table 11: ccil settlement details e outright repo (first ...e` s table 11: ccil settlement details...

Amount Crore`

StatisticsTABLE 11: CCIL SETTLEMENT DETAILS

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

**Launched on November 5, 2018

CCIL Monthly Newsletter

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

Settlement PeriodTrades Value

Avg.Trades

Avg.Vol

Trades ValueAvg.

TradesAvg.Vol

TradesValue(USD

Million)

Avg.Trades

Avg.Vol

(USDMillion)

Trades ValueAvg.

TradesAvg.Vol

2002-03 191843 1076147 646 3623 23284 933509 78 3143 100232 136102 1101 1496 - - - -

2003-04 243585 1575133 820 5303 41886 1887266 142 6419 330517 501342 1425 2161 - - - -

2004-05 160682 1134222 550 3884 48726 3116185 167 10672 466327 899782 1976 3813 - - - -

2005-06 125509 864751 467 3215 51332 3386870 176 11599 489649 1179688 2084 5020 - - - -

2006-07 137100 1021536 562 4187 58009 5112560 199 17509 606808 1776981 2550 7466 - - - -

2007-08 188843 1653851 765 6696 53258 7893536 182 27033 757074 3133665 3181 13167 - - - -

2008-09 245964 2160233 1047 9192 48561 8187856 169 28529 837520 3758904 3657 16414 - - - -

2009-10 316956 2913890 1332 12243 57289 12142409 201 42605 883949 2988971 3843 12996 - - - -

2010-11 332540 2870952 1346 11623 54842 8207508 187 27917 1150037 4191037 4792 17463 - - - -

2011-12 412266 3488203 1732 14656 59573 7524816 205 25858 1283178 4642573 5579 20185 - - - -

2012-13 658055 6592032 2731 27353 83141 10804188 288 37385 1396138 4830933 6018 20823 - - - -

2013-14 820330 8956699 3390 37011 92795 14454046 317 49331 1512215 4743321 6490 20358 - - - -

2014-15 977948 10156162 4126 42853 109391 15735514 381 54828 1731706 5297790 7595 23236 - - - -

2015-16 883167 9728541 3665 40367 135623 17249279 490 62272 1885129 5489286 8056 23458 - - - -

2016-17 1342410 16874146 5570 70017 167888 23564763 622 87277 1926106 6274978 8302 27047 - - - -

2017-18 918737 11399881 3812 47302 198953 25636498 748 96378 2174774 6494454 9294 27754 - - - -

2018-19 806004 9355007 3331 38657 216207 27124989 804 100836 2375821 6814433 10197 29246 88670 14451590 821 133811

Apr-19 58435 791580 3246 43977 16149 1685734 850 88723 157497 665176 8750 36954 15506 2397559 816 126187

May-19 85941 1032918 3906 46951 22452 2416631 976 105071 187557 636813 8931 30324 18683 2994282 812 130186

Jun-19 111237 1507446 5855 79339 20472 2441204 931 110964 161756 586246 8513 30855 16676 2879802 758 130900

Jul-19 135958 1766292 5911 76795 22878 2562517 915 102501 184029 602202 8365 27373 19088 3190152 764 127606

Aug-19 93222 1292195 4661 64610 18595 2162777 845 98308 204653 569140 10233 28457 17693 3016154 804 137098

Sep-19 66863 952087 3519 50110 17933 2075682 854 98842 182108 594843 9585 31308 16562 2901933 789 138187

Oct-19 53492 777816 2815 40938 18514 2220319 882 105729 170623 543478 9479 30193 17592 3268630 838 155649

2019-20 (Upto October 2019) 605148 8120334 4322 58002 136993 15564863 895 101731 1248223 4197898 9111 30642 121800 20648512 796 134958

November 2019

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TABLE 12: CATEGORYWISE BUYING ACTIVITY Percent

Percent

* Call, Notice and Term Money segment.** Includes Small Finance and Payment Banks

TABLE 13: CATEGORYWISE SELLING ACTIVITY

* Call, Notice and Term Money segment.** Includes Small Finance and Payment Banks

statistics

70

Category OutrightReverse Repo

(FundsLending)

TREPLending@

UncollateralisedMoney Market

Lending*Forex

IRS-MIBOR

IRS-MIFOR

Co-operative Banks 2.38 0.19 0.88 53.22** 0.20 - -

Financial Institutions 0.59 0.77 2.12 - 0.00 - -

Foreign Banks 20.21 28.64 0.52 5.26 43.23 39.34 70.93

Insurance Companies 2.11 5.59 18.23 - - - -

Mutual Funds 11.36 54.59 64.74 - - - -

Others 4.82 0.08 12.85 - - - -

Primary Dealers 9.74 3.47 0.00 0.00 - 23.80 0.00

Private Sector Banks 29.04 5.63 0.56 21.20 29.51 34.53 28.67

Public Sector Banks 19.75 1.04 0.11 20.32 27.06 2.34 0.41

Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00

Category OutrightRepo

(FundsBorrowing)

TREPBorrowing@

UncollateralisedMoney Market

Borrowing*Forex

IRS-MIBOR

IRS-MIFOR

Co-operative Banks 2.37 2.28 1.12 2.14** 0.21 - -

Financial Institutions 0.60 0.00 3.40 - 0.00 - -

Foreign Banks 22.47 24.80 12.80 5.42 43.77 44.23 64.06

Insurance Companies 1.54 0.01 0.02 - - - -

Mutual Funds 5.51 0.00 2.38 - - - -

Others 2.60 3.63 4.91 - - - -

Primary Dealers 13.89 47.76 7.28 38.99 - 22.16 0.00

Private Sector Banks 33.11 16.23 27.85 28.96 29.54 30.97 35.80

Public Sector Banks 17.90 5.29 40.25 24.50 26.48 2.65 0.14

Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00

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TABLE 14: COMPARABLE RATES Percent

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

DateCall Repo TREP

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

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

FBIL-TermMIBOR14 DAYS

(11:45A.M.)

FBIL-TermMIBOR 1

Month(11:45A.M.)

FBIL-TermMIBOR 3Months(11:45A.M.)

10YBenchmark

(WAY)91 DTB

182DTB

364DTB

LAFRepo

LAFReverseRepo

1-Oct-19 5.2552 5.1803 5.1321 5.45 5.26 5.82 5.92 6.13 6.6789 5.3241 5.4361 5.5338 5.40 5.15

3-Oct-19 5.2250 5.1102 4.9163 5.45 5.20 5.81 5.91 6.11 6.6127 - - - 5.40 5.15

4-Oct-19 5.1898 4.9737 4.8058 5.45 5.10 5.77 5.87 6.08 6.6271 - - - 5.40 4.90

5-Oct-19 4.8645 - 4.4599 - - - - - - - - - 5.15 4.90

7-Oct-19 5.1216 4.5729 4.8078 5.21 4.89 5.59 5.69 5.92 6.6756 - - - 5.15 4.90

9-Oct-19 5.0724 4.7101 4.8609 5.20 4.90 5.55 5.67 5.92 6.6535 5.2006 5.3323 5.4111 5.15 4.90

10-Oct-19 5.0658 4.7182 4.7251 5.20 4.89 5.54 5.65 5.91 6.6813 - - - 5.15 4.90

11-Oct-19 5.0418 4.6538 4.5776 5.22 4.83 5.52 5.64 5.91 6.7191 - - - 5.15 4.90

14-Oct-19 5.0640 4.5870 4.5923 5.20 4.77 5.51 5.63 5.91 6.6974 - - - 5.15 4.90

15-Oct-19 5.0541 4.5589 4.5988 5.22 4.66 5.50 5.62 5.91 6.6755 - - - 5.15 4.90

16-Oct-19 5.0539 4.6180 4.7343 5.24 4.68 5.50 5.61 5.92 6.6583 5.1183 5.2478 5.3666 5.15 4.90

17-Oct-19 5.0435 4.7586 4.8068 5.25 4.86 5.50 5.59 5.92 6.6750 - - - 5.15 4.90

18-Oct-19 5.1038 4.8264 4.8953 5.25 4.95 5.50 5.59 5.90 6.7007 - - - 5.15 4.90

19-Oct-19 4.8626 - 5.3254 - - - - - - - - - 5.15 4.90

22-Oct-19 5.0962 4.8600 4.9565 5.25 5.02 5.50 5.60 5.90 6.7055 - - - 5.15 4.90

23-Oct-19 5.0582 4.8555 4.9108 5.25 5.00 5.50 5.59 5.89 6.6857 5.0772 5.2056 5.3221 5.15 4.90

24-Oct-19 5.0607 4.7981 4.8917 5.25 4.91 5.50 5.58 5.89 6.6955 - - - 5.15 4.90

25-Oct-19 5.0968 4.7931 4.8906 5.25 4.90 5.49 5.59 5.88 6.6757 - - - 5.15 4.90

29-Oct-19 5.0879 4.7959 4.8418 5.25 4.90 5.50 5.59 5.88 6.6936 - - - 5.15 4.90

30-Oct-19 5.1018 4.7859 4.8186 5.25 4.85 5.50 5.58 5.89 6.6707 5.0361 5.2056 5.2998 5.15 4.90

31-Oct-19 5.1092 4.7960 4.8343 5.25 4.85 5.50 5.58 5.89 6.6585 - - - 5.15 4.90

Average 5.0776 4.7870 4.8277 5.27 4.92 5.56 5.66 5.93 6.6758 5.1513 5.2855 5.3867 5.19 4.92

Max 5.2552 5.1803 5.3254 5.45 5.26 5.82 5.92 6.13 6.7191 5.3241 5.4361 5.5338 5.40 5.15

Min 4.8626 4.5589 4.4599 5.20 4.66 5.49 5.58 5.88 6.6127 5.0361 5.2056 5.2998 5.15 4.90

SD 0.0914 0.1669 0.1887 0.08 0.15 0.11 0.11 0.08 0.0260 0.1142 0.0988 0.0927 0.09 0.08

November 2019

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TABLE 15 : PROPRIETARY / CONSTITUENT SETTLEMENT ANALYSIS

GOVERNMENT SECURITIES MARKETSETTLEMENT ANALYSIS

Number of Participants: 277

Percent

statistics

72

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

2018-19 85.71 84.28 14.29 15.72 96.13 93.30 3.87 6.70

Apr-19 85.47 84.02 14.53 15.98 95.95 91.39 4.05 8.61

May-19 85.00 84.92 15.00 15.08 96.16 92.47 3.84 7.53

Jun-19 83.79 83.71 16.21 16.29 96.05 93.16 3.95 6.84

Jul-19 84.55 84.08 15.45 15.92 96.09 92.22 3.91 7.78

Aug-19 82.66 82.28 17.34 17.72 95.47 91.25 4.53 8.75

Sep-19 82.44 81.99 17.56 18.01 95.30 91.46 4.70 8.54

Oct-19 83.30 83.37 16.70 16.63 95.08 90.95 4.92 9.05

2019-20 (UptoOctober 2019)

83.93 83.51 16.07 16.49 95.75 91.90 4.25 8.10

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TABLE 16: DEAL SIZE ANALYSIS Percent

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< 5 Cr 5 Cr > 5 Cr <=10 Cr >10 Cr<=20 Cr > 20 CrSettlement

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

2018-19 3.57 0.44 59.89 25.80 18.60 15.97 6.48 9.50 11.47 48.28

Apr-19 2.47 0.26 56.35 20.80 19.70 14.52 6.95 8.73 14.52 55.69

May-19 3.58 0.45 56.92 23.68 20.15 16.74 6.64 9.42 12.70 49.72

Jun-19 3.04 0.36 52.42 19.34 20.75 15.29 7.85 9.93 15.95 55.08

Jul-19 2.57 0.32 53.64 20.64 20.74 15.95 9.09 12.35 13.96 50.73

Aug-19 2.93 0.31 52.68 19.00 20.80 14.96 8.70 10.98 14.88 54.75

Sep-19 3.31 0.38 52.14 18.31 22.01 15.43 7.40 8.92 15.15 56.97

Oct-19 3.60 0.39 50.13 17.24 22.92 15.72 7.58 9.03 15.76 57.61


3.02 0.35 53.52 19.94 20.90 15.55 7.93 10.24 14.63 53.92

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TABLE 17: T+2 TRADING SUMMARY Amount Crore`

TABLE 18: T+2 TRADES - HISTORICAL TRADING SUMMARY

Amount Crore`

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74

Date Trades Face Value

1-Oct-19 2 4

3-Oct-19 3 246

4-Oct-19 26 429

7-Oct-19 47 1631

9-Oct-19 6 625

10-Oct-19 9 904

11-Oct-19 9 222

14-Oct-19 17 1869

15-Oct-19 8 730

16-Oct-19 8 477

17-Oct-19 15 1132

18-Oct-19 25 981

22-Oct-19 4 503

23-Oct-19 12 1222

24-Oct-19 8 693

25-Oct-19 7 496

29-Oct-19 12 1490

30-Oct-19 9 1678

31-Oct-19 15 1343

Total 251 17196

Month Trades Face Value

2015-16 2874 202905

2016-17 4127 323487

2017-18 3349 215160

2018-19 1878 116410

Apr-19 123 5448

May-19 172 8607

Jun-19 210 15128

Jul-19 215 19903

Aug-19 233 12713

Sep-19 164 11448

Oct-19 251 17196

2019-20 (Upto October 2019) 1368 90443

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

statistics

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

2018-19 7907618 32676 84.53 938339 3877 10.03 509050 2104 5.44

Apr-19 668038 37113 84.39 73809 4101 9.32 49733 2763 6.28

May-19 876143 39825 84.82 88022 4001 8.52 68752 3125 6.66

Jun-19 1336092 70321 88.63 101389 5336 6.73 69965 3682 4.64

Jul-19 1563782 67991 88.53 123639 5376 7.00 78872 3429 4.47

Aug-19 1082840 54142 83.80 148854 7443 11.52 60500 3025 4.68

Sep-19 782517 41185 82.19 115946 6102 12.18 53624 2822 5.63

Oct-19 627260 33014 80.64 110610 5822 14.22 39946 2102 5.14


6936672 49548 85.42 762270 5445 9.39 421392 3010 5.19N

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

statistics

76

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 2018-19 Oct-19 2019-20

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 0.11 - -

2019 0.99 3.94 2.24 0.18 0.09 0.03 2.44 24.90 0.10 0.01 0.02 3.82 2.02 1.65 1.58 0.81 1.58 0.07 0.30

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 3.12 3.37 2.33

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 1.19 2.03 1.05

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 6.37 1.84 1.93

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 4.73 2.87 3.17

2024 - - - - 0.01 0.69 1.08 1.24 0.19 17.58 12.68 0.99 23.76 19.12 2.83 2.49 1.34 14.50 11.33

2025 - - - - - 0.16 1.30 0.30 0.05 0.01 10.78 13.02 0.16 20.27 3.87 2.44 0.33 1.33 0.66

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 3.88 9.88 5.22

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 2.47 1.18 1.02

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 63.15 2.94 16.45

2029 - - - - - - - - - 0.00 0.00 0.00 0.00 2.97 13.50 20.05 1.87 45.92 49.38

2030 - - - - - - - - - 0.95 3.88 2.06 1.14 13.39 21.61 2.76 0.40 0.69 0.45

2031 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 12.39 6.63 0.37 0.89

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 0.71 0.86 1.26

2033 - - - - - - - - - 0.00 0.00 0.00 0.18 0.71 0.26 0.85 0.33 8.22 2.21

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 0.31 0.11 0.27

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 0.63 0.33 0.29

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 0.05 0.07 0.03

2037 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.01

2038 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.01

2039 - - - - - - 0.63 0.38 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.03 0.01 0.61 0.32

2040 - - - - - - - - 0.75 0.62 0.11 0.03 0.19 0.18 0.07 0.10 0.04 0.03 0.07

2041 - - - - - - - - - 0.36 1.34 0.58 0.14 0.11 0.07 0.06 0.07 0.08 0.12

2042 - - - - - - - - - - 0.25 0.41 0.45 0.23 0.11 0.10 0.06 0.12 0.13

2043 - - - - - - - - - - - 0.05 0.61 0.23 0.13 0.04 0.04 0.55 0.24

2044 - - - - - - - - - - - - 0.19 0.69 0.39 0.35 0.07 0.22 0.14

2045 - - - - - - - - - - - - - 0.52 0.34 0.16 0.09 0.12 0.08

2046 - - - - - - - - - - - - - - 0.10 0.16 0.18 0.21 0.16

2047 - - - - - - - - - - - - - - - - 0.00 0.01 0.01

2048 - - - - - - - - - - - - - - - - 0.00 0.01 0.01

2049 - - - - - - - - - - - - - - - - 0.00 0.42 0.10

2050 - - - - - - - - - - - - - - - - 0.00 0.01 0.01

2051 - - - - - - - - - - - - - - 0.06 0.21 0.03 0.08 0.06

2052 - - - - - - - - - - - - - - - - 0.00 0.01 0.01

2053 - - - - - - - - - - - - - - - - 0.00 0.01 0.01

2054 - - - - - - - - - - - - - - - - 0.00 0.01 0.01

2055 - - - - - - - - - - - - - 0.02 0.07 0.02 0.19 0.01 0.03

2056 - - - - - - - - - - - - - - - - - 0.01 0.00

2057 - - - - - - - - - - - - - - - - - 0.00 0.00

2058 - - - - - - - - - - - - - - - - - 0.01 0.00

2059 - - - - - - - - - - - - - - - - - 0.81 0.23

No

ve

mb

er

20

19

CC

ILM

on

thly

Ne

wsl

ett

er

77

TABLE 21: NETTING FACTOR: FUNDS

Netting Factor denotes the extent of actual reduction achieved through multi-lateral offsetting of individual member fund

obligations (arising out of every trade) to a single net fund obligation. This process has significantly reduced individual

funding requirements for every member and also achieved reduction in market liquidity risk.

