CCIL Monthly Newsletter
Amount Crore`
StatisticsTABLE 11: CCIL SETTLEMENT DETAILS
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*Commenced operations from November 12, 2002, Cash and Tom settlement is with effect from February 5, 2004.
**Launched on November 5, 2018
Outright Repo (First + Second Leg) Forex* TREP**
SettlementPeriod Trades Value
Avg.Trades
Avg.Vol
Trades ValueAvg.
TradesAvg.Vol
TradesValue(USD
Million)
Avg.Trades
Avg.Vol
(USDMillion)
Trades ValueAvg.
TradesAvg.Vol
2002-03 191843 1076147 646 3623 23284 933509 78 3143 100232 136102 1101 1496 - - - -
2003-04 243585 1575133 820 5303 41886 1887266 142 6419 330517 501342 1425 2161 - - - -
2004-05 160682 1134222 550 3884 48726 3116185 167 10672 466327 899782 1976 3813 - - - -
2005-06 125509 864751 467 3215 51332 3386870 176 11599 489649 1179688 2084 5020 - - - -
2006-07 137100 1021536 562 4187 58009 5112560 199 17509 606808 1776981 2550 7466 - - - -
2007-08 188843 1653851 765 6696 53258 7893536 182 27033 757074 3133665 3181 13167 - - - -
2008-09 245964 2160233 1047 9192 48561 8187856 169 28529 837520 3758904 3657 16414 - - - -
2009-10 316956 2913890 1332 12243 57289 12142409 201 42605 883949 2988971 3843 12996 - - - -
2010-11 332540 2870952 1346 11623 54842 8207508 187 27917 1150037 4191037 4792 17463 - - - -
2011-12 412266 3488203 1732 14656 59573 7524816 205 25858 1283178 4642573 5579 20185 - - - -
2012-13 658055 6592032 2731 27353 83141 10804188 288 37385 1396138 4830933 6018 20823 - - - -
2013-14 820330 8956699 3390 37011 92795 14454046 317 49331 1512215 4743321 6490 20358 - - - -
2014-15 977948 10156162 4126 42853 109391 15735514 381 54828 1731706 5297790 7595 23236 - - - -
2015-16 883167 9728541 3665 40367 135623 17249279 490 62272 1885129 5489286 8056 23458 - - - -
2016-17 1342410 16874146 5570 70017 167888 23564763 622 87277 1926106 6274978 8302 27047 - - - -
2017-18 918737 11399881 3812 47302 198953 25636498 748 96378 2174774 6494454 9294 27754 - - - -
Apr-18 82698 882896 4353 46468 15473 1844609 737 87839 204484 617281 10762 32488 - - - -
May-18 57263 604564 2603 27480 20407 2323152 850 96798 233206 618687 11105 29461 - - - -
Jun-18 58834 667083 2802 31766 20169 2396860 877 104211 205566 549763 9789 26179 - - - -
Jul-18 61508 665482 2796 30249 19879 2317397 828 96558 205133 559823 9768 26658 - - - -
Aug-18 60810 728465 3041 36423 17643 2223138 802 101052 200625 543127 10031 27156 - - - -
Sep-18 72531 756009 4030 42001 17411 2316858 829 110327 197804 512974 11636 30175 - - - -
Oct-18 67167 770186 3198 36676 20845 3186953 906 138563 212804 586207 10640 29310 - - - -
Nov-18 58809 737819 3267 40990 15897 2260313 795 113016 162717 469127 10170 29320 14656 2350813 862 138283
Dec-18 85982 1137750 4299 56888 16978 2165473 738 94151 196452 552408 9823 27620 18126 3018160 788 131224
Jan-19 76283 877342 3317 38145 18256 2120686 730 84827 199411 546561 9496 26027 20149 3226889 806 129076
2018-19 (UptoJanuary 2019)
681885 7827597 3343 38371 182958 23155439 810 102458 2018202 5555958 10297 28347 52931 8595862 814 132244
February 2019
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TABLE 12: CATEGORYWISE BUYING ACTIVITY Percent
Percent
* Call, Notice and Term Money segment.** Includes Small Finance and Payment Banks
TABLE 13: CATEGORYWISE SELLING ACTIVITY
* Call, Notice and Term Money segment.** Includes Small Finance and Payment Banks
statistics
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Category Outright
ReverseRepo
(FundsLending)
TREPLending@
UncollateralisedMoney Market
Lending*Forex
IRS-MIBOR
IRS-MIFOR
Co-operative Banks 3.04 0.27 1.20 30.04** 0.22 - -
Financial Institutions 0.29 0.14 0.69 - 0.01 - -
Foreign Banks 27.08 23.72 0.98 8.96 44.29 43.71 57.29
Insurance Companies 1.86 9.01 20.85 - - - -
Mutual Funds 7.43 48.19 64.37 - - - -
Others 5.53 0.00 7.97 - - - -
Primary Dealers 11.51 2.26 0.00 0.03 - 30.37 0.00
Private Sector Banks 22.88 12.02 1.72 31.83 26.30 23.29 42.71
Public Sector Banks 20.38 4.39 2.23 29.14 29.18 2.63 0.00
Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00
Category OutrightRepo
(FundsBorrowing)
TREPBorrowing@
UncollateralisedMoney Market
Borrowing*Forex
IRS-MIBOR
IRS-MIFOR
Co-operative Banks 2.78 4.01 2.85 1.16** 0.22 - -
Financial Institutions 0.23 1.28 7.89 - 0.00 - -
Foreign Banks 28.99 27.13 5.99 14.87 44.90 54.72 66.28
Insurance Companies 1.80 0.00 0.07 - - - -
Mutual Funds 7.92 0.31 7.26 - - - -
Others 3.49 5.75 6.43 - - - -
Primary Dealers 14.54 34.50 7.01 24.57 - 14.26 0.00
Private Sector Banks 22.62 11.77 11.97 15.57 26.32 28.59 33.72
Public Sector Banks 17.62 15.26 50.52 43.83 28.56 2.43 0.00
Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00F
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CCIL Monthly Newsletter
TABLE 14: COMPARABLE RATES Percent
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Money Market Rates (WAR) Benchmark Rates Auction Cut-offs Policy Rates
DateCall Repo TREP
FBIL-OvernightMIBOR(10:45A.M.)
FBIL-MROR(10:45A.M.)
FBIL-TermMIBOR 14
DAYS(11:45A.M.)
FBIL-TermMIBOR 1
Month(11:45A.M.)
FBIL-TermMIBOR 3Months(11:45A.M.)
10YBenchmark
(WAY)91 DTB
182DTB
364DTB
LAFRepo
LAFReverseRepo
1-Jan-19 6.3382 6.3703 6.1852 6.50 6.40 7.01 7.12 7.46 7.4159 - - - 6.50 6.25
2-Jan-19 6.3268 6.3029 6.2145 6.50 6.30 6.93 7.08 7.47 7.3712 6.6462 6.8011 6.9137 6.50 6.25
3-Jan-19 6.3064 6.3224 6.2400 6.50 6.34 6.86 7.03 7.51 7.4064 - - - 6.50 6.25
4-Jan-19 6.3058 6.2988 6.2253 6.46 6.31 6.83 7.00 7.52 7.4417 - - - 6.50 6.25
5-Jan-19 6.1047 - 6.5174 - - - - - - - - - 6.50 6.25
7-Jan-19 6.3764 6.3220 6.3354 6.50 6.34 6.82 7.00 7.55 7.4841 - - - 6.50 6.25
8-Jan-19 6.3562 6.3860 6.3851 6.50 6.44 6.81 6.99 7.55 7.4749 - - - 6.50 6.25
9-Jan-19 6.3572 6.4436 6.4481 6.55 6.47 6.83 7.00 7.58 7.4663 6.6462 6.7797 6.8793 6.50 6.25
10-Jan-19 6.3598 6.4632 6.4543 6.55 6.50 6.89 7.02 7.57 7.4883 - - - 6.50 6.25
11-Jan-19 6.3531 6.4332 6.3796 6.50 6.46 6.94 7.03 7.59 7.4717 - - - 6.50 6.25
14-Jan-19 6.3666 6.3783 6.3818 6.50 6.41 6.97 7.05 7.61 7.4458 - - - 6.50 6.25
15-Jan-19 6.4198 6.3929 6.4376 6.50 6.40 6.96 7.07 7.62 7.4724 - - - 6.50 6.25
16-Jan-19 6.4159 6.4247 6.4521 6.50 6.47 6.94 7.07 7.62 7.5236 6.6462 6.7368 6.8335 6.50 6.25
17-Jan-19 6.3902 6.4318 6.4780 6.50 6.49 6.91 7.02 7.62 7.5592 - - - 6.50 6.25
18-Jan-19 6.4504 6.4647 6.4881 6.48 6.51 6.88 7.00 7.61 7.5880 - - - 6.50 6.25
19-Jan-19 6.1185 - 6.5212 - - - - - - - - - 6.50 6.25
21-Jan-19 6.4916 6.4608 6.5208 6.55 6.52 6.88 7.01 7.62 7.5933 - - - 6.50 6.25
22-Jan-19 6.4279 6.4582 6.5245 6.55 6.52 6.87 7.00 7.61 7.5338 - - - 6.50 6.25
23-Jan-19 6.4327 6.5019 6.5168 6.60 6.55 6.92 7.03 7.61 7.5458 6.6048 6.7368 6.8221 6.50 6.25
24-Jan-19 6.4130 6.4540 6.4145 6.60 6.51 6.90 7.02 7.61 7.5789 - - - 6.50 6.25
25-Jan-19 6.4149 6.3867 6.3915 6.54 6.40 6.91 7.02 7.60 7.5456 - - - 6.50 6.25
28-Jan-19 6.4343 6.4041 6.3975 6.55 6.46 6.92 7.03 7.61 7.5414 - - - 6.50 6.25
29-Jan-19 6.3817 6.3816 6.3302 6.50 6.43 6.93 7.01 7.60 7.5301 - - - 6.50 6.25
30-Jan-19 6.3851 6.3450 6.3423 6.50 6.38 6.91 7.03 7.61 7.5432 6.5634 6.6940 6.7763 6.50 6.25
31-Jan-19 6.3835 6.3536 6.3437 6.50 6.38 6.89 7.02 7.60 7.5083 - - - 6.50 6.25
Average 6.3644 6.3992 6.3970 6.52 6.43 6.90 7.03 7.58 7.5013 6.6214 6.7497 6.8450 6.50 6.25
Max 6.4916 6.5019 6.5245 6.60 6.55 7.01 7.12 7.62 7.5933 6.6462 6.8011 6.9137 6.50 6.25
Min 6.1047 6.2988 6.1852 6.46 6.30 6.81 6.99 7.46 7.3712 6.5634 6.6940 6.7763 6.50 6.25
SD 0.0882 0.0573 0.1018 0.04 0.07 0.05 0.03 0.05 0.0599 0.0370 0.0418 0.0531
February 2019
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TABLE 15 : PROPRIETARY / CONSTITUENT SETTLEMENT ANALYSIS
GOVERNMENT SECURITIES MARKETSETTLEMENT ANALYSIS
Number of Participants: 273
Percent
statistics
71
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
2013-14 88.78 85.20 11.22 14.80 91.90 93.43 8.10 6.57
2014-15 89.88 88.50 10.12 11.50 94.15 93.04 5.85 6.96
2015-16 89.10 88.95 10.90 11.05 95.84 94.73 4.16 5.27
2016-17 87.56 87.62 12.44 12.38 95.46 94.19 4.54 5.81
2017-18 86.31 85.71 13.69 14.29 96.63 94.91 3.37 5.09
Apr-18 88.55 85.00 11.45 15.00 97.17 95.05 2.83 4.95
May-18 85.74 83.34 14.26 16.66 97.39 95.06 2.61 4.94
Jun-18 87.40 86.99 12.60 13.01 97.59 95.14 2.41 4.86
Jul-18 85.80 84.54 14.20 15.46 97.01 94.07 2.99 5.93
Aug-18 86.83 86.84 13.17 13.16 97.03 94.84 2.97 5.16
Sep-18 88.65 87.75 11.35 12.25 96.07 93.46 3.93 6.54
Oct-18 86.27 83.37 13.73 16.63 95.42 93.66 4.58 6.34
Nov-18 83.23 81.59 16.77 18.41 94.56 91.96 5.44 8.04
Dec-18 83.65 83.95 16.35 16.05 95.55 91.68 4.45 8.32
Jan-19 84.75 82.32 15.25 17.68 94.79 90.72 5.21 9.28
2018-19 (Upto January 2019) 86.10 84.50 13.90 15.50 96.30 93.58 3.70 6.42
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TABLE 16: DEAL SIZE ANALYSIS Percent
statistics
72
< 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
2013-14 3.85 0.40 58.80 26.93 20.49 18.74 5.97 9.29 10.89 44.65
2014-15 2.78 0.33 61.13 29.43 21.40 20.58 5.42 8.89 9.27 40.77
2015-16 3.48 0.43 60.18 27.32 20.28 18.37 5.55 8.56 10.51 45.32
2016-17 3.43 0.42 52.33 20.81 23.71 18.83 6.66 9.07 13.87 50.86
2017-18 3.52 0.42 56.59 22.80 20.39 16.39 6.89 9.45 12.62 50.94
Apr-18 2.76 0.38 62.95 29.48 18.83 17.60 5.99 9.50 9.47 43.03
May-18 3.57 0.44 65.41 30.98 16.82 15.88 5.33 8.54 8.87 44.16
Jun-18 3.39 0.40 63.83 28.15 17.57 15.45 5.52 8.26 9.69 47.75
Jul-18 3.24 0.42 63.58 29.38 17.46 16.04 5.81 9.04 9.91 45.12
Aug-18 3.46 0.41 59.05 24.65 18.88 15.72 6.63 9.46 11.98 49.76
Sep-18 2.82 0.38 62.42 29.94 18.46 17.67 6.70 10.91 9.60 41.09
Oct-18 3.21 0.43 60.28 26.28 18.79 16.35 6.49 9.61 11.24 47.32
Nov-18 4.25 0.50 53.92 21.49 20.07 15.96 7.30 10.01 14.46 52.04
Dec-18 3.59 0.42 54.02 20.41 20.20 15.24 7.63 9.90 14.56 54.03
Jan-19 3.67 0.44 60.40 26.26 17.39 15.08 6.91 10.28 11.63 47.95
2018-19 (Upto January 2019) 3.37 0.42 60.43 26.32 18.51 16.08 6.48 9.62 11.20 47.56
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TABLE 18: T+2 TRADES - HISTORICAL TRADING SUMMARY* Amount Crore`
TABLE 17: T+2 TRADING SUMMARY* Amount Crore`
*As confirmed on trade date
*As confirmed on trade date
statistics
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Month Trades Face Value
2015-16 2139 124016
2016-17 3054 212821
2017-18 2513 151185
Apr-18 294 17740
May-18 109 6218
Jun-18 109 3637
Jul-18 67 4739
Aug-18 90 3918
Sep-18 75 3607
Oct-18 94 11506
Nov-18 88 4702
Dec-18 132 5242
Jan-19 133 6726
2018-19 (Upto January 2019) 1191 68037
Date Trades Face Value
1-Jan-19 - -
2-Jan-19 4 152
3-Jan-19 6 154
4-Jan-19 5 72
7-Jan-19 10 237
8-Jan-19 2 13
9-Jan-19 10 358
10-Jan-19 7 117
11-Jan-19 - -
14-Jan-19 2 115
15-Jan-19 4 628
16-Jan-19 1 310
17-Jan-19 9 620
18-Jan-19 28 1727
21-Jan-19 6 10
22-Jan-19 - -
23-Jan-19 3 57
24-Jan-19 3 55
25-Jan-19 11 1128
28-Jan-19 3 206
29-Jan-19 5 328
30-Jan-19 6 343
31-Jan-19 8 98
Total 133 6726
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TABLE 19: INSTRUMENT WISE BREAKUP OF OUTRIGHT TRADES Amount Crore`
statistics
74
Cen. Govt. DatedSecurities
Treasury Bills State Development LoansSettlement Period
ValueAvg.Value
%Share
ValueAvg.Value
%Share
ValueAvg.Value
% 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
2013-14 7968661 32928 88.97 833191 3443 9.30 154847 640 1.73
2014-15 9149608 38606 90.09 823470 3475 8.11 183083 773 1.80
2015-16 8557672 35509 87.96 854390 3545 8.78 316479 1313 3.25
2016-17 15198472 63064 90.07 1073461 4454 6.36 602213 2499 3.57
2017-18 9830117 40789 86.23 1006055 4175 8.83 563709 2339 4.94
Apr-18 781381 41125 88.50 56127 2954 6.36 45388 2389 5.14
May-18 522946 23770 86.50 46621 2119 7.71 34998 1591 5.79
Jun-18 555852 26469 83.33 81257 3869 12.18 29973 1427 4.49
Jul-18 561763 25535 84.41 71964 3271 10.81 31755 1443 4.77
Aug-18 607543 30377 83.40 88114 4406 12.10 32808 1640 4.50
Sep-18 666022 37001 88.10 59389 3299 7.86 30598 1700 4.05
Oct-18 657407 31305 85.36 79965 3808 10.38 32815 1563 4.26
Nov-18 617904 34328 83.75 74991 4166 10.16 44924 2496 6.09
Dec-18 944890 47244 83.05 130397 6520 11.46 62464 3123 5.49
Jan-19 750309 32622 85.52 79085 3438 9.01 47948 2085 5.47
2018-19 (Upto January 2019) 6666017 32677 85.16 767909 3764 9.81 393670 1930 5.03
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Year 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09 2009-10 2010-11 2011-12 2012-13 2013-14 2014-15 2015-16 2016-17 2017-18 Jan-19 2018-19
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 0.05 - - - - - -
2014 0.44 5.51 6.04 12.79 6.12 1.49 6.75 10.24 0.82 0.12 0.07 0.34 0.05 - - - - -
2015 7.89 5.70 25.34 1.38 1.56 3.50 1.78 5.38 8.21 0.43 0.35 0.57 0.62 0.38 - - - -
2016 2.98 0.88 2.07 0.26 32.66 1.00 1.63 13.70 5.12 0.80 0.13 0.20 0.19 0.63 0.18 - - -
2017 17.65 25.82 16.64 22.60 17.69 47.01 5.84 1.05 6.76 1.05 4.57 4.86 0.24 0.79 0.84 0.05 - -
2018 0.51 6.96 3.73 1.38 0.14 0.08 42.75 0.15 0.04 6.55 1.56 1.48 0.11 0.83 0.74 0.40 - 0.13
2019 0.99 3.94 2.24 0.18 0.09 0.03 2.44 24.90 0.10 0.01 0.02 3.82 2.02 1.65 1.58 0.81 1.38 1.67
2020 0.06 3.75 1.73 0.10 0.10 0.01 0.02 19.27 32.76 1.56 7.77 6.38 10.43 12.47 6.23 2.93 3.03 2.88
2021 2.24 0.46 0.17 14.21 3.64 0.57 3.71 4.92 0.03 53.20 8.26 0.60 0.11 0.66 1.66 1.12 1.12 1.24
2022 2.77 2.66 1.44 1.13 0.52 5.82 1.56 1.43 35.55 13.87 25.16 12.91 2.73 1.49 1.22 4.07 1.15 7.25
2023 - 2.38 1.33 0.10 0.07 0.67 2.27 0.53 0.08 0.07 0.01 26.74 26.46 8.71 7.44 3.21 6.68 3.76
2024 - - - - 0.01 0.69 1.08 1.24 0.19 17.58 12.68 0.99 23.76 19.12 2.83 2.49 1.05 0.71
2025 - - - - - 0.16 1.30 0.30 0.05 0.01 10.78 13.02 0.16 20.27 3.87 2.44 0.21 0.30
2026 2.22 0.22 0.08 0.08 0.00 0.22 0.74 0.80 0.38 0.14 21.30 15.87 2.29 7.33 34.72 9.29 5.61 4.30
2027 - - - - 0.04 0.67 2.97 2.35 2.95 1.31 0.86 7.98 6.25 1.12 0.51 29.72 1.00 2.66
2028 - 1.14 0.98 0.09 0.06 0.03 0.04 0.01 0.01 0.00 0.00 0.00 21.17 4.46 0.43 4.87 72.29 64.08
2029 - - - - - - - - - 0.00 0.00 0.00 0.00 2.97 13.50 20.05 2.45 0.41
2030 - - - - - - - - - 0.95 3.88 2.06 1.14 13.39 21.61 2.76 0.45 0.38
2031 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 12.39 0.39 7.82
2032 0.74 0.29 0.30 0.35 0.27 2.46 7.71 0.62 0.72 0.27 0.31 0.91 0.43 0.57 0.21 0.41 1.26 0.48
2033 - - - - - - - - - 0.00 0.00 0.00 0.18 0.71 0.26 0.85 0.55 0.29
2034 - - 0.59 1.69 4.18 0.02 0.75 0.86 0.03 0.00 0.01 0.01 0.01 0.40 0.57 0.74 0.22 0.34
2035 - - - 2.55 0.08 0.01 0.26 0.26 0.01 0.00 0.00 0.10 0.02 0.03 0.12 0.11 0.47 0.46
2036 - - - - 4.50 12.75 3.07 0.10 0.04 0.00 0.45 0.03 0.05 0.06 0.09 0.07 0.04 0.06
2037 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2038 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2039 - - - - - - 0.63 0.38 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.03 0.00 0.01
2040 - - - - - - - - 0.75 0.62 0.11 0.03 0.19 0.18 0.07 0.10 0.07 0.04
2041 - - - - - - - - - 0.36 1.34 0.58 0.14 0.11 0.07 0.06 0.05 0.06
2042 - - - - - - - - - - 0.25 0.41 0.45 0.23 0.11 0.10 0.01 0.07
2043 - - - - - - - - - - 0.05 0.61 0.23 0.13 0.04 0.00 0.03
2044 - - - - - - - - - - - - 0.19 0.69 0.39 0.35 0.11 0.07
2045 - - - - - - - - - - - - - 0.52 0.34 0.16 0.04 0.09
2046 - - - - - - - - - - - - - - 0.10 0.16 0.18 0.19
2047 - - - - - - - - - - - - - - - - 0.00 0.00
2048 - - - - - - - - - - - - - - - - 0.00 0.00
2049 - - - - - - - - - - - - - - - - 0.00 0.00
2050 - - - - - - - - - - - - - - - - 0.00 0.00
2051 - - - - - - - - - - - - - - 0.06 0.21 0.02 0.03
2052 - - - - - - - - - - - - - - - - 0.00 0.00
2053 - - - - - - - - - - - - - - - - 0.00 0.00
2054 - - - - - - - - - - - - - - - - 0.00 0.00
2055 - - - - - - - - - - - - - 0.02 0.07 0.02 0.18 0.19
Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
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TABLE 20: TENOR WISE ACTIVITY - CENTRAL GOVERNMENT DATED SECURITIES Percent
statistics
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19
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TABLE 21: 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
statistics
76
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
2013-14 23207382 4256748 81.66
2014-15 26141572 4216733 83.87
2015-16 27433525 4352880 84.13
2016-17 42368619 6265051 85.21
2017-18 37795487 6679290 82.33
Apr-18 2751880 483979 82.41
May-18 2931475 546525 81.36
Jun-18 3056625 561218 81.64
Jul-18 2962094 515766 82.59
Aug-18 2926730 607004 79.26
Sep-18 3017688 562551 81.36
Oct-18 3942904 704358 82.14
Nov-18 3009224 517762 82.79
Dec-18 3342616 445874 86.66
Jan-19 3012027 415712 86.20
2018-19 (Upto January 2019) 30953264 5360748 82.68
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TABLE 22: NETTING FACTOR: SECURITIES Amount Crore`
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
2013-14 23302555 9419626 59.58
2014-15 25891676 10026109 61.28
2015-16 26977725 10438154 61.31
2016-17 40603629 15078857 62.86
2017-18 37036379 15278527 58.75
Apr-18 2727505 1072755 60.67
May-18 2927716 1150754 60.69
Jun-18 3063942 1256578 58.99
Jul-18 2982879 1151723 61.39
Aug-18 2951602 1270018 56.97
Sep-18 3072867 1240192 59.64
Oct-18 3957140 1675907 57.65
Nov-18 2998380 1236299 58.77
Dec-18 3303075 1299436 60.66
Jan-19 2998028 1176010 60.77
2018-19 (Upto January 2019) 30983135 12529671 59.56
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CCIL Monthly Newsletter
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TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH
78
Sr.No.
