statistics2002-03 191843 1076147 646 3623 23284 933509 78 3143 100232 136102 1101 1496 159 852 3 16...

CCIL Monthly Newsletter August 2018

*Commenced operations from November 12, 2002, Cash and Tom settlement is with effect from February 5, 2004.

** Commenced operations from January 20, 2003.

Amount Crore`

StatisticsTABLE 11: CCIL SETTLEMENT DETAILS

Outright Repo (First + Second Leg) Forex* CBLO**

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 159 852 3 16

2003-04 243585 1575133 820 5303 41886 1887266 142 6419 330517 501342 1425 2161 3060 76851 10 262

2004-05 160682 1134222 550 3884 48726 3116185 167 10672 466327 899782 1976 3813 29351 976790 101 3345

2005-06 125509 864751 467 3215 51332 3386870 176 11599 489649 1179688 2084 5020 67463 2953134 229 10045

2006-07 137100 1021536 562 4187 58009 5112560 199 17509 606808 1776981 2550 7466 85881 4732271 292 16096

2007-08 188843 1653851 765 6696 53258 7893536 182 27033 757074 3133665 3181 13167 113277 8110828 385 27588

2008-09 245964 2160233 1047 9192 48561 8187856 169 28529 837520 3758904 3657 16414 118941 8824784 414 30748

2009-10 316956 2913890 1332 12243 57289 12142409 201 42605 883949 2988971 3843 12996 142052 15541378 498 54531

2010-11 332540 2870952 1346 11623 54842 8207508 187 27917 1150037 4191037 4792 17463 145383 12259745 495 41700

2011-12 412266 3488203 1732 14656 59573 7524816 205 25858 1283178 4642573 5579 20185 143949 11155428 495 38335

2012-13 658055 6592032 2731 27353 83141 10804188 288 37385 1396138 4830933 6018 20823 156099 12028040 538 41476

2013-14 820330 8956699 3390 37011 92795 14454046 317 49331 1512215 4743321 6490 20358 177918 17526192 605 59613

2014-15 977948 10156162 4126 42853 109391 15735514 381 54828 1731706 5297790 7595 23236 207241 16764597 722 58413

2015-16 883167 9728541 3665 40367 135623 17249279 490 62272 1885129 5489286 8056 23458 215151 17833529 777 64381

2016-17 1342410 16874146 5570 70017 167888 23564763 622 87277 1926106 6274978 8302 27047 217786 22952833 807 85010

2017-18 918737 11399881 3812 47302 198953 25636498 748 96378 2174774 6494454 9294 27754 203712 28330758 766 106507

Apr-18 82698 882896 4353 46468 15473 1844609 737 87839 204484 617281 10762 32488 14882 2039116 709 97101

May-18 57263 604564 2603 27480 20407 2323152 850 96798 233206 618687 11105 29461 17758 2327832 740 96993

Jun-18 58834 667083 2802 31766 20169 2396860 877 104211 205566 549763 9789 26179 18211 2482884 792 107951

Jul-18 61508 665482 2796 30249 19879 2317397 828 96558 205133 559823 9768 26658 19810 2704028 825 112668

2018-19 (UptoJuly 2018)

260303 2820025 3099 33572 75928 8882018 825 96544 848389 2345555 10346 28604 70661 9553860 768 103846

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TABLE 12: CATEGORYWISE BUYING ACTIVITY 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

Category Outright

ReverseRepo

(FundsLending)

CBLOLending

UncollateralisedMoney Market

Lending*Forex

IRS-MIBOR

IRS-MIFOR

Co-operative Banks 2.88 0.16 1.14 33.80** 0.21 - -

Financial Institutions 0.16 0.15 0.14 - 0.00 - -

Foreign Banks 20.83 28.37 3.32 6.74 40.77 47.26 72.62

Insurance Companies 2.14 7.46 12.69 - - - -

Mutual Funds 10.53 35.10 58.90 - - - -

Others 3.89 0.02 14.52 - - - -

Primary Dealers 15.70 2.89 0.03 0.00 - 26.02 0.00

Private Sector Banks 26.06 12.10 3.03 22.32 31.47 23.13 23.24

Public Sector Banks 17.83 13.74 6.23 37.14 27.55 3.60 4.14

Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00

Category Outright RepoCBLO

Borrowing

UncollateralisedMoney Market

Borrowing*Forex

IRS-MIBOR

IRS-MIFOR

Co-operative Banks 2.83 3.50 2.44 1.58** 0.21 - -

Financial Institutions 0.09 0.25 10.14 - 0.00 - -

Foreign Banks 22.60 27.99 3.72 17.55 41.26 50.68 49.98

Insurance Companies 1.23 0.00 0.47 - - - -

Mutual Funds 9.75 0.00 17.40 - - - -

Others 2.10 6.54 7.78 - - - -

Primary Dealers 18.90 33.84 7.70 30.69 - 21.92 0.00

Private Sector Banks 25.55 14.24 22.99 28.40 31.34 23.22 40.09

Public Sector Banks 16.96 13.63 27.37 21.79 27.19 4.18 9.93

Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00

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TABLE 14: COMPARABLE RATES Percent

Money Market Rates (WAR) Benchmark Rates Auction Cut-offs Policy Rates

DateCall Repo CBLO

FBIL-OvernightMIBOR(10:45A.M.)

FBIL-MROR(10:45A.M.)

FBIL-Term

MIBOR14

DAYS(11:45A.M.)

FBIL-Term

MIBOR1

Month(11:45A.M.)

FBIL-Term

MIBOR3

Months(11:45A.M.)

CCBOR(10:00A.M.)

10YBenchmark

(WAY)

91DTB

182DTB

364DTB

LAFRepo

LAFReverseRepo

2-Jul-18 6.1150 5.9817 6.0958 6.25 6.19 6.80 7.05 7.34 6.1792 7.8859 - - - 6.25 6.00

3-Jul-18 6.1059 5.8620 5.9975 6.25 6.16 6.75 6.99 7.30 6.1279 7.8876 - - - 6.25 6.00

4-Jul-18 6.0919 5.9297 5.9449 6.25 6.05 6.68 6.90 7.29 6.0089 7.8659 6.4805 6.9083 7.1663 6.25 6.00

5-Jul-18 6.0673 5.9898 5.9224 6.25 6.02 6.66 6.87 7.29 5.9544 7.8673 - - - 6.25 6.00

6-Jul-18 6.1462 6.0796 4.9943 6.19 6.15 6.64 6.84 7.29 5.0157 7.8807 - - - 6.25 6.00

7-Jul-18 6.2319 - 6.3301 - - - - - - - - - - 6.25 6.00

9-Jul-18 6.1776 6.1104 6.1025 6.25 6.16 6.63 6.82 7.30 6.0876 7.8770 - - - 6.25 6.00

10-Jul-18 6.1514 6.2002 6.2401 6.26 6.26 6.63 6.81 7.28 6.2375 7.9001 - - - 6.25 6.00

11-Jul-18 6.1673 6.2246 6.2516 6.30 6.28 6.64 6.81 7.26 6.2547 7.8867 6.5219 6.9298 7.2009 6.25 6.00

12-Jul-18 6.1446 6.2147 6.2258 6.30 6.27 6.63 6.83 7.26 6.2416 7.8186 - - - 6.25 6.00

13-Jul-18 6.1553 6.2176 6.2325 6.29 6.27 6.61 6.83 7.26 6.2347 7.7845 - - - 6.25 6.00

16-Jul-18 6.1800 6.2193 6.2331 6.30 6.27 6.60 6.82 7.26 6.2319 7.8186 - - - 6.25 6.00

17-Jul-18 6.1179 6.2258 6.2283 6.30 6.26 6.64 6.82 7.25 6.2374 7.7436 - - - 6.25 6.00

18-Jul-18 6.1368 6.2276 6.2177 6.30 6.26 6.66 6.82 7.18 6.2253 7.7374 6.5219 6.9298 7.2124 6.25 6.00

19-Jul-18 6.1307 6.2035 6.1819 6.29 6.24 6.66 6.83 7.19 6.2044 7.7740 - - - 6.25 6.00

20-Jul-18 6.2026 6.2224 5.7838 6.21 6.19 6.65 6.82 7.19 5.3336 7.7848 - - - 6.25 6.00

21-Jul-18 5.8093 - 6.3472 - - - - - - - - - - 6.25 6.00

23-Jul-18 6.2295 6.2786 6.3285 6.31 6.27 6.67 6.86 7.23 6.2800 7.7956 - - - 6.25 6.00

24-Jul-18 6.2654 6.3316 6.3777 6.39 6.37 6.71 6.89 7.25 6.3662 7.7963 - - - 6.25 6.00

25-Jul-18 6.2424 6.3542 6.3101 6.41 6.40 6.74 6.89 7.26 6.3848 7.7976 6.6877 6.9727 7.2700 6.25 6.00

26-Jul-18 6.1977 6.2684 6.2310 6.39 6.29 6.75 6.92 7.30 6.2825 7.7717 - - - 6.25 6.00

27-Jul-18 6.1445 6.2052 6.2137 6.27 6.21 6.74 6.93 7.29 6.1985 7.7755 - - - 6.25 6.00

30-Jul-18 6.1898 6.1993 6.2386 6.26 6.19 6.75 6.94 7.31 6.2250 7.7872 - - - 6.25 6.00

31-Jul-18 6.1614 6.1892 6.2417 6.25 6.19 6.84 6.97 7.33 6.2521 7.7781 - - - 6.25 6.00

Average 6.1484 6.1698 6.1363 6.29 6.22 6.69 6.88 7.27 6.1165 7.8189 6.5530 6.9352 7.2124 6.25 6.00

Max 6.2654 6.3542 6.3777 6.41 6.40 6.84 7.05 7.34 6.3848 7.9001 6.6877 6.9727 7.2700 6.25 6.00

Min 5.8093 5.8620 4.9943 6.19 6.02 6.60 6.81 7.18 5.0157 7.7374 6.4805 6.9083 7.1663 6.25 6.00

SD 0.0872 0.1267 0.2832 0.05 0.09 0.06 0.07 0.04 0.3240 0.0521 0.0919 0.0270 0.0431 0.00 0.00

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TABLE 15 : PROPRIETARY / CONSTITUENT SETTLEMENT ANALYSIS

GOVERNMENT SECURITIES MARKETSETTLEMENT ANALYSIS

Number of Participants: 207

Percent

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

2018-19 (Upto July 2018) 87.02 85.01 12.98 14.99 97.30 94.82 2.70 5.18

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TABLE 16: DEAL SIZE ANALYSIS Percent

< 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

2018-19 (Upto July 2018) 3.19 0.41 63.84 29.46 17.78 16.35 5.69 8.89 9.49 44.88

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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

Date Trades Face Value

2-Jul-18 1 2

3-Jul-18 4 238

4-Jul-18 - -

5-Jul-18 1 34

6-Jul-18 3 14

9-Jul-18 2 5

10-Jul-18 2 120

11-Jul-18 - -

12-Jul-18 6 84

13-Jul-18 26 3755

16-Jul-18 3 104

17-Jul-18 - -

18-Jul-18 1 70

19-Jul-18 1 10

20-Jul-18 1 6

23-Jul-18 - -

24-Jul-18 1 2

25-Jul-18 2 128

26-Jul-18 2 150

27-Jul-18 - -

30-Jul-18 - -

31-Jul-18 11 50

Total 67 4739

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

2018-19 (Upto July 2018) 579 32335

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TABLE 19: INSTRUMENT WISE BREAKUP OF OUTRIGHT TRADES Amount Crore`

Cen. Govt. Dated Securities Treasury Bills State Development LoansSettlement

PeriodValue

Avg.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

2018-19 (Upto July 2018) 2421942 28833 85.88 255969 3047 9.08 142114 1692 5.04

statistics

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TABLE 20: TENOR WISE ACTIVITY - CENTRAL GOVERNMENT DATED SECURITIES Percent

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 Jul-18 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 0.14 0.14

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 2.11 2.37

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 3.32 4.25

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 1.47 1.92

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 12.43 10.59

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 1.32 1.58

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 0.84 0.87

2025 - - - - - 0.16 1.30 0.30 0.05 0.01 10.78 13.02 0.16 20.27 3.87 2.44 0.51 0.38

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 3.05 2.14

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 0.42 5.86

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 59.48 51.54

2029 - - - - - - - - - 0.00 0.00 0.00 0.00 2.97 13.50 20.05 0.07 0.19

2030 - - - - - - - - - 0.95 3.88 2.06 1.14 13.39 21.61 2.76 0.38 0.59

2031 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 12.39 11.97 16.07

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 0.27 0.24

2033 - - - - - - - - - 0.00 0.00 0.00 0.18 0.71 0.26 0.85 0.40 0.21

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 0.20 0.22

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 0.45 0.21

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 0.20 0.07

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 0.00 0.02

2041 - - - - - - - - - 0.36 1.34 0.58 0.14 0.11 0.07 0.06 0.00 0.02

2042 - - - - - - - - - - 0.25 0.41 0.45 0.23 0.11 0.10 0.08 0.08

2043 - - - - - - - - - - - 0.05 0.61 0.23 0.13 0.04 0.05 0.04

2044 - - - - - - - - - - - - 0.19 0.69 0.39 0.35 0.07 0.06

2045 - - - - - - - - - - - - - 0.52 0.34 0.16 0.13 0.04

2046 - - - - - - - - - - - - - - 0.10 0.16 0.20 0.11

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 0.00 0.06

2052 - - - - - - - - - - - - - - - - 0.00 0.00

2053 - - - - - - - - - - - - - - - - 0.00 0.00

2054 - - - - - - - - - - - - - - - - 0.00 0.00

2055 - - - - - - - - - - - - - 0.02 0.07 0.02 0.41 0.13

Total 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100.00 100

statistics

93

CC

ILM

on

thly

Ne

wsl

ett

er

Au

gu

st 2

01

8

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

TABLE 22: NETTING FACTOR: SECURITIES Amount Crore`

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

2018-19 (Upto July 2018) 11702074 2107487 81.99


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

2018-19 (Upto July 2018) 11702043 4631809 60.42

statistics

94


TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH

Sr.No.

Security ISINMaturity

Date

Daystraded(in last

12months)

Valuetraded inlast 12months(FV in

` Crore)

Percentshare inlast 12monthsValue

DaysTraded(July,2018)

Value forJuly - 2018

(FV in` Crore)

Percentshare in

(July2018)

Outstanding(FV in

` Crore)

TurnoverRatio*

Average DailyTrading Value

in last 12months (FVin ` Crore)

1 7.17% GS 2028 IN0020170174 46760 138 1655938 20 22 333371 59 64000 521 12000

2 6.68% GS 2031 IN0020170042 48108 223 1606671 19 22 67019 12 93252 72 7205

3 6.84% GS 2022 IN0020160050 44914 244 275415 3 22 61568 11 99000 62 1129

4 7.59% GS 2026 IN0020150093 46033 215 52372 1 22 15275 3 104000 15 244

5 6.05% GS 2019 IN0020080068 43498 210 58224 1 22 7927 1 53000 15 277

6 8.12% GS 2020 IN0020120054 44175 216 48241 1 19 5712 1 76000 8 223

7 6.65% GS 2020 IN0020180017 43930 62 12249 0 21 4867 1 15000 32 198

8 8.20% GS 2022 IN0020060037 44607 238 88203 1 22 4650 1 57632 8 371

9 7.37% GS 2023 IN0020180025 45032 62 12131 0 21 4171 1 11000 38 196

10 7.80% GS 2021 IN0020110022 44297 240 50299 1 21 3676 1 66000 6 210

11 7.80% GS 2020 IN0020100015 43954 233 63314 1 20 3101 1 75000 4 272

12 7.28% GS 2019 IN0020130038 43619 227 22671 0 18 2923 1 53000 6 100

13 7.35% GS 2024 IN0020090034 45465 236 89803 1 21 2762 0 90168 3 381

14 7.40% GS 2035 IN0020050012 49561 135 8745 0 10 2513 0 67245 4 65

15 7.16% GS 2023 IN0020130012 45066 240 98257 1 21 2177 0 77100 3 409

16 7.72% GS 2055 IN0020150077 56913 53 3970 0 9 2151 0 61000 4 75

17 6.57% GS 2033 IN0020160100 48918 201 32339 0 14 2056 0 58000 4 161

18 8.15% GS 2022 IN0020120013 44723 235 81610 1 20 1817 0 83000 2 347

19 8.27% GS 2020 IN0020140029 43991 243 50899 1 22 1794 0 73000 2 209

20 7.94% GS 2021 IN0020060318 44340 193 28957 0 20 1761 0 49425 4 150

21 6.79% GS 2027 IN0020170026 46522 229 2330798 28 13 1572 0 121000 1 10178

22 7.72% GS 2025 IN0020150036 45802 233 99530 1 17 1561 0 86000 2 427

23 8.79% GS 2021 IN0020110030 44508 130 23874 0 12 1359 0 83000 2 184

24 6.35% GS 2020 IN0020020171 43832 244 54831 1 22 1326 0 61000 2 225

25 8.20% GS 2025 IN0020120047 45924 184 33820 0 14 1291 0 90000 1 184

26 8.40% GS 2024 IN0020140045 45501 184 35059 0 16 1203 0 90000 1 191

27 8.33% GS 2036 IN0020060045 49833 79 5169 0 14 1118 0 86000 1 65

statis

tic

s

95


TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH (Contd.)

Sr.No.


Date

Daystraded(in last

12months)


` Crore)




(FV in` Crore)

Percentshare in

(July2018)

Outstanding(FV in

` Crore)

TurnoverRatio*



28 7.06% GS 2046 IN0020160068 53610 149 7696 0 17 1104 0 69000 2 52

29 8.97% GS 2030 IN0020110055 47822 130 16158 0 10 924 0 90000 1 124

30 8.60% GS 2028 IN0020140011 46906 175 32091 0 11 761 0 84000 1 183

31 8.15% GS 2026 IN0020140060 46350 194 40820 0 10 751 0 86489 1 210

32 7.68% GS 2023 IN0020150010 45275 213 76243 1 11 751 0 88132 1 358

33 8.19% GS 2020 IN0020110071 43846 121 19232 0 12 739 0 74000 1 159

34 8.13% GS 2045 IN0020150044 53135 146 12158 0 16 734 0 81000 1 83

35 7.61% GS 2030 IN0020160019 47612 203 27923 0 12 703 0 85000 1 138

36 9.15% GS 2024 IN0020110048 45610 114 11230 0 9 699 0 92000 1 99

37 8.08% GS 2022 IN0020070028 44775 202 42150 1 18 685 0 68969 1 209

38 7.8%GS11APR2021P IN000421P017 44297 4 1700 0 1 680 0 - - 425

39 7.73% GS 2034 IN0020150051 49297 221 39610 0 21 678 0 100000 1 179

40 5.69% GS 2018 IN0020030063 43368 111 12261 0 5 640 0 16130 4 110

41 8.33% GS 2026 IN0020120039 46212 178 34415 0 5 628 0 90000 1 193

42 6.90% GS 2019 IN0020090042 43659 140 23242 0 21 584 0 45000 1 166

43 8.79%GS08NOV2021P IN001121P012 44508 6 1140 0 5 550 0 - - 190

44 8.35% GS 2022 IN0020020072 44695 106 6312 0 8 542 0 77000 1 60

45 11.60% GS 2020 IN0020000124 44192 12 1689 0 2 439 0 5000 9 141

46 7.95% GS 2032 IN0020020106 48454 110 8468 0 14 435 0 89000 0 77

47 11.6%GS27DEC2020P IN001220P012 44192 2 1385 0 1 435 0 - - 693

48 7.50% GS 2034 IN0020040039 49166 131 8044 0 11 432 0 90000 0 61

49 8.30% GS 2042 IN0020120062 52231 77 5659 0 3 430 0 104529 0 73

50 7.88% GS 2030 IN0020150028 47561 175 24308 0 13 396 0 89000 0 139

51 8.33% GS 2032 IN0020070077 48478 21 1090 0 7 385 0 1522 25 52

52 8.32% GS 2032 IN0020070044 48428 103 9841 0 10 377 0 89434 0 96

53 8.28% GS 2027 IN0020070069 46651 187 21334 0 15 369 0 89252 0 114

54 8.17% GS 2044 IN0020140078 52932 184 21393 0 10 366 0 86000 0 116

statis

tic

s

96



Sr.No.