Amount Crore`

NETTING FACTOR

statistics

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

2018-19 36499037 6156934 83.13

Apr-19 2510548 377141 84.98

May-19 3511355 445338 87.32

Jun-19 4088067 472563 88.44

Jul-19 4521910 485639 89.26

Aug-19 3599276 420908 88.31

Sep-19 3142369 423003 86.54

Oct-19 3128557 383251 87.75

2019-20 (Upto October 2019) 24502083 3007844 87.72

No

ve

mb

er

20

19

CC

ILM

on

thly

Ne

wsl

ett

er

TABLE 22: NETTING FACTOR: SECURITIES Amount Crore`

statistics

78


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

2018-19 36479848 14837404 59.33

Apr-19 2478809 923378 62.75

May-19 3449549 1295519 62.44

Jun-19 3948650 1410179 64.29

Jul-19 4328809 1428505 67.00

Aug-19 3454971 1213218 64.88

Sep-19 3027769 1110370 63.33

Oct-19 2998135 1075377 64.13

2019-20 (Upto October 2019) 23686692 8456545 64.30

No

ve

mb

er

20

19


79

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

statis

tic

s

Sr.No.

Security ISINMaturity

Date

Daystraded(in last

12months)

Valuetraded inlast 12months(FV in

` Crore)

Percentshare inlast 12monthsValue

No. ofTrades

(October- 2019)

Valuefor

October- 2019(FV in

` Crore)

Percentshare in(October

2019)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily

TradingValue inlast 12months(FV in

` Crore)

AverageDaily

TradingValue in

October –2019(FV in

` Crore)

1 7.26% GS 2029 IN0020180454 14-Jan-29 191 3463073 33.01 23286 239725 38.22 118831 202 18131 12617

2 7.32% GS 2024 IN0020180488 28-Jan-24 182 761165 7.26 5807 86866 13.85 87000 100 4182 4572

3 7.27% GS 2026 IN0020190016 8-Apr-26 136 293952 2.80 4152 53713 8.56 42000 128 2161 2827

4 7.57% GS 2033 IN0020190065 17-Jun-33 110 134231 1.28 4216 50488 8.05 56095 90 1220 2657

5 6.45% GS 2029 IN0020190362 7-Oct-29 16 42960 0.41 4133 42960 6.85 19834 217 2685 2685

6 7.17% GS 2028 IN0020170174 8-Jan-28 239 3553921 33.87 1122 15822 2.52 113148 14 14870 833

7 7.37% GS 2023 IN0020180025 16-Apr-23 239 430482 4.10 596 11100 1.77 39988 28 1801 584

8 6.35% GS 2020 IN0020020171 2-Jan-20 231 70463 0.67 281 8227 1.31 61000 13 305 433

9 7.00% GS 2021 IN0020180470 21-Jan-21 162 42628 0.41 157 5884 0.94 33000 18 263 327

10 8.19% GS 2020 IN0020110071 16-Jan-20 127 20015 0.19 84 5854 0.93 74000 8 158 344

11 7.72% GS 2025 IN0020150036 25-May-25 185 36341 0.35 294 5694 0.91 90032 6 196 300

12 8.24% GS 2027 IN0020060078 15-Feb-27 235 70701 0.67 271 5611 0.89 111389 5 301 295

13 7.59% GS 2026 IN0020150093 11-Jan-26 228 187107 1.78 278 5107 0.81 119000 4 821 269

14 7.95% GS 2032 IN0020020106 28-Aug-32 237 127334 1.21 319 5084 0.81 121000 4 537 282

15 6.79% GS 2029 IN0020160118 26-Dec-29 155 44227 0.42 410 4786 0.76 118801 4 285 282

16 7.63% GS 2059 IN0020190057 17-Jun-59 64 11102 0.11 114 3918 0.62 55462 7 173 280

17 6.84% GS 2022 IN0020160050 19-Dec-22 234 84119 0.80 233 3368 0.54 99000 3 359 177

18 7.62% GS 2039 IN0020190024 15-Sep-39 77 17982 0.17 142 3316 0.53 29151 11 234 221

19 8.20% GS 2022 IN0020060037 15-Feb-22 147 26788 0.26 69 3279 0.52 57632 6 182 219

20 7.88% GS 2030 IN0020150028 19-Mar-30 190 18660 0.18 178 3185 0.51 89000 4 98 199

21 6.17% GS 2021 IN0020190099 15-Jul-21 43 5358 0.05 157 3171 0.51 21000 15 125 198

22 7.35% GS 2024 IN0020090034 22-Jun-24 192 36350 0.35 129 2896 0.46 68420 4 189 161

November 2019


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

statis

tic

s

80

Sr.No.


Date

Daystraded(in last

12months)


` Crore)


No. ofTrades

(October- 2019)

Valuefor

October- 2019(FV in

` Crore)


2019)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily


` Crore)

AverageDaily

TradingValue in


` Crore)

23 6.65% GS 2020 IN0020180017 9-Apr-20 238 102296 0.98 137 2864 0.46 35968 8 430 151

24 7.16% GS 2023 IN0020130012 20-May-23 215 34534 0.33 145 2722 0.43 77100 4 161 143

25 7.72% GS 2049 IN0020190032 15-Jun-49 59 6728 0.06 102 2574 0.41 56000 5 114 257

26 8.20% GS 2025 IN0020120047 24-Sep-25 190 20498 0.20 77 2556 0.41 90000 3 108 142

27 8.60% GS 2028 IN0020140011 2-Jun-28 123 10698 0.10 58 2361 0.38 84000 3 87 197

28 8.79% GS 2021 IN0020110030 8-Nov-21 135 13967 0.13 30 2307 0.37 83000 3 103 210

29 6.68% GS 2031 IN0020170042 17-Sep-31 220 62448 0.60 292 2228 0.36 93252 2 284 131

30 7.69% GS 2043 IN0020190040 17-Jun-43 50 12434 0.12 112 2119 0.34 23000 9 249 265

31 8.83% GS 2023 IN0020130061 25-Nov-23 108 10995 0.10 44 2030 0.32 83000 2 102 226

32 7.40% GS 2035 IN0020050012 9-Sep-35 227 53753 0.51 128 1997 0.32 99245 2 237 143

33 8.15% GS 2022 IN0020120013 11-Jun-22 128 17188 0.16 47 1779 0.28 83000 2 134 162

34 8.15% GS 2026 IN0020140060 24-Nov-26 122 15878 0.15 70 1723 0.27 86489 2 130 108

35 7.80% GS 2020 IN0020100015 3-May-20 176 27015 0.26 45 1637 0.26 71130 2 153 109

36 8.35% GS 2022 IN0020020072 14-May-22 145 22316 0.21 54 1566 0.25 77000 2 154 112

37 7.68% GS 2023 IN0020150010 15-Dec-23 166 21772 0.21 55 1427 0.23 88132 2 131 89

38 8.12% GS 2020 IN0020120054 10-Dec-20 170 19408 0.18 32 1366 0.22 76000 2 114 114

39 8.17% GS 2044 IN0020140078 1-Dec-44 149 12371 0.12 27 1292 0.21 97000 1 83 117

40 9.23% GS 2043 IN0020130079 23-Dec-43 80 5115 0.05 64 1264 0.20 79472 2 64 126

41 7.06% GS 2046 IN0020160068 10-Oct-46 189 17460 0.17 140 1263 0.20 100000 1 92 70

42 6.79% GS 2027 IN0020170026 15-May-27 181 25949 0.25 92 1193 0.19 121000 1 143 70

43 7.63%GS17JUN2059P IN000659P012 17-Jun-59 8 4480 0.04 2 1100 0.18 - - 560 550

44 8.27% GS 2020 IN0020140029 9-Jun-20 134 18975 0.18 16 1054 0.17 69400 2 142 132

45 7.80% GS 2021 IN0020110022 11-Apr-21 168 22059 0.21 33 815 0.13 67493 1 131 82

November 2019


81


statis

tic

s

Sr.No.


Date

Daystraded(in last

12months)


` Crore)


No. ofTrades

(October- 2019)

Valuefor

October- 2019(FV in

` Crore)


2019)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily


` Crore)

AverageDaily

TradingValue in


` Crore)

46 8.13% GS 2022 IN0020070051 21-Sep-22 126 18793 0.18 26 772 0.12 70495 1 149 110

47 8.13% GS 2045 IN0020150044 22-Jun-45 131 8408 0.08 27 695 0.11 98000 1 64 63

48 9.20% GS 2030 IN0020130053 30-Sep-30 64 2481 0.02 52 695 0.11 61885 1 39 139

49 8.08% GS 2022 IN0020070028 2-Aug-22 154 15373 0.15 40 671 0.11 68969 1 100 56

50 8.30% GS 2042 IN0020120062 31-Dec-42 95 9485 0.09 15 640 0.10 104529 1 100 213

51 9.15% GS 2024 IN0020110048 14-Nov-24 218 31242 0.30 49 640 0.10 91183 1 143 38

52 6.57% GS 2033 IN0020160100 5-Dec-33 168 16264 0.16 67 639 0.10 66656 1 97 53

53 6.97% GS 2026 IN0020160035 6-Sep-26 129 20605 0.20 56 638 0.10 89848 1 160 64

54 7.50% GS 2034 IN0020040039 10-Aug-34 202 27492 0.26 49 522 0.08 99101 1 136 40

55 6.30% GS 2023 IN0020030014 9-Apr-23 87 5382 0.05 35 510 0.08 13000 4 62 51

56 7.59% GS 2029 IN0020150069 20-Mar-29 150 15066 0.14 31 483 0.08 96237 1 100 60

57 8.40% GS 2024 IN0020140045 28-Jul-24 182 31925 0.30 35 479 0.08 84426 1 175 40

58 7.94% GS 2021 IN0020060318 24-May-21 162 15428 0.15 15 443 0.07 49425 1 95 63

59 8.83% GS 2041 IN0020110063 12-Dec-41 113 10636 0.10 14 429 0.07 90000 0 94 61

60 6.83% GS 2039 IN0020080050 19-Jan-39 97 3893 0.04 90 421 0.07 13000 3 40 30

61 6.90% OMC SB 2026 IN0020089069 4-Feb-26 36 2160 0.02 21 395 0.06 21942 2 60 56

62 6.62% GS 2051 IN0020160092 28-Nov-51 117 4569 0.04 19 394 0.06 55000 1 39 66

63 8.33% GS 2036 IN0020060045 7-Jun-36 80 3123 0.03 11 342 0.05 86000 0 39 57

64 8.24% GS 2033 IN0020140052 10-Nov-33 161 16614 0.16 15 327 0.05 99275 0 103 65

65 8.33% GS 2026 IN0020120039 9-Jul-26 93 8612 0.08 13 325 0.05 90000 0 93 54

66 8.26% GS 2027 IN0020070036 2-Aug-27 134 8158 0.08 51 300 0.05 73728 0 61 30

67 7.61% GS 2030 IN0020160019 9-May-30 157 12160 0.12 31 296 0.05 85000 0 77 30

November 2019



statis

tic

s

82

Sr.No.


Date

Daystraded(in last

12months)


` Crore)


No. ofTrades

(October- 2019)

Valuefor

October- 2019(FV in

` Crore)


2019)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily


` Crore)

AverageDaily

TradingValue in


` Crore)

68 8.28% GS 2027 IN0020070069 21-Sep-27 118 9972 0.10 13 241 0.04 90001 0 85 34

69 8.32% GS 2032 IN0020070044 2-Aug-32 85 2770 0.03 7 227 0.04 89434 0 33 38

70 6.17% GS 2023 IN0020030055 12-Jun-23 106 3777 0.04 24 151 0.02 14000 1 36 15

71 8.30% GS 2040 IN0020100031 2-Jul-40 104 7041 0.07 5 112 0.02 90000 0 68 37

72 6.13% GS 2028 IN0020030022 4-Jun-28 83 641 0.01 14 99 0.02 11000 1 8 20

73 8.97% GS 2030 IN0020110055 5-Dec-30 130 11195 0.11 15 93 0.01 90000 0 86 23

74 GS11DEC2019C IN001219C012 11-Dec-19 3 126 0.00 1 90 0.01 - - 42 90

75 GS27DEC2019C IN001219C020 27-Dec-19 1 80 0.00 1 80 0.01 - - 80 80

76 6.01% GS 2028 IN0020020247 25-Mar-28 85 1280 0.01 12 76 0.01 15000 1 15 19

77 7.73% GS 2034 IN0020150051 19-Dec-34 158 7791 0.07 15 69 0.01 100000 0 49 10

78 GS11OCT2019C IN001019C016 11-Oct-19 1 66 0.00 1 66 0.01 - - 66 66

79 GS14NOV2019C IN001119C014 14-Nov-19 4 109 0.00 1 57 0.01 - - 27 57

80 GS08NOV2019C IN001119C030 8-Nov-19 1 50 0.00 1 50 0.01 - - 50 50

81 GS17DEC2042C IN001242C022 17-Dec-42 8 171 0.00 2 42 0.01 - - 21 21

82 GS17JUN2028C IN000628C031 17-Jun-28 9 185 0.00 2 42 0.01 - - 21 21

83 GS17JUN2046C IN000646C017 17-Jun-46 8 171 0.00 2 42 0.01 - - 21 21

84 GS17DEC2043C IN001243C012 17-Dec-43 8 171 0.00 2 42 0.01 - - 21 21

85 GS17DEC2021C IN001221C042 17-Dec-21 9 185 0.00 2 42 0.01 - - 21 21

86 GS17DEC2026C IN001226C033 17-Dec-26 9 185 0.00 2 42 0.01 - - 21 21

87 GS17DEC2046C IN001246C015 17-Dec-46 8 171 0.00 2 42 0.01 - - 21 21

88 GS17JUN2033C IN000633C031 17-Jun-33 8 171 0.00 2 42 0.01 - - 21 21

89 GS17DEC2024C IN001224C038 17-Dec-24 9 185 0.00 2 42 0.01 - - 21 21

November 2019


83


statis

tic

s

Sr.No.


Date

Daystraded(in last

12months)


` Crore)


No. ofTrades

(October- 2019)

Valuefor

October- 2019(FV in

` Crore)


2019)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily


` Crore)

AverageDaily

TradingValue in


` Crore)

90 GS17JUN2023C IN000623C032 17-Jun-23 9 185 0.00 2 42 0.01 - - 21 21

91 GS17DEC2020C IN001220C051 17-Dec-20 9 185 0.00 2 42 0.01 - - 21 21

92 GS17DEC2032C IN001232C031 17-Dec-32 8 171 0.00 2 42 0.01 - - 21 21

93 GS17DEC2025C IN001225C035 17-Dec-25 9 185 0.00 2 42 0.01 - - 21 21

94 GS17DEC2036C IN001236C024 17-Dec-36 8 171 0.00 2 42 0.01 - - 21 21

95 GS17DEC2039C IN001239C028 17-Dec-39 8 171 0.00 2 42 0.01 - - 21 21

96 GS17JUN2029C IN000629C039 17-Jun-29 10 210 0.00 2 42 0.01 - - 21 21

97 GS17DEC2040C IN001240C026 17-Dec-40 8 171 0.00 2 42 0.01 - - 21 21

98 GS17DEC2041C IN001241C024 17-Dec-41 8 171 0.00 2 42 0.01 - - 21 21

99 GS17JUN2020C IN000620C053 17-Jun-20 9 185 0.00 2 42 0.01 - - 21 21

100 GS17JUN2036C IN000636C034 17-Jun-36 8 171 0.00 2 42 0.01 - - 21 21

101 GS17JUN2041C IN000641C026 17-Jun-41 8 171 0.00 2 42 0.01 - - 21 21

102 GS17JUN2045C IN000645C019 17-Jun-45 8 171 0.00 2 42 0.01 - - 21 21

103 GS17JUN2049C IN000649C011 17-Jun-49 8 171 0.00 2 42 0.01 - - 21 21

104 GS17JUN2050C IN000650C019 17-Jun-50 8 171 0.00 2 42 0.01 - - 21 21

105 GS17JUN2055C IN000655C018 17-Jun-55 8 171 0.00 2 42 0.01 - - 21 21

106 GS17DEC2034C IN001234C037 17-Dec-34 8 171 0.00 2 42 0.01 - - 21 21

107 GS17JUN2027C IN000627C033 17-Jun-27 9 185 0.00 2 42 0.01 - - 21 21

108 GS17JUN2056C IN000656C016 17-Jun-56 8 171 0.00 2 42 0.01 - - 21 21

109 GS17DEC2047C IN001247C013 17-Dec-47 8 171 0.00 2 42 0.01 - - 21 21

110 GS17JUN2042C IN000642C024 17-Jun-42 8 171 0.00 2 42 0.01 - - 21 21

111 GS17DEC2045C IN001245C017 17-Dec-45 8 171 0.00 2 42 0.01 - - 21 21

November 2019



statis

tic

s

84

Sr.No.