Security ISINMaturity
Date
Daystraded(in last
12months)
Valuetraded inlast 12months(FV in
` Crore)
Percentsharein last
12monthsValue
DaysTraded(January- 2019)
Value forJanuary –
2019(FV in
` Crore)
Percentshare in(January2019)
Outstanding(FV in
` Crore)
TurnoverRatio*
AverageDaily
TradingValue inlast 12months(FV in
` Crore)
1 7.17% GS 2028 IN0020170174 8-Jan-28 241 4574722 59 23 542126 72 113148 479 18982
2 7.37% GS 2023 IN0020180025 16-Apr-23 180 186746 2 23 43559 6 39988 109 1037
3 7.59% GS 2026 IN0020150093 11-Jan-26 233 269849 3 23 38989 5 119000 33 1158
4 6.65% GS 2020 IN0020180017 9-Apr-20 182 61813 1 23 17415 2 43546 40 340
5 7.26% GS 2029 IN0020180454 14-Jan-29 13 16848 0 13 16848 2 8000 211 1296
6 7.95% GS 2032 IN0020020106 28-Aug-32 132 25900 0 23 9063 1 101000 9 196
7 6.05% GS 2019 IN0020080068 2-Feb-19 237 69700 1 23 6227 1 38063 16 294
8 8.24% GS 2027 IN0020060078 15-Feb-27 162 20473 0 23 6080 1 102389 6 126
9 6.84% GS 2022 IN0020160050 19-Dec-22 241 382078 5 23 5971 1 99000 6 1585
10 8.24% GS 2033 IN0020140052 10-Nov-33 111 8917 0 17 3703 0 93275 4 80
11 7.40% GS 2035 IN0020050012 9-Sep-35 179 30768 0 23 3189 0 89245 4 172
12 7.16% GS 2023 IN0020130012 20-May-23 228 44036 1 22 3142 0 77100 4 193
13 7.94% GS 2021 IN0020060318 24-May-21 223 29062 0 23 3018 0 49425 6 130
14 8.40% GS 2024 IN0020140045 28-Jul-24 183 32370 0 14 2505 0 90000 3 177
15 6.90% GS 2019 IN0020090042 13-Jul-19 186 29244 0 22 2390 0 42840 6 157
16 8.79% GS 2021 IN0020110030 8-Nov-21 179 24140 0 19 2358 0 83000 3 135
17 9.15% GS 2024 IN0020110048 14-Nov-24 112 10843 0 22 2335 0 92000 3 97
18 6.68% GS 2031 IN0020170042 17-Sep-31 237 758052 10 21 2289 0 93252 2 3199
19 7.00% GS 2021 IN0020180470 21-Jan-21 8 2256 0 8 2256 0 3000 75 282
20 7.32% GS 2024 IN0020180488 28-Jan-24 4 1869 0 4 1869 0 4000 47 467
21 8.83% GS 2023 IN0020130061 25-Nov-23 99 13132 0 7 1685 0 83000 2 133
22 8.97% GS 2030 IN0020110055 5-Dec-30 90 7185 0 16 1605 0 90000 2 80
February 2019
CCIL Monthly Newsletter
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TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH (Contd.)
Sr.No.
Security ISINMaturity
Date
Daystraded(in last
12months)
Valuetraded inlast 12months(FV in
` Crore)
Percentsharein last
12monthsValue
DaysTraded(January- 2019)
Value forJanuary –
2019(FV in
` Crore)
Percentshare in(January2019)
Outstanding(FV in
` Crore)
TurnoverRatio*
AverageDaily
TradingValue inlast 12months(FV in
` Crore)
23 8.33% GS 2026 IN0020120039 9-Jul-26 110 17712 0 7 1538 0 90000 2 161
24 7.68% GS 2023 IN0020150010 15-Dec-23 175 20261 0 12 1529 0 88132 2 116
25 7.59% GS 2029 IN0020150069 20-Mar-29 147 12291 0 18 1387 0 96237 1 84
26 6.35% GS 2020 IN0020020171 2-Jan-20 229 19127 0 23 1377 0 61000 2 84
27 7.06% GS 2046 IN0020160068 10-Oct-46 144 13090 0 18 1370 0 91000 2 91
28 7.72% GS 2055 IN0020150077 26-Oct-55 98 12045 0 14 1325 0 86000 2 123
29 7.50% GS 2034 IN0020040039 10-Aug-34 141 16551 0 22 1197 0 99101 1 117
30 7.28% GS 2019 IN0020130038 3-Jun-19 222 22323 0 16 1190 0 42038 3 101
31 7.88% GS 2030 IN0020150028 19-Mar-30 180 13327 0 17 1055 0 89000 1 74
32 7.80% GS 2020 IN0020100015 3-May-20 196 40807 1 8 1038 0 75000 1 208
33 8.12% GS 2020 IN0020120054 10-Dec-20 196 38776 0 11 894 0 76000 1 198
34 8.20% GS 2025 IN0020120047 24-Sep-25 155 15249 0 17 884 0 90000 1 98
35 6.90% OMC SB 2026 IN0020089069 4-Feb-26 26 1447 0 4 881 0 21942 4 56
36 7.35% GS 2024 IN0020090034 22-Jun-24 204 20133 0 14 857 0 90168 1 99
37 8.27% GS 2020 IN0020140029 9-Jun-20 207 35391 0 11 810 0 73000 1 171
38 8.17% GS 2044 IN0020140078 1-Dec-44 134 5952 0 13 805 0 89000 1 44
39 8.08% GS 2022 IN0020070028 2-Aug-22 184 23020 0 14 802 0 68969 1 125
40 7.80% GS 2021 IN0020110022 11-Apr-21 217 41647 1 15 755 0 67493 1 192
41 8.15% GS 2022 IN0020120013 11-Jun-22 208 59869 1 9 741 0 83000 1 288
42 8.35% GS 2022 IN0020020072 14-May-22 100 7518 0 9 736 0 77000 1 75
43 8.28% GS 2027 IN0020070069 21-Sep-27 157 10192 0 13 730 0 90001 1 65
44 FRB 2020 IN0020092071 21-Dec-20 35 7843 0 5 625 0 13000 5 224
February 2019
CCIL Monthly Newsletter
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TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH (Contd.)
80
Sr.No.
Security ISINMaturity
Date
Daystraded(in last
12months)
Valuetraded inlast 12months(FV in
` Crore)
Percentsharein last
12monthsValue
DaysTraded(January- 2019)
Value forJanuary –
2019(FV in
` Crore)
Percentshare in(January2019)
Outstanding(FV in
` Crore)
TurnoverRatio*
AverageDaily
TradingValue inlast 12months(FV in
` Crore)
45 7.61% GS 2030 IN0020160019 9-May-30 154 13032 0 13 611 0 85000 1 85
46 FRB 2031 IN0020180041 7-Dec-31 13 5344 0 2 600 0 43000 1 411
47 8.19% GS 2020 IN0020110071 16-Jan-20 109 15284 0 4 577 0 74000 1 140
48 7.72% GS 2025 IN0020150036 25-May-25 184 16959 0 16 572 0 90032 1 92
49 8.30% GS 2040 IN0020100031 2-Jul-40 90 3580 0 13 538 0 90000 1 40
50 6.05% GS 2019 IN0020030048 12-Jun-19 71 1756 0 11 501 0 11000 5 25
51 6.79% GS 2027 IN0020170026 15-May-27 189 431596 6 11 425 0 121000 0 2284
52 7.73% GS 2034 IN0020150051 19-Dec-34 184 9701 0 15 399 0 100000 0 53
53 6.57% GS 2033 IN0020160100 5-Dec-33 167 14042 0 13 373 0 64656 1 84
54 8.83% GS 2041 IN0020110063 12-Dec-41 82 4701 0 15 367 0 90000 0 57
55 8.33% GS 2036 IN0020060045 7-Jun-36 91 3961 0 7 315 0 86000 0 44
56 6.97% GS 2026 IN0020160035 6-Sep-26 136 8334 0 8 306 0 91578 0 61
57 8.13% GS 2045 IN0020150044 22-Jun-45 127 8032 0 11 303 0 98000 0 63
58 7.40%GS09SEP2035P IN000935P016 9-Sep-35 1 300 0 1 300 0 - - 300
59 6.35% OMC SB 2024 IN0020089036 23-Dec-24 15 639 0 4 280 0 22000 1 43
60 8.15% GS 2026 IN0020140060 24-Nov-26 118 12459 0 4 256 0 86489 0 106
61 8.28% GS 2032 IN0020060086 15-Feb-32 106 4410 0 5 256 0 90687 0 42
62 8.13% GS 2022 IN0020070051 21-Sep-22 118 5158 0 10 221 0 70495 0 44
63 8.60% GS 2028 IN0020140011 2-Jun-28 137 12611 0 8 189 0 84000 0 92
64 8.20% OMC SB 2023 IN0020089010 10-Nov-23 19 178 0 1 158 0 22000 1 9
65 6.79% GS 2029 IN0020160118 26-Dec-29 111 5384 0 12 158 0 118801 0 49
66 8.26% GS 2027 IN0020070036 2-Aug-27 141 6039 0 7 143 0 73728 0 43
February 2019
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TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH (Contd.)
Sr.No.
Security ISINMaturity
Date
Daystraded(in last
12months)
Valuetraded inlast 12months(FV in
` Crore)
Percentsharein last
12monthsValue
DaysTraded(January- 2019)
Value forJanuary –
2019(FV in
` Crore)
Percentshare in(January2019)
Outstanding(FV in
` Crore)
TurnoverRatio*
AverageDaily
TradingValue inlast 12months(FV in
` Crore)
67 6.62% GS 2051 IN0020160092 28-Nov-51 63 2042 0 5 138 0 55000 0 32
68 9.20% GS 2030 IN0020130053 30-Sep-30 66 1177 0 4 111 0 61885 0 18
69 7.95% OMC SB 2025 IN0020079029 18-Jan-25 10 109 0 2 105 0 11257 1 11
70 8.32% GS 2032 IN0020070044 2-Aug-32 98 2737 0 13 99 0 89434 0 28
71 8.20% GS 2022 IN0020060037 15-Feb-22 196 68869 1 6 98 0 57632 0 351
72 8.23% FCI SB 2027 IN0020060029 12-Feb-27 19 119 0 2 73 0 6200 1 6
73 8.30% GS 2042 IN0020120062 31-Dec-42 71 5497 0 2 65 0 104529 0 77
74 6.13% GS 2028 IN0020030022 4-Jun-28 31 96 0 5 60 0 11000 1 3
75 8.00% OMC SB 2026 IN0020089077 23-Mar-26 16 82 0 1 50 0 10000 1 5
76 8.03% FCI SB 2024 IN0020060011 15-Dec-24 15 120 0 2 40 0 5000 1 8
77 7.95% FERT SB 2026 IN0020079037 18-Feb-26 24 159 0 2 31 0 3551 1 7
78 5.87% GS 2022 IN0020039031 28-Aug-22 8 108 0 1 20 0 11000 0 14
79 6.17% GS 2023 IN0020030055 12-Jun-23 74 1816 0 2 20 0 14000 0 0
80 6.01% GS 2028 IN0020020247 25-Mar-28 39 253 0 3 13 0 15000 0 6
81 GS09MAR2035C IN000335C017 9-Mar-35 1 11 0 1 11 0 - - 11
82 GS09SEP2026C IN000926C013 9-Sep-26 1 11 0 1 11 0 - - 11
83 GS09SEP2020C IN000920C016 9-Sep-20 1 11 0 1 11 0 - - 11
84 GS09SEP2029C IN000929C017 9-Sep-29 1 11 0 1 11 0 - - 11
85 GS09SEP2032C IN000932C011 9-Sep-32 1 11 0 1 11 0 - - 11
86 GS09MAR2026C IN000326C016 9-Mar-26 1 11 0 1 11 0 - - 11
87 GS09MAR2027C IN000327C014 9-Mar-27 1 11 0 1 11 0 - - 11
88 GS09SEP2021C IN000921C014 9-Sep-21 1 11 0 1 11 0 - - 11
February 2019
CCIL Monthly Newsletter
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TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH (Contd.)
82
Sr.No.
Security ISINMaturity
Date
Daystraded(in last
12months)
Valuetraded inlast 12months(FV in
` Crore)
Percentsharein last
12monthsValue
DaysTraded(January- 2019)
Value forJanuary –
2019(FV in
` Crore)
Percentshare in(January2019)
Outstanding(FV in
` Crore)
TurnoverRatio*
AverageDaily
TradingValue inlast 12months(FV in
` Crore)
89 GS09MAR2023C IN000323C013 9-Mar-23 1 11 0 1 11 0 - - 11
90 GS09MAR2019C IN000319C011 9-Mar-19 1 11 0 1 11 0 - - 11
91 GS09SEP2019C IN000919C018 9-Sep-19 1 11 0 1 11 0 - - 11
92 GS09SEP2027C IN000927C011 9-Sep-27 1 11 0 1 11 0 - - 11
93 GS09MAR2032C IN000332C014 9-Mar-32 1 11 0 1 11 0 - - 11
94 GS09SEP2024C IN000924C018 9-Sep-24 1 11 0 1 11 0 - - 11
95 GS09MAR2022C IN000322C015 9-Mar-22 1 11 0 1 11 0 - - 11
96 GS09MAR2029C IN000329C010 9-Mar-29 1 11 0 1 11 0 - - 11
97 GS09MAR2021C IN000321C017 9-Mar-21 1 11 0 1 11 0 - - 11
98 GS09MAR2024C IN000324C011 9-Mar-24 1 11 0 1 11 0 - - 11
99 GS09MAR2034C IN000334C010 9-Mar-34 1 11 0 1 11 0 - - 11
100 GS09MAR2030C IN000330C018 9-Mar-30 1 11 0 1 11 0 - - 11
101 GS09SEP2034C IN000934C017 9-Sep-34 1 11 0 1 11 0 - - 11
102 GS09SEP2025C IN000925C015 9-Sep-25 1 11 0 1 11 0 - - 11
103 GS09MAR2031C IN000331C016 9-Mar-31 1 11 0 1 11 0 - - 11
104 GS09MAR2020C IN000320C019 9-Mar-20 1 11 0 1 11 0 - - 11
105 GS09SEP2028C IN000928C019 9-Sep-28 1 11 0 1 11 0 - - 11
106 GS09MAR2025C IN000325C018 9-Mar-25 1 11 0 1 11 0 - - 11
107 GS09MAR2028C IN000328C012 9-Mar-28 1 11 0 1 11 0 - - 11
108 GS09SEP2022C IN000922C012 9-Sep-22 1 11 0 1 11 0 - - 11
109 GS09SEP2030C IN000930C015 9-Sep-30 1 11 0 1 11 0 - - 11
110 GS09MAR2033C IN000333C012 9-Mar-33 1 11 0 1 11 0 - - 11
February 2019
TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH (Contd.)
Sr.No.
Security ISINMaturity
Date
Daystraded(in last
12months)
Valuetraded inlast 12months(FV in
` Crore)
Percentsharein last
12monthsValue
DaysTraded(January- 2019)
Value forJanuary –
2019(FV in
` Crore)
Percentshare in(January2019)
Outstanding(FV in
` Crore)
TurnoverRatio*
AverageDaily
TradingValue inlast 12months(FV in
` Crore)
111 GS09SEP2035C IN000935C014 9-Sep-35 1 11 0 1 11 0 - - 11
112 GS09SEP2023C IN000923C010 9-Sep-23 1 11 0 1 11 0 - - 11
113 GS09SEP2031C IN000931C013 9-Sep-31 1 11 0 1 11 0 - - 11
114 GS09SEP2033C IN000933C019 9-Sep-33 1 11 0 1 11 0 - - 11
115 GS02FEB2019C IN000219C021 2-Feb-19 2 14 0 1 7 0 - - 7
116 6.30% GS 2023 IN0020030014 9-Apr-23 49 2287 0 1 3 0 13000 0 47
117 10.03% GS 2019 IN0020010065 9-Aug-19 19 179 0 2 1 0 6000 0 9
118 10.18% GS 2026 IN0020010081 11-Sep-26 27 53 0 1 1 0 15000 0 2
119 9.23% GS 2043 IN0020130079 23-Dec-43 65 2671 0 1 1 0 79472 0 41
120 8.15% FCI SB 2022 IN0020060110 16-Oct-22 20 56 0 3 1 0 5000 0 3
121 8.13% OMC SB 2021 IN0020060094 16-Oct-21 9 83 0 2 0 0 5000 0 9
122 8.20% OMC SB 2024 IN0020060060 12-Feb-24 11 84 0 1 0 0 5000 0 8
123 10.25% GS 2021 IN0020010040 30-May-21 35 301 0 2 0 0 26213 0 9
124 8.20% OMC SB 2024 IN0020099019 15-Sep-24 25 78 0 2 0 0 10306 0 3
125Other Securities TradedDuring The Past 12 MonthsBut Not Traded During The Month
44763 1 -
Total 7772201 100 - 750307 100
CCIL Monthly Newsletter February 2019
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TABLE 24: MARKET SHARE OF TOP 'N' SECURITIES Percent
Settlement 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
2013-14 68.11 90.79 95.61 97.70
2014-15 79.28 91.80 96.45 97.74
2015-16 66.26 82.74 88.47 91.80
2016-17 68.59 86.20 90.49 92.79
2017-18 70.79 79.86 85.06 88.59
Apr-18 83.96 89.67 92.21 94.07
May-18 79.63 87.51 91.32 93.98
Jun-18 82.31 88.16 91.85 93.74
Jul-18 86.36 90.47 92.87 94.57
Aug-18 88.02 91.39 93.81 95.75
Sep-18 90.75 93.72 95.53 96.84
Oct-18 87.21 91.57 94.27 96.09
Nov-18 89.90 93.31 94.96 96.18
Dec-18 89.51 92.12 94.24 95.65
Jan-19 87.82 91.96 93.86 95.34
2018-19 (Upto January 2019) 83.78 89.13 91.60 93.39
statistics
84
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TABLE 25: MARKET SHARE OF MEMBERS IN OUTRIGHT SETTLEMENT Percent
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
2013-14 33.33 49.48 59.63 67.34
2014-15 31.06 46.52 56.59 64.50
2015-16 32.08 48.64 58.60 65.67
2016-17 30.02 45.15 54.73 62.20
2017-18 29.35 45.89 55.80 63.20
Apr-18 31.89 48.39 57.35 64.34
May-18 28.09 43.99 53.73 61.29
Jun-18 33.34 51.25 60.25 66.55
Jul-18 33.19 48.62 58.97 66.64
Aug-18 32.78 49.67 60.23 67.35
Sep-18 33.42 48.15 57.63 65.11
Oct-18 31.73 48.06 58.72 66.51
Nov-18 29.95 45.34 58.61 68.38
Dec-18 30.40 47.17 58.37 66.55
Jan-19 28.65 45.18 56.82 65.14
2018-19 (Upto January 2019) 31.28 47.55 58.09 65.85
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TABLE 26: MARKET SHARE OF TOP FIVE MEMBERS (CATEGORYWISE) Percent
CategoriesCooperative
BanksForeignBanks
PublicSectorBanks
PrivateSectorBanks
MutualFunds
PrimaryDealers
No of Members 65 38 21 20 39 7
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
2013-14 55.31 81.15 45.68 86.53 65.08 85.35
2014-15 58.68 82.14 47.58 80.35 66.19 87.29
2015-16 60.56 86.10 50.22 83.16 63.90 89.18
2016-17 56.83 87.23 45.98 79.16 62.48 93.18
2017-18 58.90 80.40 59.40 80.72 56.80 91.62
Apr-18 66.83 75.41 55.53 84.45 55.08 91.97
May-18 66.83 76.28 55.25 81.86 59.50 86.81
Jun-18 63.85 79.73 59.88 87.87 55.36 90.41
Jul-18 56.87 75.03 56.12 88.47 58.56 93.08
Aug-18 58.47 76.36 62.46 87.30 60.37 92.92
Sep-18 74.69 70.99 62.57 85.44 61.34 92.49
Oct-18 60.32 71.08 55.00 85.04 59.41 91.68
Nov-18 51.39 70.80 63.60 86.37 63.79 93.55
Dec-18 56.83 71.94 65.58 84.98 59.93 94.88
Jan-19 51.23 73.00 58.44 82.60 57.39 89.37
2018-19 (Upto January 2019) 61.32 73.94 60.26 85.40 58.89 91.96
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TRADING ANALYSIS
TABLE 27: TRADING PLATFORM ANALYSIS OF OUTRIGHT TRADES* Amount Crore`
*as on trade date
OTC NDS-OM TotalPeriod
Trades%
ShareValue
%Share
Trades%
ShareValue
%Share
Trades Value
2005-06 38809 50.36 292515 56.98 38251 49.64 220890 43.02 77060 513405
2006-07 35322 25.79 368704 36.11 101641 74.21 652270 63.89 136963 1020974
2007-08 31020 16.43 453226 27.42 157823 83.57 1199919 72.58 188843 1653145
2008-09 35288 14.35 613229 28.36 210585 85.65 1548906 71.64 245873 2162135
2009-10 40736 12.87 798397 27.41 275769 87.13 2113896 72.59 316505 2912293
2010-11 42710 12.85 622558 21.73 289636 87.15 2241886 78.27 332346 2864444
2011-12 44908 10.89 731938 20.96 367495 89.11 2760795 79.04 412403 3492733
2012-13 57757 8.79 1179701 17.91 599316 91.21 5408334 82.09 657073 6588036
2013-14 57545 7.03 1501310 16.79 760964 92.97 7437982 83.21 818509 8939292
2014-15 57293 5.85 1635278 16.09 921361 94.15 8531024 83.91 978654 10166302
2015-16 60560 6.86 1891410 19.42 822803 93.14 7846591 80.58 883363 9738000
2016-17 84504 6.30 2804041 16.64 1255872 93.70 14051698 83.36 1340376 16855738
2017-18 66190 7.21 2685956 23.59 851940 92.79 8699962 76.41 918130 11385918
Apr-18 4794 5.92 176553 20.34 76165 94.08 691530 79.66 80959 868083
May-18 4160 7.29 155268 25.93 52921 92.71 443436 74.07 57081 598704
Jun-18 3980 6.64 168346 24.95 55964 93.36 506403 75.05 59944 674749
Jul-18 4096 6.72 137593 20.68 56863 93.28 527697 79.32 60959 665290
Aug-18 4070 6.67 136867 18.69 56906 93.33 595324 81.31 60976 732191
Sep-18 3729 5.12 110279 14.55 69117 94.88 647731 85.45 72846 758009
Oct-18 4234 6.30 143266 18.58 62935 93.70 627949 81.42 67169 771214
Nov-18 4456 7.52 146027 19.57 54829 92.48 600250 80.43 59285 746277
Dec-18 5490 6.39 199315 17.61 80421 93.61 932255 82.39 85911 1131570
Jan-19 5106 6.66 171183 19.28 71529 93.34 716610 80.72 76635 887793
2018-19 (UptoJanuary 2019)
44115 6.47 1544697 19.72 637650 93.53 6289184 80.28 681765 7833881
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TABLE 29: MARKET SHARE - PROPRIETARY TRADES*
TABLE 28B: WHEN ISSUED TRADING DETAILS
Percent
Amount Crore`
* Trade Data
TABLE 28A: WHEN-ISSUED TRADING - HISTORICAL Amount Crore`
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
2013-14 1406 11295
2014-15 1232 11265
2015-16 679 5755
2016-17 1400 13535
2017-18 966 9555
Apr-18 9 65
May-18 - -
Jun-18 9 200
Jul-18 - -
Aug-18 - -
Sep-18 - -
Oct-18 - -
Nov-18 - -
Dec-18 - -
Jan-19 41 435
2018-19 (Upto January 2019) 59 700
Security Description Maturity Date Trades Value
7.26% GS 2029 14-Jan-29 41 435
Total 41 435
Buy SellCategory
Trades Value Trades Value
Co-operative Banks 5.44 2.73 5.52 2.64
Financial Institutions 0.47 0.29 0.32 0.22
Foreign Banks 20.87 24.70 21.04 26.40
Insurance Companies 1.02 1.88 1.29 1.81
Mutual Funds 6.14 8.15 7.52 7.71
Others 6.31 3.87 5.94 3.32
Primary Dealers 15.51 16.67 14.66 14.93
Private Sector Banks 12.10 11.28 15.08 17.22
Provident Funds 0.17 1.22 0.00 0.00
Public Sector Banks 22.83 19.25 21.34 17.56
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TABLE 30: MARKET SHARE - CONSTITUENT TRADES* Percent
*Trade data
PercentTABLE 31: TURNOVER RATIO
TABLE 32A: NET PROPRIETARY TRADING IN OUTRIGHT MARKET Percent
Current Month Previous Month 3 Months 6 Months 12 Months
1.19% 1.82% 1.17% 0.97% 1.36%
Buy SellConstituent Category
Trades Value Trades Value
Banks 0.32 0.41 0.16 0.24
Co-operative Banks 1.93 0.76 1.19 0.51
Corporates 3.71 4.47 4.46 4.42
FIIs 0.26 1.44 0.33 1.75
Insurance Companies 1.17 1.58 0.74 0.93
Mutual Funds 0.20 0.19 0.17 0.13
Finance Cos. 0.02 0.11 0.00 0.01
Others 0.05 0.11 0.03 0.05
Provident Funds 1.48 0.90 0.21 0.15
DateForeignBanks
MutualFunds
OthersPrimaryDealers
PrivateSectorBanks
PublicSectorBanks
1-Jan-19 -6.66 13.80 4.41 -7.87 -0.86 -6.49
2-Jan-19 -0.47 -0.48 0.01 -0.48 -5.57 6.29
3-Jan-19 -2.68 -1.35 -1.34 -1.83 -7.52 10.88
4-Jan-19 1.97 -0.47 0.98 -1.40 -1.35 7.12
7-Jan-19 -2.38 -1.54 1.48 -3.54 -1.93 6.79
8-Jan-19 0.60 -0.61 0.83 -3.90 0.98 0.56
9-Jan-19 -6.28 0.03 3.30 -5.14 -0.47 4.87