Date

Daystraded(in last

12months)


` Crore)




(FV in` Crore)

Percentshare in

(July2018)

Outstanding(FV in

` Crore)

TurnoverRatio*



55 8.13% GS 2022 IN0020070051 44825 113 6141 0 12 350 0 70495 0 54

56 8.28% GS 2032 IN0020060086 48259 110 8783 0 8 326 0 90687 0 80

57 9.23% GS 2043 IN0020130079 52588 86 3205 0 9 280 0 79472 0 37

58 7.59% GS 2029 IN0020150069 47197 178 16762 0 9 267 0 96237 0 94

59 6.97% GS 2026 IN0020160035 46271 194 37639 0 8 250 0 91000 0 194

60 8.24% GS 2027 IN0020060078 46433 193 25910 0 9 220 0 93389 0 134

61 6.90% OMC SB 2026 IN0020089069 46057 39 4124 0 2 220 0 21942 1 106

62 8.26% GS 2027 IN0020070036 46601 130 5009 0 9 208 0 73427 0 39

63 FRB 2031 IN0020180041 48189 3 479 0 2 207 0 19000 1 160

64 8.24% GS 2033 IN0020140052 48893 132 12832 0 7 187 0 87275 0 97

65 8.08%GS02AUG2022P IN000822P016 44775 1 170 0 1 170 0 - - 170

66 7.72%GS26OCT2055P IN001055P012 56913 1 150 0 1 150 0 - - 150

67 6.30% GS 2023 IN0020030014 45025 81 2727 0 4 136 0 13000 1 34

68 6.79% GS 2029 IN0020160118 47478 184 765548 9 4 125 0 118801 0 4161

69 9.20% GS 2030 IN0020130053 47756 97 5617 0 7 110 0 61885 0 58

70 7.94%GS24MAY2021P IN000521P014 44340 3 1070 0 1 100 0 - - 357

71 10.03% GS 2019 IN0020010065 43686 21 270 0 4 90 0 6000 2 13

72 8.30% FERT SB 2023 IN0020079011 45267 19 100 0 1 60 0 3880 2 5

73 6.05% GS 2019 IN0020030048 43628 76 2704 0 4 41 0 11000 0 36

74 GS08NOV2019C IN001119C030 43777 5 50 0 4 40 0 - - 10

75 GS08MAY2019C IN000519C032 43593 5 50 0 4 40 0 - - 10

76 GS08NOV2018C IN001118C032 43412 5 50 0 4 40 0 - - 10

77 GS08MAY2021C IN000521C038 44324 5 50 0 4 40 0 - - 10

78 GS08MAY2020C IN000520C030 43959 5 50 0 4 40 0 - - 10

79 GS08NOV2020C IN001120C038 44143 5 50 0 4 40 0 - - 10

80 GS08NOV2021C IN001121C028 44508 5 50 0 4 40 0 - - 10

81 6.35% OMC SB 2024 IN0020089036 45649 11 573 0 1 35 0 22000 0 52

statis

tic

s

97



Sr.No.


Date

Daystraded(in last

12months)


` Crore)




(FV in` Crore)

Percentshare in

(July2018)

Outstanding(FV in

` Crore)

TurnoverRatio*



82 8.01% OMC SB 2023 IN0020060052 45275 12 114 0 2 32 0 4150 1 10

83 8.83% GS 2023 IN0020130061 45255 153 29487 0 2 32 0 83000 0 193

84 6.17% GS 2023 IN0020030055 45089 92 2103 0 3 31 0 14000 0 23

85 5.64% GS 2019 IN0020030097 43467 97 5338 0 4 30 0 10000 0 55

86 GS11OCT2019C IN001019C016 43749 2 66 0 1 27 0 - - 33

87 GS11APR2021C IN000421C015 44297 2 66 0 1 27 0 - - 33

88 GS11OCT2018C IN001018C018 43384 2 66 0 1 27 0 - - 33

89 GS11APR2019C IN000419C019 43566 1 27 0 1 27 0 - - 27

90 GS11APR2020C IN000420C017 43932 2 66 0 1 27 0 - - 33

91 GS11OCT2020C IN001020C014 44115 2 66 0 1 27 0 - - 33

92 GS27DEC2020C IN001220C028 44192 2 80 0 1 25 0 - - 40

93 GS27DEC2019C IN001219C020 43826 2 80 0 1 25 0 - - 40

94 GS27DEC2018C IN001218C022 43461 2 80 0 1 25 0 - - 40

95 GS27JUN2019C IN000619C022 43643 2 80 0 1 25 0 - - 40

96 GS27JUN2020C IN000620C020 44009 2 80 0 1 25 0 - - 40

97 GS15FEB2019C IN000219C013 43511 2 28 0 1 22 0 - - 14

98 GS02AUG2018C IN000818C020 43314 2 14 0 2 14 0 - - 7

99 8.30% GS 2040 IN0020100031 51319 99 7762 0 3 13 0 90000 0 78

100 7.95% FERT SB 2026 IN0020079037 46071 22 129 0 3 10 0 3551 0 6

101 FRB 2024 IN0020160084 45603 32 5289 0 1 10 0 116965 0 165

102 10.70% GS 2020 IN0020000025 43943 26 90 0 1 8 0 6000 0 3

103 GS02FEB2021C IN000221C027 44229 1 7 0 1 7 0 - - 7

104 GS02AUG2021C IN000821C024 44410 1 7 0 1 7 0 - - 7

105 GS02AUG2022C IN000822C014 44775 1 7 0 1 7 0 - - 7

106 GS02FEB2019C IN000219C021 43498 1 7 0 1 7 0 - - 7

107 GS02AUG2019C IN000819C028 43679 1 7 0 1 7 0 - - 7

108 GS02FEB2020C IN000220C029 43863 1 7 0 1 7 0 - - 7

statis

tic

s

98



Sr.No.


Date

Daystraded(in last

12months)


` Crore)




(FV in` Crore)

Percentshare in

(July2018)

Outstanding(FV in

` Crore)

TurnoverRatio*



109 GS02FEB2022C IN000222C025 44594 1 7 0 1 7 0 - - 7

110 GS02AUG2020C IN000820C026 44045 1 7 0 1 7 0 - - 7

111 GS26OCT2032C IN001032C019 48513 1 6 0 1 6 0 - - 6

112 GS26OCT2029C IN001029C015 47417 1 6 0 1 6 0 - - 6

113 GS26APR2021C IN000421C023 44312 1 6 0 1 6 0 - - 6

114 GS26APR2039C IN000439C017 50886 1 6 0 1 6 0 - - 6

115 GS26APR2051C IN000451C012 55269 1 6 0 1 6 0 - - 6

116 GS26OCT2037C IN001037C018 50339 1 6 0 1 6 0 - - 6

117 GS26APR2019C IN000419C035 43581 1 6 0 1 6 0 - - 6

118 GS26OCT2054C IN001054C013 56548 1 6 0 1 6 0 - - 6

119 GS26OCT2022C IN001022C010 44860 1 6 0 1 6 0 - - 6

120 GS26OCT2044C IN001044C014 52896 1 6 0 1 6 0 - - 6

121 GS26OCT2026C IN001026C011 46321 1 6 0 1 6 0 - - 6

122 GS26OCT2027C IN001027C019 46686 1 6 0 1 6 0 - - 6

123 GS26APR2027C IN000427C012 46503 1 6 0 1 6 0 - - 6

124 GS26OCT2021C IN001021C012 44495 1 6 0 1 6 0 - - 6

125 GS26OCT2030C IN001030C013 47782 1 6 0 1 6 0 - - 6

126 GS26OCT2050C IN001050C011 55087 1 6 0 1 6 0 - - 6

127 GS26APR2033C IN000433C010 48695 1 6 0 1 6 0 - - 6

128 GS26OCT2043C IN001043C016 52530 1 6 0 1 6 0 - - 6

129 GS26APR2022C IN000422C013 44677 1 6 0 1 6 0 - - 6

130 GS26OCT2052C IN001052C017 55818 1 6 0 1 6 0 - - 6

131 GS26APR2020C IN000420C033 43947 1 6 0 1 6 0 - - 6

132 GS15AUG2018C IN000818C012 43327 3 34 0 1 6 0 - - 11

133 GS26OCT2028C IN001028C017 47052 1 6 0 1 6 0 - - 6

134 GS26OCT2045C IN001045C011 53261 1 6 0 1 6 0 - - 6

135 GS26OCT2020C IN001020C022 44130 1 6 0 1 6 0 - - 6

statis

tic

s

99



Sr.No.


Date

Daystraded(in last

12months)


` Crore)




(FV in` Crore)

Percentshare in

(July2018)

Outstanding(FV in

` Crore)

TurnoverRatio*



136 GS26APR2045C IN000445C014 53078 1 6 0 1 6 0 - - 6

137 GS26APR2046C IN000446C012 53443 1 6 0 1 6 0 - - 6

138 GS26APR2041C IN000441C013 51617 1 6 0 1 6 0 - - 6

139 GS26APR2031C IN000431C014 47964 1 6 0 1 6 0 - - 6

140 GS26APR2055C IN000455C013 56730 1 6 0 1 6 0 - - 6

141 GS26OCT2019C IN001019C032 43764 1 6 0 1 6 0 - - 6

142 GS26OCT2046C IN001046C019 53626 1 6 0 1 6 0 - - 6

143 GS26OCT2024C IN001024C016 45591 1 6 0 1 6 0 - - 6

144 GS26OCT2031C IN001031C011 48147 1 6 0 1 6 0 - - 6

145 GS26OCT2049C IN001049C013 54722 1 6 0 1 6 0 - - 6

146 GS26APR2025C IN000425C016 45773 1 6 0 1 6 0 - - 6

147 GS26OCT2025C IN001025C013 45956 1 6 0 1 6 0 - - 6

148 GS26OCT2053C IN001053C015 56183 1 6 0 1 6 0 - - 6

149 GS26APR2042C IN000442C011 51982 1 6 0 1 6 0 - - 6

150 GS26APR2040C IN000440C015 51252 1 6 0 1 6 0 - - 6

151 GS26APR2032C IN000432C012 48330 1 6 0 1 6 0 - - 6

152 GS26APR2054C IN000454C016 56365 1 6 0 1 6 0 - - 6

153 GS26OCT2035C IN001035C012 49608 1 6 0 1 6 0 - - 6

154 GS26APR2023C IN000423C011 45042 1 6 0 1 6 0 - - 6

155 GS26APR2029C IN000429C018 47234 1 6 0 1 6 0 - - 6

156 GS26OCT2023C IN001023C018 45225 1 6 0 1 6 0 - - 6

157 GS26OCT2047C IN001047C017 53991 1 6 0 1 6 0 - - 6

158 GS26APR2026C IN000426C014 46138 1 6 0 1 6 0 - - 6

159 GS26APR2035C IN000435C015 49425 1 6 0 1 6 0 - - 6

160 GS26APR2052C IN000452C010 55635 1 6 0 1 6 0 - - 6

161 GS26OCT2038C IN001038C016 50704 1 6 0 1 6 0 - - 6

162 GS26OCT2018C IN001018C034 43399 1 6 0 1 6 0 - - 6

statis

tic

s

100



Sr.No.


Date

Daystraded(in last

12months)


` Crore)




(FV in` Crore)

Percentshare in

(July2018)

Outstanding(FV in

` Crore)

TurnoverRatio*



163 GS26OCT2041C IN001041C010 51800 1 6 0 1 6 0 - - 6

164 GS26APR2047C IN000447C010 53808 1 6 0 1 6 0 - - 6

165 GS26APR2053C IN000453C018 56000 1 6 0 1 6 0 - - 6

166 GS26OCT2033C IN001033C017 48878 1 6 0 1 6 0 - - 6

167 GS26APR2037C IN000437C011 50156 1 6 0 1 6 0 - - 6

168 GS26OCT2040C IN001040C012 51435 1 6 0 1 6 0 - - 6

169 GS26APR2049C IN000449C016 54539 1 6 0 1 6 0 - - 6

170 GS26OCT2039C IN001039C014 51069 1 6 0 1 6 0 - - 6

171 GS26OCT2051C IN001051C019 55452 1 6 0 1 6 0 - - 6

172 GS26OCT2048C IN001048C015 54357 1 6 0 1 6 0 - - 6

173 GS26APR2024C IN000424C019 45408 1 6 0 1 6 0 - - 6

174 GS26APR2036C IN000436C013 49791 1 6 0 1 6 0 - - 6

175 GS26APR2030C IN000430C016 47599 1 6 0 1 6 0 - - 6

176 GS26OCT2034C IN001034C015 49243 1 6 0 1 6 0 - - 6

177 GS26APR2044C IN000444C017 52713 1 6 0 1 6 0 - - 6

178 GS26OCT2036C IN001036C010 49974 1 6 0 1 6 0 - - 6

179 GS26OCT2042C IN001042C018 52165 1 6 0 1 6 0 - - 6

180 GS26OCT2055C IN001055C010 56913 1 6 0 1 6 0 - - 6

181 GS26APR2043C IN000443C019 52347 1 6 0 1 6 0 - - 6

182 GS26APR2028C IN000428C010 46869 1 6 0 1 6 0 - - 6

183 GS26APR2034C IN000434C018 49060 1 6 0 1 6 0 - - 6

184 GS26APR2038C IN000438C019 50521 1 6 0 1 6 0 - - 6

185 GS26APR2050C IN000450C014 54904 1 6 0 1 6 0 - - 6

186 GS26APR2048C IN000448C018 54174 1 6 0 1 6 0 - - 6

187 10.25% GS 2021 IN0020010040 44346 41 369 0 1 5 0 26213 0 9

188 GS24NOV2018C IN001118C024 43428 3 42 0 1 4 0 - - 14

189 GS24MAY2019C IN000519C024 43609 3 42 0 1 4 0 - - 14

statis

tic

s

101



Sr.No.


Date

Daystraded(in last

12months)


` Crore)




(FV in` Crore)

Percentshare in

(July2018)

Outstanding(FV in

` Crore)

TurnoverRatio*



190 GS24MAY2021C IN000521C020 44340 3 42 0 1 4 0 - - 14

191 GS24NOV2019C IN001119C022 43793 3 42 0 1 4 0 - - 14

192 GS24MAY2020C IN000520C022 43975 3 42 0 1 4 0 - - 14

193 6.01% GS 2028 IN0020020247 46837 53 348 0 2 4 0 15000 0 7

194 GS24NOV2020C IN001120C020 44159 3 42 0 1 4 0 - - 14

195 10.18% GS 2026 IN0020010081 46276 13 26 0 2 2 0 15000 0 2

196 6.62% GS 2051 IN0020160092 55485 129 6808 0 2 2 0 55000 0 53

197 5.87% GS 2022 IN0020039031 44801 8 69 0 1 1 0 11000 0 9

198 8.23% FCI SB 2027 IN0020060029 46430 15 28 0 2 0 0 6200 0 2

199 8.15% FCI SB 2022 IN0020060110 44850 28 113 0 2 0 0 5000 0 4

200 8.20% OMC SB 2024 IN0020060060 45334 11 126 0 1 0 0 5000 0 11

201 8.20% OMC SB 2023 IN0020089010 45240 16 13 0 1 0 0 22000 0 1

202 8.03% FCI SB 2024 IN0020060011 45641 14 79 0 1 0 0 5000 0 6

203Other Securities Traded DuringThe Past 12 Months But NotTraded During The Month

28374 0 0 0 0 - - -

Total 8419400 100 1044 561789 100

*Turnover Ratio has been calculated as trading value as a percentage of of respective security.outstanding

statis

tic

s

102

CC

ILM

on

thly

Ne

wsl

ett

er

TABLE 24: MARKET SHARE OF TOP 'N' SECURITIES Percent

statistics

103

Au

gu

st 2

01

8

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

2018-19 (Upto July 2018) 81.73 87.90 91.18 93.43

CC

ILM

on

thly

Ne

wsl

ett

er

Au

gu

st 2

01

8

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

2018-19 (Upto July 2018) 31.72 48.18 57.64 64.75

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TRADING ANALYSIS

TABLE 27: TRADING PLATFORM ANALYSIS OF OUTRIGHT TRADES* Amount Crore`

*as on trade date

TABLE 26: MARKET SHARE OF TOP FIVE MEMBERS (CATEGORYWISE) Percent

CategoriesCooperative

BanksForeignBanks

Public SectorBanks

PrivateSector Banks

MutualFunds

PrimaryDealers

No of Members 54 38 21 20 26 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

2018-19 (Upto July 2018) 64.13 76.52 56.65 85.76 56.98 90.84

OTC NDS-OM TotalPeriod

Trades % Share Value % Share Trades % Share Value % 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

2018-19 (UptoJuly 2018)

17030 6.58 637761 22.72 241913 93.42 2169065 77.28 258943 2806826

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TABLE 29: MARKET SHARE - PROPRIETARY TRADES* Percent

* Trade Data

TABLE 28: 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 - -

2018-19 (Upto July 2018) 18 265

Buy SellCategory

Trades Value Trades Value

Co-operative Banks 5.17 2.72 5.17 2.71

Financial Institutions 0.16 0.12 0.14 0.09

Foreign Banks 16.12 18.74 17.79 20.83

Insurance Companies 1.31 2.12 1.06 1.24

Mutual Funds 6.69 10.47 8.18 9.66

Others 4.22 2.81 3.53 2.00

Primary Dealers 18.15 15.83 19.90 19.05

Private Sector Banks 20.68 19.89 18.63 21.46

Provident Funds 0.26 0.94 0.00 0.00

Public Sector Banks 18.73 17.23 19.20 16.41

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TABLE 30: MARKET SHARE - CONSTITUENT TRADES* Percent

*Trade data

PercentTABLE 31: TURNOVER RATIO

TABLE 32: NET PROPRIETARY TRADING IN OUTRIGHT MARKET Percent

Current Month Previous Month 3 Months 6 Months 12 Months

0.97% 1.03% 1.58% 1.36% 2.25%

Buy SellConstituent Category


Banks 0.27 0.49 0.38 0.41

Co-operative Banks 1.81 0.77 1.34 0.63

Corporates 0.00 0.00 3.55 3.40

FIIs 0.19 1.07 0.22 1.16

Insurance Companies 1.05 1.46 0.50 0.66

Mutual Funds 0.22 0.22 0.23 0.15

Finance Cos. 0.01 0.07 0.00 0.01

Others 3.83 4.42 0.01 0.01

Provident Funds 1.13 0.64 0.18 0.11

DateForeignBanks

MutualFunds

OthersPrimaryDealers

PrivateSector Banks

PublicSector Banks

2-Jul-18 -13.68 18.89 -0.68 -2.66 -1.74 0.14

3-Jul-18 -7.25 3.60 1.52 -3.98 3.27 1.89

4-Jul-18 1.75 4.70 1.67 -4.91 -6.07 -1.28

5-Jul-18 -3.77 -1.75 1.56 -2.58 -5.49 7.37

6-Jul-18 -3.20 1.78 3.65 -4.10 -4.90 3.64

9-Jul-18 -9.29 -1.72 1.11 -2.54 0.80 7.22

10-Jul-18 -1.78 -7.37 3.38 -2.81 -1.67 6.45

11-Jul-18 0.85 27.70 2.18 -13.10 -17.60 -1.19

12-Jul-18 7.08 -0.90 -2.70 1.96 1.39 -5.61

13-Jul-18 -11.17 -0.36 0.82 -1.87 3.24 2.98

16-Jul-18 -1.65 -2.17 0.73 2.56 -1.91 -1.34

17-Jul-18 -5.60 2.11 4.50 0.07 -0.11 -1.11

18-Jul-18 -1.54 2.78 2.05 -3.43 -3.62 0.37

19-Jul-18 1.01 -4.27 2.21 2.23 -4.28 2.45

20-Jul-18 -4.34 -2.48 5.77 -5.98 0.27 2.82

23-Jul-18 -3.78 -6.86 0.56 -1.46 -0.15 6.49

24-Jul-18 6.64 -3.40 3.69 -8.65 3.79 1.22

25-Jul-18 -0.06 -7.90 3.24 -14.17 0.74 8.20

26-Jul-18 0.36 -2.21 0.32 0.67 0.83 -2.51

27-Jul-18 -4.04 -0.46 4.13 -13.40 3.50 4.79

30-Jul-18 -4.27 -8.13 9.88 -3.42 5.05 -4.26

31-Jul-18 0.68 2.44 4.01 0.16 -2.81 -4.02

Net Activity in Jul-18 -2.09 1.13 2.35 -3.23 -1.58 0.81

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Buy Side Sell SideDate

TradesVolume(` Cr)

