financial benchmarks india private limitedsection i: salient features of the indian cd market during...

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FINANCIAL BENCHMARKS INDIA PRIVATE LIMITED

THEMATIC STUDY

INDIAN CD MARKET: 2013 -2019

Certificate of Deposit (CD) is a negotiable money market instrument issued primarily by

Scheduled Commercial Banks (SCB) in India (excluding Regional Rural Banks and Local Area Banks)

and some select All-India Financial Institutions (AFI), as permitted by the Reserve Bank of India

(RBI). CD was introduced by RBI in 1989 following recommendations of the Vaghul Committee on

Call Money Market (1987). Successive Committees appointed by RBI had made various

recommendations to make the Call Money Market as a banks-only market, thereby restricting

access to non-bank financial companies and non-financial corporates. CDs allowed the non-bank

participants to deploy their surplus funds in a short-term instrument with the underlying credit

risk being that of the issuing bank. This note is a descriptive study of the secondary market of CDs

for which data are available with the CCIL. The period covered is from January 1, 2013 to July 31,

2019.

Section I: Salient Features of the Indian CD Market

During the 79 months of the period covered under this study, 8,998 CDs traded in the secondary

market. Since CDs are issued with maturity of one year or less, any trend in the volume of trade

by year of maturity of traded CDs should reflect the trend in issuance of CDs. Maturity year-wise

breakup of the number of traded CDs shows a clear decline from a peak reached in the year 2014.

The number of traded CDs maturing in 2017 was almost one-third of those maturing in 2014. The

number of CDs maturing in 2018 increased only marginally vis-à-vis the number maturing in

2017.The precipitate decline in 2017 is easily explained by the avalanche of liquidity that hit the

Indian Banking Sector in the wake of the demonetization in November 2016.

500

1500

2500

2013 2014 2015 2016 2017 2018 2019

No. of Distinct CDs Traded by Year of Maturity

No of CD

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In terms of volume traded also, there was a steep decline after 2014 and the declining trend

continued till 2017. In 2018 the volume increased by 38% as compared to the year before. Still

the volume clocked in 2018 formed only 63.7% of the peak volume reached in 2014. The first 7

months’ data for 2019 shows a significant pick-up in volume but it still was 22% lower than the

volume traded in the same period in 2014. Apart from the demonetization in November, 2016,

slowing down of credit growth of banks after 2014 also contributed to the falling volume of CD

market in the recent years.

Table 1: Year-wise Traded Volume of CD, Deposit and Credit Growth of SCBs

Year

Total Traded

Volume (Trillion of

rupees)

Share of Indian

Private Sector

Banks

Share of

Public Sector

Banks

Credit

Growth

(%)1

Deposit

Growth

(%)2

2013 16.55 16.5% 72.9% 14.98 13.60

2014 16.70 13.9% 81.0% 12.48 13.24

2015 13.06 17.9% 80.0% 9.24 10.76

2016 11.52 32.9% 60.5% 9.29 10.62

2017 7.67 81.8% 12.5% 6.56 9.66

2018 10.64 78.6% 16.2% 12.56 7.85

2019@ 8.10 49.4% 42.1% 12.12 9.57

As regards bank groups, Public Sector Banks (excluding SBI group, PSB henceforth) and the Indian

Private Sector Banks were the major issuers of CDs. However, SBI did not issue any CD during the

period of this study. Foreign banks have also been a minor player in the primary issuance market.

Public sector AFIs like NABARD, SIDBI and EXIM Bank became significant issuers of CD only after

2014.

There were only 30 banks which had issued more than 100 CDs during the period under study.

The largest number (574) of CDs was issued by Axis Bank, followed by Kotak Mahindra Bank (517)

and IndusInd Bank (499). Among the PSBs, Oriental Bank of Commerce had issued the highest

number of CDs (456).

In terms of daily trading activities, CDs issued by the Indian Private Sector Banks and PSBs were

traded on the highest number of days, totaling 1585 and 1468 days for these two bank groups

respectively.