10-Jan-19 -3.30 -2.01 -0.66 0.74 1.91 5.48
11-Jan-19 1.59 1.49 0.64 -8.35 -4.92 8.58
14-Jan-19 4.21 1.05 -1.32 3.07 1.59 -9.07
15-Jan-19 -0.10 -0.08 10.58 -10.62 -0.86 -1.92
16-Jan-19 -6.83 1.96 0.34 -2.81 -1.67 6.39
17-Jan-19 3.01 -6.41 -2.06 3.36 4.01 -1.63
18-Jan-19 -4.60 -2.28 5.29 -5.90 -1.54 3.87
21-Jan-19 -0.13 -4.24 -0.94 -1.15 2.45 -1.08
22-Jan-19 -5.94 -0.19 5.22 -0.91 -3.09 1.57
23-Jan-19 -4.71 -1.30 4.26 -3.69 5.20 3.93
24-Jan-19 -5.51 -9.75 0.10 -5.47 10.51 6.65
25-Jan-19 -5.06 -0.02 0.70 -3.26 0.87 -2.03
28-Jan-19 4.10 1.99 5.91 -3.98 -1.70 -8.05
29-Jan-19 -4.45 0.82 8.57 -3.76 -0.73 -4.85
30-Jan-19 -0.65 0.10 2.19 -6.29 -0.12 1.94
31-Jan-19 3.89 18.82 0.37 -12.88 -1.17 -8.98
Net Activity in Jan-19 -1.70 0.69 1.75 -3.65 -0.55 1.70
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TABLE 32B: CONSTITUENT ACTIVITY IN OUTRIGHT MARKET
Buy Side Sell Side
DateTrades
Volume(` Cr)
% Share inTotal
OutrightVolumes
TradesVolume(` Cr)
% Share inTotal
OutrightVolumes
1-Jan-19 345 3921.28 10.89 234 2600.03 7.22
2-Jan-19 376 5256.76 9.17 399 4844.96 8.45
3-Jan-19 476 5866.57 13.27 327 4171.45 9.44
4-Jan-19 282 4073.39 10.35 337 6768.63 17.20
7-Jan-19 368 4805.43 11.10 244 4322.20 9.99
8-Jan-19 383 4568.98 7.50 350 3622.75 5.95
9-Jan-19 320 4027.75 9.50 190 2466.26 5.82
10-Jan-19 316 3197.12 7.86 317 4074.87 10.02
11-Jan-19 256 2370.57 5.64 195 1960.89 4.66
14-Jan-19 214 2806.07 6.43 261 2595.83 5.94
15-Jan-19 219 2757.46 9.38 157 1872.39 6.37
16-Jan-19 369 4083.58 8.83 221 2871.00 6.21
17-Jan-19 292 2320.71 8.25 189 2400.57 8.53
18-Jan-19 278 3819.81 11.70 163 2135.04 6.54
21-Jan-19 303 5432.90 12.58 180 3229.88 7.48
22-Jan-19 292 3482.70 9.37 199 2244.41 6.04
23-Jan-19 266 2795.56 7.90 315 4102.60 11.60
24-Jan-19 322 3028.59 10.50 222 2027.56 7.03
25-Jan-19 254 6893.26 20.03 233 3867.61 11.24
28-Jan-19 209 2358.10 11.74 140 2010.42 10.01
29-Jan-19 255 3798.57 12.90 173 2501.98 8.50
30-Jan-19 293 2924.03 12.05 157 2239.89 9.23
31-Jan-19 315 3793.37 7.77 390 3817.13 7.81
Total Activity in Jan-19 7003 88382.56 9.96 5593 72748.33 8.19
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CCIL Monthly Newsletter February 2019
TABLE 33: TRADING SUMMARY Amount Crore`
*Amount in USD Million
Central Government SDL T-Bills Total Repo TREP Forex*Date
Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value
1-Jan-19 2483 24846 180 3908 92 7239 2755 35993 432 58375 799 122991
2-Jan-19 3984 44742 267 2071 160 10497 4411 57310 423 55542 804 118880 14493 35443
3-Jan-19 3441 37998 221 1633 120 4565 3782 44196 411 50466 842 127768 3381 15931
4-Jan-19 2864 34618 113 891 91 3833 3068 39342 429 49985 860 129496 9585 22261
5-Jan-19 0 0 132 10114
7-Jan-19 3485 38657 128 1374 65 3253 3678 43285 377 40795 851 133863 9716 21606
8-Jan-19 5401 55694 164 3422 44 1778 5609 60895 402 45859 870 135892 8786 19932
9-Jan-19 3442 33517 141 1340 153 7536 3736 42392 399 45438 825 139798 10462 22473
10-Jan-19 3284 35411 169 1911 114 3350 3567 40672 376 44512 816 133792 9411 23586
11-Jan-19 3849 38538 129 1802 46 1705 4024 42044 401 46128 827 133686 10585 22153
14-Jan-19 4145 40484 96 766 44 2417 4285 43668 347 38228 830 138266 9559 22939
15-Jan-19 2438 22219 174 5045 45 2136 2657 29400 380 39930 840 132796 8338 22701
16-Jan-19 3662 38579 122 1632 106 6017 3890 46228 376 41592 808 127968 8912 20831
17-Jan-19 2501 24913 161 833 71 2382 2733 28127 402 49576 830 140290 9583 23491
18-Jan-19 2769 30263 123 879 52 1502 2944 32644 403 48135 867 131110 9466 22937
19-Jan-19 0 0 94 3803
21-Jan-19 3840 41537 87 763 50 895 3977 43195 418 50412 875 139583
22-Jan-19 3139 30725 158 4711 67 1714 3364 37149 398 43602 931 156422 16638 32141
23-Jan-19 2912 28099 148 1914 121 5354 3181 35367 426 50692 924 159300 8026 19908
24-Jan-19 2195 22163 152 1513 116 5156 2463 28831 380 45803 942 165972 8078 19395
25-Jan-19 2784 32425 102 1039 35 951 2921 34415 390 39382 916 158814 7684 18459
28-Jan-19 1414 18601 76 542 29 945 1519 20088 381 41224 940 159040 6963 17965
29-Jan-19 2026 23080 242 5352 39 1010 2307 29441 384 41513 901 140987 7773 17880
30-Jan-19 1625 20280 205 1712 103 2272 1933 24264 386 41757 899 140866 7144 19295
31-Jan-19 3472 35641 230 2238 129 10967 3831 48846 391 44873 926 145392 14828 105234
Total 71155 753028 3588 47293 1892 87472 76635 887793 9112 1053820 20149 3226889 199411 546561
Average 3094 32740 156 2056 82 3803 3332 38600 364 42153 806 129076 9496 26027
MarketShare (%)
92.85 84.82 4.68 5.33 2.47 9.85
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CCIL Monthly Newsletter February 2019
TABLE 34: G-SEC TRADING ANALYSIS Amount Crore`
OTC (Gilts) NDS-OM (Gilts) Brokered Deals (Gilts) Total (Gilts)
DateTrades
No. ofSecurities
ValueMarketShare(%)
TradesNo. of
SecuritiesValue
MarketShare(%)
TradesNo. of
SecuritiesValue
MarketShare(%)
TradesNo. of
SecuritiesValue
1-Jan-19 84 16 1824 7.34 2399 31 23022 92.66 15 11 725 2.92 2483 39 24846
2-Jan-19 95 22 4108 9.18 3889 31 40634 90.82 24 13 834 1.86 3984 39 44742
3-Jan-19 138 30 4553 11.98 3303 40 33445 88.02 24 10 1330 3.50 3441 45 37998
4-Jan-19 143 29 7411 21.41 2721 33 27207 78.59 0 0 0 0.00 2864 41 34618
7-Jan-19 153 31 7304 18.90 3332 34 31353 81.10 37 11 2070 5.35 3485 43 38657
8-Jan-19 124 26 3410 6.12 5277 44 52284 93.88 20 9 395 0.71 5401 49 55694
9-Jan-19 97 23 3833 11.44 3345 35 29684 88.56 26 11 1030 3.07 3442 41 33517
10-Jan-19 120 32 4152 11.72 3164 32 31259 88.28 26 12 1510 4.26 3284 40 35411
11-Jan-19 149 24 3439 8.92 3700 40 35099 91.08 15 9 390 1.01 3849 44 38538
14-Jan-19 72 22 2152 5.32 4073 39 38332 94.68 10 9 335 0.83 4145 43 40484
15-Jan-19 82 28 2954 13.30 2356 28 19265 86.70 13 5 405 1.82 2438 40 22219
16-Jan-19 117 26 3941 10.22 3545 36 34638 89.78 27 12 1130 2.93 3662 43 38579
17-Jan-19 72 24 2609 10.47 2429 32 22303 89.53 17 9 576 2.31 2501 43 24913
18-Jan-19 159 38 5956 19.68 2610 36 24307 80.32 23 13 953 3.15 2769 49 30263
21-Jan-19 111 28 6328 15.23 3729 37 35209 84.77 10 3 435 1.05 3840 47 41537
22-Jan-19 79 24 2705 8.80 3060 35 28019 91.20 26 10 913 2.97 3139 39 30725
23-Jan-19 63 25 2085 7.42 2849 32 26014 92.58 19 11 745 2.65 2912 40 28099
24-Jan-19 89 55 2336 10.54 2106 32 19827 89.46 9 3 305 1.38 2195 68 22163
25-Jan-19 102 27 7425 22.90 2682 35 25000 77.10 14 7 600 1.85 2784 46 32425
28-Jan-19 69 26 5004 26.90 1345 34 13597 73.10 12 9 894 4.81 1414 45 18601
29-Jan-19 75 27 4679 20.27 1951 35 18400 79.73 16 6 790 3.42 2026 40 23080
30-Jan-19 79 25 4961 24.46 1546 38 15319 75.54 17 9 681 3.36 1625 44 20280
31-Jan-19 88 24 2675 7.50 3384 44 32966 92.50 17 4 559 1.57 3472 47 35641
Total 2360 95846 68795 657182 417 17604 71155 753028
Average 103 27 4167 2991 35 28573 18 9 765 3094 44 32740
Percent Market Share 12.73 87.27 2.34
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CCIL Monthly Newsletter February 2019
TABLE 35: T-BILL TRADING ANALYSIS Amount Crore`
OTC (T-Bills) NDS-OM (T-Bills) Brokered Deals (T-Bills) Total (T-Bills)
DateTrades
No. ofSecurities
ValueMarketShare(%)
TradesNo. of
SecuritiesValue
MarketShare(%)
TradesNo. of
SecuritiesValue
MarketShare(%)
TradesNo. of
SecuritiesValue
1-Jan-19 17 13 1024 14.14 75 24 6215 85.86 1 1 300 4.14 92 30 7239
2-Jan-19 65 20 6951 66.22 95 28 3546 33.78 11 7 665 6.33 160 38 10497
3-Jan-19 39 19 695 15.23 81 28 3870 84.77 1 1 25 0.55 120 37 4565
4-Jan-19 26 17 1484 38.73 65 22 2349 61.27 5 3 450 11.74 91 28 3833
7-Jan-19 18 15 642 19.74 47 21 2611 80.26 5 4 379 11.66 65 29 3253
8-Jan-19 15 10 788 44.33 29 14 990 55.67 6 4 525 29.52 44 22 1778
9-Jan-19 48 18 4012 53.24 105 24 3524 46.76 8 6 1150 15.26 153 31 7536
10-Jan-19 30 16 743 22.19 84 24 2607 77.81 4 3 250 7.46 114 34 3350
11-Jan-19 14 11 517 30.33 32 17 1188 69.67 1 1 25 1.47 46 25 1705
14-Jan-19 16 14 1894 78.36 28 10 523 21.64 9 7 1730 71.58 44 21 2417
15-Jan-19 17 14 846 39.60 28 14 1290 60.40 6 4 758 35.50 45 22 2136
16-Jan-19 47 20 4257 70.75 59 16 1760 29.25 3 3 250 4.16 106 27 6017
17-Jan-19 17 14 612 25.70 54 16 1770 74.30 4 3 524 21.98 71 26 2382
18-Jan-19 25 12 472 31.41 27 12 1030 68.59 2 1 100 6.66 52 21 1502
21-Jan-19 9 7 178 19.90 41 14 717 80.10 1 1 100 11.18 50 19 895
22-Jan-19 25 16 969 56.55 42 15 745 43.45 7 6 341 19.90 67 26 1714
23-Jan-19 52 19 3191 59.60 69 23 2163 40.40 7 4 1298 24.24 121 33 5354
24-Jan-19 35 21 2214 42.94 81 23 2942 57.06 7 5 870 16.88 116 31 5156
25-Jan-19 10 9 311 32.68 25 12 640 67.32 2 2 125 13.15 35 16 951
28-Jan-19 11 7 630 66.67 18 11 315 33.33 1 1 25 2.65 29 16 945
29-Jan-19 12 9 135 13.34 27 15 875 86.66 0 0 0 0.00 39 20 1010
30-Jan-19 25 17 628 27.63 78 34 1644 72.37 3 3 115 5.06 103 42 2272
31-Jan-19 63 16 7231 65.94 66 16 3735 34.06 4 3 214 1.95 129 23 10967
Total 636 40425 1256 47048 98 10219 1892 87472
Average 28 15 1758 55 19 2046 4 3 444 82 27 3803
PercentMarket Share
46.21 53.79 11.68 statis
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CCIL Monthly Newsletter February 2019
TABLE 36: 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-Jan-19 110 39 3216 82.30 70 17 692 17.70 3 3 416 10.65 180 49 3908
2-Jan-19 136 39 1337 64.59 131 32 733 35.41 17 13 374 18.06 267 65 2071
3-Jan-19 135 46 1198 73.38 86 30 435 26.62 11 7 201 12.28 221 53 1633
4-Jan-19 66 28 570 63.95 47 19 321 36.05 4 3 95 10.66 113 40 891
7-Jan-19 75 39 933 67.89 53 23 441 32.11 5 5 55 4.00 128 52 1374
8-Jan-19 101 33 3085 90.13 63 25 338 9.87 24 13 1707 49.88 164 54 3422
9-Jan-19 78 37 650 48.53 63 32 690 51.47 14 12 230 17.17 141 55 1340
10-Jan-19 113 48 1291 67.57 56 28 620 32.43 19 11 565 29.56 169 62 1911
11-Jan-19 72 43 1507 83.64 57 28 295 16.36 9 7 771 42.80 129 63 1802
14-Jan-19 44 32 302 39.44 52 21 464 60.56 2 2 27 3.58 96 42 766
15-Jan-19 111 35 4431 87.82 63 28 614 12.18 20 14 503 9.96 174 54 5045
16-Jan-19 67 27 1122 68.72 55 28 510 31.27 1 1 5 0.31 122 44 1632
17-Jan-19 113 38 627 75.26 48 24 206 24.74 6 5 186 22.34 161 50 833
18-Jan-19 62 31 472 53.67 61 23 407 46.33 3 2 54 6.10 123 38 879
21-Jan-19 54 27 546 71.55 33 21 217 28.45 6 6 98 12.78 87 41 763
22-Jan-19 103 37 4247 90.16 55 24 463 9.84 8 6 372 7.89 158 50 4711
23-Jan-19 91 44 1467 76.64 57 30 447 23.36 2 2 42 2.22 148 60 1914
24-Jan-19 92 54 807 53.33 60 34 706 46.67 3 3 90 5.95 152 68 1513
25-Jan-19 58 28 576 55.45 44 29 463 44.55 6 5 50 4.81 102 51 1039
28-Jan-19 45 28 293 53.96 31 17 250 46.04 1 1 50 9.22 76 38 542
29-Jan-19 165 45 4293 80.22 77 26 1058 19.78 10 7 229 4.29 242 60 5352
30-Jan-19 119 43 1029 60.11 86 33 683 39.89 4 4 25 1.46 205 61 1712
31-Jan-19 100 44 912 40.76 130 37 1326 59.24 7 4 235 10.48 230 59 2238
Total 2110 34912 1478 12381 185 6380 3588 47293
Average 92 38 1518 64 26 538 8 6 277 156 53 2056
Percent Market Share 73.82 26.18 13.49
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TABLE 3 : LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC)7 `
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 7.17% GS 2028 55308 539075 71.73 23 23 0
2 7.37% GS 2023 3782 45064 6.00 23 23 0
3 7.59% GS 2026 2949 37778 5.03 23 22 1
4 6.65% GS 2020 579 18966 2.52 23 22 1
5 7.26% GS 2029 1931 18729 2.49 14 14 0
6 7.95% GS 2032 972 9993 1.33 23 23 0
7 6.84% GS 2022 475 6219 0.83 23 19 4
8 6.05% GS 2019 238 6035 0.80 22 20 2
9 8.24% GS 2027 420 5642 0.75 23 19 4
10 7.40% GS 2035 222 3102 0.41 23 18 5
11 7.94% GS 2021 148 2990 0.40 23 11 12
12 7.16% GS 2023 238 2959 0.39 20 13 7
13 8.24% GS 2033 100 2943 0.39 15 5 10
14 6.90% GS 2019 153 2810 0.37 22 10 12
15 7.00% GS 2021 99 2676 0.36 9 7 2
16 8.40% GS 2024 57 2497 0.33 12 4 8
17 8.79% GS 2021 50 2363 0.31 19 2 17
18 9.15% GS 2024 222 2350 0.31 22 15 7
19 6.68% GS 2031 202 2324 0.31 21 11 10
20 7.32% GS 2024 180 2192 0.29 5 5 0
21 8.97% GS 2030 101 1682 0.22 17 6 11
22 8.83% GS 2023 45 1680 0.22 8 4 4
23 8.33% GS 2026 38 1538 0.20 7 2 5
24 7.68% GS 2023 53 1507 0.20 11 4 7
25 6.35% GS 2020 154 1445 0.19 23 13 10
26 7.59% GS 2029 125 1443 0.19 18 8 10
27 7.72% GS 2055 51 1292 0.17 13 3 10
28 7.28% GS 2019 42 1144 0.15 17 2 15
29 7.06% GS 2046 60 1077 0.14 16 6 10
30 7.88% GS 2030 77 1054 0.14 12 6 6
31 7.35% GS 2024 81 1040 0.14 15 5 10
32 7.80% GS 2020 30 1035 0.14 8 2 6
33 7.50% GS 2034 78 980 0.13 16 6 10
34 8.08% GS 2022 54 959 0.13 14 5 9
35 8.12% GS 2020 44 937 0.12 13 4 9
36 6.90% OMC SB 2026 14 881 0.12 4 1 3
37 8.20% GS 2025 34 835 0.11 16 2 14
38 8.17% GS 2044 43 828 0.11 12 2 10
39 8.27% GS 2020 21 808 0.11 11 0 11
40 7.80% GS 2021 37 783 0.10 15 3 12
statistics
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TABLE 3 : LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC)7 `
Sr.No.
ISINDESCNo. ofTrades
Value(` Cr.)
MarketShare(% )
DaysTraded
Days Traded with 5trades or more per day
Days Traded with lessthan 5 trades per day
41 8.28% GS 2027 47 783 0.10 12 3 9
42 8.15% GS 2022 28 756 0.10 10 1 9
43 8.35% GS 2022 15 739 0.10 7 1 6
44 8.30% GS 2040 37 690 0.09 10 2 8
45 FRB 2020 7 625 0.08 5 0 5
46 FRB 2031 5 600 0.08 2 0 2
47 8.19% GS 2020 4 527 0.07 4 0 4
48 7.61% GS 2030 39 515 0.07 11 2 9
49 7.72% GS 2025 29 493 0.07 11 2 9
50 6.05% GS 2019 13 475 0.06 8 0 8
51 6.79% GS 2027 42 398 0.05 10 2 8
52 7.73% GS 2034 26 386 0.05 14 0 14
53 6.57% GS 2033 31 355 0.05 9 3 6
54 8.13% GS 2045 20 350 0.05 9 1 8
55 8.33% GS 2036 17 325 0.04 7 1 6
56 8.83% GS 2041 28 315 0.04 12 0 12
57 6.97% GS 2026 16 300 0.04 6 1 5
58 7.40%GS09SEP2035P 1 300 0.04 1 0 1
59 6.35% OMC SB 2024 6 280 0.04 4 0 4
60 8.28% GS 2032 11 255 0.03 4 1 3
61 8.15% GS 2026 6 252 0.03 3 0 3
62 8.13% GS 2022 18 209 0.03 7 1 6
63 6.62% GS 2051 6 186 0.02 5 0 5
64 8.60% GS 2028 10 182 0.02 6 0 6
65 8.20% OMC SB 2023 2 158 0.02 1 0 1
66 6.79% GS 2029 9 140 0.02 7 0 7
67 8.26% GS 2027 9 116 0.02 4 0 4
68 6.17% GS 2023 9 115 0.02 3 1 2
69 7.95% OMC SB 2025 3 105 0.01 2 0 2
70 9.20% GS 2030 12 80 0.01 3 1 2
71 8.32% GS 2032 6 75 0.01 6 0 6
72 8.23% FCI SB 2027 3 72 0.01 2 0 2
73 8.30% GS 2042 4 65 0.01 2 0 2
74 6.13% GS 2028 3 55 0.01 3 0 3
75 8.20% GS 2022 6 55 0.01 5 0 5
76 8.00% OMC SB 2026 2 50 0.01 1 0 1
77 8.03% FCI SB 2024 2 40 0.01 1 0 1
78 7.95% FERT SB 2026 2 30 0.00 1 0 1
79 5.87% GS 2022 1 20 0.00 1 0 1
80 GS09MAR2019C 1 11 0.00 1 0 1
statistics
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TABLE 3 : LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC)7 `
Sr.No.
ISINDESCNo. ofTrades
Value(` Cr.)
MarketShare(% )
DaysTraded
Days Traded with 5trades or more per day
Days Traded with lessthan 5 trades per day
81 GS09MAR2020C 1 11 0.00 1 0 1
82 GS09MAR2021C 1 11 0.00 1 0 1
83 GS09MAR2022C 1 11 0.00 1 0 1
84 GS09MAR2023C 1 11 0.00 1 0 1
85 GS09MAR2024C 1 11 0.00 1 0 1
86 GS09MAR2025C 1 11 0.00 1 0 1
87 GS09MAR2026C 1 11 0.00 1 0 1
88 GS09MAR2027C 1 11 0.00 1 0 1
89 GS09MAR2028C 1 11 0.00 1 0 1
90 GS09MAR2029C 1 11 0.00 1 0 1
91 GS09MAR2030C 1 11 0.00 1 0 1
92 GS09MAR2031C 1 11 0.00 1 0 1
93 GS09MAR2032C 1 11 0.00 1 0 1
94 GS09MAR2033C 1 11 0.00 1 0 1
95 GS09MAR2034C 1 11 0.00 1 0 1
96 GS09MAR2035C 1 11 0.00 1 0 1
97 GS09SEP2019C 1 11 0.00 1 0 1
98 GS09SEP2020C 1 11 0.00 1 0 1
99 GS09SEP2021C 1 11 0.00 1 0 1
100 GS09SEP2022C 1 11 0.00 1 0 1
101 GS09SEP2023C 1 11 0.00 1 0 1
102 GS09SEP2024C 1 11 0.00 1 0 1
103 GS09SEP2025C 1 11 0.00 1 0 1
104 GS09SEP2026C 1 11 0.00 1 0 1
105 GS09SEP2027C 1 11 0.00 1 0 1
106 GS09SEP2028C 1 11 0.00 1 0 1
107 GS09SEP2029C 1 11 0.00 1 0 1
108 GS09SEP2030C 1 11 0.00 1 0 1
109 GS09SEP2031C 1 11 0.00 1 0 1
110 GS09SEP2032C 1 11 0.00 1 0 1
111 GS09SEP2033C 1 11 0.00 1 0 1
112 GS09SEP2034C 1 11 0.00 1 0 1
113 GS09SEP2035C 1 11 0.00 1 0 1
114 6.01% GS 2028 2 10 0.00 1 0 1
115 GS02FEB2019C 1 7 0.00 1 0 1
70079 751520 100.00
statistics
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TABLE 38: 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 7.17% GS 2028 23 55308 539075 8.79% GS 2021 17 31 220
2 7.37% GS 2023 23 3782 45064 7.28% GS 2019 15 28 980
3 7.95% GS 2032 23 972 9993 8.20% GS 2025 14 23 435
4 7.59% GS 2026 22 2946 37743 7.73% GS 2034 14 26 386
5 6.65% GS 2020 22 577 18951 7.94% GS 2021 12 31 480
6 6.05% GS 2019 20 235 5990 6.90% GS 2019 12 28 700
7 6.84% GS 2022 19 461 6044 7.80% GS 2021 12 19 288
8 8.24% GS 2027 19 409 5487 8.83% GS 2041 12 28 315
9 7.40% GS 2035 18 212 3032 8.97% GS 2030 11 14 415
10 9.15% GS 2024 15 203 2220 8.27% GS 2020 11 21 808
11 7.26% GS 2029 14 1931 18729 6.35% GS 2020 10 22 200
12 7.16% GS 2023 13 219 2774 6.68% GS 2031 10 20 205
13 6.35% GS 2020 13 132 1245 7.59% GS 2029 10 24 245
14 7.94% GS 2021 11 117 2510 7.06% GS 2046 10 17 255
15 6.68% GS 2031 11 182 2119 7.50% GS 2034 10 29 370
16 6.90% GS 2019 10 125 2110 8.24% GS 2033 10 18 235
17 7.59% GS 2029 8 101 1198 7.35% GS 2024 10 27 225
18 7.00% GS 2021 7 95 2631 7.72% GS 2055 10 21 505
19 8.97% GS 2030 6 87 1268 8.17% GS 2044 10 29 488
20 7.06% GS 2046 6 43 822 8.08% GS 2022 9 15 350
21 7.88% GS 2030 6 63 924 8.12% GS 2020 9 17 580
22 7.50% GS 2034 6 49 610 8.28% GS 2027 9 24 473
23 8.24% GS 2033 5 82 2708 7.61% GS 2030 9 14 275
24 7.32% GS 2024 5 180 2192 7.72% GS 2025 9 14 318
25 7.35% GS 2024 5 54 815 8.15% GS 2022 9 19 571
26 8.08% GS 2022 5 39 609 8.40% GS 2024 8 22 1238
27 8.40% GS 2024 4 35 1259 8.30% GS 2040 8 15 415
28 8.83% GS 2023 4 39 1467 6.79% GS 2027 8 19 223
29 7.68% GS 2023 4 41 1015 8.13% GS 2045 8 13 255
30 8.12% GS 2020 4 27 357 6.05% GS 2019 8 13 475
31 7.72% GS 2055 3 30 787 9.15% GS 2024 7 19 130
32 7.80% GS 2021 3 18 495 7.16% GS 2023 7 19 185
33 8.28% GS 2027 3 23 310 7.68% GS 2023 7 12 492
34 6.57% GS 2033 3 15 133 6.79% GS 2029 7 9 140
35 8.79% GS 2021 2 19 2143 7.88% GS 2030 6 14 130
36 8.33% GS 2026 2 28 921 6.57% GS 2033 6 16 223
37 7.28% GS 2019 2 14 164 7.80% GS 2020 6 10 640
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TABLE 38: LIQUIDITY DISTRIBUTION (G-SEC)
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5 or more Trades Per Day Less than 5 Trades Per DaySr.No. ISINDESC
DaysTraded
TradesValue
(`. Cr.)ISINDESC
DaysTraded
TradesValue
(`. Cr.)