Date

Daystraded(in last

12months)


` Crore)


No. ofTrades

(October- 2019)

Valuefor

October- 2019(FV in

` Crore)


2019)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily


` Crore)

AverageDaily

TradingValue in


` Crore)

112 GS17JUN2044C IN000644C012 17-Jun-44 8 171 0.00 2 42 0.01 - - 21 21

113 GS17DEC2027C IN001227C031 17-Dec-27 9 185 0.00 2 42 0.01 - - 21 21

114 GS17DEC2037C IN001237C022 17-Dec-37 8 171 0.00 2 42 0.01 - - 21 21

115 GS17DEC2050C IN001250C017 17-Dec-50 8 171 0.00 2 42 0.01 - - 21 21

116 GS17DEC2053C IN001253C011 17-Dec-53 8 171 0.00 2 42 0.01 - - 21 21

117 GS17DEC2056C IN001256C014 17-Dec-56 8 171 0.00 2 42 0.01 - - 21 21

118 GS17JUN2021C IN000621C044 17-Jun-21 9 185 0.00 2 42 0.01 - - 21 21

119 GS17DEC2051C IN001251C015 17-Dec-51 8 171 0.00 2 42 0.01 - - 21 21

120 GS17DEC2022C IN001222C032 17-Dec-22 9 185 0.00 2 42 0.01 - - 21 21

121 GS17DEC2028C IN001228C039 17-Dec-28 9 185 0.00 2 42 0.01 - - 21 21

122 GS17DEC2029C IN001229C037 17-Dec-29 9 185 0.00 2 42 0.01 - - 21 21

123 GS17JUN2059C IN000659C010 17-Jun-59 8 171 0.00 2 42 0.01 - - 21 21

124 GS17DEC2033C IN001233C039 17-Dec-33 8 171 0.00 2 42 0.01 - - 21 21

125 GS17DEC2049C IN001249C019 17-Dec-49 8 171 0.00 2 42 0.01 - - 21 21

126 GS17JUN2034C IN000634C039 17-Jun-34 8 171 0.00 2 42 0.01 - - 21 21

127 GS17DEC2055C IN001255C016 17-Dec-55 8 171 0.00 2 42 0.01 - - 21 21

128 GS17DEC2057C IN001257C012 17-Dec-57 8 171 0.00 2 42 0.01 - - 21 21

129 GS17JUN2025C IN000625C037 17-Jun-25 9 185 0.00 2 42 0.01 - - 21 21

130 GS17JUN2026C IN000626C035 17-Jun-26 9 185 0.00 2 42 0.01 - - 21 21

131 GS17JUN2030C IN000630C037 17-Jun-30 8 171 0.00 2 42 0.01 - - 21 21

132 GS17JUN2053C IN000653C013 17-Jun-53 8 171 0.00 2 42 0.01 - - 21 21

133 GS17JUN2022C IN000622C042 17-Jun-22 9 185 0.00 2 42 0.01 - - 21 21

November 2019



85

statis

tic

s

Sr.No.


Date

Daystraded(in last

12months)


` Crore)


No. ofTrades

(October- 2019)

Valuefor

October- 2019(FV in

` Crore)


2019)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily


` Crore)

AverageDaily

TradingValue in


` Crore)

134 GS17DEC2052C IN001252C013 17-Dec-52 8 171 0.00 2 42 0.01 - - 21 21

135 GS17DEC2019C IN001219C053 17-Dec-19 9 185 0.00 2 42 0.01 - - 21 21

136 GS17DEC2023C IN001223C030 17-Dec-23 9 185 0.00 2 42 0.01 - - 21 21

137 GS17DEC2031C IN001231C033 17-Dec-31 8 171 0.00 2 42 0.01 - - 21 21

138 GS17JUN2058C IN000658C012 17-Jun-58 8 171 0.00 2 42 0.01 - - 21 21

139 GS17JUN2048C IN000648C013 17-Jun-48 8 171 0.00 2 42 0.01 - - 21 21

140 GS24NOV2019C IN001119C022 24-Nov-19 1 42 0.00 1 42 0.01 - - 42 42

141 GS17JUN2047C IN000647C015 17-Jun-47 8 171 0.00 2 42 0.01 - - 21 21

142 GS17JUN2057C IN000657C014 17-Jun-57 8 171 0.00 2 42 0.01 - - 21 21

143 GS17DEC2044C IN001244C010 17-Dec-44 8 171 0.00 2 42 0.01 - - 21 21

144 GS17JUN2051C IN000651C017 17-Jun-51 8 171 0.00 2 42 0.01 - - 21 21

145 GS17DEC2035C IN001235C034 17-Dec-35 8 171 0.00 2 42 0.01 - - 21 21

146 GS17JUN2031C IN000631C035 17-Jun-31 8 171 0.00 2 42 0.01 - - 21 21

147 GS17JUN2035C IN000635C036 17-Jun-35 8 171 0.00 2 42 0.01 - - 21 21

148 GS17JUN2037C IN000637C024 17-Jun-37 8 171 0.00 2 42 0.01 - - 21 21

149 GS17JUN2038C IN000638C022 17-Jun-38 8 171 0.00 2 42 0.01 - - 21 21

150 GS17JUN2024C IN000624C030 17-Jun-24 9 185 0.00 2 42 0.01 - - 21 21

151 GS17DEC2058C IN001258C010 17-Dec-58 8 171 0.00 2 42 0.01 - - 21 21

152 GS17DEC2048C IN001248C011 17-Dec-48 8 171 0.00 2 42 0.01 - - 21 21

153 GS17JUN2052C IN000652C015 17-Jun-52 8 171 0.00 2 42 0.01 - - 21 21

154 GS17JUN2043C IN000643C014 17-Jun-43 8 171 0.00 2 42 0.01 - - 21 21

155 GS17JUN2032C IN000632C033 17-Jun-32 8 171 0.00 2 42 0.01 - - 21 21

November 2019


CCIL Monthly Newsletter November 2019

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Sr.No.


Date

Daystraded(in last

12months)


` Crore)


No. ofTrades

(October- 2019)

Valuefor

October- 2019(FV in

` Crore)


2019)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily


` Crore)

AverageDaily

TradingValue in


` Crore)

156 GS17JUN2039C IN000639C020 17-Jun-39 8 171 0.00 2 42 0.01 - - 21 21

157 GS17DEC2038C IN001238C020 17-Dec-38 8 171 0.00 2 42 0.01 - - 21 21

158 GS17DEC2054C IN001254C019 17-Dec-54 8 171 0.00 2 42 0.01 - - 21 21

159 GS17JUN2040C IN000640C028 17-Jun-40 8 171 0.00 2 42 0.01 - - 21 21

160 GS17JUN2054C IN000654C011 17-Jun-54 8 171 0.00 2 42 0.01 - - 21 21

161 GS17DEC2030C IN001230C035 17-Dec-30 8 171 0.00 2 42 0.01 - - 21 21

162 GS09OCT2019C IN001019C024 9-Oct-19 3 42 0.00 1 35 0.01 - - 14 35

163 FRB 2020 IN0020092071 21-Dec-20 36 6763 0.06 3 25 0.00 13000 0 188 8

164 5.87% GS 2022 IN0020039031 28-Aug-22 25 812 0.01 5 18 0.00 11000 0 32 6

165 8.28% GS 2032 IN0020060086 15-Feb-32 98 3189 0.03 9 14 0.00 90687 0 33 3

166 8.33% GS 2032 IN0020070077 21-Sep-32 22 1062 0.01 1 5 0.00 1522 0 48 5

167 GS30JUN2020C IN000620C046 30-Jun-20 4 44 0.00 1 5 0.00 - - 11 5

168 7% FERT SB 2022 IN0020089028 10-Dec-22 20 86 0.00 1 1 0.00 6072 0 4 1

169 7.72% GS 2055 IN0020150077 26-Oct-55 97 6818 0.06 1 1 0.00 100000 0 70 1

170 10.25% GS 2021 IN0020010040 30-May-21 32 1052 0.01 1 0 0.00 26213 0 33 0

171 8.35% SBI SB 2024 IN0020079045 27-Mar-24 7 20 0.00 2 0 0.00 9996 0 3 0

172 8.20% OMC SB 2024 IN0020099019 15-Sep-24 22 53 0.00 2 0 0.00 10306 0 2 0

173Other Securities Traded DuringThe Past 12 Months But NotTraded During The Month

87364 0.83

Total 10491409 100.00 49290 627264 100.00

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

Settlement Period Top 5 Top 10 Top 15 Top 20

2003-04 39.01 57.30 70.28 79.43

2004-05 49.97 66.31 74.56 80.36

2005-06 63.75 82.82 89.67 92.85

2006-07 74.88 88.82 92.37 94.88

2007-08 66.35 83.84 92.54 95.79

2008-09 61.07 73.89 81.92 87.35

2009-10 60.71 79.08 86.48 90.54

2010-11 71.77 88.33 93.91 96.39

2011-12 85.51 94.15 97.07 98.68

2012-13 77.59 94.68 97.63 98.70

2013-14 68.11 90.79 95.61 97.70

2014-15 79.28 91.80 96.45 97.74

2015-16 66.26 82.74 88.47 91.80

2016-17 68.59 86.20 90.49 92.79

2017-18 70.79 79.86 85.06 88.59

2018-19 81.46 87.56 90.50 92.82

Apr-19 79.24 84.90 88.27 91.12

May-19 82.17 87.50 90.41 92.49

Jun-19 83.75 89.21 91.50 93.27

Jul-19 87.00 91.79 94.18 95.62

Aug-19 84.26 88.65 91.52 93.56

Sep-19 82.19 87.85 90.88 92.85

Oct-19 75.53 83.00 87.19 89.91

2019-20 (Upto October 2019) 81.34 86.78 89.73 91.73

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TABLE 25: MARKET SHARE OF MEMBERS IN OUTRIGHT SETTLEMENT Percent

Settlement Period Top 5 Top 10 Top 15 Top 20

2002-03 20.17 32.59 42.33 50.14

2003-04 19.02 31.58 40.63 48.49

2004-05 21.20 35.51 46.10 54.37

2005-06 21.84 37.47 49.11 57.64

2006-07 28.93 45.34 57.08 65.89

2007-08 27.42 43.65 56.17 65.31

2008-09 28.33 45.51 57.23 65.63

2009-10 28.74 44.32 55.32 63.35

2010-11 34.01 49.31 59.66 67.17

2011-12 30.04 47.85 60.10 68.81

2012-13 31.30 48.48 59.42 67.31

2013-14 33.33 49.48 59.63 67.34

2014-15 31.06 46.52 56.59 64.50

2015-16 32.08 48.64 58.60 65.67

2016-17 30.02 45.15 54.73 62.20

2017-18 29.35 45.89 55.80 63.20

2018-19 30.65 47.00 57.78 65.68

Apr-19 29.08 45.60 57.82 65.82

May-19 28.50 44.84 56.59 65.88

Jun-19 29.96 45.46 56.32 65.29

Jul-19 29.57 44.51 55.97 64.87

Aug-19 27.36 41.67 52.42 61.43

Sep-19 27.74 41.89 52.18 60.05

Oct-19 28.65 41.29 51.74 60.16

2019-20 (Upto October 2019) 28.80 43.77 54.88 63.61

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

CategoriesCooperative

BanksForeignBanks

Public SectorBanks

Private SectorBanks

MutualFunds

PrimaryDealers

No of Members 53 36 18 21 27 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

2018-19 59.31 73.60 59.83 85.74 58.74 91.66

Apr-19 41.79 72.73 55.70 83.54 53.98 89.29

May-19 48.69 68.51 53.91 85.61 55.10 93.30

Jun-19 50.02 67.81 55.13 83.57 53.82 92.90

Jul-19 49.36 72.48 54.91 82.19 55.16 94.78

Aug-19 49.88 71.30 51.89 81.09 58.16 92.84

Sep-19 47.48 73.08 52.92 81.16 55.23 89.22

Oct-19 54.11 65.45 51.44 81.05 57.00 85.56


49.06 70.30 53.89 82.61 55.73 92.06N

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TRADING ANALYSIS

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

*as on trade date

OTC NDS-OM TotalPeriod

Trades%

ShareValue

%Share

Trades%

ShareValue

%Share

Trades Value

2005-06 38809 50.36 292515 56.98 38251 49.64 220890 43.02 77060 513405

2006-07 35322 25.79 368704 36.11 101641 74.21 652270 63.89 136963 1020974

2007-08 31020 16.43 453226 27.42 157823 83.57 1199919 72.58 188843 1653145

2008-09 35288 14.35 613229 28.36 210585 85.65 1548906 71.64 245873 2162135

2009-10 40736 12.87 798397 27.41 275769 87.13 2113896 72.59 316505 2912293

2010-11 42710 12.85 622558 21.73 289636 87.15 2241886 78.27 332346 2864444

2011-12 44908 10.89 731938 20.96 367495 89.11 2760795 79.04 412403 3492733

2012-13 57757 8.79 1179701 17.91 599316 91.21 5408334 82.09 657073 6588036

2013-14 57545 7.03 1501310 16.79 760964 92.97 7437982 83.21 818509 8939292

2014-15 57293 5.85 1635278 16.09 921361 94.15 8531024 83.91 978654 10166302

2015-16 60560 6.86 1891410 19.42 822803 93.14 7846591 80.58 883363 9738000

2016-17 84504 6.30 2804041 16.64 1255872 93.70 14051698 83.36 1340376 16855738

2017-18 66190 7.21 2685956 23.59 851940 92.79 8699962 76.41 918130 11385918

2018-19 54653 6.80 1865656 19.97 749493 93.20 7475388 80.03 804146 9341044

Apr-19 4261 7.28 211567 26.72 54277 92.72 580176 73.28 58538 791743

May-19 6166 6.75 197927 18.00 85168 93.25 901617 82.00 91334 1099543

Jun-19 6555 6.10 243590 16.67 100974 93.90 1217402 83.33 107529 1460992

Jul-19 7075 5.15 293731 16.42 130176 94.85 1494846 83.58 137251 1788577

Aug-19 5798 6.43 284026 22.65 84440 93.57 970123 77.35 90238 1254149

Sep-19 5340 7.95 248063 26.05 61850 92.05 704048 73.95 67190 952111

Oct-19 4456 8.21 208825 26.39 49790 91.79 582581 73.61 54246 791406


39651 6.54 1687729 20.74 566675 93.46 6450793 79.26 606326 8138522

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TABLE 29: MARKET SHARE - PROPRIETARY TRADES*

TABLE 28B: WHEN-ISSUED TRADING DETAILS

Percent

* Trade Data

TABLE 28A: WHEN-ISSUED TRADING - HISTORICAL Amount Crore`

Security Description Maturity Date Trades Value

6.45% GS 2029 7-Oct-29 5 75

Total 5 75

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

2018-19 60 705

Apr-19 - -

May-19 1 5

Jun-19 - -

Jul-19 - -

Aug-19 - -

Sep-19 - -

Oct-19 5 75

2019-20 (Upto October 2019) 6 80

Buy SellCategory

Trades Value Trades Value

Co-operative Banks 5.20 2.19 5.56 2.26

Financial Institutions 0.75 0.59 0.75 0.63

Foreign Banks 15.87 16.95 16.18 19.78

Insurance Companies 1.57 2.30 1.17 1.55

Mutual Funds 6.37 11.25 6.18 5.46

Others 4.97 2.86 4.79 2.52

Primary Dealers 10.61 9.87 12.35 13.80

Private Sector Banks 22.63 23.51 23.33 28.63

Provident Funds 0.10 1.50 0.00 0.00

Public Sector Banks 22.16 19.21 21.48 18.10

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TABLE 30: MARKET SHARE - CONSTITUENT TRADES* Percent