1 Data is up to July 2019. For 2019 growth rates of deposit and credit are based on July 2019 data over July 2018 data. The data source is from Database on Indian Economy published by RBI. 2 Same as 1. above

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The aggregate volume of secondary trades in CDs issued by these two groups of banks ranges

between 89% - 95%. Bank-wise share in total traded volumes during the period of study shows

that CDs issued by top 30 banks accounted for 92.8% of the total traded volume. CDs issued by

Axis Bank continue to be the most-traded CDs in terms of volume. Two PSBs, namely Canara Bank

and Oriental Bank of Commerce together contributed 13.7% to total volume clocked by PSBs

during the study period. However, their issuances in the CD market have declined significantly

after 2015.

Maturity bucket-wise analysis of number and volume of secondary trades:

FBIL publishes benchmark CD rates for 7 non-overlapping residual maturity buckets, each bucket

representing a maturity band (see Annex Table A5).

For the entire study period, the first 3 buckets (maturity up to 71 days) accounted for 57.4% of

total number of trades and 58.7% of total volume of trades. The share of the last 3 buckets shows

steep decline between 2013 and 2018, except for a sudden spurt in 2016, both in terms of

number as well as volume of trades.

Table 2 A: Bucket wise Share in Total Number Trades:

Share(%) of each bucket in total number of trades

Year 1 2 3 Total of first 3

buckets$ 4 5 6 7

2013 14.5% 15.0% 21.5% 51.1% 12.3% 8.6% 10.1% 17.9%

2014 17.7% 16.2% 26.4% 60.3% 12.6% 7.0% 6.1% 14.1%

2015 20.1% 19.4% 24.8% 64.3% 12.8% 7.0% 7.7% 8.2%

2016 17.1% 17.4% 20.1% 54.6% 15.3% 9.2% 8.3% 12.6%

2017 19.5% 19.9% 18.3% 57.7% 21.1% 9.9% 6.4% 4.8%

2018 24.8% 14.3% 18.5% 57.5% 20.5% 8.2% 6.6% 7.1%

2019 17.9% 17.4% 14.4% 49.7% 15.9% 8.1% 12.1% 14.2%

Grand Total 18.16% 16.74% 21.87% 56.8% 14.60% 8.07% 8.13% 12.43% $ The first 3 buckets include CDs with residual maturities up to 71 days

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Table 2B: Bucket wise Share in Total Volume of Trades

Share (%) of each bucket in total volume of trades

Year 1 2 3

Total of the

first 3

buckets

4 5 6 7

2013 15.5% 13.6% 25.5% 54.6% 14.9% 6.7% 8.3% 15.5%

2014 19.4% 14.7% 33.2% 67.3% 13.8% 5.0% 3.6% 10.2%

2015 21.7% 15.1% 29.4% 66.2% 17.2% 5.0% 5.0% 6.6%

2016 19.1% 14.8% 21.9% 55.8% 21.0% 7.4% 6.2% 9.6%

2017 20.6% 16.0% 18.6% 55.3% 26.7% 8.6% 5.0% 4.5%

2018 18.8% 13.2% 21.2% 53.2% 27.8% 7.3% 4.9% 6.9%

2019 21.8% 14.5% 15.8% 52.1% 20.5% 6.3% 8.7% 12.4%

Grand Total 19.2% 14.5% 25.0% 58.7% 19.1% 6.4% 5.9% 9.9%

The table below gives bank group-wise distribution of total volume of trades for the entire period.

Except for the public sector AFIs, it may be seen that all other bank groups’ traded CDs were

concentrated in the first four buckets, i.e., having maturities less than 116 days.