% Share in TotalOutright Volumes

TradesVolume(` Cr)

% Share in TotalOutright Volumes

2-Jul-18 180 1732.8 9.31 108 1784.7 9.59

3-Jul-18 117 1425.3 7.07 138 1231.7 6.11

4-Jul-18 230 3099.4 8.21 198 1538.3 4.07

5-Jul-18 217 2426.3 12 155 1486.3 7.35

6-Jul-18 166 1735.7 8.78 139 1117.3 5.65

9-Jul-18 126 1278.0 9.07 87 655.0 4.65

10-Jul-18 162 1393.5 7.74 82 709.6 3.94

11-Jul-18 199 1630.6 4.12 137 1171.6 2.96

12-Jul-18 259 2286.1 6.12 272 2735.5 7.33

13-Jul-18 396 6399.9 15.53 188 3776.0 9.16

16-Jul-18 251 2714.1 8.45 162 1499.9 4.67

17-Jul-18 368 3609.0 6.04 359 3517.6 5.89

18-Jul-18 355 4117.9 8.91 270 2556.2 5.53

19-Jul-18 280 3085.4 7.74 245 2824.9 7.09

20-Jul-18 183 3145.4 12.78 143 2176.9 8.84

23-Jul-18 253 3454.4 12.68 153 2035.7 7.47

24-Jul-18 212 2347.2 7.69 260 3347.6 10.96

25-Jul-18 338 3994.2 18.61 134 1857.3 8.65

26-Jul-18 375 3963.5 9.86 278 2940.5 7.32

27-Jul-18 205 2691.7 12.23 132 1485.5 6.75

30-Jul-18 186 3022.3 11.93 138 1718.9 6.79

31-Jul-18 135 1242.3 4.24 126 1376.5 4.7

Total Activity in Jul-18 5193 60794.8 9.14 3904 43543.7 6.55

TABLE 32A: CONSTITUENT ACTIVITY IN OUTRIGHT MARKET

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TABLE 33: TRADING SUMMARY Amount Crore`

*Amount in USD Million

CCIL Monthly Newsletter

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August 2018

Central Government SDL T-Bills Total Repo CBLO Forex*Date

Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value

2-Jul-18 1565 13776 57 424 73 4409 1695 18608 483 60633 1022 146736 12244 33087

3-Jul-18 1860 18157 104 1596 24 396 1988 20148 426 47620 911 132314 11121 28554

4-Jul-18 3358 32259 139 1340 116 4156 3613 37756 438 45851 916 135691

5-Jul-18 1634 15639 95 1303 95 3278 1824 20220 421 45034 868 123493 19416 37529

6-Jul-18 1723 17580 95 782 34 1397 1852 19759 619 95414 703 74537 8395 22360

7-Jul-18 0 0 129 10505

9-Jul-18 1412 12798 74 675 27 614 1513 14088 444 50801 873 116307 9490 24706

10-Jul-18 1591 15049 119 1851 32 1099 1742 17998 428 49584 934 117783 10439 23402

11-Jul-18 2466 20274 93 1026 137 18289 2696 39589 446 53554 891 119626 7343 20157

12-Jul-18 3612 34222 134 1035 74 2080 3820 37337 451 50772 887 128744 7040 19460

13-Jul-18 3352 37952 134 1892 31 1378 3517 41221 468 53804 888 124416 8672 20615

16-Jul-18 3292 29694 96 1323 43 1086 3431 32103 424 46146 934 132249 9102 21489

17-Jul-18 5383 53995 217 4213 41 1516 5641 59725 424 48202 887 120033 8384 18472

18-Jul-18 3833 36816 241 2475 128 6944 4202 46234 426 44276 869 124618 7306 17476

19-Jul-18 2878 31971 148 1287 122 6593 3148 39851 424 42842 849 117349 9075 19993

20-Jul-18 2050 21859 80 1307 38 1449 2168 24614 506 72795 809 86367 9157 20625

21-Jul-18 0 0 126 8082

23-Jul-18 2440 23443 115 2324 36 1483 2591 27250 408 42132 894 124888 10929 25387

24-Jul-18 2728 25975 112 2087 60 2469 2900 30532 424 43961 886 118519 9400 22179

25-Jul-18 1812 15005 134 1324 139 5135 2085 21464 440 46369 891 128686 7279 19129

26-Jul-18 3789 36463 137 1292 99 2441 4025 40196 441 54878 942 126770 8867 21028

27-Jul-18 1909 18953 57 1291 41 1757 2007 22001 478 59019 886 125684 7789 20825

30-Jul-18 1821 22108 71 480 53 2740 1945 25328 440 53250 870 122692 7973 24100

31-Jul-18 2408 26766 129 1824 19 682 2556 29271 467 55585 945 137941 15712 99250

Total 56916 560753 2581 33149 1462 71389 60959 665291 9926 1162523 19810 2704028 205133 559823

Average 2587 25489 117 1507 66 3245 2771 30240 414 48438 825 112668 9768 26658

Market Share (%) 93.37 84.29 4.23 4.98 2.40 10.73


TABLE 34: G-SEC TRADING ANALYSIS Amount Crore`

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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

2-Jul-18 74 31 2393 17.37 1491 42 11383 82.63 14 10 530 3.85 1565 48 13776

3-Jul-18 84 36 2515 13.85 1776 32 15642 86.15 19 10 865 4.76 1860 47 18157

4-Jul-18 102 45 4375 13.56 3256 42 27884 86.44 22 14 1620 5.02 3358 64 32259

5-Jul-18 72 27 2638 16.87 1562 35 13001 83.13 22 15 1275 8.15 1634 42 15639

6-Jul-18 116 34 3248 18.47 1607 38 14332 81.53 14 5 445 2.53 1723 51 17580

9-Jul-18 50 29 1483 11.58 1362 36 11316 88.42 5 5 65 0.51 1412 52 12798

10-Jul-18 50 15 2101 13.96 1541 29 12948 86.04 20 8 1025 6.81 1591 35 15049

11-Jul-18 78 29 2065 10.18 2388 36 18209 89.82 12 5 441 2.18 2466 47 20274

12-Jul-18 112 33 3836 11.21 3500 52 30387 88.79 30 15 1739 5.08 3612 55 34222

13-Jul-18 171 38 9567 25.21 3181 34 28385 74.79 13 4 569 1.50 3352 55 37952

16-Jul-18 65 23 2178 7.33 3227 33 27516 92.67 8 7 268 0.90 3292 56 29694

17-Jul-18 122 26 4382 8.12 5261 42 49613 91.88 27 12 1710 3.17 5383 68 53995

18-Jul-18 105 27 2817 7.65 3728 27 33998 92.35 23 12 779 2.12 3833 54 36816

19-Jul-18 66 33 2487 7.78 2812 26 29484 92.22 13 8 795 2.49 2878 59 31971

20-Jul-18 110 15 4212 19.27 1940 22 17647 80.73 8 6 195 0.89 2050 37 21859

23-Jul-18 79 21 2907 12.40 2361 36 20536 87.60 14 6 837 3.57 2440 38 23443

24-Jul-18 75 28 3271 12.59 2653 33 22705 87.41 17 14 1300 5.00 2728 38 25975

25-Jul-18 128 100 2118 14.11 1684 29 12888 85.89 17 9 570 3.80 1812 115 15005

26-Jul-18 58 21 2096 5.75 3731 37 34366 94.25 22 13 1290 3.54 3789 43 36463

27-Jul-18 110 19 3470 18.31 1799 30 15483 81.69 14 7 805 4.25 1909 33 18953

30-Jul-18 92 29 3931 17.78 1729 40 18177 82.22 30 13 1399 6.33 1821 43 22108

31-Jul-18 76 26 2673 9.99 2332 35 24093 90.01 14 6 1252 4.68 2408 43 26766

Total 1995 70761 54921 489992 378 19774 56916 560753

Average 91 31 3216 2496 35 22272 17 9 899 2587 51 25489

PercentMarket Share

12.62 87.38 3.53

August 2018


TABLE 35: T-BILL TRADING ANALYSIS Amount Crore`

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August 2018

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

2-Jul-18 13 9 399 9.04 60 10 4010 90.96 2 2 275 6.24 73 15 4409

3-Jul-18 8 5 57 14.31 16 7 339 85.69 0 0 0 0.00 24 10 396

4-Jul-18 33 9 2110 50.78 83 17 2046 49.22 2 2 75 1.80 116 19 4156

5-Jul-18 25 10 992 30.24 70 14 2287 69.76 3 2 180 5.49 95 16 3278

6-Jul-18 23 7 1151 82.39 11 6 246 17.61 1 1 80 5.73 34 11 1397

9-Jul-18 9 8 200 32.58 18 6 414 67.42 2 2 115 18.73 27 13 614

10-Jul-18 10 6 753 68.54 22 9 346 31.46 1 1 312 28.43 32 12 1099

11-Jul-18 70 10 16587 90.69 67 13 1702 9.31 1 1 200 1.09 137 17 18289

12-Jul-18 22 10 728 35.01 52 11 1352 64.99 2 2 355 17.07 74 17 2080

13-Jul-18 8 4 553 40.11 23 9 825 59.89 0 0 0 0.00 31 9 1378

16-Jul-18 0 0 0 0.00 43 9 1086 100.00 0 0 0 0.00 43 9 1086

17-Jul-18 7 6 501 33.05 34 10 1015 66.95 1 1 100 6.60 41 16 1516

18-Jul-18 50 9 4614 66.44 78 13 2331 33.56 5 5 473 6.81 128 22 6944

19-Jul-18 60 15 4695 71.22 62 14 1898 28.78 10 2 1039 15.76 122 29 6593

20-Jul-18 12 5 638 44.07 26 10 810 55.93 5 2 410 28.30 38 15 1449

23-Jul-18 16 10 1133 76.40 20 8 350 23.60 1 1 170 11.46 36 15 1483

24-Jul-18 16 9 724 29.33 44 9 1745 70.67 3 2 275 11.14 60 13 2469

25-Jul-18 52 17 3344 65.13 87 17 1790 34.87 1 1 20 0.39 139 23 5135

26-Jul-18 31 17 587 24.05 68 13 1854 75.95 2 2 125 5.12 99 22 2441

27-Jul-18 6 3 527 29.96 35 10 1231 70.04 2 1 350 19.92 41 12 1757

30-Jul-18 24 10 1290 47.08 29 13 1450 52.92 2 2 400 14.60 53 16 2740

31-Jul-18 6 4 417 61.12 13 6 265 38.88 1 1 100 14.67 19 10 682

Total 501 41998 961 29390 47 5054 1462 71389

Average 23 8 1909 44 11 1336 2 2 230 66 16 3245

PercentMarket Share

58.83 41.17 7.08


TABLE 36: SDL TRADING ANALYSIS Amount Crore`

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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

2-Jul-18 36 18 315 74.46 21 10 108 25.54 0 0 0 0.00 57 23 424

3-Jul-18 67 21 1332 83.51 37 12 263 16.49 3 3 120 7.52 104 26 1596

4-Jul-18 62 21 894 66.68 77 16 447 33.32 12 9 392 29.27 139 33 1340

5-Jul-18 59 19 1046 80.27 36 18 257 19.73 15 14 265 20.34 95 35 1303

6-Jul-18 45 16 526 67.29 50 31 256 32.71 8 4 287 36.69 95 44 782

9-Jul-18 43 25 527 77.98 31 15 149 22.02 11 11 209 31.01 74 44 675

10-Jul-18 85 24 1605 86.75 34 12 245 13.25 2 2 40 2.16 119 30 1851

11-Jul-18 67 31 945 92.04 26 7 82 7.96 13 10 404 39.31 93 40 1026

12-Jul-18 89 45 688 66.48 45 18 347 33.52 3 3 85 8.21 134 54 1035

13-Jul-18 61 28 896 47.36 73 23 996 52.64 9 7 220 11.63 134 42 1892

16-Jul-18 67 36 931 70.41 29 15 391 29.59 0 0 0 0.00 96 51 1323

17-Jul-18 158 71 3945 93.64 59 32 268 6.36 12 10 141 3.36 217 103 4213

18-Jul-18 151 99 1614 65.23 90 60 860 34.77 7 7 266 10.74 241 159 2475

19-Jul-18 93 48 784 60.90 55 35 503 39.10 8 4 211 16.40 148 83 1287

20-Jul-18 50 31 902 69.02 30 18 405 30.98 8 7 190 14.54 80 49 1307

23-Jul-18 72 44 1645 70.77 43 23 679 29.23 3 2 35 1.51 115 55 2324

24-Jul-18 84 32 1932 92.59 28 16 155 7.41 3 3 25 1.20 112 44 2087

25-Jul-18 63 36 851 64.26 71 45 473 35.74 6 6 225 16.99 134 70 1324

26-Jul-18 72 32 697 53.99 65 27 594 46.01 5 4 290 22.45 137 49 1292

27-Jul-18 40 22 876 67.83 17 10 415 32.17 11 8 441 34.18 57 33 1291

30-Jul-18 37 20 218 45.29 34 18 263 54.71 3 3 75 15.62 71 29 480

31-Jul-18 99 25 1665 91.32 30 14 158 8.68 10 10 225 12.34 129 44 1824

Total 1600 24834 981 8315 152 4146 2581 33149

Average 73 34 1129 45 22 378 7 6 188 117 52 1507

PercentMarket Share

74.92 25.08 12.51

August 2018

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TABLE 3 : LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC)7 `

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Sr.No.

ISINDESC TradesValue(` Cr.)

MarketShare(% )

DaysTraded

Days Traded with 5trades or more per day

Days Traded with lessthan 5 trades per day

1 7.17% GS 2028 36863 330552 59.08 23 23 0

2 6.68% GS 2031 7561 66620 11.91 23 23 0

3 6.84% GS 2022 5505 62030 11.09 23 23 0

4 7.59% GS 2026 1414 14583 2.61 23 23 0

5 6.05% GS 2019 236 7656 1.37 23 18 5

6 8.12% GS 2020 223 5792 1.04 20 13 7

7 6.65% GS 2020 323 5130 0.92 22 18 4

8 8.20% GS 2022 321 4792 0.86 23 16 7

9 7.37% GS 2023 291 4371 0.78 22 13 9

10 7.80% GS 2021 206 3800 0.68 22 17 5

11 7.80% GS 2020 138 3580 0.64 19 12 7

12 7.28% GS 2019 86 3183 0.57 17 6 11

13 7.40% GS 2035 138 2981 0.53 6 5 1

14 8.27% GS 2020 169 2589 0.46 22 14 8

15 7.16% GS 2023 194 2420 0.43 20 13 7

16 7.35% GS 2024 247 2315 0.41 22 15 7

17 6.57% GS 2033 94 2020 0.36 11 5 6

18 8.15% GS 2022 176 2014 0.36 21 11 10

19 7.94% GS 2021 94 1761 0.31 21 8 13

20 7.72% GS 2055 46 1733 0.31 8 3 5

21 6.35% GS 2020 193 1550 0.28 22 13 9

22 7.72% GS 2025 87 1547 0.28 17 7 10

23 6.79% GS 2027 60 1390 0.25 13 4 9

24 8.79% GS 2021 38 1379 0.25 13 2 11

25 8.20% GS 2025 86 1290 0.23 11 5 6

26 8.40% GS 2024 97 1207 0.22 17 8 9

27 7.06% GS 2046 66 1103 0.20 17 4 13

28 8.33% GS 2036 51 1083 0.19 15 4 11

29 8.97% GS 2030 29 908 0.16 6 2 4

30 7.68% GS 2023 71 771 0.14 12 3 9

31 8.60% GS 2028 43 755 0.13 10 3 7

32 8.19% GS 2020 28 744 0.13 12 0 12

33 7.61% GS 2030 46 690 0.12 11 4 7

34 7.8%GS11APR2021P 2 680 0.12 1 0 1

35 8.13% GS 2045 37 667 0.12 11 3 8

36 8.08% GS 2022 48 661 0.12 17 1 16

37 5.69% GS 2018 16 640 0.11 5 1 4

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Sr.No.


MarketShare(% )

DaysTraded



38 8.33% GS 2026 19 613 0.11 6 1 5

39 6.90% GS 2019 52 609 0.11 21 3 18

40 8.15% GS 2026 59 600 0.11 10 4 6

41 8.79%GS08NOV2021P 5 550 0.10 5 0 5

42 8.35% GS 2022 13 540 0.10 6 0 6

43 7.73% GS 2034 55 515 0.09 14 4 10

44 9.15% GS 2024 26 510 0.09 8 1 7

45 11.6%GS27DEC2020P 2 435 0.08 1 0 1

46 11.60% GS 2020 2 435 0.08 1 0 1

47 7.88% GS 2030 23 405 0.07 11 0 11

48 8.30% GS 2042 12 402 0.07 3 1 2

49 8.13% GS 2022 20 385 0.07 11 0 11

50 8.33% GS 2032 28 385 0.07 8 2 6

51 7.50% GS 2034 21 381 0.07 4 2 2

52 8.32% GS 2032 24 350 0.06 8 1 7

53 9.23% GS 2043 26 350 0.06 9 2 7

54 7.95% GS 2032 25 339 0.06 13 0 13

55 8.17% GS 2044 20 325 0.06 7 0 7

56 8.28% GS 2027 21 311 0.06 7 1 6

57 8.28% GS 2032 14 299 0.05 6 1 5

58 6.97% GS 2026 8 232 0.04 6 0 6

59 6.90% OMC SB 2026 6 220 0.04 2 0 2

60 7.59% GS 2029 22 219 0.04 7 2 5

61 FRB 2031 4 207 0.04 2 0 2

62 8.24% GS 2027 23 206 0.04 9 1 8

63 8.26% GS 2027 21 191 0.03 7 1 6

64 8.83% GS 2041 6 180 0.03 1 1 0

65 8.08%GS02AUG2022P 1 170 0.03 1 0 1

66 7.72%GS26OCT2055P 1 150 0.03 1 0 1

67 8.24% GS 2033 12 141 0.03 4 1 3

68 10.03% GS 2019 14 124 0.02 6 0 6

69 6.79% GS 2029 10 105 0.02 3 1 2

70 7.94%GS24MAY2021P 1 100 0.02 1 0 1

71 6.30% GS 2023 10 95 0.02 2 1 1

72 9.20% GS 2030 5 83 0.01 2 0 2

73 6.17% GS 2023 7 60 0.01 2 1 1

74 8.30% FERT SB 2023 3 60 0.01 1 0 1

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Sr.No.