38 7.80% GS 2020 2 20 395 8.35% GS 2022 6 8 349
39 8.20% GS 2025 2 11 400 8.33% GS 2036 6 12 180
40 8.17% GS 2044 2 14 340 8.13% GS 2022 6 10 149
41 8.30% GS 2040 2 22 275 8.60% GS 2028 6 10 182
42 7.61% GS 2030 2 25 240 8.32% GS 2032 6 6 75
43 7.72% GS 2025 2 15 175 7.40% GS 2035 5 10 70
44 6.79% GS 2027 2 23 175 8.33% GS 2026 5 10 617
45 6.90% OMC SB 2026 1 7 500 6.97% GS 2026 5 10 145
46 8.15% GS 2022 1 9 185 FRB 2020 5 7 625
47 8.35% GS 2022 1 7 390 6.62% GS 2051 5 6 186
48 8.13% GS 2045 1 7 95 8.20% GS 2022 5 6 55
49 8.33% GS 2036 1 5 145 6.84% GS 2022 4 14 175
50 6.97% GS 2026 1 6 155 8.24% GS 2027 4 11 155
51 8.28% GS 2032 1 7 175 8.83% GS 2023 4 6 213
52 8.13% GS 2022 1 8 60 8.19% GS 2020 4 4 527
53 6.17% GS 2023 1 7 95 6.35% OMC SB 2024 4 6 280
54 9.20% GS 2030 1 8 50 8.26% GS 2027 4 9 116
55 6.90% OMC SB 2026 3 7 381
56 8.28% GS 2032 3 4 80
57 8.15% GS 2026 3 6 252
58 6.13% GS 2028 3 3 55
59 6.05% GS 2019 2 3 45
60 7.00% GS 2021 2 4 45
61 6.17% GS 2023 2 2 20
62 9.20% GS 2030 2 4 30
63 FRB 2031 2 5 600
64 7.95% OMC SB 2025 2 3 105
65 8.23% FCI SB 2027 2 3 72
66 8.30% GS 2042 2 4 65
67 7.59% GS 2026 1 3 35
68 6.65% GS 2020 1 2 15
69 7.40%GS09SEP2035P 1 1 300
70 8.20% OMC SB 2023 1 2 158
71 8.00% OMC SB 2026 1 2 50
72 8.03% FCI SB 2024 1 2 40
73 7.95% FERT SB 2026 1 2 30
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TABLE 38: 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.)
74 5.87% GS 2022 1 1 20
75 GS09MAR2019C 1 1 11
76 GS09MAR2020C 1 1 11
77 GS09MAR2021C 1 1 11
78 GS09MAR2022C 1 1 11
79 GS09MAR2023C 1 1 11
80 GS09MAR2024C 1 1 11
81 GS09MAR2025C 1 1 11
82 GS09MAR2026C 1 1 11
83 GS09MAR2027C 1 1 11
84 GS09MAR2028C 1 1 11
85 GS09MAR2029C 1 1 11
86 GS09MAR2030C 1 1 11
87 GS09MAR2031C 1 1 11
88 GS09MAR2032C 1 1 11
89 GS09MAR2033C 1 1 11
90 GS09MAR2034C 1 1 11
91 GS09MAR2035C 1 1 11
92 GS09SEP2019C 1 1 11
93 GS09SEP2020C 1 1 11
94 GS09SEP2021C 1 1 11
95 GS09SEP2022C 1 1 11
96 GS09SEP2023C 1 1 11
97 GS09SEP2024C 1 1 11
98 GS09SEP2025C 1 1 11
99 GS09SEP2026C 1 1 11
100 GS09SEP2027C 1 1 11
101 GS09SEP2028C 1 1 11
102 GS09SEP2029C 1 1 11
103 GS09SEP2030C 1 1 11
104 GS09SEP2031C 1 1 11
105 GS09SEP2032C 1 1 11
106 GS09SEP2033C 1 1 11
107 GS09SEP2034C 1 1 11
108 GS09SEP2035C 1 1 11
109 6.01% GS 2028 1 2 10
110 GS02FEB2019C 1 1 7
Total 393 69094 729763 Total 516 985 21757
Expected Bond Days 1242 Expected Bond Days 2530
Efficiency 31.64 Efficiency 20.40
statistics
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Amount Crore`TABLE 39: MONEY MARKET VOLUMES
MONEY MARKET
Amount Crore`TABLE 40: TREP TRADING
*Launched on November 5, 2018.
* CBLO segment of the money market was discontinued and replaced with TREP with effect from November 5, 2018.
Number of Participants: 249
Uncollateralised Call,Notice and Term Money
MarketMarket Repo CBLO/TREP
Period
ValueDaily
AverageValue
ValueDaily
AverageValue
ValueDaily
AverageValue
2009-10 2522703 8914 6072829 21308 15541378 54531
2010-11 2945901 10020 4099284 13943 12259745 41700
2011-12 4084692 14085 3755892 12907 11155428 38335
2012-13 4814032 16658 5402765 18695 12028040 41620
2013-14 4507273 15383 7228127 24585 17526192 59613
2014-15 3740742 12989 7875244 27440 16764597 58413
2015-16 3799481 13717 8621665 31125 17833528 64381
2016-17 4242821 15714 11835001 43833 22952833 85010
2017-18 3871780 14556 12780289 48046 28330758 106507
Apr-18 356450 16974 945469 45022 2039116 97101
May-18 362059 15086 1143343 47639 2327832 96993
Jun-18 390004 16957 1196459 52020 2482884 107951
Jul-18 379993 15833 1162522 48438 2704030 112668
Aug-18 357253 16239 1139549 51798 2467692 112168
Sep-18 376834 17944 1162563 55360 2589795 123324
Oct-18 437902 19039 1570111 68266 3259757 141729
Nov-18 365881 18294 1123890 56195 2620172 131009
Dec-18 479020 20827 1083786 47121 3018160 131224
Jan-19 490057 19602 1053820 42153 3226889 129076
2018-19 (Upto January 2019) 3995453 17679 11581511 51246 26736327 118302
Total Daily AverageSettlement Period
Trades Value Trades Value
Nov-18* 14656 2350813 862 138283
Dec-18 18126 3018160 788 131224
Jan-19 20149 3226889 806 129076
2018-19 (Upto January 2019) 52931 8595862 814 132244
statistics
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MARKET REPO
TABLE 41: REPO TERM ANALYSIS Percent
O/N 2-3 days 4-7 days 8-14 days >14 daysSettlement
Period% tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
% tototaltrades
% 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
2013-14 66.29 65.24 27.73 28.34 5.60 6.17 0.16 0.18 0.23 0.07
2014-15 67.08 65.76 27.56 28.22 5.08 5.63 0.25 0.37 0.03 0.02
2015-16 71.79 70.30 23.89 25.40 4.24 4.21 0.06 0.08 0.02 0.02
2016-17 70.48 67.25 24.29 26.22 4.67 5.36 0.39 0.79 0.16 0.39
2017-18 71.27 68.06 21.27 23.76 6.15 6.92 0.41 0.65 0.90 0.61
Apr-18 74.95 70.89 16.86 18.56 6.89 9.16 0.24 0.23 1.06 1.16
May-18 78.14 74.95 20.30 23.80 0.13 0.15 0.15 0.31 1.28 0.79
Jun-18 72.01 69.26 26.92 29.94 0.21 0.14 0.09 0.21 0.77 0.46
Jul-18 78.53 74.52 20.52 24.02 0.07 0.17 0.14 0.26 0.74 1.03
Aug-18 60.74 55.55 31.50 35.02 6.38 8.31 0.17 0.19 1.21 0.93
Sep-18 62.07 58.12 37.00 40.49 0.37 0.57 0.48 0.76 0.08 0.06
Oct-18 67.79 65.30 31.49 33.86 0.38 0.37 0.15 0.18 0.20 0.29
Nov-18 59.63 58.13 33.63 34.71 6.13 6.10 0.20 0.22 0.40 0.84
Dec-18 74.91 75.48 24.49 23.54 0.16 0.19 0.18 0.32 0.26 0.47
Jan-19 80.71 80.25 17.66 17.07 0.32 0.46 0.90 1.27 0.42 0.95
2018-19 (Upto January 2019) 71.20 67.98 25.98 28.59 1.91 2.37 0.26 0.38 0.65 0.67
statistics
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TABLE 42: INSTRUMENTWISE SETTLEMENT OF REPO TRADES Amount Crore`
Cen. Govt. Dated Treasury BillsSettlement
Period ValueAvg.Value
%Share
ValueAvg.Value
%Share
ValueAvg.Value
%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
2013-14 3364069 11442 46.54 3832478 13036 53.02 31580 107 0.44
2014-15 4471896 15582 56.78 3259007 11355 41.38 144343 503 1.83
2015-16 6230697 22493 72.27 2248204 8116 26.08 142765 515 1.66
2016-17 9499803 35184 80.27 1802788 6677 15.23 532410 1972 4.50
2017-18 9131782 34330 71.45 2684898 10094 21.01 963609 3623 7.54
Apr-18 748711 35653 79.19 103999 4952 11.00 92761 4417 9.81
May-18 886614 36942 77.55 120835 5035 10.57 135892 5662 11.89
Jun-18 861691 37465 72.02 178545 7763 14.92 156222 6792 13.06
Jul-18 797499 33229 68.60 186184 7758 16.02 178840 7452 15.38
Aug-18 684744 31125 60.09 295031 13411 25.89 159774 7262 14.02
Sep-18 773484 36833 66.53 267721 12749 23.03 121358 5779 10.44
Oct-18 1038697 45161 66.15 388157 16876 24.72 143257 6229 9.12
Nov-18 705769 35288 62.80 262240 13112 23.33 155881 7794 13.87
Dec-18 672483 29238 62.05 201097 8743 18.56 210205 9139 19.40
Jan-19 675049 27002 64.06 163555 6542 15.52 215217 8609 20.42
2018-19 (UptoJanuary 2019)
7844741 34711 67.74 2167364 9590 18.71 1569407 6944 13.55
State Govt Development
statistics
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TABLE 43: CROMS TRADING ACTIVITY
Number of Participants: 157 Amount Crore`
CROMS Special CROMS Basket CROMS - Total Repo
DateTrades Value WAR Trades Value WAR Trades Value WAR Trades Value WAR
% Shareof
CROMSin Repovolumes
1-Jan-19 201 17097 6.3905 210 36972 6.3719 411 54069 6.3778 432 58375 6.3703 92.62
2-Jan-19 231 17129 6.3088 165 31478 6.3010 396 48607 6.3037 423 55542 6.3029 87.51
3-Jan-19 219 14845 6.3299 172 31527 6.3224 391 46372 6.3248 411 50466 6.3224 91.89
4-Jan-19 220 13476 6.3052 180 29844 6.3033 400 43320 6.3039 429 49985 6.2988 86.67
7-Jan-19 218 13677 6.3030 131 22221 6.3444 349 35898 6.3286 377 40795 6.3220 88.00
8-Jan-19 212 12811 6.2919 170 29054 6.4211 382 41865 6.3816 402 45859 6.3860 91.29
9-Jan-19 220 13036 6.3956 162 28595 6.4736 382 41631 6.4492 399 45438 6.4436 91.62
10-Jan-19 200 13207 6.4224 151 26903 6.4953 351 40110 6.4713 376 44512 6.4632 90.11
11-Jan-19 220 13436 6.4182 163 28887 6.4465 383 42323 6.4375 401 46128 6.4332 91.75
14-Jan-19 196 11698 6.3355 131 22523 6.4023 327 34221 6.3795 347 38228 6.3783 89.52
15-Jan-19 210 11844 6.3491 148 23823 6.4109 358 35667 6.3904 380 39930 6.3929 94.12
16-Jan-19 199 10406 6.3472 155 27176 6.4665 354 37582 6.4335 376 41592 6.4247 85.76
17-Jan-19 221 14572 6.3187 162 31351 6.4855 383 45923 6.4326 402 49576 6.4318 92.63
18-Jan-19 221 15423 6.3894 158 27375 6.5110 379 42798 6.4672 403 48135 6.4647 88.91
21-Jan-19 228 15383 6.3166 169 31114 6.5242 397 46497 6.4555 418 50412 6.4608 92.23
22-Jan-19 204 11551 6.2866 172 28200 6.5300 376 39751 6.4593 398 43602 6.4582 91.17
23-Jan-19 233 15128 6.4933 175 32102 6.5415 408 47230 6.5261 426 50692 6.5019 93.17
24-Jan-19 190 12412 6.4167 166 29292 6.4656 356 41704 6.4510 380 45803 6.4540 91.05
25-Jan-19 190 10938 6.3674 179 24795 6.3993 369 35733 6.3895 390 39382 6.3867 90.73
28-Jan-19 192 11316 6.3137 170 26329 6.4478 362 37645 6.4075 381 41224 6.4041 91.32
29-Jan-19 206 10664 6.3159 159 27246 6.4091 365 37910 6.3829 384 41513 6.3816 91.32
30-Jan-19 194 10619 6.2690 166 25518 6.3785 360 36137 6.3463 386 41757 6.3450 86.54
31-Jan-19 206 12707 6.2800 162 27432 6.3847 368 40139 6.3516 391 44873 6.3536 89.45
Total 4831 303375 3776 649757 8607 953132 9112 1053820 90.45
statistics
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TABLE 45: TOP 5 SECURITIES - BASKET REPO
TABLE 46: TOP 5 SECURITIES - SPECIAL REPO
Amount Crore`
Amount Crore`
TABLE 44: CROMS HISTORICAL SUMMARY Amount Crore`
CROMS-SPECIAL CROMS-BASKET CROMS
Period
Trades Value
%Share
inRepo
Trades Value
%Share
inRepo
TradesTotalValue
DailyAverageValue
%Share
inRepo
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
2013-14 13780 1287231 17.81 28540 5238049 72.48 42320 6525279 26418 90.29
2014-15 15120 1362280 17.30 36319 5954619 75.61 51439 7316899 30743 92.91
2015-16 29770 2872304 33.31 35142 5280959 61.25 64912 8153264 33691 94.57
2016-17 46594 4156364 35.12 33543 6924118 58.51 80137 11080482 45599 93.62
2017-18 66806 5282083 41.33 28926 6794253 53.16 95732 12076336 49493 94.49
Apr-18 4755 351025 37.13 2843 547290 57.89 7598 898315 47280 95.01
May-18 6443 482382 42.19 3419 482382 42.19 9862 964764 43853 84.38
Jun-18 6319 488893 40.86 3470 643974 53.82 9789 1132867 51494 94.68
Jul-18 6108 501203 43.11 3489 586568 50.46 9597 1087771 49444 93.57
Aug-18 5324 488872 42.90 3277 586431 51.46 8601 1075303 53765 94.36
Sep-18 5051 455863 39.21 3291 623862 53.66 8342 1079725 53986 92.87
Oct-18 5365 472834 30.11 4452 992875 63.24 9817 1465709 73285 93.35
Nov-18 4158 359144 31.96 3288 668891 59.52 7446 1028035 57113 91.47
Dec-18 4336 350085 32.30 3774 639040 58.96 8110 989125 49456 91.27
Jan-19 4831 303375 28.79 3776 649757 61.66 8607 953132 41441 90.45
2018-19 (UptoJanuary 2019)
52690 4253676 36.73 35079 6421069 55.44 87769 10674745 51819 92.17
Security Trades Value Rate
6.65% GS 2020 279 88206 6.4412
6.90% GS 2019 177 38464 6.4106
7.80% GS 2020 122 32819 6.4199
7.94% GS 2021 216 31320 6.4355
6.35% GS 2020 152 26548 6.4100
Security Trades Value Rate
7.17% GS 2028 758 69472 6.2224
7.59% GS 2026 191 11407 6.3300
7.37% GS 2023 214 10983 6.2160
8.26% GS 2027 94 8950 6.1598
8.28% GS 2027 89 7885 6.0300
statistics
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TABLE 47: 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-Jan-19 118 10755 6.4071 - - - 8 670 7.3194 126 11425
2-Jan-19 84 7076 6.4219 2 18 6.4583 9 295 7.3161 95 7389
3-Jan-19 85 7016 6.4017 6 485 6.5928 3 140 7.5804 94 7641
4-Jan-19 158 21823 6.3299 1 20 6.7000 7 425 7.5753 166 22268
5-Jan-19 20 1262 6.3761 - - - 1 25 7.5000 21 1287
7-Jan-19 133 12690 6.4348 1 16 6.4000 5 249 7.4193 139 12955
8-Jan-19 136 11192 6.4176 1 10 6.6000 4 375 7.3700 141 11577
9-Jan-19 103 8705 6.4420 2 105 6.7952 2 225 7.2767 107 9035
10-Jan-19 112 12224 6.4188 1 55 6.4500 1 150 7.1000 114 12429
11-Jan-19 140 12922 6.4062 1 50 6.4900 4 375 7.2640 145 13347
14-Jan-19 122 11175 6.4191 7 538 6.5327 1 50 7.7000 130 11763
15-Jan-19 168 15721 6.4844 - - - 2 50 6.7250 170 15771
16-Jan-19 163 18898 6.4651 - - - 1 50 7.2000 164 18948
17-Jan-19 150 13252 6.4603 3 120 6.5417 3 80 6.8813 156 13452
18-Jan-19 231 28165 6.4791 1 100 6.7500 2 37 7.0946 234 28302
19-Jan-19 17 730 6.5078 - - - - - - 17 730
21-Jan-19 190 21230 6.5429 2 70 6.4429 - - - 192 21300
22-Jan-19 152 17150 6.5067 - - - 2 75 6.9833 154 17225
23-Jan-19 171 18699 6.4939 3 60 6.5500 3 210 7.2262 177 18969
24-Jan-19 172 18896 6.4787 4 130 6.4673 - - - 176 19026
25-Jan-19 184 19982 6.4751 - - - 3 200 7.0375 187 20182
28-Jan-19 185 21689 6.4954 1 10 6.5000 1 200 7.1200 187 21899
29-Jan-19 165 17418 6.4459 - - - - - - 165 17418
30-Jan-19 200 20544 6.4437 1 75 6.5500 1 5 7.0000 202 20624
31-Jan-19 175 16606 6.4320 2 200 6.5000 5 170 7.1588 182 16976
Total 3534 365814 39 2062 68 4056 3641 371932
statistics
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TABLE 48: 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-Jan-19 372 4495 6.1732 15 84 6.1642 12 363 6.8414 399 4941
2-Jan-19 403 4724 6.1845 20 158 6.4175 3 53 6.7858 426 4935
3-Jan-19 401 5073 6.1747 25 169 6.2439 8 311 6.8312 434 5553
4-Jan-19 415 4501 6.1292 12 48 5.9775 6 74 6.8204 433 4623
5-Jan-19 100 699 5.6149 3 12 5.9398 - - - 103 712
7-Jan-19 350 4076 6.1944 63 854 6.2547 4 67 6.8269 417 4997
8-Jan-19 353 3960 6.1827 20 543 6.2568 2 6 6.4917 375 4508
9-Jan-19 368 4535 6.1944 13 104 6.4076 4 78 7.3231 385 4717
10-Jan-19 392 5018 6.2160 38 210 6.2732 3 18 6.6357 433 5246
11-Jan-19 305 4280 6.1927 101 684 6.1264 5 196 6.9852 411 5159
14-Jan-19 193 3555 6.2015 133 1043 6.1575 - - - 326 4597
15-Jan-19 275 4167 6.1762 16 287 6.3947 5 331 6.8650 296 4785
16-Jan-19 371 4392 6.2040 35 260 6.3583 6 101 6.7657 412 4752
17-Jan-19 360 4359 6.1771 29 289 6.4066 9 141 6.7791 398 4789
18-Jan-19 386 4091 6.1612 13 97 6.3015 6 80 6.7293 405 4268
19-Jan-19 106 743 5.7360 5 12 5.7492 - - - 111 755
21-Jan-19 354 4077 6.2245 41 260 6.2964 4 44 7.0773 399 4381
22-Jan-19 320 5320 6.1741 37 754 6.2697 2 15 6.6667 359 6089
23-Jan-19 340 4815 6.1951 36 293 6.4260 4 31 6.9677 380 5140
24-Jan-19 365 5793 6.1988 33 404 6.4026 3 53 6.7632 401 6250
25-Jan-19 371 4863 6.1675 16 309 6.4640 6 106 6.7216 393 5278
28-Jan-19 371 5045 6.1712 46 258 6.3013 4 44 6.5034 421 5347
29-Jan-19 377 5358 6.1732 18 193 6.2651 3 115 7.1283 398 5666
30-Jan-19 383 5640 6.1714 27 108 6.1686 5 69 6.6986 415 5816
31-Jan-19 346 4913 6.2193 19 252 6.3903 12 228 6.8439 377 5393
Total 8377 108490 814 7685 116 2522 9307 118696
statistics
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TABLE 49: UNCOLLATERALISED OVERNIGHT TRANSACTIONS Percent
+/-10 bps of FBILO/N MIBOR
+/-15 bps of FBILO/N MIBOR
+/-25 bps of FBILO/N MIBOR
TotalTRADEDATE
FBILO/N
MIBORRate
Trades Value Trades Value Trades Value Trades Value
01-Jan-19 6.50 137 8358 162 10622 218 12959 490 15249
02-Jan-19 6.50 127 6666 146 8055 192 9458 487 11800
03-Jan-19 6.50 104 5833 138 7249 189 9591 486 12089
04-Jan-19 6.46 122 7075 144 7446 257 23877 573 26324
07-Jan-19 6.50 170 13353 192 13612 234 15021 483 16766
08-Jan-19 6.50 161 11508 201 12847 238 13398 489 15151
09-Jan-19 6.55 87 5139 154 9825 190 11115 471 13240
10-Jan-19 6.55 117 8549 147 9734 205 13097 504 17242
11-Jan-19 6.50 152 8893 209 13997 245 15294 445 17202
14-Jan-19 6.50 138 10263 174 12599 195 13170 315 14730
15-Jan-19 6.50 210 17366 226 17637 248 17780 443 19888
16-Jan-19 6.50 226 20926 243 21127 275 21481 534 23289
17-Jan-19 6.50 215 14708 232 15336 260 15616 510 17611
18-Jan-19 6.48 288 29488 304 29675 345 30307 617 32256
21-Jan-19 6.55 245 22613 259 23311 291 23546 544 25307
22-Jan-19 6.55 188 15581 213 19313 240 19803 472 22469
23-Jan-19 6.60 155 13187 176 13688 226 17888 511 23514
24-Jan-19 6.60 132 11808 169 14930 236 19769 537 24689
25-Jan-19 6.54 186 18331 233 21268 272 22391 555 24844
28-Jan-19 6.55 198 19856 242 23533 288 24327 556 26733
29-Jan-19 6.50 206 17780 240 19639 284 20426 542 22775
30-Jan-19 6.50 238 19583 277 23082 320 23637 583 26183
31-Jan-19 6.50 179 13118 252 18742 290 19621 521 21519
statistics
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TABLE 50: OVERNIGHT TRANSACTIONS DEALT ON NDS-CALL PLATFORM Percent
+/-10 bps of FBILO/N MIBOR
+/-15 bps of FBILO/N MIBOR
+/-25 bps of FBILO/N MIBOR
TotalTRADEDATE
FBILO/N
MIBORRate
Trades Value Trades Value Trades Value Trades Value
01-Jan-19 6.50 74 6291 91 8495 115 10520 118 10755
02-Jan-19 6.50 62 4452 71 5752 78 6887 84 7076
03-Jan-19 6.50 48 3544 62 4804 80 6838 85 7016
04-Jan-19 6.46 67 5324 70 5537 152 21708 158 21823
07-Jan-19 6.50 122 11495 123 11545 131 12675 133 12690
08-Jan-19 6.50 116 9828 132 10857 135 11182 136 11192
09-Jan-19 6.55 49 3476 95 7823 102 8701 103 8705
10-Jan-19 6.55 69 6218 79 7108 107 10211 112 12224
11-Jan-19 6.50 91 6944 126 11794 139 12918 140 12922
14-Jan-19 6.50 96 8731 115 10779 122 11175 122 11175
15-Jan-19 6.50 166 15703 167 15714 167 15714 168 15721
16-Jan-19 6.50 159 18641 161 18743 162 18893 163 18898
17-Jan-19 6.50 146 12649 148 13149 149 13249 150 13252
18-Jan-19 6.48 221 27663 222 27668 230 28161 231 28165
21-Jan-19 6.55 186 20718 188 21218 189 21225 190 21230
22-Jan-19 6.55 136 13462 150 17043 151 17143 152 17150
23-Jan-19 6.60 119 11625 123 11880 153 15857 171 18699
24-Jan-19 6.60 90 10029 114 12644 150 17150 172 18896
25-Jan-19 6.54 141 16575 174 19367 181 19928 184 19982
28-Jan-19 6.55 151 18024 175 21430 184 21685 185 21689
29-Jan-19 6.50 147 15698 164 17118 165 17418 165 17418
30-Jan-19 6.50 176 17262 197 20498 199 20531 200 20544
31-Jan-19 6.50 113 10652 167 16093 173 16568 175 16606
statistics
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TABLE 51: OVERNIGHT TRANSACTIONS REPORTED ON NDS-CALL PLATFORM Percent
+/-10 bps of FBILO/N MIBOR
+/-15 bps of FBILO/N MIBOR
+/-25 bps of FBILO/N MIBOR