*Trade data

PercentTABLE 31: TURNOVER RATIO

TABLE 32A: NET PROPRIETARY TRADING IN OUTRIGHT MARKET Percent

DateForeignBanks

MutualFunds

OthersPrimaryDealers

Private SectorBanks

Public SectorBanks

1-Oct-19 -1.59 8.54 0.15 -1.57 -6.85 2.38

3-Oct-19 1.93 3.72 0.02 0.28 -4.64 0.04

4-Oct-19 -6.35 4.94 0.41 -6.61 -3.65 9.39

7-Oct-19 -4.47 0.32 -0.94 0.23 -8.12 8.32

9-Oct-19 -4.93 7.67 0.85 -4.58 0.66 -2.74

10-Oct-19 -2.82 4.48 0.98 -8.99 -7.29 7.64

11-Oct-19 -6.79 5.14 5.47 -8.57 -5.85 9.85

14-Oct-19 -2.68 6.40 -1.59 0.06 -5.62 -0.68

15-Oct-19 0.69 5.29 12.47 -10.43 -5.78 -3.53

16-Oct-19 -3.66 12.65 0.61 -2.56 -5.54 -3.72

17-Oct-19 -5.94 6.15 2.79 -2.73 -7.67 3.65

18-Oct-19 -4.53 -0.89 2.07 -4.80 -0.60 2.10

22-Oct-19 -3.02 -0.80 12.45 -8.65 -2.93 0.80

23-Oct-19 3.96 10.96 0.92 -9.34 -9.90 2.72

24-Oct-19 -4.60 9.62 -0.77 -0.40 -1.56 -5.95

25-Oct-19 -7.39 3.13 2.08 -1.40 -2.03 -1.55

29-Oct-19 -5.06 3.81 11.94 -7.57 -8.21 -0.06

30-Oct-19 -3.77 8.02 4.03 -0.42 -8.92 -2.91

31-Oct-19 5.59 2.94 1.70 0.53 -1.52 -12.18

Net Activity in Oct-19 -2.83 5.78 2.48 -3.93 -5.12 1.11

Current Month Previous Month 3 Months 6 Months 12 Months

0.87% 1.05% 2.40% 0.98% 0.85%

Buy SellConstituent Category


Banks 0.35 0.35 0.42 0.37

Co-operative Banks 2.33 0.80 2.02 0.66

Corporates 3.05 2.66 3.69 3.08

FIIs 0.39 2.09 0.29 1.27

Insurance Companies 1.83 2.64 1.12 1.45

Mutual Funds 0.18 0.17 0.15 0.12

Finance Cos. 0.04 0.25 0.05 0.03

Others 0.10 0.05 0.13 0.08

Provident Funds 1.51 0.78 0.34 0.21

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TABLE 32B: CONSTITUENT ACTIVITY IN OUTRIGHT MARKET

Buy Side Sell Side

DateTrades

Volume(` Cr)

% Share inTotal

OutrightVolumes

TradesVolume(` Cr)

% Share inTotal

OutrightVolumes

1-Oct-19 463 5128.16 7.37 509 5858.35 8.42

3-Oct-19 414 4431.30 7.74 433 5201.60 9.09

4-Oct-19 441 6604.69 8.68 388 5182.80 6.81

7-Oct-19 174 2970.53 8.69 111 1378.77 4.03

9-Oct-19 358 5450.21 11.05 285 3939.65 7.99

10-Oct-19 351 5710.56 16.67 278 3653.76 10.66

11-Oct-19 287 4926.44 10.76 331 4583.90 10.01

14-Oct-19 259 4698.64 14.51 290 3366.64 10.40

15-Oct-19 259 3544.30 8.17 213 2984.45 6.88

16-Oct-19 319 5051.14 9.45 255 3860.05 7.22

17-Oct-19 362 5526.18 9.92 222 3435.58 6.17

18-Oct-19 217 3679.83 13.65 145 1888.56 7.01

22-Oct-19 190 2288.63 10.11 117 1801.43 7.96

23-Oct-19 232 2254.45 7.18 184 2038.78 6.49

24-Oct-19 263 2094.45 8.32 138 1170.19 4.65

25-Oct-19 134 2648.35 11.87 125 1051.97 4.72

29-Oct-19 146 2989.00 11.07 66 1598.84 5.92

30-Oct-19 226 3662.63 9.51 147 2136.26 5.55

31-Oct-19 209 3741.91 8.12 222 2382.41 5.17

Total Activity in Oct-19 5304 77401.40 9.78 4459 57513.98 7.27

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TABLE 33: TRADING SUMMARY Amount Crore`

*Amount in USD Million

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

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

1-Oct-19 4818 54343 110 1000 145 14201 5073 69544 504 60963 865 164365 10372 34993

3-Oct-19 3983 48109 149 1619 147 7520 4279 57247 515 59896 859 170746 9952 27176

4-Oct-19 4857 64959 120 1590 108 9531 5085 76081 496 56870 839 151094 8631 26369

5-Oct-19 0 0 141 7142

7-Oct-19 2108 27528 94 1279 67 5390 2269 34197 474 56271 830 153694 9394 28550

9-Oct-19 2856 38160 132 1308 142 9846 3130 49314 480 53298 849 157087 9722 27543

10-Oct-19 1967 23791 210 4298 97 6177 2274 34266 476 54029 943 182203 7382 23411

11-Oct-19 2776 36469 101 1232 112 8096 2989 45796 461 56085 997 199196 9031 24720

14-Oct-19 2390 28759 90 1505 34 2111 2514 32375 492 59345 983 183163

15-Oct-19 2751 34075 166 7208 42 2082 2959 43365 476 56747 949 184193 15421 39236

16-Oct-19 3123 41517 207 2190 109 9761 3439 53469 482 60136 901 175531 8197 24035

17-Oct-19 3843 49148 153 1671 78 4886 4074 55705 509 64741 877 170096 9258 24250

18-Oct-19 1666 24960 107 842 34 1147 1807 26949 510 62726 964 159523 10754 24354

19-Oct-19 0 0 127 4468

22-Oct-19 1241 16045 155 3208 50 3387 1446 22640 518 61974 929 165183 8930 22577

23-Oct-19 1619 21392 214 1713 101 8310 1934 31415 500 61890 917 164391 8699 23163

24-Oct-19 1696 18511 205 1154 60 5512 1961 25176 467 59115 912 175308 7894 20209

25-Oct-19 1538 20088 84 1078 49 1139 1671 22305 477 59773 932 168154 7774 21029

29-Oct-19 1406 19609 62 3876 56 3520 1524 27005 493 61125 920 175936 8054 24348

30-Oct-19 2279 31786 157 2019 109 4692 2545 38497 480 55439 954 182583 6608 22767

31-Oct-19 3084 40719 132 1798 57 3543 3273 46060 423 55496 904 174574 14550 104748

Total 50001 639968 2648 40587 1597 110851 54246 791407 9233 1115919 17592 3268630 170623 543478

Average 2632 33683 139 2136 84 5834 2855 41653 440 53139 838 155649 9479 30193

MarketShare (%)

92.17 80.86 4.88 5.13 2.94 14.01


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TABLE 34: G-SEC TRADING ANALYSIS Amount Crore`

OTC (Gilts) NDS-OM (Gilts) Brokered Deals (Gilts) Total (Gilts)

DateTrades

No. ofSecurities

ValueMarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

1-Oct-19 116 28 4266 7.85 4702 44 50077 92.15 20 10 810 1.49 4818 51 54343

3-Oct-19 135 40 3561 7.40 3848 52 44547 92.60 19 14 685 1.42 3983 62 48109

4-Oct-19 157 32 6959 10.71 4700 49 58000 89.29 14 10 965 1.49 4857 53 64959

7-Oct-19 89 25 5249 19.07 2019 46 22280 80.93 18 9 1550 5.63 2108 46 27528

9-Oct-19 123 38 7280 19.08 2733 45 30880 80.92 28 13 1815 4.76 2856 54 38160

10-Oct-19 174 109 5182 21.78 1793 42 18609 78.22 18 8 730 3.07 1967 126 23791

11-Oct-19 193 29 9201 25.23 2583 43 27268 74.77 21 9 1420 3.89 2776 50 36469

14-Oct-19 178 104 5186 18.03 2212 39 23572 81.96 12 8 525 1.83 2390 122 28759

15-Oct-19 96 36 5384 15.80 2655 44 28692 84.20 22 15 2267 6.65 2751 52 34075

16-Oct-19 95 33 6236 15.02 3028 52 35281 84.98 28 15 2645 6.37 3123 56 41517

17-Oct-19 124 47 6276 12.77 3719 55 42872 87.23 21 15 1065 2.17 3843 65 49148

18-Oct-19 142 27 7105 28.46 1524 38 17856 71.54 25 12 1800 7.21 1666 44 24960

22-Oct-19 85 30 3854 24.02 1156 42 12191 75.98 8 6 380 2.37 1241 51 16045

23-Oct-19 90 37 4313 20.16 1529 39 17080 79.84 24 15 1895 8.86 1619 49 21392

24-Oct-19 67 22 1865 10.07 1629 33 16646 89.93 17 12 660 3.57 1696 39 18511

25-Oct-19 96 30 3511 17.48 1442 39 16577 82.52 26 10 930 4.63 1538 44 20088

29-Oct-19 56 22 3549 18.10 1350 29 16060 81.90 20 11 1032 5.26 1406 37 19609

30-Oct-19 110 36 6418 20.19 2169 43 25368 79.81 33 14 2145 6.75 2279 51 31786

31-Oct-19 78 33 4855 11.92 3006 44 35864 88.08 28 15 1175 2.89 3084 53 40719

Total 2204 100249 47797 539719 402 24494 50001 639968

Average 116 40 5276 2516 43 28406 21 12 1289 2632 58 33683

PercentMarket Share

15.66 84.34 3.83

November 2019


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TABLE 35: T-BILL TRADING ANALYSIS Amount Crore`

OTC (T-Bills) NDS-OM (T-Bills) Brokered Deals (T-Bills) Total (T-Bills)

DateTrades

No. ofSecurities

ValueMarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

1-Oct-19 99 41 12625 88.90 46 20 1576 11.10 33 23 5009 35.27 145 52 14201

3-Oct-19 72 33 4433 58.95 75 27 3087 41.05 10 9 1105 14.70 147 42 7520

4-Oct-19 29 16 3363 35.28 79 26 6169 64.72 10 8 1825 19.15 108 34 9531

7-Oct-19 45 20 4785 88.77 22 17 605 11.23 10 9 1562 28.98 67 29 5390

9-Oct-19 53 20 7030 71.39 89 22 2817 28.61 14 10 2675 27.17 142 35 9846

10-Oct-19 49 25 4992 80.82 48 17 1185 19.18 13 10 2190 35.46 97 34 6177

11-Oct-19 64 33 6326 78.14 48 21 1770 21.86 28 19 4270 52.74 112 43 8096

14-Oct-19 17 13 1241 58.78 17 10 870 41.22 3 2 1025 48.56 34 21 2111

15-Oct-19 19 17 1137 54.60 23 10 945 45.40 6 6 723 34.74 42 22 2082

16-Oct-19 60 15 7641 78.28 49 16 2120 21.72 5 3 895 9.17 109 26 9761

17-Oct-19 29 20 3473 71.09 49 16 1413 28.91 8 5 2356 48.21 78 28 4886

18-Oct-19 19 13 762 66.40 15 8 386 33.60 3 2 80 6.97 34 16 1147

22-Oct-19 29 21 2540 74.99 21 8 847 25.01 6 4 914 26.97 50 23 3387

23-Oct-19 57 19 6858 82.53 44 14 1452 17.47 11 11 1444 17.38 101 26 8310

24-Oct-19 37 23 3745 67.94 23 9 1767 32.06 21 15 2619 47.52 60 29 5512

25-Oct-19 10 8 421 36.92 39 8 719 63.08 2 2 150 13.17 49 15 1139

29-Oct-19 32 13 2960 84.08 24 13 561 15.92 16 9 1530 43.47 56 21 3520

30-Oct-19 38 17 2298 48.98 71 25 2394 51.02 7 6 532 11.34 109 34 4692

31-Oct-19 24 14 2115 59.69 33 13 1428 40.31 3 2 247 6.98 57 19 3543

Total 782 78743 815 32109 209 31151 1597 110851

Average 41 20 4144 43 16 1690 11 8 1640 84 29 5834

PercentMarket Share

71.03 28.97 28.10


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TABLE 36: SDL TRADING ANALYSIS Amount Crore`

OTC (SDLs) NDS-OM (SDLs) Brokered Deals (SDLs) Total (SDLs)

DateTrades

No. ofSecurities

ValueMarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

1-Oct-19 45 32 388 38.84 65 34 612 61.16 6 4 195 19.50 110 58 1000

3-Oct-19 77 48 886 54.70 72 40 733 45.30 6 5 70 4.30 149 77 1619

4-Oct-19 45 24 742 46.65 75 27 848 53.35 7 6 195 12.26 120 42 1590

7-Oct-19 41 24 672 52.52 53 28 607 47.48 2 2 25 1.95 94 47 1279

9-Oct-19 85 59 1079 82.51 47 21 229 17.49 10 8 269 20.57 132 74 1308

10-Oct-19 125 68 3443 80.09 85 48 856 19.91 10 5 580 13.49 210 98 4298

11-Oct-19 63 30 853 69.23 38 16 379 30.77 9 9 16 1.30 101 45 1232

14-Oct-19 42 22 841 55.89 48 31 664 44.11 11 9 337 22.40 90 54 1505

15-Oct-19 109 49 6793 94.25 57 25 414 5.75 1 1 50 0.69 166 62 7208

16-Oct-19 107 55 1060 48.38 100 42 1131 51.62 2 2 50 2.28 207 77 2190

17-Oct-19 82 51 824 49.31 71 40 847 50.69 7 7 135 8.08 153 72 1671

18-Oct-19 58 39 560 66.59 49 32 281 33.41 --

--

-

-

-

-

107 58 842

22-Oct-19 89 41 2749 85.70 66 37 459 14.30 1 1 25 0.78 155 61 3208

23-Oct-19 101 45 884 51.58 113 45 829 48.42 6 2 222 12.98 214 70 1713

24-Oct-19 131 52 690 59.76 74 33 464 40.24 3 3 60 5.20 205 69 1154

25-Oct-19 53 23 868 80.56 31 22 209 19.44 10 7 424 39.31 84 43 1078

29-Oct-19 43 22 3761 97.02 19 5 115 2.98 62 23 3876

30-Oct-19 86 39 1373 68.01 71 22 646 31.99 4 2 476 23.56 157 47 2019

31-Oct-19 88 49 1369 76.10 44 30 430 23.90 10 6 350 19.46 132 74 1798

Total 1470 29834 1178 10754 105 3478 2648 40587

Average 77 41 1570 62 30 566 6 4 183 139 61 2136

PercentMarket Share

73.50 26.50 8.57

November 2019

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

Sr.No.

ISINDESC TradesValue(` Cr.)

MarketShare(% )

DaysTraded

Days Traded with 5trades or more per day

Days Traded with lessthan 5 trades per day

1 7.26% GS 2029 23111 240258 37.62 19 19 0

2 7.32% GS 2024 5911 89973 14.09 19 19 0

3 7.27% GS 2026 4071 53545 8.38 19 19 0

4 6.45% GS 2029 4881 52077 8.15 17 17 0

5 7.57% GS 2033 3991 48121 7.53 19 19 0

6 7.17% GS 2028 1069 14430 2.26 18 16 2

7 7.37% GS 2023 594 10848 1.70 19 18 1

8 6.35% GS 2020 289 8765 1.37 19 16 3

9 8.24% GS 2027 314 7124 1.12 19 15 4

10 7.00% GS 2021 154 5890 0.92 18 12 6

11 7.72% GS 2025 313 5875 0.92 19 17 2

12 8.19% GS 2020 83 5849 0.92 16 7 9

13 7.59% GS 2026 316 5780 0.91 19 18 1

14 7.95% GS 2032 298 4764 0.75 18 15 3

15 6.79% GS 2029 385 4660 0.73 16 11 5

16 6.84% GS 2022 266 4450 0.70 19 16 3

17 7.63% GS 2059 112 3913 0.61 14 7 7

18 7.88% GS 2030 184 3528 0.55 16 9 7

19 6.65% GS 2020 166 3499 0.55 19 12 7

20 7.62% GS 2039 120 3270 0.51 14 8 6

21 6.17% GS 2021 156 3235 0.51 16 11 5

22 7.16% GS 2023 141 2915 0.46 19 10 9

23 8.20% GS 2022 63 2705 0.42 16 6 10

24 7.35% GS 2024 123 2657 0.42 17 11 6

25 7.72% GS 2049 105 2629 0.41 10 5 5

26 8.20% GS 2025 74 2545 0.40 17 4 13

27 8.60% GS 2028 54 2344 0.37 10 5 5

28 7.80% GS 2020 52 2261 0.35 15 2 13

29 7.69% GS 2043 106 2100 0.33 7 5 2

30 6.68% GS 2031 208 2089 0.33 16 13 3

31 8.83% GS 2023 43 1984 0.31 8 3 5

32 8.15% GS 2022 45 1775 0.28 12 3 9

33 8.35% GS 2022 59 1765 0.28 14 5 9

34 8.15% GS 2026 59 1715 0.27 14 7 7

35 7.40% GS 2035 82 1652 0.26 10 6 4

36 7.68% GS 2023 46 1394 0.22 13 4 9

37 8.12% GS 2020 29 1370 0.21 10 2 8

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Sr.No.