MarketShare(% )

DaysTraded



75 6.05% GS 2019 5 41 0.01 4 0 4

76 GS08MAY2019C 3 37 0.01 3 0 3

77 GS08MAY2020C 3 37 0.01 3 0 3

78 GS08MAY2021C 3 37 0.01 3 0 3

79 GS08NOV2018C 3 37 0.01 3 0 3

80 GS08NOV2019C 3 37 0.01 3 0 3

81 GS08NOV2020C 3 37 0.01 3 0 3

82 GS08NOV2021C 3 37 0.01 3 0 3

83 6.35% OMC SB 2024 2 35 0.01 1 0 1

84 8.83% GS 2023 2 32 0.01 2 0 2

85 5.64% GS 2019 5 30 0.01 3 0 3

86 GS11APR2019C 1 27 0.00 1 0 1

87 GS11APR2020C 1 27 0.00 1 0 1

88 GS11APR2021C 1 27 0.00 1 0 1

89 GS11OCT2018C 1 27 0.00 1 0 1

90 GS11OCT2019C 1 27 0.00 1 0 1

91 GS11OCT2020C 1 27 0.00 1 0 1

92 GS27DEC2018C 2 25 0.00 1 0 1

93 GS27DEC2019C 2 25 0.00 1 0 1

94 GS27DEC2020C 2 25 0.00 1 0 1

95 GS27JUN2019C 2 25 0.00 1 0 1

96 GS27JUN2020C 2 25 0.00 1 0 1

97 8.01% OMC SB 2023 2 25 0.00 1 0 1

98 GS02AUG2018C 2 14 0.00 2 0 2

99 8.30% GS 2040 1 10 0.00 1 0 1

100 FRB 2024 1 10 0.00 1 0 1

101 GS02AUG2019C 1 7 0.00 1 0 1

102 GS02AUG2020C 1 7 0.00 1 0 1

103 GS02AUG2021C 1 7 0.00 1 0 1

104 GS02AUG2022C 1 7 0.00 1 0 1

105 GS02FEB2019C 1 7 0.00 1 0 1

106 GS02FEB2020C 1 7 0.00 1 0 1

107 GS02FEB2021C 1 7 0.00 1 0 1

108 GS02FEB2022C 1 7 0.00 1 0 1

109 GS15AUG2018C 1 6 0.00 1 0 1

110 GS26APR2019C 1 6 0.00 1 0 1

111 GS26APR2020C 1 6 0.00 1 0 1

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116


Sr.No.


MarketShare(% )

DaysTraded



112 GS26APR2021C 1 6 0.00 1 0 1

113 GS26APR2022C 1 6 0.00 1 0 1

114 GS26APR2023C 1 6 0.00 1 0 1

115 GS26APR2024C 1 6 0.00 1 0 1

116 GS26APR2025C 1 6 0.00 1 0 1

117 GS26APR2026C 1 6 0.00 1 0 1

118 GS26APR2027C 1 6 0.00 1 0 1

119 GS26APR2028C 1 6 0.00 1 0 1

120 GS26APR2029C 1 6 0.00 1 0 1

121 GS26APR2030C 1 6 0.00 1 0 1

122 GS26APR2031C 1 6 0.00 1 0 1

123 GS26APR2032C 1 6 0.00 1 0 1

124 GS26APR2033C 1 6 0.00 1 0 1

125 GS26APR2034C 1 6 0.00 1 0 1

126 GS26APR2035C 1 6 0.00 1 0 1

127 GS26APR2036C 1 6 0.00 1 0 1

128 GS26APR2037C 1 6 0.00 1 0 1

129 GS26APR2038C 1 6 0.00 1 0 1

130 GS26APR2039C 1 6 0.00 1 0 1

131 GS26APR2040C 1 6 0.00 1 0 1

132 GS26APR2041C 1 6 0.00 1 0 1

133 GS26APR2042C 1 6 0.00 1 0 1

134 GS26APR2043C 1 6 0.00 1 0 1

135 GS26APR2044C 1 6 0.00 1 0 1

136 GS26APR2045C 1 6 0.00 1 0 1

137 GS26APR2046C 1 6 0.00 1 0 1

138 GS26APR2047C 1 6 0.00 1 0 1

139 GS26APR2048C 1 6 0.00 1 0 1

140 GS26APR2049C 1 6 0.00 1 0 1

141 GS26APR2050C 1 6 0.00 1 0 1

142 GS26APR2051C 1 6 0.00 1 0 1

143 GS26APR2052C 1 6 0.00 1 0 1

144 GS26APR2053C 1 6 0.00 1 0 1

145 GS26APR2054C 1 6 0.00 1 0 1

146 GS26APR2055C 1 6 0.00 1 0 1

147 GS26OCT2018C 1 6 0.00 1 0 1

148 GS26OCT2019C 1 6 0.00 1 0 1

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MarketShare(% )

DaysTraded



149 GS26OCT2020C 1 6 0.00 1 0 1

150 GS26OCT2021C 1 6 0.00 1 0 1

151 GS26OCT2022C 1 6 0.00 1 0 1

152 GS26OCT2023C 1 6 0.00 1 0 1

153 GS26OCT2024C 1 6 0.00 1 0 1

154 GS26OCT2025C 1 6 0.00 1 0 1

155 GS26OCT2026C 1 6 0.00 1 0 1

156 GS26OCT2027C 1 6 0.00 1 0 1

157 GS26OCT2028C 1 6 0.00 1 0 1

158 GS26OCT2029C 1 6 0.00 1 0 1

159 GS26OCT2030C 1 6 0.00 1 0 1

160 GS26OCT2031C 1 6 0.00 1 0 1

161 GS26OCT2032C 1 6 0.00 1 0 1

162 GS26OCT2033C 1 6 0.00 1 0 1

163 GS26OCT2034C 1 6 0.00 1 0 1

164 GS26OCT2035C 1 6 0.00 1 0 1

165 GS26OCT2036C 1 6 0.00 1 0 1

166 GS26OCT2037C 1 6 0.00 1 0 1

167 GS26OCT2038C 1 6 0.00 1 0 1

168 GS26OCT2039C 1 6 0.00 1 0 1

169 GS26OCT2040C 1 6 0.00 1 0 1

170 GS26OCT2041C 1 6 0.00 1 0 1

171 GS26OCT2042C 1 6 0.00 1 0 1

172 GS26OCT2043C 1 6 0.00 1 0 1

173 GS26OCT2044C 1 6 0.00 1 0 1

174 GS26OCT2045C 1 6 0.00 1 0 1

175 GS26OCT2046C 1 6 0.00 1 0 1

176 GS26OCT2047C 1 6 0.00 1 0 1

177 GS26OCT2048C 1 6 0.00 1 0 1

178 GS26OCT2049C 1 6 0.00 1 0 1

179 GS26OCT2050C 1 6 0.00 1 0 1

180 GS26OCT2051C 1 6 0.00 1 0 1

181 GS26OCT2052C 1 6 0.00 1 0 1

182 GS26OCT2053C 1 6 0.00 1 0 1

183 GS26OCT2054C 1 6 0.00 1 0 1

184 GS26OCT2055C 1 6 0.00 1 0 1

56085 559501 100.00

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TABLE 38: LIQUIDITY DISTRIBUTION (G-SEC)

118

5 or more Trades Per Day Less than 5 Trades Per DaySr.No. ISINDESC

DaysTraded

TradesValue(` Cr.)

ISINDESCDays

TradedTrades

Value(` Cr.)

1 7.17% GS 2028 23 36863 330552 6.90% GS 2019 18 31 459

2 6.68% GS 2031 23 7561 66620 8.08% GS 2022 16 40 581

3 6.84% GS 2022 23 5505 62030 7.94% GS 2021 13 38 535

4 7.59% GS 2026 23 1414 14583 7.06% GS 2046 13 29 349

5 6.05% GS 2019 18 223 7311 7.95% GS 2032 13 25 339

6 6.65% GS 2020 18 308 4950 8.19% GS 2020 12 28 744

7 7.80% GS 2021 17 196 3554 7.28% GS 2019 11 15 863

8 8.20% GS 2022 16 303 4527 8.33% GS 2036 11 20 603

9 7.35% GS 2024 15 231 2220 8.79% GS 2021 11 23 938

10 8.27% GS 2020 14 151 2425 7.88% GS 2030 11 23 405

11 8.12% GS 2020 13 205 5152 8.13% GS 2022 11 20 385

12 7.37% GS 2023 13 267 4090 8.15% GS 2022 10 23 327

13 7.16% GS 2023 13 174 2250 7.72% GS 2025 10 20 159

14 6.35% GS 2020 13 177 1215 7.73% GS 2034 10 21 235

15 7.80% GS 2020 12 121 3005 7.37% GS 2023 9 24 281

16 8.15% GS 2022 11 153 1687 6.35% GS 2020 9 16 335

17 7.94% GS 2021 8 56 1226 8.40% GS 2024 9 20 207

18 8.40% GS 2024 8 77 1000 6.79% GS 2027 9 17 390

19 7.72% GS 2025 7 67 1388 7.68% GS 2023 9 17 166

20 7.28% GS 2019 6 71 2320 8.27% GS 2020 8 18 164

21 7.40% GS 2035 5 137 2976 8.13% GS 2045 8 16 171

22 6.57% GS 2033 5 84 1950 8.24% GS 2027 8 14 126

23 8.20% GS 2025 5 74 1090 8.20% GS 2022 7 18 265

24 6.79% GS 2027 4 43 1000 7.35% GS 2024 7 16 95

25 7.06% GS 2046 4 37 754 8.12% GS 2020 7 18 640

26 8.33% GS 2036 4 31 480 7.16% GS 2023 7 20 170

27 7.61% GS 2030 4 33 475 7.80% GS 2020 7 17 575

28 8.15% GS 2026 4 51 440 7.61% GS 2030 7 13 215

29 7.73% GS 2034 4 34 280 8.60% GS 2028 7 17 370

30 7.72% GS 2055 3 34 1285 9.23% GS 2043 7 15 245

31 7.68% GS 2023 3 54 605 9.15% GS 2024 7 14 385

32 8.60% GS 2028 3 26 385 8.32% GS 2032 7 15 235

33 8.13% GS 2045 3 21 495 8.17% GS 2044 7 20 325

34 6.90% GS 2019 3 21 150 6.57% GS 2033 6 10 70

35 8.79% GS 2021 2 15 441 8.20% GS 2025 6 12 200

36 8.97% GS 2030 2 19 785 8.15% GS 2026 6 8 160

37 8.33% GS 2032 2 16 180 8.33% GS 2032 6 12 205

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TradesValue(` Cr.)

ISINDESCDays

TradedTrades

Value(` Cr.)

38 7.50% GS 2034 2 18 366 8.28% GS 2027 6 12 91

39 9.23% GS 2043 2 11 105 8.26% GS 2027 6 16 123

40 7.59% GS 2029 2 13 170 8.35% GS 2022 6 13 540

41 8.08% GS 2022 1 8 80 6.97% GS 2026 6 8 232

42 5.69% GS 2018 1 9 175 10.03% GS 2019 6 14 124

43 8.33% GS 2026 1 8 515 6.05% GS 2019 5 13 345

44 9.15% GS 2024 1 12 125 7.80% GS 2021 5 10 246

45 8.30% GS 2042 1 10 340 7.72% GS 2055 5 12 448

46 8.32% GS 2032 1 9 115 7.59% GS 2029 5 9 49

47 8.28% GS 2027 1 9 220 8.33% GS 2026 5 11 98

48 8.28% GS 2032 1 5 135 8.28% GS 2032 5 9 164

49 8.24% GS 2027 1 9 80 8.79%GS08NOV2021P 5 5 550

50 8.26% GS 2027 1 5 68 6.65% GS 2020 4 15 180

51 8.83% GS 2041 1 6 180 8.97% GS 2030 4 10 123

52 8.24% GS 2033 1 6 85 5.69% GS 2018 4 7 465

53 6.79% GS 2029 1 7 90 6.05% GS 2019 4 5 41

54 6.30% GS 2023 1 9 90 8.24% GS 2033 3 6 56

55 6.17% GS 2023 1 5 50 GS08MAY2019C 3 3 37

56 GS08MAY2020C 3 3 37

57 GS08MAY2021C 3 3 37

58 GS08NOV2018C 3 3 37

59 GS08NOV2019C 3 3 37

60 GS08NOV2020C 3 3 37

61 GS08NOV2021C 3 3 37

62 5.64% GS 2019 3 5 30

63 7.50% GS 2034 2 3 15

64 8.30% GS 2042 2 2 62

65 6.79% GS 2029 2 3 15

66 6.90% OMC SB 2026 2 6 220

67 FRB 2031 2 4 207

68 9.20% GS 2030 2 5 83

69 8.83% GS 2023 2 2 32

70 GS02AUG2018C 2 2 14

71 7.40% GS 2035 1 1 5

72 6.30% GS 2023 1 1 5

73 6.17% GS 2023 1 2 10

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120


DaysTraded

TradesValue(` Cr.)

ISINDESCDays

TradedTrades

Value(` Cr.)

74 7.8%GS11APR2021P 1 2 680

75 11.6%GS27DEC2020P 1 2 435

76 11.60% GS 2020 1 2 435

77 8.08%GS02AUG2022P 1 1 170

78 7.72%GS26OCT2055P 1 1 150

79 7.94%GS24MAY2021P 1 1 100

80 8.30% FERT SB 2023 1 3 60

81 6.35% OMC SB 2024 1 2 35

82 GS11APR2019C 1 1 27

83 GS11APR2020C 1 1 27

84 GS11APR2021C 1 1 27

85 GS11OCT2018C 1 1 27

86 GS11OCT2019C 1 1 27

87 GS11OCT2020C 1 1 27

88 GS27DEC2018C 1 2 25

89 GS27DEC2019C 1 2 25

90 GS27DEC2020C 1 2 25

91 GS27JUN2019C 1 2 25

92 GS27JUN2020C 1 2 25

93 8.01% OMC SB 2023 1 2 25

94 8.30% GS 2040 1 1 10

95 FRB 2024 1 1 10

96 GS02AUG2019C 1 1 7

97 GS02AUG2020C 1 1 7

98 GS02AUG2021C 1 1 7

99 GS02AUG2022C 1 1 7

100 GS02FEB2019C 1 1 7

101 GS02FEB2020C 1 1 7

102 GS02FEB2021C 1 1 7

103 GS02FEB2022C 1 1 7

104 GS15AUG2018C 1 1 6

105 GS26APR2019C 1 1 6

106 GS26APR2020C 1 1 6

107 GS26APR2021C 1 1 6

108 GS26APR2022C 1 1 6

109 GS26APR2023C 1 1 6

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DaysTraded

TradesValue(` Cr.)

ISINDESCDays

TradedTrades

Value(` Cr.)

110 GS26APR2024C 1 1 6

111 GS26APR2025C 1 1 6

112 GS26APR2026C 1 1 6

113 GS26APR2027C 1 1 6

114 GS26APR2028C 1 1 6

115 GS26APR2029C 1 1 6

116 GS26APR2030C 1 1 6

117 GS26APR2031C 1 1 6

118 GS26APR2032C 1 1 6

119 GS26APR2033C 1 1 6

120 GS26APR2034C 1 1 6

121 GS26APR2035C 1 1 6

122 GS26APR2036C 1 1 6

123 GS26APR2037C 1 1 6

124 GS26APR2038C 1 1 6

125 GS26APR2039C 1 1 6

126 GS26APR2040C 1 1 6

127 GS26APR2041C 1 1 6

128 GS26APR2042C 1 1 6

129 GS26APR2043C 1 1 6

130 GS26APR2044C 1 1 6

131 GS26APR2045C 1 1 6

132 GS26APR2046C 1 1 6

133 GS26APR2047C 1 1 6

134 GS26APR2048C 1 1 6

135 GS26APR2049C 1 1 6

136 GS26APR2050C 1 1 6

137 GS26APR2051C 1 1 6

138 GS26APR2052C 1 1 6

139 GS26APR2053C 1 1 6

140 GS26APR2054C 1 1 6

141 GS26APR2055C 1 1 6

142 GS26OCT2018C 1 1 6

143 GS26OCT2019C 1 1 6

144 GS26OCT2020C 1 1 6

145 GS26OCT2021C 1 1 6



DaysTraded

TradesValue(` Cr.)

ISINDESCDays

TradedTrades

Value(` Cr.)

146 GS26OCT2022C 1 1 6

147 GS26OCT2023C 1 1 6

148 GS26OCT2024C 1 1 6

149 GS26OCT2025C 1 1 6

150 GS26OCT2026C 1 1 6

151 GS26OCT2027C 1 1 6

152 GS26OCT2028C 1 1 6

153 GS26OCT2029C 1 1 6

154 GS26OCT2030C 1 1 6

155 GS26OCT2031C 1 1 6

156 GS26OCT2032C 1 1 6

157 GS26OCT2033C 1 1 6

158 GS26OCT2034C 1 1 6

159 GS26OCT2035C 1 1 6

160 GS26OCT2036C 1 1 6

161 GS26OCT2037C 1 1 6

162 GS26OCT2038C 1 1 6

163 GS26OCT2039C 1 1 6

164 GS26OCT2040C 1 1 6

165 GS26OCT2041C 1 1 6

166 GS26OCT2042C 1 1 6

167 GS26OCT2043C 1 1 6

168 GS26OCT2044C 1 1 6

169 GS26OCT2045C 1 1 6

170 GS26OCT2046C 1 1 6

171 GS26OCT2047C 1 1 6

172 GS26OCT2048C 1 1 6

173 GS26OCT2049C 1 1 6

174 GS26OCT2050C 1 1 6

175 GS26OCT2051C 1 1 6

176 GS26OCT2052C 1 1 6

177 GS26OCT2053C 1 1 6

178 GS26OCT2054C 1 1 6

179 GS26OCT2055C 1 1 6

Total 375 55012 538863 Total 573 1073 20638

Expected Bond Days 1210 Expected Bond Days 3938

Efficiency 30.99 Efficiency 14.55

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Amount Crore`TABLE 39: MONEY MARKET VOLUMES

statistics

MONEY MARKET

COLLATERALISED BORROWING AND LENDING OBLIGATION (CBLO)


TABLE 40: CBLO TRADING Amount Crore`

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Uncollateralised Call, Noticeand Term Money Market

Market Repo CBLO

Period

ValueDaily Average

ValueValue

DailyAverageValue

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 2704028 112668

2018-19 (UptoJuly 2018)

1488506 16179 4447793 48346 9553860 103846

Overnight Term Total Daily AveragePeriod


2002-03 157 829 2 23 159 852 3 15

2003-04 2280 58136 780 18715 3060 76851 10 251

2004-05 22802 768294 6549 208497 29351 976790 101 3345

2005-06 54026 2391854 13437 561280 67463 2953134 229 10045

2006-07 69602 3860456 16279 871815 85881 4732271 292 16096

2007-08 93282 6699077 19995 1411751 113277 8110828 385 27588

2008-09 94344 7099527 24597 1725258 118941 8824784 414 30748

2009-10 115171 12747733 26881 2793645 142052 15541378 498 54531

2010-11 121286 10516301 24097 1743444 145383 12259745 495 41700

2011-12 118699 9481527 25250 1673901 143949 11155428 495 38335

2012-13 129197 10194520 26902 1833520 156099 12028040 538 41476

2013-14 147469 14892707 30449 2633485 177918 17526192 605 59613

2014-15 170308 13949524 36933 2815073 207241 16764597 722 58413

2015-16 184915 15480390 30236 2353139 215151 17833529 777 64381

2016-17 192122 20392360 25664 2560473 217786 22952833 807 85010

2017-18 180965 25407650 22747 2923108 203712 28330758 766 106507

Apr-18 12733 1761111 2149 278005 14882 2039116 709 97101

May-18 16298 2124699 1460 203133 17758 2327832 740 96993

Jun-18 16411 2258211 1800 224673 18211 2482884 792 107951

Jul-18 18423 2548199 1387 155829 19810 2704028 825 112668

2018-19 (Upto July 2018) 63865 8692220 6796 861640 70661 9553860 768 103846

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MARKET REPO

TABLE 41: REPO TERM ANALYSIS Percent

124

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

2018-19 (Upto July 2018) 75.96 72.44 21.41 24.39 1.53 2.07 0.15 0.25 0.96 0.84

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TABLE 42: INSTRUMENTWISE SETTLEMENT OF REPO TRADES Amount Crore`