Table 3: Bucket-wise Share in total volume Traded for each Bank Group

1 2 3 4

Share of

the first

4

Buckets

5 6 7

DFI 5.25% 5.53% 6.86% 10.76% 28.40% 13.62% 26.69% 31.29%

Foreign 23.21% 11.49% 17.77% 34.82% 87.29% 4.61% 3.18% 4.92%

Indian Private 20.87% 13.63% 19.63% 25.63% 79.75% 7.23% 5.19% 7.83%

PSB 18.91% 15.33% 29.15% 15.59% 78.98% 5.31% 5.42% 10.29%

SBI Group 16.40% 14.09% 23.85% 16.29% 70.64% 11.00% 7.72% 10.64%

Small Finance 28.82% 20.05% 10.40% 36.64% 95.91% 3.08% 0.69% 0.33%

ALL 19.22% 14.46% 25.04% 19.13% 77.85% 6.39% 5.89% 9.88%

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Trend in Yields:

The yearly average yield of traded CDs declined consistently between 2013 and 2017, from 8.95%

to 6.28%. Thereafter, it rose to 7.06% in 2018 and then fell again to 6.94% during the first 7

months 2019. The declining trend in CD yield largely followed the declining trend in policy rate

of RBI.

A comparison of yields of different issuer types shows that the CDs of PSBs commanded higher

price/ lower yield as compared to the other 3 types. As regards CDs issued by the associate banks

of SBI and Small Finance Banks, which were not traded during the entire period, it is observed

that while CDs of the associate banks of SBI traded at yields lower than those of PSBs, the

opposite was the case in respect of CDs of Small Finance Banks, reflecting the respective groups’

credit risk characteristics.

Year and Issuer Type-wise Average Yields of Traded CDs

56789

1011

Jan

-13

May

-13

Sep

-13

Jan

-14

May

-14

Sep

-14

Jan

-15

May

-15

Sep

-15

Jan

-16

May

-16

Sep

-16

Jan

-17

May

-17

Sep

-17

Jan

-18

May

-18

Sep

-18

Jan

-19

May

-19

Monthly- RBI Repo Rate and Average CD Yield(%)

Repo Average CD Yield-All Issuers

6.00

6.50

7.00

7.50

8.00

8.50

9.00

9.50

2013 2014 2015 2016 2017 2018 2019

Year and Issuer Type wise Average Yields (%) of Traded CDs

AFI

Foreign

IndianPrivatePSB

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Bucket-wise Yields:

The bucket-wise yield movement, given in the table below, shows a declining trend across the

maturities between 2013 and 2017 and a reverse trend between 2017 and 2019. The increase in

yield between 2017 and 2018 was much pronounced for the 5th and 6th buckets, to the tune of

113 and 120 basis points respectively. Interestingly, the share of trades in these two buckets

were overwhelmingly concentrated in the CDs of two bank groups, namely DFI and Indian Private

Sector Banks. In fact, CDs of PSBs falling under the 5th bucket did not trade during the whole of

2018. The relevant data is given in the table below.

Table 4: Decline and Rise in Yields during the study period

Bucket Decline in average yield between 2013

and 2017 (basis points)

Increase in average yield between

2017 and July 2019 (basis points)

Less than 17 days 245 46

17-45 243 53

46-71 243 60

72-115 253 77

116-200 279 70

201-300 234 60

More than 300 240 86

6.00

6.50

7.00

7.50

8.00

8.50

9.00

9.50

1 2 3 4 5 6 7

Maturity Buckets

Bucket-wise Average Yield for Different Years

2013

2014

2015

2016

2017

2018

2019

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Yield Volatility:

Daily volatility in yields of CDs has many determinants including depth of the market, range of

issuer-ratings and extent of variation in the liquidity positions of the issuers. Volatility has been

calculated based on standard deviation of weighted average daily yields of CDs with a given

maturity year. The following table gives frequency distribution of volatility (measured in basis

points).

Table 5: Frequency Distribution of Standard Deviation in Yields

Range of Std. dev in basis

point 2013 2014 2015 2016 2017 2018

less than equal to 5bps 4 28 43 51 58 68

5-10 10 87 129 143 119 59

10-20 37 145 223 146 235 71

20-30 73 96 35 49 30 76

30-50 55 74 33 31 10 91

50-75 54 23 5 19 0 46

75-100 1 9 0 2 1 1

100-200 3 3 0 1 0 2

more than 200 bps 1 0 1 2 0 0

% of days when volatility was

more than 30 bps 78.6% 44.1% 15.8% 23.4% 9.0% 52.2%

Total No. of Observations 238 465 469 444 453 414

It is seen that 2015 was the least volatile period while 2013 registered the highest volatility

followed by 2018 and 2014. Incidents of high volatility is probably more due to the shallowness

of the market than variations in the credit ratings of the issuers.

