0.86 -0.86 0.01
9 IN0019990137 11.83% 2014 12-Nov-99 12-Nov-14 12-May-14 11500.00 11819 11.83% 102.78 8.7088% 8.4509% 0.9225 0.88 102.46 104.29 1.22 -0.88 0.01 -0.88 -0.88 0.01
10 IN0020000132 10.47% 2015 12-Feb-01 12-Feb-15 12-Feb-14 6430.00 6555 10.47% 101.95 8.7028% 8.4340% 1.1276 1.08 103.96 106.23 1.74 -1.08 0.01 -1.07 -1.07 0.01
11 IN0020000033 10.79% 2015 19-May-00 19-May-15 19-May-14 2683.45 2762 10.79% 102.92 8.6293% 8.3749% 1.3952 1.34 101.88 104.64 2.48 -1.34 0.01 -1.33 -1.33 0.01
12 IN0019850034 11.50% 2015 21-May-85 21-May-15 21-May-14 3560.50 3699 11.50% 103.88 8.6398% 8.3746% 1.3966 1.34 102.78 105.57 2.49 -1.34 0.01 -1.33 -1.33 0.01
13 IN0020090026 6.49% 2015 08-Jun-09 08-Jun-15 8-Dec-13 40000.00 38880 6.49% 97.20 8.4874% 8.3688% 1.4279 1.37 98.94 101.69 2.63 -1.37 0.01 -1.36 -1.36 0.01
14 IN0020100023 7.17% GOVT.STOCK 2015 14-Jun-10 14-Jun-15 14-Dec-13 56000.00 55017 7.17% 98.24 8.4064% 8.3535% 1.4361 1.38 100.16 102.96 2.66 -1.38 0.01 -1.36 -1.36 0.01
15 IN0020000090 11.43% 2015 (Pvt. Placement) 07-Aug-00 07-Aug-15 7-Feb-14 12000.00 12510 11.43% 104.25 8.6503% 8.3827% 1.5339 1.47 106.27 109.44 3.01 -1.47 0.02 -1.46 -1.46 0.02
16 IN0020020130 7.38% 2015 03-Sep-02 03-Sep-15 3-Mar-14 63000.00 61819 7.38% 98.13 8.5384% 8.7490% 1.6528 1.59 98.34 101.51 3.38 -1.59 0.02 -1.57 -1.57 0.02
17 IN0020010099 9.85% 2015 16-Oct-01 16-Oct-15 16-Apr-14 10000.00 10203 9.85% 102.03 8.6451% 8.3770% 1.7429 1.67 101.53 104.98 3.72 -1.67 0.02 -1.65 -1.65 0.02
18 IN0020060219 7.59% 2016 12-Apr-06 12-Apr-16 12-Apr-14 68000.00 66834 7.59% 98.29 8.3969% 8.7658% 2.1886 2.10 97.24 101.41 5.64 -2.10 0.03 -2.07 -2.07 0.02
19 IN0020010016 10.71% 2016 19-Apr-01 19-Apr-16 19-Apr-14 9000.00 9390 10.71% 104.34 8.6502% 8.3914% 2.1506 2.06 103.41 107.76 5.52 -2.06 0.03 -2.03 -2.03 0.02
20 IN0020040013 5.59% 2016 04-Jun-04 04-Jun-16 4-Dec-13 6000.00 5592 5.59% 93.20 8.6598% 8.3866% 2.3045 2.21 93.85 98.08 6.25 -2.21 0.03 -2.18 -2.18 0.02
21 IN0019990129 12.30% 2016 (On Tap) 02-Jul-99 02-Jul-16 2-Jan-14 13129.85 14217 12.30% 108.28 8.6532% 8.4003% 2.2066 2.12 110.97 115.77 6.01 -2.12 0.03 -2.09 -2.09 0.02
TABLE 3: OUTSTANDING GOVERNMENT DEBT (Contd.)
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82
CCIL Monthly Newsletter December 2013
Sr.No.
ISIN No. SecurityIssueDate
MaturityDate
NextCoupon
date
Outstanding(` Crore)
MarketCapitali-zation
(` Crore)
Coupon Prices YieldPreviousYield (%)
DurationMod
DurationV+ (for100bps)
V- (for100bps)
Convexity
PriceChangeDue to
ModifiedDuration
for100bps
(%)
PriceChangeDue to
Convexityfor
100bps(%)
Expectedprice Changefor a 100bps
rise inyield due to
Duration andConvexityEffect(%)
ActualChange
for 100pbsincrease in
yield
PV01
22 IN0020090059 7.02% 2016 17-Aug-09 17-Aug-16 17-Feb-14 60000.00 58033 7.02% 96.72 8.3883% 8.4098% 2.4655 2.37 96.43 101.10 7.11 -2.37 0.04 -2.33 -2.33 0.02
23 IN0020010107 8.07% 2017 15-Jan-02 15-Jan-17 15-Jan-14 69000.00 68034 8.07% 98.60 8.5843% 8.2343% 2.7396 2.63 99.00 104.34 8.81 -2.63 0.04 -2.58 -2.58 0.03
24 IN0020020031 7.49% 2017 16-Apr-02 16-Apr-17 16-Apr-14 58000.00 56001 7.49% 96.55 8.6840% 8.4688% 3.0131 2.89 94.70 100.33 10.34 -2.89 0.05 -2.84 -2.84 0.03
25 IN0020120021 8.07% 2017 03-Jul-12 03-Jul-17 3-Jan-14 50000.00 49335 8.07% 98.67 8.5033% 8.3925% 3.0845 2.96 99.00 105.04 11.13 -2.96 0.06 -2.90 -2.90 0.03
26 IN0020070010 7.99% 2017 09-Jul-07 09-Jul-17 9-Jan-14 71000.00 69468 7.99% 97.84 8.6948% 8.7583% 3.1029 2.97 98.02 104.03 11.22 -2.97 0.06 -2.92 -2.92 0.03
27 IN0020020098 7.46% 2017 28-Aug-02 28-Aug-17 28-Feb-14 57886.80 55603 7.46% 96.05 8.7112% 8.8663% 3.2638 3.13 94.96 101.09 12.20 -3.13 0.06 -3.07 -3.07 0.03
28 IN0020020163 6.25% 2018 02-Jan-03 02-Jan-18 2-Jan-14 16886.80 15466 6.25% 91.59 8.7377% 8.5413% 3.5504 3.40 91.02 97.43 14.38 -3.40 0.07 -3.33 -3.33 0.03
29 IN0020110014 7.83% G.S. 2018 11-Apr-11 11-Apr-18 11-Apr-14 73000.00 70870 7.83% 97.08 8.6422% 8.5289% 3.7309 3.58 94.71 101.74 15.83 -3.58 0.08 -3.50 -3.50 0.04
30 IN0020080019 8.24% GOVT. STOCK 2018 22-Apr-08 22-Apr-18 22-Apr-14 75000.00 73653 8.24% 98.20 8.7368% 8.5744% 3.7372 3.58 95.60 102.70 15.90 -3.58 0.08 -3.50 -3.50 0.04
31 IN0020010024 10.45% 2018 30-Apr-01 30-Apr-18 30-Apr-14 3716.00 3944 10.45% 106.14 8.7404% 8.5522% 3.6464 3.49 103.35 110.83 15.40 -3.49 0.08 -3.42 -3.42 0.04
32 IN0020030063 5.69% 2018 (conv) 25-Sep-03 25-Sep-18 25-Mar-14 16130.00 14205 5.69% 88.07 8.7764% 8.5984% 4.1933 4.02 85.60 92.76 19.58 -4.02 0.10 -3.92 -3.92 0.04
33 IN0019980286 12.60% 2018 (On Tap) 23-Nov-98 23-Nov-18 23-May-14 12631.88 14549 12.60% 115.17 8.7729% 8.6221% 3.9249 3.76 111.18 119.86 18.09 -3.76 0.09 -3.67 -3.67 0.04
34 IN0020030097 5.64% 2019 02-Jan-04 02-Jan-19 2-Jan-14 10000.00 8705 5.64% 87.05 8.8545% 8.6501% 4.3285 4.15 85.75 93.17 21.17 -4.15 0.11 -4.04 -4.04 0.04
35 IN0020080068 6.05% 2019 02-Feb-09 02-Feb-19 2-Feb-14 53000.00 46914 6.05% 88.52 8.8619% 8.6590% 4.3727 4.19 86.81 94.39 21.62 -4.19 0.11 -4.08 -4.08 0.04
36 IN0020130038 7.28% GS 2019 03-Jun-13 03-Jun-19 3-Dec-13 40000.00 37381 7.28% 93.45 8.8051% 8.6325% 4.4297 4.24 93.02 101.26 22.92 -4.24 0.11 -4.13 -4.13 0.04
37 IN0020030048 6.05% 2019 (conv) 12-Jun-03 12-Jun-19 12-Dec-13 11000.00 9664 6.05% 87.86 8.8740% 8.6783% 4.5772 4.38 86.81 94.76 23.97 -4.38 0.12 -4.26 -4.27 0.04
38 IN0020090042 6.90% 2019 13-Jul-09 13-Jul-19 13-Jan-14 45000.00 41169 6.90% 91.49 8.8525% 8.6807% 4.5762 4.38 90.10 98.35 24.12 -4.38 0.12 -4.26 -4.26 0.04
39 IN0020010065 10.03% 2019 09-Aug-01 09-Aug-19 9-Feb-14 6000.00 6303 10.03% 105.05 8.8755% 8.6799% 4.3807 4.19 103.72 112.80 22.82 -4.19 0.11 -4.08 -4.08 0.05
40 IN0020020171 6.35% 2020 02-Jan-03 02-Jan-20 2-Jan-14 61000.00 53777 6.35% 88.16 8.9093% 8.7227% 4.9260 4.72 86.61 95.18 27.90 -4.72 0.14 -4.58 -4.58 0.04
41 IN0020110071 8.19% G.S. 2020 16-Jan-12 16-Jan-20 16-Jan-14 74000.00 71484 8.42% 96.60 9.1523% 9.2337% 4.7351 4.53 95.35 104.38 26.44 -4.53 0.13 -4.40 -4.40 0.05
42 IN0020000025 10.70% 2020 22-Apr-00 22-Apr-20 22-Apr-14 6000.00 6514 10.70% 108.57 8.9091% 8.7235% 4.8157 4.61 104.79 114.91 27.48 -4.61 0.14 -4.47 -4.48 0.05
43 IN0020100015 7.80% G.S. 2020 3-May-10 3-May-20 3-May-14 60000.00 56770 7.80% 94.62 8.9166% 8.7341% 5.1026 4.88 90.69 100.00 29.88 -4.88 0.15 -4.74 -4.74 0.05
44 IN0020120054 8.12% Govt Stock 2020 10-Dec-12 10-Dec-20 10-Dec-13 65000.00 62507 8.12% 96.16 8.8641% 8.7182% 5.2470 5.02 95.14 105.19 33.04 -5.02 0.17 -4.86 -4.86 0.05
83
TABLE 3: OUTSTANDING GOVERNMENT DEBT (Contd.)
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December 2013CCIL Monthly Newsletter
Sr.No.
ISIN No. SecurityIssueDate
MaturityDate
NextCoupon
date
Outstanding(` Crore)
MarketCapitali-zation
(` Crore)
Coupon Prices YieldPreviousYield (%)
DurationMod
DurationV+ (for100bps)
V- (for100bps)
Convexity
PriceChangeDue to
ModifiedDuration
for100bps
(%)
PriceChangeDue to
Convexityfor
100bps(%)
Expectedprice Changefor a 100bps
rise inyield due to
Duration andConvexityEffect(%)
ActualChange
for 100pbsincrease in
yield
PV01
45 IN0020000124 11.60% 2020 27-Dec-00 27-Dec-20 27-Dec-13 5000.00 5679 11.60% 113.58 8.9639% 8.7696% 4.9412 4.73 113.08 124.30 30.39 -4.73 0.15 -4.58 -4.58 0.06
46 IN0020110022 7.80% G.S. 2021 11-Apr-11 11-Apr-21 11-Apr-14 68000.00 63699 7.80% 93.67 8.9897% 8.8018% 5.6150 5.37 89.82 100.01 36.79 -5.37 0.18 -5.19 -5.19 0.05
47 IN0020060318 7.94% G.S. 2021 24-May-06 24-May-21 24-May-14 49000.00 46225 7.94% 94.34 8.9956% 8.8088% 5.7169 5.47 89.48 99.82 37.92 -5.47 0.19 -5.28 -5.29 0.05
48 IN0020010040 10.25% 2021 30-May-01 30-May-21 30-May-14 26213.32 27996 10.25% 106.80 8.9844% 8.7953% 5.4853 5.25 101.38 112.60 35.74 -5.25 0.18 -5.07 -5.08 0.06
49 IN0020110030 8.79% G.S. 2021 08-Nov-11 8-Nov-21 8-May-14 83000.00 81834 8.79% 98.59 9.0400% 8.7810% 5.8308 5.58 93.80 104.87 40.25 -5.58 0.20 -5.38 -5.38 0.06
50 IN0020060037 8.20% Government Stock 2022 15-Feb-07 15-Feb-22 15-Feb-14 57632.33 54448 8.20% 94.47 9.1686% 8.9689% 5.9175 5.66 91.58 102.56 42.13 -5.66 0.21 -5.45 -5.45 0.05
51 IN0020020072 8.35% 2022 14-May-02 14-May-22 14-May-14 44000.00 42241 8.35% 96.00 9.0350% 8.8553% 6.1545 5.89 90.91 102.27 44.92 -5.89 0.22 -5.66 -5.67 0.06
52 IN0020120013 8.15% 2022 11-Jun-12 11-Jun-22 11-Dec-13 83000.00 74966 8.15% 90.32 9.8528% 8.8521% 5.9276 5.65 89.02 99.67 43.18 -5.65 0.22 -5.43 -5.44 0.05
53 IN0020070028 8.08% Government Stock 2022 02-Aug-07 02-Aug-22 2-Feb-14 61969.41 58402 8.08% 94.24 9.0488% 8.8703% 6.1513 5.88 91.41 102.82 45.94 -5.88 0.23 -5.66 -5.66 0.06
54 IN0020039031 5.87% 2022 (conv) 28-Aug-03 28-Aug-22 28-Feb-14 11000.00 8910 5.87% 81.00 9.0595% 8.8845% 6.6078 6.32 77.49 87.93 50.94 -6.32 0.25 -6.07 -6.07 0.05
55 IN0020070051 8.13% 2022 21-Sep-07 21-Sep-22 21-Mar-14 70495.28 66594 8.13% 94.47 9.0514% 8.8783% 6.2797 6.01 90.48 102.03 47.47 -6.01 0.24 -5.77 -5.78 0.06
56 IN0020030014 6.30% 2023 09-Apr-03 09-Apr-23 9-Apr-14 13000.00 10753 6.30% 82.71 9.0784% 8.9063% 6.8881 6.59 78.32 89.36 55.86 -6.59 0.28 -6.31 -6.32 0.06
57 IN0020130012 7.16% GOVT STOCK 2023 20-May-13 20-May-23 20-May-14 77000.00 68059 7.16% 88.39 9.0074% 8.5971% 6.8441 6.55 83.02 94.64 55.53 -6.55 0.28 -6.27 -6.28 0.06
58 IN0020030055 6.17% 2023 12-Jun-03 12-Jun-23 12-Dec-13 14000.00 11431 6.17% 81.65 9.0878% 8.9165% 6.8323 6.54 79.24 90.30 56.35 -6.54 0.28 -6.25 -6.26 0.06
59 IN0020130061 8.83% G.S. 223 25-Nov-13 25-Nov-23 25-May-14 7000.00 7049 8.83% 100.69 8.7241% - 6.8396 6.55 94.49 107.72 57.05 -6.55 0.29 -6.27 -6.28 0.07
60 IN0020090034 7.35% 2024 22-Jun-09 22-Jun-24 22-Dec-13 10000.00 8865 7.35% 88.65 9.0397% 8.8771% 7.0562 6.75 85.95 98.37 62.30 -6.75 0.31 -6.44 -6.45 0.06
61 IN0020110048 9.15% G.S. 2024 14-Nov-11 14-Nov-24 14-May-14 92000.00 92736 9.15% 100.80 9.0323% 8.9683% 7.1296 6.82 94.61 108.44 63.40 -6.82 0.32 -6.50 -6.52 0.07
62 IN0020120047 8.20% G.S. 2025 24-Sep-12 24-Sep-25 24-Mar-14 90000.00 83904 8.20% 93.23 9.1466% 8.9813% 7.5107 7.18 88.25 101.88 71.48 -7.18 0.36 -6.82 -6.84 0.07
63 IN0020030071 5.97% 2025 25-Sep-03 25-Sep-25 25-Mar-14 16687.95 12969 5.97% 77.71 9.0821% 8.9248% 8.0434 7.69 73.03 85.18 79.16 -7.69 0.40 -7.30 -7.31 0.06
64 IN0020120039 8.33% G.S. 2026 09-Jul-12 09-Jul-26 9-Jan-14 90000.00 84554 8.33% 93.95 9.1463% 8.9825% 7.6198 7.29 90.48 104.68 76.06 -7.29 0.38 -6.91 -6.92 0.07
65 IN0020010081 10.18% 2026 11-Sep-01 11-Sep-26 11-Mar-14 15000.00 16236 10.18% 108.24 9.0736% 8.9133% 7.4851 7.16 102.96 118.81 73.87 -7.16 0.37 -6.79 -6.81 0.08
66 IN0020060078 8.24% Government Stock 2027 15-Feb-07 15-Feb-27 15-Feb-14 63388.55 59419 8.24% 93.74 9.0596% 9.1630% 7.9169 7.57 89.24 103.83 82.07 -7.57 0.41 -7.16 -7.18 0.07
84
TABLE 3: OUTSTANDING GOVERNMENT DEBT (Contd.)
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CCIL Monthly Newsletter December 2013
Sr.No.
ISIN No. SecurityIssueDate
MaturityDate
NextCoupon
date
Outstanding(` Crore)
MarketCapitali-zation
(` Crore)
Coupon Prices YieldPreviousYield (%)
DurationMod
DurationV+ (for100bps)
V- (for100bps)
Convexity
PriceChangeDue to
ModifiedDuration
for100bps
(%)
PriceChangeDue to
Convexityfor
100bps(%)
Expectedprice Changefor a 100bps
rise inyield due toDuration and
ConvexityEffect(%)
ActualChange
for 100pbsincrease in
yield
PV01
67 IN0020070036 8.26% Government Stock 2027 2-Aug-07 2-Aug-27 2-Feb-14 73427.33 68412 8.26% 93.17 9.1425% 9.0987% 8.0112 7.66 88.92 103.65 85.05 -7.66 0.43 -7.24 -7.25 0.07
68 IN0020070069 8.28% 2027 21-Sep-07 21-Sep-27 21-Mar-14 68252.24 64017 8.28% 93.80 9.0743% 8.8373% 8.1592 7.81 88.34 103.26 87.35 -7.81 0.44 -7.37 -7.39 0.07
69 IN0020020247 6.01% 2028 07-Aug-03 25-Mar-28 25-Mar-14 15000.00 11301 6.01% 75.34 9.1278% 8.9745% 8.9048 8.52 70.29 83.34 101.51 -8.52 0.51 -8.01 -8.03 0.07
70 IN0020030022 6.13% 2028 04-Jun-03 04-Jun-28 4-Dec-13 11000.00 8374 6.13% 76.13 9.1307% 8.9772% 8.7068 8.33 72.92 86.13 100.04 -8.33 0.50 -7.83 -7.85 0.07
71 IN0020130053 9.20% GOVT. STOCK 2030 30-Sep-13 30-Sep-30 31-Mar-14 11000.00 11102 9.20% 100.92 9.0892% 8.9084% 8.7758 8.39 94.38 111.63 106.71 -8.39 0.53 -7.86 -7.89 0.09
72 IN0020110055 8.97% G.S. 2030 05-Dec-11 05-Dec-30 5-Dec-13 90000.00 88780 8.97% 98.64 9.1281% 9.0548% 8.5979 8.22 91.99 108.98 108.81 -8.22 0.54 -7.68 -7.96 0.08
73 IN0020060086 8.28% Government Stock 2032 15-Feb-07 15-Feb-32 15-Feb-14 90687.11 83477 8.28% 92.05 9.1844% 9.0425% 9.1222 8.72 86.75 103.29 118.24 -8.72 0.59 -8.13 -8.16 0.08
74 IN0020070044 8.32% Government Stock 2032 2-Aug-07 2-Aug-32 2-Feb-14 54434.05 50381 8.32% 92.55 9.1571% 9.0503% 9.1831 8.78 87.46 104.26 121.02 -8.78 0.61 -8.18 -8.21 0.08
75 IN0020020106 7.95% 2032 28-Aug-02 28-Aug-32 28-Feb-14 59000.00 52716 7.95% 89.35 9.1457% 8.9956% 9.3463 8.94 83.75 100.15 124.28 -8.94 0.62 -8.32 -8.35 0.08
76 IN0020070077 8.33% 2032 21-Sep-07 21-Sep-32 21-Mar-14 1522.48 1412 8.33% 92.75 9.1423% 8.9919% 9.3230 8.92 86.48 103.37 123.48 -8.92 0.62 -8.30 -8.33 0.08
77 IN0020040039 7.50% 2034 10-Aug-04 10-Aug-34 10-Feb-14 60000.00 50889 7.50% 84.81 9.1455% 8.9986% 9.7476 9.32 79.56 95.87 139.13 -9.32 0.70 -8.63 -8.67 0.08
78 IN0020050012 7.40% 2035 09-Sep-05 09-Sep-35 9-Mar-14 52000.00 43461 7.40% 83.58 9.1501% 9.0038% 9.9965 9.56 77.69 94.06 147.42 -9.56 0.74 -8.82 -8.87 0.08
79 IN0020060045 8.33% 2036 07-Jun-06 07-Jun-36 7-Dec-13 86000.00 79327 8.33% 92.24 9.1488% 9.0020% 9.6510 9.23 88.01 105.86 142.83 -9.23 0.71 -8.51 -8.56 0.09
80 IN0020080050 6.83% G.S. 2039 19-Jan-09 19-Jan-39 19-Jan-14 13000.00 10048 6.83% 77.29 9.1519% 9.0090% 10.4074 9.95 72.46 88.43 168.41 -9.95 0.84 -9.11 -9.17 0.08
81 IN0020100031 8.30% G.S. 2040 02-Jul-10 02-Jul-40 2-Jan-14 72000.00 65939 8.30% 91.58 9.1473% 9.0038% 10.1493 9.71 86.50 105.05 164.53 -9.71 0.82 -8.88 -8.94 0.09
82 IN0020110063 8.83% G.S. 2041 12-Dec-11 12-Dec-41 12-Dec-13 90000.00 86744 8.83% 96.38 9.1911% 9.0503% 10.0913 9.65 91.58 111.09 166.21 -9.65 0.83 -8.82 -8.88 0.10
83 IN0020120062 8.30% GOVT STOCK 2042 31-Dec-12 31-Dec-42 31-Dec-13 49000.00 44734 8.30% 91.29 9.1599% 9.0354% 10.3259 9.87 86.16 105.00 174.75 -9.87 0.87 -9.00 -9.06 0.09
3404627.28 3221632.61 5.8020
85
TABLE 3: OUTSTANDING GOVERNMENT DEBT (Contd.)
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December 2013CCIL Monthly Newsletter
Sr.No.