MarketShare(% )

DaysTraded



38 8.79% GS 2021 25 1370 0.21 8 1 7

39 8.17% GS 2044 26 1290 0.20 9 2 7

40 6.79% GS 2027 89 1248 0.20 17 6 11

41 9.23% GS 2043 62 1225 0.19 10 5 5

42 7.06% GS 2046 67 1120 0.18 15 5 10

43 7.63%GS17JUN2059P 2 1100 0.17 2 0 2

44 8.27% GS 2020 16 1064 0.17 7 0 7

45 8.13% GS 2022 26 945 0.15 6 2 4

46 7.80% GS 2021 32 830 0.13 10 3 7

47 8.13% GS 2045 23 720 0.11 9 1 8

48 8.08% GS 2022 38 665 0.10 11 3 8

49 6.57% GS 2033 53 635 0.10 11 4 7

50 9.15% GS 2024 46 625 0.10 16 2 14

51 6.97% GS 2026 49 620 0.10 9 6 3

52 8.30% GS 2042 9 620 0.10 3 1 2

53 8.40% GS 2024 44 596 0.09 13 4 9

54 6.30% GS 2023 28 511 0.08 11 1 10

55 9.20% GS 2030 21 503 0.08 5 2 3

56 7.50% GS 2034 32 485 0.08 4 3 1

57 7.94% GS 2021 14 450 0.07 6 1 5

58 8.83% GS 2041 10 426 0.07 5 0 5

59 6.90% OMC SB 2026 19 392 0.06 6 1 5

60 7.59% GS 2029 22 390 0.06 6 2 4

61 6.62% GS 2051 10 380 0.06 5 0 5

62 8.33% GS 2036 8 337 0.05 4 0 4

63 8.24% GS 2033 12 325 0.05 5 0 5

64 6.83% GS 2039 41 315 0.05 12 2 10

65 8.33% GS 2026 9 305 0.05 5 0 5

66 8.26% GS 2027 36 270 0.04 9 1 8

67 7.61% GS 2030 19 254 0.04 7 1 6

68 8.28% GS 2027 10 248 0.04 6 0 6

69 8.32% GS 2032 3 231 0.04 3 0 3

70 6.17% GS 2023 18 137 0.02 10 0 10

71 8.30% GS 2040 2 110 0.02 2 0 2

72 8.97% GS 2030 15 97 0.02 5 1 4

73 GS11DEC2019C 1 90 0.01 1 0 1

74 6.13% GS 2028 11 90 0.01 5 0 5

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100


Sr.No.


MarketShare(% )

DaysTraded



75 GS27DEC2019C 1 80 0.01 1 0 1

76 6.01% GS 2028 7 71 0.01 3 0 3

77 GS11OCT2019C 1 66 0.01 1 0 1

78 7.73% GS 2034 9 60 0.01 4 0 4

79 GS14NOV2019C 1 57 0.01 1 0 1

80 GS08NOV2019C 1 50 0.01 1 0 1

81 GS24NOV2019C 1 42 0.01 1 0 1

82 GS17DEC2019C 2 42 0.01 2 0 2

83 GS17DEC2020C 2 42 0.01 2 0 2

84 GS17DEC2021C 2 42 0.01 2 0 2

85 GS17DEC2022C 2 42 0.01 2 0 2

86 GS17DEC2023C 2 42 0.01 2 0 2

87 GS17DEC2024C 2 42 0.01 2 0 2

88 GS17DEC2025C 2 42 0.01 2 0 2

89 GS17DEC2026C 2 42 0.01 2 0 2

90 GS17DEC2027C 2 42 0.01 2 0 2

91 GS17DEC2028C 2 42 0.01 2 0 2

92 GS17DEC2029C 2 42 0.01 2 0 2

93 GS17DEC2030C 2 42 0.01 2 0 2

94 GS17DEC2031C 2 42 0.01 2 0 2

95 GS17DEC2032C 2 42 0.01 2 0 2

96 GS17DEC2033C 2 42 0.01 2 0 2

97 GS17DEC2034C 2 42 0.01 2 0 2

98 GS17DEC2035C 2 42 0.01 2 0 2

99 GS17DEC2036C 2 42 0.01 2 0 2

100 GS17DEC2037C 2 42 0.01 2 0 2

101 GS17DEC2038C 2 42 0.01 2 0 2

102 GS17DEC2039C 2 42 0.01 2 0 2

103 GS17DEC2040C 2 42 0.01 2 0 2

104 GS17DEC2041C 2 42 0.01 2 0 2

105 GS17DEC2042C 2 42 0.01 2 0 2

106 GS17DEC2043C 2 42 0.01 2 0 2

107 GS17DEC2044C 2 42 0.01 2 0 2

108 GS17DEC2045C 2 42 0.01 2 0 2

109 GS17DEC2046C 2 42 0.01 2 0 2

110 GS17DEC2047C 2 42 0.01 2 0 2

111 GS17DEC2048C 2 42 0.01 2 0 2

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Sr.No.


MarketShare(% )

DaysTraded



112 GS17DEC2049C 2 42 0.01 2 0 2

113 GS17DEC2050C 2 42 0.01 2 0 2

114 GS17DEC2051C 2 42 0.01 2 0 2

115 GS17DEC2052C 2 42 0.01 2 0 2

116 GS17DEC2053C 2 42 0.01 2 0 2

117 GS17DEC2054C 2 42 0.01 2 0 2

118 GS17DEC2055C 2 42 0.01 2 0 2

119 GS17DEC2056C 2 42 0.01 2 0 2

120 GS17DEC2057C 2 42 0.01 2 0 2

121 GS17DEC2058C 2 42 0.01 2 0 2

122 GS17JUN2020C 2 42 0.01 2 0 2

123 GS17JUN2021C 2 42 0.01 2 0 2

124 GS17JUN2022C 2 42 0.01 2 0 2

125 GS17JUN2023C 2 42 0.01 2 0 2

126 GS17JUN2024C 2 42 0.01 2 0 2

127 GS17JUN2025C 2 42 0.01 2 0 2

128 GS17JUN2026C 2 42 0.01 2 0 2

129 GS17JUN2027C 2 42 0.01 2 0 2

130 GS17JUN2028C 2 42 0.01 2 0 2

131 GS17JUN2029C 2 42 0.01 2 0 2

132 GS17JUN2030C 2 42 0.01 2 0 2

133 GS17JUN2031C 2 42 0.01 2 0 2

134 GS17JUN2032C 2 42 0.01 2 0 2

135 GS17JUN2033C 2 42 0.01 2 0 2

136 GS17JUN2034C 2 42 0.01 2 0 2

137 GS17JUN2035C 2 42 0.01 2 0 2

138 GS17JUN2036C 2 42 0.01 2 0 2

139 GS17JUN2037C 2 42 0.01 2 0 2

140 GS17JUN2038C 2 42 0.01 2 0 2

141 GS17JUN2039C 2 42 0.01 2 0 2

142 GS17JUN2040C 2 42 0.01 2 0 2

143 GS17JUN2041C 2 42 0.01 2 0 2

144 GS17JUN2042C 2 42 0.01 2 0 2

145 GS17JUN2043C 2 42 0.01 2 0 2

146 GS17JUN2044C 2 42 0.01 2 0 2

147 GS17JUN2045C 2 42 0.01 2 0 2

148 GS17JUN2046C 2 42 0.01 2 0 2

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Sr.No.


MarketShare(% )

DaysTraded



149 GS17JUN2047C 2 42 0.01 2 0 2

150 GS17JUN2048C 2 42 0.01 2 0 2

151 GS17JUN2049C 2 42 0.01 2 0 2

152 GS17JUN2050C 2 42 0.01 2 0 2

153 GS17JUN2051C 2 42 0.01 2 0 2

154 GS17JUN2052C 2 42 0.01 2 0 2

155 GS17JUN2053C 2 42 0.01 2 0 2

156 GS17JUN2054C 2 42 0.01 2 0 2

157 GS17JUN2055C 2 42 0.01 2 0 2

158 GS17JUN2056C 2 42 0.01 2 0 2

159 GS17JUN2057C 2 42 0.01 2 0 2

160 GS17JUN2058C 2 42 0.01 2 0 2

161 GS17JUN2059C 2 42 0.01 2 0 2

162 GS09OCT2019C 1 35 0.01 1 0 1

163 FRB 2020 3 25 0.00 3 0 3

164 10.25% GS 2021 1 13 0.00 1 0 1

165 5.87% GS 2022 2 10 0.00 2 0 2

166 8.28% GS 2032 1 5 0.00 1 0 1

167 8.33% GS 2032 1 5 0.00 1 0 1

168 GS30JUN2020C 1 5 0.00 1 0 1

49212 638653 100.00 *

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TABLE 38: LIQUIDITY DISTRIBUTION (G-SEC)

ISINDESCDays

TradedTrades

Value(`Cr.)

ISINDESCDays

TradedTrades

Value(` Cr.)

1 7.26% GS 2029 19 23111 240258 9.15% GS 2024 14 29 210

2 7.32% GS 2024 19 5911 89973 8.20% GS 2025 13 22 215

3 7.27% GS 2026 19 4071 53545 7.80% GS 2020 13 30 1281

4 7.57% GS 2033 19 3991 48121 6.79% GS 2027 11 26 355

5 7.37% GS 2023 18 590 10803 8.20% GS 2022 10 19 1105

6 7.59% GS 2026 18 313 5765 7.06% GS 2046 10 19 245

7 6.45% GS 2029 17 4881 52077 6.83% GS 2039 10 25 175

8 7.72% GS 2025 17 306 5630 6.30% GS 2023 10 18 171

9 7.17% GS 2028 16 1061 14225 6.17% GS 2023 10 18 137

10 6.35% GS 2020 16 280 8550 7.16% GS 2023 9 18 510

11 6.84% GS 2022 16 258 4330 8.19% GS 2020 9 19 1955

12 8.24% GS 2027 15 303 6929 8.35% GS 2022 9 21 550

13 7.95% GS 2032 15 289 4629 7.68% GS 2023 9 17 577

14 6.68% GS 2031 13 202 2054 8.40% GS 2024 9 18 331

15 7.00% GS 2021 12 143 5295 8.15% GS 2022 9 16 695

16 6.65% GS 2020 12 148 3254 8.08% GS 2022 8 10 261

17 6.79% GS 2029 11 369 4530 8.12% GS 2020 8 11 960

18 6.17% GS 2021 11 145 2895 8.13% GS 2045 8 17 450

19 7.35% GS 2024 11 107 2407 8.26% GS 2027 8 15 165

20 7.16% GS 2023 10 123 2405 6.65% GS 2020 7 18 245

21 7.88% GS 2030 9 167 3378 7.88% GS 2030 7 17 150

22 7.62% GS 2039 8 108 2990 7.63% GS 2059 7 14 390

23 8.19% GS 2020 7 64 3894 8.15% GS 2026 7 15 220

24 7.63% GS 2059 7 98 3523 6.57% GS 2033 7 18 240

25 8.15% GS 2026 7 44 1495 7.80% GS 2021 7 12 205

26 8.20% GS 2022 6 44 1600 8.17% GS 2044 7 14 610

27 7.40% GS 2035 6 74 1587 8.79% GS 2021 7 13 795

28 6.79% GS 2027 6 63 893 8.27% GS 2020 7 16 1064

29 6.97% GS 2026 6 44 535 7.00% GS 2021 6 11 595

30 7.72% GS 2049 5 91 2389 7.35% GS 2024 6 16 250

31 8.60% GS 2028 5 42 1697 7.62% GS 2039 6 12 280

32 7.69% GS 2043 5 101 1943 7.61% GS 2030 6 10 189

33 8.35% GS 2022 5 38 1215 8.28% GS 2027 6 10 248

34 9.23% GS 2043 5 48 1068 6.79% GS 2029 5 16 130

35 7.06% GS 2046 5 48 875 6.17% GS 2021 5 11 340

36 8.20% GS 2025 4 52 2330 7.72% GS 2049 5 14 240

37 7.68% GS 2023 4 29 816 8.60% GS 2028 5 12 647

38 6.57% GS 2033 4 35 395 9.23% GS 2043 5 14 157

39 8.40% GS 2024 4 26 265 8.83% GS 2023 5 8 369

40 8.83% GS 2023 3 35 1615 7.94% GS 2021 5 8 410

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TABLE 38: LIQUIDITY DISTRIBUTION (G-SEC)

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

DaysTraded

TradesValue(`Cr.)

ISINDESCDays

TradedTrades

Value(` Cr.)

41 8.15% GS 2022 3 29 1080 6.90% OMC SB 2026 5 9 237

42 7.80% GS 2021 3 20 625 8.83% GS 2041 5 10 426

43 8.08% GS 2022 3 28 404 6.62% GS 2051 5 10 380

44 7.50% GS 2034 3 30 470 8.24% GS 2033 5 12 325

45 7.80% GS 2020 2 22 980 8.33% GS 2026 5 9 305

46 8.12% GS 2020 2 18 410 6.13% GS 2028 5 11 90

47 8.17% GS 2044 2 12 680 8.24% GS 2027 4 11 195

48 8.13% GS 2022 2 18 280 7.40% GS 2035 4 8 65

49 9.15% GS 2024 2 17 415 8.13% GS 2022 4 8 665

50 9.20% GS 2030 2 17 350 7.59% GS 2029 4 7 105

51 7.59% GS 2029 2 15 285 8.97% GS 2030 4 7 57

52 6.83% GS 2039 2 16 140 8.33% GS 2036 4 8 337

53 8.79% GS 2021 1 12 575 7.73% GS 2034 4 9 60

54 8.13% GS 2045 1 6 270 6.35% GS 2020 3 9 215

55 8.30% GS 2042 1 7 510 6.84% GS 2022 3 8 120

56 6.30% GS 2023 1 10 340 7.95% GS 2032 3 9 135

57 7.94% GS 2021 1 6 40 6.68% GS 2031 3 6 35

58 6.90% OMC SB 2026 1 10 155 6.97% GS 2026 3 5 85

59 8.26% GS 2027 1 21 105 9.20% GS 2030 3 4 153

60 7.61% GS 2030 1 9 65 8.32% GS 2032 3 3 231

61 8.97% GS 2030 1 8 40 6.01% GS 2028 3 7 71

62 FRB 2020 3 3 25

63 7.72% GS 2025 2 7 245

64 7.17% GS 2028 2 8 205

65 7.69% GS 2043 2 5 157

66 8.30% GS 2042 2 2 110

68 8.30% GS 2040 2 2 110

69 5.87% GS 2022 2 2 10

70 7.37% GS 2023 1 4 45

71 7.59% GS 2026 1 3 15

72 7.50% GS 2034 1 2 15

73 10.25% GS 2021 1 1 13

74 8.28% GS 2032 1 1 5

75 8.33% GS 2032 1 1 5

Total 452 48184 610396 Total 418 858 23373

Expected Bond Days 1159 Expected Bond Days 1425

Efficiency 39.00 Efficiency 29.33

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Amount Crore`TABLE 39: MONEY MARKET VOLUMES

MONEY MARKET

Amount Crore`TABLE 40: TREP TRADING

*Launched on November 5, 2018.

* CBLO segment of the money market was discontinued and replaced with TREP with effect from November 5, 2018.