Traded Yield Spread between CDs of Indian Private Sector Banks and PSBs:

In view of the fact that Indian Private Sector Banks and PSBs have been the largest and regular

issuer of CDs during the study period, an analysis of the spread of the secondary market yields in

respect of these two bank groups has been done. A priori, PSBs should have lower risk and their

CDs should trade at lower yield as compared to those of Private Sector Banks. The trend in spread

during the study period, given in the following graph, largely confirms this expectation. It may

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also be seen that in the post demonetization period the spread started moving up and became

more volatile.

A similar conclusion can be drawn from a summary of the year-wise movement in the spread,

given in the following table. The bucket-wise summary of the spreads is given in the Annex. It

may be seen therefrom that the spreads are highly volatile in the maturity buckets 4 and 5, with

residual maturities in the range 72-115 days and 116-200 respectively.

Table 6: Year wise summary of monthly average yield spreads (in basis points)

between Indian Private Sector Banks and PSBs

Metric All

Years 2013 2014 2015 2016 2017 2018

2019

(Jan-July)

Mean 12 5 5 4 7 12 33 21

Median 10 4 5 5 10 12 29 23

Min -17 -7 -10 1 -17 1 18 9

Max 62 23 13 8 16 31 62 31

Section 2: Determinants of CD Yields

CD is a money market instrument to augment liquidity or to bridge short-term liquidity mismatch

of the issuer. The observed secondary market yields of traded CDs are expected to be determined

-20

-10

0

10

20

30

40

50

60

70

1-2

01

3

5-2

01

3

9-20

13

1-2

01

4

5-2

01

4

9-20

14

1-2

01

5

5-2

01

5

9-2

01

5

1-2

01

6

5-2

01

6

9-2

01

6

1-2

01

7

5-2

01

7

9-2

01

7

1-2

01

8

5-2

01

8

9-2

01

8

1-2

01

9

5-2

01

9

Monthly Average Yield Spread (in basis points) between Indian Private Sector Banks and PSBs-All Maturity Buckets

MonthlyAverage YieldSpreadbetweenIndian PrivateSector Banksand PSBs-AllMaturityBuckets

January 2013 to July 2019

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by both the supply and the demand side factors driving the market. Cohan (1973) while analyzing

the CD market in the USA, noted that “a bank would set its interest rate on negotiable CDs on

the basis of a set of considerations involving competing asset yields, changes in the strength of

loan demands and the availability of funds from other sources”. The present study is based on

the secondary market data, on the basis of which indirect evidence can be provided about the

determinants of CD rates. Summary features of data on CD yields, Repo Rate and T-Bills primary

yields along with other determinant factors for the period under the study are given in the

following tables and graphs.

Table 7: Yearly Averages of Key Determinants of observed CD Yields in the Secondary Market

Year

Average of

Difference

between CD

Yields and

Policy Repo

Rate(basis

points)

Average of

Difference

between CD

Yields and 182

T-Bili Rate

(basis points)

Average of Excess

CRR of all

SCBs(basis

points)

Average of

Deposit Growth

of all SCBs(%)

Average of Credit

Growth of all

SCBS(%)

2013 143 14 65 13.60 14.98

2014 0.72 0.07 0.49 13.24 12.48

2015 0.57 0.13 0.51 10.76 9.24

2016 0.48 0.47 0.58 10.62 9.29

2017 0.13 0.31 0.53 9.66 6.56

2018 0.81 0.85 0.50 7.85 12.56

2019 0.87 0.87 0.56 10.05 13.31

All yearly averages are based on daily averages of secondary market data.

