-monthly market review - nse · between an observation of low volatility and crises making ex ante...

June 2018

-Monthly Market Review

National Stock Exchange of India Limited – Jun 2018 1

Global Regulatory Scanner

US Federal Reserve releases note on ‘Low Risk as a Predictor of Financial Crises’

Most empirical literature on early warning indicators (EWIs) of financial crises, has the view

that likelihood of crises increases along with measured risk, typically measured by ex-post

outcomes in financial markets--price movements or volatility, VIX, CDS spreads, volumes and

other activity measures like SRISK (Acharya et. al 2012) and the ECB systemic risk composite

indicator. The theoretical literature suggests that such EWIs are likely to be of limited use.

They signal high risk once a crisis is underway, but do not provide much in terms of ex ante

prediction, limiting their usefulness.

Economic theory suggests that perceptions of risk, especially when they deviate from what

economic agents have come to expect--affect risk taking behavior. This leads to the instability

hypothesis, where economic agents observing low financial risk are induced to increase risk-

taking, which in turn may lead to a crisis. One of the ways that stability can be destabilizing is

as follows:

At the start, economic agents observe that volatility is lower than what they have come to

expect. This fuels optimism, making the agents more willing to take more risk. This is

manifested within the banking sector, which will both lend more than it did before and also

make riskier loans. Eventually, loan defaults mount, a banking crisis ensues, at which time

volatility increases sharply. This chain of events implies that a considerable time passes

between an observation of low volatility and crises making ex ante prediction possible. An

observation of high volatility directly results from a crisis, implying that by the time volatility

peaks, it is too late to react--a drawback of ex post measures.

In the aftermath of the 2008 crisis, policymakers are actively searching for signals of future

financial and economic instability and developing policy tools to mitigate the crisis. Most EWI

of crises are founded on ex-post market data, typically volatility in some form or another, where

increasing volatility indicates the financial system has become more risky, and a crisis is

therefore more likely. However, an observation of high risk is the consequence of a stress event

where financial instructions are in difficulties, not the cause. It will be more fruitful to search

for EWIs amongst the fundamental drivers of financial instability. A major cause of financial

crises is excessive risk-taking by economic agents when they perceive a low risk environment

and are endogenously incentivized to take more risk, which ultimately culminates in a crisis.

With help of data, the authors confirm this view. The policy authorities and private institutions

would consequently benefit from using low volatility as a crisis indicator since an observation

of current low volatility implies that a future crisis is more likely.

For more details see:

https://www.federalreserve.gov/econres/notes/feds-notes/low-risk-as-a-predictor-of-financial-

crises-20180509.htm

https://www.federalreserve.gov/econres/notes/feds-notes/low-risk-as-a-predictor-of-financial-crises-20180509.htm

https://www.federalreserve.gov/econres/notes/feds-notes/low-risk-as-a-predictor-of-financial-crises-20180509.htm

2 National Stock Exchange of India Limited – Jun 2018

Global News

China’s manufacturing Purchasing Managers Index (PMI) slips in June 2018 amid

escalating trade conflict with the US

The key highlights of the report published by National Bureau of Statistics of China:

China’s manufacturing PMI stood at 51.5% in June as compared 51.9% in May, a

decrease of 0.4%.

The PMI of large-sized enterprises was 52.9%, a decrease of 0.2% from last month,

whereas the PMI for medium-sized enterprises was 49.9%, a decrease of 1.1 % over

the same period.

However, the PMI for small-sized enterprises increased 0.2% from last month to

49.8%.

The production sub-index fell to 53.6% in June from 54.1% in May, while the new

orders sub-index declined to 53.2% from 53.8% indicating slowdown in the growth of

manufacturing.

The new export orders sub-index fell to 49.8% from 51.2% in May, indicating

weakening demand from other countries.

Main raw materials inventory sub-index was 48.8%, a decrease of 0.8% from last

month, and was lower than the threshold, indicating decline in the inventory levels of

manufacturing industry.