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Cen. Govt. Dated Treasury Bills State GovtSettlement 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

2018-19 (Upto July 2018) 3294515 35810 74.07 589563 6408 13.26 563715 6127 12.67

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TABLE 43: CROMS TRADING ACTIVITY

Number of Participants: 154 Amount Crore`

126

CROMS Special CROMS Basket CROMS - Total Repo

DateTrades Value WAR Trades Value WAR Trades Value WAR Trades Value WAR

% Share ofCROMS in

Repovolumes

2-Jul-18 300 23178 5.7117 155 30266 6.1761 455 53444 5.9747 483 60633 5.9817 88.14

3-Jul-18 296 23446 5.6029 113 20088 6.1305 409 43534 5.8463 426 47620 5.8620 91.42

4-Jul-18 304 24411 5.8319 123 18795 6.0417 427 43206 5.9232 438 45851 5.9297 94.23

5-Jul-18 286 22827 5.9751 124 19655 6.0075 410 42482 5.9901 421 45034 5.9898 94.33

6-Jul-18 283 28028 6.0833 298 60868 6.1370 581 88896 6.1200 619 95414 6.0796 93.17

9-Jul-18 285 22485 6.0562 144 24742 6.1594 429 47227 6.1103 444 50801 6.1104 92.96

10-Jul-18 266 21971 6.1237 147 24596 6.2679 413 46567 6.1999 428 49584 6.2002 93.92

11-Jul-18 269 23117 6.1654 164 27271 6.2784 433 50388 6.2266 446 53554 6.2246 94.09

12-Jul-18 278 22777 6.1858 161 25432 6.2668 439 48209 6.2285 451 50772 6.2147 94.95

13-Jul-18 294 21498 6.1714 162 29566 6.2632 456 51064 6.2246 468 53804 6.2176 94.91

16-Jul-18 281 22501 6.1770 132 21038 6.2661 413 43539 6.2201 424 46146 6.2193 93.28

17-Jul-18 259 20750 6.1824 144 22295 6.2653 403 43045 6.2253 424 48202 6.2258 90.33

18-Jul-18 289 21926 6.2017 126 19681 6.2582 415 41607 6.2284 426 44276 6.2276 93.97

19-Jul-18 287 21468 6.1833 124 18823 6.2290 411 40291 6.2047 424 42842 6.2035 94.05

20-Jul-18 261 24216 6.1932 230 45287 6.2444 491 69503 6.2266 506 72795 6.2224 95.48

23-Jul-18 257 20903 6.2413 140 18658 6.3316 397 39561 6.2839 408 42132 6.2786 93.90

24-Jul-18 271 21578 6.2994 142 19801 6.3706 413 41379 6.3334 424 43961 6.3316 94.13

25-Jul-18 280 23096 6.3251 143 19399 6.3872 423 42495 6.3535 440 46369 6.3542 91.64

26-Jul-18 261 22351 6.2542 170 30147 6.2831 431 52498 6.2708 441 54878 6.2684 95.66

27-Jul-18 270 22461 6.1989 193 33239 6.2123 463 55700 6.2069 478 59019 6.2052 94.38

30-Jul-18 262 22472 6.1981 171 28507 6.2042 433 50979 6.2015 440 53250 6.1993 95.74

31-Jul-18 269 23743 6.1907 183 28413 6.1900 452 52156 6.1903 467 55585 6.1892 93.83

Total 6108 501203 3489 586568 9597 1087771 9926 1162523 93.57

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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`

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CROMS-SPECIAL CROMS-BASKET CROMS

PeriodTrades Value

%Share

in RepoTrades Value

%Share

in RepoTrades

TotalValue

DailyAverageValue

%Share

in Repo

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

2018-19 (UptoJuly 2018)

23625 1823503 41.00 13221 2260213 50.82 36846 4083716 48044 91.81

Security Trades Value Rate

7.80% GS 2020 302 81980 6.2263

7.28% GS 2019 170 42320 6.2386

8.12% GS 2020 117 32404 6.2027

8.20% GS 2022 234 27550 6.2309

6.90% GS 2019 157 26684 6.2305

Security Trades Value Rate

7.17% GS 2028 788 58299 5.5591

6.68% GS 2031 638 45325 6.0505

6.84% GS 2022 341 28828 6.1002

8.15% GS 2022 99 28610 6.2183

8.20% GS 2022 65 21119 6.2012

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TABLE 47: DEALT TRANSACTIONS ON THE NDS-CALL PLATFORM

CALL MONEY MARKET

Amount Crore`

128

CALL NOTICE Term TotalDate

Trade Value WAR Trade Value WAR Trade Value WAR Trade Value

2-Jul-18 149 11665 6.1801 4 459 6.7180 2 300 6.5733 155 12424

3-Jul-18 128 11944 6.1813 1 100 6.6000 12 915 6.8934 141 12959

4-Jul-18 130 11091 6.1630 - - - 8 450 7.0222 138 11541

5-Jul-18 99 8959 6.1523 1 25 6.5500 3 250 7.0800 103 9234

6-Jul-18 199 19166 6.1829 - - - 6 415 6.8548 205 19581

7-Jul-18 28 3193 6.3657 - - - - - - 28 3193

9-Jul-18 138 11390 6.2647 1 8 6.0000 4 475 6.7000 143 11873

10-Jul-18 120 10505 6.2270 - - - 6 265 6.8302 126 10770

11-Jul-18 142 12520 6.2415 - - - 3 155 6.7548 145 12675

12-Jul-18 111 9128 6.2397 1 60 6.1000 8 665 6.7308 120 9853

13-Jul-18 130 11486 6.2403 1 25 6.4500 5 280 7.4107 136 11791

16-Jul-18 141 13151 6.2651 1 60 6.2000 6 615 6.7057 148 13826

17-Jul-18 98 7802 6.2218 - - - 3 325 6.6985 101 8127

18-Jul-18 119 10654 6.2065 1 30 6.2000 10 590 6.9753 130 11274

19-Jul-18 122 10856 6.2049 2 40 6.3750 9 632 7.0209 133 11528

20-Jul-18 201 19424 6.2521 1 8 6.0000 1 100 8.1000 203 19532

21-Jul-18 10 499 6.1906 - - - - - - 10 499

23-Jul-18 106 8535 6.3399 1 30 6.4000 7 610 6.8557 114 9175

24-Jul-18 127 11962 6.3464 1 50 6.8000 1 100 7.4500 129 12112

25-Jul-18 105 9793 6.3176 1 50 6.8000 3 216 7.1035 109 10059

26-Jul-18 124 10725 6.2625 1 30 6.6000 1 100 7.3500 126 10855

27-Jul-18 134 12070 6.2017 - - - 3 420 6.9762 137 12490

30-Jul-18 182 16946 6.2413 1 50 6.1500 - - - 183 16996

31-Jul-18 144 13095 6.2301 1 150 6.3000 2 300 7.0500 147 13545

Total 2987 266558 20 1175 103 8178 3110 275911

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TABLE 48: OTC DEALS REPORTED ON THE NDS-CALL PLATFORM Amount Crore`

129

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CALL NOTICE Term TotalDate

Trade Value WAR Trade Value WAR Trade Value WAR Trade Value

2-Jul-18 351 3990 5.9247 23 121 5.9308 7 71 6.4691 381 4181

3-Jul-18 357 4406 5.9015 21 170 6.0562 15 618 6.6409 393 5193

4-Jul-18 361 4118 5.9005 19 87 5.9775 7 331 6.7213 387 4536

5-Jul-18 364 3890 5.8716 18 123 6.0064 10 394 6.6851 392 4407

6-Jul-18 345 3323 5.8701 14 83 5.9414 10 219 6.5611 369 3625

7-Jul-18 104 685 5.6084 2 3 5.5500 - - - 106 688

9-Jul-18 365 3732 5.9118 21 101 5.9349 4 83 6.6235 390 3916

10-Jul-18 362 3874 5.9462 15 60 5.9846 16 464 7.0704 393 4398

11-Jul-18 364 4039 5.9373 25 300 6.1655 5 102 6.5559 394 4441

12-Jul-18 371 4009 5.9280 22 283 6.1514 7 269 6.5981 400 4561

13-Jul-18 399 3930 5.9068 9 57 6.0632 3 7 6.1929 411 3994

16-Jul-18 375 4299 5.9194 22 114 6.0289 10 305 6.6384 407 4718

17-Jul-18 381 4727 5.9465 12 72 6.1231 3 80 6.6813 396 4879

18-Jul-18 368 4613 5.9757 25 117 6.0719 13 485 6.6104 406 5215

19-Jul-18 383 4585 5.9553 17 143 6.0853 6 90 6.5535 406 4818

20-Jul-18 393 4745 5.9532 6 34 5.9953 10 261 6.7257 409 5041

21-Jul-18 101 837 5.5819 2 3 5.5500 - - - 103 839

23-Jul-18 389 4991 6.0409 28 253 6.1981 8 178 6.6668 425 5422

24-Jul-18 382 5010 6.0719 19 177 6.1621 12 417 6.6835 413 5604

25-Jul-18 370 4453 6.0772 29 185 6.1460 6 58 6.8828 405 4697

26-Jul-18 380 4343 6.0376 20 181 6.1674 7 76 6.5447 407 4599

27-Jul-18 391 4686 5.9973 16 159 6.0053 7 67 6.8297 414 4913

30-Jul-18 370 4997 6.0151 25 190 6.0967 8 111 6.5410 403 5298

31-Jul-18 355 4139 5.9441 7 25 6.0167 8 76 6.6233 370 4239

Total 8381 96418 417 3044 182 4760 8980 104221

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TABLE 49: UNCOLLATERALISED OVERNIGHT TRANSACTIONS Percent

130

Within +/-10 bpsof FBIL O/N

MIBOR

Within +/-15 bps ofFBIL O/N MIBOR


TotalTRADEDATE

FBIL O/NMIBOR

RateTrades Value Trades Value Trades Value Trades

Value(` Cr.)

02-Jul-18 6.25 25 54 31 68 46 87 500 15655

03-Jul-18 6.25 27 58 30 64 41 84 485 16350

04-Jul-18 6.25 24 54 28 61 41 85 491 15209

05-Jul-18 6.25 21 52 23 54 35 82 463 12849

06-Jul-18 6.19 42 89 44 91 49 93 544 22489

09-Jul-18 6.25 35 83 37 85 43 87 503 15122

10-Jul-18 6.26 25 61 28 68 37 85 482 14379

11-Jul-18 6.30 27 62 32 72 39 85 506 16558

12-Jul-18 6.30 24 60 30 76 35 81 482 13136

13-Jul-18 6.29 28 71 33 81 37 84 529 15416

16-Jul-18 6.30 34 81 36 83 40 85 516 17450

17-Jul-18 6.30 23 56 25 60 34 78 479 12529

18-Jul-18 6.30 25 57 27 60 38 84 487 15266

19-Jul-18 6.29 25 57 26 58 36 82 505 15441

20-Jul-18 6.21 31 70 40 84 48 88 594 24170

23-Jul-18 6.31 28 80 30 81 34 83 495 13526

24-Jul-18 6.39 28 76 31 84 35 85 509 16972

25-Jul-18 6.41 21 62 23 64 26 66 475 14246

26-Jul-18 6.39 21 53 23 55 26 58 504 15067

27-Jul-18 6.27 25 58 27 60 39 86 525 16756

30-Jul-18 6.26 37 79 41 87 47 89 552 21943

31-Jul-18 6.25 36 84 40 87 48 89 499 17234

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TABLE 50: OVERNIGHT TRANSACTIONS DEALT ON NDS-CALL PLATFORM Percent

131




TotalTRADEDATE

FBILO/N

MIBORRate

Trades Value Trades Value Trades Value TradesValue(` Cr.)

02-Jul-18 6.25 60 61 79 80 100 100 149 11665

03-Jul-18 6.25 72 68 82 76 100 100 128 11944

04-Jul-18 6.25 62 61 75 70 99 100 130 11091

05-Jul-18 6.25 64 60 67 62 100 100 99 8959

06-Jul-18 6.19 96 99 99 100 99 100 199 19166

09-Jul-18 6.25 99 100 99 100 100 100 138 11390

10-Jul-18 6.26 70 70 79 80 98 100 120 10505

11-Jul-18 6.30 71 72 83 84 97 100 142 12520

12-Jul-18 6.30 74 73 93 94 98 100 111 9128

13-Jul-18 6.29 83 86 95 98 98 100 130 11486

16-Jul-18 6.30 95 96 98 99 99 100 141 13151

17-Jul-18 6.30 72 68 77 73 99 100 98 7802

18-Jul-18 6.30 68 63 71 67 97 99 119 10654

19-Jul-18 6.29 71 65 72 66 95 98 122 10856

20-Jul-18 6.21 70 76 89 93 96 97 201 19424

23-Jul-18 6.31 98 99 99 100 99 100 106 8535

24-Jul-18 6.39 87 90 96 100 98 100 127 11962

25-Jul-18 6.41 70 75 70 75 74 75 105 9793

26-Jul-18 6.39 60 59 62 61 66 63 124 10725

27-Jul-18 6.27 64 63 66 65 97 100 134 12070

30-Jul-18 6.26 88 89 98 99 100 100 182 16946

31-Jul-18 6.25 95 97 98 100 100 100 144 13095

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TABLE 51: OVERNIGHT TRANSACTIONS REPORTED ON NDS-CALL PLATFORM Percent

132

Within +/-10 bpsof FBIL O/N

MIBOR



TotalTRADEDATE

FBILO/N

MIBORRate Trades Value Trades Value Trades Value Trades

Value(` Cr.)

02-Jul-18 6.25 10 33 11 35 24 49 351 3990

03-Jul-18 6.25 11 31 11 32 20 41 357 4406

04-Jul-18 6.25 11 36 12 36 19 44 361 4118

05-Jul-18 6.25 10 33 11 34 18 42 364 3890

06-Jul-18 6.19 10 36 12 40 20 50 345 3323

09-Jul-18 6.25 11 33 13 39 21 47 365 3732

10-Jul-18 6.26 10 36 11 38 17 44 362 3874

11-Jul-18 6.30 9 32 12 36 16 40 364 4039

12-Jul-18 6.30 9 30 11 34 16 37 371 4009

13-Jul-18 6.29 10 27 12 31 18 37 399 3930

16-Jul-18 6.30 11 34 12 34 18 39 375 4299

17-Jul-18 6.30 11 35 12 38 18 42 381 4727

18-Jul-18 6.30 11 42 13 43 18 47 368 4613

19-Jul-18 6.29 10 38 11 39 17 44 383 4585

20-Jul-18 6.21 12 43 15 48 23 54 393 4745

23-Jul-18 6.31 9 46 12 48 16 53 389 4991

24-Jul-18 6.39 8 41 10 46 14 50 382 5010

25-Jul-18 6.41 7 35 9 40 13 44 370 4453

26-Jul-18 6.39 9 38 10 40 13 45 380 4343

27-Jul-18 6.27 12 43 13 48 19 52 391 4686

30-Jul-18 6.26 12 45 13 47 21 54 370 4997

31-Jul-18 6.25 12 41 17 47 27 54 355 4139

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TABLE 52: CALL MARKET AND FBIL O/N MIBOR - RATES Percent

133

NDS-CALL Platform (WAR)TRADEDATE

FBIL O/NMIBORRate

UncollateralisedO/N Call (WAR)

All Trades Trades Upto 4 PM

Trades Reported on NDS-CALL Platform (WAR)

02-Jul-18 6.25 6.12 6.18 6.23 5.92

03-Jul-18 6.25 6.11 6.18 6.23 5.90

04-Jul-18 6.25 6.09 6.16 6.22 5.90

05-Jul-18 6.25 6.07 6.15 6.21 5.87

06-Jul-18 6.19 6.15 6.18 6.18 5.87

09-Jul-18 6.25 6.18 6.26 6.25 5.91

10-Jul-18 6.26 6.15 6.23 6.28 5.95

11-Jul-18 6.30 6.17 6.24 6.30 5.94

12-Jul-18 6.30 6.14 6.24 6.29 5.93

13-Jul-18 6.29 6.16 6.24 6.29 5.91

16-Jul-18 6.30 6.18 6.27 6.30 5.92

17-Jul-18 6.30 6.12 6.22 6.30 5.95

18-Jul-18 6.30 6.14 6.21 6.29 5.98

19-Jul-18 6.29 6.13 6.20 6.28 5.96

20-Jul-18 6.21 6.20 6.25 6.21 5.95

23-Jul-18 6.31 6.23 6.34 6.32 6.04

24-Jul-18 6.39 6.27 6.35 6.39 6.07

25-Jul-18 6.41 6.24 6.32 6.40 6.08

26-Jul-18 6.39 6.20 6.26 6.36 6.04

27-Jul-18 6.27 6.14 6.20 6.27 6.00

30-Jul-18 6.26 6.19 6.24 6.27 6.02

31-Jul-18 6.25 6.16 6.23 6.26 5.94

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TABLE :53 TENORWISE ANALYSIS OF TERM MONEY TRANSACTIONS Amount Crore`

134

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

2018-19 (UptoJuly 2018)

826 29513 122 5880 73 5507 31 1737 19 1052 8 380 12 516 1091 44585

August 2018


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TABLE 54: NDS-CALL HISTORICAL Amount Crore`

*Trade reporting on NDS-CALL became mandated from November 2012.**Data from September 18, 2006.