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0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Jan

-13

Ap

r-1

3

Jul-

13

Oct

-13

Jan

-14

Ap

r-1

4

Jul-

14

Oct

-14

Jan

-15

Ap

r-1

5

Jul-

15

Oct

-15

Jan

-16

Ap

r-1

6

Jul-

16

Oct

-16

Jan

-17

Ap

r-1

7

Jul-

17

Oct

-17

Jan

-18

Ap

r-1

8

Jul-

18

Oct

-18

Jan

-19

Ap

r-1

9

Jul-

19

Spread Between Repo Rate and Average Yield of CD

Difference

5.0

5.5

6.0

6.5

7.0

7.5

8.0

8.5

-0.10

0.10

0.30

0.50

0.70

0.90

1.10

1.30A

pr-

14

Au

g-1

4

De

c-1

4

Ap

r-1

5

Au

g-1

5

De

c-1

5

Ap

r-1

6

Au

g-1

6

De

c-1

6

Ap

r-1

7

Au

g-1

7

De

c-1

7

Ap

r-1

8

Au

g-1

8

De

c-1

8

Ap

r-1

9

Re

po

Rat

e

Dif

fere

nce

bet

wee

n C

D a

nd

Re

po

Differnce between CD Rate and Repo RateJanuary 2014 to July 2019

Difference

Repo

-2.25

-1.75

-1.25

-0.75

-0.25

0.25

0.75

1.25

Jan

-13

Ap

r-1

3

Jul-

13

Oct

-13

Jan

-14

Ap

r-1

4

Jul-

14

Oct

-14

Jan

-15

Ap

r-1

5

Jul-

15

Oct

-15

Jan

-16

Ap

r-1

6

Jul-

16

Oct

-16

Jan

-17

Ap

r-1

7

Jul-

17

Oct

-17

Jan

-18

Ap

r-1

8

Jul-

18

Oct

-18

Jan

-19

Ap

r-1

9

Jul-

19

Spread between CD Rate and 182 T-Bill Rate

DiffCD_182T

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It may be seen from the above graphs and table that all the three rates, viz. CD yields, 182-day T-

bills primary yields and Policy Repo rates trace similar trajectories over time. As regards supply

and demand factors, we have considered 3 variables, namely, Excess Reserve maintained by

SCBs, Credit and Deposit growths of SCBs. Excess reserves and deposit growth are expected to

reflect the supply side conditions while credit growth should reflect demand for fund. The Repo

Rate and T-bill Rates are expected to capture the desired money market interest rate term

structure of the policy makers. For T-bills, we have considered 182-day T Bill as data for all the

months covered in the study are available for this maturity. Since all data are at a highly

aggregate level, the results of statistical analysis given below need to be evaluated with caution.

If a determining factor turns out to be statistically insignificant, it need not be the case that for

all bank groups the results would be the same. However, the statistical significance of a factor

would be a confirmation of the impact of the factor at a more granular level.

After analyzing the time series properties of the variables under study (for details see the tables

in Annex), the following regression results summarize the effect of the identified determinant

factors on the observed monthly average CD yields. The validity of the time series regression has

been tested by appropriately examining the stationarity of the residuals.

CD Rate=0.833* + 0.334***Repo Rate + (-)0.003Excess Reserve + 0.075***Credit Growth + (-

)0.014Deposit Growth + 0.524***182T-Bill Rate

* Significant at 5% level. *** Significant at 0.1% or less level.

5

6

7

8

9

10

11

Jan

-13

Ap

r-1

3

Jul-

13

Oct

-13

Jan

-14

Ap

r-1

4

Jul-

14

Oct

-14

Jan

-15

Ap

r-1

5

Jul-

15

Oct

-15

Jan

-16

Ap

r-1

6

Jul-

16

Oct

-16

Jan

-17

Ap

r-1

7

Jul-

17

Oct

-17

Jan

-18

Ap

r-1

8

Jul-

18

Oct

-18

Jan

-19

Ap

r-1

9

Jul-

19

Monthly Average - RBI Repo Rate and Average CD Yield

Repo CD_rate

12 | P a g e

It can be seen that the coefficients of all the explanatory variables are of proper signs. However,

Excess Reserve and Deposit Growth turn out to be statistically insignificant. The most important

determinant of average CD yield turns out to be Credit Growth, a demand side factor. Significant

positive impact of Repo Rate and T-Bill rate in a contemporaneous regression indicates that

interest rates of all money market instruments are co-integrated with policy rates. It also implies

that policy rate transmission is effective on the liability side of balance sheets of Indian banks.