ISIN No. SecurityIssueDate
MaturityDate
NextCoupon
date
Outstanding(` Crore)
MarketCapitali-zation
(` Crore)
Coupon Prices YieldPreviousYield (%)
DurationMod
DurationV+ (for100bps)
V- (for100bps)
Convexity
PriceChangeDue to
ModifiedDuration
for100bps
(%)
PriceChangeDue to
Convexityfor 100bps
(%)
Expectedprice Changefor a 100bpsrise in yield
due toDuration and
ConvexityEffect(%)
ActualChange
for 100pbsincrease in
yield
Special Securities
1 IN00200500617.61% Oil Marketing Companies GOISpecial Bonds, 2015
07-Mar-06 07-Mar-15 7-Mar-14 1750.00 1726 7.61% 98.62 8.7633% 8.4782% 1.16 99.22 101.55 1.95 -1.16 0.01 -1.15 -1.15 0.01
2 IN00200500957.59% Oil Marketing Companies GOISpecial Bonds, 2015
23-Mar-06 23-Mar-15 23-Mar-14 1750.00 1725 7.59% 98.56 8.7564% 8.4712% 1.21 98.78 101.19 2.07 -1.21 0.01 -1.20 -1.20 0.01
3 IN0020009018 11.50% GOI (IIBI) Spl Securities 2021 30-Mar-01 30-Mar-21 30-Mar-14 100.00 113 11.50% 113.24 8.9903% 8.8138% 4.98 109.60 121.09 32.97 -4.98 0.16 -4.82 -4.82 0.06
4 IN00201090168.01% Postal Life Insurance Government ofIndia Special Security 2021
31-Mar-11 31-Mar-21 31-Mar-14 4000.00 3789 8.01% 94.71 9.0066% 8.8332% 5.32 91.11 101.34 36.21 -5.32 0.18 -5.14 -5.14 0.05
5 IN00200600948.13% Oil Marketing CompaniesGovernment of India Special Bonds, 2021
16-Oct-06 16-Oct-21 16-Apr-14 5000.00 4749 8.13% 94.99 9.0302% 8.8616% 5.60 90.79 101.55 40.40 -5.60 0.20 -5.40 -5.40 0.05
6 IN0020019017 9.75% GOI (IFCI) SPL SEC 2021 30-Oct-01 30-Oct-21 30-Apr-14 400.00 416 9.75% 104.03 9.0240% 8.8540% 5.45 99.32 110.77 38.93 -5.45 0.19 -5.26 -5.26 0.06
7 IN00200601287.75% Oil Marketing CompaniesGovernment of India Special Bonds, 2021
28-Nov-06 28-Nov-21 28-May-14 5000.00 4640 7.75% 92.79 9.0350% 8.8678% 5.76 87.68 98.38 42.22 -5.76 0.21 -5.55 -5.55 0.05
8 IN00200601108.15% Government of India FCI SpecialBonds, 2022
16-Oct-06 16-Oct-22 16-Apr-14 5000.00 4724 8.15% 94.47 9.0670% 9.1996% 6.07 89.90 101.50 48.25 -6.07 0.24 -5.83 -5.84 0.06
9 IN0020089028 7% FERT COS GOI SPL BOND 2022 10-Dec-08 10-Dec-22 10-Dec-13 6071.51 5304 7.00% 87.35 9.0819% 8.9220% 6.14 85.31 96.46 50.14 -6.14 0.25 -5.89 -5.90 0.06
10 IN00200890446.20% Fertilizer Companies’ Governmentof India Special Bonds, 2022
24-Dec-08 24-Dec-22 24-Dec-13 491.41 405 6.20% 82.41 9.0873% 8.9288% 6.33 79.93 90.72 52.34 -6.33 0.26 -6.07 -6.07 0.05
11 IN00200890516.65% Fertilizer Companies Government ofIndia Special Bonds, 2023
29-Jan-09 29-Jan-23 29-Jan-14 1710.93 1455 6.65% 85.04 9.0869% 8.9284% 6.34 81.97 93.04 52.55 -6.34 0.26 -6.07 -6.08 0.06
12 IN00201090248.08% Postal Life Insurance Government ofIndia Special Security 2023
31-Mar-11 31-Mar-23 31-Mar-14 3000.00 2812 8.08% 93.74 9.0852% 8.9257% 6.26 89.38 101.30 51.82 -6.26 0.26 -6.00 -6.01 0.06
13 IN00200890108.20% Oil Marketing CompaniesGovernment of India Special Bonds 2023
10-Nov-08 10-Nov-23 10-May-14 22000.00 20713 8.20% 94.15 9.1056% 8.9487% 6.56 88.66 101.08 57.03 -6.56 0.29 -6.27 -6.28 0.06
14 IN00200790118.30% Fertilizer Companies GOI SpecialBonds, 2023
7-Dec-07 7-Dec-23 7-Dec-13 3880.00 3677 8.30% 94.77 9.1070% 8.9500% 6.33 92.76 105.29 55.38 -6.33 0.28 -6.06 -6.07 0.06
15 IN00200600528.01% Oil Marketing CompaniesGovernment of India Special Bonds, 2023
15-Dec-06 15-Dec-23 15-Dec-13 4150.00 3854 8.01% 92.86 9.1089% 8.9524% 6.40 90.61 102.99 56.27 -6.40 0.28 -6.12 -6.13 0.06
16 IN00200600608.20% Oil Marketing CompaniesGovernment of India Special Bonds, 2024
12-Feb-07 12-Feb-24 12-Feb-14 5000.00 4699 8.20% 93.98 9.1158% 8.9596% 6.52 90.42 103.02 57.88 -6.52 0.29 -6.23 -6.24 0.06
17 IN00200790458.35% SBI Rights Issue Government ofIndia Special Bonds, 2024
27-Mar-08 27-Mar-24 27-Mar-14 9996.01 9490 8.35% 94.94 9.1136% 8.9578% 6.62 90.30 103.07 59.20 -6.62 0.30 -6.32 -6.33 0.06
86
Modified Duration =Yield/21
Duration
+
0.01 )2x (P0
2P0( )V +( -+=
V - )Convexity
100 (A))01.0((%)100bpsforDurationModifiedtoDueChangePrice modx= Dur
100 (B))01.0(Convexity(%)100bpsforConvexitytoDueChangePrice 2=
Expected price Change due to Duration and Convexity Effect (%) = (A) + (B)
100(%)100bpsforChangeActual0
0-=
+
P
PV
V+ denotes the price due to 100 bps increase in yield; V- denotes the price due to 100 bps decrease in yield.
Where denotes the current price before any change in yield.
1
2
3
5
6
7
8 PV01 denotes the difference between the actual price and the price of the security for 1 bp change in the yield.
4
P0
x
x x
x
Note: Prices in Bold are Last traded prices on November 30, 2013. Other prices are CCIL Model Prices
Duration is calculated considering as settlement date.November 30, 2013
TABLE 3: OUTSTANDING GOVERNMENT DEBT (Contd.)
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CCIL Monthly Newsletter December 2013
Sr.No.
ISIN No. SecurityIssueDate
MaturityDate
NextCoupon
date
Outstanding(` Crore)
MarketCapitali-zation
(` Crore)
Coupon Prices YieldPreviousYield (%)
DurationMod
DurationV+ (for100bps)
V- (for100bps)
Convexity
PriceChangeDue to
ModifiedDuration
for100bps
(%)
PriceChangeDue to
Convexityfor 100bps
(%)
Expectedprice Changefor a 100bpsrise in yield
due toDuration and
ConvexityEffect(%)
ActualChange
for 100pbsincrease in
yield
18 IN00200990198.20% Oil Marketing Companies’Government of India Special Bonds, 2024
15-Sep-09 15-Sep-24 15-Mar-14 10306.33 9656 8.20% 93.69 9.1285% 8.9744% 6.80 89.20 102.20 63.09 -6.80 0.32 -6.49 -6.50 0.06
19 IN00200600118.03% Government of India FCI SpecialBonds, 2024
15-Dec-06 15-Dec-24 15-Dec-13 5000.00 4620 8.03% 92.40 9.1362% 8.9829% 6.78 89.87 102.91 64.14 -6.78 0.32 -6.46 -6.47 0.07
20 IN00200890366.35% Oil Marketing CompaniesGovernment of India Special Bonds, 2024
23-Dec-08 23-Dec-24 23-Dec-13 22000.00 17769 6.35% 80.77 9.1495% 9.0539% 7.15 77.84 89.81 69.31 -7.15 0.35 -6.80 -6.81 0.06
21 IN00200790297.95% Oil Marketing CompaniesGovernment of India Special Bonds 2025
18-Jan-08 18-Jan-25 18-Jan-14 11256.92 10330 7.95% 91.77 9.1412% 8.9882% 6.88 88.47 101.52 65.57 -6.88 0.33 -6.55 -6.56 0.07
22 IN00200790528.40% Oil Marketing CompaniesGovernment of India Special Bonds, 2025
28-Mar-08 28-Mar-25 28-Mar-14 9296.92 8816 8.40% 94.83 9.1392% 8.9864% 6.98 89.86 103.33 67.10 -6.98 0.34 -6.65 -6.66 0.07
23 IN0020089069 6.90% OIL MKTG COS GOI SB 2026 04-Feb-09 04-Feb-26 4-Feb-14 21942.00 18312 6.90% 83.45 9.1825% 9.0732% 7.48 79.59 92.44 77.60 -7.48 0.39 -7.10 -7.11 0.06
24 IN00200790377.95% Fertilizer Companies Government ofIndia Special Bonds, 2026
18-Feb-08 18-Feb-26 18-Feb-14 3550.87 3236 7.95% 91.14 9.1676% 9.0171% 7.30 86.91 100.57 74.74 -7.30 0.37 -6.92 -6.94 0.07
25 IN0020089077 8.00% OIL MKT COS GOI SB 2026 23-Mar-09 23-Mar-26 23-Mar-14 10000.00 9149 8.00% 91.49 9.1641% 9.0139% 7.38 86.46 100.21 76.01 -7.38 0.38 -7.00 -7.02 0.07
26 IN00200601028.40% Oil Marketing CompaniesGovernment of India Special Bonds, 2026
29-Mar-07 29-Mar-26 29-Mar-14 4971.00 4694 8.40% 94.43 9.1603% 9.0097% 7.32 89.18 103.25 75.08 -7.32 0.38 -6.95 -6.96 0.07
27 IN00200600298.23% Government of India FCI SpecialBonds, 2027
12-Feb-07 12-Feb-27 12-Feb-14 6200.00 5751 8.23% 92.76 9.1845% 9.0354% 7.54 88.43 102.81 81.50 -7.54 0.41 -7.13 -7.15 0.07
183823.91 166622.88 6.9968
87
TABLE 3: OUTSTANDING GOVERNMENT DEBT (Contd.)
outstanding
government debt
outstanding
government debt
De
cem
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r2
01
3C
CIL
Mo
nth
lyN
ew
sle
tte
r
Sr.No.
ISIN No. SecurityIssueDate
MaturityDate
Outstanding(` Crore)
MarketCapitali-zation
(` Crore)
Floating Rate / Inflation Linked Bonds
1 IN0020032010 FRB 2014 (7.54% - 364 day T-Bill) 20-May-03 20-May-14 5000.00 4963
2 IN0020042027 FRB 2015 (7.57% - 364 day T-Bill) 01-Jul-04 02-Jul-15 6000.00 5950
3 IN0020042035 FRB 2015 (II) (9.77% - 364 day T-Bill) 09-Aug-04 10-Aug-15 6000.00 6044
4 IN0020042019 FRB 2016 (7.62% - 364 day T-Bills) 07-May-04 07-May-16 6000.00 5947
5 IN0020022011 FRB 2017 (7.73% - 364 day T-Bills) 02-Jul-02 02-Jul-17 3000.00 3009
6 IN0020092071 FRB 2020 (7.34% - 182 day T-Bills) 21-Dec-09 21-Dec-20 13000.00 12855
7 IN0020130046 1.44% IIGS 2023 05-Jun-13 05-Jun-23 6000.00 4963
8 IN0020042050 FRB 2035 (7.17%- reset every 5 years) 25-Jan-05 25-Jan-35 350.00 344
45350.00 44074.80
Treasury Bills
1 IN002012Z029 364 DTB 12-Dec-12 12-Dec-13 5006.50 4995
2 IN002012Z029 364 DTB 26-Dec-12 26-Dec-13 5000.00 4968
3 IN002012Z029 364 DTB 09-Jan-13 09-Jan-14 5008.00 4955
4 IN002012Z029 364 DTB 23-Jan-13 23-Jan-14 5000.00 4935
5 IN002012Z029 364 DTB 06-Feb-13 06-Feb-14 5000.00 4916
6 IN002012Z029 364 DTB 20-Feb-13 20-Feb-14 5001.25 4906
7 IN002012Z029 364 DTB 06-Mar-13 06-Mar-14 5003.75 4892
8 IN002012Z029 364 DTB 20-Mar-13 20-Mar-14 5002.25 4865
9 IN002013Z027 364 DTB 03-Apr-13 03-Apr-14 5011.00 4862
10 IN002013Z027 364 DTB 17-Apr-13 17-Apr-14 5004.00 4844
11 IN002013Z035 364 DTB 30-Apr-13 01-May-14 5002.50 4825
12 IN002013Z043 364 DTB 15-May-13 15-May-14 5001.00 4808
13 IN002013Z050 364 DTB 29-May-13 29-May-14 5000.00 4791
14 IN002013Z068 364 DTB 12-Jun-13 12-Jun-14 5000.00 4776
15 IN002013Z076 364 DTB 26-Jun-13 26-Jun-14 5686.00 5410
16 IN002013Z084 364 DTB 10-Jul-13 10-Jul-14 5013.00 4757
17 IN002013Z092 364 DTB 24-Jul-13 24-Jul-14 5007.00 4734
18 IN002013Z100 364 DTB 07-Aug-13 07-Aug-14 5145.30 4853
19 IN002013Z118 364 DTB 21-Aug-13 21-Aug-14 5051.28 4747
20 IN002013Z126 364 DTB 04-Sep-13 04-Sep-14 5007.30 4688
21 IN002013Z134 364 DTB 18-Sep-13 18-Sep-14 5015.00 4681
22 IN002013Z142 364 DTB 01-Oct-13 02-Oct-14 6000.00 5582
23 IN002013Z159 364 DTB 15-Oct-13 16-Oct-14 6000.00 5562
24 IN002013Z167 364 DTB 30-Oct-13 30-Oct-14 6000.00 5548
25 IN002013Z175 364 DTB 14-Nov-13 13-Nov-14 4901.00 4519
Prices
99.26
99.17
100.74
99.11
100.29
98.89
82.71
98.21
99.77
99.36
98.94
98.69
98.32
98.10
97.77
97.25
97.03
96.80
96.45
96.14
95.83
95.51
95.15
94.89
94.54
94.33
93.98
93.63
93.33
93.04
92.70
92.47
92.20
88
TABLE 3: OUTSTANDING GOVERNMENT DEBT (Concld.)
Note: Prices in Bold are Last traded prices on November 29, 2013.
Other prices are CCIL Model Prices.
outstanding
government debt
outstanding
government debt
CC
ILM
on
thly
Ne
wsl
ett
er
De
cem
be
r2
01
3
Sr.No.
ISIN No. SecurityIssueDate
MaturityDate
Outstanding(` Crore)
MarketCapitali-zation
(` Crore)
26 IN002013Z183 364 DTB 27-Nov-13 27-Nov-14 6000.00 5525
27 IN002013Y053 182 DTB 05-Jun-13 05-Dec-13 5001.25 4994
28 IN002013Y061 182 DTB 19-Jun-13 19-Dec-13 5001.00 4977
29 IN002013Y079 182 DTB 03-Jul-13 02-Jan-14 5000.25 4960
30 IN002013Y095 182 DTB 31-Jul-13 30-Jan-14 5114.25 5036
31 IN002013Y103 182 DTB 14-Aug-13 14-Feb-14 5000.00 4912
32 IN002013Y111 182 DTB 28-Aug-13 27-Feb-14 5400.55 5289
33 IN002013Y129 182 DTB 11-Sep-13 13-Mar-14 5002.00 4882
34 IN002013Y137 182 DTB 25-Sep-13 27-Mar-14 5579.53 5428
35 IN002013Y145 182 DTB 09-Oct-13 10-Apr-14 6000.65 5816
36 IN002013Y152 182 DTB 23-Oct-13 24-Apr-14 6000.00 5794
37 IN002013Y160 182 DTB 06-Nov-13 08-May-14 6000.00 5780
38 IN002013Y178 182 DTB 20-Nov-13 22-May-14 6000.00 5759
39 IN002013X220 91 DTB 04-Sep-13 05-Dec-13 13242.30 13233
40 IN002013X238 91 DTB 11-Sep-13 12-Dec-13 7716.00 7698
41 IN002013X246 91 DTB 18-Sep-13 19-Dec-13 11103.00 11050
42 IN002013X253 91 DTB 25-Sep-13 26-Dec-13 17359.31 17250
43 IN002013X261 91 DTB 01-Oct-13 02-Jan-14 12317.00 12218
44 IN002013X279 91 DTB 09-Oct-13 09-Jan-14 11079.00 10971
45 IN002013X287 91 DTB 15-Oct-13 16-Jan-14 6000.00 5931
46 IN002013X295 91 DTB 23-Oct-13 23-Jan-14 8907.00 8791
47 IN002013X303 91 DTB 30-Oct-13 30-Jan-14 12554.40 12380
48 IN002013X311 91 DTB 06-Nov-13 06-Feb-14 9510.00 9355
49 IN002013X329 91 DTB 13-Nov-13 13-Feb-14 8806.00 8653
50 IN002013X337 91 DTB 20-Nov-13 20-Feb-14 12806.00 12563
51 IN002013X345 91 DTB 27-Nov-13 27-Feb-14 17260.00 16902
348625.62 339568.92
Prices
92.08
99.86
99.52
99.19
98.46
98.24
97.93
97.61
97.29
96.93
96.56
96.33
95.99
99.93
99.77
99.53
99.37
99.19
99.02
98.86
98.70
98.61
98.37
98.26
98.10
97.93
89
TABLE 4: STATE DEVELOPMENT LOANS (SDLS)
outstanding
government debt
outstanding
government debt
De
cem
be
r2
01
3C
CIL
Mo
nth
lyN
ew
sle
tte
r
No. of Bonds Outstanding ( Crore)`Sr.No.
State/Union TerritoryNo. %Share Value %Share
Wtd. Avg.Coupon (%)
Wtd. Avg.Maturity (yrs.)
1 Andhra Pradesh 107 7.00 99641.40 10.28 8.33 7.56
2 Arunachal Pradesh 25 1.64 872.54 0.09 8.11 6.42
3 Assam 28 1.83 9453.00 0.98 8.15 5.39
4 Bihar 39 2.55 27284.33 2.82 8.35 7.61
5 Chhattisgarh 11 0.72 5377.93 0.55 8.11 8.61
6 Goa 36 2.36 4347.33 0.45 8.30 7.60
7 Gujarat 79 5.17 78596.91 8.11 8.34 7.53
8 Haryana 58 3.80 34239.46 3.53 8.47 8.32
9 Himachal Pradesh 56 3.66 12765.27 1.32 8.16 6.42
10 Jammu & Kashmir 55 3.60 16624.98 1.72 8.50 7.36
11 Jharkhand 39 2.55 12160.93 1.25 8.23 7.34
12 Karnataka 40 2.62 43931.21 4.53 8.37 6.88
13 Kerala 84 5.50 56283.33 5.81 8.40 7.70
14 Madhya Pradesh 45 2.95 32978.39 3.40 8.25 7.07
15 Maharashtra 82 5.37 115897.32 11.96 8.34 7.57
16 Manipur 32 2.09 2369.34 0.24 8.04 6.35
17 Meghalaya 44 2.88 2478.70 0.26 8.24 6.80
18 Mizoram 37 2.42 1724.44 0.18 8.23 6.80
19 Nagaland 46 3.01 4140.40 0.43 8.25 6.86
20 Orissa 10 0.65 2921.09 0.30 6.46 2.45
21 Puducherry 13 0.85 2622.06 0.27 8.51 7.57
22 Punjab 100 6.54 48118.32 4.96 8.38 7.63
23 Rajastan 95 6.22 49565.80 5.11 8.25 7.28
24 Sikkim 24 1.57 1406.14 0.15 7.98 6.05
25 Tamil Nadu 99 6.48 89752.56 9.26 8.27 7.79
26 Tripura 30 1.96 2310.42 0.24 8.13 7.06
27 Uttar Pradesh 79 5.17 87154.67 8.99 8.30 6.94
28 Uttaranchal 33 2.16 8430.44 0.87 8.11 6.60
29 West Bengal 102 6.68 115789.08 11.95 8.40 7.43
1528 100 969237.80 100.00 8.14 6.53
90
TABLE :5 OUTSTANDING - GOVERNMENT SECURITIES, TREASURY BILLS AND STATE DEVELOPMENT LOANSAmount Crore`
outstanding
government debt
outstanding
government debt
CC
ILM
on
thly
Ne
wsl
ett
er
De
cem
be
r2
01
3
MonthGovernment
SecuritiesSpecial
SecuritiesFloating Rate
BondsTreasuryBills#
State DevelopmentLoans*
Total
Apr-06 931868.00 41903.69 46350.00 67072.91 239804.87 1326999.46
May-06 940819.00 41903.69 46350.00 76150.24 240104.87 1345327.79
Jun-06 955689.00 41903.69 46350.00 76537.87 240763.49 1361244.04
Jul-06 963689.00 41903.69 46350.00 84100.94 240763.49 1376807.12
Aug-06 970380.00 47152.47 46350.00 92801.37 242221.82 1398905.65
Sep-06 979380.00 47152.47 46350.00 95251.47 243271.82 1411405.75
Oct-06 988354.00 57152.47 46350.00 93358.52 243271.82 1428486.80
Nov-06 1002354.00 62152.47 44350.00 99852.39 243473.15 1452182.00
Dec-06 1011354.00 67413.26 44350.00 96859.85 245904.37 1465881.48
Jan-07 1020354.00 62564.48 44350.00 102420.08 247867.61 1477556.16
Feb-07 1028354.00 81999.14 44350.00 108913.26 247472.70 1511089.10
Mar-07 1058997.00 78256.88 44350.00 115473.69 251072.27 1548149.85
Apr-07 1071297.00 78256.88 44350.00 119965.64 254078.59 1567948.11
May-07 1077797.00 78256.88 44350.00 126189.40 250533.80 1577127.08
Jun-07 1102797.00 78256.88 44350.00 145981.76 252283.80 1623669.44
Jul-07 1128797.00 78256.88 44350.00 151565.34 255849.38 1658818.61
Aug-07 1169627.00 81937.41 44350.00 156379.61 253433.89 1705727.92
Sep-07 1191897.00 81237.41 44350.00 147411.54 256918.33 1721814.28
Oct-07 1236540.00 81237.41 44350.00 159450.17 259992.07 1781569.65
Nov-07 1256919.00 81237.41 44350.00 146252.36 262886.53 1791645.30
Dec-07 1263919.00 81238.20 44350.00 126327.36 268186.53 1784021.09
Jan-08 1273966.00 89369.64 44350.00 126951.13 276361.79 1810998.56
Feb-08 1288612.00 91655.10 44350.00 123605.11 289973.52 1838195.72
Mar-08 1288085.00 110948.03 44350.00 136139.95 302724.48 1882247.46
Apr-08 1319085.00 110948.03 44350.00 139593.07 310302.66 1924278.75
May-08 1320109.00 110948.03 44350.00 147979.97 307821.10 1931208.09
Jun-08 1332724.00 110948.03 44350.00 132825.20 311085.20 1931932.42
Jul-08 1347067.00 110948.03 44350.00 133659.95 313385.20 1949410.17
Aug-08 1348567.00 110948.03 44350.00 134160.86 313885.20 1951911.08
Sep-08 1361057.00 110948.03 44350.00 135751.52 315762.92 1967869.47
Oct-08 1371057.00 110649.56 44350.00 141434.52 318774.92 1986266.01
Nov-08 1371690.00 132649.56 44350.00 149632.01 319041.09 2017362.66
Dec-08 1374093.00 168649.56 44350.00 145070.40 327486.09 2059649.05
Jan-09 1403513.00 174649.56 44350.00 146566.95 338191.45 2107270.96
Feb-09 1421512.96 196591.56 44350.00 146762.02 356629.49 2165846.03
Mar-09 1468512.67 193220.17 44350.00 150273.80 369290.70 2225647.33
Apr-09 1478125.85 193220.17 44350.00 163472.50 414068.98 2293237.50
91
TABLE :5 OUTSTANDING - GOVERNMENT SECURITIES, TREASURY BILLS AND STATE DEVELOPMENT LOANSAmount Crore`
outstanding
government debt
outstanding
government debt
De
cem
be
r2
01
3C
CIL
Mo
nth
lyN
ew
sle
tte
r
MonthGovernment
SecuritiesSpecial
SecuritiesFloating Rate
BondsTreasuryBills#
State DevelopmentLoans*
Total
May-09 1526423.69 193220.17 44350.00 148275.25 414563.33 2326832.44
Jun-09 1564423.69 193220.17 44350.00 146874.80 421563.33 2370431.98
Jul-09 1615423.69 193220.17 44350.00 141338.92 427513.33 2421846.11
Aug-09 1651423.69 193220.17 44350.00 138854.64 437472.91 2465321.41
Sep-09 1697423.69 203526.50 44350.00 141887.94 452223.35 2539411.48
Oct-09 1727423.69 203526.50 44350.00 134980.94 465742.01 2576023.14
Nov-09 1756423.69 203526.50 44350.00 134014.74 476964.28 2615279.21
Dec-09 1783423.69 203526.50 43350.00 134764.74 489096.47 2654161.40
Jan-10 1779887.91 202826.50 46350.00 134753.74 496442.94 2660261.09
Feb-10 1787887.91 199607.03 46350.00 134660.14 509676.73 2678181.82
Mar-10 1787887.91 199214.03 46350.00 137466.34 517405.62 2688323.90
Apr-10 1833887.91 199214.03 49350.00 136489.04 521551.88 2740492.86
May-10 1859011.69 199214.03 49350.00 144488.54 529259.38 2781323.64
Jun-10 1892238.66 199214.03 49350.00 131988.54 534974.23 2807765.47
Jul-10 1900110.16 199214.03 49350.00 116883.22 540925.06 2806482.48