135

Dealt Reported Reciprocal Total NDS-CALL

Total Average Total Average Total Total Average

% Share inNDS-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

2018-19 (UptoJuly 2018)

11954 1094130 130 11893 32984 393544 359 4278 79 26590 45017 1514264 489 16459 72.25 25.99 1.76 1488506 16179

August 2018


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TABLE 55: FOREX SETTLEMENT*

FOREIGN EXCHANGE MARKETFOREX SETTLEMENT


136

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

2018-19 (UptoJuly 2018)

10517 306241 2062465 17893 395615 2661216 785691 1220935 8221166 34288 422763 2816749 848389 2345555 15761595 10346 28604 192215

August 2018

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TABLE 56: FOREX TRADE TYPE ANALYSIS Percent

TABLE 57: FOREX DEAL SIZE ANALYSIS Percent

137

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

2018-19 (UptoJuly 201 8)

1.24 13.06 2.11 16.87 92.61 52.05 4.04 18.02

< 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

2018-19 (UptoJuly 2018)

25.84 4.17 52.27 18.91 15.11 16.56 2.76 9.58 1.57 10.06 2.44 40.73

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TABLE 58: TENORWISE FORWARD TRADES ANALYSIS Percent

138

< 30 Days> 30 Days &<= 90 Days

> 90 Days &<= 180 Days

> 180 Days &<= 365 Days

> 1 Year

SettlementPeriod

% tototalno oftrades

% tototalvalue

%t tototalno oftrades

% tototalvalue


% tototalvalue


% tototalvalue


% 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

2018-19 (UptoJuly 2018)

17.50 25.50 23.80 29.30 15.77 15.09 37.51 26.83 5.42 3.27

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TABLE 59: MARKET SHARE - FOREX Percent

TABLE 60: CATEGORYWISE FOREX ACTIVITY - DEAL TYPE

Market Share (%)

139

Category CASH TOM SPOT FORWARD

Foreign Banks 39.96 43.71 41.40 37.87

Public Sector Banks 20.52 18.69 29.91 33.98

Private Sector Banks 39.38 37.54 28.37 28.03

Cooperative Banks 0.12 0.06 0.31 0.11

Financial Institutions 0.02 0.00 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

2018-19 (Upto July 2018) 30.26 52.88 68.57 78.97

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TABLE 61: NETTING FACTOR - FOREX Amount in USD Million

140


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

2018-19 (Upto July 2018) 2345555 93964 95.99

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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: 84FOREX FORWARD

Amount in USD Million

statistics

TABLE 63: CLS SETTLEMENT

CONTINUOUS LINKED SETTLEMENT (CLS)

Number of Participants: 34 Amount in USD Million

141

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

2018-19 (Upto July 2018) 305389 288554 26935 90.67

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

2017-18 (Upto July 2018) - - 32685 389596

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TABLE 64: CURRENCY WISE GROSS SETTLEMENT

TABLE 65: TOP 5 CURRENCY PAIRS - CLS

142

CurrencyCurrency Wise GrossVolume (in millions)

MTM RatesGross Volume in USD (In

millions)

US Dollar (USD INR) 559823.12 1.00000 559823

US Dollar 39665.33 1.00000 39665

EURO 17956.00 1.17060 21019

GB Pound 6952.54 1.31210 9122

Japanese Yen 501978.88 0.00899 4511

Canadian Dollar 2780.96 0.76564 2129

Australian Dollar 2635.24 0.74220 1956

Swiss Franc 1928.71 1.01245 1953

Singapore Dollar 848.26 0.73405 623

NZ Dollar 372.83 0.68190 254

SA Rand 1309.39 0.07600 100

Swedish Krone 760.28 0.11422 87

HK Dollar 599.15 0.12741 76

Danish Krone 93.21 0.15716 15

Norwegian Krone 118.19 0.12296 15

Total 641347

Sr. No. Currency Pair Gross Volume %

1 EUR/USD 40905 50.18

2 USD/GBP 17363 21.30

3 JPY/USD 7862 9.64

4 USD/CAD 3838 4.71

5 AUD/USD 3687 4.52

6 Others 7862 9.64

Total 81517 100.00

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FOREX TRADING PLATFORM: FX-CLEAR

4Number of Participants: 7

TABLE 66: TRADING DETAILS Amount in USD Million

143

Spot Daily AveragePeriod


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

2018-19 (Upto July 2018) 213964 146410 2547 1743

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DERIVATIVES

Number of Participants:

INTERBANK INTEREST RATE DERIVATIVES

75

Amount Crore`

Amount Crore and Share in %`

TABLE : INTEREST RATE SWAP TRANSACTIONS (MATCHED)67

TABLE : INTEREST RATE SWAP (MIBOR) MARKET SHARE -68 JULY 2018

144

MIBOR MIFOR INBMK TotalDate


2-Jul-18 136 6900 27 1990 - - 163 8890

3-Jul-18 125 6975 28 1745 - - 153 8720

4-Jul-18 207 16075 17 800 - - 224 16875

5-Jul-18 366 27630 20 1500 - - 386 29130

6-Jul-18 197 10050 6 175 - - 203 10225

9-Jul-18 103 4940 26 900 - - 129 5840

10-Jul-18 270 15795 18 730 - - 288 16525

11-Jul-18 247 17095 21 900 - - 268 17995

12-Jul-18 400 25535 9 760 - - 409 26295

13-Jul-18 340 21860 9 500 - - 349 22360

16-Jul-18 298 17130 6 175 - - 304 17305

17-Jul-18 368 27675 11 425 - - 379 28100

18-Jul-18 329 20900 11 525 - - 340 21425

19-Jul-18 174 10025 4 175 - - 178 10200

20-Jul-18 142 8630 6 225 - - 148 8855

23-Jul-18 202 14855 7 250 - - 209 15105

24-Jul-18 219 17140 2 235 - - 221 17375

25-Jul-18 108 13410 - - - - 108 13410

26-Jul-18 268 24425 34 1547 - - 302 25972

27-Jul-18 81 3930 19 1095 - - 100 5025

30-Jul-18 74 3925 2 150 - - 76 4075

31-Jul-18 263 23910 8 525 - - 271 24435

Total 4917 338810 291 15327 - - 5208 354137

Average 224 15400 13 697 - - 237 16097

Buy Sell TotalCategory

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

Foreign Banks 2366 48.12 160105 47.26 2123 43.18 171705 50.68 4489 45.65 331810 48.97

Nationalized Banks 305 6.20 12200 3.60 295 6.00 14175 4.18 600 6.10 26375 3.89

Primary Dealers 1093 22.23 88155 26.02 1262 25.67 74275 21.92 2355 23.95 162430 23.97

Private Banks 1153 23.45 78350 23.13 1237 25.16 78655 23.22 2390 24.30 157005 23.17

Total 4917 100.00 338810 100.00 4917 100.00 338810 100.00 9834 100.00 677620 100.00

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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 6 : INTEREST RATE SWAP (MIFOR) MARKET SHARE - 20189 JULY

145

MIBOR MIFOR

Top 1 23.02 12.61

Top 5 63.05 54.28

Top 10 83.99 81.18

Buy Sell TotalCategory

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

Foreign Banks 204 70.10 11130 72.62 147 50.52 7660 49.98 351 60.31 18790 61.30

Nationalized Banks 10 3.44 635 4.14 31 10.65 1522 9.93 41 7.04 2157 7.04

Private Banks 77 26.46 3562 23.24 113 38.83 6145 40.09 190 32.65 9707 31.67

Total 291 100.00 15327 100.00 291 100.00 15327 100.00 582 100.00 30654 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 - -

2018-19 (Upto July 2018) 21134 1490205 782 39822 - -

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TABLE 72: OUTSTANDING POSITION IN IRS TRANSACTIONS Amount Crore`

TABLE 73: NETTING FACTOR - IRS NON-GUARANTEED SETTLEMENT Amount Crore`

146

statistics

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 (Upto July 2018) 51518 3217269 7241 396304 108 5910 58867 3619483

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

2018-19 (Upto July 2018) 1506 568 62.26

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TABLE 74: GUARANTEED SETTLEMENT - IRS Amount Crore`

TABLE 75: GUARANTEED SETTLEMENT - IRS - SUMMARY STATISTICS

Amount Crore`

GUARANTEED SETTLEMENT -


INTERBANK IRS DERIVATIVES

8

statistics

147

Trade Date Trades Value

2-Jul-18 113 5800

3-Jul-18 101 7200

4-Jul-18 186 13125

5-Jul-18 316 25230

6-Jul-18 168 8050

9-Jul-18 81 4215

10-Jul-18 204 12645

11-Jul-18 204 14420

12-Jul-18 321 20510

13-Jul-18 258 15360

16-Jul-18 254 13555

17-Jul-18 292 19650

18-Jul-18 294 18400

19-Jul-18 131 7250

20-Jul-18 99 5500

23-Jul-18 149 10805

24-Jul-18 168 11140

25-Jul-18 66 6250

26-Jul-18 214 20525

27-Jul-18 64 3155

30-Jul-18 65 3450

31-Jul-18 226 18635

Total 3974 264870

Average 181 12040

Period 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

2018-19 (Upto July 2018) 16513 1089995 197 12976

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TABLE : TRADED VOLUME FOR OTC INTERBANK FCY - INR FORWARDS FOR THE MONTH OF76 JULY 2018

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

148

statistics

USD / INR EUR / INR GBP / INR AUD / INR CAD / 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 inMillion)

02-Jul-18 372 4,075.54 12 1.06 - - - - - - -

03-Jul-18 404 4,475.79 2 0.05 2 0.08 - - - - - -

04-Jul-18 327 3,476.11 2 0.33 - - - - - - - -

05-Jul-18 393 4,739.96 7 1.04 - - - - - - - -

06-Jul-18 317 3,097.70 6 0.59 - - - - - - - -

09-Jul-18 253 2,761.67 1 0.07 3 0.30 1 0.15 - - - -

10-Jul-18 357 3,904.19 2 0.21 - - - - - - - -

11-Jul-18 333 3,773.90 3 0.36 - - - - - - - -

12-Jul-18 407 4,132.67 5 0.49 3 0.11 - - - - - -

13-Jul-18 322 3,548.41 2 0.10 - - - - - - - -

16-Jul-18 286 3,714.36 4 0.27 - - - - - - - -

17-Jul-18 451 4,980.56 - - - - - - - - - -

18-Jul-18 349 4,108.30 1 0.02 1 0.10 - - - - - -

19-Jul-18 462 4,206.33 - - - - - - - - - -

20-Jul-18 346 3,510.55 5 0.50 - - - - - - - -

23-Jul-18 312 3,703.13 1 0.15 - - - - - - - -

24-Jul-18 428 6,096.65 2 1.10 - - - - - - - -

25-Jul-18 330 3,822.89 2 0.47 2 0.05 - - 1 0.10 1 0.01

26-Jul-18 493 6,140.38 1 0.02 - - - - - -

27-Jul-18 315 5,236.81 3 1.00 - - 1 0.04 - - - -

30-Jul-18 355 5,156.82 - - - - - - - - - -

31-Jul-18 304 3,661.25 5 0.43 - - - - - - - -

Total 7916 92324.0 65 8.22 12 0.67 2 0.19 1 0.10 1 0.01

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TABLE 7 : TRADED VOLUME FOR OTC INTERBANK FCY - INR OPTIONS FOR THE MONTH OF7 JULY 2018

* 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

statistics

149

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)

02-Jul-18 17 150.00 - - - - - - - - - -

03-Jul-18 23 188.54 - - - - - - - - - -

04-Jul-18 21 178.00 - - - - - - - - - -

05-Jul-18 20 180.00 - - - - - - - - - -

06-Jul-18 19 185.00 - - - - - - - - - -

09-Jul-18 10 80.00 - - - - - - - - - -

10-Jul-18 11 120.21 - - - - - - - - - -

11-Jul-18 22 89.87 - - - - - - - - - -

12-Jul-18 15 80.00 - - - - - - - - - -

13-Jul-18 21 131.36 - - - - - - - - - -

16-Jul-18 30 208.00 - - - - - - - - - -

17-Jul-18 22 133.03 - - - - - - - - - -

18-Jul-18 62 145.82 - - - - - - - - - -

19-Jul-18 31 166.16 - - - - - - - - - -

20-Jul-18 15 147.90 - - - - - - - - - -

23-Jul-18 2 20.00 - - - - - - - - - -

24-Jul-18 14 100.00 - - - - - - - - - -

25-Jul-18 9 38.50 - - - - - - - - - -

26-Jul-18 11 63.32 - - - - - - - - - -

27-Jul-18 9 115.00 - - - - - - - - - -

30-Jul-18 24 199.24 - - - - - - - - - -

31-Jul-18 21 226.18 - - - - - - - - - -

Total 429 2946.12

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TABLE 78: TRADED PRINCIPAL AMOUNT FOR OTC INTERBANK FCY -INR CROSS CURRENCY SWAPS FOR THE MONTH OF JULY 2018


150

statistics

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

02-Jul-18 3 37.34 - - - - - - - - - -

03-Jul-18 6 148.30 - - - - - - - - - -

04-Jul-18 1 15.00 - - - - - - - - - -

05-Jul-18 2 75.00 - - - - - - - - - -

06-Jul-18 2 50.00 - - - - - - - - - -

10-Jul-18 1 25.00 - - - - - - - - - -

11-Jul-18 2 32.50 - - - - - - - - - -

12-Jul-18 3 31.00 - - - - - - - - - -

13-Jul-18 2 30.00 - - - - - - - - - -

17-Jul-18 3 98.30 - - - - - - - - - -

26-Jul-18 1 2.12 - - - - - - - - - -

27-Jul-18 2 40.00 - - - - - - - - - -

Total 28 584.56

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TABLE 7 : TRADED VOLUME FOR OTC INTERBANK FCY - FCY FORWARDS FOR THE MONTH OF9 JULY 2018


statistics

151

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


02-Jul-18 117 92.94 45 43.11 33 102.10 25 27.09 6 16.65 121 105.86

03-Jul-18 135 104.41 43 47.01 10 132.97 15 25.85 8 21.48 50 76.28

04-Jul-18 99 128.77 59 115.25 10 8.65 23 114.28 2 4.25 17 9.78

05-Jul-18 219 488.01 61 26.25 20 59.68 16 9.32 7 36.34 23 65.11

06-Jul-18 263 154.34 55 18.85 16 8.18 23 101.77 3 6.72 27 111.78

09-Jul-18 166 199.07 77 97.49 39 510.57 14 9.06 11 25.09 40 8.43

10-Jul-18 164 137.94 49 77.89 26 62.20 32 84.01 8 36.22 44 76.35

11-Jul-18 103 234.76 43 105.37 24 122.07 12 5.28 8 3.56 19 41.37

12-Jul-18 229 200.13 132 634.55 34 56.30 45 105.63 8 6.36 55 89.34

13-Jul-18 120 227.67 59 335.30 28 55.77 16 65.05 10 34.43 23 13.93

16-Jul-18 167 183.69 33 32.92 47 70.35 14 26.80 12 3.80 13 22.13

17-Jul-18 112 90.46 37 19.92 27 98.86 11 13.60 16 16.38 15 20.91

18-Jul-18 120 317.23 54 365.75 33 93.55 28 87.22 22 10.97 26 71.71

19-Jul-18 153 191.49 49 82.98 17 10.09 10 10.58 6 3.65 25 10.83

20-Jul-18 172 90.15 24 18.82 15 11.15 12 27.47 3 1.70 28 16.82

23-Jul-18 187 232.15 64 125.77 30 84.01 26 94.55 10 19.77 35 20.67

24-Jul-18 210 240.93 55 837.07 30 53.85 14 11.40 1 6.07 19 9.45

25-Jul-18 181 289.37 48 61.81 36 33.86 23 32.21 8 6.49 76 54.43

26-Jul-18 200 394.10 68 152.10 27 236.19 22 25.80 20 31.78 40 22.91

27-Jul-18 187 308.33 44 144.97 45 73.84 56 121.14 21 39.88 117 109.71

30-Jul-18 251 314.79 79 93.10 52 101.45 55 106.52 12 24.35 121 86.47

31-Jul-18 312 315.00 66 163.90 57 60.34 29 73.91 7 37.02 73 126.19

Total 3867 4,935.73 1244 3,600.19 656 2,046.00 521 1,178.53 209 392.97 1007 1,170.44

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TABLE : TRADED PRINCIPAL AMOUNT FOR OTC INTERBANK FCY - FCYCROSS CURRENCY SWAPS FOR THE MONTH OF

81JULY 2018


TABLE TRADED VOLUME FOR OTC INTERBANK FCY - FCY OPTIONS FOR THE MONTH OF80: JULY 2018


152

statistics

GBP / USD EUR / USD USD / JPY AUD / JPY AUD / USD OTHERS *

DateTrades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades


05-Jul-18 - - 6 12.00 - - - - - - - -

06-Jul-18 - - 6 24.00 - - - - - -

09-Jul-18 - - 4 120.00 - - - - - -

10-Jul-18 6 30.00 - - 6 54.00 - - - - - -

12-Jul-18 - - - - 4 30.00 - - - - - -

13-Jul-18 2 60.00 10 46.00 - - - - - - - -

16-Jul-18 6 12.00 - - - - - - - - - -

17-Jul-18 4 6.00 - - - - - - - - - -

18-Jul-18 11 133.00 3 1.36 - - - - - - - -

23-Jul-18 - - - - 9 24.75 - - - - - -

24-Jul-18 6 6.00 - - 6 6.00 - - - - - -

25-Jul-18 2 6.00 6 13.00 - - - - - - - -

26-Jul-18 6 6.00 1 10.00 - - - - - - - -

27-Jul-18 - - 3 15.00 - - - - - - - -

30-Jul-18 - - 6 3.49 10 23.00 - - - - - -

31-Jul-18 7 43.73 16 39.74 8 11.01 - - - - - -

Total 50 302.73 55 260.59 49 172.76

USD-JPY GBP-USD EUR-USD USD-CHF AUD-JPY 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

2-Jul-18 - - 6 127.20 - - - - - - - -

3-Jul-18 1 13.53 - - - - - - - - - -

4-Jul-18 - - - - 1 20.50 - - - - - -

5-Jul-18 - - 1 25.00 - - - - - - - -

9-Jul-18 - - - - 1 60.00 - - - - - -

10-Jul-18 - - 2 16.00 - - 1 5 - - - -

20-Jul-18 - - - - 1 6.24 - - - - - -

23-Jul-18 6 415.88 - - - - - - - - - -

30-Jul-18 6 27.01 - - - - - - - - - -

Total 13 456.42 9 168.20 3 86.74 1 5

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TABLE : TRADED NOTIONAL PRINCIPAL FOR OTC INTERBANK FCY - IRS FOR THE MONTH OF82 JULY 2018

* 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.

statistics

153

USD GBP EUR 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-Jul-18 6 126.63 - - - - - - - - - -

03-Jul-18 15 586.87 - - - - - - - - - -

04-Jul-18 1 0.06 2 10.00 - - - - - - - -

05-Jul-18 15 403.10 - - - - - - - - - -

06-Jul-18 12 273.00 - - - - - - - - - -

09-Jul-18 2 100.00 5 25.00 - - - - - - - -

10-Jul-18 14 252.23 - - - - - - - - - -

11-Jul-18 5 197.00 - - - - - - - - - -

12-Jul-18 19 285.00 - - - - - - - - - -

13-Jul-18 4 101.06 - - 2 20.90 - - - - - -

16-Jul-18 9 184.00 - - - - - - - - - -

17-Jul-18 43 644.00 - - - - - - - - - -

18-Jul-18 11 225.00 - - - - - - - - - -

19-Jul-18 18 242.31 - - - - - - - - - -

20-Jul-18 3 15.90 - - - - - - - - - -

23-Jul-18 14 814.58 - - - - - - - - - -

24-Jul-18 25 401.23 - - - - - - - - - -

25-Jul-18 1 25.00 - - - - - - - - - -

26-Jul-18 6 99.00 - - 2 10.00 - - - - - -

27-Jul-18 23 287.70 - - - - - - - - - -

30-Jul-18 18 460.21 - - 2 6.00 5 2,500.00 - - - -

31-Jul-18 9 201.50 - - - - - - - - - -

Total 273 5925.37 7 35.00 6 36.90 5 2500A

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TABLE : OUTSTANDING PRINCIPAL AMOUNT FOR OTC INTERBANK FCY - INRCROSS CURRENCY SWAPS AS AT END

85JULY 2018

TABLE : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - INR FORWARDS AS AT END83 JULY 2018

TABLE : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - INR OPTIONS AS AT END84 JULY 2018

* 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 JULY 2018



TABLE 86: OUTSTANDING VOLUME FOR OTC INTERBANK FCY - FCY FORWARDS AS AT END JULY 2018

154

statistics

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)

Jul-18 42331 372,307.84 318 39,059.71 400 153.40 8 185.14 198 31.53 101 34.66

USD / INR EUR / INR GBP / INR JPY / INR CHF / INR OTHERS *

MonthTrades

Volume(in Mio)

TradesVolume

(inMio)

TradesVolume

(inMio)

TradesVolume

(inMio)

TradesVolume

(inMio)

Trades

Volume(USD

inMio)

Jul-18 3266 22,186.94 121 197.96 11 22.51 - - - - - -

USD-INR JPY-INR EUR-INR GBP-INR CHF-INR OTHERS *

MonthTrades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency


Jul-18 1342 22,636.09 14 71,179.98 59 414.98 3 31.74 1 2.67 1 0.61

EUR / USD GBP / USD USD / JPY AUD / USD USD / CAD OTHERS *

MonthTrades

Volume(in Mio)

TradesVolume(in Mio)

TradesVolume

(inMio)

TradesVolume

(inMio)

TradesVolume

(inMio)

TradesVolume(USD

in Mio)

Jul-18 18193 18,827.23 7248 11,029.32 3457 8,061.66 1617 3,510.67 909 1,740.48 2567 2,915.32

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)

Jul-18 236 1,718.14 360 1,413.42 170 1,164.01 25 390.00 3 30.00 3 30.00

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TABLE 8 : OUTSTANDING NOTIONAL PRINCIPAL FOR OTC INTERBANK FCY - IRS AS AT END OF9 JULY 2018

* 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

8JULY 2018


statistics

155

USD-JPY EUR-USD USD-SGD AUD-USD USD-CHF OTHERS *

MonthTrades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency


Jul-18 153 7,981.12 368 4,000.02 65 1,712.70 12 952.18 29 597.75 43 1,233.21

USD EUR GBP JPY SGD OTHERS *

MonthTrades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency


Jul-18 12011 185823.55 287 1734.47 215 1042.35 56 87029.12 19 845.00 160 478.61

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June 29, 2018

5.50

6.25

7.00

7.75

8.50

0 5 10 15 20 25 30 35 40Tenor (In years)

Zer

oC

oupon

Rat

e(%

)

July 31, 2018 July 31, 2017

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HIGHLIGHTS

• Zero coupon yields as on July 31, 2018 have

moved to higher levels across the curve as

compared to the yields prevailing a year back.