TotalTRADEDATE
FBILO/N
MIBORRate
Trades Value Trades Value Trades Value Trades Value
01-Jan-19 6.50 63 2067 71 2128 103 2440 372 4495
02-Jan-19 6.50 65 2214 75 2303 114 2571 403 4724
03-Jan-19 6.50 56 2289 76 2445 109 2753 401 5073
04-Jan-19 6.46 55 1751 74 1909 105 2169 415 4501
07-Jan-19 6.50 48 1858 69 2067 103 2346 350 4076
08-Jan-19 6.50 45 1680 69 1990 103 2216 353 3960
09-Jan-19 6.55 38 1663 59 2002 88 2414 368 4535
10-Jan-19 6.55 48 2331 68 2626 98 2886 392 5018
11-Jan-19 6.50 61 1949 83 2203 106 2376 305 4280
14-Jan-19 6.50 42 1532 59 1820 73 1995 193 3555
15-Jan-19 6.50 44 1663 59 1923 81 2066 275 4167
16-Jan-19 6.50 67 2286 82 2385 113 2588 371 4392
17-Jan-19 6.50 69 2059 84 2187 111 2367 360 4359
18-Jan-19 6.48 67 1825 82 2008 115 2146 386 4091
21-Jan-19 6.55 59 1895 71 2093 102 2321 354 4077
22-Jan-19 6.55 52 2120 63 2270 89 2660 320 5320
23-Jan-19 6.60 36 1562 53 1808 73 2031 340 4815
24-Jan-19 6.60 42 1779 55 2286 86 2619 365 5793
25-Jan-19 6.54 45 1756 59 1901 91 2463 371 4863
28-Jan-19 6.55 47 1832 67 2103 104 2642 371 5045
29-Jan-19 6.50 59 2082 76 2522 119 3008 377 5358
30-Jan-19 6.50 62 2321 80 2585 121 3107 383 5640
31-Jan-19 6.50 66 2466 85 2649 117 3053 346 4913
statistics
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TABLE 52: CALL MARKET AND FBIL O/N MIBOR - RATES Percent
NDS-CALL Platform (WAR)
TRADEDATE
FBIL O/NMIBOR Rate
Uncollateralised O/NCall (WAR) All Trades Trades Upto 4 PM
TradesReported onNDS-CALLPlatform(WAR)
01-Jan-19 6.50 6.34 6.41 6.49 6.17
02-Jan-19 6.50 6.33 6.42 6.48 6.18
03-Jan-19 6.50 6.31 6.40 6.47 6.17
04-Jan-19 6.46 6.31 6.33 6.34 6.13
07-Jan-19 6.50 6.38 6.43 6.49 6.19
08-Jan-19 6.50 6.36 6.42 6.45 6.18
09-Jan-19 6.55 6.36 6.44 6.52 6.19
10-Jan-19 6.55 6.36 6.42 6.51 6.22
11-Jan-19 6.50 6.35 6.41 6.47 6.19
14-Jan-19 6.50 6.37 6.42 6.48 6.20
15-Jan-19 6.50 6.42 6.48 6.49 6.18
16-Jan-19 6.50 6.42 6.47 6.49 6.20
17-Jan-19 6.50 6.39 6.46 6.48 6.18
18-Jan-19 6.48 6.45 6.48 6.48 6.16
21-Jan-19 6.55 6.49 6.54 6.55 6.22
22-Jan-19 6.55 6.43 6.51 6.54 6.17
23-Jan-19 6.60 6.43 6.49 6.58 6.20
24-Jan-19 6.60 6.41 6.48 6.54 6.20
25-Jan-19 6.54 6.41 6.48 6.50 6.17
28-Jan-19 6.55 6.43 6.50 6.53 6.17
29-Jan-19 6.50 6.38 6.45 6.47 6.17
30-Jan-19 6.50 6.39 6.44 6.47 6.17
31-Jan-19 6.50 6.38 6.43 6.48 6.22
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CCIL Monthly Newsletter February 2019
TABLE :53 TENORWISE ANALYSIS OF TERM MONEY TRANSACTIONS Amount Crore`
Less Than 30 Days 30-60 Days 60-90 Days 90-120 Days 120-180 Days 180-270 Days 270 Days and More TotalPeriod
Trades Values Trades Values Trades Values Trades Values Trades Values Trades Values Trades Values Trades Values
2006-07 75 4504 74 5209 19 895 52 1347 4 40 8 73 23 2716 255 14784
2007-08 249 13937 209 10332 49 1832 240 10250 27 1625 46 1701 23 1332 843 41008
2008-09 222 13887 187 11679 92 4194 313 15801 34 1543 51 1846 29 659 928 49608
2009-10 162 8727 63 3942 6 755 87 3322 15 1298 32 1610 68 5522 433 25176
2010-11 291 16146 84 6220 27 1493 77 3617 6 312 40 1346 44 2236 569 31370
2011-12 467 34789 162 11218 47 3143 148 9467 5 85 24 1003 29 1057 882 60761
2012-13 997 81555 273 22081 117 8572 243 15673 16 1294 27 1237 37 2977 1710 133389
2013-14 639 40681 244 11765 86 4914 241 12961 30 1685 41 3458 56 2643 1337 78107
2014-15 758 29041 108 4913 136 6040 212 11018 42 2810 47 2256 45 2356 1348 58432
2015-16 1142 43868 161 4678 79 4029 142 6927 32 2453 52 3297 34 1885 1642 67136
2016-17 1919 83127 237 10543 91 5509 123 7917 39 2710 29 2615 33 2152 2471 114574
2017-18 1941 75095 265 15637 88 5554 142 11776 61 5766 67 4937 34 1475 2598 120239
Apr-18 215 7945 25 1167 45 3940 10 847 - - 1 5 - - 296 13904
May-18 214 6942 41 1548 6 80 7 242 7 150 1 10 5 211 281 9182
Jun-18 169 5796 36 1435 9 655 7 250 5 365 2 50 1 10 229 8561
Jul-18 228 8830 20 1731 13 832 7 398 7 537 4 315 6 295 285 12938
Aug-18 176 7563 31 1803 5 264 14 917 2 200 6 162 2 60 236 10968
Sep-18 114 2683 13 440 4 240 8 350 7 1365 4 250 3 75 153 5403
Oct-18 140 5387 12 559 16 510 18 927 6 195 1 6 - - 193 7584
Nov-18 119 4892 30 1506 7 275 11 320 4 76 - - - - 171 7069
Dec-18 105 3388 26 1098 8 288 3 130 4 100 - - - - 146 5004
Jan-19 122 3457 26 941 27 1650 7 515 - - - - 2 15 184 6578
2018-19 (UptoJanuary 2019)
1602 56883 260 12227 140 8734 92 4896 42 2988 19 798 19 666 2174 87191
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CCIL Monthly Newsletter February 2019
TABLE 54: NDS-CALL HISTORICAL Amount Crore`
*Trade reporting on NDS-CALL became mandated from November 2012.**Data from September 18, 2006.
Dealt Reported Reciprocal Total NDS-CALL
Total Average Total Average Total Total Average% Share in NDS-CALL
Total Value ofCall, Notice andTerm Money as
per RBIPeriod
Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value Dealt Reported Reciprocal TotalDaily
Average
2006-07** 6853 507998 44 3277 351 5427 2 35 161 30326 7365 543750 48 3508 93.42 1.00 5.58 2209978 14258
2007-08 31402 2778531 108 9516 3597 26413 12 90 151 20117 35150 2825061 120 9675 98.35 0.93 0.71 3513925 12034
2008-09 35742 3179134 125 11077 4533 20797 16 72 351 57557 40626 3257488 142 11350 97.59 0.64 1.77 3717091 12952
2009-10 24530 2124356 86 7454 4735 23877 17 84 91 18470 29356 2166703 103 7602 98.05 1.10 0.85 2522703 8852
2010-11 26401 2450742 90 8336 7352 49514 25 168 379 76328 34132 2576584 116 8764 95.12 1.92 2.96 2945901 10020
2011-12 34031 3483245 117 11970 5449 21071 19 72 449 95779 39929 3600095 137 12371 96.75 0.59 2.66 4084692 14037
2012-13 37174 4124785 129 14273 29554 352449 102 1220 338 58407 67066 4535641 232 15694 90.94 7.77 1.29 4814032 16658
2013-14 38231 3617702 130 12305 65715 875335 224 2977 503 96025 104449 4589062 355 15609 78.83 19.07 2.09 4507273 15331
2014-15 33462 2557815 117 8912 70390 1175399 245 4095 278 51625 104130 3784839 363 13188 67.58 31.06 1.36 3740742 13034
2015-16 33445 2535754 121 9154 85053 1247369 307 4503 110 26894 118608 3810017 428 13657 66.55 32.74 0.71 3799481 13717
2016-17 30447 2553972 113 9459 97868 1676388 362 6209 82 19082 128394 4249442 476 15739 60.10 39.45 0.45 4242821 15714
2017-18 27849 2474817 105 9304 93891 1395175 353 5245 65 17451 121805 3887443 458 14611 63.68 35.90 0.43 3871780 14556
Apr-18 2811 263188 134 12533 7370 93524 351 4454 17 7300 10198 364012 486 17334 72.30 25.69 2.01 356450 16974
May-18 2966 263820 124 10993 8531 98350 355 4098 14 3255 11511 365425 480 15226 72.20 26.91 0.89 362059 15086
Jun-18 3067 291211 133 12661 8103 97449 352 4237 32 10235 11202 398895 487 17343 73.00 24.43 2.57 390004 16957
Jul-18 3110 275911 130 11496 8980 104221 374 4343 16 5800 12106 385932 504 16080 71.49 27.01 1.50 379993 15833
Aug-18 2818 265672 128 12076 7965 91751 362 4171 21 5855 10804 363278 491 16513 73.13 25.26 1.61 357253 16239
Sep-18 3228 310826 154 14801 6594 65331 314 3111 153 5403 9975 381560 475 18170 81.46 17.12 1.42 376834 17944
Oct-18 3676 352958 160 15346 7471 84984 325 3695 11 2965 11158 440907 485 19170 80.05 19.27 0.67 437902 19039
Nov-18 3161 285487 158 14274 6593 80870 330 4044 3 700 9757 367057 488 18353 77.78 22.03 0.19 365881 18294
Dec-18 3853 378137 168 16441 8199 100050 356 4350 6 1475 12058 479662 524 20855 78.83 20.86 0.31 479020 20827
Jan-19 3641 371932 146 14877 9307 118696 372 4748 5 554 12953 491182 518 19647 75.72 24.17 0.11 490057 19602
2018-19 (UptoJanuary 2019)
32331 3059141 143 13536 79113 935228 350 4138 278 43542 111722 4037911 494 17867 75.76 23.16 1.08 3995453 17679
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CCIL Monthly Newsletter February 2019
TABLE 55: FOREX SETTLEMENT*
FOREIGN EXCHANGE MARKETFOREX SETTLEMENT
Number of Participants: 87
Cash Tom Spot Forward Total AverageSettlement
Period TradesValue(USDMn)
Value(` Cr)
TradesValue(USDMn)
Value(` Cr)
TradesValue(USDMn)
Value(` Cr)
TradesValue(USDMn)
Value(` Cr)
TradesValue(USDMn)
Value(` Cr)
TradesValue(USDMn)
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
2013-14 26115 701111 4225846 39467 857366 5151202 1343049 2198833 13243650 103584 986011 5825247 1512215 4743321 28445946 6490 20358 122086
2014-15 29188 837736 5114340 43168 988928 6041012 1560718 2539790 15519691 98632 931337 5868727 1731706 5297790 32543770 7595 23236 142736
2015-16 29214 843416 5512112 43890 1015607 6634573 1708058 2613073 17113232 103967 1017190 6665777 1885129 5489286 35925694 8056 23458 153529
2016-17 34026 1046478 7008460 48895 1244934 8339217 1742074 2857496 19175458 101111 1126070 7702460 1926106 6274978 42225595 8302 27047 182007
2017-18 30993 936402 6035678 49271 1235303 7965989 1995325 3200910 20638692 99185 1121839 7472707 2174774 6494454 42113066 9294 27754 179970
Apr-18 2723 81926 536751 4742 108460 709661 187408 302698 1982367 9611 124196 816473 204484 617281 4045251 10762 32488 212908
May-18 2757 78335 529171 4612 102249 689785 217890 339335 2290015 7947 98769 656973 233206 618687 4165944 11105 29461 198378
Jun-18 2435 68386 463590 4242 89683 607626 190146 284110 1923324 8743 107585 720577 205566 549763 3715117 9789 26179 176910
Jul-18 2602 77595 532953 4297 95224 654144 190247 294793 2025460 7987 92212 622727 205133 559823 3835283 9768 26658 182633
Aug-18 2553 73047 507695 4138 90824 630220 185336 281697 1953779 8598 97559 663471 200625 543127 3755165 10031 27156 187758
Sep-18 2328 68888 497887 3332 78683 568585 185591 288896 2080255 6553 76508 530088 197804 512974 3676815 11636 30175 216283
Oct-18 2774 81512 599978 4445 102670 754963 198236 318915 2343629 7349 83109 586290 212804 586207 4284859 10640 29310 214243
Nov-18 2400 66284 476718 3279 70532 509140 149787 245924 1776733 7251 86387 615390 162717 469127 3377981 10170 29320 211124
Dec-18 2767 78271 553149 4364 97392 688533 181448 280535 1984827 7873 96210 679428 196452 552408 3905937 9823 27620 195297
Jan-19 2650 70118 495519 4021 86255 609647 184499 292210 2063316 8241 97978 689812 199411 546561 3858295 9496 26027 183728
2018-19 (UptoJanuary 2019)
25989 744361 5193412 41472 921970 6422304 1870588 2929112 20423705 80153 960515 6581227 2018202 5555958 38620648 10297 28347 197044
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TABLE 56: FOREX TRADE TYPE ANALYSIS Percent
Cash Tom Spot ForwardSettlementPeriod 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
2013-14 1.73 14.78 2.61 18.08 88.81 46.36 6.85 20.79
2014-15 1.69 15.81 2.49 18.67 90.13 47.94 5.70 17.58
2015-16 1.55 15.36 2.33 18.50 90.61 47.60 5.52 18.53
2016-17 1.77 16.68 2.54 19.84 90.45 45.54 5.25 17.95
2017-18 1.43 14.42 2.27 19.02 91.75 49.29 4.56 17.27
Apr-18 1.33 13.27 2.32 17.57 91.65 49.04 4.70 20.12
May-18 1.18 12.66 1.98 16.53 93.43 54.85 3.41 15.96
Jun-18 1.18 12.44 2.06 16.31 92.50 51.68 4.25 19.57
Jul-18 1.27 13.86 2.09 17.01 92.74 52.66 3.89 16.47
Aug-18 1.27 13.45 2.06 16.72 92.38 51.87 4.29 17.96
Sep-18 1.18 13.43 1.68 15.34 93.83 56.32 3.31 14.91
Oct-18 1.30 13.91 2.09 17.51 93.15 54.40 3.45 14.18
Nov-18 1.47 14.13 2.02 15.03 92.05 52.42 4.46 18.41
Dec-18 1.41 14.17 2.22 17.63 92.36 50.78 4.01 17.42
Jan-19 1.33 12.83 2.02 15.78 92.52 53.46 4.13 17.93
2018-19 (UptoJanuary 2019)
1.29 13.40 2.05 16.59 92.69 52.72 3.97 17.29
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TABLE 57: FOREX DEAL SIZE ANALYSIS Percent
< 1 mn 1 mn > 1 mn <= 5 mn > 5 mn <= 10 mn > 10 mn <= 20 mn > 20 mnSettlement
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
2013-14 27.88 3.63 46.12 14.70 16.68 16.87 4.85 14.94 1.70 9.37 2.78 40.47
2014-15 28.91 4.07 45.66 14.93 16.77 17.27 4.23 13.38 1.61 9.16 2.82 41.19
2015-16 33.13 5.03 42.61 14.63 16.25 17.33 3.06 10.01 1.40 8.30 3.55 44.70
2016-17 34.55 4.78 39.86 12.23 12.25 9.10 0.55 1.22 0.81 3.67 11.98 68.99
2017-18 30.71 4.69 46.14 15.45 13.83 12.75 1.78 5.54 1.14 6.38 6.40 55.18
Apr-18 26.38 3.96 50.15 16.61 15.88 16.05 3.09 9.85 1.68 9.90 2.83 43.63
May-18 25.18 4.25 53.32 20.10 15.14 16.86 2.57 9.30 1.51 10.08 2.28 39.41
Jun-18 24.56 4.02 53.73 20.09 15.18 17.33 2.68 9.60 1.57 10.35 2.29 38.62
Jul-18 27.35 4.44 51.75 18.96 14.25 16.02 2.72 9.58 1.54 9.94 2.39 41.06
Aug-18 26.16 4.22 52.75 19.48 14.41 16.26 2.87 10.20 1.55 10.13 2.26 39.70
Sep-18 25.12 4.04 54.74 21.11 13.67 15.55 2.77 10.32 1.59 10.90 2.13 38.08
Oct-18 26.26 4.06 52.46 19.04 14.28 15.66 3.07 10.76 1.46 9.41 2.48 41.07
Nov-18 25.19 3.67 51.19 17.76 16.04 16.83 3.33 11.02 1.65 10.11 2.59 40.62
Dec-18 27.58 4.19 50.58 17.99 14.61 15.65 3.13 10.68 1.56 9.89 2.55 41.60
Jan-19 30.29 4.77 48.00 17.51 14.30 15.86 3.36 11.83 1.59 10.27 2.46 39.76
2018-19 (UptoJanuary 2019)
26.40 4.17 51.91 18.86 14.76 16.20 2.94 10.29 1.57 10.09 2.42 40.40
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TABLE 58: TENORWISE FORWARD TRADES ANALYSIS Percent
< 30 Days> 30 Days &<= 90 Days
> 90 Days &<= 180 Days
> 180 Days &<= 365 Days
> 1 YearSettlement
Period% tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
% tototaltrades
% tototalvalue
% tototaltrades
% 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
2013-14 14.45 21.18 21.39 20.57 16.88 13.91 45.00 41.81 2.29 2.53
2014-15 14.76 22.18 19.89 20.74 17.22 14.77 45.92 40.22 2.22 2.10
2015-16 15.85 23.40 18.62 21.88 14.23 11.94 48.11 40.06 3.18 2.73
2016-17 17.07 25.96 22.69 26.05 16.14 14.68 39.50 29.31 4.59 3.99
2017-18 15.01 25.79 20.87 25.35 17.70 16.04 42.64 30.05 3.78 2.77
Apr-18 15.50 23.94 24.18 28.48 17.60 19.08 39.75 26.62 2.97 1.87
May-18 19.21 27.00 23.56 30.83 13.78 11.96 38.10 27.10 5.35 3.12
Jun-18 16.33 23.29 25.77 30.97 17.57 16.11 38.53 28.68 1.80 0.95
Jul-18 19.47 28.59 21.42 26.83 13.56 11.88 33.13 24.66 12.42 8.05
Aug-18 16.83 27.19 21.23 22.56 16.79 13.88 41.58 33.11 3.57 3.26
Sep-18 17.95 24.05 29.73 33.73 15.02 13.70 30.34 23.13 6.97 5.38
Oct-18 19.02 29.12 22.85 26.69 14.02 11.48 39.50 29.39 4.61 3.31
Nov-18 18.37 28.96 27.72 31.29 15.61 13.26 31.14 21.53 7.16 4.97
Dec-18 18.11 28.51 22.51 23.79 18.44 16.12 34.51 27.01 6.43 4.58
Jan-19 19.38 28.27 22.55 25.46 17.59 14.99 33.10 26.58 7.38 4.70
2018-19 (UptoJanuary 2019)
17.94 26.77 24.02 27.98 16.09 14.47 36.22 26.91 5.73 3.87
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TABLE 59: MARKET SHARE - FOREX Percent
TABLE 60: CATEGORYWISE FOREX ACTIVITY - DEAL TYPE
Market Share (%)
Category CASH TOM SPOT FORWARD
Foreign Banks 46.82 50.75 45.08 36.16
Public Sector Banks 24.70 22.93 30.09 33.45
Private Sector Banks 28.30 26.20 24.52 30.29
Cooperative Banks 0.17 0.11 0.31 0.10
Financial Institutions 0.01 0.01 0.00 0.00
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
2013-14 28.35 49.26 64.60 75.27
2014-15 29.05 49.51 64.62 74.95
2015-16 29.29 49.46 63.40 73.98
2016-17 30.16 50.82 65.10 75.09
2017-18 33.21 55.62 69.87 79.60
Apr-18 29.88 53.83 68.59 78.76
May-18 29.35 52.49 68.61 78.97
Jun-18 30.03 51.79 67.83 78.81
Jul-18 31.92 53.31 69.21 79.35
Aug-18 32.08 53.41 68.69 78.12
Sep-18 30.18 51.59 67.58 77.70
Oct-18 31.57 51.64 66.07 76.75
Nov-18 33.95 54.68 68.23 78.53
Dec-18 35.91 56.17 69.16 79.46
Jan-19 33.44 53.25 67.15 78.25
2018-19 (Upto January 2019) 31.76 53.20 68.11 78.48
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TABLE 61: 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
2013-14 4743321 255080 94.62
2014-15 5297790 280097 94.71
2015-16 5489286 250784 95.43
2016-17 6274978 294883 95.30
2017-18 6494454 267809 95.88
Apr-18 617281 23040 96.27
May-18 618687 23493 96.20
Jun-18 549763 24109 95.61
Jul-18 559823 23323 95.83
Aug-18 543127 23037 95.76
Sep-18 512974 19975 96.11
Oct-18 586207 25823 95.59
Nov-18 469127 19989 95.74
Dec-18 552408 20779 96.24
Jan-19 546561 21897 95.99
2018-19 (Upto January 2019) 5555958 225464 95.94
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TABLE 62: FOREX FORWARD SETTLEMENT STATISTICS
* Commenced operation from December 1, 2009 # Mandate by RBI for CCP Clearing of Forward trades w.e.f. June, 2014
Number of Participants: 85FOREX FORWARD
Amount in USD Million
TABLE 63: CLS SETTLEMENT
CONTINUOUS LINKED SETTLEMENT (CLS)
Number of Participants: 35 Amount in USD Million
Settlement Period Trades Gross Value Net Value Netting Factor (%)
2005-06 43788 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
2013-14 594816 629830 54870 91.29
2014-15 571559 592450 51981 91.23
2015-16 682758 585336 61339 89.52
2016-17 707297 635489 65894 89.63
2017-18 874952 846446 94993 88.78
Apr-18 67401 70368 6578 90.65
May-18 76607 69075 5855 91.52
Jun-18 75540 67636 7254 89.28
Jul-18 85841 81475 7248 91.10
Aug-18 79425 72716 6955 90.44
Sep-18 70110 67332 7173 89.35
Oct-18 84386 81428 9318 88.56
Nov-18 73799 66931 6261 90.65
Dec-18 74706 67757 7263 89.28
Jan-19 75987 68290 7316 89.29
2018-19 (Upto January 2019) 763802 713008 71220 90.01
Outstanding AcceptedSettlement Period
Trades Volume Trades Volume
2009-10* 4965 29671 6969 41092
2010-11 11528 61293 28868 150505
2011-12 17200 100791 40760 240384
2012-13 20419 122937 50146 287697
2013-14 16861 89517 46640 254982
2014-15# 50536 415534 101372 914979
2015-16 42507 371034 94770 964070
2016-17 48614 409249 108787 1170618
2017-18 41941 395562 94192 1118572
Apr-18 41059 378076 8697 106342
May-18 42195 387822 9029 107947
Jun-18 40315 362469 6821 81730
Jul-18 40526 364202 8138 93577
Aug-18 40241 364035 8254 96771
Sep-18 40934 379692 8585 103170
Oct-18 42951 408726 9322 111590
Nov-18 42332 400406 6606 77188
Dec-18 42099 404378 7586 99058
Jan-19 42688 418268 8770 111289
2018-19 (Upto January 2019) 42688 418268 81808 988661
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TABLE 64: CURRENCY WISE GROSS SETTLEMENT
TABLE 65: TOP 5 CURRENCY PAIRS - CLS
Sr. No. Currency Pair Gross Volume %
1 EUR/USD 31295 45.65
2 USD/GBP 15069 21.98
3 JPY/USD 11988 17.49
4 AUD/USD 2954 4.31
5 CHF/USD 2652 3.87