Aug-10 1949367.38 199214.03 49350.00 122828.95 547425.91 2868186.27
Sep-10 1994117.38 199214.03 49350.00 123295.65 554535.06 2920512.12
Oct-10 2024969.09 199214.03 49350.00 127892.94 565736.86 2967162.92
Nov-10 2057964.09 199214.03 49350.00 117768.94 573111.86 2997408.92
Dec-10 2080492.84 199214.03 49350.00 125268.94 579026.86 3033352.67
Jan-11 2104647.19 199214.03 49350.00 126923.25 585834.62 3065969.09
Feb-11 2107564.66 199214.03 49350.00 127687.35 597643.35 3081459.39
Mar-11 2107564.66 200051.05 49350.00 141326.90 605803.69 3104096.30
Apr-11 2142091.74 200051.05 49350.00 169973.45 614026.69 3175492.93
May-11 2178091.74 200051.05 49350.00 201219.95 617839.16 3246551.90
Jun-11 2214091.74 200051.05 49350.00 221862.40 626839.16 3312194.35
Jul-11 2240091.74 193656.76 49350.00 245126.77 635951.08 3364176.35
Aug-11 2282230.38 193656.76 43350.00 258813.67 647703.99 3425754.79
Sep-11 2304230.38 193656.76 43350.00 221271.87 658253.99 3420762.99
Oct-11 2343983.47 193656.76 43350.00 224245.69 669335.66 3474571.58
Nov-11 2377983.47 193656.76 46350.00 230366.87 680524.30 3528881.40
Dec-11 2428983.47 193656.76 48350.00 212864.67 693052.62 3576907.52
Jan-12 2483983.47 193656.76 48350.00 232689.60 709031.96 3667711.78
Feb-12 2532978.47 193656.76 48350.00 271336.87 723972.96 3770295.05
Mar-12 2544978.47 189656.76 48350.00 267019.92 742411.75 3792416.90
Apr-12 2583978.47 189656.76 48350.00 302223.35 746077.40 3870285.98
May-12 2613978.47 189656.76 48350.00 308155.15 757649.21 3917789.59
Jun-12 2668404.34 189656.76 48350.00 328967.43 765210.46 4000588.98
92
TABLE 6 : ANALYSIS OF OUTSTANDING BONDSPercent
TABLE :5 OUTSTANDING - GOVERNMENT SECURITIES, TREASURY BILLS AND STATE DEVELOPMENT LOANSAmount Crore`
*Does not include Power Bonds# Includes MSS Issuances
outstanding
government debt
outstanding
government debt
*Includes FRBs and Special Securities
CC
ILM
on
thly
Ne
wsl
ett
er
De
cem
be
r2
01
3
MonthGovernment
SecuritiesSpecial
SecuritiesFloating Rate
BondsTreasuryBills#
State DevelopmentLoans*
Total
Jul-12 2719362.53 189656.76 48350.00 333413.61 779370.46 4070153.35
Aug-12 2794362.53 189656.76 48350.00 325173.76 789136.56 4146679.60
Sep-12 2829362.53 183893.91 48350.00 329499.27 806196.56 4197302.27
Oct-12 2868362.53 183893.91 48350.00 320097.07 828003.91 4248707.42
Nov-12 2933362.53 183893.91 43350.00 314675.75 842018.24 4317300.43
Dec-12 2969362.53 183893.91 43350.00 315530.69 852097.55 4364234.67
Jan-13 2981362.53 183893.91 43350.00 331630.52 868306.68 4408543.64
Feb-13 3017362.53 183823.91 43350.00 311164.52 874104.53 4429805.48
Mar-13 3017362.53 183823.91 43350.00 299764.15 889068.62 4433369.21
Apr-13 3062362.52 183823.91 43350.00 316620.40 897231.62 4503388.43
May-13 3121611.19 183823.91 43350.00 319429.14 900318.79 4568533.03
Jun-13 3167611.19 183823.91 45350.00 328052.31 904967.16 4629804.56
Jul-13 3227611.19 183823.91 45350.00 361888.95 908057.54 4726731.58
Aug-13 3291627.29 183823.91 45350.00 420017.27 919077.00 4861895.45
Sep-13 3283627.29 183823.91 43350.00 400722.16 933469.55 4847992.90
Oct-13 3328627.29 183823.91 44350.00 356220.45 954502.92 4870524.56
Nov-13 3404627.29 183823.91 45350.00 348625.62 969237.80 4951664.61
Market Share ofOutstanding
Change Annualized ChangePeriod
G-Sec T-Bill SDLs G-Sec T-Bill SDLs G-Sec T-Bill SDLs
2005-06 76.73 5.34 17.93 - - - 14.18 6.34 10.00
2006-07 76.32 7.46 16.22 16.00 62.86 5.50 15.13 32.82 7.63
2007-08 76.57 7.27 16.16 21.37 17.90 20.57 17.23 27.50 11.90
2008-09 76.66 6.75 16.59 18.97 10.38 21.99 17.67 22.89 14.40
2009-10 75.64 5.11 19.25 19.19 -8.52 40.11 17.98 15.73 19.21
2010-11 75.88 4.56 19.56 15.57 2.81 17.08 17.57 13.44 18.85
2011-12 73.38 7.04 19.58 18.43 88.94 22.55 17.69 22.12 19.38
2012-13 73.18 6.76 20.05 16.58 12.26 19.75 17.72 21.03 19.61
2013-14 (Upto Nov 2013) 73.39 7.04 19.57 14.97 10.79 15.11 17.78 21.37 19.15
93
TABLE 7: INDEX COMPOSITION
CCIL Indices
CCIL IndicesCCIL Indices
De
cem
be
r2
01
3C
CIL
Mo
nth
lyN
ew
sle
tte
r
No. Liquid Index Broad Index CASBI Index SDL Index
1 7.16% GOVT STOCK 2023 7.16% GOVT STOCK 2023 6.49% GOVT.STOCK 2015 9.75% Jharkand 2023
2 8.28% GOVT.STOCK 2027 8.28% GOVT.STOCK 2027 7.17% GOVT.STOCK 2015 9.38% Andhra Pradesh SDL 2023
3 8.12% Govt Stock 2020 8.12% Govt Stock 2020 7.59% GOVT.STOCK 2016 9.28% Kerala SDL 2023
4 7.28% GS 2019 7.28% GS 2019 5.59% GOVT. STOCK 2016 9.29% Punjab SDL 2023
5 8.20% GOVT.STOCK 2025 8.20% GOVT.STOCK 2025 8.07% GS 2017 9.29% Madhya Pradesh SDL 2023
6 8.32% GOVT.STOCK 2032 8.07% GOVT.STOCK 2017 9.32% Tamil Nadu SDL 2023
7 9.20% GOVT. STOCK 2030 7.49% G. S. 2017 9.33% Maharashtra SDL 2023
8 8.33% GOVT.STOCK 2026 7.83% GOVT.STOCK 2018 9.35% West Bengal SDL 2023
9 8.07% GOVT.STOCK 2017 8.24% GOVT.STOCK 2018 9.22% Gujarat SDL 2023
10 8.30% GOVT STOCK 2042 7.28% GS 2019 9.25% Haryana SDL 2023
11 7.17% GOVT.STOCK 2015 8.19% GOVT.STOCK 2020 9.40% Bihar SDL 2023
12 8.83% GOVT.STOCK 2041 8.12% Govt Stock 2020 9.39% Karnataka SDL 2023
13 8.28% GOVT.STOCK 2032 7.80% GOVT.STOCK 2021 9.25% Rajasthan SDL 2023
14 6.49% GOVT.STOCK 2015 8.79% GOVT.STOCK 2021 9.75% Himachal Pradesh SDL 2023
15 8.15% GOVT.STOCK 2022 8.20% GOVT.STOCK 2022
16 8.97% GOVT.STOCK 2030 8.15% GOVT.STOCK 2022
17 7.83% GOVT.STOCK2018 7.16% GOVT STOCK 2023
18 8.19% GOVT.STOCK 2020 9.15% GOVT.STOCK 2024
19 9.15% GOVT.STOCK 2024 8.20% GOVT.STOCK 2025
20 7.59% GOVT.STOCK 2016 8.33% GOVT.STOCK 2026
21 8.28% GOVT.STOCK 2027
22 9.20% GOVT. STOCK 2030
23 8.97% GOVT.STOCK 2030
24 8.28% GOVT.STOCK 2032
25 8.32% GOVT.STOCK 2032
26 7.5% GOVT. STOCK 2034
27 7.40% GOVT.STOCK 2035
28 8.33% GOVT.STOCK 2036
29 8.30% GOVT.STOCK 2040
30 8.83% GOVT.STOCK 2041
31 8.30% GOVT STOCK 2042
94
TABLE 8: INDEX PERFORMANCE ANALYSIS
Per cent
CC
ILIn
dic
es
CC
ILIn
dic
es
CCIL Monthly Newsletter December 2013
2004-05 2005-06 2006-07 2007-08 2008-09 2009 -10 2010-11 2011-12 2012-13 2013-14 (Nov '13)
Indices YearlyReturn
(%)
AnnualizedReturn (%)
YearlyReturn
(%)
AnnualizedReturn (%)
YearlyReturn
(%)
AnnualizedReturn (%)
YearlyReturn
(%)
AnnualizedReturn (%)
YearlyReturn
(%)
AnnualizedReturn (%)
YearlyReturn
(%)
AnnualizedReturn (%)
YearlyReturn
(%)
AnnualizedReturn (%)
YearlyReturn
(%)
AnnualizedReturn (%)
YearlyReturn
(%)
AnnualizedReturn (%)
YearlyReturn
(%)
AnnualizedReturn (%)
TRI -3.1192 -3.1192 3.1457 -0.0358 4.4156 1.4265 8.7180 3.2022 14.6533 5.3970 4.9645 5.3248 5.9700 5.4167 5.3764 5.4117 12.5434 6.1813 3.1205 5.6402Bond IndexBroad PRI -10.5490 -10.5490 -5.0356 -7.8335 -3.8825 -6.5349 0.3991 -4.8476 6.0812 -2.7559 -2.6056 -2.7308 -1.7544 -2.5920 -2.4471 -2.5739 3.9053 -1.8744 -4.8572 -2.3896
TRI -4.8259 -4.8259 4.2365 -0.3977 4.9933 1.3678 7.1601 2.7858 14.9089 5.1035 3.5974 4.8510 6.1285 5.0326 5.4325 5.0825 10.4908 5.6701 0.3145 5.0424Bond IndexLiquid PRI -11.4388 -11.4388 -3.3270 -7.4717 -3.0496 -6.0206 -0.6675 -4.7100 6.4797 -2.5703 -3.4510 -2.7176 -1.6508 -2.5660 -2.8086 -2.5963 3.4935 -1.9378 -5.9967 -2.5684
TRI -4.7886 -4.7886 2.2048 -1.3539 3.5553 0.2561 8.1171 2.1661 12.8054 4.2105 3.6406 4.1153 5.7445 4.3465 4.5829 4.3760 12.6371 5.2631 3.4506 4.8226CASBI
PRI -11.1366 -11.1366 -5.1511 -8.1926 -4.0858 -6.8436 0.1014 -5.1539 5.0777 -3.1906 -2.6286 -3.0971 -6.0047 -3.5179 -2.0714 -3.3383 4.1990 -2.5285 -4.4630 -2.9623
TRI 1.9512 1.9512 5.2353 3.5802 4.3155 3.8247 9.4409 5.2012 10.8208 6.3018 6.4825 6.3319 3.7700 5.9621 5.3423 5.8844 9.7659 6.3088 6.8527 6.2121TenorIndex (upto
5 yrs) PRI -6.9090 -6.9090 -4.2334 -5.5807 -4.7466 -5.3034 0.2960 -3.9336 2.2316 -2.7310 -1.6107 -2.5452 -3.7924 -2.7244 -1.9219 -2.6244 1.5978 -2.1641 -1.1469 -2.2194
TRI -1.6974 -1.6974 3.3279 0.7839 4.5479 2.0233 9.0038 3.7253 12.9198 5.5023 3.7670 5.2111 5.6621 5.2754 5.0409 5.2460 11.8483 5.9599 3.8486 5.5211TenorIndex
(5 -10 yrs) PRI -9.4569 -9.4569 -4.9089 -7.2107 -3.8357 -6.0991 0.4789 -4.4961 4.3543 -2.7882 -3.8358 -2.9636 -2.1813 -2.8522 -2.9799 -2.8682 3.4177 -2.1891 -4.1244 -2.5996
TRI -2.5658 -2.5658 0.1106 -1.2366 4.0496 0.4949 7.8955 2.2961 14.0161 4.5395 4.2731 4.4950 6.8577 4.8293 4.7686 4.8217 13.0467 5.7052 2.3083 5.0822TenorIndex
(10-15 yrs) PRI -9.3205 -9.3205 -5.7221 -7.5388 -3.6066 -6.2462 -0.4663 -4.8335 5.5223 -2.8470 -3.4844 -2.9535 -1.3084 -2.7202 -3.4109 -2.8068 4.3128 -2.0404 -5.8453 -2.6779
TRI -4.6626 -4.6626 1.9248 -1.4239 2.9959 0.0279 8.1429 1.9977 10.3660 3.6190 3.4365 3.5886 7.8264 4.1836 4.7491 4.2541 13.1055 5.2024 1.6309 4.5478TenorIndex
(15-20 yrs) PRI -10.9505 -10.9505 -6.3526 -8.6805 -3.7863 -7.0774 0.0010 -5.3562 4.5897 -3.4457 -4.4711 -3.6174 -0.5746 -3.1885 -3.3698 -3.2112 4.3310 -2.4008 -6.5452 -3.0851
TRI -5.8697 -5.8697 1.0180 -2.4866 2.1018 -0.9806 7.2250 1.0100 16.1688 3.8746 2.5755 3.6570 7.4008 4.1837 4.5261 4.2264 14.1608 5.2861 0.6303 4.4426TenorIndex
(20-30 yrs) PRI -12.3719 -12.3719 -6.3404 -9.4063 -5.8226 -8.2272 -1.0090 -6.4735 7.1305 -3.8985 -5.3463 -4.1413 -1.0681 -3.7082 -3.9139 -3.7339 5.2615 -2.7736 -7.1376 -3.5622
LiquidityWeight
3.4305 3.4305 3.9073 3.6686 3.8471 3.7281 5.0903 4.0670 5.4776 4.3476 2.5075 4.0386 3.3117 3.9345 5.0140 4.0688 5.8633 4.2514 5.5139 4.3220T-Bill Index
EqualWeight
3.4001 3.4001 3.8573 3.6284 3.7763 3.6777 5.1928 4.0544 5.8980 4.4205 2.6291 4.1198 2.9002 3.9447 4.7978 4.0510 6.1091 4.2583 5.4428 4.3143
TRI 7.5452 7.5452 8.2904 7.9172 9.6032 8.4763 7.2877 8.1779 3.1958 7.1626 12.5981 8.0499 5.1867 7.2385SDL Index
PRI -0.7103 -0.7103 -0.1136 -0.4124 1.5256 0.2295 -1.1795 -0.1247 -5.2726 -1.1761 3.5978 -0.3961 -3.6387 -1.2221
95
TABLE 9: SECURITIES & MONEY MARKET (PRIMARY): COMPARATIVE DATA
Primary Market Analysis
primary market
analysis
primary market
analysis
De
cem
be
r2
01
3C
CIL
Mo
nth
lyN
ew
sle
tte
r
2013-14 2012-13 2012-13
(upto November 2013) (upto November 2012)
Dated Securities
GOI BorrowingTotal no of Issues (including reissues) 128 120 141Gross Amount Borrowed Excluding MSS (F.V ` Crore) 464000.00 474000.00 558000.00Weighted Average Maturity (years) 14.32 13.81 13.60Weighted Average Yield (%) 8.28 8.41 8.36
Devolvements on PDs(F.V ` Crore) 16836.16 1828.19 1828.19Private Placements on RBI (F.V ` Crore) - - -Redemption (F.V ` Crore) 74735.24 91378.79 90615.94
Net Borrowings(F.V ` Crore) 389264.76 382621.21 467384.06Total Borrowing (F.V ` Crore) 464000.00 474000.00 558000.00Budgeted Borrowing (F.V ` Crore) 629008.84 569615.94 569615.94% Completed of Total Borrowing 73.77 83.21 97.96
Borrowing Under MSSTotal Outstanding (F.V. ` Crore) 0.00 0.00 0.00MSS Ceiling (F.V. ` Crore) 50000.00 50000.00 50000.00
Outstanding as percent of Ceiling (%) 0.00 0.00 0.00
Purchases Under OMODated Securities purchased under OMO 23 18 46Amount of OMO dated securities purchased (F.V. ` Crore) 45057.67 54573.28 127179.74
Sale Under OMODated Securities sold under OMO 2 - -Amount of OMO dated securities sold (F.V. ` Crore) 2532.00 - -
BuybacksAuctions (F.V. ` Crore) - - -NDS-OM (F.V. ` Crore) - - -
SDLTotal no of Issues 148 141 222Gross Amount Borrowed (F.V ` Crore) 111705.75 111408.14 177278.62Weighted Average Coupon (%) 8.94 8.86 8.80
Cash Management BillAmount (F.V ` Crore) 107195.00 - -Weighted Average Cut -off (%) 11.63 - -
91 Day Treasury BillsAmount (F.V Rs Crore) 398687.00 395465.76 542925.51Weighted Average Cut -off (%) 8.98 8.27 8.22
182 Day Treasury BillsAmount (F.V ` Crore) 85103.48 85238.00 129434.08
Weighted Average Cut -off (%) 8.85 8.25 8.17
364 Day Treasury BillAmount (F.V ` Crore) 94844.38 90450.05 130470.80Weighted Average Cut-off (%) 8.54 8.11 8.05
Benchmark RatesBank Rate(% p.a)(Effective Date) 8.75 (29-10-13) 9.00 (17-04-12) 8.50 (19-03-13)CRR Rate (% p.a.)(Effective Date) 4.00 (09-02-13) 4.25 (03-11-12) 4.00 (09-02-13)Reverse Repo Rate(%)(Effective Date) 6.75 (29-10-13) 7.00 (17-04-12) 6.50 (19-03-13)Repo Rate (%) (Effective Date) 7.75 (29-10-13) 8.00 (17-04-12) 7.50 (19-03-13)Call Money Range(%) 7.16 - 10.53 7.34 - 9.32 7.34 - 13.69
96
TABLE 10: LIQUIDITY ANALYSIS
Amount Crore`
primary market
analysis
primary market
analysis
CC
ILM
on
thly
Ne
wsl
ett
er
De
cem
be
r2
01
3
Financial Year
Government Securities*Gross
BorrowingRedemption Net Borrowing Outstanding
CouponPayment
2006-07 195028.99 53295.84 141733.15 1181603.52
2007-08 194049.85 47937.53 146112.33 1434086.40
2008-09 277000.00 57697.89 219302.11 1706082.83
2009-10 428306.33 100937.22 327369.11 2033451.94
2010-11 437000.00 114323.25 322676.75 2349965.70
2011-12 510000.00 83975.48 426024.52 2782985.21
2012-13 558000.00 90615.94 467384.06 3244536.42 231643.31
2013-14 (Upto Nov 2013) 464000.00 74735.24 389264.76 3633801.19 177154.29
* including Special Securities and FRBs
State Development Loans**
2006-07 20824.57 6550.85 14273.72 251072.27
2007-08 67778.59 11554.52 56224.07 302724.48
2008-09 118137.66 14371.33 103766.32 369290.70
2009-10 131121.69 16238.42 114883.27 517405.62
2010-11 104039.26 15641.19 88398.07 605803.69
2011-12 158632.30 21989.24 136643.06 742411.75
2012-13 177278.62 30621.75 146656.87 889068.62 46507.38
2013-14 (Upto Nov 2013) 111705.75 31536.56 80169.18 969237.80 46085.15
** excluding Power Bonds
Treasury Bills
2006-07 220035.70 174367.69 45668.00 115473.69
2007-08 314495.65 347650.93 -33155.28 136139.95
2008-09 360912.12 329084.95 31827.17 150273.80
2009-10 385875.14 399148.80 -13273.66 137466.34
2010-11 355765.09 343438.33 12326.76 141326.90
2011-12 723813.16 498620.14 225193.02 267019.92
2012-13 802830.39 770087.16 32743.23 299764.15
2013-14 (Upto Nov 2013) 685829.86 529772.39 156057.47 348625.62
97
TABLE 11: CCIL SETTLEMENT DETAILS
*Commenced operations from November 12, 2002, Cash and Tom settlement is with effect from February 5, 2004.
** Commenced operations from January 20, 2003.
Amount Crore`
Statistics
statis
tic
sDecember 2013CCIL Monthly Newsletter
Outright Repo Forex* CBLO**
Settlement PeriodTrades Value
Avg.Trades
Avg.Val
Trades ValueAvg.
TradesAvg.Val
TradesValue(USD
Million)
Avg.Trades
Avg. Val(USD
Million)Trades Value
Avg.Trades
Avg.Val
2002-03 191843 1076147 646 3623 11672 468229 39 1577 100232 136102 1101 1496 159 852 3 16
2003-04 243585 1575133 820 5303 20927 943189 71 3208 330517 501342 1425 2161 3060 76851 10 262
2004-05 160682 1134222 550 3884 24364 1557907 83 5335 466327 899782 1976 3813 29351 976790 101 3345
2005-06 125509 864751 467 3215 25673 1694509 88 5803 489649 1179688 2084 5020 67463 2953134 229 10045
2006-07 137100 1021536 562 4187 29008 2556501 99 8755 606808 1776981 2550 7466 85881 4732271 292 16096
2007-08 188843 1653851 765 6696 26612 3948751 91 13523 757074 3133665 3181 13167 113277 8110828 385 27588
2008-09 245964 2160233 1047 9192 24280 4094286 85 14266 837520 3758904 3657 16414 118941 8824784 414 30748
2009-10 316956 2913890 1332 12243 28651 6072829 101 21308 883949 2988971 3843 12996 142052 15541378 498 54531
2010-11 332540 2870952 1346 11623 27409 4099284 93 13943 1150037 4191037 4792 17463 145383 12259745 495 41700
2011-12 412266 3488203 1732 14656 29806 3763877 102 12934 1283178 4642573 5579 20185 143949 11155428 495 38335
2012-13 658055 6592032 2731 27353 41566 5402765 144 18695 1396138 4830933 6018 20823 156099 12028040 540 41620
Apr-13 87041 1021301 4836 56739 3931 603520 179 27433 120500 465667 6694 25870 12372 1298341 562 59015
May-13 147290 1912565 6695 86935 4949 763713 198 30549 139715 462444 6653 22021 13526 1217645 541 48706
Jun-13 76678 903288 3834 45164 4223 613400 169 24536 140218 402295 7011 20115 14317 1538959 573 61558
Jul-13 69722 718259 3169 32648 4159 670303 160 25781 142541 414482 6788 19737 17508 1976477 673 76018
Aug-13 41021 424780 2051 21239 3596 564856 144 22594 126481 356554 6324 17828 15864 1734095 635 69364
Sep-13 55768 579258 2788 28963 3710 617125 155 25714 129061 354639 6793 18665 15059 1668333 627 69514
Oct-13 63519 627706 3025 29891 4209 651575 168 26063 126883 366083 6344 18304 14285 1382101 571 55284
Nov-13 50539 499569 2660 26293 3692 539935 154 22497 110011 325595 6471 19153 13909 1249180 580 52049
2013-14 (UptoNovember 2013)
591578 6686726 3652 41276 32469 5024428 166 25635 1035410 3147760 6637 20178 116840 12065130 596 61557
98
TABLE 12: CATEGORYWISE BUYING ACTIVITY
Percent
* Call and Term Money segment.
* Call and Term Money segment.
TABLE 13: CATEGORYWISE SELLING ACTIVITY
Percent
statisticsstatistics
Category OutrightReverse Repo
(Funds Lending)CBLO
LendingUncollateralised Money
Market Lending*Forex
IRS-MIBOR
IRS-MIFOR
Co-operative Banks 2.44 0.26 2.20 24.21 0.14 - -
Financial Institutions 0.37 0.69 1.89 - 0.01 - -
Foreign Banks 28.60 6.76 3.51 6.22 44.36 75.93 78.39
Insurance Companies 1.81 6.12 11.15 - - - -
Mutual Funds 16.58 44.54 60.29 - - - -
Others 2.41 0.00 3.22 - - - -
Primary Dealers 17.73 1.53 0.03 0.00 - 12.53 0.00
Private Sector Banks 12.92 6.15 2.14 6.22 20.78 10.60 21.61
Public Sector Banks 17.15 33.95 15.57 63.34 34.71 0.93 0.00
Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00
Category Outright RepoCBLO
BorrowingUncollateralised Money
Market Borrowing*Forex
IRS-MIBOR
IRS-MIFOR
Co-operative Banks 1.98 2.27 1.77 1.76 0.16 - -
Financial Institutions 0.08 0.00 4.04 - 0.01 - -
Foreign Banks 31.21 42.40 19.88 15.33 44.25 72.27 48.80
Insurance Companies 1.15 0.00 0.06 - - - -
Mutual Funds 16.03 0.00 1.81 - - - -
Others 1.43 4.20 17.20 - - - -
Primary Dealers 23.03 35.89 3.60 17.55 - 15.22 0.00
Private Sector Banks 12.35 9.15 22.41 37.31 20.32 12.46 51.20
Public Sector Banks 12.74 6.10 29.24 28.06 35.26 0.05 0.00
Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00
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TABLE 14: COMPARABLE RATES
statis
tic
s
Money Market Rates (WAR) Benchmark Rates Auction Cut-offs Policy Rates
DateCall Repo CBLO
CCBOR(10:00 A.M.)
CCIL-MIBOR
(10:00 A.M.)