However in the last one month, the yields have

moved to lower levels marginally across the curve.

INTEREST RATE MOVEMENT

Chart 1: Zero Coupon Yield Curve

Chart 2: Sovereign Yield Curve

156

statistics

5.90

6.15

6.40

6.65

6.90

7.15

7.40

7.65

7.90

8.15

1M 0 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 32 33 34 35 36 37 38 39 40

Tenor

(%)

July 31, 2018 June 29, 2018 July 31, 2017

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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

`

statistics

157

State TradesTraded Value

(` Crore)Average Spread (bps)

ANDHRA PRADESH 120 2857 51

ASSAM 9 158 52

BIHAR 17 280 41

CHHATTISGARH 8 156 48

GOA 7 123 51

GUJARAT 77 1074 46

HARYA NA 233 4944 52

Himachal 4 30 71

HIMACHAL PRADESH 10 491 48

JAMMU & KASHMIR 15 596 55

JHARKHAND 7 154 47

KARNATAKA 68 1168 47

KERALA 54 1497 48

MADHYA PRADESH 64 851 49

MAHARASHTRA 185 2728 50

MIZORAM 2 10 62

NAGALAND 1 25 57

ODISHA 30 470 50

PUDUCHERRY 1 7 57

PUNJAB 63 926 52

RAJASTHAN 177 2704 54

SIKKIM 1 50 51

TAMILNADU 175 2365 47

TELANGANA 20 215 47

UTTAR PRADESH 57 988 50

UTTARAKHAND 20 357 51

WEST BENGAL 79 3014 51

Total 1504 28238 50

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TABLE 91: YIELD MOVEMENT Percent

158

statis

tic

sYTMChange inYTM(bps)

YearJuly 31,2018

June 29,2018

May 31,2018

April 27,2018

March 28,2018

February28, 2018

January31, 2018

December29, 2017

November30, 2017

October31, 2017

September29, 2017

August31, 2017

July 31,2017

Monthto

Month

YearOnYear

2018 - - - - - - - 6.5122 6.3640 6.3460 6.3662 6.2626 6.3302 - -

2019 7.3717 7.2384 7.1456 6.7514 6.5415 6.7046 6.6750 6.6066 6.3734 6.3013 6.2859 6.2746 6.3084 13 106

2020 7.6052 7.6149 7.8103 7.4598 6.8544 6.8510 6.9287 6.7645 6.6536 6.4714 6.4127 6.3598 6.3898 -1 122

2021 7.6849 7.7567 7.7135 7.5791 7.0733 7.1977 7.1351 6.9803 6.9268 6.6880 6.5584 6.4522 6.6264 -7 106

2022 7.8238 7.9686 7.8439 7.7489 7.2667 7.4420 7.3124 7.1419 6.8910 6.7775 6.6502 6.4995 6.6530 -14 117

2023 7.9034 8.0316 7.9318 7.7670 7.3608 7.5393 7.3823 7.1793 6.9725 6.8393 6.7771 6.6239 6.6749 -13 123

2024 7.9606 8.0952 7.9654 7.8890 7.5110 7.7824 7.4738 7.3212 7.0531 6.9189 6.8665 6.7058 6.7589 -13 120

2025 8.0264 8.1591 8.0100 7.8565 7.5035 7.7174 7.5602 7.3145 7.1197 6.9921 6.9479 6.7888 6.8330 -13 119

2026 8.0499 8.1638 8.0685 7.9080 7.6117 7.9609 7.7076 7.5562 7.2899 7.1495 6.8875 6.7218 6.6741 -11 138

2027 7.9608 8.0382 7.8934 7.8607 7.4792 7.8633 7.5861 7.3290 7.0517 6.8693 6.6425 6.5347 6.4566 -8 150

2028 7.7878 7.9231 7.8323 7.7549 7.3272 7.6893 7.4172 7.5271 7.3802 7.2577 7.1466 7.0449 7.0428 -14 74

2029 8.0847 8.1216 7.9959 7.9089 7.6633 7.9613 7.5621 7.2346 7.1189 7.0981 6.9166 6.8531 6.7581 -4 133

2030 8.2094 8.1470 8.0576 7.9704 7.7112 7.9878 7.7656 7.6247 7.3929 7.2472 7.1690 7.1445 6.9732 6 124

2031 7.9741 8.0969 8.0142 7.9896 7.5004 7.9373 7.6749 7.4541 7.1032 7.0284 6.8345 - - -12 -

2032 8.1053 8.2317 8.0131 7.9850 7.7143 8.1015 7.8565 7.5639 7.4324 7.3303 7.1268 7.1275 7.0701 -13 104

2033 8.1374 8.1244 8.0260 7.9585 7.7029 8.0033 7.7586 7.5383 7.3166 7.3406 7.0537 6.8990 6.8451 1 129

2034 8.1322 8.1414 8.0381 7.9621 7.7281 8.0123 7.7971 7.6488 7.4876 7.3537 7.1978 7.1180 7.0637 -1 107

2035 8.1513 8.1271 8.0676 7.9639 7.8083 8.0067 7.6047 7.5696 7.4290 7.3486 7.1196 7.1538 7.1076 2 104

2036 8.2512 8.2381 8.1412 7.9653 7.6952 8.0070 7.7772 7.6616 7.5126 7.2684 7.2519 7.2320 7.1498 1 110

2039 8.2465 8.2395 8.1387 8.0267 7.7931 7.9727 7.6046 7.6388 7.3531 7.1517 7.0908 7.0642 7.0049 1 124

2040 8.1321 8.1287 8.0252 7.9674 7.6701 8.0004 7.7949 7.7775 7.5552 7.4935 7.3821 7.2290 7.1800 0 95

2041 8.2368 8.2358 8.1306 7.9670 7.6814 7.9947 7.8067 7.7459 7.6210 7.3818 7.3100 7.2799 7.2000 0 104

2042 8.1226 8.1447 8.0167 7.9665 7.6700 7.9888 7.7963 7.7538 7.5945 7.3767 7.3333 7.2525 7.1796 -2 94

2043 8.1615 8.1663 8.0966 7.9659 7.7004 8.0920 7.7932 7.7879 7.6233 7.3691 7.3275 7.2789 7.1750 0 99

2044 8.1140 8.1181 7.9808 7.9652 7.6728 8.0050 7.8014 7.7645 7.6005 7.4396 7.3080 7.2453 7.1821 0 93

2045 8.1113 8.1205 8.1158 7.9648 7.6485 7.9941 7.8021 7.7359 7.5517 7.4157 7.2917 7.2342 7.1777 -1 93

2046 8.1048 8.1233 8.1092 7.9638 7.6521 7.9497 7.7752 7.6369 7.4740 7.2973 7.2381 7.1426 7.0715 -2 103

2051 8.1846 8.0050 7.9266 7.9602 7.6588 7.9473 7.7329 7.6114 7.4645 7.3124 7.2781 7.1532 7.0779 18 111

2055 8.0591 8.0896 7.9983 8.0780 7.7589 7.9613 7.7334 7.6145 7.5424 7.4141 7.2784 7.1453 7.1146 -3 94

August 2018

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The issuances in the corporate bond market

moderated in July 2018 to 95 issuances amounting

to 32,262 crore vis-a-vis 90 issuances amounting to

56,145 crore in June 2018. Sector-wise issuances

were as follows: finance companies - 49,

infrastructure companies - 34, other corporates - 9,

manufacturing companies - 2, and oil companies - 1.

The tenor of the bond issuances were mostly up to 10

years with nearly 41% concentration in the 2 to 5

year tenor bucket.

In the secondary market, there was a 6% drop in

trading activity in July 2018 with 2781 trades

totaling to 78,298 crore. The spreads on AAA rated

10-year and 5-year bonds narrowed by 8 bps and 6

bps to 56 bps and 91 bps, respectively. National

Bank for Agriculture and Rural Development,

Housing Development Finance Corporation, and

Power Finance Corporation were among the highest

traded corporates.

The maturity wise analysis of the securities issued

during the month is given in the table below:

`

`

`

TABLE 92: PRIMARY MARKET ISSUANCE CORPORATE BONDS - 2018JULY

Source: FIMMDA

CORPORATE BONDS

statistics

159

Tenor Buckets No.Amount(` Cr.)

Fixed FloatingZero

Coupon

Avg.Fixed

Coupon(%)

Max.Coupon

(%)

Min.Coupon

(%)

FloatingBenchmark

Remarks

<=1 year 2 225.00 2 - - 10.95% 12.50% 9.40% - -

> 1 year -<=2 years 21 3611.50 21 - - 10.46% 17.50% 8.10% -

> 2 years -<=5 years 41 18536.06 41 - - 10.47% 19.25% 0.10% -

>5 years -<=10 years 26 9192.93 26 - - 10.57% 16.00% 8.00% -

>10 years-<=15 years - - - - - - - - -

>15 years 5 696.02 5 - - 13.50% 17.00% 11.25% -

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PRIMARY ISSUANCE ANALYSIS

FIXED COUPON BONDS

TABLE 93: ANALYSIS OF CORPORATE BOND ISSUANCE

TABLE 94: RATING ANALYSIS OF CORPORATE BOND ISSUANCES

160

statistics

TABLE 95: TOP 5 ISSUANCES

Rating No.Amount(`Cr.)

Avg.Tenor

Max.Tenor

MinTenor

Avg.Coupon (%)

Max.Coupon (%)

Min.Coupon (%)

AAA 16 5437.00 3.56 7.00 1.44 8.43 9.75 5.75

AA 39 22398.00 4.14 10.00 1.08 9.66 16.00 2.25

A 10 955.00 4.15 7.00 0.98 10.65 12.50 9.40

BBB 1 32.00 4.91 4.91 4.91 12.15 12.15 12.15

BB 2 55.00 4.83 4.99 4.68 13.56 14.20 12.91

NA 27 3384.51 8.27 30.00 1.36 13.16 19.25 0.10

Company No.Amount(`Cr.)

Avg.Tenor

Max.Tenor

MinTenor

Avg.Coupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

%Share

SHRIRAM TRANSPORT FINANCE COMPANY LIMITED 1 3648.52 4.99 4.99 4.99 8.93 8.93 8.93 11.31





Type Sector Rating No.Amount(`Cr.)

Avg.Tenor

Max.Tenor

MinTenor

Avg.Coupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

PSU Finance AAA 1 500.00 4.99 4.99 4.99 5.75 5.75 5.75

PSU Infrastructure AAA 1 1000.00 4.99 4.99 4.99 5.75 5.75 5.75

PVT Finance AAA 11 3650.00 3.04 7.00 1.44 8.81 9.75 8.10

PVT Finance AA 28 21264.10 3.83 10.00 1.16 9.28 10.50 2.25

PVT Finance A 5 355.00 5.19 7.00 1.24 10.43 10.85 10.00

PVT Finance BBB 1 32.00 4.91 4.91 4.91 12.15 12.15 12.15

PVT Finance BB 2 55.00 4.83 4.99 4.68 13.56 14.20 12.91

PVT Finance NA 1 643.00 4.99 4.99 4.99 8.24 8.24 8.24

PVT Infrastructure AAA 2 200.00 5.47 5.87 5.07 8.83 8.85 8.80

PVT Infrastructure AA 7 508.90 5.73 10.00 3.87 11.61 16.00 9.25

PVT Infrastructure A 3 275.00 2.17 4.54 0.98 11.47 12.50 9.40

PVT Infrastructure NA 21 2246.40 9.26 30.00 1.36 13.59 19.25 0.10

PVT Manufacturing AA 1 100.00 2.99 2.99 2.99 8.65 8.65 8.65

PVT Manufacturing NA 1 95.00 2.99 2.99 2.99 8.68 8.68 8.68

PVT Oil AAA 1 87.00 2.53 2.53 2.53 8.85 8.85 8.85

PVT Others AA 3 525.00 3.69 6.98 1.08 9.08 9.50 8.75

PVT Others A 2 325.00 4.53 6.07 2.99 10.00 10.50 9.50

PVT Others NA 4 400.11 5.20 10.00 1.95 13.25 17.00 8.00

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TABLE 97: CATEGORY ANALYSIS

TABLE 98: NON-FIXED RATE BOND ISSUANCE ANALYSIS

TABLE 99: PRIMARY MARKET CATEGORY ANALYSIS - HISTORICAL Amount ( Cr)`

TABLE 100: RATING ANALYSIS - HISTORICAL Amount ( Cr)`PRIMARY MARKET

VARIABLE/ZERO COUPON BONDS

TABLE 96: SECTOR ANALYSIS

statistics

161

Sector No.Amount(` Cr.)

Avg.Tenor

Max.Tenor

MinTenor

Avg.Coupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

Finance 49 26499.10 3.90 10.00 1.16 9.43 14.20 2.25

Infrastructure 34 4230.30 7.56 30.00 0.98 12.48 19.25 0.10

Manufacturing 2 195.00 2.99 2.99 2.99 8.67 8.68 8.65

Oil 1 87.00 2.53 2.53 2.53 8.85 8.85 8.85

Others 9 1250.11 4.55 10.00 1.08 11.14 17.00 8.00

Type No.Amount(` Cr.)

Avg.Tenor

Max.Tenor

MinTenor

Avg.Coupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

PSU 2 1500.00 4.99 4.99 4.99 5.75 5.75 5.75

PVT 93 30761.51 5.24 30.00 0.98 10.77 19.25 0.10

Type No.Amount(` Cr.)

Avg. Tenor Max. Tenor Min Tenor Remarks

Floating Rate - - - - - -

Zero Coupon Bond - - - - - -

CategoriesYear

Finance Infrastructure Manufacturing Oil Others Total

2017-18 310905 412340 24833 2284 51164 801525

Apr-18 9001 20267 130 592 4210 34200

May-18 37395 9109 125 - 3400 50029

Jun-18 34097 18783 - - 3265 56145

Jul-18 26499 4230 195 87 1250 32262

2018-19 (UptoJuly 2018)

106992 52390 450 679 12125 172635

RatingsYear

AAA AA A A1 BBB BB B C NA

2017-18 410860 138828 24771 - 8564 2341 831 28 215303

Apr-18 7997 7019 1558 250 881 351 - 150 15994

May-18 34120 9764 315 - 390 125 - - 5315

Jun-18 34745 4075 1002 - 2730 1036 - - 12557

Jul-18 5437 22398 955 - 32 55 - - 3385

2018-19 (UptoJuly 2018)

82299 43256 3830 250 4033 1567 - 150 37251

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SECONDARY MARKET ANALYSIS

Amount Crore`TABLE 101: CORPORATE BONDS TRADING DETAILS

TABLE 102: HISTORICAL SUMMARY Amount Crore`

Since April 1, 2014 all Corporate Bond deals are being reported only on the exchanges

162

statistics

TotalDate

Trades Volume

02-Jul-18 100 3520

03-Jul-18 103 3984

04-Jul-18 144 4313

05-Jul-18 145 3569

06-Jul-18 135 4045

09-Jul-18 84 2424

10-Jul-18 113 3122

11-Jul-18 164 4658

12-Jul-18 113 2599

13-Jul-18 140 4757

16-Jul-18 108 2917

17-Jul-18 212 5551

18-Jul-18 138 3449

19-Jul-18 108 2954

20-Jul-18 137 3582

23-Jul-18 122 3301

24-Jul-18 82 2616

25-Jul-18 112 2697

26-Jul-18 140 3845

27-Jul-18 128 3496

30-Jul-18 124 3474

31-Jul-18 129 3425

Total 2781 78298

Average 126 3559

Total AveragePeriod


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

2018-19 (Upto July 2018) 12397 352668 148 4198

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TABLE 103: CATEGORYWISE TRADING ANALYSIS

TABLE 104: RATING ANALYSIS

TABLE 105: CATEGORY ANALYSIS

statistics

163

Rating Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)

AAA 1785 50880 3.55 83

AA 554 13753 6.21 139

A1 12 700 0.73 197

A 90 3382 4.49 163

BBB 7 120 6.05 408

NA 58 2924 6.62 262

Category Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)

FINANCE 1788 50006 4.28 108

INFRASTRUCTURE 475 13423 4.93 90

MANUFACTURING 89 4293 2.69 64

OIL 11 215 2.06 68

OTHERS 143 3821 2.74 147

CATEGORY Rating Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)

FINANCE AAA 1258 37506 3.03 92

FINANCE AA 443 9534 7.00 141

FINANCE A 64 2539 5.02 164

FINANCE BBB 3 30 3.92 330

FINANCE NA 20 398 11.19 131

INFRASTRUCTURE AAA 370 8151 5.24 59

INFRASTRUCTURE AA 75 3133 3.26 163

INFRASTRUCTURE A 3 75 0.91 424

INFRASTRUCTURE BBB 4 90 8.19 487

INFRASTRUCTURE NA 23 1975 4.68 291

MANUFACTURING AAA 49 2853 2.83 27

MANUFACTURING AA 19 681 2.30 104

MANUFACTURING A 20 559 3.13 76

MANUFACTURING NA 1 200 0.41 226

OIL AAA 9 195 2.62 68

OIL NA 2 20 0.12 70

OTHERS AAA 99 2174 3.10 100

OTHERS AA 17 406 2.06 33

OTHERS A1 12 700 0.73 197

OTHERS A 3 210 2.22 350

OTHERS NA 12 331 2.24 631

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TABLE 106: BOND TYPE ANALYSIS

TABLE 107: AAA SPREAD ANALYSIS

TABLE :108 CATEGORY ANALYSIS - HISTORICAL Amount Crore`

164

statistics

Type of Bond Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)

FIXED 2360 67434 4.28 101

ZERO COUPON 53 1447 2.15 209

Floating 63 1749 3.37 142

NA 30 1129 10.26 126

Maturity Buckets Average AAA Spread (bps)

<=1 year 112

> 1 year -<=2 years 95

> 2 years -<=3 years 80

>3 years -<=5 years 70

>5 years-<=7 years 82

> 7 years 46

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

2018-19 (UptoJuly 2018)

229885 65119 16997 842 39825 352668

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TABLE : SPREAD ANALYSIS110 - HISTORICAL (AVERAGE) basis points

TABLE :109 RATING ANALYSIS - HISTORICAL Amount Crore`

statistics

165

RatingsYear

AAA AA A1 A2 A BBB BB B C 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

2018-19 (UptoJuly 2018)

246655 57894 700 - 7845 636 721 34 236 - 37947

RatingsYear

AAA AA A1 A2 A BBB BB B C 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

2018-19 (UptoJuly 2018)

82 142 197 - 249 843 575 865 1199 - 123

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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

166

statis

tic

sNo. ISIN No. Security Description Rating Category MaturityCoupon

(%)Trades

Volume(` Cr.)