Employed person sub-index was 49.0%, a decrease of 0.1% from last month, lower

than the threshold, indicating a decrease in the labour employment in the

manufacturing enterprises.

The non-manufacturing PMI, covering services and construction, rose to 55% in June

as compared to 54.9% in May and 0.2% higher than the average of the first half of the

year, indicating steady expansion in the non-manufacturing sector.

The composite PMI Output index covering manufacturing and services activity stood

at 54.4% in June, a decrease of 0.2% from last month but higher than the average for

the first half of the year.

For more details see:

http://www.stats.gov.cn/english/PressRelease/201807/t20180704_1607714.html

Key circular issued by SEBI in June 2018

Review of Investment by Foreign Portfolio Investors (FPI) in Debt (SEBI: June 15, 2018)

In accordance with RBI circular A.P. (DIR Series) Circular No. 31 dated June 15, 2018, the

changes to operational aspects of FPI investment in debt are set forth below:

It has been decided to withdraw minimum residual maturity restriction of three years

for investment by FPIs in G-Secs and SDLs. Further, the auction process being carried

out by BSE/ NSE shall be discontinued from the date of this circular.

Till date, depositories were monitoring the G-Sec/ SDLs utilisation limits and reporting

to SEBI. Henceforth, the overall monitoring of G-Sec/ SDLs will be done by Clearing

Corporation of India Ltd.(CCIL)

http://www.stats.gov.cn/english/PressRelease/201807/t20180704_1607714.html

https://rbidocs.rbi.org.in/rdocs/Notification/PDFs/NT199035211F142484DEBA657412BFCB17999.PDF


Thus, any circular previously issued by SEBI from time to time for monitoring of G-

Sec and SDLs stands withdrawn and hence, shall not be applicable to FPIs for

investments in G-Secs and SDLs from June 1, 2018. However, FPIs may be guided by

RBI circular dated June 15, 2018 referred above for the requirements of G-Secs and

SDLs.

Further, revised requirements for FPIs investments in corporate debt securities are

placed as Annexure (see circular link for details).

It is clarified that the primary responsibility of complying with monitoring the corporate

debt investment limits is with the FPIs on whose behalf depositories will monitor the

investment limits. As the depositories are maintaining the data on investor group level,

depositories shall monitor the investments at the investor group level. Custodians shall

be responsible for monitoring their own clients.

At the time of monitoring the corporate debt investment limits, depositories shall

identify the FPIs in breach and inform to their respective custodians who in turn shall

advise their FPI clients for the needful. For the monitoring of G-Secs/ SDLs utilisation

limits by CCIL, depositories shall share the investor group data with RBI and CCIL on

a monthly basis.

The stock exchanges and depositories shall put in place the necessary systems for the

online monitoring of the investment limits

To view the circular, please refer to: https://www.sebi.gov.in/legal/circulars/jun-2018/review-

of-investment-by-foreign-portfolio-investors-fpi-in-debt_39284.html

https://www.sebi.gov.in/legal/circulars/jun-2018/review-of-investment-by-foreign-portfolio-investors-fpi-in-debt_39284.html

https://www.sebi.gov.in/legal/circulars/jun-2018/review-of-investment-by-foreign-portfolio-investors-fpi-in-debt_39284.html