Uncollateralised Call, Noticeand Term Money Market

Market Repo CBLO/TREP

Period

ValueDaily

AverageValue

ValueDaily

AverageValue

ValueDaily

AverageValue

2009-10 2522703 8914 6072829 21308 15541378 54531

2010-11 2945901 10020 4099284 13943 12259745 41700

2011-12 4084692 14085 3755892 12907 11155428 38335

2012-13 4814032 16658 5402765 18695 12028040 41620

2013-14 4507273 15383 7228127 24585 17526192 59613

2014-15 3740742 12989 7875244 27440 16764597 58413

2015-16 3799481 13717 8621665 31125 17833528 64381

2016-17 4242821 15714 11835001 43833 22952833 85010

2017-18 3871780 14556 12780289 48046 28330758 106507

2018-19 5002364 18596 13566142 50432 32592056 121160

Apr-19 486287 25594 847244 44592 2397559 126187

May-19 467200 20313 1216195 52878 2994282 130186

Jun-19 404868 18403 1219525 55433 2879802 130900

Jul-19 353855 14154 1268735 50749 3190152 127606

Aug-19 374711 17032 1086537 49388 3016154 137098

Sep-19 371765 17703 1035553 49312 2901933 138187

Oct-19 270839 12897 1115919 53139 3268630 155649


2729525 17840 7789708 50913 20648512 134958

Total Daily AverageSettlement Period


2018-19* 88670 14451590 821 133811

Apr-19 15506 2397559 816 126187

May-19 18683 2994282 812 130186

Jun-19 16676 2879802 758 130900

Jul-19 19088 3190152 764 127606

Aug-19 17693 3016154 804 137098

Sep-19 16562 2901933 789 138187

Oct-19 17592 3268630 838 155649

2019-20 (Upto October 2019) 121800 20648512 796 134958

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MARKET REPO

TABLE 41: REPO TERM ANALYSIS Percent

O/N 2-3 days 4-7 days 8-14 days >14 daysSettlement


% 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

2018-19 71.09 68.11 25.61 27.98 2.45 2.82 0.28 0.44 0.58 0.65

Apr-19 62.80 59.88 22.59 22.09 13.13 14.36 1.08 2.48 0.39 1.19

May-19 75.27 73.37 23.28 23.26 0.56 1.18 0.55 1.15 0.35 1.04

Jun-19 72.93 71.68 25.76 25.40 0.74 1.45 0.25 0.73 0.31 0.75

Jul-19 82.18 81.51 17.22 17.06 0.25 0.46 0.10 0.11 0.25 0.86

Aug-19 68.71 67.86 20.30 19.63 10.03 10.29 0.41 0.77 0.56 1.45

Sep-19 73.14 72.23 26.25 26.43 0.18 0.45 0.38 0.78 0.06 0.12

Oct-19 67.79 66.87 20.88 20.47 10.82 11.00 0.09 0.14 0.42 1.51


72.42 71.11 22.22 21.97 4.64 5.12 0.39 0.81 0.33 0.98

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TABLE 42: INSTRUMENTWISE SETTLEMENT OF REPO TRADES Amount Crore`

Cen. Govt. Dated Treasury Bills State GovtSettlement

PeriodValue

Avg.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

2018-19 9212117 34246 67.91 2513999 9346 18.53 1840027 6840 13.56

Apr-19 627115 33006 74.02 102740 5407 12.13 117389 6178 13.86

May-19 726830 31601 59.76 247248 10750 20.33 242116 10527 19.91

Jun-19 747499 33977 61.29 197724 8987 16.21 274302 12468 22.49

Jul-19 832047 33282 65.58 143000 5720 11.27 293688 11748 23.15

Aug-19 749762 34080 69.00 137992 6272 12.70 198783 9036 18.30

Sep-19 696606 33172 67.27 135618 6458 13.10 203328 9682 19.63

Oct-19 829311 39491 74.32 85684 4080 7.68 200924 9568 18.01


5209170 34047 66.87 1050006 6863 13.48 1530530 10003 19.65N

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TABLE 43: CROMS TRADING ACTIVITY

Number of Participants: 159 Amount Crore`

CROMS Special CROMS Basket CROMS - Total Repo

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

% Shareof

CROMSin Repovolumes

1-Oct-19 317 27736 5.1225 168 29427 5.2247 485 57163 5.1751 504 60963 5.1803 93.77

3-Oct-19 326 27109 5.0928 167 28701 5.1135 493 55810 5.1035 515 59896 5.1102 93.18

4-Oct-19 358 30257 4.9671 116 22295 4.9801 474 52552 4.9726 496 56870 4.9737 92.41

7-Oct-19 319 27796 4.3762 122 22114 4.8978 441 49910 4.6073 474 56271 4.5729 88.70

9-Oct-19 353 28246 4.5398 104 20722 4.9087 457 48968 4.6959 480 53298 4.7101 91.88

10-Oct-19 351 28266 4.6220 108 22230 4.8105 459 50496 4.7050 476 54029 4.7182 93.46

11-Oct-19 318 28210 4.5748 124 24211 4.7328 442 52421 4.6478 461 56085 4.6538 93.47

14-Oct-19 331 29951 4.4303 140 25970 4.7436 471 55921 4.5758 492 59345 4.5870 94.23

15-Oct-19 319 26654 4.4538 134 25376 4.6523 453 52030 4.5506 476 56747 4.5589 91.69

16-Oct-19 318 27104 4.4789 145 28936 4.7315 463 56040 4.6093 482 60136 4.6180 93.19

17-Oct-19 325 28508 4.6271 160 29108 4.8701 485 57616 4.7498 509 64741 4.7586 88.99

18-Oct-19 335 29148 4.6694 155 29408 4.9707 490 58556 4.8207 510 62726 4.8264 93.35

22-Oct-19 345 27708 4.6697 142 25669 5.0293 487 53377 4.8427 518 61974 4.8600 86.13

23-Oct-19 343 28223 4.7026 131 26730 5.0011 474 54953 4.8478 500 61890 4.8555 88.79

24-Oct-19 330 28506 4.6751 108 23996 4.9143 438 52502 4.7844 467 59115 4.7981 88.81

25-Oct-19 326 28073 4.6799 115 22855 4.9094 441 50928 4.7829 477 59773 4.7931 85.20

29-Oct-19 320 26275 4.6908 150 30351 4.8717 470 56626 4.7877 493 61125 4.7959 92.64

30-Oct-19 329 27775 4.7298 114 18914 4.8486 443 46689 4.7779 480 55439 4.7859 84.22

31-Oct-19 280 26197 4.7397 110 22028 4.8538 390 48225 4.7918 423 55496 4.7960 86.90

Total 6243 531742 2513 479041 8756 1010783 9233 1115919 90.58

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TABLE 45: TOP 5 SECURITIES - BASKET REPO

TABLE 46: TOP 5 SECURITIES - SPECIAL REPO

Amount Crore`

Amount Crore`

TABLE 44: CROMS HISTORICAL SUMMARY Amount Crore`

CROMS-SPECIAL CROMS-BASKET CROMS

PeriodTrades Value

% Sharein Repo

Trades Value

%Share

inRepo

TradesTotalValue

DailyAverageValue

%Share

inRepo

2008-09 957 93369 9.05 26 853 0.08 983 94222 2298 9.14

2009-10 5336 742575 12.23 9888 3543468 58.38 15224 4286042 17933 70.61

2010-11 8718 810326 19.78 10181 2016259 49.21 18899 2826585 11398 68.98

2011-12 12757 1333933 35.45 9519 1233105 32.77 22276 2567038 10652 68.23

2012-13 18732 1936643 35.85 18543 2927336 54.19 37275 4863979 19692 90.05

2013-14 13780 1287231 17.81 28540 5238049 72.48 42320 6525279 26418 90.29

2014-15 15120 1362280 17.30 36319 5954619 75.61 51439 7316899 30743 92.91

2015-16 29770 2872304 33.31 35142 5280959 61.25 64912 8153264 33691 94.57

2016-17 46594 4156364 35.12 33543 6924118 58.51 80137 11080482 45599 93.62

2017-18 66806 5282083 41.33 28926 6794253 53.16 95732 12076336 49493 94.49

2018-19 61462 4828031 35.59 42081 7664438 56.50 103543 12492469 51199 92.09

Apr-19 5026 350372 41.35 2756 421694 49.77 7782 772066 42893 91.13

May-19 6776 487384 40.07 4055 635926 52.29 10831 1123310 48840 92.36

Jun-19 6074 495555 40.64 3680 636468 52.19 9754 1132023 59580 92.82

Jul-19 6725 558052 43.98 4180 605979 47.76 10905 1164031 50610 91.75

Aug-19 5268 453732 41.76 3590 535276 49.26 8858 989008 49450 91.02

Sep-19 5388 458910 44.32 3137 485417 46.88 8525 944327 49701 91.19

Oct-19 6243 531742 47.65 2513 479041 42.93 8756 1010783 53199 90.58


41500 3335747 49.98 23911 3799800 56.94 65411 7135547 50607 106.92

Security Trades Value Rate

7.80% GS 2020 155 46336 4.8798

7.32% GS 2024 151 45142 4.8796

8.12% GS 2020 90 32543 4.8586

8.20% GS 2022 88 29168 4.8120

7.94% GS 2021 110 27678 4.8351

Security Trades Value Rate

7.26% GS 2029 1230 118385 4.1272

7.27% GS 2026 390 33025 4.3157

7.32% GS 2024 254 24194 4.8745

8.20% GS 2022 97 23095 4.8123

7.80% GS 2021 44 18438 4.9710

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TABLE 47: DEALT TRANSACTIONS ON THE NDS-CALL PLATFORM

CALL MONEY MARKET

Amount Crore`

CALL NOTICE Term TotalDate

Trade Value WAR Trade Value WAR Trade Value WAR Trade Value

1-Oct-19 67 5910 5.4222 - - - 7 390 6.1705 74 6300

3-Oct-19 62 5195 5.4172 - - - 8 190 5.8737 70 5385

4-Oct-19 82 7782 5.2339 6 505 5.3094 13 1000 5.6988 101 9287

5-Oct-19 19 1786 5.0000 1 75 5.0000 - - - 20 1861

7-Oct-19 125 12212 5.1826 1 50 5.2500 1 60 5.5000 127 12322

9-Oct-19 100 9959 5.1645 - - - 4 305 5.6377 104 10264

10-Oct-19 79 8279 5.1878 - - - 6 300 5.4667 85 8579

11-Oct-19 93 11743 5.1340 - - - 3 250 5.6900 96 11993

14-Oct-19 95 10436 5.1797 - - - 1 100 5.5000 96 10536

15-Oct-19 80 8776 5.1874 - - - 5 70 6.1714 85 8846

16-Oct-19 70 8089 5.2150 - - - 7 225 5.5911 77 8314

17-Oct-19 64 6332 5.2208 - - - 3 95 5.7105 67 6427

18-Oct-19 65 7417 5.2047 - - - 2 40 5.5000 67 7457

19-Oct-19 12 877 5.1836 - - - - - - 12 877

22-Oct-19 76 8866 5.2323 1 34 5.3000 11 600 5.5000 88 9500

23-Oct-19 64 6325 5.2138 - - - 6 200 5.5188 70 6525

24-Oct-19 57 5631 5.2243 - - - 2 250 5.6800 59 5881

25-Oct-19 62 6631 5.1826 6 1125 5.2144 2 110 6.5318 70 7866

29-Oct-19 65 7062 5.1677 - - - 3 206 5.5000 68 7268

30-Oct-19 84 8391 5.1897 1 20 5.3500 2 70 6.1429 87 8481

31-Oct-19 76 7438 5.1923 7 974 5.2217 12 440 5.5528 95 8852

Total 1497 155134 23 2783 98 4901 1618 162818

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

CALL NOTICE Term TotalDate

Trade Value WAR Trade Value WAR Trade Value WAR Trade Value

1-Oct-19 409 6834 5.1108 20 89 5.0552 16 321 5.6953 445 7243

3-Oct-19 399 6468 5.0707 12 77 5.0105 16 657 5.7454 427 7202

4-Oct-19 275 3369 5.0055 144 1766 5.0527 7 134 5.7388 426 5269

5-Oct-19 70 447 4.3233 21 243 4.5548 91 690

7-Oct-19 235 2947 4.8690 6 103 4.9713 4 96 5.5344 245 3146

9-Oct-19 368 4564 4.8714 27 269 4.9627 8 127 5.3971 403 4960

10-Oct-19 390 4765 4.8540 27 147 4.9895 7 195 5.5317 424 5107

11-Oct-19 390 5240 4.8350 11 71 4.9008 3 30 5.3824 404 5341

14-Oct-19 361 4702 4.8073 24 115 4.8918 7 126 5.4635 392 4943

15-Oct-19 375 5157 4.8272 14 65 4.7083 10 262 5.4910 399 5483

16-Oct-19 383 5905 4.8332 22 112 4.9807 12 315 5.4688 417 6332

17-Oct-19 398 5728 4.8475 36 246 4.9483 7 296 5.5760 441 6270

18-Oct-19 384 5958 4.8755 5 19 4.8093 11 608 5.4926 400 6585

19-Oct-19 79 632 4.4175 3 3 4.3900 82 635

22-Oct-19 365 5345 4.8704 30 118 4.8387 20 552 5.4858 415 6016

23-Oct-19 369 5511 4.8795 17 116 4.8910 3 46 5.4511 389 5674

24-Oct-19 347 5132 4.8813 18 232 4.9958 5 67 5.4184 370 5431

25-Oct-19 268 4165 4.9602 111 860 4.6898 4 102 5.4961 383 5126

29-Oct-19 283 4561 4.9643 19 187 4.8945 9 199 5.5098 311 4947

30-Oct-19 315 5113 4.9574 96 576 4.6904 8 224 5.4862 419 5913

31-Oct-19 207 4556 4.9735 100 888 4.7809 7 151 5.4814 314 5595

Total 6670 97099 4.9073 763 6302 4.8771 164 4506 5.5511 7597 107907

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TABLE 49: UNCOLLATERALISED OVERNIGHT TRANSACTIONS Percent

Within +/-10 bpsof FBIL O/N

MIBOR


MIBOR


MIBORTotal

TRADEDATE

FBILO/N

MIBORRate Trades Value Trades Value Trades Value Trades

Value(` Cr.)

01-Oct-19 5.45 19 57 28 64 35 67 476 12744

03-Oct-19 5.45 16 55 28 67 34 68 461 11663

04-Oct-19 5.45 14 30 20 33 25 40 357 11151

07-Oct-19 5.21 38 83 44 89 48 89 360 15158

09-Oct-19 5.20 25 67 36 79 42 84 468 14523

10-Oct-19 5.20 23 75 32 80 37 82 469 13044

11-Oct-19 5.22 18 52 23 64 34 74 483 16982

14-Oct-19 5.20 22 72 33 82 39 84 456 15137

15-Oct-19 5.22 21 70 26 72 36 79 455 13933

16-Oct-19 5.24 20 64 26 72 35 77 453 13994

17-Oct-19 5.25 18 64 23 70 32 74 462 12060

18-Oct-19 5.25 20 69 24 73 32 75 449 13375

22-Oct-19 5.25 24 73 28 78 37 81 441 14211

23-Oct-19 5.25 20 64 25 70 33 76 433 11836

24-Oct-19 5.25 19 68 26 73 33 77 404 10763

25-Oct-19 5.25 25 70 29 72 39 81 330 10796

29-Oct-19 5.25 23 61 28 63 39 82 348 11623

30-Oct-19 5.25 23 62 33 75 43 85 399 13504

31-Oct-19 5.25 35 74 42 81 51 84 283 11994

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


MIBOR

Within +/-15 bps ofFBIL O/N MIBOR


TotalTRADEDATE

FBILO/N


Value(` Cr.)

01-Oct-19 5.45 90 92 96 98 99 100 67 5910

03-Oct-19 5.45 77 84 98 100 98 100 62 5195

04-Oct-19 5.45 38 30 38 30 50 40 82 7782

07-Oct-19 5.21 91 94 98 100 98 100 125 12212

09-Oct-19 5.20 80 81 93 93 97 100 100 9959

10-Oct-19 5.20 95 97 99 100 99 100 79 8279

11-Oct-19 5.22 65 61 74 75 91 88 93 11743

14-Oct-19 5.20 83 90 97 99 99 100 95 10436

15-Oct-19 5.22 83 88 85 89 95 96 80 8776

16-Oct-19 5.24 83 85 93 96 99 100 70 8089

17-Oct-19 5.25 83 89 89 96 98 100 64 6332

18-Oct-19 5.25 85 92 89 95 92 96 65 7417

22-Oct-19 5.25 92 93 96 98 99 100 76 8866

23-Oct-19 5.25 80 84 88 92 98 100 64 6325

24-Oct-19 5.25 82 91 93 95 98 100 57 5631

25-Oct-19 5.25 76 81 76 81 92 93 62 6631

29-Oct-19 5.25 66 67 69 68 95 97 65 7062

30-Oct-19 5.25 63 69 82 85 98 100 84 8391

31-Oct-19 5.25 83 87 92 96 97 100 76 7438

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


MIBOR



TotalTRADEDATE

FBILO/N


Value(` Cr.)