Concluding Remarks:

The Indian CD market provides a window of investment opportunity in money market

instruments. In this descriptive essay, the behavior of this market has been presented based on

instrument-level daily traded data on volume and yield, spanning a period of 6 and a half years.

This is also the period during which Repo Rate - the main policy rate used by RBI, mostly had

followed a downward trajectory, except for a period of 15 months ending on December 2014 and

another period of 8 months ending on January 2019. In tandem with this downward trend in

policy rates, CD yields also declined. Volume-wise a sharp downward trend in the secondary

market yield for CD is observed as well. The traded volume of CDs in 2017 was less than half of

the volumes clocked in 2013 or 2014.

The issuance of CDs was led by a few Public Sector Banks and Indian Private Sector Banks.

Interestingly, SBI, the India’s largest Bank was largely absent from the CD market. The Public

Sector Banks reduced their participation in the CD market in 2017 and 2018, with share of their

issuances going down to as low as 12.5% in 2017. However, the first half of 2019 saw a sharp

revival of their participation.

Bucket-wise, most of the issuance was concentrated in the first four buckets - that is with

maturities less than 115 days. However, in respect of the trades in CDs issued by Development

Finance Institutions, the residual maturities were in the last 3 buckets.

Amongst the various factors reflecting demand and supply side determinants of the observed

secondary CD yields, it appears that the ‘demand for fund’ dominated the ‘supply of fund’ , given

the impact of policy rate changes and the yields of competing assets. The statistical exercise

underlying this observation is based on aggregate data and would need more analysis of issuer-

level data for confirmation.

13 | P a g e

Annex:

Table A.1 No of Trades between 2013 and July 2019 for top 10 issuers: By Types of Issuers