6 Others 4601 6.71
Total 68558 100.00
CurrencyCurrency Wise Gross Volume
(in millions)MTMRates
Gross Volume in USD(In millions)
US Dollar(USD INR) 546561 1.00000 546561
US Dollar 34829 1.00000 34829
EURO 12935 1.15060 14883
GB Pound 5968 1.31290 7836
Japanese Yen 671085 0.00919 6166
Australian Dollar 2378 0.72690 1729
Swiss Franc 1388 1.00725 1398
Canadian Dollar 929 0.76167 708
Singapore Dollar 494 0.74283 367
NZ Dollar 322 0.69140 223
SA Rand 2009 0.07503 151
Swedish Krone 1205 0.11091 134
Norwegian Krone 774 0.11901 92
HK Dollar 217 0.12748 28
Danish Krone 24 0.15411 4
Total 615107
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FOREX TRADING PLATFORM: FX-CLEAR
4Number of Participants: 7
TABLE 66: TRADING DETAILS Amount in USD Million
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
2013-14 223396 113580 919 467
2014-15 335515 188421 1416 795
2015-16 453563 246902 1882 1024
2016-17 557267 316581 2312 1314
2017-18 664286 441203 2756 1831
Apr-18 56204 39903 2958 2100
May-18 58437 40338 2656 1834
Jun-18 48174 32645 2294 1555
Jul-18 51149 33525 2325 1524
Aug-18 47872 30850 2394 1543
Sep-18 38082 24280 2116 1349
Oct-18 45724 30246 2177 1440
Nov-18 31729 21011 1763 1167
Dec-18 42063 26706 2103 1335
Jan-19 50575 30396 2199 1322
2018-19 (Upto January 2019) 470009 309897 2304 1519
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DERIVATIVES
Number of Participants:
INTERBANK INTEREST RATE DERIVATIVES
76
Amount Crore`
Amount Crore and Share in %`
TABLE : INTEREST RATE SWAP TRANSACTIONS (MATCHED)67
TABLE : INTEREST RATE SWAP (MIBOR) MARKET SHARE -68 JANUARY 2019
Buy Sell TotalCategory
DealsMarketShare
NotionalAmount
MarketShare
DealsMarketShare
NotionalAmount
MarketShare
DealsMarketShare
NotionalAmount
MarketShare
Foreign Banks 3313 49.98 256090 43.71 3211 48.44 320580 54.72 6524 49.21 576670 49.22
Nationalized Banks 264 3.98 15380 2.63 222 3.35 14240 2.43 486 3.67 29620 2.53
Primary Dealers 1480 22.33 177925 30.37 1210 18.25 83520 14.26 2690 20.29 261445 22.31
Private Banks 1572 23.71 136430 23.29 1986 29.96 167485 28.59 3558 26.84 303915 25.94
Total 6629 100.00 585825 100.00 6629 100.00 585825 100.00 13258 100.00 1171650 100.00
MIBOR MIFOR TotalDate
Trades Value Trades Value Trades Value
1-Jan-19 180 14950 9 250 189 15200
2-Jan-19 226 16585 15 525 241 17110
3-Jan-19 200 23475 6 250 206 23725
4-Jan-19 188 13935 13 650 201 14585
7-Jan-19 197 15000 7 425 204 15425
8-Jan-19 180 10685 16 1125 196 11810
9-Jan-19 361 29465 17 940 378 30405
10-Jan-19 239 19675 13 900 252 20575
11-Jan-19 257 23500 20 735 277 24235
14-Jan-19 310 21625 9 475 319 22100
15-Jan-19 379 44950 3 175 382 45125
16-Jan-19 530 42160 14 825 544 42985
17-Jan-19 500 44785 26 1640 526 46425
18-Jan-19 215 20895 10 950 225 21845
21-Jan-19 380 44370 8 490 388 44860
22-Jan-19 244 27375 12 1225 256 28600
23-Jan-19 352 31560 9 700 361 32260
24-Jan-19 316 25150 1 50 317 25200
25-Jan-19 374 24100 13 475 387 24575
28-Jan-19 183 14625 8 675 191 15300
29-Jan-19 259 22700 6 225 265 22925
30-Jan-19 247 25625 12 770 259 26395
31-Jan-19 312 28635 14 2030 326 30665
Total 6629 585825 261 16505 6890 602330
Average 288 25471 11 718 300 26188
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Amount Crore and Share in %`
TABLE 70: TOP ‘N’ MARKET SHARE - IRS
TABLE 71: IRS TRADE SUMMARY (MATCHED) Amount Crore`
Percent
TABLE : INTEREST RATE SWAP (MIFOR) MARKET SHARE -69 JANUARY 2019
MIBOR MIFOR
Top 1 20.96 19.37
Top 5 67.42 59.83
Top 10 87.63 89.52
Buy Sell TotalCategory
DealsMarketShare
NotionalAmount
MarketShare
DealsMarketShare
NotionalAmount
MarketShare
DealsMarketShare
NotionalAmount
MarketShare
Foreign Banks 158 60.54 9455 57.29 169 64.75 10940 66.28 327 62.64 20395 61.78
Private Banks 103 39.46 7050 42.71 92 35.25 5565 33.72 195 37.36 12615 38.22
Total 261 100.00 16505 100.00 261 100.00 16505 100.00 522 100.00 33010 100.00
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
2013-14 25514 2296732 1437 79780 1 350
2014-15 21153 2029225 1932 119779 5 275
2015-16 20746 2132920 1372 99340 4 300
2016-17 21036 1923460 2120 125436 - -
2017-18 41494 3380770 2107 111195 - -
Apr-18 5489 431200 132 7015 - -
May-18 5920 400205 153 7565 - -
Jun-18 4808 319990 206 9915 - -
Jul-18 4917 338810 291 15327 - -
Aug-18 4473 354565 170 10140 - -
Sep-18 7758 670430 206 13935 - -
Oct-18 7165 619630 136 9046 - -
Nov-18 5106 456745 205 10140 - -
Dec-18 6197 617935 287 19155 - -
Jan-19 6629 585825 261 16505 - -
2018-19 (Upto January 2019) 58462 4795335 2047 118743 - -
statistics
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Number of Participants: 47
TABLE 72: OUTSTANDING POSITION IN IRS TRANSACTIONS Amount Crore`
TABLE 73: 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 17782 1447259 5566 276349 445 22420 23793 1746028
2014-15 17279 1495595 6222 326724 387 19320 23888 1841640
2015-16 16858 1368453 6171 349766 272 13585 23301 1731804
2016-17 19901 1417357 6452 368613 161 8460 26514 1794430
2017-18 35414 2521244 7098 390259 138 7135 42650 2918638
2018-19 (UptoJanuary 2019)
67395 4592483 7631 425201 82 4835 75108 5022519
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
2013-14 19667 6947 64.67
2014-15 16361 6073 62.88
2015-16 7374 2442 66.89
2016-17 5682 2110 62.87
2017-18 5440 1905 64.99
Apr-18 395 139 64.85
May-18 362 145 59.96
Jun-18 356 128 64.03
Jul-18 393 156 60.14
Aug-18 377 136 63.91
Sep-18 444 148 66.71
Oct-18 274 109 60.27
Nov-18 383 125 67.36
Dec-18 370 119 67.66
Jan-19 395 157 60.40
2018-19 (Upto January 2019) 3749 1362 63.66
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TABLE 74: GUARANTEED SETTLEMENT - IRS Amount Crore`
TABLE 75: GUARANTEED SETTLEMENT - IRS - SUMMARY STATISTICS (MIBOR)
Amount Crore`
GUARANTEED SETTLEMENT -
Number of Participants: 3
INTERBANK IRS DERIVATIVES (MIBOR)
8
The data includes trades accepted for guaranteed settlement on a given trade date (both trades dealt on ASTROID and bilaterally).
Month Trades Value Avg. Trades Avg. Value
2017-18 30346 2420315 125 9960
Apr-18 4158 301530 219 15870
May-18 4509 267395 205 12154
Jun-18 3872 256200 184 12200
Jul-18 3974 264870 181 12040
Aug-18 3772 283805 189 14190
Sep-18 6573 562850 365 31269
Oct-18 5930 512920 282 24425
Nov-18 4170 366445 232 20358
Dec-18 5117 519430 256 25972
Jan-19 5245 484560 228 21068
2018-19 (Upto January 2019) 47320 3820005 232 18726
Trade Date Trades Value
1-Jan-19 166 13875
2-Jan-19 208 15360
3-Jan-19 166 20475
4-Jan-19 161 12460
7-Jan-19 161 13475
8-Jan-19 134 7535
9-Jan-19 288 21325
10-Jan-19 173 16400
11-Jan-19 212 21025
14-Jan-19 246 17500
15-Jan-19 308 39600
16-Jan-19 451 35060
17-Jan-19 419 38360
18-Jan-19 177 18725
21-Jan-19 272 33070
22-Jan-19 179 20250
23-Jan-19 272 26210
24-Jan-19 237 21325
25-Jan-19 251 19175
28-Jan-19 160 13425
29-Jan-19 192 14700
30-Jan-19 181 20495
31-Jan-19 231 24735
Total 5245 484560
Average 228 21068
statistics
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TABLE : TRADED VOLUME FOR OTC INTERBANK FCY - INR FORWARDS FOR THE MONTH OF76 JANUARY 2019
FOREX DERIVATIVES
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase Currency
USD / INR EUR / INR GBP / INR AUD / INR NZD / INR OTHERS *
DateTrades
Volume(in Mio)
TradesVolume
(inMio)
TradesVolume
(inMio)
TradesVolume
(inMio)
TradesVolume
(inMio)
Trades
Volume(USD
inMio)
01-Jan-19 274 4,359.21 - - - - - - - - - -
02-Jan-19 357 4,459.16 - - 2 0.14 - - - - - -
03-Jan-19 437 7,119.44 - - 0 - - - - - - -
04-Jan-19 398 5,770.38 2 0.28 1 0.08 - - - - - -
07-Jan-19 454 5,620.99 1 0.01 1 0.65 - - - - - -
08-Jan-19 445 5,834.74 - - - - - - - - - -
09-Jan-19 376 4,509.17 - - 2 0.55 - - - - - -
10-Jan-19 457 4,353.42 3 0.29 1 0.05 - - - - - -
11-Jan-19 420 4,696.10 1 0.05 - - - - - - - -
14-Jan-19 297 3,001.58 - - - - - - - - - -
15-Jan-19 368 4,335.09 3 0.94 - - - - - - - -
16-Jan-19 353 3,698.75 3 0.69 - - 1 0.15 - - 1 0.11
17-Jan-19 418 4,774.88 3 0.20 5 0.60 - - - - - -
18-Jan-19 256 2,971.49 1 0.04 2 0.10 - - - - - -
21-Jan-19 380 3,457.32 - - - - - - - - 1 0.07
22-Jan-19 382 5,489.58 1 0.20 1 0.25 - - - - - -
23-Jan-19 323 3,714.95 1 0.04 0 - - - - - - -
24-Jan-19 328 4,388.50 1 0.05 3 1.10 - - - - - -
25-Jan-19 362 4,939.03 - - - - - - - - 1 0.08
28-Jan-19 390 6,706.11 - - - - - - - - - -
29-Jan-19 583 8,828.88 7 1.77 2 0.40 - - 3 0.77 - -
30-Jan-19 364 4,991.56 2 0.12 - - 8 1.20 - - - -
31-Jan-19 407 3,909.61 1 32.00 1 0.03 - - - - - -
Total 8829 111930.0 30 36.67 21 3.95 9 1.35 3 0.77 3 0.26
statistics
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TABLE 7 : TRADED VOLUME FOR OTC INTERBANK FCY - INR OPTIONS FOR THE MONTH OF7 JANUARY 2019
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes in Base Currency
USD / INR EUR / INR GBP / INR JPY / INR CHF / INR OTHERS *
DateTrades
Volume(in
Mio)Trades
Volume(in
Mio)Trades
Volume(in
Mio)Trades
Volume(in
Mio)Trades
Volume(in
Mio)Trades
Volume(USD
inMio)
01-Jan-19 11 143.85 - - - - - - - - - -
02-Jan-19 41 473.90 1 1.00 1 0.26 - - - - - -
03-Jan-19 16 200.00 - - - - - - - - - -
04-Jan-19 17 130.80 - - - - - - - - - -
07-Jan-19 34 212.98 - - - - - - - - - -
08-Jan-19 26 373.83 - - - - - - - - - -
09-Jan-19 36 354.00 - - - - - - - - - -
10-Jan-19 60 650.20 4 30.00 - - - - - - - -
11-Jan-19 27 304.41 - - - - - - - - - -
14-Jan-19 33 286.25 - - - - - - - - - -
15-Jan-19 16 148.90 - - - - - - - - - -
16-Jan-19 43 437.00 - - - - - - - - - -
17-Jan-19 34 299.50 - - - - - - - - - -
18-Jan-19 17 145.31 - - - - - - - - - -
21-Jan-19 39 421.60 - - - - - - - - - -
22-Jan-19 12 127.80 3 2.07 - - - - - - - -
23-Jan-19 44 552.40 - - - - - - - - - -
24-Jan-19 62 248.39 - - - - - - - - - -
25-Jan-19 33 338.90 - - - - - - - - - -
28-Jan-19 22 197.30 - - - - - - - - - -
29-Jan-19 46 410.66 - - - - - - - - - -
30-Jan-19 32 315.20 - - - - - - - - - -
31-Jan-19 27 213.26 - - - - - - - - - -
Total 728 6986.44 8 33.07 1 0.26
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TABLE 7 : TRADED PRINCIPAL AMOUNT FOR OTC INTERBANK FCY -INR CROSS CURRENCY SWAPS FOR THE MONTH OF
8JANUARY 2019
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes in Base Currency
USD - INR EUR - INR GBP - INR JPY - INR CHF - INR OTHERS *
DateTrades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
TradesAmountsin Mio,USD
09-Jan-19 1 25.00 1 0.62 - - - - - - - -
10-Jan-19 1 20.00 - - - - - - - - - -
11-Jan-19 - - 1 1.85 - - - - - - - -
14-Jan-19 3 63.00 - - - - - - - - - -
17-Jan-19 2 45.00 1 4.00 - - - - - - - -
18-Jan-19 2 54.00 - - - - - - - - - -
22-Jan-19 1 35.00 - - - - - - - - - -
23-Jan-19 2 40.00 - - - - - - - - - -
25-Jan-19 1 11.00 - - - - - - - - - -
Total 13 293.00 3 6.47
statistics
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TABLE : TRADED VOLUME FOR OTC INTERBANK FCY - FCY FORWARDS FOR THE MONTH OF79 JANUARY 2019
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase Currency
EUR / USD GBP / USD USD / JPY AUD / USD USD / CAD OTHERS *
DateTrades
Volume(in
Million)Trades
Volume(in
Million)Trades
Volume(in
Million)Trades
Volume(in
Million)Trades
Volume(in
Million)Trades
Volume(USD inMillion)
02-Jan-19 159 487.77 85 101.62 26 18.93 28 67.85 23 31.60 83 66.15
03-Jan-19 118 228.91 45 60.36 66 279.80 17 27.20 19 158.86 37 27.58
04-Jan-19 168 155.42 29 18.54 16 28.10 21 84.73 20 6.68 41 62.34
07-Jan-19 157 222.11 42 51.58 17 173.56 16 5.53 10 17.00 55 47.23
08-Jan-19 142 262.46 69 52.08 26 39.15 39 89.98 13 13.40 33 58.28
09-Jan-19 209 278.45 90 223.44 11 26.07 26 125.57 4 0.92 59 67.44
10-Jan-19 229 190.66 58 100.04 38 63.47 22 30.75 9 10.06 49 88.19
11-Jan-19 186 144.48 27 25.78 14 17.09 20 23.49 5 20.46 35 34.79
14-Jan-19 128 155.51 141 439.04 24 43.44 20 72.16 10 15.17 41 45.96
15-Jan-19 137 113.86 109 62.81 21 30.73 15 24.02 5 2.98 58 60.28
16-Jan-19 194 230.84 100 67.99 20 15.73 10 37.25 5 4.45 108 127.86
17-Jan-19 97 101.65 40 42.71 21 25.46 15 10.14 6 2.76 132 188.64
18-Jan-19 133 126.26 78 116.57 28 56.43 11 46.39 3 2.58 26 16.44
21-Jan-19 112 188.59 37 124.39 14 13.15 15 17.75 7 11.07 28 18.59
22-Jan-19 170 235.27 76 172.00 33 10.48 15 15.64 15 14.47 69 136.39
23-Jan-19 137 150.94 67 175.40 26 419.67 23 45.95 10 2.63 70 75.17
24-Jan-19 301 268.26 109 90.98 27 27.27 21 14.84 20 15.21 97 87.11
25-Jan-19 180 349.42 72 142.59 44 185.71 20 36.92 24 38.11 117 70.55
28-Jan-19 188 229.74 100 80.53 29 27.85 17 32.65 10 22.83 77 74.26
29-Jan-19 349 544.02 90 380.24 49 127.65 57 146.02 31 61.91 143 179.17
30-Jan-19 246 363.84 67 173.77 49 497.63 68 162.18 24 38.74 129 131.43
31-Jan-19 356 627.65 162 162.43 36 107.52 31 61.49 21 104.05 90 161.91
Total 4096 5,656.12 1693 2,864.91 635 2,234.92 527 1,178.49 294 595.96 1577 1,825.77
statistics
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TABLE : TRADED PRINCIPAL AMOUNT FOR OTC INTERBANK FCY - FCYCROSS CURRENCY SWAPS FOR THE MONTH OF
81JANUARY 2019
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase Currency
TABLE TRADED VOLUME FOR OTC INTERBANK FCY - FCY OPTIONS FOR THE MONTH OF80: JANUARY 2019
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes in Base Currency
EUR / USD GBP / USD AUD / USD USD / JPY USD / CAD OTHERS *
DateTrades
Volume(in
Million)Trades
Volume(in
Million)Trades
Volume(in
Million)Trades
Volume(in
Million)Trades
Volume(in
Million)Trades
Volume(USD inMillion)
02-Jan-19 2 40.00 - - - - 2 4.00 - - - -
03-Jan-19 5 103.00 - - 3 15.00 14 26.00 - - - -
04-Jan-19 - - - - - - 9 13.00 1 5.00 - -
07-Jan-19 6 12.00 - - 6 123.00 - - - - - -
08-Jan-19 2 10.00 2 20.00 2 38.00 - - 4 35.00 3 15.00
09-Jan-19 - - 1 5.00 - - - - - - - -
10-Jan-19 75 167.00 - - 3 30.00 - - - - - -
11-Jan-19 4 60.00 14 34.00 - - - - - - - -
16-Jan-19 - - 3 22.00 - - - - - - - -
17-Jan-19 2 10.00 - - - - - - - - - -
18-Jan-19 - - 2 20.00 - - - - - - - -
21-Jan-19 - - 1 10.00 - - - - - - - -
22-Jan-19 - - 2 4.00 - - - - - - - -
23-Jan-19 - - 8 16.00 - - - - - - - -
25-Jan-19 3 60.00 - - - - 2 2.00 - - - -
28-Jan-19 3 60.00 1 1.00 - - - - - - - -
29-Jan-19 - - 7 94.00 - - - - - - - -
30-Jan-19 7 95.00 2 2.00 4 70.00 - - - - - -
31-Jan-19 8 104.00 4 38.00 4 80.00 - - - - - -
Total 117 721.00 47 266.00 22 356.00 27 45.00 5 40.00 3 15.00
GBP-USD EUR-USD USD-JPY AUD-JPY AUD-USD OTHERS*
DateTrades
Amountsin
Million,Base
Currency
Trades
Amountsin
Million,Base
Currency
Trades
Amountsin
Million,Base
Currency
Trades
Amountsin
Million,Base
Currency
Trades
Amountsin
Million,Base
Currency
Trades
Amountsin
Million,USD
4-Jan-19 - - 3 30.00 - - - - - - - -
11-Jan-19 4 40.00 - - - - - - - - - -
14-Jan-19 - - 1 10.00 - - - - - - - -
17-Jan-19 - - - - 1 27.56 - - - - - -
21-Jan-19 - - - - 1 2.45 - - - - - -
24-Jan-19 - - - - 2 12.00 - - - - - -
30-Jan-19 - - 1 2.28 - - - - - - - -
Total 4 40.00 5 42.28 4 42.01
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TABLE : TRADED NOTIONAL PRINCIPAL FOR OTC INTERBANK FCY - IRS FOR THE MONTH OF82 JANUARY 2019
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase CurrencyMost of the FCY/IRS trades are with overseas counterparties and hence the reporting is single sided by the domestic counterparty.CCIL shall not be liable for errors committed by the reporting party in the absence of matching of primary economic parameters.
USD EUR GBP JPY AUD OTHERS *
DateTrades
Notionalin
Million,Base
Currency
Trades
Notionalin
Million,Base
Currency
Trades
Notionalin
Million,Base
Currency
Trades
Notionalin
Million,Base
Currency
Trades
Notionalin
Million,Base
Currency
Trades
Notionalin
Million,USD
02-Jan-19 10 99.50 - - - - - - - - - -
03-Jan-19 27 328.14 1 18.00 - - - - - - - -
04-Jan-19 26 678.31 1 10.01 - - - - - - - -
07-Jan-19 14 146.00 1 11.30 - - - - - - - -
08-Jan-19 30 1,155.54 - - - - - - - - - -
09-Jan-19 11 524.26 - - - - - - - - - -
10-Jan-19 15 244.85 - - - - - - - - - -
11-Jan-19 25 346.08 - - - - - - - - - -
14-Jan-19 2 75.00 - - - - - - - - - -
15-Jan-19 8 221.37 - - 3 6.00 2 760.00 - - - -
16-Jan-19 11 2,594.60 1 1.29 - - - - - - - -
17-Jan-19 8 230.79 - - - - - - - - - -
18-Jan-19 11 262.00 - - - - - - - - - -
21-Jan-19 2 10.00 - - - - - - - - - -
22-Jan-19 30 533.61 - - - - - - - - - -
23-Jan-19 3 61.89 - - - - - - - - - -
24-Jan-19 5 149.11 3 9.00 - - - - - - - -
25-Jan-19 2 35.00 2 7.56 - - - - - - - -
28-Jan-19 2 30.00 - - - - - - - - - -
29-Jan-19 7 82.82 - - - - - - - - - -
30-Jan-19 5 50.84 - - - - - - - - - -
31-Jan-19 4 60.00 - - 2 4.00 - - - - - -
Total 258 7919.69 9 57.16 5 10.00 2 760
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TABLE : OUTSTANDING PRINCIPAL AMOUNT FOR OTC INTERBANK FCY - INRCROSS CURRENCY SWAPS AS AT END
85JANUARY 2019
TABLE : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - INR FORWARDS AS AT END83 JANUARY 2019
TABLE : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - INR OPTIONS AS AT END84 JANUARY 2019
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currencies, in terms of Outstanding Notional Principal, represented with respect to volumes in Base Currency.
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currencies, in terms of Outstanding Notional Principal, represented with respect to volumes in Base Currency.
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currencies, in terms of Outstanding Notional Principal, represented with respect to volumes in Base Currency.
TABLE : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - FCY OPTIONS AS AT END87 JANUARY 2019
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currencies, in terms of Outstanding Notional Principal, represented with respect to volumes in Base Currency.
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currencies, in terms of Outstanding Notional Principal, represented with respect to volumes in Base Currency.