01-Oct-19 5.45 7 26 17 35 24 38 409 6834

03-Oct-19 5.45 7 31 17 40 24 43 399 6468

04-Oct-19 5.45 7 30 15 39 17 41 275 3369

07-Oct-19 5.21 10 38 15 45 21 47 235 2947

09-Oct-19 5.20 10 36 21 48 27 50 368 4564

10-Oct-19 5.20 8 35 18 46 24 50 390 4765

11-Oct-19 5.22 7 33 11 38 20 44 390 5240

14-Oct-19 5.20 6 34 16 43 23 47 361 4702

15-Oct-19 5.22 8 39 13 44 23 50 375 5157

16-Oct-19 5.24 8 35 14 40 23 45 383 5905

17-Oct-19 5.25 8 36 13 42 21 46 398 5728

18-Oct-19 5.25 9 40 14 45 22 49 384 5958

22-Oct-19 5.25 10 40 14 45 24 49 365 5345

23-Oct-19 5.25 10 42 15 46 22 48 369 5511

24-Oct-19 5.25 9 42 15 49 23 52 347 5132

25-Oct-19 5.25 13 54 18 58 26 61 268 4165

29-Oct-19 5.25 13 52 18 56 26 58 283 4561

30-Oct-19 5.25 12 51 20 58 29 61 315 5113

31-Oct-19 5.25 18 53 24 57 34 59 207 4556

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

NDS-CALL Platform (WAR)TRADEDATE

FBIL O/NMIBOR Rate

Uncollateralised O/N Call(WAR)

All Trades Trades Upto 4 PM

Trades Reportedon NDS-CALL

Platform (WAR)

01-Oct-19 5.45 5.26 5.42 5.44 5.11

03-Oct-19 5.45 5.22 5.42 5.44 5.07

04-Oct-19 5.45 5.19 5.23 5.27 5.01

07-Oct-19 5.21 5.12 5.18 5.20 4.87

09-Oct-19 5.20 5.07 5.16 5.19 4.87

10-Oct-19 5.20 5.07 5.19 5.19 4.85

11-Oct-19 5.22 5.04 5.13 5.18 4.83

14-Oct-19 5.20 5.06 5.18 5.19 4.81

15-Oct-19 5.22 5.05 5.19 5.21 4.83

16-Oct-19 5.24 5.05 5.21 5.23 4.83

17-Oct-19 5.25 5.04 5.22 5.24 4.85

18-Oct-19 5.25 5.10 5.20 5.21 4.88

22-Oct-19 5.25 5.10 5.23 5.24 4.87

23-Oct-19 5.25 5.06 5.21 5.24 4.88

24-Oct-19 5.25 5.06 5.22 5.24 4.88

25-Oct-19 5.25 5.10 5.18 5.23 4.96

29-Oct-19 5.25 5.09 5.17 5.24 4.96

30-Oct-19 5.25 5.10 5.19 5.23 4.96

31-Oct-19 5.25 5.11 5.19 5.23 4.97

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

Less Than 30 Days 30-60 Days 60-90 Days 90-120 Days 120-180 Days 180-270 Days 270 Days and More TotalPeriod

Trades Values Trades Values Trades Values Trades Values Trades Values Trades Values Trades Values Trades Values

2006-07 75 4504 74 5209 19 895 52 1347 4 40 8 73 23 2716 255 14784

2007-08 249 13937 209 10332 49 1832 240 10250 27 1625 46 1701 23 1332 843 41008

2008-09 222 13887 187 11679 92 4194 313 15801 34 1543 51 1846 29 659 928 49608

2009-10 162 8727 63 3942 6 755 87 3322 15 1298 32 1610 68 5522 433 25176

2010-11 291 16146 84 6220 27 1493 77 3617 6 312 40 1346 44 2236 569 31370

2011-12 467 34789 162 11218 47 3143 148 9467 5 85 24 1003 29 1057 882 60761

2012-13 997 81555 273 22081 117 8572 243 15673 16 1294 27 1237 37 2977 1710 133389

2013-14 639 40681 244 11765 86 4914 241 12961 30 1685 41 3458 56 2643 1337 78107

2014-15 758 29041 108 4913 136 6040 212 11018 42 2810 47 2256 45 2356 1348 58432

2015-16 1142 43868 161 4678 79 4029 142 6927 32 2453 52 3297 34 1885 1642 67136

2016-17 1919 83127 237 10543 91 5509 123 7917 39 2710 29 2615 33 2152 2471 114574

2017-18 1941 75095 265 15637 88 5554 142 11776 61 5766 67 4937 34 1475 2598 120239

2018-19 1858 65676 307 15062 145 9049 99 4944 44 3138 22 948 20 676 2495 99491

Apr-19 180 6082 23 1256 15 1150 2 200 6 105 3 157 - - 229 8951

May-19 236 6974 11 392 3 135 7 395 3 70 1 200 1 100 262 8266

Jun-19 215 9315 16 730 6 240 6 405 2 50 - - 1 8 246 10748

Jul-19 260 8583 18 1069 5 260 4 215 - - - - - - 287 10127

Aug-19 203 5722 15 205 4 440 9 545 1 100 3 250 - - 235 7261

Sep-19 178 6558 13 985 3 235 1 50 - - 4 600 - - 199 8428

Oct-19 216 7513 14 641 14 568 10 265 4 250 4 170 - - 262 9407


1488 50746 110 5278 50 3028 39 2075 16 575 15 1377 2 108 1720 63188

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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.

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

2018-19 39887 3855046 148 14331 95111 1145963 354 4260 297 48342 135295 5049351 503 18771 76.35 22.70 0.96 5002364 18596

Apr-19 3695 397635 194 20928 6873 86783 362 4568 9 2425 10577 486843 557 25623 81.68 17.83 0.50 486287 25594

May-19 3500 358544 152 15589 8904 108953 387 4737 4 850 12408 468347 539 20363 76.56 23.26 0.18 467200 20313

Jun-19 2974 300713 135 13669 8541 104156 388 4734 6 500 11521 405369 524 18426 74.18 25.69 0.12 404868 18403

Jul-19 2263 216852 91 8674 10530 137013 421 5481 2 150 12795 354015 512 14161 61.26 38.70 0.04 353855 14154

Aug-19 2525 270231 115 12283 8714 104502 396 4750 4 950 11243 375682 511 17076 71.93 27.82 0.25 374711 17032

Sep-19 2422 261886 115 12471 8389 109060 399 5193 11 2600 10822 373546 515 17788 70.11 29.20 0.70 371765 17703

Oct-19 1618 162818 77 7753 7597 107907 362 5138 3 375 9218 271099 439 12909 60.06 39.80 0.14 0 0


18997 1968678 124 12867 59548 758374 389 4957 39 7850 78584 2734902 514 17875 71.98 27.73 0.29 2458686 16070

November 2019


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TABLE 55: FOREX SETTLEMENT*

FOREIGN EXCHANGE MARKETFOREX SETTLEMENT


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

2018-19 32488 932184 6511074 52055 1188412 8292587 2193499 3513505 24537324 97779 1180332 8138004 2375821 6814433 47478988 10197 29246 203772

Apr-19 3449 93522 648785 5908 128351 889876 137600 279934 1940905 10540 163369 1153365 157497 665176 4632931 8750 36954 257385

May-19 3206 87032 607170 4923 110831 773454 170582 299861 2093189 8846 139090 981140 187557 636813 4454952 8931 30324 212141

Jun-19 3263 94152 653634 5184 125130 869317 144892 250822 1743824 8417 116143 823135 161756 586246 4089910 8513 30855 215258

Jul-19 3031 82759 569370 4751 104673 720240 167815 299308 2060068 8432 115461 815166 184029 602202 4164844 8365 27373 189311

Aug-19 2792 76994 546977 4569 105774 750219 189994 298259 2112800 7298 88112 629664 204653 569140 4039660 10233 28457 201983

Sep-19 3227 100403 716643 5065 127135 908346 164965 263739 1884247 8851 103566 747858 182108 594843 4257094 9585 31308 224058

Oct-19 2646 78391 556710 4100 94175 668858 156026 264195 1876539 7851 106717 765827 170623 543478 3867933 9479 30193 214885


21614 613253 4299289 34500 796069 5580308 1131874 1956117 13711572 60235 832459 5916155 1248223 4197898 29507324 9111 30642 215382

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TABLE 56: FOREX TRADE TYPE ANALYSIS Percent

Cash Tom Spot ForwardSettlementPeriod

Trades Value Trades Value Trades Value Trades Value

2002-03 - - - - 74.25 70.89 25.75 29.11

2003-04 0.31 1.19 0.47 1.83 76.02 70.72 23.20 26.27

2004-05 1.88 7.77 3.47 12.53 76.42 59.24 18.23 20.46

2005-06 2.64 13.11 4.35 16.92 75.78 49.60 17.22 20.37

2006-07 2.36 13.11 4.24 17.82 79.38 49.79 14.03 19.28

2007-08 2.00 10.15 3.38 13.08 80.53 50.90 14.09 25.87

2008-09 1.87 9.53 3.17 13.27 80.65 48.29 14.32 28.91

2009-10 1.78 12.17 3.13 16.22 85.88 49.10 9.21 22.50

2010-11 1.72 12.12 2.79 15.54 87.58 50.56 7.90 21.78

2011-12 1.78 11.82 2.68 14.88 86.92 50.11 8.62 23.19

2012-13 1.67 12.64 2.68 17.05 87.16 47.11 8.49 23.19

2013-14 1.73 14.78 2.61 18.08 88.81 46.36 6.85 20.79

2014-15 1.69 15.81 2.49 18.67 90.13 47.94 5.70 17.58

2015-16 1.55 15.36 2.33 18.50 90.61 47.60 5.52 18.53

2016-17 1.77 16.68 2.54 19.84 90.45 45.54 5.25 17.95

2017-18 1.43 14.42 2.27 19.02 91.75 49.29 4.56 17.27

2018-19 1.37 13.68 2.19 17.44 92.33 51.56 4.12 17.32

Apr-19 2.19 14.06 3.75 19.30 87.37 42.08 6.69 24.56

May-19 1.71 13.67 2.62 17.40 90.95 47.09 4.72 21.84

Jun-19 2.02 16.06 3.20 21.34 89.57 42.78 5.20 19.81

Jul-19 1.65 13.74 2.58 17.38 91.19 49.70 4.58 19.17

Aug-19 1.36 13.53 2.23 18.58 92.84 52.41 3.57 15.48

Sep-19 1.77 16.88 2.78 21.37 90.59 44.34 4.86 17.41

Oct-19 1.55 14.42 2.40 17.33 91.44 48.61 4.60 19.64


1.73 14.61 2.76 18.96 90.68 46.60 4.83 19.83N

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TABLE 57: FOREX DEAL SIZE ANALYSIS Percent

< 1 mn 1 mn > 1 mn <= 5 mn > 5 mn <= 10 mn > 10 mn <= 20 mn > 20 mnSettlement


% 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

2018-19 26.69 4.04 51.33 17.89 14.63 15.53 3.08 10.36 1.63 10.06 2.64 42.12

Apr-19 27.89 2.73 44.82 10.61 14.42 11.28 5.23 12.03 2.67 11.38 4.97 51.96

May-19 28.97 3.61 49.09 14.46 12.60 11.70 3.79 10.77 1.99 10.37 3.56 49.08

Jun-19 27.16 3.14 49.73 13.72 12.82 11.58 4.24 11.33 2.24 11.06 3.81 49.16

Jul-19 27.86 3.57 50.58 15.46 12.25 12.33 4.12 12.20 1.80 9.73 3.40 46.71

Aug-19 27.82 4.17 52.98 19.05 11.93 13.59 3.30 11.48 1.41 8.89 2.56 42.82

Sep-19 28.16 3.68 49.79 15.24 12.83 12.70 4.05 12.01 1.87 10.07 3.30 46.30

Oct-19 30.40 4.09 47.98 15.06 12.77 13.11 3.86 11.67 1.92 10.70 3.07 45.38


28.33 3.55 49.44 14.70 12.75 12.29 4.05 11.64 1.96 10.33 3.48 47.49

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TABLE 58: TENORWISE FORWARD TRADES ANALYSIS Percent

< 30 Days> 30 Days &<= 90 Days

> 90 Days &<= 180 Days

> 180 Days &<= 365 Days

> 1 YearSettlement


% tototalvalue

% toTotaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

2002-03 13.54 16.07 23.35 22.90 26.49 22.35 35.66 37.25 0.96 1.43

2003-04 17.19 22.50 23.97 24.84 22.80 20.24 35.34 31.77 0.70 0.65

2004-05 15.66 20.00 23.79 24.10 19.88 17.86 38.51 36.26 2.16 1.78

2005-06 17.99 22.84 21.79 24.18 17.55 15.18 40.52 36.16 2.15 1.64

2006-07 19.70 25.61 23.78 25.06 19.06 17.21 35.67 30.48 1.79 1.64

2007-08 16.41 31.47 26.83 25.83 22.63 17.22 32.70 24.46 1.44 1.02

2008-09 14.41 23.62 23.82 23.41 21.08 18.59 38.80 31.98 1.90 2.39

2009-10 14.36 20.88 22.08 20.57 18.47 15.06 43.59 41.57 1.50 1.92

2010-11 19.63 30.54 24.96 23.91 17.15 14.99 36.63 28.91 1.64 1.65

2011-12 18.49 22.62 22.99 22.75 16.91 15.79 39.61 36.86 2.00 1.98

2012-13 14.42 17.65 19.43 19.07 14.25 13.49 49.36 47.10 2.54 2.69

2013-14 14.45 21.18 21.39 20.57 16.88 13.91 45.00 41.81 2.29 2.53

2014-15 14.76 22.18 19.89 20.74 17.22 14.77 45.92 40.22 2.22 2.10

2015-16 15.85 23.40 18.62 21.88 14.23 11.94 48.11 40.06 3.18 2.73

2016-17 17.07 25.96 22.69 26.05 16.14 14.68 39.50 29.31 4.59 3.99

2017-18 15.01 25.79 20.87 25.35 17.70 16.04 42.64 30.05 3.78 2.77

2018-19 17.90 26.88 24.15 28.27 15.75 14.27 36.49 26.74 5.72 3.84

Apr-19 25.85 35.16 25.55 29.73 14.05 13.09 29.73 19.20 4.81 2.83

May-19 23.06 36.33 29.12 33.71 13.20 8.71 29.01 17.73 5.61 3.52

Jun-19 18.71 27.39 27.90 32.07 14.36 10.41 33.93 26.40 5.10 3.72

Jul-19 18.70 28.41 29.76 32.67 14.67 12.47 28.80 21.03 8.08 5.42

Aug-19 13.70 18.71 24.66 30.97 15.68 15.57 37.86 28.98 8.10 5.77

Sep-19 11.54 15.37 28.30 35.12 14.74 15.57 32.47 25.27 12.95 8.68

Oct-19 16.84 27.41 31.82 34.93 16.30 14.36 28.82 20.04 6.22 3.26


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TABLE 59: MARKET SHARE - FOREX Percent

TABLE 60: CATEGORYWISE FOREX ACTIVITY - DEAL TYPE

Market Share (%)

Category CASH TOM SPOT FORWARD

Foreign Banks 42.25 45.47 41.71 47.10

Public Sector Banks 21.16 19.60 31.28 26.05

Private Sector Banks 36.38 34.77 26.74 26.76

Cooperative Banks 0.21 0.16 0.26 0.09

Financial Institutions 0.01 0.01 0.00 0.00

Top 'n' Players Top 5 Top 10 Top 15 Top 20

2002-03 33.65 57.73 72.42 83.30

2003-04 30.53 54.83 69.59 79.45

2004-05 29.00 49.45 63.61 73.61

2005-06 30.59 52.45 68.38 78.89

2006-07 31.15 50.93 65.08 73.69

2007-08 39.66 61.31 76.24 84.55

2008-09 39.65 62.30 76.97 85.71

2009-10 33.13 55.14 71.31 81.51

2010-11 34.94 57.30 73.56 82.97

2011-12 31.01 54.09 70.57 80.23

2012-13 31.53 52.64 68.22 78.40

2013-14 28.35 49.26 64.60 75.27

2014-15 29.05 49.51 64.62 74.95

2015-16 29.29 49.46 63.40 73.98

2016-17 30.16 50.82 65.10 75.09

2017-18 33.21 55.62 69.87 79.60

2018-19 32.30 53.36 68.34 78.74

Apr-19 33.89 54.42 69.78 80.22

May-19 30.55 50.07 65.75 77.64

Jun-19 30.60 51.43 66.40 77.82

Jul-19 30.09 51.08 66.95 78.83

Aug-19 30.38 50.89 66.68 79.08

Sep-19 30.76 52.05 68.39 80.85

2019-20 (Upto October 2019) 30.88 51.71 67.60 79.33

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TABLE 61: NETTING FACTOR - FOREX Amount in USD Million


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

2018-19 6814433 279060 95.90

Apr-19 665176 30068 95.48

May-19 636813 29975 95.29

Jun-19 586246 25415 95.66

Jul-19 602202 28553 95.26

Aug-19 569142 27512 95.17

Sep-19 594843 26709 95.51

Oct-19 543478 24381 95.51

2019-20 (Upto October 2019) 4197900 192613 95.41

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TABLE 62: FOREX FORWARD SETTLEMENT


FOREX FORWARD SETTLEMENT

Amount in USD Million

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

2018-19 42380 445703 99571 1241299

Apr-19 41059 378076 8696 106337

May-19 42518 429692 9122 129200

Jun-19 43603 432405 9480 118462

Jul-19 45737 447817 10533 130273

Aug-19 47557 462409 9108 102625

Sep-19 45669 454866 7774 103979

Oct-19 45608 456482 7765 108040

2019-20 (Upto October 2019) - - 62478 798916

* Commenced operation from December 1, 2009 # Mandate by RBI for CCP Clearing of Forward trades w.e.f. June, 2014

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TABLE 63: CLS SETTLEMENT

CONTINUOUS LINKED SETTLEMENT (CLS)


Amount in USD Million

Settlement Period Trades Gross Value Net Value Netting Factor (%)

2005-06 43788 67858 10143 85.05

2006-07 138797 327380 33493 89.77

2007-08 188741 681369 51428 92.45

2008-09 247571 499318 53726 89.24

2009-10 295258 391932 52239 86.67

2010-11 394315 469873 60605 87.10

2011-12 441933 647151 76881 88.12

2012-13 570308 724121 55305 92.36

2013-14 594816 629830 54870 91.29

2014-15 571559 592450 51981 91.23

2015-16 682758 585336 61339 89.52

2016-17 707297 635489 65894 89.63

2017-18 874952 846446 94993 88.78

2018-19 905686 836487 82458 90.14

Apr-19 60244 54694 5470 90.00

May-19 73157 61337 5274 91.40

Jun-19 65687 54125 5313 90.18

Jul-19 72918 62832 5818 90.74

Aug-19 72549 65196 5993 90.81

Sep-19 73219 67064 6430 90.41

Oct-19 73231 68039 7038 89.66

2019-20 (Upto October 2019) 491005 433284 41335 90.46

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TABLE 64: CURRENCY WISE GROSS SETTLEMENT