10YBenchmark
(WAY)91 DTB 182 DTB 364 DTB LAF Repo
LAFReverseRepo
1-Nov-13 8.5900 8.6253 7.8824 7.0611 8.7236 8.6557 - - - 6.75 7.75
2-Nov-13 7.6700 - 5.1600 - - - - - - 6.75 7.75
5-Nov-13 8.1100 8.4480 7.9026 8.4230 8.6203 8.7090 - - - 6.75 7.75
6-Nov-13 7.9800 7.9427 7.9476 7.7417 7.8929 8.7807 8.5619 8.7705 - 6.75 7.75
7-Nov-13 8.1900 8.1031 8.2814 8.0784 8.1696 8.8235 - - - 6.75 7.75
8-Nov-13 8.5400 8.4948 8.6553 8.5247 8.5838 8.9144 - - - 6.75 7.75
9-Nov-13 6.7700 - 5.9374 - - - - - - 6.75 7.75
11-Nov-13 8.6900 8.7203 8.7387 8.7333 8.7597 9.0395 - - - 6.75 7.75
12-Nov-13 8.7200 8.7527 8.7504 8.7480 8.7884 9.0413 - - - 6.75 7.75
13-Nov-13 8.7500 8.7535 8.7475 8.7558 8.8178 9.0406 8.9807 - 8.9927 6.75 7.75
14-Nov-13 8.7300 8.6521 7.0000 7.9365 8.8000 8.9394 - - - 6.75 7.75
16-Nov-13 8.0000 9.1000 8.1718 - - - - - - 6.75 7.75
18-Nov-13 8.7100 8.7200 8.7270 8.7415 8.7650 9.0492 - - - 6.75 7.75
19-Nov-13 8.7000 8.7399 8.7328 8.7403 8.7552 9.0187 - - - 6.75 7.75
20-Nov-13 8.6900 8.7458 8.7373 8.7403 8.7609 9.0502 8.9388 9.1206 - 6.75 7.75
21-Nov-13 8.6900 8.7440 8.7079 8.7413 8.7600 9.0839 - - - 6.75 7.75
22-Nov-13 8.6800 8.7009 8.6576 8.7080 8.7484 9.0921 - - - 6.75 7.75
23-Nov-13 7.4900 - 8.1500 - - - - - - 6.75 7.75
25-Nov-13 8.6900 8.7011 8.7165 8.7072 8.7462 8.7398 - - - 6.75 7.75
26-Nov-13 8.6800 8.7122 8.6850 8.7047 8.7518 8.7261 - - - 6.75 7.75
27-Nov-13 8.6400 8.6680 8.6283 8.6356 8.7339 8.7063 8.9388 - 8.9332 6.75 7.75
28-Nov-13 8.0400 8.5507 8.2815 8.5452 8.6792 8.7006 - - - 6.75 7.75
29-Nov-13 7.6200 7.7867 6.9946 7.2527 7.7374 8.7239 - - - 6.75 7.75
30-Nov-13 5.4600 - 5.2000 - - - - - - 6.75 7.75
Average 8.2013 8.5831 7.9747 8.3957 8.6102 8.8860 8.8551 8.9456 8.9630 6.75 7.75
Max 8.7500 9.1000 8.7504 8.7558 8.8178 9.0921 8.9807 9.1206 8.9927 6.75 7.75
Min 5.4600 7.7867 5.1600 7.0611 7.7374 8.6557 8.5619 8.7705 8.9332 6.75 7.75
SD 0.7814 0.3078 1.1114 0.5301 0.3149 0.1611 0.1964 0.2476 0.0421 0.00 0.00
December 2013CCIL Monthly Newsletter
100
TABLE 15 : PROPRIETARY / CONSTITUENT SETTLEMENT ANALYSIS
GOVERNMENT SECURITIES MARKETSETTLEMENT ANALYSIS
Number of Participants: 191
Percent
TABLE 16: DEAL SIZE ANALYSIS Percent
statisticsstatistics
< 5 Cr 5 Cr > 5 Cr <=10 Cr >10 Cr<=20 Cr > 20 Cr
Settlement Period % tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
2002-03 10.22 1.64 75.71 67.68 10.88 19.23 2.30 6.80 0.89 4.65
2003-04 12.23 1.72 68.92 53.29 11.98 18.40 2.54 6.51 4.33 20.09
2004-05 14.24 1.75 67.12 47.55 9.72 13.59 2.98 7.02 5.93 30.09
2005-06 15.26 1.78 67.75 49.17 8.05 11.49 2.68 6.36 6.26 31.20
2006-07 8.30 0.93 71.38 47.90 12.50 16.67 2.59 5.76 5.23 28.75
2007-08 5.30 0.51 60.70 34.66 23.17 26.40 3.47 6.62 7.36 31.81
2008-09 5.69 0.56 64.57 36.76 20.60 23.40 2.89 5.52 6.26 33.76
2009-10 5.35 0.54 65.32 35.53 18.16 19.71 3.31 6.03 7.86 38.20
2010-11 6.34 0.69 64.62 37.42 18.04 20.84 3.90 7.58 7.10 33.46
2011-12 5.32 0.57 66.66 39.39 17.19 20.27 3.91 7.74 6.92 32.03
2012-13 4.21 0.45 60.06 29.98 21.30 21.23 5.09 8.66 9.33 39.68
Apr-13 2.66 0.28 54.28 23.13 24.27 20.67 6.49 9.43 12.30 46.49
May-13 2.20 0.22 48.39 18.63 26.03 20.04 7.66 10.08 15.71 51.03
Jun-13 2.56 0.27 52.42 22.25 25.25 21.42 7.15 10.36 12.61 45.70
Jul-13 3.62 0.41 58.63 28.45 22.28 21.61 5.86 9.68 9.61 39.85
Aug-13 7.92 0.87 59.75 28.85 18.66 17.95 4.78 7.70 8.89 44.62
Sep-13 5.28 0.58 62.25 29.96 17.62 16.93 5.40 8.74 9.45 43.78
Oct-13 3.92 0.44 65.14 32.96 16.46 16.62 5.38 9.22 9.10 40.76
Nov-13 4.42 0.47 65.24 33.00 16.07 16.23 5.14 8.81 9.13 41.49
2013-14 (Upto November 2013) 3.54 0.37 56.32 24.91 22.05 19.48 6.34 9.53 11.75 45.70
Outright Repo
Proprietary Constituent Proprietary ConstituentSettlement Period
Trades Value Trades Value Trades Value Trades Value
2002-03 80.54 87.54 19.46 12.46 99.58 99.81 0.42 0.19
2003-04 75.82 85.03 24.18 14.97 88.11 89.96 11.89 10.04
2004-05 75.96 81.95 24.04 18.05 81.83 86.21 18.17 13.79
2005-06 78.55 85.37 21.45 14.63 70.00 82.77 30.00 17.23
2006-07 87.78 90.06 12.22 9.94 70.67 85.01 29.33 14.99
2007-08 90.26 90.55 9.74 9.45 70.74 83.79 29.26 16.21
2008-09 89.48 88.32 10.52 11.68 72.60 87.98 27.40 12.02
2009-10 90.16 90.56 9.84 9.44 81.01 94.03 18.99 5.97
2010-11 89.23 89.92 10.77 10.08 80.58 89.37 19.42 10.63
2011-12 90.81 88.35 9.19 11.65 81.39 88.46 18.61 11.54
2012-13 89.69 87.05 10.31 12.95 90.89 92.91 9.11 7.09
Apr-13 91.32 86.25 8.68 13.75 92.83 94.50 7.17 5.50
May-13 90.98 87.12 9.02 12.88 93.23 95.51 6.77 4.49
Jun-13 90.41 86.17 9.59 13.83 92.97 94.85 7.03 5.15
Jul-13 89.48 86.16 10.52 13.84 90.67 93.81 9.33 6.19
Aug-13 82.26 79.40 17.74 20.60 89.32 92.82 10.68 7.18
Sep-13 84.56 81.44 15.44 18.56 91.32 94.25 8.68 5.75
Oct-13 86.71 82.80 13.29 17.20 93.13 93.72 6.87 6.28
Nov-13 90.04 88.76 9.96 11.24 93.15 93.37 6.85 6.63
2013-14 (Upto November 2013) 89.03 85.49 10.97 14.51 92.15 94.16 7.85 5.84
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TABLE 17: INSTRUMENT WISE BREAKUP OF OUTRIGHT TRADES
Amount Crore`
statistics
Cen. Govt. Dated Securities Treasury Bills State Development Loans
Settlement Period
VolumesAvg.
Volumes%
ShareVolumes
Avg.Volumes
%Share
VolumesAvg.
Volumes%
Share
2002-03 1032185 3475 95.91 37443 126 3.48 6519 22 0.61
2003-04 1458665 4911 92.61 102299 344 6.49 14169 48 0.90
2004-05 862820 2955 76.07 246703 845 21.75 24700 85 2.18
2005-06 657213 2443 76.00 189839 706 21.95 17700 66 2.05
2006-07 883248 4723 86.46 126956 679 12.43 11332 61 1.11
2007-08 1467704 5942 88.74 171914 696 10.39 14234 58 0.86
2008-09 1955412 8321 90.52 170436 725 7.89 34385 146 1.59
2009-10 2480850 10424 85.14 363283 1526 12.47 69757 293 2.39
2010-11 2552181 10333 88.90 275095 1114 9.58 43677 177 1.52
2011-12 3099108 13021 88.85 345237 1451 9.90 43859 184 1.26
2012-13 5920929 24568 89.82 552943 2294 8.39 118159 490 1.79
Apr-13 935699 51983 91.62 71689 3983 7.02 13914 773 1.36
May-13 1852003 84182 96.83 42917 1951 2.24 17646 802 0.92
Jun-13 844720 42236 93.52 46304 2315 5.13 12264 613 1.36
Jul-13 646106 29368 89.95 64739 2943 9.01 7413 337 1.03
Aug-13 307073 15354 72.29 103651 5183 24.40 14057 703 3.31
Sep-13 470541 23527 81.23 93993 4700 16.23 14724 736 2.54
Oct-13 538319 25634 85.76 76401 3638 12.17 12986 618 2.07
Nov-13 433209 22800 86.72 56185 2957 11.25 10175 536 2.04
2013-14 (Upto November 2013) 6027670 37208 90.14 555877 3431 8.31 103178 637 1.54D
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TABLE 18: TENOR WISE ACTIVITY - CENTRAL GOVERNMENT DATED SECURITIESPercent Percent
statisticsstatistics
Year 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09 2009-10 2010-11 2011-12 2012-13 Nov-13 2013-14
2003 0.40 0.06 - - - - - - - - - - -
2004 1.82 1.31 0.04 - - - - - - - - - -
2005 0.44 0.79 2.40 0.09 - - - - - - - - -
2006 0.32 0.49 2.01 2.04 0.20 - - - - - - - -
2007 0.50 0.51 1.34 2.35 1.55 0.06 - - - - - - -
2008 3.58 2.73 2.04 2.06 1.44 0.31 0.00 - - - - - -
2009 2.81 3.18 5.43 2.64 2.83 11.43 4.27 0.43 - - - - -
2010 5.14 4.20 10.39 12.56 2.91 6.29 3.50 3.38 0.59 - - - -
2011 15.85 7.48 6.88 4.70 14.48 1.17 1.99 3.21 1.14 0.15 - - -
2012 21.42 12.04 4.66 8.19 4.27 0.56 1.04 2.94 2.38 0.82 0.05 - -
2013 9.21 7.53 2.13 6.48 0.59 2.99 1.92 1.57 1.29 0.12 0.08 0.00 0.06
2014 0.44 5.51 6.04 12.79 6.12 1.49 6.75 10.24 0.82 0.12 0.07 0.76 0.20
2015 7.89 5.70 25.34 1.38 1.56 3.50 1.78 5.38 8.21 0.43 0.35 0.33 0.65
2016 2.98 0.88 2.07 0.26 32.66 1.00 1.63 13.70 5.12 0.80 0.13 0.24 0.25
2017 17.65 25.82 16.64 22.60 17.69 47.01 5.84 1.05 6.76 1.05 4.57 0.34 6.35
2018 0.51 6.96 3.73 1.38 0.14 0.08 42.75 0.15 0.04 6.55 1.56 0.03 1.90
2019 0.99 3.94 2.24 0.18 0.09 0.03 2.44 24.90 0.10 0.01 0.02 8.92 2.19
2020 0.06 3.75 1.73 0.10 0.10 0.01 0.02 19.27 32.76 1.56 7.77 9.64 4.62
2021 2.24 0.46 0.17 14.21 3.64 0.57 3.71 4.92 0.03 53.20 8.26 0.09 0.77
2022 2.77 2.66 1.44 1.13 0.52 5.82 1.56 1.43 35.55 13.87 25.16 0.09 17.03
2023 - 2.38 1.33 0.10 0.07 0.67 2.27 0.53 0.08 0.07 0.01 47.48 17.86
2024 - - - - 0.01 0.69 1.08 1.24 0.19 17.58 12.68 0.05 1.29
2025 - - - - - 0.16 1.30 0.30 0.05 0.01 10.78 1.18 17.07
2026 2.22 0.22 0.08 0.08 0.00 0.22 0.74 0.80 0.38 0.14 21.30 0.58 20.87
2027 - - - - 0.04 0.67 2.97 2.35 2.95 1.31 0.86 26.72 4.16
2028 - 1.14 0.98 0.09 0.06 0.03 0.04 0.01 0.01 0.00 0.00 0.00 0.00
2029 - - - - - - - - - 0.00 0.00 0.00 0.00
2030 - - - - - - - - - 0.95 3.88 0.93 2.44
2031 - - - - - - - - - 0.00 0.00 0.00 0.00
2032 0.74 0.29 0.30 0.35 0.27 2.46 7.71 0.62 0.72 0.27 0.31 1.60 0.95
2033 - - - - - - - - - 0.00 0.00 0.00 0.00
2034 - - 0.59 1.69 4.18 0.02 0.75 0.86 0.03 0.00 0.01 0.00 0.02
2035 - - - 2.55 0.08 0.01 0.26 0.26 0.01 0.00 0.00 0.01 0.10
2036 - - - - 4.50 12.75 3.07 0.10 0.04 0.00 0.45 0.00 0.04
2037 - - - - - - - - - 0.00 0.00 0.00 0.00
2038 - - - - - - - - - 0.00 0.00 0.00 0.00
2039 - - - - - - 0.63 0.38 0.00 0.00 0.00 0.00 0.00
2040 - - - - - - - - 0.75 0.62 0.11 0.00 0.03
2041 - - - - - - - - - 0.36 1.34 0.52 0.70
2042 - - - - - - - - - - 0.25 0.49 0.43
Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00100.00CC
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TABLE 19: NETTING FACTOR: FUNDS
Netting Factor denotes the extent of actual reduction achieved through multi-lateral offsetting of individual member
fund obligations (arising out of every trade) to a single net fund obligation. This process has significantly reduced
individual funding requirements for every member and also achieved reduction in market liquidity risk.
Amount Crore`
NETTING FACTOR
TABLE 20: NETTING FACTOR: SECURITIES
Amount Crore`
statistics
Settlement Period Gross Net Netting Factor(%)
2002-03 2324017 653519 71.88
2003-04 4038385 979592 75.74
2004-05 4582506 1037355 77.36
2005-06 4460523 905062 79.71
2006-07 6275182 968185 84.57
2007-08 9646481 1596638 83.45
2008-09 10756665 1674892 84.43
2009-10 15502457 2642001 82.96
2010-11 11233653 2561298 77.20
2011-12 10996999 2191680 80.07
2012-13 17585265 3101477 82.36
Apr-13 2259001 400804 82.26
May-13 3606734 427103 88.16
Jun-13 2217646 378685 82.92
Jul-13 1991334 378470 80.99
Aug-13 1500787 398366 73.46
Sep-13 1749375 375461 78.54
Oct-13 1855848 307775 83.42
Nov-13 1499640 291044 80.59
2013-14 (Upto November 2013) 16680367 2957708 82.27
Settlement Period Gross Net Netting Factor(%)
2004-05 4250540 2462556 42.06
2005-06 4384775 2012523 54.10
2006-07 6123933 2418739 60.50
2007-08 9536455 3776777 60.40
2008-09 10365006 3750501 63.82
2009-10 15056277 6461619 57.08
2010-11 11078385 4883399 55.92
2011-12 11011992 4139464 62.41
2012-13 17395376 6568929 62.24
Apr-13 2207860 789856 64.23
May-13 3415589 957925 71.95
Jun-13 2140972 826715 61.39
Jul-13 1975699 794422 59.79
Aug-13 1548096 789780 48.98
Sep-13 1815066 843283 53.54
Oct-13 1921374 794093 58.67
Nov-13 1560163 670655 57.01
2013-14 (Upto November 2013) 16584818 6466728 61.01
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TABLE 21: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH
statis
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s
Sr.No.
SecurityMaturity
Date
Daystraded (in
last 12months)
Valuetraded inlast 12months(FV in
` Crore)
Percentshare inlast 12monthsValue
No. ofTrades
(November2013)
Value forNovember -2013 (FV in
` Crore)
Percentshare in
(November2013)
Outstanding(FV in
` Crore)
TurnoverRatio*
Average DailyTrading
Value in last12 months
(FV in` Crore)
Average DailyTradingValue in
November -2013 (FV in
` Crore)
1 7.16% G.S. 2023 20-May-23 131 1035975 11.88 19379 169527 39.13 77000 220 7908 9418
2 8.28% G.S. 2027 21-Sep-27 193 249711 2.86 12257 114711 26.48 68252 168 1294 6037
3 8.12% G.S. 2020 10-Dec-20 235 281932 3.23 4410 41317 9.54 65000 64 1200 2175
4 7.28% G.S. 2019 03-Jun-19 119 131319 1.51 3759 38577 8.90 40000 96 1104 2030
5 8.83% G.S. 2023 25-Nov-23 5 35351 0.41 4361 35351 8.16 7000 505 7070 7070
6 8.32% G.S. 2032 02-Aug-32 184 36609 0.42 840 5582 1.29 57434 10 199 294
7 8.20% G.S. 2025 24-Sep-25 240 1581467 18.14 739 5100 1.18 90000 6 6589 268
8 9.20% G.S. 2030 30-Sep-30 40 10866 0.12 425 3541 0.82 11000 32 272 197
9 6.07% G.S. 2014 15-May-14 115 10423 0.12 72 2425 0.56 40000 6 91 202
10 8.83% G.S. 2041 12-Dec-41 227 85867 0.99 227 2251 0.52 89000 3 378 132
11 8.33% G.S. 2026 09-Jul-26 239 1921127 22.04 370 2206 0.51 90000 2 8038 123
12 8.30% G.S. 2042 31-Dec-42 177 40644 0.47 139 2140 0.49 49000 4 230 134
13 8.28% G.S. 2032 15-Feb-32 216 24448 0.28 216 1338 0.31 90687 1 113 79
14 8.24% G.S. 2027 15-Feb-27 104 3370 0.04 81 1046 0.24 63389 2 32 349
15 1.44% IIB 2023 05-Jun-23 54 4940 0.06 45 830 0.19 6000 14 91 104
16 6.72% G.S. 2014 24-Feb-14 27 1813 0.02 26 825 0.19 15274 5 67 92
17 8.07% G.S. 2017 (JUL) 03-Jul-17 234 540185 6.20 46 737 0.17 50000 1 2308 57
18 7.17% G.S. 2015 14-Jun-15 200 41126 0.47 60 618 0.14 56000 1 206 48
19 7.02% G.S. 2016 17-Aug-16 86 8356 0.10 10 600 0.14 60000 1 97 150
20 6.49% G.S. 2015 08-Jun-15 64 5062 0.06 21 487 0.11 40000 1 79 61
21 8.97% G.S. 2030 05-Dec-30 239 254006 2.91 177 475 0.11 90000 1 1063 25
22 8.19% G.S. 2020 16-Jan-20 192 124681 1.43 53 446 0.10 74000 1 649 45
CCIL Monthly Newsletter December 2013
105
TABLE 21: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH (Contd.)
statis
tic
sDecember 2013CCIL Monthly Newsletter
Sr.No.
SecurityMaturity
Date
Daystraded (in
last 12months)
Valuetraded inlast 12months(FV in
` Crore)
Percentshare inlast 12monthsValue
No. ofTrades
(November2013)
Value forNovember -2013 (FV in
` Crore)
Percentshare in
(November2013)
Outstanding(FV in
` Crore)
TurnoverRatio*
Average DailyTrading
Value in last12 months
(FV in` Crore)
Average DailyTradingValue in
November -2013 (FV in
` Crore)
23 7.59% G.S. 2016 12-Apr-16 130 9358 0.11 17 437 0.10 68000 1 72 44
24 8.07% G.S. 2017 15-Jan-17 122 6599 0.08 16 412 0.10 69000 1 54 82
25 8.15% G.S. 2022 11-Jun-22 228 1815059 20.82 38 324 0.07 83000 0 7961 27
26 7.38% G.S 2015 03-Sep-15 61 2166 0.02 5 310 0.07 63000 0 36 78
27 6.90% OMC SB 2026 04-Feb-26 97 4011 0.05 44 286 0.07 21942 1 41 36
28 8.79% G.S. 2021 08-Nov-21 166 48834 0.56 17 243 0.06 83000 0 294 35
29 9.15% G.S. 2024 14-Nov-24 214 127295 1.46 48 217 0.05 92000 0 595 18
30 7.99% G.S. 2017 09-Jul-17 114 9430 0.11 5 200 0.05 71000 0 83 50
31 7.80% G.S. 2021 11-Apr-21 169 20893 0.24 12 135 0.03 68000 0 124 27
32 7.49% G.S. 2017 16-Apr-17 101 2595 0.03 4 112 0.03 58000 0 26 56
33 7.83% G.S.2018 11-Apr-18 223 129812 1.49 14 109 0.03 73000 0 582 16
34 8.13% G.S. 2022 21-Sep-22 148 10812 0.12 8 71 0.02 70495 0 73 18
35 6.90% G.S. 2019 13-Jul-19 40 655 0.01 5 50 0.01 45000 0 16 13
36 7.40% G.S. 2035 09-Sep-35 109 6144 0.07 8 43 0.01 52000 0 56 11
37 7.95% OMC SB 2025 18-Jan-25 28 434 0.00 5 30 0.01 11257 0 16 30
38 10.79% G.S. 2015 19-May-15 4 26 0.00 1 25 0.01 2683 1 7 25
39 7.37% G.S. 2014 16-Apr-14 37 469 0.01 5 15 0.00 42000 0 13 3
40 6.05% G.S. 2019 02-Feb-19 28 433 0.00 1 15 0.00 53000 0 15 15
41 7.46% G.S 2017 28-Aug-17 73 793 0.01 2 10 0.00 57887 0 11 5
42 10.47% G.S. 2015 12-Feb-15 9 22 0.00 1 10 0.00 6430 0 2 10
43 6.25% G.S 2018 02-Jan-18 51 213 0.00 1 6 0.00 16887 0 4 6
44 8.26% G.S. 2027 02-Aug-27 153 7374 0.08 5 6 0.00 73427 0 48 1
106
TABLE 21: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH (Contd.)
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CCIL Monthly Newsletter December 2013
Sr.No.