TABLE 8 : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - FCY FORWARDS AS AT END6 JANUARY 2019
USD / INR JPY / INR EUR / INR CAD / INR GBP / INR OTHERS *
MonthTrades
Volume(in Mio)
TradesVolume(in Mio)
TradesVolume
(inMio)
TradesVolume
(inMio)
TradesVolume
(inMio)
Trades
Volume(USD
inMio)
Jan-19 44265 426,783.08 238 39,033.07 363 156.32 5 79.40 196 33.78 157 41.328
USD / INR EUR / INR JPY / INR GBP / INR CHF / INR OTHERS *
MonthTrades
Volume(in Mio)
TradesVolume
(inMio)
TradesVolume(in Mio)
TradesVolume
(inMio)
TradesVolume
(inMio)
Trades
Volume(USD
inMio)
Jan-19 3577 28,731.49 116 270.22 7 17,310.69 9 3.85 - - - -
USD-INR EUR-INR JPY-INR SGD-INR GBP-INR OTHERS *
MonthTrades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
TradesAmountsin Mio,USD
Jan-19 1310 23,431.82 61 553.33 18 64,419.15 2 23.28 1 12.00 - -
EUR / USD GBP / USD USD / JPY AUD / USD USD / CHF OTHERS *
MonthTrades
Volume(in Mio)
TradesVolume
(inMio)
TradesVolume
(inMio)
TradesVolume
(inMio)
TradesVolume
(inMio)
TradesVolume(USD in
Mio)
Jan-19 16270 15,343.98 6733 9,014.22 3185 6,972.02 1596 3,000.49 503 1,856.68 3113 4,522.69
GBP / USD EUR / USD USD / JPY AUD / USD USD / CAD OTHERS *
MonthTrades
Volume(in
Mio)Trades
Volume(in
Mio)Trades
Volume(in
Mio)Trades
Volume(in
Mio)Trades
Volume(in
Mio)Trades
Volume(USD
inMio)
Jan-19 222 1,961.09 387 1,401.38 112 812.77 46 597.50 5 50.00 3 15.00
statistics
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TABLE : OUTSTANDING NOTIONAL PRINCIPAL FOR OTC INTERBANK FCY - IRS AS AT END OF89 JANUARY 2019
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase Currency for each instrumentMost of the FCY/IRS trades are with overseas counterparties and hence the reporting is single sided by the domestic counterparty.CCIL shall not be liable for errors committed by the reporting party in the absence of matching of primary economic parameters.
TABLE 8 : OUTSTANDING PRINCIPAL AMOUNT FOR OTC INTERBANK FCY -FCY CROSS CURRENCY SWAPS AS AT END
8JANUARY 2019
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase Currency
USD-JPY EUR-USD USD-SGD AUD-USD GBP-USD OTHERS *
MonthTrades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
TradesAmountsin Mio,USD
Jan-19 165 8,817.72 362 4,032.09 66 1,641.68 8 962.18 43 439.14 38 1,349.26
USD EUR JPY GBP SGD OTHERS *
MonthTrades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
Trades
Amountsin Mio ,
BaseCurrency
TradesAmountsin Mio,USD
Jan-19 11342 195173.67 333 2147.38 109 230890.79 228 1108.40 16 725.00 138 424.19
statistics
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HIGHLIGHTS
• Zero coupon yields as on 31st Jan’ 19 moved to
lower levels in medium to long end of curve while
moving to higher levels in short end as compared
to the yields prevailing a year back. In the last one
month the yields have moved to higher levels
across the curve, except in the short end. “
INTEREST RATE MOVEMENT
Chart 1: Zero Coupon Yield Curve
Chart 2: Sovereign Yield Curve
5.75
6
6.25
6.5
6.75
7
7.25
7.5
7.75
8
0 5 10 15 20 25 30 35 40
Tenor (In years)
Zer
oC
oupon
Rat
e(%
)
January 31, 2019 December 31, 2018 January 31, 2018
6.00
6.20
6.40
6.60
6.80
7.00
7.20
7.40
7.60
7.80
8.00
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31
Tenor
(%)
January 31, 2019 December 31, 2018 January 31, 2018
statistics
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TABLE 90: 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 TradesTraded Value
(` Crore)Average Spread
(bps)
ANDHRA PRADESH 75 1702 59
ASSAM 26 292 67
BIHAR 81 2672 70
CHHATTISGARH 3 60 56
GOA 1 25 70
GUJARAT 398 6025 68
HARYANA 22 569 81
HIMACHAL PRADESH 6 50 78
JAMMU & KASHMIR 14 372 68
JHARKHAND 15 245 72
KARNATAKA 240 5469 58
KERALA 74 1123 65
MADHYA PRADESH 13 241 47
MAHARASHTRA 147 2849 67
MEGHALAYA 3 46 74
ODISHA 3 30 37
PUDUCHERRY 6 117 59
PUNJAB 177 4199 68
RAJASTHAN 97 1167 70
TAMIL NADU 266 3636 68
TELANGANA 17 361 58
UTTAR PRADESH 161 4494 73
UTTARAKHAND 8 103 75
WEST BENGAL 82 4634 62
Total 1935 40481 66
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CCIL Monthly Newsletter February 2019
TABLE 91: YIELD MOVEMENT Percent
YTMChange inYTM(bps)
YearJanuary31, 2019
December31, 2018
November30, 2018
October31, 2018
September28, 2018
August 31,2018
July 31,2018
June 29,2018
May 31,2018
April 27,2018
March 28,2018
February28, 2018
January31, 2018
Monthto
Month
Year onYear
2019 6.9643 7.2735 7.5495 7.7220 7.4400 7.3717 7.2384 7.1456 6.7514 6.5415 6.7046 6.6750
2020 6.8441 6.8317 7.2473 7.5808 7.8449 7.6400 7.6052 7.6149 7.8103 7.4598 6.8544 6.8510 6.9287 1 -8
2021 6.9334 7.0405 7.3076 7.6741 7.9655 7.7781 7.6849 7.7567 7.7135 7.5791 7.0733 7.1977 7.1351 -11 -20
2022 7.1612 7.1657 7.4220 7.6940 8.0259 7.9411 7.8238 7.9686 7.8439 7.7489 7.2667 7.4420 7.3124 0 -15
2023 7.1941 7.1869 7.4758 7.8502 8.0936 7.9964 7.9034 8.0316 7.9318 7.7670 7.3608 7.5393 7.3823 1 -19
2024 7.3217 7.3334 7.5148 7.8413 8.0965 8.0514 7.9606 8.0952 7.9654 7.8890 7.5110 7.7824 7.4738 -1 -15
2025 7.4426 7.3820 7.5768 7.8469 8.1194 8.0851 8.0264 8.1591 8.0100 7.8565 7.5035 7.7174 7.5602 6 -12
2026 7.4432 7.3806 7.5743 7.9176 8.1352 8.0938 8.0499 8.1638 8.0685 7.9080 7.6117 7.9609 7.7076 6 -26
2027 7.5516 7.4390 7.6625 7.9174 8.1714 8.0545 7.9608 8.0382 7.8934 7.8607 7.4792 7.8633 7.5861 11 -3
2028 7.5081 7.3553 7.6089 7.8665 8.0294 7.9285 7.7878 7.9231 7.8323 7.7549 7.3272 7.6893 7.4172 15 9
2029 7.2956 7.5128 7.7149 7.9792 8.2248 8.1103 8.0847 8.1216 7.9959 7.9089 7.6633 7.9613 7.5621 -22 -27
2030 7.6751 7.5452 7.7423 8.1758 8.1977 8.1275 8.2094 8.1470 8.0576 7.9704 7.7112 7.9878 7.7656 13 -9
2031 7.6217 7.5275 7.7095 7.8956 8.1063 8.1050 7.9741 8.0969 8.0142 7.9896 7.5004 7.9373 7.6749 9 -5
2032 7.6534 7.5218 7.7568 8.0751 8.1861 8.1930 8.1053 8.2317 8.0131 7.9850 7.7143 8.1015 7.8565 13 -20
2033 7.6608 7.5642 7.7892 8.1329 8.2941 8.2142 8.1374 8.1244 8.0260 7.9585 7.7029 8.0033 7.7586 10 -10
2034 7.6598 7.5823 7.7973 8.1890 8.3236 8.2831 8.1322 8.1414 8.0381 7.9621 7.7281 8.0123 7.7971 8 -14
2035 7.6806 7.5849 7.7650 8.1658 8.3163 8.2524 8.1513 8.1271 8.0676 7.9639 7.8083 8.0067 7.6047 10 8
2036 7.6456 7.5870 7.8062 8.1728 8.3253 8.2314 8.2512 8.2381 8.1412 7.9653 7.6952 8.0070 7.7772 6 -13
2039 7.7810 7.7055 7.8953 8.3008 8.3660 8.3410 8.2465 8.2395 8.1387 8.0267 7.7931 7.9727 7.6046 8 18
2040 7.6747 7.5968 7.9087 8.3066 8.3019 8.3372 8.1321 8.1287 8.0252 7.9674 7.6701 8.0004 7.7949 8 -12
2041 7.6792 7.5968 7.8446 8.2025 8.3325 8.2700 8.2368 8.2358 8.1306 7.9670 7.6814 7.9947 7.8067 8 -13
2042 7.6829 7.5960 7.8650 8.3074 8.2704 8.1529 8.1226 8.1447 8.0167 7.9665 7.6700 7.9888 7.7963 9 -11
2043 7.6862 7.7048 7.9618 8.3047 8.2702 8.2610 8.1615 8.1663 8.0966 7.9659 7.7004 8.0920 7.7932 -2 -11
2044 7.6888 7.5930 7.8504 8.1917 8.3001 8.2081 8.1140 8.1181 7.9808 7.9652 7.6728 8.0050 7.8014 10 -11
2045 7.6963 7.5917 7.8450 8.2105 8.2527 8.2050 8.1113 8.1205 8.1158 7.9648 7.6485 7.9941 7.8021 10 -11
2046 7.6945 7.6255 7.8584 8.1860 8.2504 8.2268 8.1048 8.1233 8.1092 7.9638 7.6521 7.9497 7.7752 7 -8
2051 7.7626 7.6729 7.9570 8.2869 8.3577 8.2714 8.1846 8.0050 7.9266 7.9602 7.6588 7.9473 7.7329 9 3
2055 7.7091 7.5506 7.8450 8.1733 8.3067 8.1279 8.0591 8.0896 7.9983 8.0780 7.7589 7.9613 7.7334 16 -2
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CORPORATE BONDSPRIMARY ISSUANCE ANALYSIS
FIXED COUPON BONDS
TABLE 92: ANALYSIS OF CORPORATE BOND ISSUANCE
TABLE 93: RATING ANALYSIS OF CORPORATE BOND ISSUANCES
TABLE 94: TOP 5 ISSUANCES
Type Sector Rating No.Amount(` Cr.)
Avg.Tenor
Max.Tenor
Min.Tenor
Avg.Coupon
(%)
Max.Coupon
(%)
Min.Coupon
(%)
PSU Finance AAA 3 1628.63 6.65 10.01 4.96 6.68 8.53 5.75
PSU Infrastructure AAA 2 865.00 10.01 10.01 10.01 8.49 8.51 8.47
PVT Finance AAA 30 8348.81 3.80 10.01 1.00 8.91 9.50 8.08
PVT Finance AA 46 9275.08 3.69 10.04 0.53 9.18 10.75 2.00
PVT Finance A 1 35.00 2.97 2.97 2.97 12.50 12.50 12.50
PVT Finance BBB 5 105.00 5.26 6.16 3.98 14.08 15.60 12.86
PVT Finance NA 6 1142.52 3.58 9.27 0.99 8.99 13.40 0.10
PVT Infrastructure AAA 2 392.17 4.05 4.98 3.12 7.40 9.05 5.75
PVT Infrastructure AA 1 490.00 1.28 1.28 1.28 10.50 10.50 10.50
PVT Infrastructure A1 2 125.00 0.42 0.52 0.32 11.75 11.75 11.75
PVT Infrastructure A 2 450.00 1.80 3.00 0.61 15.00 19.00 11.00
PVT Infrastructure NA 14 2570.51 7.50 30.00 0.95 8.85 14.80 0.00
PVT Others AA 6 1400.00 3.14 5.00 1.00 9.74 10.50 9.14
PVT Others A1 1 200.00 0.44 0.44 0.44 11.75 11.75 11.75
PVT Others BB 1 5.00 3.00 3.00 3.00 12.00 12.00 12.00
PVT Others NA 10 3907.00 5.97 19.97 1.17 9.14 17.00 0.10
Rating No.Amount(` Cr.)
Avg.Tenor
Max.Tenor
Min.Tenor
Avg.Coupon
(%)
Max.Coupon
(%)
Min.Coupon
(%)
AAA 37 11234.62 4.38 10.01 1.00 8.63 9.50 5.75
AA 53 11165.08 3.58 10.04 0.53 9.27 10.75 2.00
A1 3 325.00 0.43 0.52 0.32 11.75 11.75 11.75
A 3 485.00 2.19 3.00 0.61 14.17 19.00 11.00
BBB 5 105.00 5.26 6.16 3.98 14.08 15.60 12.86
BB 1 5.00 3.00 3.00 3.00 12.00 12.00 12.00
NA 30 7620.02 6.21 30.00 0.95 8.97 17.00 0.00
Company No.Amount(` Cr.)
Avg.Tenor
Max.Tenor
Min.Tenor
Avg.Coupon
(%)
Max.Coupon
(%)
Min.Coupon
(%)
%Share
IDFC BANK LIMITED 26 5069.40 2.31 7.36 0.53 8.64 9.20 8.08 16.38
MAHINDRA & MAHINDRA FINANCIAL SERVICES LTD 7 2146.49 6.07 10.00 3.24 9.19 9.50 9.00 6.94
PIRAMAL CAPITAL & HOUSING FINANCE LIMITED 4 1975.00 3.27 3.29 3.25 9.50 9.50 9.50 6.38
TATA TELESERVICES LIMITED 1 1856.40 2.99 2.99 2.99 0.10 0.10 0.10 6.00
INDIABULLS HOUSING FINANCE LIMITED 5 1680.00 4.03 10.01 1.00 9.05 9.10 9.00 5.43
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TABLE 96: CATEGORY ANALYSIS
TABLE 97: NON-FIXED RATE BOND ISSUANCE ANALYSIS
VARIABLE/ZERO COUPON BONDS
TABLE 95: SECTOR ANALYSIS
TABLE 9 :8 TENORWISE ISSUANCE ANALYSIS
Source: FIMMDA
Sector No.Amount(` Cr.)
Avg.Tenor
Max.Tenor
Min.Tenor
Avg.Coupon
(%)
Max.Coupon
(%)
Min.Coupon
(%)
Finance 91 20535.04 3.45 10.04 0.53 9.14 15.60 0.100
Infrastructure 23 4892.68 4.92 30.00 0.32 9.53 19.00 0.001
Others 18 5512.00 4.55 19.97 0.44 9.64 17.00 0.100
Type No.Amount(` Cr.)
Avg.Tenor
Max.Tenor
Min.Tenor
Avg.Coupon
(%)
Max.Coupon
(%)
Min.Coupon
(%)
PSU 5 2493.63 7.99 10.01 4.96 7.40 8.53 5.75
PVT 127 28446.09 4.22 30.00 0.32 9.47 19.00 0.001
Type No.Amount(` Cr.)
Avg.Tenor
Max.Tenor
Min.Tenor
Remarks
Floating Rate - - - - - -
Zero Coupon Bond 3 585.71 3.14 5.03 1.11 -
TenorBuckets
No.Amount(` Cr.)
Fixed FloatingZero
Coupon
Avg.Fixed
Coupon(%)
Max.Coupon
(%)
Min.Coupon
(%)
FloatingBenchmark
Remarks
<=1 year 11 1616.27 11 - - 9.73% 19.00% 0.001% - -
> 1 year -<=2 years 23 4995.19 22 - 1 9.70% 17.00% 8.08% -
> 2 years -<=5 years 66 15736.66 65 - 1 9.25% 14.80% 0.10% -
>5 years -<=10 years 24 5299.12 23 - 1 9.43% 15.60% 0.01% -
>10 years-<=15 years 8 2572.71 8 - - 8.51% 10.75% 2.00% -
>15 years 3 1305.48 3 - - 11.08% 12.00% 10.00% -
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TABLE : PRIMARY MARKET CATEGORY ANALYSIS - HISTORICAL Amount ( Cr)99 `
TABLE 10 : RATING ANALYSIS - HISTORICAL Amount ( Cr)`0 PRIMARY MARKET
RatingsYear
AAA AA A A1 BBB BB B C NA
2017-18 257033 105780 19643 - 5527 2341 773 28 141931
Apr-18 6597 6665 1458 250 452 351 - 150 15874
May-18 34120 4374 315 - 390 125 - - 5315
Jun-18 26745 3835 662 - 2730 1036 - - 6357
Jul-18 5437 22073 955 - 32 55 - - 3385
Aug-18 44088 11808 449 100 1364 35 - - 5029
Sep-18 27593 2705 860 125 427 - - - 11145
Oct-18 15551 2415 1550 - 172 298 - - 11750
Nov-18 21146 5034 921 - 232 100 - - 6935
Dec-18 12036 9759 1523 - 317 - 200 - 4277
Jan-19 11535 11451 485 325 105 5 - - 7620
2018-19 (UptoJan 2019)
204847 80120 9178 800 6221 2005 200 150 77687
CategoriesYear
Finance Infrastructure Manufacturing Oil Others Total
2017-18 252217 207711 21996 2284 48847 533055
Apr-18 7719 19167 130 592 4190 31797
May-18 32395 8719 125 - 3400 44639
Jun-18 19897 18203 - - 3265 41365
Jul-18 26174 4230 195 87 1250 31937
Aug-18 22466 39441 75 - 890 62873
Sep-18 23265 8484 552 - 10554 42854
Oct-18 10292 18884 38 - 2523 31736
Nov-18 18104 13722 50 - 2491 34367
Dec-18 19425 5284 599 - 2805 28113
Jan-19 21121 4893 - - 5512 31525
2018-19 (UptoJan 2019)
200856 141028 1763 679 36880 381207
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SECONDARY MARKET ANALYSIS
Amount Crore`TABLE 101: CORPORATE BONDS TRADING DETAILS
TotalDate
Trades Volume
01-Jan-19 98 2419
02-Jan-19 172 5213
03-Jan-19 168 4222
04-Jan-19 226 5843
07-Jan-19 121 3335
08-Jan-19 187 4928
09-Jan-19 190 5104
10-Jan-19 134 2886
11-Jan-19 175 5079
14-Jan-19 138 3838
15-Jan-19 141 4540
16-Jan-19 247 8402
17-Jan-19 156 4818
18-Jan-19 107 2133
21-Jan-19 146 4532
22-Jan-19 249 7185
23-Jan-19 172 4401
24-Jan-19 159 3275
25-Jan-19 91 2704
28-Jan-19 96 3298
29-Jan-19 144 3228
30-Jan-19 117 2803
31-Jan-19 183 4148
Total 3617 98333
Average 157 4275
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TABLE 102: HISTORICAL SUMMARY Amount Crore`
Since April 1, 2014 all Corporate Bond deals are being reported only on the exchanges
Total AveragePeriod
Trades Value Trades Value
2008-09 - 145828 - 621
2009-10 - 402157 - 1690
2010-11 43795 598604 177 2423
2011-12 51439 591979 216 2487
2012-13 66180 736347 275 3055
2013-14 69518 972156 287 4017
2014-15 72364 1013504 305 4276
2015-16 63701 905333 264 3757
2016-17 72416 1124988 300 4668
2017-18 50631 1350033 210 5602
Apr-18 4077 116536 215 6133
May-18 2686 75044 122 3411
Jun-18 2853 82790 136 3942
Jul-18 2781 78298 126 3559
Aug-18 2702 77391 135 3870
Sep-18 2856 76250 159 4236
Oct-18 2592 73063 123 3479
Nov-18 2496 86239 139 4791
Dec-18 3654 103994 183 5200
Jan-19 3617 98333 157 4275
2018-19 (Upto January 2019) 30314 867939 149 4255
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TABLE 103: CATEGORYWISE TRADING ANALYSIS
TABLE 104: RATING ANALYSIS
TABLE 105: CATEGORY ANALYSIS
143
CATEGORY Rating TradesValue
(` Crore)Avg.
TenorAvg.
Spread (bps)
FINANCE AAA 2007 55825 3.83 134
FINANCE AA 361 11993 7.91 248
FINANCE A 58 1218 7.38 307
FINANCE BBB 4 59 3.27 302
FINANCE NA 21 269 3.53 321
INFRASTRUCTURE AAA 691 14826 6.22 81
INFRASTRUCTURE AA 73 3217 4.79 216
INFRASTRUCTURE BB 1 12 3.92 848
INFRASTRUCTURE B 1 33 1.70 958
INFRASTRUCTURE C 1 8 3.96 1475
INFRASTRUCTURE D 1 7 2.20 1656
INFRASTRUCTURE NA 16 637 6.77 297
MANUFACTURING AAA 171 3963 7.46 124
MANUFACTURING AA 14 389 2.39 478
MANUFACTURING A 22 560 2.23 128
OIL AAA 10 595 1.07 121
OTHERS AAA 78 2219 3.49 129
OTHERS AA 10 322 1.90 285
OTHERS A 1 8 1.60 296
OTHERS B 1 14 2.45 1297
OTHERS NA 25 1241 8.17 839
Rating Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)
AAA 2957 77428 4.42 123
AA 458 15921 7.20 251
A 81 1786 5.99 262
BBB 4 59 3.27 302
BB 1 12 3.92 848
B 2 47 2.08 1127
C 1 8 3.96 1475
D 1 7 2.20 1656
NA 62 2147 6.19 516
Category Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)
FINANCE 2451 69365 4.67 163
INFRASTRUCTURE 784 18739 6.02 121
MANUFACTURING 207 4912 6.15 158
OIL 10 595 1.07 121
OTHERS 115 3802 4.49 329
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TABLE 106: BOND TYPE ANALYSIS
TABLE 107: AAA SPREAD ANALYSIS
TABLE :108 CATEGORY ANALYSIS - HISTORICAL Amount Crore`
144
Type of Bond Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)
FIXED 3434 93382 5.08 152
ZERO COUPON 93 3056 2.11 326
Floating - - - -
NA 40 976 4.68 349
CategoriesYear
Finance Infrastructure Manufacturing Oil Others Total
2008-09 102644 17543 7468 4952 13222 145828
2009-10 232669 50546 25739 18186 75017 402157
2010-11 394887 75663 26536 16916 84602 598604
2011-12 344743 99947 8781 13948 124560 591979
2012-13 334871 131421 38073 7613 224370 736348
2013-14 580267 188209 42594 17945 143141 972156
2014-15 536550 248001 41028 15605 172320 1013504
2015-16 548616 259910 41691 4182 50933 905333
2016-17 719406 255995 39124 7515 102948 1124988
2017-18 916753 273880 76597 3144 79660 1350033
Apr-18 75784 24451 4390 435 11476 116536
May-18 48064 12529 3568 75 10808 75044
Jun-18 56030 14716 4746 117 7181 82790
Jul-18 50006 13423 4293 215 10361 78298
Aug-18 57110 14542 1950 170 3619 77391
Sep-18 51504 15847 1539 10 7350 76250
Oct-18 51091 14218 5253 - 2500 73063
Nov-18 58940 14880 9743 215 2462 86239
Dec-18 69123 19849 6482 495 8046 103994
Jan-19 69365 18739 4912 595 4722 98333
2018-19 (UptoJanuary 2019)
587019 163194 46875 2327 68523 867939
Maturity Buckets Average AAA Spread (bps)
<=1 year 120
> 1 year -<=2 years 163
> 2 years -<=3 years 133
>3 years -<=5 years 131
>5 years-<=7 years 102
> 7 years 97
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TABLE : SPREAD ANALYSIS110 - HISTORICAL (AVERAGE) basis points
TABLE :109 RATING ANALYSIS - HISTORICAL Amount Crore`
145
RatingsYear
AAA AA A1 A2 A BBB BB B C D P1 NA
2008-09 107549 13465 - - 2463 70 - - - - 9 22273
2009-10 294268 36550 5 - 12034 15 16 - - - 25 59244
2010-11 379542 107514 139 - 8068 260 38 216 - - 8510 94317
2011-12 410152 44643 1637 - 3814 451 64 - - - - 131217
2012-13 410581 80864 5736 - 7859 564 2966 124 - - 201 227453
2013-14 696917 130830 3273 - 20241 2994 186 2 - - 50 117664
2014-15 716087 129597 3555 600 35012 1389 3746 108 48 - - 123362
2015-16 576773 151808 1835 - 33276 1856 942 174 - - - 138669
2016-17 578952 123929 1034 - 18746 1096 384 135 - - - 400712
2017-18 833499 222659 7178 295 30716 4300 896 430 - - - 250058
Apr-18 76008 24356 - - 3599 216 205 - - - - 12151
May-18 56209 8005 - - 546 85 516 34 - - - 9649
Jun-18 63558 11780 - - 319 215 - - 236 - - 6683
Jul-18 50880 13753 700 - 3382 120 - - - - - 9463
Aug-18 52466 15650 - - 4904 212 26 10 - - - 4123
Sep-18 55522 11657 - - 5507 274 304 15 - 10 - 2961
Oct-18 57335 11639 - - 2180 109 30 - 37 - - 1733
Nov-18 70659 12578 11.5 - 1366 285 25 - - - - 1315
Dec-18 76520 19274 - - 2007 312 69 35 - - - 5778
Jan-19 77428 15921 - - 1786 59 12 47 8 7 - 3066
2018-19 (UptoJanuary 2019)
636585 144612 712 - 25595 1888 1187 141 281 17 - 56921
RatingsYear
AAA AA A1 A2 A BBB BB B C D P1 NA
2011-12 119 189 248 - 202 185 227 - - - - 205
2012-13 98 161 231 - 220 308 262 182 - - 193 181
2013-14 85 140 275 - 163 291 254 - - - 189 176
2014-15 46 123 179 141 149 351 83 138 566 - - 148
2015-16 62 164 205 - 237 593 710 281 - - - 167
2016-17 73 221 240 - 343 720 1042 1699 - - - 170
2017-18 74 171 177 825 352 500 957 1052 - - - 135
Apr-18 70 158 - - 295 1567 586 - - - - 143
May-18 85 139 - - 284 909 558 865 - - - 90
Jun-18 87 125 - - 310 1068 - - 1199 - - 89
Jul-18 83 139 197 - 163 408 - - - - - 262
Aug-18 81 143 - - 152 283 489 154 - - - 238
Sep-18 88 150 - - 250 524 762 848 - 157 - 1107
Oct-18 105 179 - - 197 423 796 - 254 - - 679
Nov-18 120 191 207 - 208 339 508 - - - - 312
Dec-18 129 212 - - 268 336 531 287 - - - 281
Jan-19 123 251 - - 262 302 848 1127 1475 1656 - 516
2018-19 (UptoJanuary 2019)
98 169 199 - 228 462 636 735 687 656 - 237
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TABLE 111: TOP 25 TRADED CORPORATE BONDS
Note: Spread over comparable G-SecDeals apparently viewed as duplicate deals have been excluded.Source for Corporate Bonds:www.fimmda.org
146
No. ISIN No. Security Description Rating Category MaturityCoupon
(%)Trades
Volume(` Cr.)