Indian private

sector

No of

Trades

Public Sector

Banks

No of

Trades SBI Group

No of

Trades

Foreign

Banks

No of

Trades

Development

Financial

Institution

No of

Trades

AXIS BANK 10151 CANARA

BANK 10558

STATE BANK

OF PATIALA 2627

CREDIT

SUISSE 91 NABARD 1408

INDUSIND BANK 7884

ORIENTAL

BANK OF

COMMERCE

9211

STATE BANK

OF

HYDERABAD

1379 RABOBANK 44 SIDBI 1344

ICICI BANK 6378 CORPORATION

BANK 7774

STATE BANK

OF MYSORE 1100

STANDARD

CHARTERED

BANK

37

EXPORT

IMPORT

BANK OF

INDIA

697

IDFC BANK 5273 IDBI BANK 7411

STATE BANK

OF

TRAVANCORE

1046

ABU DHABI

COMMERCIAL

BANK

34 Total 3449

HDFC BANK 4621 ANDHRA

BANK 6593

STATE BANK

OF BIKANER

AND JAIPUR

893 CITIBANK 33

KOTAK MAHINDRA

BANK 2903 VIJAYA BANK 5546 RABOBANK 30

SOUTH INDIAN

BANK 2667

PUNJAB AND

SIND BANK 4678

BANK OF

TOKYO-

MITSUBISHI

UFJ

17

YES BANK 2125

PUNJAB

NATIONAL

BANK

4286

RAIFFEISEN

BOERENLEEN

BANK

14

RBL BANK 1172 ALLAHABAD

BANK 4050 DBS BANK 10

ING VYSYA BANK 1076 INDIAN BANK 3528

ABU DHABI

COMMERCIAL

BANK

6

Total of top 10 44250 63635 7045 316 3449

Share of top 10 in

total of the Bank

Group

92.1% 74.8% 100% 93.2% 100%

14 | P a g e

Table A.2 Year wise Growth in CD market by Issuer Groups

Figures in ₹Crore

Year DFI Foreign

Banks

Indian

Private

Sector

Banks

PSB SBI Group

Small

Finance

Banks

Grand

Total

Yearly

Growth

Rates

2013 476.2 2744 2,72,260.14 12,06,452 1,72,881.9 16,54,814 0.9

2014 2225 900 2,32,406.03 13,52,987 81,418.8 16,69,937 -21.8

2015 1604 4618.2 2,33,221.2 10,45,271 21,606.9 13,06,322 -11.8

2016 32,259.2 2708.4 3,79,466.0 6,97,331.2 40,618.1 11,52,383 -33.4

2017 36,595.3 5673.57 6,27,362.8 95,688.4 550 1,455 7,67,325 38.7

2018 49,311.3 1693.2 8,36,593.8 1,72,050.5 4,511.6 10,64,160 0.9

2019 64,892.8 2054 4,00,402.0 3,41,245.8 1,703 8,10,297.6 13.2@

@ April-July2019 over January –July2019 over January-July2018

Table A.3 Share of 2 major Bank groups in total volume of CD traded

Year Share of Indian

Private Sector Banks

Share of Public

Sector Banks

2103 16.5% 72.9%

2014 13.9% 81.0%

2015 17.9% 80.0%

2016 32.9% 60.5%

2017 81.8% 12.5%

2018 78.6% 16.2%

2019 (till July) 49.4% 42.1%

Table A.4: Maturity Year-wise Issuance of CDs by different Bank Groups

No. of Distinct CDs Traded

Year of

Maturity DFI Foreign

Indian

Private PSB

SBI

Group

Small

Finance

Grand

Total

2013 4 573 881 219 1,677

2014 6 2 809 1,262 185 2,264

2015 10 635 1,058 53 1,756

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2016 5 12 519 561 52 1,149

2017 18 34 521 144 5 2 724

2018 23 15 644 86 54 822

2019 31 9 462 174 24 700

2020 27 1 76 19 2 125

Grand Total 110 87 4239 4185 514 82 9217

Table A.5 Buckets:

Bucket No

Range of Residual Maturity

(No. of Days)

(Both days inclusive for any range)

1 Less than 17 days

2 17-45

3 46-71

4 72-115

5 116-200

6 201-300

7 More than 300

Table A.6 Year wise Average Yields for different Residual Maturities

Range of

Residual

Maturity (No. of

Days); (Both days

inclusive for any

range)

Year wise Average Yields

Y2013 Y2014 Y2015 Y2016 Y2017 Y2018 Y2019

Less than 17 days 8.59 8.51 7.72 6.89 6.14 6.50 6.60

17-45 8.65 8.65 7.91 7.04 6.21 6.72 6.74

46-71 8.69 8.75 7.94 7.11 6.26 6.94 6.86

72-115 8.84 8.85 7.94 6.99 6.31 7.15 7.08

116-200 9.23 8.87 7.77 6.99 6.45 7.58 7.15

201-300 8.88 8.99 8.02 7.11 6.54 7.74 7.14

More than 300 9.03 9.26 8.31 7.48 6.63 7.63 7.48

Range 0.64 0.75 0.59 0.59 0.49 1.24 0.89

16 | P a g e

Table A.7 Year wise Spread in Monthly Average of Yield between Indian Private Sector Banks