SecurityMaturity
Date
Daystraded (in
last 12months)
Valuetraded inlast 12months(FV in
` Crore)
Percentshare inlast 12monthsValue
No. ofTrades
(November2013)
Value forNovember -2013 (FV in
` Crore)
Percentshare in
(November2013)
Outstanding(FV in
` Crore)
TurnoverRatio*
Average DailyTrading
Value in last12 months
(FV in` Crore)
Average DailyTradingValue in
November -2013 (FV in
` Crore)
45 6.35% G.S 2020 02-Jan-20 101 3396 0.04 3 6 0.00 61000 0 34 6
46 10.00% G.S. 2014 30-May-14 21 50 0.00 1 5 0.00 2333 0 2 5
47 10.50% G.S. 2014 29-Oct-14 17 32 0.00 4 1 0.00 1755 0 2 0
48 8.08% G.S. 2022 02-Aug-22 144 15970 0.18 1 1 0.00 61969 0 111 1
49 6.35% OMC SB 2024 23-Dec-24 67 3383 0.04 2 1 0.00 22000 0 50 1
50 6.17% G.S. 2023 12-Jun-23 25 106 0.00 1 1 0.00 14000 0 4 1
51 7.95% G.S 2032 28-Aug-32 93 986 0.01 2 0 0.00 59000 0 11 0
52 7.95% FERT SB 2026 18-Feb-26 52 406 0.00 2 0 0.00 3551 0 8 0
53 8.15% FCI SB 2022 16-Oct-22 27 53 0.00 2 0 0.00 5000 0 2 0
54 8.20% OMC SB 2024 15-Sep-24 32 97 0.00 2 0 0.00 10306 0 3 0
55 11.50% G.S. 2015 21-May-15 16 39 0.00 2 0 0.00 3560 0 2 0
56Other Securities Traded DuringThe Past 12 Months But NotTraded During The Month
60011 0.69
Total 8717234 100.00 47997 433211 100.00
*Turnover Ratio has been calculated as trading value as a percentage of of respective security.outstanding
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TABLE 22: MARKET SHARE OF TOP 'N' SECURITIES Percent
TABLE 23: MARKET SHARE OF MEMBERS IN OUTRIGHT SETTLEMENT Percent
Period Top 5 Top 10 Top 15 Top 20
2003-04 39.01 57.30 70.28 79.43
2004-05 49.97 66.31 74.56 80.36
2005-06 63.75 82.82 89.67 92.85
2006-07 74.88 88.82 92.37 94.88
2007-08 66.35 83.84 92.54 95.79
2008-09 61.07 73.89 81.92 87.35
2009-10 60.71 79.08 86.48 90.54
2010-11 71.77 88.33 93.91 96.39
2011-12 85.51 94.15 97.07 98.68
2012-13 77.59 94.68 97.63 98.70
Apr-13 83.37 95.95 98.13 98.96
May-13 86.01 95.38 97.83 98.79
Jun-13 87.26 94.57 97.05 98.09
Jul-13 86.20 94.59 97.20 98.47
Aug-13 87.92 95.58 98.35 99.41
Sep-13 87.99 96.24 98.27 99.20
Oct-13 90.84 96.32 98.75 99.48
Nov-13 92.21 96.58 98.32 99.08
2013-14 (Upto November 2013) 77.87 92.03 95.81 97.89
Settlement Period Top 5 Top 10 Top 15 Top 20
2002-03 20.17 32.59 42.33 50.14
2003-04 19.02 31.58 40.63 48.49
2004-05 21.20 35.51 46.10 54.37
2005-06 21.84 37.47 49.11 57.64
2006-07 28.93 45.34 57.08 65.89
2007-08 27.42 43.65 56.17 65.31
2008-09 28.33 45.51 57.23 65.63
2009-10 28.74 44.32 55.32 63.35
2010-11 34.01 49.31 59.66 67.17
2011-12 30.04 47.85 60.10 68.81
2012-13 31.30 48.48 59.42 67.31
Apr-13 33.65 48.67 58.50 66.01
May-13 32.89 50.36 61.11 68.26
Jun-13 31.65 47.22 58.13 66.84
Jul-13 30.98 46.76 57.73 65.41
Aug-13 33.37 49.14 59.32 67.57
Sep-13 34.63 51.62 60.85 68.19
Oct-13 32.81 48.96 58.03 65.35
Nov-13 30.44 46.95 58.14 66.91
2013-14 (Upto November 2013) 32.63 48.94 59.30 66.99
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TABLE 24: MARKET SHARE OF TOP FIVE MEMBERS (CATEGORYWISE)
TRADING ANALYSIS
TABLE 25: TRADING PLATFORM ANALYSIS OF OUTRIGHT TRADES
Percent
Amount Crore`
OTC NDS-OMPeriod
Trades Value % Share % Share Trades Value % Share % Share
2005-06 38809 292515 50.36 56.98 38251 220890 49.64 43.02
2006-07 35322 368704 25.79 36.11 101641 652270 74.21 63.89
2007-08 31020 453226 16.43 27.42 157823 1199919 83.57 72.58
2008-09 35288 613229 14.35 28.36 210585 1548906 85.65 71.64
2009-10 40736 798397 12.87 27.41 275769 2113896 87.13 72.59
2010-11 42710 622558 12.85 21.73 289636 2241886 87.15 78.27
2011-12 44908 731938 10.89 20.96 367495 2760795 89.11 79.04
2012-13 57757 1179701 8.79 17.91 599316 5408334 91.21 82.09
Apr-13 4770 147561 5.19 13.70 87077 929259 94.81 86.30
May-13 6616 191181 4.58 10.15 137892 1691531 95.42 89.85
Jun-13 4223 127548 5.48 14.16 72850 773525 94.52 85.84
Jul-13 4371 111540 6.57 16.30 62157 572715 93.43 83.70
Aug-13 5264 126766 12.54 29.08 36704 309120 87.46 70.92
Sep-13 5190 130964 9.41 22.85 49987 442272 90.59 77.15
Oct-13 4573 112696 7.20 17.96 58963 514802 92.80 82.04
Nov-13 4081 94134 8.03 18.62 46738 411503 91.97 81.38
2013-14 (Upto November 2013) 39088 1042391 6.61 15.59 552368 5644726 93.39 84.41
CategoriesCooperative
BanksForeignBanks
Public SectorBanks
PrivateSector Banks
MutualFunds
PrimaryDealers
No of Members 48 36 27 19 30 8
2002-03 87.04 75.91 41.44 50.65 59.76 62.00
2003-04 76.72 75.48 43.88 53.33 55.47 62.96
2004-05 82.30 77.94 51.20 69.12 56.99 61.90
2005-06 75.10 77.91 53.45 71.55 56.49 56.95
2006-07 77.20 76.04 52.57 73.68 68.00 72.44
2007-08 86.70 74.99 55.29 73.01 70.20 86.20
2008-09 82.16 76.26 52.53 76.79 66.10 86.83
2009-10 72.08 79.86 47.99 79.61 64.19 82.44
2010-11 62.05 83.05 48.99 74.60 66.49 84.80
2011-12 61.15 75.91 51.48 74.43 68.01 82.38
2012-13 55.50 77.32 48.92 83.43 65.36 82.08
Apr-13 54.43 80.45 42.21 86.77 65.35 81.82
May-13 56.15 82.29 46.32 86.06 68.73 87.27
Jun-13 55.17 83.47 46.65 86.14 70.81 86.03
Jul-13 54.26 81.15 50.99 81.16 63.77 89.24
Aug-13 57.43 81.91 51.98 91.57 57.55 84.91
Sep-13 60.51 78.65 41.06 91.72 59.95 85.68
Oct-13 56.96 79.11 39.39 88.39 62.70 81.34
Nov-13 49.54 78.72 40.97 87.66 71.85 84.19
2013-14 (Upto November 2013) 55.71 81.08 45.33 86.71 65.42 85.35
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TABLE 26A: WHEN-ISSUED TRADING DETAILS
Amount Crore`
TABLE 26B: WHEN-ISSUED TRADING - HISTORICAL
Amount Crore`
TABLE 27: MARKET SHARE IN PROPRIETARY TRADES*Percent
* Trade Data
Security Description Maturity Date Trades Value
8.12% G.S. 2020 10-Dec-20 10 50
8.83% G.S. 2023 25-Nov-23 58 395
8.24% G.S. 2027 15-Feb-27 92 965
8.28% G.S. 2027 21-Sep-27 35 195
Total 195 1605
Period Trades Value
2006-07 154 1270
2007-08 169 1530
2008-09 335 3000
2009-10 320 3180
2010-11 306 2715
2011-12 391 2985
2012-13 1586 11805
Apr-13 173 1220
May-13 75 565
Jun-13 87 855
Jul-13 144 1080
Aug-13 255 1830
Sep-13 78 805
Oct-13 124 900
Nov-13 195 1605
2013-14 (Upto November 2013) 1131 8860
Buy SellCategory
Trades Value Trades Value
Co-operative Banks 4.07 2.39 3.83 1.96
Financial Institutions 0.86 0.57 0.12 0.09
Foreign Banks 24.87 28.11 26.91 30.65
Insurance Companies 1.71 2.11 1.43 1.30
Mutual Funds 12.62 17.73 14.98 17.21
Others 1.45 1.55 1.03 1.44
Primary Dealers 20.85 18.47 22.71 23.27
Private Sector Banks 9.19 10.04 9.28 10.19
Provident Funds 0.19 0.65 0.00 0.00
Public Sector Banks 24.18 18.38 19.71 13.87
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TABLE 28: MARKET SHARE IN CONSTITUENT TRADES*
Percent
Percent
TABLE 29: TURNOVER RATIO
*Trade data
TABLE 30: NET MARKET ACTIVITY IN G-SEC TRADING
Percent
Buy SellConstituent Category
Trades Value Trades Value
Banks 0.00 0.00 0.06 0.13
Co-operative Banks 19.66 5.79 8.75 2.15
Corporates 12.48 38.79 26.13 51.22
FIIs 3.04 11.87 2.88 7.22
Insurance Companies 12.28 12.63 7.67 8.60
Mutual Funds 2.96 2.05 4.22 2.94
Finance Cos. 21.20 13.26 35.91 16.13
Others 1.03 0.53 0.13 0.01
Primary Dealers 2.96 2.62 6.65 5.63
Provident Funds 24.40 12.46 7.60 5.97
DateForeignBanks
MutualFunds
OthersPrimaryDealers
Private SectorBanks
Public SectorBanks
1-Nov-13 -15.08 4.35 3.57 -6.88 10.57 3.48
5-Nov-13 -3.96 -0.13 -0.92 -3.23 -0.31 8.55
6-Nov-13 -10.81 0.90 1.81 -2.96 3.75 7.31
7-Nov-13 -2.78 0.13 1.99 -4.00 -0.64 5.30
8-Nov-13 -4.43 1.19 8.07 -14.14 5.36 3.95
11-Nov-13 -5.16 5.79 0.84 -0.95 -3.08 2.56
12-Nov-13 -3.28 -1.94 1.04 -3.70 2.63 5.25
13-Nov-13 -1.20 -5.71 -0.47 3.58 3.75 0.04
14-Nov-13 -0.02 4.29 1.74 -7.27 -3.07 4.33
18-Nov-13 3.50 -2.50 2.99 -0.58 1.78 -5.18
19-Nov-13 4.24 -3.28 0.19 -0.66 1.06 -1.55
20-Nov-13 -3.95 0.32 1.04 -0.36 -2.68 5.62
21-Nov-13 -5.38 -2.73 0.80 -3.59 1.41 9.49
22-Nov-13 4.78 -5.49 5.13 -8.54 2.37 1.76
25-Nov-13 -3.01 -0.54 0.67 -1.65 -5.71 10.24
26-Nov-13 2.75 -5.29 0.42 -1.65 0.11 3.65
27-Nov-13 -1.10 0.50 0.54 1.68 -1.26 -0.35
28-Nov-13 -4.76 -0.88 2.26 -0.78 -2.81 6.97
29-Nov-13 -3.44 -0.54 3.92 -8.96 2.56 6.46
Net Activity in Nov-13 -2.52 -0.82 1.83 -3.22 0.93 3.81
Current Month Previous Month 3 Months 6 Months 12 Months
1.34% 1.52% 0.97% 5.31% 1.11%
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TABLE 31: TRADING SUMMARY
Amount Crore`
*Amount in USD Million
Central Government SDL T-Bills Total Repo CBLO Forex*Date
Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value
1-Nov-13 2166 28171 17 152 45 1320 2228 29644 297 48046 524 28602 5276 17587
2-Nov-13 0 0 128 8327
5-Nov-13 1376 11876 54 665 100 4880 1530 17421 199 34043 709 70078 4744 17789
6-Nov-13 2114 18679 67 353 127 4711 2308 23743 181 27641 700 65948 5345 16733
7-Nov-13 2438 19751 87 1049 75 3346 2600 24145 164 24465 729 63677 3604 13600
8-Nov-13 1885 19502 69 751 27 867 1981 21121 168 24284 706 53303 5487 15942
9-Nov-13 0 0 213 10954
11-Nov-13 2756 22709 54 422 27 1031 2837 24163 166 23246 637 54852
12-Nov-13 2563 21303 75 484 48 1908 2686 23696 159 23377 626 53755 9610 20881
13-Nov-13 3785 32047 69 349 105 4612 3959 37009 179 23441 647 62370 6004 14751
14-Nov-13 2413 22505 30 137 41 1887 2484 24530 360 50408 546 31847 193 4628
16-Nov-13 2 600 193 8057
18-Nov-13 1277 10596 51 325 29 520 1357 11441 166 23593 701 70301 12490 26739
19-Nov-13 3650 34485 111 2529 46 1628 3807 38642 170 22236 711 71872 5794 15988
20-Nov-13 2459 21828 106 815 113 5082 2678 27726 186 25310 766 75442 5577 15211
21-Nov-13 1745 13207 86 512 66 1087 1897 14806 162 23673 726 75880 6144 15676
22-Nov-13 2506 27163 65 216 56 2274 2627 29653 168 22513 785 75739 5825 12920
23-Nov-13 0 0 150 7370
25-Nov-13 2529 22362 32 194 79 3929 2640 26486 150 19730 731 76793 5935 13837
26-Nov-13 3824 33205 56 259 55 2774 3935 36238 148 21348 742 80584 5116 12023
27-Nov-13 3037 26846 73 349 146 6008 3256 33203 154 22707 746 83088 5658 13854
28-Nov-13 3162 26856 63 403 88 5432 3313 32691 181 27728 794 80833
29-Nov-13 2599 26766 43 274 54 2243 2696 29282 332 51544 521 27424 17209 77434
30-Nov-13 0 0 178 12083
Total 48284 439861 1208 10237 1327 55540 50819 505637 3692 539935 13909 1249180 110011 325595
Average 2541 23151 64 539 70 2923 2675 26612 154 22497 580 52049 6471 19153
MarketShare (%)
95.01 86.99 2.38 2.02 2.61 10.98
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TABLE 32: G-SEC TRADING ANALYSIS
Amount Crore`
OTC (Gilts) NDS-OM (Gilts) Brokered Deals (Gilts) Total (Gilts)Date
TradesNo. of
SecuritiesValue
MarketShare (%)
TradesNo. of
SecuritiesValue
MarketShare (%)
TradesNo. of
SecuritiesValue
MarketShare (%)
TradesNo. of
SecuritiesValue
1-Nov-13 179 17 8953 31.78 1987 19 19218 68.22 59 6 1833 6.51 2166 23 28171
5-Nov-13 49 13 1051 8.85 1327 14 10825 91.15 19 7 510 4.29 1376 17 11876
6-Nov-13 109 17 1661 8.89 2005 21 17019 91.11 26 10 573 3.07 2114 26 18679
7-Nov-13 107 15 1101 5.57 2331 21 18649 94.43 9 4 156 0.79 2438 27 19751
8-Nov-13 213 19 6471 33.18 1672 19 13031 66.82 32 10 1485 7.61 1885 24 19502
11-Nov-13 151 14 2142 9.43 2605 18 20567 90.57 22 7 831 3.66 2756 20 22709
12-Nov-13 152 16 2782 13.06 2411 16 18521 86.94 29 9 1827 8.58 2563 19 21303
13-Nov-13 144 18 2240 6.99 3641 17 29808 93.01 27 5 1127 3.52 3785 22 32047
14-Nov-13 142 17 2907 12.92 2271 17 19598 87.08 19 9 870 3.87 2413 21 22505
18-Nov-13 109 13 1598 15.08 1168 15 8998 84.92 26 5 723 6.82 1277 17 10596
19-Nov-13 149 13 3836 11.12 3501 19 30649 88.88 41 9 2060 5.97 3650 20 34485
20-Nov-13 120 16 1591 7.29 2339 15 20237 92.71 28 9 877 4.02 2459 21 21828
21-Nov-13 109 18 1153 8.73 1636 18 12054 91.27 15 8 585 4.43 1745 21 13207
22-Nov-13 183 18 5154 18.97 2323 14 22009 81.03 25 10 700 2.58 2506 20 27163
25-Nov-13 120 18 1614 7.22 2409 21 20748 92.78 26 10 861 3.85 2529 22 22362
26-Nov-13 161 20 2570 7.74 3663 24 30636 92.26 44 14 1252 3.77 3824 27 33205
27-Nov-13 94 18 754 2.81 2943 19 26092 97.19 19 9 425 1.58 3037 23 26846
28-Nov-13 162 22 1575 5.86 3000 18 25282 94.14 17 9 353 1.31 3162 25 26856
29-Nov-13 181 17 5127 19.16 2418 21 21638 80.84 35 9 1470 5.49 2599 24 26766
Total 2634 54281 45650 385580 518 18517 48284 439861
Average 139 17 2857 2403 18 20294 27 8 975 2541 22 23151
PercentMarket Share
12.34 87.66 4.21
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TABLE 33: T-BILL TRADING ANALYSIS
Amount Crore`
OTC (T-Bills) NDS-OM (T-Bills) Brokered Deals (T-Bills) Total (T-Bills)Date
TradesNo. of
SecuritiesValue
MarketShare (%)
TradesNo. of
SecuritiesValue
MarketShare (%)
TradesNo. of
SecuritiesValue
MarketShare (%)
TradesNo. of
SecuritiesValue
1-Nov-13 20 11 661 50.06 25 10 659 49.94 7 5 221 16.72 45 16 1320
5-Nov-13 19 12 1545 31.66 81 22 3335 68.34 11 8 1330 27.25 100 27 4880
6-Nov-13 38 13 1616 34.30 89 19 3095 65.70 7 5 470 9.98 127 24 4711
7-Nov-13 23 11 1276 38.13 52 13 2070 61.87 3 1 337 10.09 75 15 3346
8-Nov-13 14 9 572 65.92 13 9 296 34.08 6 4 235 27.13 27 15 867
11-Nov-13 17 11 931 90.30 10 6 100 9.70 5 4 540 52.35 27 14 1031
12-Nov-13 20 12 1143 59.91 28 8 765 40.09 7 6 697 36.52 48 16 1908
13-Nov-13 55 10 3057 66.28 50 17 1555 33.72 10 6 639 13.86 105 21 4612
14-Nov-13 25 14 1618 85.72 16 4 270 14.28 8 7 658 34.86 41 16 1887
18-Nov-13 9 5 168 32.29 20 15 352 67.71 2 2 149 28.70 29 18 520
19-Nov-13 10 9 432 26.56 36 11 1196 73.44 4 4 280 17.20 46 18 1628
20-Nov-13 69 18 4022 79.14 44 15 1060 20.86 14 12 1443 28.39 113 23 5082
21-Nov-13 28 10 367 33.75 38 10 720 66.25 5 4 100 9.17 66 14 1087
22-Nov-13 21 11 1434 63.06 35 10 840 36.94 10 7 820 36.06 56 16 2274
25-Nov-13 27 16 2394 60.92 52 14 1536 39.08 13 10 1585 40.34 79 24 3929
26-Nov-13 18 12 984 35.49 37 15 1790 64.51 9 8 832 30.00 55 20 2774
27-Nov-13 82 15 4545 75.65 64 21 1463 24.35 11 8 1178 19.60 146 27 6008
28-Nov-13 44 18 4182 76.99 44 17 1250 23.01 14 13 1797 33.08 88 26 5432
29-Nov-13 13 4 990 44.14 41 16 1253 55.86 4 2 315 14.05 54 18 2243
Total 552 31937 775 23602 150 13626 1327 55540
Average 29 12 1681 41 13 1242 8 6 717 70 19 2923
Percent MarketShare
57.50 42.50 24.53
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TABLE 34: SDL TRADING ANALYSIS
Amount Crore`
OTC (SDLs) NDS-OM (SDLs) Brokered Deals (SDLs) Total (SDLs)
DateTrades
No. ofSecurities
ValueMarketShare(%)
TradesNo. of
SecuritiesValue
MarketShare(%)
TradesNo. of
SecuritiesValue
MarketShare(%)
TradesNo. of
SecuritiesValue
1-Nov-13 14 7 146 95.82 3 2 6 4.18 - - - - 17 9 152
5-Nov-13 42 15 509 76.62 12 4 155 23.38 - - - - 54 17 665
6-Nov-13 46 14 168 47.67 21 8 185 52.33 2 2 20 5.64 67 18 353
7-Nov-13 52 15 761 72.56 35 11 288 27.44 15 8 375 35.74 87 22 1049
8-Nov-13 43 19 565 75.14 26 10 187 24.86 9 7 259 34.43 69 30 751
11-Nov-13 34 14 285 67.62 20 7 137 32.38 6 3 140 33.19 54 19 422
12-Nov-13 61 15 425 87.75 14 12 59 12.25 11 9 260 53.75 75 26 484
13-Nov-13 54 22 269 77.00 15 8 80 23.00 2 1 50 14.32 69 25 349
14-Nov-13 27 10 77 56.25 3 1 60 43.75 - - - - 30 10 137
18-Nov-13 44 22 309 95.34 7 6 15 4.66 - - - - 51 26 325
19-Nov-13 96 19 2354 93.10 15 6 174 6.90 4 3 95 3.76 111 21 2529
20-Nov-13 76 21 606 74.32 30 11 209 25.68 1 1 15 1.84 106 24 815
21-Nov-13 65 16 337 65.93 21 8 174 34.07 - - - - 86 18 512
22-Nov-13 59 12 196 90.56 6 3 20 9.44 5 3 78 35.92 65 14 216
25-Nov-13 20 10 80 41.05 12 4 115 58.95 2 1 25 12.86 32 11 194
26-Nov-13 39 18 178 68.76 17 8 81 31.23 2 2 50 19.34 56 20 259
27-Nov-13 56 14 256 73.53 17 6 92 26.47 9 6 120 34.41 73 17 349
28-Nov-13 43 20 215 53.36 20 8 188 46.64 - - - - 63 21 403
29-Nov-13 24 8 179 65.60 19 9 94 34.40 4 4 50 18.28 43 20 274
Total 895 7916 313 2321 72 1536 1208 10237
Average 47 15 417 16 7 122 4 3 81 64 19 539
PercentMarket Share
77.33 22.67 15.01
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TABLE 35: LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC)`
Sr.No.
ISINDESCNo. ofTrades
Value(` Cr.)
MarketShare (% )
DaysTraded
Days Traded with 5trades or more per day
Days Traded with lessthan 5 trades per day
1 7.16% G.S. 2023 18949 167255 38.15 18 18 0
2 8.28% G.S. 2027 12122 115143 26.26 19 19 0
3 8.12% G.S. 2020 4423 42360 9.66 19 19 0
4 8.83% G.S. 2023 4835 38946 8.88 6 6 0
5 7.28% G.S. 2019 3583 37249 8.50 18 18 0
6 8.32% G.S. 2032 583 5404 1.23 19 19 0
7 8.20% G.S. 2025 569 4739 1.08 19 19 0
8 8.24% G.S. 2027 251 4698 1.07 3 3 0
9 9.20% G.S. 2030 369 4025 0.92 18 14 4
10 8.83% G.S. 2041 184 2874 0.66 15 11 4
11 6.07% G.S. 2014 74 2440 0.56 13 5 8
12 8.30% G.S. 2042 115 2129 0.49 16 7 9
13 8.33% G.S. 2026 251 2093 0.48 18 16 2
14 6.72% G.S. 2014 31 890 0.20 10 2 8
15 8.28% G.S. 2032 104 827 0.19 12 5 7
16 1.44% IIB 2023 45 810 0.18 8 3 5
17 7.17% G.S. 2015 67 744 0.17 9 6 3
18 7.02% G.S. 2016 12 710 0.16 5 1 4
19 8.07% G.S. 2017 (JUL) 39 605 0.14 10 4 6
20 6.49% G.S. 2015 19 481 0.11 7 2 5
21 8.19% G.S. 2020 51 465 0.11 10 2 8
22 7.59% G.S. 2016 15 435 0.10 8 0 8
23 8.07% G.S. 2017 9 410 0.09 3 1 2
24 8.97% G.S. 2030 47 388 0.09 11 3 8
25 8.15% G.S. 2022 39 375 0.09 11 4 7
26 7.38% G.S 2015 4 310 0.07 3 0 3
27 6.90% OMC SB 2026 37 269 0.06 7 1 6
28 8.79% G.S. 2021 10 250 0.06 5 1 4
29 7.99% G.S. 2017 4 200 0.05 3 0 3
30 7.56% G.S. 2014 1 175 0.04 1 0 1
31 7.80% G.S. 2021 12 135 0.03 5 1 4
32 7.49% G.S. 2017 3 110 0.03 1 0 1
33 7.83% G.S.2018 8 95 0.02 6 0 6
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Sr.No.
ISINDESCNo. ofTrades
Value(` Cr.)
MarketShare (% )
DaysTraded
Days Traded with 5trades or more per day
Days Traded with lessthan 5 trades per day
34 9.15% G.S. 2024 11 95 0.02 6 0 6
35 8.13% G.S. 2022 5 70 0.02 2 0 2
36 6.90% G.S. 2019 5 50 0.01 4 0 4
37 7.40% G.S. 2035 4 40 0.01 2 0 2
38 7.95% OMC SB 2025 3 29 0.01 1 0 1
39 10.79% G.S. 2015 1 25 0.01 1 0 1
40 6.05% G.S. 2019 1 15 0.00 1 0 1
41 7.37% G.S. 2014 3 15 0.00 3 0 3
42 10.47% G.S. 2015 1 10 0.00 1 0 1
43 7.46% G.S 2017 1 10 0.00 1 0 1
44 6.25% G.S 2018 1 6 0.00 1 0 1
45 10.00% G.S. 2014 1 5 0.00 1 0 1
46 8.26% G.S. 2027 1 5 0.00 1 0 1
46903 438412 100.00
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TABLE 36: LIQUIDITY DISTRIBUTION (G-SEC)
5 or more Trades Per Day Less than 5 Trades Per DaySr.No. ISINDESC
DaysTraded
TradesValue
(` Cr.)ISINDESC
DaysTraded
TradesValue
(` Cr.)
1 8.28% G.S. 2027 19 12122 115143 8.30% G.S. 2042 9 13 145
2 8.12% G.S. 2020 19 4423 42360 6.07% G.S. 2014 8 22 785
3 8.32% G.S. 2032 19 583 5404 8.97% G.S. 2030 8 17 133
4 8.20% G.S. 2025 19 569 4739 6.72% G.S. 2014 8 21 700
5 7.16% G.S. 2023 18 18949 167255 8.19% G.S. 2020 8 16 225
6 7.28% G.S. 2019 18 3583 37249 7.59% G.S. 2016 8 15 435
7 8.33% G.S. 2026 16 247 2043 8.28% G.S. 2032 7 17 115
8 9.20% G.S. 2030 14 360 3935 8.15% G.S. 2022 7 14 180
9 8.83% G.S. 2041 11 177 2819 8.07% G.S. 2017 (JUL) 6 9 150
10 8.30% G.S. 2042 7 102 1984 6.90% OMC SB 2026 6 13 99
11 8.83% G.S. 2023 6 4835 38946 7.83% G.S.2018 6 8 95
12 7.17% G.S. 2015 6 62 709 9.15% G.S. 2024 6 11 95
13 6.07% G.S. 2014 5 52 1655 1.44% IIB 2023 5 11 120
14 8.28% G.S. 2032 5 87 712 6.49% G.S. 2015 5 9 225
15 8.07% G.S. 2017 (JUL) 4 30 455 9.20% G.S. 2030 4 9 90
16 8.15% G.S. 2022 4 25 195 8.83% G.S. 2041 4 7 55
17 8.24% G.S. 2027 3 251 4698 7.02% G.S. 2016 4 7 475
18 1.44% IIB 2023 3 34 690 8.79% G.S. 2021 4 5 220
19 8.97% G.S. 2030 3 30 255 7.80% G.S. 2021 4 5 45
20 6.72% G.S. 2014 2 10 190 6.90% G.S. 2019 4 5 50
21 6.49% G.S. 2015 2 10 256 7.17% G.S. 2015 3 5 35
22 8.19% G.S. 2020 2 35 240 7.38% G.S 2015 3 4 310
23 7.02% G.S. 2016 1 5 235 7.99% G.S. 2017 3 4 200
24 8.07% G.S. 2017 1 5 200 7.37% G.S. 2014 3 3 15
25 6.90% OMC SB 2026 1 24 170 8.33% G.S. 2026 2 4 50
26 8.79% G.S. 2021 1 5 30 8.07% G.S. 2017 2 4 210
27 7.80% G.S. 2021 1 7 90 8.13% G.S. 2022 2 5 70
28 7.40% G.S. 2035 2 4 40
29 7.56% G.S. 2014 1 1 175
30 7.49% G.S. 2017 1 3 110
31 7.95% OMC SB 2025 1 3 29
32 10.79% G.S. 2015 1 1 25
33 6.05% G.S. 2019 1 1 15
34 10.47% G.S. 2015 1 1 10
35 7.46% G.S 2017 1 1 10
36 6.25% G.S 2018 1 1 6
37 10.00% G.S. 2014 1 1 5
38 8.26% G.S. 2027 1 1 5
Total 57 5609 51710 Total 151 281 5757
Expected Bond Days 513 Expected Bond Days 924
Efficiency 11.11 Efficiency 16.34
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MONEY MARKETTABLE 37: MONEY MARKET COMPARISON Amount Crore`
COLLATERALISED BORROWING AND LENDING OBLIGATION (CBLO)Number of Participants: 234
TABLE 38: CBLO TRADING Amount Crore`
Call Repo CBLO
PeriodValue
DailyAverageValue
ValueDaily
AverageValue
ValueDaily
AverageValue
2004-05 2416589 8304 1560510 5363 976789 3357
2005-06 3020846 10310 1694509 5783 2953132 10079
2006-07 3654936 12474 2556501 8725 4732272 16151
2007-08 3455931 11835 3948741 13523 8110828 27777
2008-09 3657632 12744 4094286 14266 8824784 30748
2009-10 2489975 8737 6072829 21308 15541378 54531
2010-11 2908906 9894 4099284 13943 12259715 41700
2011-12 4013031 13886 3763877 12934 11155428 38335
2012-13 4677777 16186 5402766 18695 12028040 41620
Apr-13 440667 20030 603520 27433 1298341 59015
May-13 401567 16063 763713 30549 1217645 48706
Jun-13 388163 24536 613400 24536 1538959 61558
Jul-13 380929 14651 670303 25781 1976477 76018
Aug-13 330366 13215 564856 22594 1734095 69364
Sep-13 323593 13483 617125 25714 1668333 69514
Oct-13 321061 12842 651575 26063 1382101 55284
Nov-13 356312 14846 539935 22497 1249180 52049
2013-14 (Upto November 2013) 2942658 15014 5024428 25635 12065130 61557
Overnight Term Total Daily AveragePeriod
Trades Value Trades Value Trades Value Trades Value
2002-03 157 829 2 23 159 852 3 16
2003-04 2280 58136 780 18715 3060 76851 10 251
2004-05 22802 768294 6549 208497 29351 976790 101 3345
2005-06 54026 2391854 13437 561280 67463 2953134 229 10045
2006-07 69602 3860456 16279 871815 85881 4732271 292 16096
2007-08 93282 6699077 19995 1411751 113277 8110828 385 27588
2008-09 94344 7099527 24597 1725258 118941 8824784 414 30748
2009-10 115171 12747733 26881 2793645 142052 15541378 498 54531
2010-11 121286 10516301 24097 1743444 145383 12259745 495 41700
2011-12 118699 9481527 25250 1673901 143949 11155428 495 38335
2012-13 129197 10194520 26902 1833520 156099 12028040 540 41620
Apr-13 10066 1088727 2306 209614 12372 1298341 562 59015
May-13 11640 1088744 1886 128901 13526 1217645 541 48706
Jun-13 11913 1315710 2404 223249 14317 1538959 573 61558
Jul-13 14975 1693825 2533 282653 17508 1976477 673 76018
Aug-13 12416 1383690 3448 350405 15864 1734095 635 69364
Sep-13 12682 1447616 2377 220717 15059 1668333 627 69514
Oct-13 12071 1191393 2214 190708 14285 1382101 571 55284
Nov-13 11137 1042961 2772 206219 13909 1249180 580 52049
2013-14 (Upto November 2013) 96900 10252667 19940 1812464 116840 12065130 596 61557
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MARKET REPO
TABLE 39: REPO TERM ANALYSIS Percent
TABLE 40: INSTRUMENTWISE SETTLEMENT OF REPO TRADES Amount Crore`
Cen. Govt. Dated Securities Treasury Bills State Development LoansSettlement Period
ValuesAvg.Value
%Share
ValueAvg.Value
%Share
ValueAvg.