Performance of Broad Market Asset Class

Exchange Current Month

Previous Month

MOM Change

YOY Change

Mar’18 -Current

YTD Change

(Jan – current) EQUITY

NIFTY 50 NSE 10714.30 10736.15 -0.20% 12.53% 5.94% 1.74%

NIFTY BANK NSE 26364.20 26956.20 -2.20% 13.58% 8.66% 3.23%

NIFTY IT NSE 13989.50 13666.00 2.37% 37.76% 11.81% 19.92%

INDIA VIX NSE 12.94 13.22 -2.16% 10.27% -17.90% 2.11%

DOWJONE NYSE 24271.41 24415.84 -0.59% 13.69% 0.70% -1.81%

NASDAQ NASDAQ 7510.30 7442.12 0.92% 22.31% 6.33% 8.79%

FTSE 100 CFD 7636.93 7678.20 -0.54% 4.43% 8.22% -0.66%

HANGSENG CFD 28955.11 30468.56 -4.97% 12.38% -3.78% -3.22%

NIKKEI CFD 22304.51 22201.82 0.46% 11.34% 5.41% -2.02%

COMMODITY

GOLD CFD 1251.30 1300.10 -3.75% 0.85% -5.41% -4.21%

SILVER CFD 16.10 16.40 -1.82% -2.80% -0.73% -5.60%

COPPER CFD 2.95 3.06 -3.50% 9.34% -2.25% -10.03%

ZINC CFD 2856.75 3103.25 -7.94% 3.56% -12.84% -13.91%

ALUMINIUM CFD 2131.75 2291.50 -6.97% 11.04% 6.33% -6.32%

NICKEL CFD 14950.00 15292.50 -2.24% 59.51% 11.73% 18.16%

CRUDE- WTI CFD 74.15 67.04 10.61% 61.06% 14.18% 22.72%

CRUDE- BRENT CFD 79.44 77.59 2.38% 65.78% 13.05% 18.80%

NATGAS CFD 2.92 2.95 -0.95% -3.66% 6.99% -0.98%

CURRENCY

USDINR Real Time FX 68.46 67.43 1.53% 5.94% 5.14% 7.24%

EURUSD Real Time FX 1.17 1.17 -0.06% 2.27% -5.02% -2.61%

USDJPY Real Time FX 110.68 108.82 1.71% -1.51% 3.99% -1.78%

GBPUSD Real Time FX 1.32 1.33 -0.68% 1.40% -5.76% -2.26%

US Dollar Index Real Time FX 94.35 93.96 0.42% -1.12% 5.06% 2.74%

MONEY MARKET

10Y US BOND NSE 2.86 2.86 0.00% 24.13% 4.34% 18.92%

10Y IND BOND NYSE 7.90 7.83 0.98% 21.38% 6.83% 7.99%

Source: in.investing.com


Primary Market Statistics

Capital Raised

Capital Raised in the Month Rs Mn USD Mn

Newly issued shares (IPOs)- 986.58 14.39

FPOs 0.00 0.00

Public issue of NCDs 109447.86 1596.02

Further Issues (FIs) 238327.16 3475.41

Total 3,48,761.60 5085.82

Main Board Listing of the Month - Adani Green Energy Limited

Sector Energy

Market Capitalisation (INR Crores) 4926.64

No of times subscribed -

Listing Gains -

SME Listing of the Month - Accuracy Shipping Limited

Sector Logistics

Market Capitalisation (INR Crores) 130

No of times subscribed 1

Listing Gains 4.76%

IPO Listed during the month

Sr. No. Listing Date Symbol Company Name Series

1 04-Jun-2018 SUULD Suumaya Lifestyle Limited SM 2 04-Jun-2018 SVLL Shree Vasu Logistics Limited SM 3 05-Jun-2018 DSML Debock Sales And Marketing Limited SM 4 05-Jun-2018 LATTEYS Latteys Industries Limited SM 5 14-Jun-2018 SONAMCLOCK Sonam Clock Limited SM 6 18-Jun-2018 ADANIGREEN Adani Green Energy Limited BE 7 20-Jun-2018 OSWALSEEDS ShreeOswal Seeds And Chemicals ltd SM 8 21-Jun-2018 PRITI Priti International Limited SM 9 22-Jun-2018 ACCURACY Accuracy Shipping Limited SM 10 27-Jun-2018 SOLARA Solara Active Pharma Sciences ltd BE 11 28-Jun-2018 GAYAHWS Gayatri Highways Limited BE 12 29-Jun-2018 TALWGYM Talwalkars Lifestyles Limited BE