Yield(%)
1 INE733E07KJ7 NTPC LIMITED CRISIL AAA INFRASTRUCTURE 15-Jan-29 8.30% 123 3319.80 8.29
2 INE261F08AK3 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT AA FINANCE 31-Jan-22 8.50% 60 3145.00 8.13
3 INE001A07RN4 HOUSING DEVELOPMENT FINANCE CORPORATION LTD ICRA AAA FINANCE 15-Dec-20 8.70% 57 3015.00 8.50
4 INE261F08AT4 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT CRISIL AAA FINANCE 31-Jan-23 8.50% 77 2370.00 8.27
5 INE001A07RK0 HOUSING DEVELOPMENT FINANCE CORPORATION LTD CRISIL AAA FINANCE 29-Nov-28 9.00% 96 1856.90 8.74
6 INE002A08567 RELIANCE INDUSTRIES LIMITED CRISIL AAA/Stable OIL 11-Dec-28 8.65% 68 1784.00 8.77
7 INE261F08907 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT AAA FINANCE 30-Sep-20 6.98% 33 1715.00 8.11
8 INE557F08FC0 NATIONAL HOUSING BANK CARE AAA FINANCE 10-Jan-22 8.05% 22 1675.00 8.05
9 INE053F07AZ4 INDIAN RAILWAY FINANCE CORPORATION LIMITED CARE AAA FINANCE 8-Jan-29 8.40% 69 1674.50 8.39
10 INE906B07GN5 NATIONAL HIGHWAYS AUTHORITY OF INDIA CARE AAA INFRASTRUCTURE 21-Jan-29 8.37% 51 1485.00 8.36
11 INE752E07OH3 POWER GRID CORPORATION OF INDIA LIMITED CARE AAA INFRASTRUCTURE 7-Jan-29 8.36% 43 1404.10 8.35
12 INE774D07SW9 MAHINDRA & MAHINDRA FINANCIAL SERVICES LTD IND AAA/Stable FINANCE 18-Jan-27 9.30% 57 1385.15 9.37
13 INE261F08AX6 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT CRISIL AAA FINANCE 26-Dec-28 8.18% 71 1247.40 8.43
14 INE134E08JL4 POWER FINANCE CORPORATION LIMITED AAA FINANCE 7-Jun-19 7.80% 25 1180.00 7.84
15 INE002A08500 RELIANCE INDUSTRIES LIMITED AAA OIL 8-Nov-22 7.17% 44 1150.00 8.43
16 INE020B08BG8 RURAL ELECTRIFICATION CORPORATION LIMITED IND AAA INFRASTRUCTURE 29-Nov-28 8.56% 54 1077.50 8.74
17 INE134E08IC5 POWER FINANCE CORPORATION LIMITED AAA FINANCE 15-Apr-19 7.85% 14 1070.00 7.79
18 INE134E08JI0 POWER FINANCE CORPORATION LIMITED AAA FINANCE 29-Jan-28 7.74% 3 1050.00 8.63
19 INE020B08BJ2 REC LIMITED CRISIL AAA INFRASTRUCTURE 22-Jan-29 8.80% 57 1035.30 8.83
20 INE001A07RL8 HOUSING DEVELOPMENT FINANCE CORPORATION LTD ICRA AAA/Stable FINANCE 18-Jun-20 8.80% 21 975.00 8.69
21 INE556F09601 SMALL INDUSTRIES DEVELOPMENT BANK OF INDIA AAA FINANCE 15-Mar-19 8.04% 4 775.00 6.96
22 INE814H07075 ADANI RAIL INFRA PRIVATE LIMITED CARE AA- (SO) INFRASTRUCTURE 30-Apr-19 10.30% 5 750.00 10.24
23 INE557F08FA4 NATIONAL HOUSING BANK AAA FINANCE 12-Mar-21 7.59% 16 740.00 7.06
24 INE115A07NU6 LIC HOUSING FINANCE LIMITED CRISIL AAA FINANCE 25-Jan-29 8.80% 33 732.00 8.79
25 INE001A07QU1 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED AAA FINANCE 25-Mar-19 7.28% 3 705.00 7.14
February 2019
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CERTIFICATES OF DEPOSIT AND COMMERCIAL PAPERS ANDREPO IN CORPORATE BONDS, CP, CD
TABLE 11 :2 CPs, CDs and Repo in Corporate Bonds, CPs and CDs -TRADING DETAILS Amount Crore`
147
CDs CPsDate
Trades Value Trades Value Trades Value
1-Jan-19 47 6884 78 9609 - -
2-Jan-19 61 4908 61 5497 20 1460
3-Jan-19 90 7270 66 3343 8 1128
4-Jan-19 67 5874 52 3826 4 1050
7-Jan-19 61 4421 66 3600 7 1700
8-Jan-19 41 2296 39 4230 3 700
9-Jan-19 42 4396 47 5217 7 778
10-Jan-19 29 2715 44 2630 12 2755
11-Jan-19 47 3182 57 2958 3 700
14-Jan-19 64 5180 52 4626 16 1622
15-Jan-19 69 3546 77 7585 10 792
16-Jan-19 77 4603 67 5060 13 678
17-Jan-19 49 2039 63 4026 17 780
18-Jan-19 38 2686 42 3019 8 760
21-Jan-19 45 2915 61 8160 4 800
22-Jan-19 44 3607 56 3980 3 700
23-Jan-19 32 1425 53 4405 4 950
24-Jan-19 43 2771 47 2224 4 950
25-Jan-19 34 2610 51 3380 6 975
28-Jan-19 93 7745 53 5135 7 980
29-Jan-19 55 3690 98 9748 10 1710
30-Jan-19 49 3185 80 7015 11 2310
31-Jan-19 44 2814 90 9985 9 755
Total 1221 90762 1400 119257 186 25033
Average 53 3946 61 5185 8 1088
Repo in Corporate Bonds, CPs, CDs
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TABLE 114: CERTIFICATE OF DEPOSIT - TENORWISE TRADING ANALYSIS
TABLE 113: HISTORICAL SUMMARY - CDs, CPs and REPO IN CORPORATE BOND, CPs and CDs Amount Crore`
148
CDs CPs Repo in Corporate Bonds, CPs, CDsPeriod
Trades ValueAverageValue
Weighted avgyield (%)
Trades ValueAverageValue
Trades ValueAverageValue
2012-13 39624 1833097 13283 8.8774 10831 586796 4252 33 723 5
2013-14 34228 1698860 7020 8.9368 9223 553702 2288 25 1962 8
2014-15 28958 1560787 6586 8.5662 11687 741289 3128 64 2015 9
2015-16 22454 1272810 5281 7.6574 14531 904256 3741 177 8378 32
2016-17 16018 979117 4063 6.6882 15866 1147138 4760 657 16799 70
2017-18 11365 879428 3649 6.4802 17144 1288702 5347 1207 23014 95
Apr-18 1820 134731 7091 6.6024 1714 110571 5820 125 1694 89
May-18 1652 109147 4961 7.1116 2467 158446 7202 108 1952 89
Jun-18 1188 84358 4017 7.0330 2010 139625 6649 142 2872 137
Jul-18 1024 72676 3303 6.9452 1748 127292 5786 111 2234 102
Aug-18 796 60654 3033 7.1271 1573 114493 5725 141 3515 176
Sep-18 894 64873 3604 7.3890 1761 135706 7539 128 3325 185
Oct-18 716 50265 2394 7.1795 1229 98320 4682 173 10752 512
Nov-18 839 74996 4166 7.2105 1262 115299 6406 132 12429 691
Dec-18 1087 99329 4966 7.2199 1387 115761 5788 256 25214 1261
Jan-19 1221 90762 3946 7.2001 1400 119257 5185 186 25033 1088
2018-19 (UptoJanuary 2019)
11237 841792 4126 7.0655 18878 1384409 6786 1502 89020 436
Residual Maturity(Months)
Trades Traded Amount (` Crore)WAY(%)
1 276 25762 6.6303
2 208 8112 6.7871
3 234 22036 7.1173
4 33 5288 7.4522
5 91 4660 7.5035
6 99 5780 7.6368
7 31 1800 7.7108
8 6 650 7.6646
9
10 4 276 7.8278
11 59 3275 7.8618
12 180 13123 8.0398
Total 1221 90762 7.2001
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TABLE 115: COMPARISON OF FBIL TERM MIBOR AND FBIL CD CURVE
BENCHMARK RATES
Percent
149
NDS-CALL Platform (WAR)TRADEDATE
FBIL O/NMIBOR Rate
UncollateralisedO/N Call (WAR) All
TradesTrades
Upto 4 PM
Trades Reportedon NDS-CALL
Platform (WAR)
01-Jan-19 6.50 6.34 6.41 6.49 6.17
02-Jan-19 6.50 6.33 6.42 6.48 6.18
03-Jan-19 6.50 6.31 6.40 6.47 6.17
04-Jan-19 6.46 6.31 6.33 6.34 6.13
07-Jan-19 6.50 6.38 6.43 6.49 6.19
08-Jan-19 6.50 6.36 6.42 6.45 6.18
09-Jan-19 6.55 6.36 6.44 6.52 6.19
10-Jan-19 6.55 6.36 6.42 6.51 6.22
11-Jan-19 6.50 6.35 6.41 6.47 6.19
14-Jan-19 6.50 6.37 6.42 6.48 6.20
15-Jan-19 6.50 6.42 6.48 6.49 6.18
16-Jan-19 6.50 6.42 6.47 6.49 6.20
17-Jan-19 6.50 6.39 6.46 6.48 6.18
18-Jan-19 6.48 6.45 6.48 6.48 6.16
21-Jan-19 6.55 6.49 6.54 6.55 6.22
22-Jan-19 6.55 6.43 6.51 6.54 6.17
23-Jan-19 6.60 6.43 6.49 6.58 6.20
24-Jan-19 6.60 6.41 6.48 6.54 6.20
25-Jan-19 6.54 6.41 6.48 6.50 6.17
28-Jan-19 6.55 6.43 6.50 6.53 6.17
29-Jan-19 6.50 6.38 6.45 6.47 6.17
30-Jan-19 6.50 6.39 6.44 6.47 6.17
31-Jan-19 6.50 6.38 6.43 6.48 6.22
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PercentTABLE 116: FBIL CD CURVE vs FBIL TBILL CURVE
150
14 Days 1 Month 2 Months 3 Months 6 Months 9 Months 12 Months
Date FBILCDRate
FBILTB
Rate
Spreadin Bps
FBILCDRate
FBILTB
Rate
Spreadin Bps
FBILCDRate
FBILTB
Rate
Spreadin Bps
FBILCDRate
FBILTB
Rate
Spreadin Bps
FBILCDRate
FBILTB
Rate
Spreadin Bps
FBILCDRate
FBILTB
Rate
Spreadin Bps
FBILCDRate
FBILTB
Rate
Spreadin Bps
01-Jan-19 6.95 6.42 53 6.72 6.50 22 7.06 6.51 55 7.44 6.61 84 7.75 6.83 92 8.02 6.91 112 8.24 6.93 131
02-Jan-19 6.93 6.40 53 6.80 6.51 29 6.74 6.52 22 7.47 6.62 85 7.74 6.78 96 8.02 6.88 113 8.24 6.90 134
03-Jan-19 6.56 6.40 17 6.80 6.49 31 6.82 6.50 32 7.37 6.60 78 7.67 6.76 91 7.98 6.87 111 8.23 6.88 135
04-Jan-19 6.40 6.42 -1 6.73 6.55 18 6.84 6.55 30 7.49 6.56 93 7.69 6.74 95 7.95 6.83 112 8.16 6.86 131
07-Jan-19 6.64 6.46 19 6.69 6.43 26 7.33 6.50 82 7.24 6.60 65 7.67 6.75 92 7.98 6.87 112 8.18 6.87 131
08-Jan-19 6.69 6.50 19 6.81 6.54 26 7.39 6.57 82 7.22 6.61 60 7.66 6.74 92 7.97 6.86 112 7.96 6.85 111
09-Jan-19 6.71 6.45 26 6.70 6.52 19 7.12 6.50 62 6.78 6.63 15 7.56 6.75 81 7.71 6.86 85 7.86 6.87 98
10-Jan-19 6.71 6.45 26 6.61 6.42 19 6.81 6.48 33 6.64 6.61 3 7.60 6.72 88 7.69 6.85 83 7.77 6.85 92
11-Jan-19 6.69 6.43 26 6.71 6.41 30 6.73 6.46 27 7.48 6.62 86 7.55 6.72 83 7.73 6.86 87 7.90 6.87 104
14-Jan-19 6.61 6.45 16 6.69 6.42 27 6.78 6.48 30 7.11 6.64 48 7.54 6.76 78 7.84 6.84 100 8.13 6.84 129
15-Jan-19 6.60 6.47 13 6.66 6.41 25 6.72 6.47 25 7.13 6.63 49 7.62 6.72 90 7.87 6.81 106 8.13 6.83 129
16-Jan-19 6.57 6.45 12 6.67 6.40 27 6.78 6.48 29 7.16 6.64 52 7.50 6.74 77 7.66 6.83 83 7.81 6.84 97
17-Jan-19 6.63 6.45 18 6.73 6.46 27 6.78 6.49 29 7.21 6.60 61 7.64 6.71 93 7.78 6.79 99 7.91 6.80 112
18-Jan-19 6.62 6.54 8 6.68 6.48 20 6.69 6.49 20 7.14 6.58 56 7.58 6.73 86 7.73 6.75 98 7.87 6.80 107
21-Jan-19 6.73 6.46 27 6.71 6.51 20 6.73 6.53 20 7.11 6.56 56 7.80 6.73 107 7.88 6.76 112 7.95 6.80 115
22-Jan-19 6.74 6.52 22 6.75 6.55 20 6.76 6.56 20 7.09 6.58 51 7.71 6.73 98 7.86 6.74 112 7.95 6.80 115
23-Jan-19 6.70 6.48 22 6.70 6.51 19 6.75 6.55 20 7.04 6.59 45 7.63 6.71 91 7.86 6.74 112 7.96 6.81 115
24-Jan-19 6.64 6.44 19 6.71 6.47 24 6.56 6.51 5 6.94 6.55 39 7.61 6.67 94 7.81 6.73 108 7.89 6.77 112
25-Jan-19 6.61 6.41 19 6.64 6.44 20 6.69 6.49 20 7.27 6.54 73 7.54 6.68 86 7.81 6.73 108 7.88 6.76 112
28-Jan-19 6.51 6.43 8 6.6037 6.45 15 7.06 6.50 56 7.36 6.54 82 7.92 6.63 130 8.15 6.72 143 8.18 6.76 143
29-Jan-19 6.57 6.42 15 6.7408 6.45 29 7.08 6.50 58 7.27 6.58 68 7.58 6.64 94 7.93 6.71 122 8.07 6.75 132
30-Jan-19 6.60 6.39 21 6.5744 6.38 20 7.13 6.38 74 7.20 6.55 65 7.39 6.67 73 7.73 6.71 102 7.86 6.77 109
31-Jan-19 6.57 6.36 22 6.5715 6.49 9 6.60 6.41 19 7.27 6.50 77 7.46 6.66 80 7.85 6.66 120 8.05 6.73 131
February 2019
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PercentTABLE 117: FBIL FC-RUPEE OPTION VOLATILITY MATRIX RATES - AT THE MONEY (ATM) VOLS
151
1 WEEK 1 MONTH 3 MONTH 6 MONTH 12 MONTHDATE BID
ATM VolsASK
ATM VolsMID
ATM VolsBID
ATM VolsASK
ATM VolsMID
ATM VolsBID
ATM VolsASK
ATM VolsMID
ATM VolsBID
ATM VolsASK
ATM VolsMID
ATM VolsBID
ATM VolsASK
ATM VolsMID
ATM Vols
1-Jan-19 6.87 8.63 7.75 7.65 8.30 7.98 7.65 8.26 7.96 8.39 9.08 8.74 7.67 8.12 7.90
2-Jan-19 6.98 8.65 7.82 8.09 8.46 8.28 7.88 8.36 8.12 8.45 8.98 8.72 7.90 8.27 8.09
3-Jan-19 7.63 9.24 8.44 8.14 8.54 8.34 8.09 8.45 8.27 8.74 9.13 8.94 7.98 8.32 8.15
4-Jan-19 8.01 8.83 8.42 7.91 8.49 8.20 7.95 8.35 8.15 8.74 9.09 8.92 7.97 8.31 8.14
7-Jan-19 8.04 9.24 8.64 8.17 8.55 8.36 7.93 8.38 8.16 8.50 9.12 8.81 7.97 8.35 8.16
8-Jan-19 7.83 9.32 8.58 8.34 8.75 8.55 8.20 8.49 8.35 8.77 9.22 9.00 8.11 8.43 8.27
1-Jan-19 6.87 8.63 7.75 7.65 8.30 7.98 7.65 8.26 7.96 8.39 9.08 8.74 7.67 8.12 7.90
9-Jan-19 8.54 9.41 8.98 8.51 9.07 8.79 8.29 8.58 8.44 8.97 9.39 9.18 8.32 8.61 8.47
10-Jan-19 8.19 8.90 8.55 8.28 8.71 8.50 8.21 8.55 8.38 8.97 9.50 9.24 8.38 8.71 8.55
11-Jan-19 7.37 8.49 7.93 7.96 8.45 8.21 7.99 8.38 8.19 8.87 9.46 9.17 8.26 8.70 8.48
14-Jan-19 7.21 8.22 7.72 7.87 8.28 8.08 7.89 8.28 8.09 8.93 9.43 9.18 8.39 8.70 8.55
15-Jan-19 7.09 8.35 7.72 7.86 8.28 8.07 7.91 8.34 8.13 8.87 9.38 9.13 8.40 8.72 8.56
16-Jan-19 7.23 7.96 7.60 7.86 8.21 8.04 7.87 8.20 8.04 9.08 9.49 9.29 8.43 8.80 8.62
17-Jan-19 6.86 8.06 7.46 7.67 8.03 7.85 7.74 8.10 7.92 8.98 9.32 9.15 8.30 8.60 8.45
18-Jan-19 6.22 7.07 6.65 7.28 7.72 7.50 7.62 7.96 7.79 8.81 9.29 9.05 8.21 8.50 8.36
21-Jan-19 6.38 7.48 6.93 7.47 7.93 7.70 7.51 7.96 7.74 8.78 9.18 8.98 8.20 8.48 8.34
22-Jan-19 6.07 7.02 6.55 7.29 7.72 7.51 7.38 7.81 7.60 8.70 9.13 8.92 8.17 8.46 8.32
23-Jan-19 5.54 6.58 6.06 7.05 7.41 7.23 7.16 7.48 7.32 8.62 8.98 8.80 8.03 8.37 8.20
24-Jan-19 6.00 7.02 6.51 6.86 7.18 7.02 6.98 7.43 7.21 8.49 8.86 8.68 7.81 8.15 7.98
25-Jan-19 6.09 7.30 6.70 6.78 7.11 6.95 6.91 7.29 7.10 8.42 8.66 8.54 7.70 8.02 7.86
28-Jan-19 6.59 7.89 7.24 6.80 7.35 7.08 6.96 7.48 7.22 8.53 8.83 8.68 7.72 7.99 7.86
29-Jan-19 6.93 8.17 7.55 6.76 7.13 6.95 6.92 7.31 7.12 8.37 8.71 8.54 7.66 7.95 7.81
30-Jan-19 7.15 8.81 7.98 6.81 7.20 7.01 6.93 7.32 7.13 8.39 8.76 8.58 7.69 7.97 7.83
31-Jan-19 6.86 7.95 7.41 6.75 7.18 6.97 6.95 7.37 7.16 8.38 8.74 8.56 7.70 7.99 7.85
February 2019
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TABLE 118: FBIL FC-RUPEE OPTION VOLATILITY MATRIX RATES - 25 DELTA RISK REVERSAL
Risk Reversal is the spread between the put and call vol for 25 delta25 delta is the market standard for out of the money option strike
Percent
152
25 DELTA RRDATE
1 WEEK 1 MONTH 3 MONTHS 6 MONTHS 12 MONTHS
1-Jan-19 0.23 0.29 0.45 0.71 0.90
2-Jan-19 0.23 0.34 0.44 0.70 0.89
3-Jan-19 0.24 0.36 0.43 0.71 0.89
4-Jan-19 0.24 0.37 0.43 0.71 0.89
7-Jan-19 0.22 0.38 0.44 0.72 0.88
8-Jan-19 0.25 0.37 0.43 0.71 0.87
1-Jan-19 0.23 0.29 0.45 0.71 0.90
9-Jan-19 0.25 0.39 0.44 0.72 0.87
10-Jan-19 0.25 0.38 0.44 0.71 0.86
11-Jan-19 0.25 0.38 0.43 0.71 0.86
14-Jan-19 0.25 0.38 0.43 0.71 0.86
15-Jan-19 0.25 0.48 0.48 0.75 0.86
16-Jan-19 0.25 0.44 0.48 0.75 0.86
17-Jan-19 0.25 0.44 0.48 0.75 0.86
18-Jan-19 0.25 0.44 0.49 0.76 0.86
21-Jan-19 0.34 0.49 0.55 0.81 0.90
22-Jan-19 0.32 0.48 0.55 0.82 0.90
23-Jan-19 0.31 0.45 0.53 0.78 0.88
24-Jan-19 0.30 0.44 0.53 0.79 0.88
25-Jan-19 0.30 0.44 0.51 0.79 0.86
28-Jan-19 0.30 0.44 0.50 0.80 0.85
29-Jan-19 0.29 0.26 0.41 0.79 0.85
30-Jan-19 0.30 0.46 0.44 0.79 0.84
31-Jan-19 0.29 0.40 0.44 0.78 0.84
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TABLE 119 FBIL FC-RUPEE OPTION VOLATILITY MATRIX RATES - 25 DELTA STRANGLE
Strangle is the spread between the 25 delta vol and ATM vol25 delta is the market standard for out of the money option strike
Percent
153
25 DELTA STRDATE
1 WEEK 1 MONTH 3 MONTHS 6 MONTHS 12 MONTHS
1-Jan-19 0.15 0.18 0.23 0.29 0.45
2-Jan-19 0.16 0.19 0.24 0.40 0.45
3-Jan-19 0.16 0.19 0.31 0.41 0.46
4-Jan-19 0.16 0.18 0.33 0.41 0.46
7-Jan-19 0.16 0.19 0.33 0.41 0.46
8-Jan-19 0.16 0.19 0.33 0.41 0.46
1-Jan-19 0.15 0.18 0.23 0.29 0.45
9-Jan-19 0.16 0.18 0.33 0.41 0.46
10-Jan-19 0.16 0.18 0.33 0.41 0.46
11-Jan-19 0.16 0.19 0.33 0.42 0.46
14-Jan-19 0.16 0.18 0.33 0.40 0.46
15-Jan-19 0.16 0.18 0.34 0.40 0.46
16-Jan-19 0.16 0.18 0.34 0.40 0.46
17-Jan-19 0.15 0.18 0.34 0.40 0.46
18-Jan-19 0.15 0.18 0.34 0.40 0.46
21-Jan-19 0.16 0.18 0.34 0.40 0.46
22-Jan-19 0.17 0.19 0.33 0.42 0.47
23-Jan-19 0.16 0.18 0.34 0.41 0.45
24-Jan-19 0.16 0.18 0.33 0.42 0.45
25-Jan-19 0.16 0.18 0.28 0.41 0.45
28-Jan-19 0.16 0.18 0.24 0.40 0.45
29-Jan-19 0.16 0.18 0.24 0.40 0.42
30-Jan-19 0.16 0.18 0.23 0.40 0.40
31-Jan-19 0.16 0.18 0.23 0.40 0.38
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