Values%
Share
2002-03 403971 1360 86.28 64238 216 13.72 20 0 0.00
2003-04 874438 2974 92.71 59222 201 6.28 9530 32 1.01
2004-05 1262149 4322 81.02 286955 983 18.42 8803 30 0.57
2005-06 1369411 4674 80.81 277687 948 16.39 47411 162 2.80
2006-07 2126634 7233 83.19 379165 1290 14.83 50677 172 1.98
2007-08 3569960 12102 90.41 323984 1098 8.20 54807 186 1.39
2008-09 3475348 12109 84.88 583335 2033 14.25 35603 124 0.87
2009-10 5233295 18362 86.18 812537 2851 13.38 26996 95 0.44
2010-11 3253965 11068 79.38 832632 2832 20.31 12688 43 0.31
2011-12 2186877 7515 58.10 1554121 5341 41.29 22878 79 0.61
2012-13 2918337 10098 54.02 2413144 8350 44.66 71282 247 1.32
Apr-13 339880 15449 56.32 262403 11927 43.48 1237 56 0.21
May-13 477785 19111 62.56 282180 11287 36.95 3748 150 0.49
Jun-13 312330 12493 50.92 298809 11952 48.71 2261 90 0.37
Jul-13 313089 12042 46.71 356846 13725 53.24 368 14 0.05
Aug-13 242467 9699 42.93 321197 12848 56.86 1193 48 0.21
Sep-13 270291 11262 43.80 343247 14302 55.62 3587 149 0.58
Oct-13 293186 11727 45.00 356612 14264 54.73 1777 71 0.27
Nov-13 241205 10050 44.67 296341 12348 54.88 2389 100 0.44
2013-14 (Upto November 2013) 2490233 12705 49.56 2517635 12845 50.11 16560 84 0.33
O/N 2-3 days 4-7 days 8-14 days >14 days
Settlement Period% to
total noof
trades
% tototalvalue
% tototal no
oftrades
% tototalvalue
%t tototal no
oftrades
% tototalvalue
% tototal no
oftrades
% tototalvalue
% tototal no
oftrades
% tototalvalue
2002-03 50.05 50.15 30.96 31.01 15.46 15.95 2.26 1.78 1.27 1.11
2003-04 53.00 52.29 32.68 32.94 13.63 14.37 0.58 0.34 0.11 0.06
2004-05 68.29 69.29 26.30 24.23 5.30 6.35 0.09 0.11 0.02 0.02
2005-06 70.93 72.06 25.73 25.11 3.06 2.71 0.19 0.08 0.08 0.04
2006-07 73.68 75.19 21.58 21.06 4.32 3.57 0.12 0.07 0.31 0.11
2007-08 74.00 73.97 22.86 23.25 2.80 2.69 0.03 0.01 0.30 0.09
2008-09 68.24 68.69 27.17 27.04 4.35 4.17 0.07 0.03 0.17 0.07
2009-10 70.42 69.51 23.07 24.25 6.23 6.00 0.19 0.23 0.09 0.02
2010-11 68.51 65.99 27.94 31.12 2.96 2.68 0.27 0.08 0.32 0.13
2011-12 67.46 65.94 26.27 28.53 5.17 5.24 0.39 0.11 0.72 0.18
2012-13 69.06 67.82 27.13 27.75 3.49 4.16 0.14 0.21 0.18 0.05
Apr-13 55.91 54.04 34.60 35.64 9.41 10.15 0.05 0.17 0.03 0.00
May-13 70.70 69.88 29.04 29.95 0.24 0.17 0.00 0.00 0.02 0.01
Jun-13 75.11 73.89 17.00 18.39 7.70 7.53 0.12 0.19 0.07 0.00
Jul-13 73.41 72.35 26.23 27.36 0.24 0.19 0.10 0.09 0.02 0.01
Aug-13 58.79 57.34 29.31 29.98 11.87 12.67 0.03 0.00 0.00 0.00
Sep-13 71.64 70.10 17.76 17.90 10.57 11.99 0.03 0.00 0.00 0.00
Oct-13 65.15 65.51 34.12 33.55 0.48 0.89 0.10 0.04 0.17 0.02
Nov-13 62.95 62.23 17.96 18.05 18.66 19.61 0.14 0.04 0.30 0.07
2013-14 (Upto November 2013) 67.02 66.03 25.93 26.59 6.91 7.31 0.07 0.06 0.07 0.01
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TABLE 41: CROMS TRADING ACTIVITY
Number of Participants: 148 Amount Crore`
CROMS SPECIAL CROMS BASKET CROMS - TOTAL REPO
DateNo. ofTrades
Value WARNo. ofTrades
Value WARNo. ofTrades
Value WARNo. ofTrades
Value WAR
% Shareof
CROMSin Repovolumes
1-Nov-13 73 6413 8.6548 209 39937 8.6225 282 46350 8.6270 297 48046 8.6253 96.47
5-Nov-13 48 4562 8.6430 133 24926 8.4171 181 29488 8.4521 199 34043 8.4480 86.62
6-Nov-13 69 7468 8.1137 99 18630 7.8802 168 26098 7.9470 181 27641 7.9427 94.42
7-Nov-13 50 5203 8.0759 98 17704 8.1135 148 22907 8.1049 164 24465 8.1031 93.63
8-Nov-13 63 5393 8.4971 88 16354 8.4658 151 21747 8.4736 168 24284 8.4948 89.55
11-Nov-13 61 4905 8.6422 92 15764 8.7270 153 20669 8.7069 166 23246 8.7203 88.92
12-Nov-13 52 4714 8.7168 94 16505 8.7658 146 21219 8.7549 159 23377 8.7527 90.77
13-Nov-13 66 5036 8.6735 98 16422 8.7786 164 21458 8.7540 179 23441 8.7535 91.54
14-Nov-13 92 6005 8.6131 256 42856 8.6591 348 48861 8.6534 360 50408 8.6521 96.93
18-Nov-13 45 4548 8.6919 108 17561 8.7270 153 22109 8.7198 166 23593 8.7200 93.71
19-Nov-13 60 4459 8.7252 98 16241 8.7445 158 20700 8.7403 170 22236 8.7399 93.09
20-Nov-13 62 5215 8.7368 111 18439 8.7498 173 23654 8.7469 186 25310 8.7458 93.46
21-Nov-13 55 3998 8.7307 94 18096 8.7481 149 22094 8.7450 162 23673 8.7440 93.33
22-Nov-13 69 4261 8.6788 88 17042 8.7036 157 21303 8.6986 168 22513 8.7009 94.63
25-Nov-13 61 3989 8.6414 78 14232 8.7175 139 18221 8.7008 150 19730 8.7011 92.35
26-Nov-13 45 2782 8.6644 91 17087 8.7205 136 19869 8.7126 148 21348 8.7122 93.07
27-Nov-13 53 3534 8.6183 88 17789 8.6663 141 21323 8.6583 154 22707 8.6680 93.91
28-Nov-13 60 3826 8.4853 108 22186 8.5497 168 26012 8.5402 181 27728 8.5507 93.81
29-Nov-13 72 4405 7.9288 248 45361 7.7817 320 49766 7.7947 332 51544 7.7867 96.55
Total 1156 90716 2279 413133 3435 503849 3690 539335 93.42
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TABLE 43: TOP 5 SECURITIES - BASKET REPO
TABLE 44: TOP 5 SECURITIES - SPECIAL REPO
Amount Crore`
Amount Crore`
TABLE 42: CROMS HISTORICAL SUMMARY
Amount Crore`
CROMS-SPECIAL CROMS-BASKET CROMS
PeriodTrades Value
% Sharein Repo
Trades Value% Sharein Repo
TradesTotalValue
DailyAverageValue
%ShareinRepo
2008-09 957 93369 9.05 26 853 0.08 983 94222 2298 9.14
2009-10 5336 742575 12.23 9888 3543468 58.38 15224 4286042 17933 70.61
2010-11 8718 810326 19.78 10181 2016259 49.21 18899 2826585 11398 68.98
2011-12 12757 1333933 35.45 9519 1233105 32.77 22276 2567038 10652 68.23
2012-13 18732 1936643 35.85 18543 2927336 54.19 37275 4863979 19692 90.05
Apr-13 1226 143152 23.72 2402 414427 68.67 3628 557579 30977 92.39
May-13 1766 213365 27.94 2947 525399 68.80 4713 738764 33580 96.73
Jun-13 1623 164191 26.77 2280 411263 67.06 3903 575454 27403 93.84
Jul-13 1354 125098 18.66 2089 330602 49.32 3443 455700 19813 67.98
Aug-13 936 90896 16.09 2189 384267 68.03 3125 475163 23758 84.12
Sep-13 1008 105897 17.16 2371 474264 76.85 3379 580161 29008 94.01
Oct-13 1133 106894 17.27 2772 503402 81.34 3905 610296 29062 98.61
Nov-13 1156 90716 16.82 2279 413133 76.60 3435 503849 26518 93.42
2013-14 (Upto November 2013) 10202 1040209 21.17 19329 3456756 67.87 29531 4496966 27421 89.05
SECURITY TRADES Value RATE
24-04-2014 MATURING 182 DTB 96 45519 8.5691
7.28% G.S. 2019 157 35886 8.6439
8.12% G.S. 2020 99 17431 8.5796
7.17% G.S. 2015 103 16537 8.4894
7.16% G.S. 2023 89 16068 8.3936
SECURITY TRADES Value RATE
7.28% G.S. 2019 74 13612 8.6338
7.16% G.S. 2023 209 11675 8.4911
8.12% G.S. 2020 66 10486 8.4887
8.28% G.S. 2027 191 9957 8.3410
08-05-2014 MATURING 182 DTB 38 9591 8.6368
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TABLE 45: DEALT TRANSACTIONS ON THE NDS-CALL PLATFORM
CALL MONEY MARKET
Amount Crore`
CALL NOTICE Term TotalDate
Trade Value WAR Trade Value WAR Trade Value WAR Trade Value
1-Nov-13 11 805 7.0938 165 17262 8.6238 1 100 9.0000 177 18167
2-Nov-13 8 770 7.7403 - - - - 0 - 8 770
5-Nov-13 138 12371 8.1098 - - - 5 112 9.3830 143 12483
6-Nov-13 154 13118 8.1334 - - - 3 203 9.1532 157 13321
7-Nov-13 149 15036 8.2688 - - - 2 25 8.3500 151 15061
8-Nov-13 4 305 8.4303 126 11187 8.6315 1 150 9.6000 131 11642
9-Nov-13 3 122 6.8004 - - - - 0 - 3 122
11-Nov-13 151 13689 8.7555 - - - 6 303 9.1297 157 13992
12-Nov-13 175 16252 8.7685 - - - 2 200 8.8000 177 16452
13-Nov-13 164 15229 8.7905 1 34 8.8000 2 165 9.1591 167 15428
14-Nov-13 9 795 8.1604 194 20837 8.7555 2 300 9.2750 205 21932
16-Nov-13 13 706 8.7705 - - - - 0 - 13 706
18-Nov-13 153 13442 8.7500 - - - 3 122 8.9139 156 13564
19-Nov-13 131 10707 8.7420 - - - 4 250 8.8800 135 10957
20-Nov-13 127 9895 8.7347 13 1267 8.7862 2 97 9.1231 142 11258
21-Nov-13 149 12960 8.7272 - - - 7 635 9.0524 156 13595
22-Nov-13 4 100 8.4500 158 14807 8.7215 2 35 9.2143 164 14942
23-Nov-13 5 215 8.0840 - - - - 0 - 5 215
25-Nov-13 167 15163 8.7317 - - - 3 131 8.7882 170 15294
26-Nov-13 156 14727 8.7220 - - - 1 90 9.1000 157 14817
27-Nov-13 143 13031 8.6890 - - - 4 65 8.7984 147 13095
28-Nov-13 159 15783 7.9465 - - - 2 70 8.9286 161 15853
29-Nov-13 12 1200 7.4667 188 20513 7.6292 2 55 9.0318 202 21768
30-Nov-13 13 820 4.6110 - - - - - - 13 820
Total 2198 197240 845 85905 54 3107 3097 286252
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TABLE 46: OTC DEALS REPORTED ON THE NDS-CALL PLATFORM
Amount Crore`
CALL NOTICE Term TotalDate
Trade Value WAR Trade Value WAR Trade Value WAR Trade Value
1-Nov-13 17 162 8.3192 169 2502 8.3746 1 17 9 187 2681
2-Nov-13 28 147 7.2971 9 30 7.2786 - - - 37 177
5-Nov-13 179 3365 8.1243 15 42 7.5405 - - - 194 3407
6-Nov-13 245 3811 7.4385 11 32 7.2755 1 5 8 257 3848
7-Nov-13 252 3577 7.8641 13 151 7.7112 2 7 8 267 3734
8-Nov-13 21 128 7.9547 250 3409 8.2302 1 3 8 272 3539
9-Nov-13 52 310 6.7326 - - - - - - 52 310
11-Nov-13 255 3583 8.4583 17 62 8.3451 1 1 8 273 3646
12-Nov-13 261 3677 8.5017 17 71 8.1269 3 67 9 281 3815
13-Nov-13 144 2895 8.5676 130 941 8.3794 2 2 10 276 3838
14-Nov-13 18 153 8.2423 156 2829 8.5588 1 3 9 175 2984
16-Nov-13 49 404 6.7387 3 9 6.9444 - - - 52 413
18-Nov-13 250 3591 8.5390 24 221 8.4095 3 12 9 277 3823
19-Nov-13 189 2548 8.5091 75 1060 8.5610 1 2 10 265 3611
20-Nov-13 214 2839 8.5156 7 27 8.2962 1 2 8 222 2868
21-Nov-13 279 3753 8.5178 19 139 8.3004 - - - 298 3893
22-Nov-13 33 177 8.3119 267 3863 8.5169 2 11 9 302 4051
23-Nov-13 47 278 7.0249 4 43 7.6706 - - - 51 320
25-Nov-13 258 3700 8.5271 20 292 8 1 100 9 279 4093
26-Nov-13 260 3377 8.5007 14 318 8.6050 3 155 9 277 3850
27-Nov-13 262 3447 8.4881 12 249 8.3266 - - - 274 3695
28-Nov-13 269 3988 8.4209 19 391 8.5420 2 75 9 290 4454
29-Nov-13 29 171 7.1348 247 3716 7.5545 - - - 276 3887
30-Nov-13 48 472 6.7135 2 20 6.6250 - - - 50 492
Total 3659 50551 1500 20418 25 460 5184 71428
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TABLE 4 :7 NDS-CALL HISTORICAL* Amount Crore`
* excluding term money
Dealt Reported Total Call % Share in Total CallPeriod
TotalDaily
AverageTotal
DailyAverage
TotalDaily
AverageDealt Reported
2006-07 493219 3182 5422 35 2162259 12474 22.81 0.25
2007-08 2745948 9404 26089 89 3456187 11836 79.45 0.75
2008-09 3129843 10905 20480 71 3656962 12742 85.59 0.56
2009-10 2133034 6503 23792 73 2498354 7617 85.38 0.95
2010-11 2371700 9449 49464 197 2945857 11736 80.51 1.68
2011-12 3422484 11761 21071 72 4013031 13790 85.28 0.53
2012-13 3994931 13823 348914 1207 4677777 16186 85.40 7.46
Apr-13 381056 17321 58620 2665 440667 20030 86.47 13.30
May-13 334220 13369 65038 2602 401567 16063 83.23 16.20
Jun-13 313870 12555 74619 2985 388163 15527 80.86 19.22
Jul-13 306704 11796 73860 2841 380929 14651 80.51 19.39
Aug-13 266598 10664 63803 2552 330366 13215 80.70 19.31
Sep-13 250535 10439 70155 2923 323593 13483 77.42 21.68
Oct-13 256097 10244 69055 2762 321061 12842 79.77 21.51
Nov-13 283145 11798 70969 2957 356312 14846 79.47 19.92
2013-14 (Upto November 2013) 2392224 12205 546119 2786 2942658 15014 81.29 18.56
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sDecember 2013CCIL Monthly Newsletter
TABLE 48: FOREX SETTLEMENT*
FOREIGN EXCHANGE MARKETFOREX SETTLEMENT
Number of Participants: 81
Notes:*Commenced operations from November 12, 2002,# Cash and Tom settlement is with effect from February 5, 2004.Note : Spot figures are inclusive of spot leg of swap
Cash Tom Spot Forward Total AverageSettlement
Period TradesValue
(USD Mn)Value(` Cr)
TradesValue
(USD Mn)Value(` Cr)
TradesValue
(USD Mn)Value(` Cr)
TradesValue
(USD Mn)Value(` Cr)
TradesValue
(USD Mn)Value(` Cr)
TradesValue
(USD Mn)Value(` Cr)
2002-03 - - - - - - 74423 96483 462370 25809 39619 195665 100232 136102 658035 1101 1496 7231
2003-04 1036 5951 26861 1555 9150 41335 251258 354541 1627644 76668 131700 622691 330517 501342 2318531 1425 2161 9994
2004-05 8747 69882 312311 16178 112750 504325 356382 533015 2389936 85020 184133 835863 466327 899780 4042435 1976 3813 17129
2005-06 12946 154626 686160 21307 199621 885585 371059 585089 2594240 84337 240352 1073689 489649 1179688 5239674 2084 5020 22296
2006-07 14292 233010 1050413 25708 316585 1427018 481702 884740 3993765 85106 342646 1551883 606808 1776981 8023078 2550 7466 33710
2007-08 15118 318055 1279466 25598 409979 1652802 609676 1595080 6426403 106683 810551 3368161 757074 3133665 12726832 3181 13167 53474
2008-09 15633 358244 1651695 26536 498767 2299036 675439 1815114 8263760 119912 1086778 4722998 837520 3758904 16937489 3657 16414 73963
2009-10 15733 363904 1719714 27643 484848 2295137 759149 1467601 6951459 81424 672619 3245177 883949 2988971 14211486 3843 12996 61789
2010-11 19778 508131 2311739 32118 651100 2964603 1007258 2119061 9650122 90883 912745 4233688 1150037 4191037 19160153 4792 17463 79834
2011-12 22838 548644 2624112 34391 691043 3304720 1115364 2326368 11141856 110585 1076517 5128924 1283178 4642573 22199612 5579 20185 96520
2012-13 23375 610559 3316787 37349 823910 4477478 1216860 2276085 12374662 118554 1120379 5948085 1396138 4830933 26117013 6018 20823 112573
Apr-13 2186 65740 357442 3577 90822 494171 102935 191502 1041587 11802 117603 657856 120500 465667 2551056 6694 25870 141725
May-13 2311 66392 364730 3672 85106 466107 124143 217569 1193004 9589 93377 527951 139715 462444 2551792 6653 22021 121514
Jun-13 1853 46284 269502 3361 68211 395599 126403 208340 1208909 8601 79460 452420 140218 402295 2326430 7011 20115 116321
Jul-13 2071 51830 309521 3049 59086 352570 128485 217769 1300925 8936 85797 497016 142541 414482 2460032 6788 19737 117144
Aug-13 1853 47411 298172 2955 58546 366591 113355 177543 1111737 8318 73055 425812 126481 356554 2202312 6324 17828 110116
Sep-13 2069 47947 304738 2865 54003 344048 116144 177398 1142003 7983 75291 448465 129061 354639 2239254 6793 18665 117855
Oct-13 2186 57031 351371 3236 68296 421626 113712 167589 1034013 7749 73166 440042 126883 366083 2247052 6344 18304 112353
Nov-13 1836 48314 301969 2636 56303 351425 98481 152318 952344 7058 68661 417246 110011 325595 2022984 6471 19153 118999
2013-14 (UptoNovember 2013)
16365 430949 2557446 25351 540374 3192136 923658 1510028 8984522 70036 666410 3866807 1035410 3147760 18600912 6637 20178 119237
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TABLE 49: FOREX TRADE TYPE ANALYSIS
Percent
TABLE 50: FOREX DEAL SIZE ANALYSIS Percent
Cash Tom Spot ForwardSettlement Period
Trades Value Trades Value Trades Value Trades Value
2002-03 - - - - 74.25 70.89 25.75 29.11
2003-04 0.31 1.19 0.47 1.83 76.02 70.72 23.20 26.27
2004-05 1.88 7.77 3.47 12.53 76.42 59.24 18.23 20.46
2005-06 2.64 13.11 4.35 16.92 75.78 49.60 17.22 20.37
2006-07 2.36 13.11 4.24 17.82 79.38 49.79 14.03 19.28
2007-08 2.00 10.15 3.38 13.08 80.53 50.90 14.09 25.87
2008-09 1.87 9.53 3.17 13.27 80.65 48.29 14.32 28.91
2009-10 1.78 12.17 3.13 16.22 85.88 49.10 9.21 22.50
2010-11 1.72 12.12 2.79 15.54 87.58 50.56 7.90 21.78
2011-12 1.78 11.82 2.68 14.88 86.92 50.11 8.62 23.19
2012-13 1.67 12.64 2.68 17.05 87.16 47.11 8.49 23.19
Apr-13 1.81 14.12 2.97 19.50 85.42 41.12 9.79 25.25
May-13 1.65 14.36 2.63 18.40 88.85 47.05 6.86 20.19
Jun-13 1.32 11.50 2.40 16.96 90.15 51.79 6.13 19.75
Jul-13 1.45 12.50 2.14 14.26 90.14 52.54 6.27 20.70
Aug-13 1.47 13.30 2.34 16.42 89.62 49.79 6.58 20.49
Sep-13 1.60 13.52 2.22 15.23 89.99 50.02 6.19 21.23
Oct-13 1.72 15.58 2.55 18.66 89.62 45.78 6.11 19.99
Nov-13 1.67 14.84 2.40 17.29 89.52 46.78 6.42 21.09
2013-14 (Upto November 2013) 1.58 13.69 2.45 17.17 89.21 47.97 6.76 21.17
< 1 mn 1 mn> 1 mn<= 5 mn
> 5 mn<= 10 mn
> 10 mn<= 20 mn
> 20 mn
Settlement Period % tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
2002-03 21.93 7.23 52.61 38.74 24.53 46.47 0.70 4.42 0.19 2.25 0.04 0.89
2003-04 20.74 6.07 49.79 32.82 28.02 50.16 1.07 6.12 0.30 3.18 0.08 1.65
2004-05 21.26 4.77 44.14 22.88 31.22 47.19 1.94 8.70 0.97 8.21 0.47 8.25
2005-06 20.32 3.66 42.70 17.72 31.55 40.18 2.77 10.27 1.58 11.18 1.08 16.99
2006-07 21.57 3.29 39.00 13.32 32.03 34.85 3.68 11.50 1.95 11.41 1.77 25.64
2007-08 16.67 1.81 33.75 8.15 36.19 29.18 8.62 19.93 2.13 8.78 2.63 32.15
2008-09 17.00 1.64 32.19 7.17 35.41 25.85 10.31 22.22 2.16 8.20 2.93 34.92
2009-10 20.10 2.55 44.55 13.18 25.18 23.58 5.90 16.56 1.93 9.78 2.33 34.35
2010-11 18.75 2.21 46.50 12.76 24.77 21.89 5.31 13.81 1.92 9.18 2.75 40.15
2011-12 17.05 2.00 48.47 13.40 22.93 20.98 6.47 17.23 2.13 10.24 2.95 36.16
2012-13 23.80 2.79 46.36 13.40 18.86 17.81 6.25 17.54 1.96 9.88 2.77 38.57
Apr-13 24.06 2.58 45.73 11.83 18.05 15.08 6.62 16.66 2.10 9.52 3.44 44.33
May-13 24.04 2.98 48.77 14.74 17.84 17.21 4.96 14.48 1.63 8.61 2.76 42.00
Jun-13 25.21 3.48 49.27 17.17 17.26 19.22 4.58 15.40 1.52 9.15 2.17 35.59
Jul-13 28.46 3.98 45.76 15.74 16.57 18.13 5.33 17.74 1.56 9.33 2.31 35.08
Aug-13 30.53 4.35 43.54 15.44 16.98 18.89 5.22 17.86 1.45 8.85 2.29 34.60
Sep-13 29.42 4.36 46.44 16.90 15.68 18.18 4.55 15.91 1.61 10.02 2.30 34.63
Oct-13 31.09 4.45 45.74 15.85 15.05 16.55 3.94 13.16 1.56 9.35 2.62 40.64
Nov-13 29.74 4.13 46.41 15.68 15.53 16.68 4.06 13.24 1.56 9.13 2.69 41.13
2013-14 (UptoNovember 2013)
27.74 3.72 46.52 15.30 16.65 17.44 4.91 15.61 1.62 9.23 2.56 38.70
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TABLE 51: TENORWISE FORWARD TRADES ANALYSIS Percent
TABLE 52: MARKET SHARE - FOREX Percent
Top 'n' Players Top 5 Top 10 Top 15 Top 20
2002-03 33.65 57.73 72.42 83.30
2003-04 30.53 54.83 69.59 79.45
2004-05 29.00 49.45 63.61 73.61
2005-06 30.59 52.45 68.38 78.89
2006-07 31.15 50.93 65.08 73.69
2007-08 39.66 61.31 76.24 84.55
2008-09 39.65 62.30 76.97 85.71
2009-10 33.13 55.14 71.31 81.51
2010-11 34.94 57.30 73.56 82.97
2011-12 31.01 54.09 70.57 80.23
2012-13 31.53 52.64 68.22 78.40
Apr-13 28.30 49.27 66.42 78.68
May-13 28.18 48.89 64.71 76.16
Jun-13 26.68 47.17 63.24 74.63
Jul-13 29.07 49.63 65.32 75.45
Aug-13 32.87 52.93 66.31 76.68
Sep-13 29.24 50.20 64.25 74.08
Oct-13 27.67 48.57 63.47 74.81
Nov-13 29.34 50.19 64.16 73.85
2013-14 (Upto November 2013) 28.83 49.53 64.78 75.67
< 30 Days> 30 Days &<= 90 Days
> 90 Days &= 180 Days
> 180 Days &<= 365 Days
> 1 YearSettlement
Period% to
total noof trades
% tototalvalue
%t tototal noof trades