Secondary Market Statistics

Institutional Flows 1. Institutional Flows- CM Gross

Broad Category Buy Value (Rs Crs) Sell Value (Rs Crs) Net (Rs Crs)

DII 71921.28 58817.17 13104.11

FII 97330.03 108784.77 -11454.74

2. Institutional Flows- F&O Gross


DII 76099.49 81152.78 -5053.29

FII 2194620.22 2173660.89 20959.33

3. Institutional Flows- CDS Gross


DII 10202.26 8649.52 1552.74

FII 46423.53 40974.77 5448.77

Flagship Index “NIFTY 50” Statistics

Number of constituents : 51

Derivatives available : YES

ETFs available : 14

PE 25.90

PB 3.61

Div Yield

1.22


Average Daily Turnover (INR Crores)

4. Equity Market

Product Current Month

Previous Month

Change Previous FY

Current FY

YTD

Cash Market 28180.57 31823.78 -11.45% 29416.08 30210.41 32122.44

Exchange Traded Funds 146.63 137.13 6.93% 126.42 137.69 150.49

SME EMERGE 23.36 25.12 -7.00% 22.49 25.35 28.89

Sovereign Gold Bonds 0.39 0.30 30.45% 0.35 0.40 0.43

InvITs 4.55 7.02 -35.14% 16.57 5.41 7.00

Mutual Funds (Close Ended) 2.75 0.08 3193.73% 0.30 1.26 0.95

5. Equity Derivatives - Index Futures


Previous Month

Change Previous FY

Current FY

YTD

BANKNIFTY 10282.75 9178.20 12.03% 8031.17 9545.66 9859.06

NIFTY 11976.57 11065.29 8.24% 11477.95 11467.22 13370.36

NIFTYCPSE 0.00 0.00 0.00 0.01 0.00 0.00

NIFTYINFRA 0.00 0.00 0.00 0.01 0.00 0.00

NIFTYIT 26.67 35.17 -24.19% 18.27 36.97 33.01

NIFTYPSE 0.01 0.00 0.00 0.01 0.00 0.00


6. Equity Derivatives - Index Options


Previous Month

Change Previous FY

Current FY YTD

BANKNIFTY 1247.12 1101.30 13.24% 741.07 1105.91 1083.58

NIFTY 1131.29 1044.71 8.29% 1131.48 1092.97 1322.82

NIFTYCPSE 0.00 0.00 -100.00% 0.00 0.00 0.00

NIFTYINFRA 0.00 0.00 0.00 0.00 0.00 0.00

NIFTYIT 0.00 0.00 0.00 0.00 0.00 0.00

NIFTYPSE 0.00 0.00 0.00 0.00 0.00 0.00

7. Currency Derivatives- Futures


Previous Month

Change Previous FY

Current FY

YTD

EURINR 839.30 837.89 0.17% 663.91 810.30 833.53

EURUSD 374.28 497.36 -24.75% 340.39 350.89 348.24

GBPINR 955.78 909.21 5.12% 803.35 964.28 988.20

GBPUSD 188.96 159.61 18.39% 280.20 172.30 199.60

JPYINR 263.33 183.00 43.89% 190.85 216.22 228.16

USDINR 14519.96 15739.12 -7.75% 9012.42 14587.17 12637.93

USDJPY 8.96 9.43 -5.01% 18.31 10.34 12.36

8. Currency Derivatives- Options


Previous Month

Change Previous FY

Current FY

YTD

EURINR 0.06 0.10 -40.28% 0.19 0.10 0.12

EURUSD 0.00 0.00 0.00 0.00 0.00 0.00

GBPINR 0.03 0.05 -39.67% 0.02 0.06 0.05

GBPUSD 0.00 0.00 0.00 0.00 0.00 0.00

JPYINR 0.01 0.01 45.06% 0.01 0.01 0.01

USDINR 42.12 44.83 -6.04% 31.18 40.73 35.54

USDJPY 0.00 0.00 0.00 0.00 0.00 0.00


9. NSE Bond Futures II


Previous Month

Change Previous FY

Current FY

YTD

668GS2031 0.00 4.04 -100.00% 38.78 4.42 30.19

679GS2027 198.36 505.92 -60.79% 910.98 677.70 959.93