and PSBs

Metric All Years 2013 2014 2015 2016 2017 2018

Bucket 1

Mean 2 6 2 -3 -1 3 4

Median 4 5 5 3 2 3 7

Min -55 -7 -26 -55 -30 -9 -11

Max 23 23 17 8 14 13 14

Bucket2

Mean 4 6 3 3 -1 1 6

Median 4 7 4 5 2 0 3

Min -45 -9 -20 -8 -45 -8 -5

Max 28 23 13 14 28 9 28

Bucket 3

Mean 8 13 7 1 4 3 17

Median 7 13 8 5 5 0 12

Min -58 0 -7 -58 -4 -6 0

Max 77 28 13 12 12 12 77

Bucket 4

Mean 9 12 8 6 4 6 20

Median 8 12 7 6 4 5 18

Min 7 -5 0 -14 -8 3 3

Max 9 25 15 15 9 12 54

Bucket 5

Mean 10 10 14 8 5

Median 9 7 10 8 4

Min -8 -8 -5 1 -5

Max 34 34 34 15 24

Bucket 6

Mean 14 5 8 38 5

Median 7 10 8 7 5

Min -47 -47 4 3 -1

17 | P a g e

Max 382 17 16 382 16

Bucket 7

Mean 7 5 5 7 5

Median 6 7 5 6 5

Min -14 -14 -1 0 0

Max 48 13 9 17 12

-60-50-40-30-20-10

0102030

1-2

013

4-2

013

7-20

13

10-2

013

1-2

014

4-2

014

7-2

014

10-2

014

1-2

015

4-2

015

7-2

015

10-2

015

1-2

016

4-2

016

7-2

016

10-2

016

1-20

17

4-2

017

7-2

017

11-2

017

3-2

018

7-2

018

10-2

018

1-2

019

4-2

019

7-2

019

Monthly Average Yield Spread between Indian Private Sector Banks and PSBs-Maturity Buckets 1


-45-35-25-15

-55

152535

1-20

13

4-20

13

7-20

13

10-2

013

1-20

14

4-20

14

7-20

14

10-2

014

1-20

15

4-20

15

7-20

15

10-2

015

1-20

16

4-20

16

7-20

16

10-2

016

1-20

17

4-20

17

7-20

17

11-2

01

7

2-20

18

5-20

18

8-20

18

11-2

018

2-20

19

5-20

19



18 | P a g e

-65

-45

-25

-5

15

35

55

75

1-2

01

3

4-2

01

3

7-2

01

3

10

-20

13

1-2

01

4

4-2

01

4

7-2

01

4

10

-20

14

1-2

01

5

4-2

01

5

7-2

01

5

10

-20

15

1-2

01

6

4-2

01

6

7-2

01

6

10

-20

16

1-2

01

7

5-2

01

7

9-2

01

7

1-2

01

8

4-2

01

8

7-2

01

8

10-2

01

8

1-2

01

9

4-2

01

9

7-2

01

9



-15

-5

5

15

25

35

45

55

1-2

01

3

4-2

01

3

7-2

01

3

10-2

01

3

1-2

01

4

4-2

01

4

7-2

01

4

10-2

01

4

1-2

01

5

4-2

01

5

7-2

01

5

10-2

01

5

1-2

01

6

4-2

01

6

7-2

01

6

10-2

01

6

1-2

01

7

5-2

01

7

4-2

01

8

7-2

01

8

11-2

01

8

2-2

01

9

5-2

01

9



-15

-5

5

15

25

35

1-20

13

3-20

13

5-20

13

7-20

13

9-20

13

11

-20

13

1-20

14

3-20

14

5-20

14

7-20

14

9-20

14

11

-20

14

1-20

15

3-20

15

5-20

15

7-20

15

9-20

15

11

-20

15

1-20

16

3-20

16

5-20

16

7-20

16

9-20

16

11

-20

16

1-20

17

3-20

17

3-20

19

5-20

19

7-20

19



19 | P a g e

-50

50

150

250

350

1-2

01

3

3-2

01

3

5-2

01

3

7-2

01

3

9-2

01

3

11

-20

13

1-2

01

4

3-2

01

4

5-2

01

4

7-2

01

4

9-2

01

4

11

-20

14

1-2

01

5

3-2

01

5

5-2

01

5

7-2

01

5

9-2

01

5

11

-20

15

1-2

01

6

5-2

01

6

7-2

01

6

9-2

01

6

11

-20

16

1-2

01

7

3-2

01

7

6-2

01

9



-20

-10

0

10

20

30

40

50

1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49

Monthly Average Yield Spread between Indian Private Sector Banks and PSBs- Maturity Buckets 7


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