% tototalvalue
% tototal noof trades
% tototalvalue
% tototal noof trades
% tototalvalue
% tototal noof trades
% tototalvalue
2002-03 13.54 16.07 23.35 22.90 26.49 22.35 35.66 37.25 0.96 1.43
2003-04 17.19 22.50 23.97 24.84 22.80 20.24 35.34 31.77 0.70 0.65
2004-05 15.66 20.00 23.79 24.10 19.88 17.86 38.51 36.26 2.16 1.78
2005-06 17.99 22.84 21.79 24.18 17.55 15.18 40.52 36.16 2.15 1.64
2006-07 19.70 25.61 23.78 25.06 19.06 17.21 35.67 30.48 1.79 1.64
2007-08 16.41 31.47 26.83 25.83 22.63 17.22 32.70 24.46 1.44 1.02
2008-09 14.41 23.62 23.82 23.41 21.08 18.59 38.80 31.98 1.90 2.39
2009-10 14.36 20.88 22.08 20.57 18.47 15.06 43.59 41.57 1.50 1.92
2010-11 19.63 30.54 24.96 23.91 17.15 14.99 36.63 28.91 1.64 1.65
2011-12 18.49 22.62 22.99 22.75 16.91 15.79 39.61 36.86 2.00 1.98
2012-13 14.42 17.65 19.43 19.07 14.25 13.49 49.36 47.10 2.54 2.69
Apr-13 11.87 18.50 20.10 19.33 11.88 10.02 54.69 50.75 1.47 1.41
May-13 11.37 16.24 18.66 19.88 16.40 14.36 50.11 46.18 3.46 3.34
Jun-13 13.23 16.16 22.39 22.68 15.79 14.20 46.88 44.59 1.71 2.38
Jul-13 16.65 22.48 22.86 21.58 15.56 13.71 43.07 40.04 1.86 2.19
Aug-13 14.21 16.50 22.91 21.00 18.01 16.26 43.59 44.88 1.27 1.36
Sep-13 14.48 19.90 23.49 22.96 18.29 13.68 42.20 41.51 1.54 1.95
Oct-13 15.73 25.07 23.93 21.41 19.58 14.49 36.64 34.91 4.13 4.13
Nov-13 17.68 30.20 21.52 18.31 21.96 17.47 37.18 32.19 1.66 1.83
2013-14 (UptoNovember 2013)
14.17 20.28 21.82 20.81 16.77 13.96 45.12 42.65 2.12 2.29
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TABLE 53: CATEGORYWISE FOREX ACTIVITY - DEAL TYPE
Market Share (%)
TABLE 54: NETTING FACTOR - FOREX
Amount in USD Million
Settlement Period Gross Net Netting Factor (%)
2002-03 136102 24687 81.86
2003-04 501342 83849 83.28
2004-05 899778 94395 89.51
2005-06 1179688 115909 90.17
2006-07 1776980 171832 90.33
2007-08 3133665 239169 92.37
2008-09 3758905 209822 94.42
2009-10 2988971 177192 94.07
2010-11 4191037 212265 94.94
2011-12 4642573 214730 95.37
2012-13 4830933 222470 95.39
Apr-13 465667 21843 95.31
May-13 462444 23933 94.82
Jun-13 402295 23308 94.21
Jul-13 414482 21825 94.73
Aug-13 356554 18346 94.85
Sep-13 354639 18972 94.65
Oct-13 366083 18893 94.84
Nov-13 325595 18698 94.26
2013-14 (Upto November 2013) 3147760 165818 94.73
CATEGORY CASH TOM SPOT FORWARD
Foreign Banks 47.69 47.75 40.16 48.29
Public Sector Banks 36.23 34.02 37.40 29.53
Private Sector Banks 15.86 18.07 22.25 22.13
Cooperative Banks 0.17 0.15 0.19 0.05
Financial Institutions 0.05 0.01 0.00 0.00
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TABLE 55: CLS SETTLEMENT
CONTINUOUS LINKED SETTLEMENT (CLS)
Number of Participants: 31
Amount in USD Million
TABLE 56: CURRENCY WISE GROSS SETTLEMENT
CurrencyCurrency Wise Gross Volume
(in millions)MTM Rates
Gross Volume in USD(In millions)
US Dollar 18648.67 1.00000 18648.67
EURO 7745.87 1.36090 10541.35
GB Pound 4727.92 1.63471 7728.80
Japanese Yen 379641.82 0.00978 3712.11
Australian Dollar 2926.25 0.91244 2670.02
Singapore Dollar 606.41 0.79687 483.23
Swiss Franc 408.35 1.10651 451.85
Canadian Dollar 390.77 0.94592 369.64
NZ Dollar 217.69 0.81579 177.59
Swedish Krone 403.79 0.15278 61.69
SA Rand 338.65 0.09820 33.26
Danish Krone 167.71 0.18245 30.60
HK Dollar 125.10 0.12898 16.14
Norwegian Krone 76.43 0.16356 12.50
Total 44937.44
Settlement Period Trades Gross Value Net Value Netting Factor (%)
2005-06 39961 67858 10143 85.05
2006-07 138797 327380 33493 89.77
2007-08 188741 681369 51428 92.45
2008-09 247571 499318 53726 89.24
2009-10 295258 391932 52239 86.67
2010-11 394315 469873 60605 87.10
2011-12 441933 647151 76881 88.12
2012-13 570308 724121 55305 92.36
Apr-13 47796 56497 4780 91.54
May-13 54201 55542 3715 93.31
Jun-13 57076 57323 4333 92.44
Jul-13 60167 58666 4634 92.10
Aug-13 48544 47778 4668 90.23
Sep-13 47869 51671 4494 91.30
Oct-13 48449 52413 4833 90.78
Nov-13 40919 44865 4606 89.73
2013-14 (Upto November 2013) 405021 424755 36064 91.51
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TABLE 57: TOP 5 CURRENCY PAIRS - CLS
FOREX TRADING PLATFORM: FX-CLEAR
3Number of Participants: 7
TABLE 58: TRADING DETAILS
Amount in USD Million
Amount in USD Million
Sr. No. Currency Pair Gross Volume %
1 EUR/USD 14861 33.07
2 USD/GBP 12398 27.59
3 JPY/USD 5826 12.96
4 EUR/AUD 2663 5.93
5 AUD/USD 2505 5.58
6 Others 6684 14.87
Total 44939 100.00
Spot Daily AveragePeriod
Trades Value Trades Value
2003-04 881 646 5 4
2004-05 3329 2250 13 9
2005-06 16636 11893 67 48
2006-07 46553 33264 190 136
2007-08 73943 49139 297 197
2008-09 79125 46889 330 195
2009-10 99090 53435 415 224
2010-11 111023 58577 448 236
2011-12 124664 65197 522 273
2012-13 171398 87689 708 362
Apr-13 15345 7917 853 440
May-13 17629 9048 801 411
Jun-13 16609 8464 830 423
Jul-13 22351 11353 972 494
Aug-13 20184 10218 1009 511
Sep-13 21110 10737 1056 537
Oct-13 21960 11133 1046 530
Nov-13 18262 9264 961 488
2013-14 (Upto November 2013) 153450 78134 941 479
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DERIVATIVES
Number of Participants: 74
TABLE 59: INTEREST RATE SWAP TRANSACTIONS (MATCHED) - NOVEMBER 2013
TABLE : INTEREST RATE SWAP (MIBOR) MARKET SHARE -60 NOVEMBER 2013
Amount Crore and Share in %`
Amount Crore`
MIBOR MIFOR INBMK TOTALDate
Trades Volume Trades Volume Trades Volume Trades Volume
1-Nov-13 59 7875 6 400 - - 65 8275
5-Nov-13 43 2950 1 50 - - 44 3000
6-Nov-13 48 4475 - 0 - - 48 4475
7-Nov-13 53 3300 - 0 - - 53 3300
8-Nov-13 75 7625 4 200 - - 79 7825
11-Nov-13 74 6025 3 125 - - 77 6150
12-Nov-13 102 8575 4 200 - - 106 8775
13-Nov-13 72 8100 4 180 - - 76 8280
14-Nov-13 88 8275 2 100 - - 90 8375
18-Nov-13 27 4975 11 970 - - 38 5945
19-Nov-13 48 2825 15 1080 - - 63 3905
20-Nov-13 46 5175 4 160 - - 50 5335
21-Nov-13 37 3000 6 490 - - 43 3490
22-Nov-13 89 8050 2 105 - - 91 8155
25-Nov-13 19 1350 3 100 - - 22 1450
26-Nov-13 28 3730 12 925 - - 40 4655
27-Nov-13 83 6875 11 550 - - 94 7425
28-Nov-13 90 8350 8 310 - - 98 8660
29-Nov-13 75 5575 6 325 - - 81 5900
Total 1156 107105 102 6270 - - 1258 113375
Average 61 5637 5 330 - - 66 5967
Buy Sell TotalCategory
DealsMarketShare
NotionalAmount
MarketShare
DealsMarketShare
NotionalAmount
MarketShare
DealsMarketShare
NotionalAmount
MarketShare
Foreign Banks 840 72.66 81330 75.93 838 72.49 77405 72.27 1678 72.58 158735 74.10
Nationalized Banks 12 1.04 1000 0.93 1 0.09 50 0.05 13 0.56 1050 0.49
Primary Dealers 139 12.02 13425 12.53 157 13.58 16300 15.22 296 12.80 29725 13.88
Private Banks 165 14.27 11350 10.60 160 13.84 13350 12.46 325 14.06 24700 11.53
Total 1156 100.00 107105 100.00 1156 100.00 107105 100.00 2312 100.00 214210 100.00
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TABLE 6 : INTEREST RATE SWAP (MIFOR) MARKET SHARE -1 NOVEMBER 2013
Amount Crore and Share in %`
TABLE 62: TOP ‘N’ MARKET SHARE - IRS
TABLE 63: IRS TRADE SUMMARY (MATCHED)
Amount Crore`
Percent
MIBOR MIFOR
Top 1 13.39 16.51
Top 5 56.69 63.84
Top 10 83.11 89.23
MIBOR MIFOR INBMKPeriod
Trades Value Trades Value Trades Value
2007-08 79495 4728077 18139 647609 385 14365
2008-09 40912 2644846 4799 223663 132 6575
2009-10 20352 1452058 1050 53867 77 5125
2010-11 33057 2359722 1291 74911 150 8775
2011-12 33642 2451048 2101 109973 14 860
2012-13 22713 2021607 1252 75435 11 635
Apr-13 2161 200500 132 6036 0 0
May-13 3179 231617 104 4702 0 0
Jun-13 3426 276495 131 7789 0 0
Jul-13 3984 347525 157 8059 0 0
Aug-13 2698 216545 115 4950 0 0
Sep-13 1729 141525 124 6205 0 0
Oct-13 1299 135575 121 8160 0 0
Nov-13 1156 107105 102 6270 0 0
2013-14 (Upto November 2013) 19632 1656887 986 52171 - -
Buy Sell TotalCategory
DealsMarketShare
NotionalAmount
MarketShare
DealsMarketShare
NotionalAmount
MarketShare
DealsMarketShare
NotionalAmount
MarketShare
Foreign Banks 81 79.41 4915 78.39 43 42.16 3060 48.80 124.00 60.78 7975 63.60
Nationalized Banks 0 0.00 - 0.00 0 0.00 - 0.00 - 0.00 - 0.00
Primary Dealers 0 0.00 - 0.00 0 0.00 - 0.00 - 0.00 - 0.00
Private Banks 21 20.59 1355 21.61 59 57.84 3210 51.20 80.00 39.22 4565 36.40
Total 102 100.00 6270 100.00 102 100.00 6270 100.00 204.00 100.00 12540 100.00
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Number of Participants: 39
TABLE 64: OUTSTANDING POSITION IN IRS TRANSACTIONS
Amount Crore`
TABLE 65: NETTING FACTOR - IRS NON-GUARANTEED SETTLEMENT
Amount Crore`
MIBOR MIFOR INBMK TotalPeriod
TradesNotional
SumTrades
NotionalSum
TradesNotional
SumTrades
NotionalSum
2007-08 61665 3655595 16528 611566 368 13690 78561 4280852
2008-09 23732 1394018 11803 468045 461 18715 35996 1880778
2009-10 29853 1748787 8201 326852 450 20385 38504 2096024
2010-11 43197 2645709 6357 270080 542 26910 50096 2942699
2011-12 27613 1975121 6402 296491 520 25910 34535 2297521
2012-13 20958 1554242 6017 294937 489 24845 27464 1874024
2013-14 (Upto November 2013) 21913 1678590 5727 280225 458 22820 28098 1981635
Settlement Period Gross Amount Net Amount Netting %
2009-10 13827 3688 73.33
2010-11 22794 5250 76.97
2011-12 28328 7735 72.69
2012-13 23797 6732 71.71
Apr-13 1069 370 65.41
May-13 797 302 62.11
Jun-13 1251 454 63.73
Jul-13 1212 383 68.43
Aug-13 1448 400 72.37
Sep-13 1814 608 66.46
Oct-13 1685 663 60.65
Nov-13 1592 595 62.62
2013-14 (Upto November 2013) 10867 3774 65.27
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HIGHLIGHTS
• Zero coupon yields have moved to higher levels
across the curve as compared to the yields
prevailing a year back. In the last one month,
yields have, however, moved to lower levels
across the curve.
INTEREST RATE MOVEMENT
Chart 1: Zero Coupon Yield Curve
Chart 2: Sovereign Yield Curve
8.10
8.20
8.30
8.40
8.50
8.60
8.70
8.80
8.90
9.00
9.10
9.20
9.30
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31
Tenor
(%)
November 29, 2013 October 31, 2013 November 30, 2012
7.80
8.10
8.40
8.70
9.00
9.30
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30
Tenor (In years)
Zer
oC
oupon
Rat
e(%
)
November 29, 2013 October 31, 2013 November 30, 2012
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TABLE 66: SPREAD ANALYSIS - SDL
Note: Spread has been calculated on the basis of deals settled through CCIL taking into account only outright deals of 5 Crore andabove. The methodology and other information on the spread can be requested from Economic Research Department, CCIL
`
State No. of Trades Traded Volume ( Crore)` Average Spread (bps)
ANDHRA PRADESH 101 1070 36
BIHAR 7 72 42
CHHATTISGARH 3 6 25
GUJARAT 78 842 38
HARYANA 12 115 41
HIMACHAL PRADESH 7 437 43
KARNATAKA 53 942 41
KERALA 25 270 37
MADHYA PRADESH 7 90 41
MAHARASHTRA 283 2458 36
PUNJAB 8 88 38
RAJASTHAN 26 288 35
TAMIL NADU 115 1543 37
UTTAR PRADESH 23 196 40
WEST BENGAL 146 1593 41
Total 894 10009 38
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TA
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LD
MO
VEM
EN
T
Per
cent
YTM
Chan
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inYTM
(bps)
Yea
rN
ovem
ber
29,2013
Oct
ober
31,2013
Sep
tem
ber
30,2013
August
30,2013
July
31,
2013
June
30,
2013
May
31,
2013
Apri
l30,
2013
Mar
ch31,2013
Feb
ruar
y28,2013
Januar
y31,2013
Dec
ember
31,2012
Novem
ber
30,2012
Month
toM
onth
Yea
ron
Yea
r
2013
8.16
608.
3460
2014
8.75
488.
5351
9.08
3810
.869
29.
9125
7.57
357.
4977
7.66
748.
0151
7.94
957.
9743
8.01
778.
3239
2243
2015
8.40
418.
3535
8.62
799.
2322
9.37
517.
5620
7.31
787.
4539
7.73
637.
7088
7.74
657.
9141
7.93
505
47
2016
8.38
708.
5306
8.70
499.
8716
9.09
537.
5378
7.46
847.
4598
7.79
487.
8370
7.87
398.
0425
8.30
54-1
48
2017
8.54
098.
4907
8.69
849.
4271
8.95
437.
5868
7.34
887.
5321
7.87
437.
8557
7.87
418.
0203
8.15
315
39
2018
8.65
108.
5289
8.85
419.
2214
8.97
667.
6482
7.38
027.
5730
7.95
107.
8801
7.95
748.
1143
8.18
0212
47
2019
8.69
428.
6325
8.94
539.
3078
8.91
827.
6129
7.49
667.
7003
8.03
698.
0036
8.03
168.
2207
8.29
236
40
2020
8.86
418.
7193
8.99
769.
2243
8.75
307.
6710
7.35
247.
5327
7.83
407.
9406
7.97
268.
1122
8.18
3714
68
2021
9.04
008.
7810
8.93
269.
0841
8.67
207.
6890
7.49
087.
7884
8.04
768.
0061
8.02
308.
1726
8.23
8826
80
2022
9.08
408.
7254
9.20
979.
0430
8.61
307.
6347
7.46
027.
7393
7.95
367.
8459
7.89
348.
0601
8.16
8036
92
2023
9.00
708.
5970
8.67
898.
7426
8.23
857.
4518
7.23
898.
2514
8.10
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8.07
548.
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8.35
3941
65
2024
8.98
248.
9743
9.03
868.
9951
9.06
727.
6709
7.51
167.
8722
8.12
658.
0440
8.07
888.
2530
8.32
151
66
2025
9.15
168.
9809
9.22
099.
0720
8.65
397.
6523
7.42
337.
7810
8.06
387.
9439
7.99
198.
1563
8.29
1217
86
2026
9.14
868.
9846
9.20
499.
0900
9.12
247.
6550
7.43
737.
7946
8.06
797.
9411
8.00
018.
1683
8.27
7416
87
2027
9.07
428.
8378
9.07
789.
1131
9.15
387.
7576
7.45
437.
8656
8.10
758.
0001
8.02
598.
2323
8.33
2524
74
2028
9.19
109.
0433
9.24
529.
2482
8.75
507.
8267
7.56
997.
9632
8.23
138.
1123
8.15
028.
3225
8.43
8515
75
2030
9.08
958.
9870
9.29
529.
2123
8.71
387.
8221
7.49
467.
9639
8.23
948.
0852
8.09
688.
2506
8.38
6410
70
2032
9.16
559.
0512
9.29
749.
3058
8.65
407.
8250
7.49
927.
9204
8.18
268.
0572
8.07
198.
2365
8.36
2211
80
2034
9.24
779.
0357
9.30
139.
2821
8.68
837.
9335
7.61
098.
0524
8.31
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1716
8.17
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3719
8.50
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2035
9.27
329.
1501
9.41
929.
2252
8.80
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9421
7.61
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8.31
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8.17
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8.50
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2036
9.16
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8.40
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2040
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8.10
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8.45
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2042
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8.07
788.
2647
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-
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Primary market issuances fell marginally to 168 in
November 2013, as against 170 issuances in October
2013. Finance and infrastructure companies were the
major issuers with 101 issuances (60%) and 62
issuances (37%), respectively. Among other issuers,
other corporates and manufacturing companies
accounted for a share of 2% and 1%, respectively.
Fixed coupon bonds constituted 79.76% (134
bonds) of the total issuances, while floating rate
bonds and zero coupon bonds had a share of 12.50%
(21 bonds) and 7.74% (13 bonds), respectively. Out
of 168 issues, 41 issuances were in the 2 to 5 year
tenor. The maturity-wise analysis of activity in the
primary corporate bond market is given below:
TABLE 68: PRIMARY MARKET ISSUANCE CORPORATE BONDS - NOVEMBER 2013
Trading volumes in the secondary market fell by
25.97% to 56,574 crore in November 2013,
compared to 76,420 crore in October 2013. The
average traded volumes on the reporting platforms
were dispersed during the month with a significant
increase in average volumes reported on NSE
platform which stood at 937 crore compared to
316 crore in the previous month, while the volumes
reported on the FIMMDA and BSE platforms fell to
1774 crore and 266 crore, compared to 3044
crore and 278 crore, respectively in the previous
month.
Average AAA 5-year spreads increased to 91 bps from
76 bps in the previous month. In contrast to this, 10-
year AAA spreads narrowed to 55 bps compared to
82 bps in the previous month. Power Finance
Corporation and Housing Development Finance
Corporation were the two major traded corporates
in November 2013.
`
`
`
`
` ` `
`
Source: NSDL
CORPORATE BONDS
Tenor Buckets No. Fixed FloatingZero
CouponAvg. Fixed
Coupon (%)
Max.Coupon
(%)
Min.Coupon
(%)
FloatingBenchmark
<=1 year 10 3 1 6 10.90% 13.93% 9.38% Nifty Linked
> 1 year -<=2 years 35 28 6 1 11.50% 20.00% 5.00% Nifty Linked
> 2 years -<=5 years 41 22 14 5 12.89% 42.75% 8.70% Nifty Linked
>5 years -<=10 years 35 34 1 9.93% 14.70% 8.70% -
>10 years-<=15 years 30 30 8.91% 11.10% 8.01% -
>15 years 17 17 8.67% 9.00% 8.38% -
138
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PRIMARY ISSUANCE ANALYSIS
FIXED COUPON BONDS
TABLE 69: ANALYSIS OF CORPORATE BOND ISSUANCE
TABLE 70: RATING ANALYSIS OF CORPORATE BOND ISSUANCES
Type Sector Rating No.Avg.
TenorMax.Tenor
MinTenor
Avg.Coupon
(%)
Max.Coupon
(%)
Min.Coupon
(%)
PSU Finance AAA 15 10.54 20.01 3.00 8.91 9.75 8.18
PSU Finance NA 3 11.67 15.01 10.01 8.88 9.80 8.35
PSU Infrastructure AAA 42 9.82 20.01 2.00 8.73 8.92 8.18
PSU Infrastructure NA 3 6.67 10.01 5.00 9.37 9.80 8.50
PVT Finance AAA 15 7.72 20.01 1.01 9.29 10.70 8.01
PVT Finance AA 29 3.46 10.01 0.45 11.94 42.75 8.90
PVT Finance A 3 5.20 8.01 1.75 11.60 13.00 9.90
PVT Finance BBB 2 3.50 4.00 3.00 12.70 13.40 12.00
PVT Finance BB 2 5.00 6.00 4.00 14.70 14.70 14.70
PVT Finance NA 2 3.54 5.00 2.08 10.35 10.70 10.00
PVT Infrastructure AA 1 7.01 7.01 7.01 10.20 10.20 10.20
PVT Infrastructure A 4 2.26 5.00 1.01 11.95 13.00 11.60
PVT Infrastructure NA 10 4.18 8.59 1.99 15.18 21.00 11.60
PVT Manufacturing NA 1 2.00 2.00 2.00 5.00 5.00 5.00
PVT Others A 2 2.25 3.00 1.50 12.20 12.50 11.90
Rating No. Avg. Tenor Max. Tenor Min TenorAvg. Coupon
(%)Max. Coupon
(%)Min. Coupon
(%)
AAA 72 9.53 20.01 1.01 8.89 10.70 8.01
AA 30 3.58 10.01 0.45 11.88 42.75 8.90
A 9 3.23 8.01 1.01 11.89 13.00 9.90
BBB 2 3.50 4.00 3.00 12.70 13.40 12.00
BB 2 5.00 6.00 4.00 14.70 14.70 14.70
NA 19 5.57 15.01 1.99 12.22 21.00 5.00
139
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TABLE 71: TOP 5 ISSUANCES
TABLE 72: SECTOR ANALYSIS
TABLE 73: CATEGORY ANALYSIS
TABLE 74: NON-FIXED RATE BOND ISSUANCE ANALYSIS
VARIABLE/ZERO COUPON BONDS
Company No.Avg.