679GS2029 0.00 0.00 0.00 2.90 0.00 0.00

684GS2022 0.00 0.00 0.00 0.00 0.00 0.00

697GS2026 0.00 0.00 0.00 259.74 0.00 0.00

717GS2028 212.30 39.50 437.49% 18.92 88.06 56.85

761GS2030 0.00 0.00 0.00 14.96 0.00 2.46


Client Category Participation- Percentage contribution

1. Equity Market


Previous Month

Change Previous FY

Current FY

YTD

Corporates 6.78% 8.07% -29.03% 10.67% 7.71% 8.66%

DII 11.05% 10.19% -8.39% 10.23% 10.35% 10.36%

FII 17.41% 16.70% -11.85% 16.21% 16.09% 15.72%

Others 44.75% 44.93% -15.83% 44.82% 46.05% 45.76%

PRO 20.02% 20.10% -15.84% 18.07% 19.80% 19.50%

2. Equity Derivatives


Previous Month

Change Previous FY

Current FY

YTD

Corporates 9.24% 8.99% -1.14% 8.46% 9.08% 9.99%

DII 0.42% 0.41% -1.93% 0.47% 0.45% 0.46%

FII 11.74% 12.62% -10.54% 11.55% 12.33% 12.64%

Others 35.85% 35.39% -2.53% 37.16% 35.56% 34.71%

PRO 42.75% 42.58% -3.39% 42.37% 42.58% 42.20%

3. Currency Derivatives


Previous Month

Change Previous FY

Current FY

YTD

Corporates 12.33% 12.11% -9.58% 9.72% 11.68% 10.81%

DII 1.54% 1.60% -14.70% 0.69% 1.42% 1.21%

FII 7.14% 3.61% 75.62% 3.04% 4.90% 4.27%

Others 16.52% 14.59% 0.59% 14.54% 15.13% 15.26%

PRO 62.47% 68.08% -18.50% 72.01% 66.86% 68.45%



Previous Month

Change Previous FY

Current FY

YTD

Corporates 25.71% 24.77% -25.96% 20.40% 19.91% 19.36%

DII 4.34% 2.07% 49.49% 2.58% 2.28% 2.23%

FII 0.34% 1.33% -81.66% 2.97% 3.55% 3.54%

Others 7.17% 5.92% -13.56% 4.45% 5.58% 5.34%

PRO 62.43% 65.91% -32.42% 69.60% 68.68% 69.53%


Asset Category wise Open Interest

1. Equity Derivatives


Previous Month

Change Previous FY Current FY YTD

FUTSTK 5414902025.90 5500805711.68 -1.56% 4961728948.47 5425660923.16 5470899320.60

OPTSTK 1561264161.57 1809721328.05 -13.73% 1623063742.87 1606804599.16 1709121857.28

2. Equity Derivatives - Index Futures


Previous Month


BANKNIFTY 2707072.38 3101032.73 -12.70% 508419.67 1954238.13 2423855.81

NIFTY 24687567.86 25507288.64 -3.21% 4388614.94 16868738.67 26528276.61

NIFTYCPSE 0.00 0.00 0.00 0.00 0.00 0.00

NIFTYINFRA 0.00 0.00 0.00 0.00 0.00 0.00

NIFTYIT 44566.67 58515.91 -23.84% 9037.60 34738.28 43541.53

NIFTYPSE 19.05 0.00 0.00 1.63 6.25 3.23

3. Equity Derivatives - Index Options


Previous Month


BANKNIFTY 23050889.52 20908796.36 10.24% 3837651.22 14750971.88 20128312.58

NIFTY 121377276.19 131322098.86 -7.57% 22105727.54 84968890.23 139880709.07

NIFTYCPSE 0.00 34.09 -100.00% 3.05 11.72 22.18

NIFTYINFRA 0.00 0.00 #DIV/0! 0.00 0.00 0.00

NIFTYIT 0.00 0.00 #DIV/0! 0.00 0.00 6.05

NIFTYPSE 0.00 0.00 #DIV/0! 0.00 0.00 0.00

4. Currency Derivatives- Futures


Previous Month


EURINR 104108.10 116932.41 -10.97% 133745.66 127059.45 151486.00

EURUSD 29681.38 28943.18 2.55% 16166.76 26149.97 23624.10

GBPINR 54109.05 65732.41 -17.68% 66993.99 74107.13 81135.75