Yield(%)

1 INE002A08518 RELIANCE INDUSTRIES LIMITED CARE AAA OIL 14-Dec-20 6.95 26 2135.00 7.37

2 INE261F08AK3 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT IND AAA FINANCE 31-Jan-22 8.50 45 1871.30 8.35

3 INE540P07095 U.P. POWER CORPORATION LIMITED IND AA (SO) INFRASTRUCTURE 13-Feb-26 8.97 21 1553.00 8.89

4 INE261F08AI7 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT CRISIL AAA FINANCE 31-Jan-22 8.60 44 1549.30 8.59

5 INE202B07IY2 DEWAN HOUSING FINANCE CORPORATION LIMITED CARE AAA FINANCE 4-Jun-21 8.90 34 974.00 9.43

6 INE721A07NV9 SHRIRAM TRANSPORT FINANCE COMPANY LIMITED - FINANCE 12-Jul-21 9.10 42 914.22 9.52

c INE153A08071 MTNL 0.00 INFRASTRUCTURE 28-Nov-24 8.29 3 800.00 8.70

8 INE001A07RF0 HOUSING DEVELOPMENT FINANCE CORPORATION LTD CRISIL AAA FINANCE 21-Jun-19 7.85 28 785.00 8.45

9 INE134E08IH4 POWER FINANCE CORPORATION LIMITED AAA FINANCE 16-Aug-21 7.50 12 740.00 8.61

10 INE001A07QW7 HOUSING DEVELOPMENT FINANCE CORPORATION LTD CRISIL AAA FINANCE 11-Dec-18 7.33 13 715.00 7.86

11 INE001A07RE3 HOUSING DEVELOPMENT FINANCE CORPORATION LTD ICRA AAA FINANCE 20-Mar-19 7.90 19 700.00 8.20

12 INE126X07071 CYQUATOR MEDIA SERVICES PRIVATE LIMITED BWR A1+(SO) OTHERS 27-Mar-19 9.05 12 700.00 8.97

13 INE261F08AL1 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT AAA FINANCE 19-Jul-21 8.39 27 681.00 8.38

14 INE557F08FA4 NATIONAL HOUSING BANK AAA FINANCE 12-Mar-21 7.59 8 675.00 7.79

15 INE134E08HP9 POWER FINANCE CORPORATION LTD. AAA FINANCE 24-Jul-20 8.53 16 657.00 8.47

16 INE205A07139 VEDANTA LIMITED CRISIL AA-Positive MANUFACTURING 5-Apr-21 8.50 13 635.00 8.54

17 INE002A08484 RELIANCE INDUSTRIES LIMITED CARE AAA OIL 16-Sep-20 6.78 14 605.00 8.45

18 INE202B07JA0 DEWAN HOUSING FINANCE CORPORATION LIMITED CARE AAA FINANCE 4-Jun-23 9.00 18 600.20 9.40

19 INE110L07088 RELIANCE JIO INFOCOMM LIMITED ICRA AAA-Stable INFRASTRUCTURE 9-Apr-23 8.00 27 577.00 8.98

20 INE001A07QZ0 HOUSING DEVELOPMENT FINANCE CORPORATION LTD ICRA AAA FINANCE 28-Dec-18 6.96 8 575.00 7.86

21 INE261F08816 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT AAA FINANCE 23-Mar-20 7.18 9 535.00 7.15

22 INE540P07079 U.P. POWER CORPORATION LIMITED 0.00 INFRASTRUCTURE 15-Feb-24 8.97 12 533.00 8.76

23 INE556F08JG5 SMALL INDUSTRIES DEVELOPMENT BANK OF INDIA - FINANCE 27-Sep-21 8.18 12 525.00 8.20

24 INE814H07125 ADANI POWER LIMITED BWR AA- (SO) INFRASTRUCTURE 7-Apr-19 10.70 3 516.00 10.08

25 INE001A07QA3 HOUSING DEVELOPMENT FINANCE CORPORATION LTD AAA FINANCE 25-Jan-19 7.49 10 515.00 8.13

August 2018

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CERTIFICATES OF DEPOSIT AND COMMERCIAL PAPERSAND CORPORATE BONDS, CP, CD REPO

TABLE 112: CDs, CPs & CBRepo TRADING DETAILS Amount Crore`

TABLE 113: HISTORICAL SUMMARY - CP AND CD AND CORPORATE BOND REPOS Amount Crore`

statistics

167

CDs CPs CB RepoDate

Trades Value Trades Value Trades Value

2-Jul-18 44 3199 83 5749

3-Jul-18 71 6546 58 3783 4 600

4-Jul-18 61 4435 89 3931 2 80

5-Jul-18 45 2078 58 3950 7 130

6-Jul-18 51 4438 56 2910 5 64

9-Jul-18 25 1380 42 1958 11 85

10-Jul-18 32 1585 55 4792 8 81

11-Jul-18 51 3257 51 2040 10 78

12-Jul-18 32 1870 67 3522 12 62

13-Jul-18 21 1728 48 2379 4 75

16-Jul-18 55 3033 52 3240

17-Jul-18 44 2745 58 6411

18-Jul-18 29 1623 64 4612

19-Jul-18 38 2775 67 4888 14 85

20-Jul-18 42 3140 85 5725 7 150

23-Jul-18 41 1973 102 8135 2 80

24-Jul-18 33 2685 108 5276 6 90

25-Jul-18 49 2809 128 8234 5 64

26-Jul-18 46 2871 81 5937 11 85

27-Jul-18 40 2605 82 8271

30-Jul-18 82 6811 147 14238 3 425

31-Jul-18 92 9092 167 17312

Total 1024 72676 1748 127292 111 2234

Average 47 3303 79 5786 5 102

CDs CPs CB RepoPeriod

Trades ValueAverage

ValueWeighted avg

yield (%)Trades Value

AverageValue

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

2018-19 (UptoJuly 2018)

5684 400912 4773 6.8938 10266 685572 8162 486 8752 104

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TABLE 114: CERTIFICATE OF DEPOSIT - TENORWISE TRADING ANALYSIS

168

statistics

Residual Maturity(Months)

TradesAmount(` Crore)

WAY (%)

1 303 23185 6.5828

2 175 10080 6.7071

3 165 17877 6.8755

4 30 3190 7.1953

5 40 2754 7.3377

6 15 711 7.2283

7 68 4193 7.5014

8 109 5002 7.4777

9 60 2089 7.5199

10

11 39 1923 7.98102

12 20 1674 8.0085

Total 1024 72676 6.9452

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TABLE 115: COMPARISON OF FBIL TERM MIBOR AND FBIL CD CURVE

BENCHMARK RATES

Percent

statistics

169

14 Days 1 Month 3 Month

Date FBILTerm

MIBOR

CDWARRates

Spreadin Bps

FBILTerm

MIBOR

CDWARRates

Spreadin Bps

FBILTerm

MIBOR

CDWARRates

Spreadin Bps

02-Jul-18 6.80 6.77 3.00 7.05 6.60 45.00 7.34 6.82 52.00

03-Jul-18 6.75 6.25 50.00 6.99 6.55 44.00 7.30 6.78 52.00

04-Jul-18 6.68 6.19 49.00 6.90 6.54 36.00 7.29 7.12 17.00

05-Jul-18 6.66 6.16 50.00 6.87 6.30 57.00 7.29 6.94 35.00

06-Jul-18 6.64 6.06 58.00 6.84 6.30 54.00 7.29 7.00 29.00

09-Jul-18 6.63 6.09 54.00 6.82 6.33 49.00 7.30 7.01 29.00

10-Jul-18 6.63 6.25 38.00 6.81 6.32 49.00 7.28 6.77 51.00

11-Jul-18 6.64 6.30 34.00 6.81 6.40 41.00 7.26 6.97 29.00

12-Jul-18 6.63 6.40 23.00 6.83 6.46 37.00 7.26 6.98 28.00

13-Jul-18 6.61 6.30 31.00 6.83 6.38 45.00 7.26 6.98 28.00

16-Jul-18 6.60 6.40 20.00 6.82 6.54 28.00 7.26 7.01 25.00

17-Jul-18 6.64 6.31 33.00 6.82 6.50 32.00 7.25 7.05 20.00

18-Jul-18 6.66 6.38 28.00 6.82 6.48 34.00 7.18 7.06 12.00

19-Jul-18 6.66 6.38 28.00 6.83 6.46 37.00 7.19 7.07 12.00

20-Jul-18 6.65 6.46 19.00 6.82 6.62 20.00 7.19 6.97 22.00

23-Jul-18 6.67 6.61 6.00 6.86 6.63 23.00 7.23 6.99 24.00

24-Jul-18 6.71 6.64 7.00 6.89 6.64 25.00 7.25 7.04 21.00

25-Jul-18 6.74 6.70 4.00 6.89 6.75 14.00 7.26 7.24 2.00

26-Jul-18 6.75 6.69 6.00 6.92 6.73 19.00 7.30 7.18 12.00

27-Jul-18 6.74 6.69 5.00 6.93 6.88 5.00 7.29 7.33 -4.00

30-Jul-18 6.75 6.84 -9.00 6.94 6.81 13.00 7.31 7.25 6.00

31-Jul-18 6.84 6.91 -7.00 6.97 6.89 8.00 7.33 7.30 3.00

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PercentTABLE 116: FBIL CD CURVE vs FBIL TBILL CURVE

170

statis

tic

s14 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

02-Jul-18 6.77 6.21 56.00 6.6 6.30 30.00 6.82 6.34 48.00 6.82 6.43 39.00 7.32 6.82 50.00 7.60 6.91 69.00 8.11 7.12 99.00

03-Jul-18 6.25 6.18 7.00 6.55 6.27 28.00 6.68 6.36 32.00 6.78 6.51 27.00 7.39 6.85 54.00 7.59 6.92 67.00 8.11 7.11 100.00

04-Jul-18 6.19 6.13 6.00 6.54 6.22 32.00 6.71 6.33 38.00 7.12 6.49 63.00 7.40 6.90 50.00 7.54 6.96 58.00 8.14 7.14 100.00

05-Jul-18 6.16 6.10 6.00 6.3 6.20 10.00 6.63 6.25 38.00 6.94 6.30 64.00 7.15 6.87 28.00 7.54 6.94 60.00 8.15 7.15 100.00

06-Jul-18 6.06 6.13 -7.00 6.3 6.23 7.00 6.69 6.29 40.00 7.00 6.34 66.00 7.40 6.84 56.00 7.54 6.91 63.00 8.12 7.12 100.00

09-Jul-18 6.09 6.17 -8.00 6.33 6.27 6.00 6.72 6.32 40.00 7.01 6.34 67.00 7.43 6.86 57.00 7.51 6.94 57.00 8.15 7.15 100.00

10-Jul-18 6.25 6.18 7.00 6.32 6.28 4.00 6.54 6.38 16.00 6.77 6.45 32.00 7.13 6.82 31.00 7.50 6.90 60.00 8.10 7.11 99.00

11-Jul-18 6.30 6.25 5.00 6.4 6.29 11.00 6.64 6.49 15.00 6.97 6.52 45.00 7.43 6.92 51.00 7.45 6.99 46.00 7.98 7.18 80.00

12-Jul-18 6.40 6.15 25.00 6.46 6.24 22.00 6.66 6.49 17.00 6.98 6.53 45.00 7.43 6.84 59.00 7.46 6.95 51.00 7.99 7.19 80.00

13-Jul-18 6.30 6.26 4.00 6.38 6.35 3.00 6.61 6.49 12.00 6.98 6.53 45.00 7.48 6.90 58.00 7.43 6.98 45.00 7.99 7.19 80.00

16-Jul-18 6.40 6.30 10.00 6.54 6.39 15.00 6.71 6.53 18.00 7.01 6.52 49.00 7.45 6.89 56.00 7.46 6.97 49.00 7.98 7.19 79.00

17-Jul-18 6.31 6.16 15.00 6.5 6.25 25.00 6.74 6.51 23.00 7.05 6.51 54.00 7.43 6.90 53.00 7.45 6.98 47.00 7.98 7.18 80.00

18-Jul-18 6.38 6.18 20.00 6.48 6.28 20.00 6.74 6.51 23.00 7.06 6.52 54.00 7.25 6.92 33.00 7.47 7.00 47.00 8.00 7.21 79.00

19-Jul-18 6.38 6.29 9.00 6.46 6.38 8.00 6.70 6.51 19.00 7.07 6.54 53.00 7.24 6.92 32.00 7.47 7.00 47.00 7.97 7.20 77.00

20-Jul-18 6.46 6.31 15.00 6.62 6.40 22.00 6.70 6.53 17.00 6.97 6.58 39.00 7.33 6.81 52.00 7.50 6.95 55.00 7.98 7.21 77.00

23-Jul-18 6.61 6.33 28.00 6.63 6.42 21.00 6.75 6.54 21.00 6.99 6.59 40.00 7.38 6.86 52.00 7.47 6.92 55.00 7.95 7.19 76.00

24-Jul-18 6.64 6.36 28.00 6.64 6.45 19.00 6.75 6.58 17.00 7.04 6.63 41.00 7.47 6.89 58.00 7.50 6.95 55.00 7.97 7.20 77.00

25-Jul-18 6.70 6.41 29.00 6.75 6.50 25.00 6.89 6.43 46.00 7.24 6.68 56.00 7.59 6.96 63.00 7.54 7.01 53.00 8.02 7.26 76.00

26-Jul-18 6.69 6.56 13.00 6.73 6.50 23.00 6.87 6.50 37.00 7.18 6.71 47.00 7.51 6.88 63.00 7.50 6.97 53.00 8.01 7.25 76.00

27-Jul-18 6.69 6.54 15.00 6.88 6.49 39.00 7.18 6.49 69.00 7.33 6.70 63.00 7.50 6.87 63.00 7.50 6.95 55.00 7.99 7.23 76.00

30-Jul-18 6.84 6.50 34.00 6.81 6.41 40.00 6.95 6.48 47.00 7.25 6.62 63.00 7.43 6.79 64.00 7.60 6.88 72.00 7.99 7.16 83.00

31-Jul-18 6.91 6.56 35.00 6.89 6.47 42.00 6.91 6.54 37.00 7.30 6.69 61.00 7.42 6.86 56.00 7.55 6.95 60.00 8.06 7.22 84.00

August 2018


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PercentTABLE 117: FBIL FC-RUPEE OPTION VOLATILITY MATRIX RATES - AT THE MONEY (ATM) VOLS

171

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

TM Vols

2-Jul-18 0.05 0.07 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06

3-Jul-18 0.06 0.07 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06

4-Jul-18 0.06 0.07 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06

5-Jul-18 0.06 0.07 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06

6-Jul-18 0.06 0.07 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06

9-Jul-18 0.05 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06

10-Jul-18 0.05 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06

11-Jul-18 0.05 0.06 0.06 0.05 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06

12-Jul-18 0.05 0.06 0.06 0.05 0.06 0.05 0.05 0.06 0.06 0.06 0.06 0.06 0.06 0.06 0.06

13-Jul-18 0.05 0.06 0.06 0.05 0.06 0.05 0.05 0.06 0.06 0.05 0.06 0.06 0.06 0.06 0.06

16-Jul-18 0.05 0.06 0.05 0.05 0.06 0.05 0.05 0.06 0.05 0.05 0.06 0.06 0.06 0.06 0.06

17-Jul-18 0.05 0.06 0.05 0.05 0.06 0.05 0.05 0.06 0.05 0.05 0.06 0.06 0.06 0.06 0.06

18-Jul-18 0.05 0.06 0.05 0.05 0.05 0.05 0.05 0.06 0.05 0.05 0.06 0.06 0.06 0.06 0.06

19-Jul-18 0.05 0.06 0.06 0.05 0.06 0.05 0.05 0.06 0.05 0.05 0.06 0.06 0.06 0.06 0.06

20-Jul-18 0.05 0.06 0.06 0.05 0.06 0.05 0.05 0.06 0.06 0.05 0.06 0.06 0.06 0.06 0.06

23-Jul-18 0.05 0.06 0.06 0.05 0.06 0.05 0.05 0.06 0.05 0.05 0.06 0.06 0.06 0.06 0.06

24-Jul-18 0.05 0.06 0.06 0.05 0.06 0.05 0.05 0.06 0.05 0.05 0.06 0.06 0.06 0.06 0.06

25-Jul-18 0.05 0.06 0.05 0.05 0.06 0.05 0.05 0.06 0.05 0.05 0.06 0.06 0.06 0.06 0.06

26-Jul-18 0.05 0.06 0.06 0.05 0.05 0.05 0.05 0.05 0.05 0.05 0.06 0.06 0.06 0.06 0.06

27-Jul-18 0.05 0.06 0.05 0.05 0.05 0.05 0.05 0.06 0.05 0.05 0.06 0.06 0.06 0.06 0.06

30-Jul-18 0.05 0.06 0.05 0.05 0.05 0.05 0.05 0.05 0.05 0.05 0.06 0.06 0.06 0.06 0.06

31-Jul-18 0.05 0.06 0.05 0.05 0.05 0.05 0.05 0.05 0.05 0.05 0.06 0.06 0.06 0.06 0.06

August 2018

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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

172

statistics

25 DELTA RRDATE

1 WEEK 1 MONTH 3 MONTHS 6 MONTHS 12 MONTHS

2-Jul-18 0.01 0.01 0.01 0.01 0.01

3-Jul-18 0.01 0.01 0.01 0.01 0.01

4-Jul-18 0.01 0.01 0.01 0.01 0.01

5-Jul-18 0.01 0.01 0.01 0.01 0.01

6-Jul-18 0.01 0.01 0.01 0.01 0.01

9-Jul-18 0.01 0.01 0.01 0.01 0.01

10-Jul-18 0.01 0.01 0.01 0.01 0.01

11-Jul-18 0.01 0.01 0.01 0.01 0.01

12-Jul-18 0.01 0.01 0.01 0.01 0.01

13-Jul-18 0.01 0.01 0.01 0.01 0.01

16-Jul-18 0.01 0.01 0.01 0.01 0.01

17-Jul-18 0.01 0.01 0.01 0.01 0.01

18-Jul-18 0.01 0.01 0.01 0.01 0.01

19-Jul-18 0.01 0.01 0.01 0.01 0.01

20-Jul-18 0.01 0.01 0.01 0.01 0.01

23-Jul-18 0.01 0.01 0.01 0.01 0.01

24-Jul-18 0.01 0.01 0.01 0.01 0.01

25-Jul-18 0.01 0.01 0.01 0.01 0.01

26-Jul-18 0.01 0.01 0.01 0.01 0.01

27-Jul-18 0.01 0.01 0.01 0.01 0.01

30-Jul-18 0.01 0.01 0.01 0.01 0.01

31-Jul-18 0.00 0.01 0.01 0.01 0.01

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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

173

25 DELTA STRDATE

1 WEEK 1 MONTH 3 MONTHS 6 MONTHS 12 MONTHS

2-Jul-18 0.10 0.14 0.21 0.26 0.31

3-Jul-18 0.10 0.14 0.21 0.26 0.31

4-Jul-18 0.10 0.14 0.21 0.26 0.31

5-Jul-18 0.10 0.14 0.21 0.26 0.31

6-Jul-18 0.10 0.14 0.21 0.26 0.31

9-Jul-18 0.10 0.14 0.21 0.26 0.31

10-Jul-18 0.10 0.14 0.21 0.26 0.31

11-Jul-18 0.10 0.14 0.21 0.26 0.31

12-Jul-18 0.10 0.14 0.21 0.26 0.31

13-Jul-18 0.10 0.13 0.21 0.26 0.31

16-Jul-18 0.10 0.14 0.21 0.26 0.31

17-Jul-18 0.10 0.14 0.21 0.26 0.31

18-Jul-18 0.10 0.14 0.21 0.26 0.31

19-Jul-18 0.10 0.14 0.21 0.26 0.31

20-Jul-18 0.10 0.14 0.21 0.26 0.31

23-Jul-18 0.10 0.14 0.21 0.26 0.31

24-Jul-18 0.10 0.14 0.21 0.26 0.31

25-Jul-18 0.10 0.14 0.21 0.26 0.31

26-Jul-18 0.10 0.14 0.21 0.26 0.31

27-Jul-18 0.10 0.14 0.21 0.26 0.31

30-Jul-18 0.10 0.14 0.20 0.26 0.31

31-Jul-18 0.10 0.13 0.20 0.25 0.29

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statistics2002-03 191843 1076147 646 3623 23284 933509 78 3143 100232 136102 1101 1496 159 852 3 16...

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