TenorMax.Tenor
MinTenor
Avg.Coupon
(%)
Max.Coupon
(%)
Min.Coupon
(%)
%Share
NHPC LIMITED 40 9.68 20.01 2.00 8.75 8.92 8.18 29.85
POWER FINANCE CORPORATION LIMITED 8 13.76 20.01 5.00 8.69 9.00 8.18 5.97
ECL FINANCE LIMITED 6 1.57 3.33 0.59 18.73 42.75 12.25 4.48
HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED 6 1.80 5.00 1.01 9.69 9.96 9.25 4.48
INDIA INFRASTRUCTURE FINANCE COMPANY LIMITED 6 15.01 20.01 10.01 8.42 8.75 8.01 4.48
Sector No. Avg. Tenor Max. Tenor Min TenorAvg. Coupon
(%)Max. Coupon
(%)Min. Coupon
(%)
Finance 71 6.32 20.01 0.45 10.65 42.75 8.01
Infrastructure 60 8.17 20.01 1.01 10.08 21.00 8.18
Manufacturing 1 2.00 2.00 2.00 5.00 5.00 5.00
Others 2 2.25 3.00 1.50 12.20 12.50 11.90
Type No. Avg. Tenor Max. Tenor Min TenorAvg. Coupon
(%)Max. Coupon
(%)Min. Coupon
(%)
PSU 63 9.93 20.01 2.00 8.81 9.80 8.18
PVT 71 4.51 20.01 0.45 11.76 42.75 5.00
Type No. Avg. Tenor Max. Tenor Min Tenor Remarks
Floating Rate 21 2.63 3.89 0.76 CNX NIFTY INDEX LINKED
Zero Coupon Bond 13 2.12 5.00 0.26 -
140
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SECONDARY MARKET ANALYSIS
Amount Crore`
TABLE 75: CORPORATE BONDS TRADING DETAILS
FIMMDA NSE BSE Deals on Exchange Total
Date
Trades Volume Trades Volume Trades Volume Trades Value Trades Volume
1-Nov-13 73 764 56 799 21 40 0 150 1603
5-Nov-13 57 885 30 617 16 70 0 103 1572
6-Nov-13 104 1017 52 491 29 441 0 185 1949
7-Nov-13 145 1897 38 331 33 334 0 216 2563
8-Nov-13 107 1156 44 437 28 575 0 179 2168
11-Nov-13 153 2291 65 1439 37 252 0 255 3982
12-Nov-13 132 1709 61 1005 34 287 0 227 3000
13-Nov-13 146 2965 83 2344 28 361 0 257 5669
14-Nov-13 142 2794 81 1945 19 84 0 242 4823
18-Nov-13 118 1309 35 109 16 57 0 169 1474
19-Nov-13 155 2422 83 1471 33 238 0 271 4131
20-Nov-13 128 1716 73 816 28 667 0 229 3199
21-Nov-13 156 1927 89 1297 31 363 0 276 3587
22-Nov-13 154 2060 76 1198 29 349 0 259 3607
25-Nov-13 124 1618 83 1056 25 129 0 232 2803
26-Nov-13 152 2228 65 628 31 270 0 248 3126
27-Nov-13 147 1805 96 888 36 350 0 279 3043
28-Nov-13 118 1450 69 357 20 102 0 207 1909
29-Nov-13 142 1704 62 572 18 91 0 222 2367
Total 2453 33715 1241 17800 512 5059 0 4206 56574
Average 129 1774 65 937 27 266 0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0 221 2978
141
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TABLE 76: HISTORICAL SUMMARYAmount Crore`
TABLE 77: CATEGORYWISE TRADING ANALYSIS
FIMMDA NSE BSEDeals onExchange
Total AveragePeriod
Trades Values Trades Values Trades Values Trades Values Trades Value Trades Value
2008-09 - 59502 - 48832 - 37495 - - - 145828 - 621
2009-10 - 192994 - 154737 - 54426 - - - 402157 - 1690
2010-11 31576 408603 7544 149373 4675 40628 - - 43795 598604 177 2423
2011-12 33126 351873 11932 191316 6381 48790 - - 51439 591979 216 2487
2012-13 36597 443430 20875 236306 8708 56612 - - 66180 736347 275 3055
Apr-13 4440 71452 2421 31396 1015 12394 - - 7876 115241 438 6402
May-13 4699 75788 2299 35031 1089 11305 65 7 8152 122131 371 5551
Jun-13 3199 51666 1933 30444 721 5273 53 181 5906 87565 295 4378
Jul-13 4049 62891 2260 35984 1055 11813 32 20 7396 110708 336 5032
Aug-13 2989 41058 1514 20417 835 7244 3 1 5341 68721 267 3436
Sep-13 2705 38254 1388 17610 620 6570 1 - 4714 62434 236 3122
Oct-13 3614 63933 890 6645 569 5841 3 - 5076 76420 242 3639
Nov-13 2453 33715 1241 17800 512 5059 - - 4206 56574 221 2978
2013-14 (UptoNovember 2013)
28148 438758 13946 195327 6416 65499 157 209 48667 699792 300 4320
CATEGORY Rating Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)
FINANCE AAA 2172 36789 4.73 84
FINANCE AA 384 3585 4.79 147
FINANCE A1 11 6 4.57 332
FINANCE A 71 545 10.19 87
FINANCE BBB 16 455 2.82 263
FINANCE BB 1 0 2.45 116
FINANCE NA 5 26 1.43 264
INFRASTRUCTURE AAA 610 8159 6.90 77
INFRASTRUCTURE AA 87 1500 7.89 70
INFRASTRUCTURE A1 2 10 0.59 189
INFRASTRUCTURE A 55 95 9.40 161
INFRASTRUCTURE BBB 4 3 7.23 325
INFRASTRUCTURE NA 8 245 2.00 864
MANUFACTURING AAA 78 82 6.98 160
MANUFACTURING AA 39 943 6.40 140
MANUFACTURING A1 2 70 0.35 44
MANUFACTURING A 1 6 4.09 287
MANUFACTURING NA 6 202 6.12 101
OIL AAA 8 66 2.95 107
OIL AA 11 56 13.03 76
OIL NA 5 20 4.24 95
OTHERS AAA 71 818 6.75 82
OTHERS AA 34 522 2.26 144
OTHERS A 6 194 3.86 276
OTHERS NA 8 143 2.88 211
142
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TABLE 78: RATING ANALYSIS
TABLE 79: CATEGORY ANALYSIS
TABLE 80: BOND TYPE ANALYSIS
TABLE 81: AAA SPREAD ANALYSIS
Maturity Buckets Average Spread (bps)
<=1 year 103
> 1 year -<=2 years 97
> 2 years -<=3 years 99
>3 years -<=5 years 95
>5 years-<=7 years 84
> 7 years 58
Rating Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)
AAA 2,939 45,913 5.28 85
AA 555 6,606 5.40 134
A1 15 86 3.31 266
A 133 839 9.43 132
BBB 20 458 4.48 286
BB 1 0 2.45 116
NA 32 636 3.15 316
Category Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)
FINANCE 2,660 41,406 4.93 99
INFRASTRUCTURE 766 10,011 7.21 101
MANUFACTURING 126 1,302 6.50 148
OIL 24 142 8.00 90
OTHERS 119 1,676 5.01 124
Type of Bond Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)
FIXED 3,573 53,156 5.59 102
ZERO COUPON 65 1,098 2.97 129
Floating 46 130 3.35 -2
NA 11 154 3.82 195
143
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statisticsstatistics
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CERTIFICATES OF DEPOSIT AND COMMERCIAL PAPERS
TABLE 83: CDs AND CPs TRADING DETAILS Amount Crore`
TABLE 84: HISTORICAL SUMMARY - CP AND CD Amount Crore`
CDs CPsPeriod
Trades ValueAverageValue
Trades ValueAverageValue
2012-13 20584 1018664 7382 6663 379785 2752
Apr-13 4136 216936 12052 835 45728 2540
May-13 3415 168659 7666 889 54120 2460
Jun-13 3033 166302 8315 811 45937 2297
Jul-13 3259 173356 7880 5411 55587 2527
Aug-13 1892 67180 3359 585 29230 1462
Sep-13 2380 109513 5476 2855 23791 1190
Oct-13 1643 60599 2886 614 36099 1719
Nov-13 1720 82878 4362 642 33583 1768
2013-14 (Upto November 2013) 21478 1045423 6453 12642 254394 1570
CDs CPs TotalDate
Trades Value Trades Value Trades Value
1-Nov-13 101 37 2578 138 7458
5-Nov-13 85 27 1406 112 4346
6-Nov-13 65 31 1720 96 4308
7-Nov-13 91 47 2273 138 6999
8-Nov-13 68 31 1143 99 4047
11-Nov-13 69 24 544 93 3281
12-Nov-13 79 30 1104 109 4069
13-Nov-13 114 13 446 127 4646
14-Nov-13 96 36 1063 132 5894
18-Nov-13 90 23 935 113 6620
19-Nov-13 64 20 1392 84 4323
20-Nov-13 88 29 1499 117 6100
21-Nov-13 93 24 1056 117 5664
22-Nov-13 96 25 1471 121 6002
25-Nov-13 109 37 2853 146 8561
26-Nov-13 104 44 1723 148 6500
27-Nov-13 80 35 2478 115 6823
28-Nov-13 86 65 3801 151 8052
29-Nov-13 142
4880
2940
2588
4725
2904
2736
2965
4200
4830
5685
2931
4601
4607
4531
5708
4777
4344
4251
8669 64 4093 206 12762
Total 1720 82877 642 33582 2362 116460
Average 91 4361 34 1767 124 6129
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TABLE 85: CERTIFICATE OF DEPOSIT - TENORWISE TRADING ANALYSIS
Residual Maturity(Months)
Trades Traded Amount (` Crore) WAY (%)
1 411 19640 8.6564
2 448 26221 9.0640
3 306 19618 9.0857
4 195 6932 9.1600
5 61 1622 9.0456
6 4 20 9.9366
7 17 553 9.3356
8 22 605 9.2168
9 6 176 9.4472
10 64 2090 9.4090
11 120 4024 9.3419
12 66 1372 9.2388
Total 1720 82877 9.0092
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• Launch of the Phase II
of the Reporting Platform for Inter-bank
OTC Forex Derivatives.
• Migration of Securities
Settlement to CBS.
• Launch of the Trade
Repository service for OTC Foreign
Exchange Derivatives. The first phase begins
with the capture of all inter-bank forex
forwards and swaps in the USD-INR
currency pair, and currency options in FCY-
INR.
• The web-based NDS-OM
module for online trading in secondary
market for Government Securities by gilt
account holders (GAH) was launched. The
module permits internet-based direct
participation of gilt account holders in
secondary market for G-secs.
• The settlement MNSB files
for CCIL's Derivatives, Forex, CBLO and
Securities Segment migrated to Core
Banking Solution (CBS) of RBI from RTGS.
• The NDS-Auction
Web Based Module was launched to
facilitate direct internet based access to Gilt
Account Holders to directly participate in
Primary auctions of Gilts.
• The FIMMDA
Integrated Reporting Platform (F-TRAC),
developed and maintained by Clearcorp
Dealing Systems (India) Ltd., was launched.
The platform is for reporting deals in
Corporate bonds, Corporate bond Repo
and CDs/CPs.
Credit Default Swaps
(CDS) for Corporate Bonds started, with
CDS trade reporting on CCIL's Online
Reporting Engines (CORE).
Market Repos in
STRIPS instruments now facilitated on
CROMS New Version implemented
effective 08 Oct '11. Several other
functionality enhancements also form part
of the CROMS New Version.
CCIL on July 28, 2011
successfully carried out a Portfolio
Compression exercise in the OTC Interest
Rate Swaps market.
• Launch of CCIL's new web
portal.
• CCIL started settlement
of 'India-Pay Mobile Payment Service - India
Pay Switch' file on a Non Guaranteed basis.
• Launch of FX-SWAP
Dealing System an anonymous order driven
matching system which allows trading in 15
Instruments; including 3 upto Spot
instruments (namely, Cash-Tom, Tom-Spot
& Cash-Spot) and 12 month-end Forward
instruments i.e. Spot over Month 1 end to
Month 12 end. FX-SWAP is the fi rst of its
kind platform which offers guaranteed
settlement of forward trades from the point
of trade. However, trades up to the spot leg
are subject to bilateral limits.
November 5, 2012 -
October 29, 2012 -
July 9, 2012 -
June 29, 2012 -
June 14, 2012 -
February 21, 2012 -
December 1, 2011 -
• December 1, 2011 -
• October 08, 2011 -
• July 28, 2011 -
June 27, 2011 -
August 11, 2010 -
May 31, 2010 -
Milestones
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• CCIL commenced the
settlement of forex forward trades with
guarantee from the trade date.
• The CCIL Tenor Index was
launched to capture the tenor wise
movement across the term structure.
• The CCIL SDL Index was
launched to track the market for SDLs
through a representative index.
• Version 2 of NDS Auction
module went live to facilitate bidding in
primary Dated Securities auctions.
• CCIL became the first
organization to be granted authorisation by
the Reserve Bank of India under “The
Payment & Settlement Systems Act- 2007”.
• Clearcorp launched
'Clearcorp Repo Order Matching System'
(CROMS), a STP enabled electronic
anonymous order matching platform to
facilitate dealing in market repos in
government securities. CROMS facilitates
dealing in two kinds of Repos viz. Basket
Repos and Special Repos for T+0 and T+1
settlement tenors.
• CCIL launched the CCIL
Certifi cation Programme (CCP), an
onlinetesting and certifi cation programme.
CCIL commenced
Non-Guaranteed Settlement of OTC Trades
in Rupee Derivatives.
• The Depository Trust
& Clearing Corporation (DTCC) and The
Clearing Corporation of India Limited
(CCIL) have signed a Memorandum of
Understanding (MOU) aimed at promoting
closer collaboration between the two market
infrastructure organizations.
• Version 2.0 of
electronic screen-based quote
driven dealing system for Call, Notice &
Term money was launched. The
enhancements include User hierarchy with
multiple user levels with pre set role
privileges and risk mitigation measures such
as assigning Single Order Limit and setting
up of exposure limits for Counterparties at
various levels.
• CCIL's reporting
platform for the transactions in
became operational.
• CCIL started releasing the
through it's
website.
• Version 3.0 of the NDS-OM
was launched enabling Odd Lot trading,
trading of new securities in the When Issued
market and trading of CSGL entities on this
platform.
• The
extended to Non-NDS Associate Members.
• CCIL launched the
CCIL
based on
Dealt Quotes from NDSCall.
• Euroclear and The
Clearing Corporation of India Limited
(CCIL) signed a
(MOU) regarding post-
December 1, 2009 -
June 1, 2009 -
June 1, 2009 -
May 11, 2009 -
February 11, 2009 -
January 27, 2009 -
January 1, 2009 -
• November 27, 2008 -
November 12, 2007 -
September 10, 2007 -
NDSCALL
August 30, 2007 -
OTC
Interest Rate Derivatives (Interest Rate
Swaps and Forward Rate Agreements
(IRS/FRA))
July 03, 2007 -
Daily Spot Reference Rates
May 21, 2007 -
March 5, 2007 - eNotice System
January 25, 2007 -
MIBOR (CCIL Mumbai Inter-
Bank Offer Rate)/MIBID (CCIL
Mumbai Inter-Bank Bid Rate)
January 16, 2007 -
Memorandum of
Understanding
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trade processing collaboration.
• NDS - CALL, an
electronic screen-based quote driven dealing
system for all Call, Notice and Term Money
operations was launched.
• Launch of
in CBLO segment.
• CCIL launched its
eNotice System available to all members for
sending their collateral notices in electronic
form.
•
which would reflect
the broad movement of the market as it
contains all available sovereign bonds. The
base date of the index is January 1, 2004.
• CCIL receives the
certification for securing its
information assets.
• Version - 2.0 of the
launched, enabling
trading in Treasury Bills and the When
Issued market.
• CCIL has launched
Overnight Collateralised Benchmark
Reference Rates for Indian market, namely
The
rates are disseminated at 10:10 A.M. from
Monday to Friday. The historical data is
available in CCIL website (http:
//www.ccilindia.com) from January 2004.
•
commenced operations.
• RBI launched the
anonymous screen based order matching
trading module for govt. securities on its
Negotiated Dealing SystemOrder Matching
Segment (NDS-OM) with CCIL as the
central counterparty to all deals.
• CCIL released its T-Bill Index
consisting of two T-bill indices CCIL
EQUAL WEIGHT T-Bills INDEX and
CCIL LIQUIDITY WEIGHT T-Bills
INDEX. The CCIL T-Bills Indices are
instruments that would capture the market
movement in the short term maturity
segment.
Commenced settlement of
cross currency transactions through CLS.
• February 7, 2005 - Started releasing intra-day
comparative money market rates of Call,
Repo and CBLO markets on its website.
Released its Sovereign
Bond Indices, CCIL BROAD GILTS
INDEX, Consisting of top 20 securities and
CCIL LIQUID GILTS INDEX, consisting
of the 5 most liquid bonds, to track the
movement of the government securities
market.
• Govt. Securities
Lending and Borrowing Scheme was
operationalised.
• Started clearing and
settlement of ATM transactions of National
Financial Switch operated by Institute for
Development and Research in Banking
September 18, 2006 -
September 11, 2006 - Intraday
Securities Withdrawal
September 4, 2006 -
September 4, 2006 - CCIL released its
CCIL ALL SOVEREIGN BOND
INDICES (CASBI),
August 2006 - ISO/IEC
27001:2005
July 31, 2006 - NDS -
OM Trading Platform
March 20, 2006 -
CCIL Collateralised Benchmark Bid
Rate (CCBID) and CCIL Collateralised
Benchmark Offer Rate (CCBOR).
August 16, 2005 - CBLOi (Internet
Trading System for Non-NDS Members)
August 1, 2005 -
May 2, 2005 -
• April 6, 2005 -
• January 31, 2005 -
October 14, 2004 -
August 27, 2004 -
Milestones
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Technology (IDRBT).
• Rakshitra frequency
enhanced from quarterly to monthly.
• Operationalised “Straight
Through Processing” arrangement for
settlement of foreign exchange trades done
on FXCLEAR.
• Commenced net
settlements in Government Securities as per
DVP III Guidelines of Reserve Bank of
India.
• Non-NDS Members
commence CBLO operations.
• Extended scope of
coverage of foreign exchange settlements to
include INR/USD Cash and TOM trades.
• Electronic movement
of Member Margins / Collaterals facilitated
through “Value Free Transfer Module” of
NDS.
• Launched Electronic
Currency Dealing Platform “FX Clear” to
facilitate inter-bank foreign exchange
dealing.
• Operationalised
Anonymous Auction System to facilitate
Buy Back of Government Securities by
Government of India.
• Set up a wholly owned
Subsidiary Company Clearcorp Dealing
Systems (India) Pvt. Ltd. to manage dealing
platforms in Money and Currency Markets.
• All trades in the securities
settlement routed through CCIL.
• Commenced
publication of Zero Coupon Yield Curve on
Website.
• Launched new Money
Market Instrument “Collateralised
Borrowing and Lending Obligation”
(CBLO) a repo variant with several unique
features for NDS Members.
• Commenced
guaranteed settlement of inter-bank foreign
exchange Spot trades in INR/USD and
Forward Trades on Spot Window.
• Started publication of
“Weekly Market Update” containing weekly
statistics and analysis of settlement
information and important market
developments.
• Launched Quarterly
Publication “Rakshitra” containing articles
in relevant operational areas as also detailed
statistics and analysis of settlement
information.
• Extended facility of
guaranteed settlement for trades in
Government Securities.
• Commenced clearing
and settlement of market trades in
Government Securities co-terminus with
operationalization of Reserve Bank of
India's Negotiated Dealing System (NDS).
August 1, 2004 -
June 15, 2004 -
April 2, 2004 -
March 5, 2004 -
February 5, 2004 -
October 18, 2003 -
August 7, 2003 -
July 19, 2003 -
June 4, 2003 -
April 1, 2003 -
February 15, 2003 -
January 20, 2003 -
November 8,2002 -
October 25, 2002 -
October 17, 2002 -
April 10, 2002 -
February 15, 2002 -
• Incorporated as India's first
clearing house for settlement of market trades
in Government Securities and inter-bank
foreign exchange transactions.
April 30, 2001 -
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Key personnelKey personnel
KEY PERSONNEL/HODs
Mr. R. Sridharan Managing Director 61546511
Person Designation and Department Phone No.
Mr. Ravi Rajan Executive Vice President 61546363
Mrs. Indirani Rao Chief Forex Officer 61546451
Mr. O.N. Ravi Company Secretary & Corporate Development Officer 61546541/6546
Mr. S. Roy Chief Risk Officer 61546411
Mr. Deepak Chande Senior Vice President, Finance & Accounts 61546561
Mr. Pradeep. K. Naik Senior Vice President, Operations (Fixed Income & Money Market) 61546481
Mr. C Kajwadkar Senior Vice President, Information Technology 61546212
Dr. Golaka C. Nath Senior Vice President, Economic Research & Surveillance, Membership, HRD 61546581
Mr. Kamal Singhania Vice President, Forex 61546320
Mr. Praveen Mata Vice President, Information Technology 61546213
Mr. K. B. Biju Asst. Vice President, Product Development 61546365
Mr. Amol Pradhan Asst. Vice President, Collateral & Funds Management 61546482
Mr. Santosh Bhalerao Asst. Vice President, Information Technology 61546214
Mr. N. Venkatraman Asst. Vice President, Operations (Fixed Income & Money Market) 61546390/6490
Mr. Pradyumna S. Odak Asst. Vice President, Membership 61546551
Mr. Rajesh Salunkhe Jr. Vice President, Product Development 61546348
Mr. S. Ramesh Jr. Vice President, Product Development 61546333
Mr. S.T.P. Venugopal Jr. Vice President, Risk Management 61546413
Mrs. Shyamala Gopinath Chairperson 61546512
Mr. Anupam Kumar Mitra Asst. Vice President, Derivatives 61546471
DISCLAIMER: This Newsletter contains information relating to the operations of The Clearing Corporation of India Ltd. (CCIL), its Members
and The Reserve Bank of India. While CCIL has taken every care to ensure that the information and/or data provided are accurate and complete,
CCIL does not warrant or make any representation as to the accuracy and completeness of the same. Accordingly, CCIL assumes no responsibility
for any errors and omissions in any section or sub-section of this Newsletter.
The views expressed in the articles by the authors are their own and CCIL does not accept any responsibility. CCIL shall not be liable to any
member or any other person for any direct consequential or other damages arising out of the use of this Newsletter.
Valuable feedback & suggestions are welcome at [email protected]
Published by the Research Department, CCIL
Previous Issues
DISCLAIMER: This Newsletter contains information relating to the operations of The Clearing Corporation of India Ltd. (CCIL), its Members
and The Reserve Bank of India. While CCIL has taken every care to ensure that the information and/or data provided are accurate and complete,
CCIL does not warrant or make any representation as to the accuracy and completeness of the same. Accordingly, CCIL assumes no responsibility
for any errors and omissions in any section or sub-section of this Newsletter.
The views expressed in the articles by the authors are their own and CCIL does not accept any responsibility. CCIL shall not be liable to any
member or any other person for any direct consequential or other damages arising out of the use of this Newsletter.
Rakshitra Vol I No. I (Jul - Sep ‘02)
Rakshitra Vol I No. II (Oct - Dec ‘02)
Rakshitra Vol I No. III (Jan - Mar ‘03)
Rakshitra Vol II No. I (Apr - Jun ‘03)
Rakshitra Vol II No. II (Jul - Sep ‘03)
Rakshitra Vol II No. III (Oct - Dec ‘03)
Rakshitra Vol II No. IV (Jan - Mar ‘04)
Rakshitra Vol III No. I (Apr - Jun ‘04)
Rakshitra Vol III No. II (August ‘04)
Rakshitra Vol III No. III (September ‘04)
Rakshitra Vol III No. IV (October ‘04)
Rakshitra Vol III No. V (November ‘04)
Rakshitra Vol III No. VI (December ‘04)
Rakshitra Vol III No. VII (January ‘05)
Rakshitra Vol III No. VIII (February ‘05)
Rakshitra Vol III No. IX (March ‘05)
Rakshitra Vol III No. X (April ‘05)
Rakshitra Vol III No. XI (May ‘05)
Rakshitra Vol III No. XII (June ‘05)
Rakshitra Vol III No. I (July ‘05)
Rakshitra Vol III No. II (August ‘05)
Rakshitra Vol IV No. III (September ‘05)
Rakshitra Vol IV No. IV (October ‘05)
Rakshitra Vol IV No. V (November ‘05)
Rakshitra Vol IV No. VI (December ‘05)
Rakshitra Vol IV No. VII (January ‘06)
Rakshitra Vol IV No. VIII (February ‘06)
Rakshitra Vol IV No. IX (March ‘06)
Rakshitra Vol IV No. X (April ‘06)
Rakshitra Vol IV No. XI (May ‘06)
Rakshitra Vol IV No. XII (June ‘06)
Rakshitra Vol V No. I (July ‘06)
Rakshitra Vol V No. II (August ‘06)
Rakshitra Vol V No. III (September ‘06)
Rakshitra Vol V No. IV (October ‘06)
Rakshitra Vol V No. V (November ‘06)
Rakshitra Vol V No. VI (December ‘06)
Rakshitra Vol V No. VII (January ‘07)
Rakshitra Vol V No. VIII (February ‘07)
Rakshitra Vol V No. IX (March ‘07)
Rakshitra Vol V No. X (April '07)
Rakshitra Vol V No. XI (May '07)
Rakshitra Vol V No. XII (June '07)
Rakshitra Vol VI No. I (July '07)
Rakshitra Vol VI No. II (August '07)
Rakshitra Vol VI No. III (September '07)
Rakshitra Vol VI No. IV (October '07)
Rakshitra Vol VI No. V (November '07)
Rakshitra Vol VI No. VI (December '07)
Rakshitra Vol VI No. VII (January '08)
Rakshitra Vol VI No. VIII (February '08)
Rakshitra Vol VI No. IX (March '08)
Rakshitra Vol VI No. X (April '08)
Rakshitra Vol VI No. XI (May '08)
Rakshitra Vol VI No. XII (June '08)
Rakshitra Vol VII No. I (July '08)
Rakshitra Vol VII No. II (August '08)
Rakshitra Vol VII No. III (September '08)
Rakshitra Vol VII No. IV (October '08)
Rakshitra Vol VII No. V (November ‘08)
Rakshitra Vol VII No. VI (December ‘08)
Rakshitra Vol VII No. VII (January ‘09)
Rakshitra Vol VII No. VIII (February ‘09)
Rakshitra Vol VII No. IX (March ‘09)
Rakshitra Vol VII No. X (April ‘09)
Rakshitra Vol VII No. XI (May ‘09)
Rakshitra Vol VII No. XII (June ‘09)
Rakshitra Vol VIII No. I (July ‘09)
Rakshitra Vol VIII No. II (August ‘09)
Rakshitra Vol VIII No. III (September ‘09)
Rakshitra Vol VIII No. IV (October ‘09)
Rakshitra Vol VIII No. V (November ‘09)
Rakshitra Vol VIII No. VI (December ‘09)
Rakshitra Vol VIII No. VII (January ‘10)
Rakshitra Vol VIII No. VIII (February ‘10)
Rakshitra Vol VIII No. IX (March ‘10)
Rakshitra Vol VIII No. X (April ‘10)
Rakshitra Vol VIII No. XI (May ‘10)
Rakshitra Vol VIII No. XII (June‘10)
Rakshitra Vol IX No. I (July‘10)
Rakshitra Vol IX No. II (August ‘10)
Rakshitra Vol IX No. III (September ‘10)
Rakshitra Vol IX No. IV (October ‘10)
Rakshitra Vol IX No. V (November ‘10)
Rakshitra Vol IX No. VI (December ‘10)
Rakshitra Vol IX No. VII (January ‘11)
Rakshitra Vol IX No. VIII (February ‘11)
Rakshitra Vol IX No. IX (March ‘11)
Rakshitra Vol IX No. X (April ‘11)
Rakshitra Vol IX No. XI (May ‘11)
Rakshitra Vol IX No. XII (June ‘11)
Rakshitra Vol X No. I (July ‘11)
Rakshitra Vol X No. II (August ‘11)
Rakshitra Vol X No. III (September ‘11)
Rakshitra Vol X No. IV (October ‘11)
Rakshitra Vol X No. V (November '11)
Rakshitra Vol X No. VI (December '11)
Rakshitra Vol X No. VII (January '12)
Rakshitra Vol X No. VIII (February '12)
Rakshitra Vol X No. IX (March '12)
Rakshitra Vol X No. X (April '12)
Rakshitra Vol X No. XI (May '12)
Rakshitra Vol X No. XII (June '12)
Rakshitra Vol XI No. I (July '12)
Rakshitra Vol X No. II (August '12)
Rakshitra Vol X No. III (September ‘12)
Rakshitra Vol X No. IV (October ‘12)
Rakshitra Vol X No. V (November ‘12)
Rakshitra Vol X No. VI (December ‘12)
Rakshitra Vol X No. VII (January ‘13)
Rakshitra Vol. X No. VIII (February '13)
Rakshitra Vol. X No. IX (March '13)
Rakshitra Vol. X No. X (April '13)
Rakshitra Vol. X No. XI (May '13)
Rakshitra Vol. X No. XII (June '13)
Rakshitra Vol. XI No. I (July '13)
Rakshitra Vol. XI No. II (August '13)
Rakshitra Vol. XI No. III (September '13)
Rakshitra Vol. XI No. IV (October '13)
Rakshitra Vol. XI No. V (November '13)