GBPUSD 6963.43 9414.14 -26.03% 7937.71 8508.79 8364.30

JPYINR 33854.76 27645.00 22.46% 31363.55 30133.29 35994.12

USDINR 3447165.71 3968342.77 -13.13% 2070109.54 3383564.06 2845621.24

USDJPY 1634.71 2209.95 -26.03% 3077.71 2155.34 2388.71


5. Currency Derivatives- Options


Previous Month


EURINR 7499.76 14452.09 -48.11% 17169.62 13006.37 14059.72

EURUSD 0.00 0.91 -100.00% 88.10 77.31 80.04

GBPINR 3532.86 7827.86 -54.87% 1144.67 6090.39 4839.06

GBPUSD 0.00 0.00 #DIV/0! 10.86 0.00 2.75

JPYINR 2472.81 2851.14 -13.27% 7705.33 2723.63 3984.06

USDINR 2466152.24 2760756.41 -10.67% 3075539.38 2560891.90 2482093.50

USDJPY 0.00 0.00 #DIV/0! 0.90 0.00 0.23



Previous Month

Change Previous FY

Current FY

YTD

668GS2031 0.00 1250.00 -100.00% 5747.07 443.84 4032.21

679GS2027 41788.90 60092.82 -30.46% 66951.66 56890.68 72100.42

679GS2029 0.00 0.00 0.00 151.84 0.00 0.00

684GS2022 0.00 0.00 0.00 0.00 0.00 0.00

697GS2026 0.00 0.00 0.00 27007.49 0.00 0.00

717GS2028 17452.43 10450.77 67.00% 2099.39 10912.56 6934.94

Internet Based Trading Turnover

1. Equity Market


Previous Month

Change Previous FY

Current FY YTD

Cash market 4285.89 4782.93 -10.39% 4126.08 4625.86 4838.25

Equity Derivatives 131643.87 129567.42 1.60% 92016.81 124481.94 119084.75

Currency Derivatives 2211.45 2095.49 5.53% 1235.54 1989.31 1769.71

NBFII 9.51 13.03 -27.01% 22.88 22.31 20.21

Record Statistics

Instrument Turnover Rs. Crs Turnover USD Mn Date

Equity Turnover 59242.80 7625.21 31, May, 2018

Index Futures 58105.67 8933.27 29, September, 2016

Stock Futures 195433.08 30046.24 25, January, 2018

Index Options Premium 6443.05 990.57 06, February, 2018

Stock Options Premium 1297.90 199.54 25, October, 2017


Important Links –

Mode of Trading Cash Market -

https://nseindia.com/products/content/equities/equities/mode_of_trading.htm

Mode of Trading Equity Derivative Market –

https://nseindia.com/products/content/derivatives/equities/mode_of_trading.htm

Disclaimer:

Market conditions can lead to substantial profit or loss. Investors are advised to seek adequate

product and market knowledge as well as proper investment advice before trading. The material

provided here is for general information purposes only. While care has been taken to ensure

accuracy, the information furnished to reader with no warranty as to accuracy or completeness of its

contents and on condition that any changes, omissions or errors shall not be made the basis for any

claim, demand or cause for action.

https://nseindia.com/products/content/equities/equities/mode_of_trading.htm

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-monthly market review - nse · between an observation of low volatility and crises making ex ante...

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