TABLE 65: TOP 5 CURRENCY PAIRS - CLS

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CurrencyCurrencywise Gross Value (In

millions)MTM Rates

Gross Volume in USD(In millions)

USDINR 543478 1.00000 543478

US DOLLAR 34335 1.0000 34335

EURO 13717 1.1163 15313

GREAT BRITAIN POUNDS 6906 1.2929 8929

JAPANESE YEN 536129 0.0092 4934

AUSTRALIAN DOLLAR 2083 0.6924 1442

SWISS FRANC 1186 1.0131 1202

CANADIAN DOLLAR 1354 0.7599 1029

SINGAPORE DOLLAR 489 0.7351 359

NEW ZEALAND DOLLAR 401 0.6425 258

SOUTH AFRICAN RAND 3056 0.0668 204

SWEDISH KRONA 1420 0.1038 147

HONG KONG DOLLAR 1080 0.1276 138

NORWEGIAN KRONE 883 0.1091 96

DANISH KRONE 169 0.1494 25

Total 611888

Sr. No. Currency Pair Gross Value (USD Million) Share (%)

1 EUR/USD 31381 45.86

2 GBP/USD 16788 24.53

3 USD/JPY 9352 13.67

4 AUD/USD 2733 3.99

5 USD/CHF 2487 3.63

7 Others 5691 8.32

68431 100.00

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FOREX TRADING PLATFORM: FX-CLEAR

5Number of Participants: 7

TABLE 66: TRADING DETAILS Amount in USD Million

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

2018-19 544497 354278 2250 1464

Apr-19 30693 18460 1705 1026

May-19 45274 29775 2058 1353

Jun-19 35444 23587 1865 1241

Jul-19 38900 24812 1691 1079

Aug-19 37700 23438 1885 1172

Sep-19 36529 23007 1923 1211

Oct-19 36731 22698 1933 1195

2019-20 (Upto October 2019) 261271 165776 1112 705

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DERIVATIVES

Number of Participants:

INTERBANK INTEREST RATE DERIVATIVES

74

Amount Crore`

Amount Crore and Share in %`

TABLE : INTEREST RATE SWAP TRANSACTIONS (MATCHED)67

TABLE : INTEREST RATE SWAP (MIBOR) MARKET SHARE -68 2019OCTOBER

statistics

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MIBOR MIFOR TotalDate

Trades Value Trades Value Trades Value

1-Oct-19 147 8905 4 200 151 9105

3-Oct-19 209 13110 16 930 225 14040

4-Oct-19 288 27075 13 885 301 27960

7-Oct-19 88 7480 5 200 93 7680

9-Oct-19 205 17740 6 400 211 18140

10-Oct-19 161 12655 15 1000 176 13655

11-Oct-19 114 6685 10 650 124 7335

14-Oct-19 251 23040 24 1795 275 24835

15-Oct-19 158 14870 22 1640 180 16510

16-Oct-19 91 8800 24 2445 115 11245

17-Oct-19 257 21720 3 125 260 21845

18-Oct-19 87 5820 8 475 95 6295

22-Oct-19 105 5750 14 685 119 6435

23-Oct-19 120 7135 25 3115 145 10250

24-Oct-19 57 3575 8 350 65 3925

25-Oct-19 87 6510 25 1365 112 7875

29-Oct-19 148 10575 10 675 158 11250

30-Oct-19 129 5975 14 1050 143 7025

31-Oct-19 128 8600 5 520 133 9,120

Total 2830 216020 251 18505 3081 234525

Average 149 11369 13 974 162 12343

Buy Sell TotalCategory

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

Foreign Banks 1064 37.60 84980 39.34 1147 40.53 95535 44.23 2211 39.06 180515 41.78

Nationalized Banks 112 3.96 5045 2.34 72 2.54 5725 2.65 184 3.25 10770 2.49

Primary Dealers 617 21.80 51405 23.80 492 17.39 47865 22.16 1109 19.59 99270 22.98

Private Banks 1037 36.64 74590 34.53 1119 39.54 66895 30.97 2156 38.09 141485 32.75

Total 2830 100.00 216020 100.00 2830 100.00 216020 100.00 5660 100.00 432040 100.00

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TABLE 70: TOP ‘N’ MARKET SHARE - IRS

TABLE 71: IRS TRADE SUMMARY (MATCHED) Amount Crore`

Percent

TABLE : INTEREST RATE SWAP (MIFOR) MARKET SHARE - OCTOBER69 2019

Amount Crore and Share in %`

Buy Sell TotalCategory

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

Foreign Banks 191 76.10 13125 70.93 139 55.38 11855 64.06 330 65.74 24980 67.50

Nationalized Banks 2 0.80 75 0.41 1 0.40 25 0.14 3 0.60 100 0.27

Private Banks 58 23.11 5305 28.67 111 44.22 6625 35.80 169 33.67 11930 32.23

Total 251 100.00 18505 100.00 251 100.00 18505 100.00 502 100.00 37010 100.00

MIBOR MIFOR

Top 1 20.56 14.67

Top 5 62.89 58.70

Top 10 83.88 87.68

MIBOR MIFORPeriod


2007-08 79495 4728077 18139 647609

2008-09 40912 2644846 4799 223663

2009-10 20352 1452058 1050 53867

2010-11 33057 2359722 1291 74911

2011-12 33642 2451048 2101 109973

2012-13 22713 2021607 1252 75435

2013-14 25514 2296732 1437 79780

2014-15 21153 2029225 1932 119779

2015-16 20746 2132920 1372 99340

2016-17 21036 1923460 2120 125436

2017-18 41494 3380770 2107 111195

2018-19 69952 5861645 2773 170933

Apr-19 5018 430735 304 22500

May-19 4691 456640 260 21475

Jun-19 4080 352830 507 33504

Jul-19 4008 322585 352 25578

Aug-19 4850 369875 318 18890

Sep-19 4563 362290 253 15195

Oct-19 2830 216020 251 18505

2019-20 (Upto October 2019) 30040 2510975 2245 155647

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TABLE 72: OUTSTANDING POSITION IN IRS TRANSACTIONS Amount Crore`

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

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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 47343 3169566 8139 461281 77 4635 55559 3635482


48082 2925058 9567 569330 68 4135 57717 3498523

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

2018-19 4602 1655 64.04

Apr-19 370 145 60.86

May-19 349 128 63.17

Jun-19 370 132 64.28

Jul-19 513 201 60.76

Aug-19 452 182 59.69

Sep-19 720 247 65.69

Oct-19 636 255 59.88

2019-20 (Upto October 2019) 3409 1291 62.13

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TABLE 74: GUARANTEED SETTLEMENT - IRS Amount Crore`

TABLE 75: GUARANTEED SETTLEMENT - IRS - SUMMARY STATISTICS (MIBOR)

Amount Crore`

GUARANTEED SETTLEMENT -


INTERBANK IRS DERIVATIVES (MIBOR)

The data includes trades accepted for guaranteed settlement on a given trade date (both trades dealt on ASTROID and bilaterally).

Period Trades Value Avg. Trades Avg. Value

2017-18 30346 2420315 126 10043

2018-19 56218 4659605 232 19255

Apr-19 4065 357910 226 19884

May-19 3257 339545 148 15434

Jun-19 2745 243260 144 12803

Jul-19 2637 211485 115 9195

Aug-19 3235 253780 162 12689

Sep-19 3566 268975 188 14157

Oct-19 2158 159350 114 8387

2019-20 (Upto October 2019) 21663 1834305 155 13102

Trade Date Trades Value

1-Oct-19 122 7655

3-Oct-19 176 10935

4-Oct-19 190 18640

7-Oct-19 63 5590

9-Oct-19 170 15115

10-Oct-19 126 11305

11-Oct-19 92 4400

14-Oct-19 199 15090

15-Oct-19 124 8380

16-Oct-19 70 6175

17-Oct-19 195 16695

18-Oct-19 68 4675

22-Oct-19 72 3850

23-Oct-19 87 4560

24-Oct-19 36 2575

25-Oct-19 49 3360

29-Oct-19 128 9275

30-Oct-19 101 4500

31-Oct-19 90 6575

Total 2158 159350

Average 114 8387

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TABLE : TRADED VOLUME FOR OTC INTERBANK FCY - INR FORWARDS FOR THE MONTH OF76 OCTOBER 2019

FOREX DERIVATIVES

* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase Currency

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132

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

DateTrades

Volume(in Mio)

TradesVolume

(inMio)

TradesVolume

(inMio)

TradesVolume

(inMio)

TradesVolume

(inMio)

Trades

Volume(USD

inMio)

01-Oct-19 465 6,758.11 1 2.50 - - 1 0.22 - - - -

03-Oct-19 607 9,442.11 - - 1 0.50 - - - - - -

04-Oct-19 544 7,701.91 - - 1 0.28 - - - - - -

07-Oct-19 536 5,840.11 - - - - - - - - - -

09-Oct-19 370 3,616.55 14 8,182.16 1 1.00 - - - - 1 0.03

10-Oct-19 431 6,469.57 - - 3 2.05 1 0.60 - - - -

11-Oct-19 439 7,586.84 - - 2 0.60 1 0.50 - - - -

14-Oct-19 337 4,436.09 - - - - 1 0.44 - - - -

15-Oct-19 373 4,061.26 1 36.00 - - - - - - - -

16-Oct-19 479 5,641.36 - - - - - - - - - -

17-Oct-19 427 5,222.78 - - - - - - - - - -

18-Oct-19 402 6,224.02 1 14.60 1 0.60 - - 4 0.60 - -

22-Oct-19 354 5,562.78 - - 1 0.50 - - - - - -

23-Oct-19 323 4,422.11 - - - - - - - - - -

24-Oct-19 375 5,346.51 1 8.00 - - - - - - - -

25-Oct-19 411 5,867.39 - - 1 0.50 - - - - - -

29-Oct-19 318 5,074.65 - - 2 0.80 - - - - - -

30-Oct-19 301 4,228.45 - - - - - - 24 2.47 24 1.06

31-Oct-19 275 4,597.27 - - - - 1 0.10 - - - -

Total 7767 108099.87 18 8243.26 13 6.83 5 1.86 28 3.07 25 1.09

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TABLE 7 : TRADED VOLUME FOR OTC INTERBANK FCY - INR OPTIONS FOR THE MONTH OF7 OCTOBER 2019

* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes in Base Currency

USD / INR EUR / INR GBP / INR JPY / INR CHF / INR OTHERS *

DateTrades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(USD

inMio)

01-Oct-19 19 156.00 - - - - - - - - - -

03-Oct-19 11 101.70 - - - - - - - - - -

04-Oct-19 13 108.85 - - - - - - - - - -

07-Oct-19 18 288.80 - - - - - - - - - -

09-Oct-19 20 245.00 - - - - - - - - - -

10-Oct-19 14 107.89 1 0.10 - - - - - - - -

11-Oct-19 9 93.70 - - - - - - - - - -

14-Oct-19 19 165.00 - - - - - - - - - -

15-Oct-19 24 217.10 1 0.79 - - - - - - - -

16-Oct-19 16 266.60 1 0.15 - - - - - - - -

17-Oct-19 24 271.30 39 11.39 - - - - - - - -

18-Oct-19 18 121.61 - - - - - - - - - -

22-Oct-19 9 81.40 - - - - - - - - - -

23-Oct-19 21 226.60 - - - - - - - - - -

24-Oct-19 21 182.70 - - - - - - - - - -

25-Oct-19 12 121.10 - - - - - - - - - -

29-Oct-19 8 39.24 - - - - - - - - - -

30-Oct-19 8 43.08 - - - - - - - - - -

31-Oct-19 21 67.42 - - - - - - - - - -

Total 305 2905.09 42 12.44

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TABLE 7 : TRADED PRINCIPAL AMOUNT FOR OTC INTERBANK FCY -INR CROSS CURRENCY SWAPS FOR THE MONTH OF OCTOBER

82019


statistics

134

USD - INR JPY - INR EUR - INR CHF - INR GBP - 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

03-Oct-19 1 1.78 - - 1 4.17 - - - - - -

07-Oct-19 1 60.00 - - - - - - - - - -

10-Oct-19 2 110.00 1 8,061.00 - - - - - - - -

11-Oct-19 2 77.13 - - 1 15.00 - - - - - -

15-Oct-19 1 15.00 1 2,700.00 - - 1 3.20 - - - -

16-Oct-19 2 9.00 - - 1 2.23 - - - - - -

18-Oct-19 - - - - - - - - - - - -

22-Oct-19 3 100.00 - - - - - - - - - -

23-Oct-19 2 15.00 - - 2 - - - - - - -

24-Oct-19 1 25.00 - - - - - - - - - -

25-Oct-19 - - 1 2,900.00 - - - - - - - -

29-Oct-19 4 118.76 - - - - - - - - - -

30-Oct-19 2 52.00 - - - - - - - - - -

Total 21 583.66 4 15473.67 5 26.05 1 3.20

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TABLE : TRADED VOLUME FOR OTC INTERBANK FCY - FCY FORWARDS FOR THE MONTH OF79 OCTOBER 2019


- - - - - - - -

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

DateTrades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(USD inMillion)

01-Oct-19 210 331.24 49 452.09 46 148.39 46 70.21 18 59.72 145 402.38

02-Oct-19 3 5.27 0 - 0 - 0 - 0 - 0 -

03-Oct-19 168 220.33 44 225.57 40 106.32 26 59.03 13 80.99 68 55.83

04-Oct-19 170 205.20 44 145.30 23 114.01 12 175.35 9 27.91 62 44.31

07-Oct-19 140 266.44 43 64.27 88 139.93 48 98.08 6 26.55 96 103.59

08-Oct-19 - - - - - - - - - - 2 11.00

09-Oct-19 169 272.69 53 47.65 17 95.89 34 31.62 10 86.82 63 49.87

10-Oct-19 173 262.69 38 180.95 16 19.88 21 126.67 8 86.52 170 287.24

11-Oct-19 273 392.82 104 132.84 28 53.81 18 70.42 16 77.54 81 64.54

14-Oct-19 103 104.92 97 416.08 14 45.58 20 111.33 12 30.96 34 40.94

15-Oct-19 296 635.92 164 111.56 23 242.99 26 109.84 29 82.70 62 101.32

16-Oct-19 221 599.04 161 245.98 18 22.03 33 90.32 19 55.87 133 214.90

17-Oct-19 413 474.15 197 228.84 37 65.13 39 66.01 21 104.77 151 180.45

18-Oct-19 353 431.09 222 150.08 271 238.77 60 188.42 15 66.81 132 49.79

21-Oct-19 14 10.96 11 3.93 36 20.76 5 2.35 1 0.23 1 0.71

22-Oct-19 298 295.12 147 151.37 14 9.71 19 31.65 15 58.13 78 75.05

23-Oct-19 462 346.62 66 58.06 48 41.93 18 43.49 15 59.67 73 75.40

24-Oct-19 292 321.62 72 115.34 41 116.60 40 210.82 22 34.93 114 164.52

25-Oct-19 223 538.68 143 283.92 59 175.74 78 99.96 18 104.34 115 112.19

28-Oct-19 3 2.11 1 0.12 1 0.80 - - 3 0.89

29-Oct-19 146 516.76 71 326.08 49 132.26 45 348.31 18 18.88 186 242.94

30-Oct-19 182 450.48 81 515.30 82 422.73 58 88.58 35 159.65 159 232.86

31-Oct-19 380 812.51 94 288.58 35 69.82 49 82.95 13 46.97 95 184.83

Total 4692 7,496.65 1901 4,143.76 986 2,282.40 696 2,106.21 313 1,269.95 2023 2,695.55N

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TABLE TRADED VOLUME FOR OTC INTERBANK FCY - FCY OPTIONS FOR THE MONTH O80: F OCTOBER 2019


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

81SEPTEMBER 2019

statistics

136

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

DateTrades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(USD inMillion)

01-Oct-19 - - - - 1 10.00 - - - - - -

03-Oct-19 3 60.00 - - 2 10.00 - - - - - -

04-Oct-19 6 84.00 - - - - - - - - - -

07-Oct-19 6 30.00 - - - - - - - - - -

10-Oct-19 35 220.00 4 8.00 - - - - - - - -

11-Oct-19 32 317.16 2 37.01 3 30.00 - - - - - -

14-Oct-19 9 54.00 11 55.00 - - - - - - - -

15-Oct-19 3 35.00 - - 1 10.00 - - - - - -

16-Oct-19 11 112.00 - - - - - - - -

17-Oct-19 7 64.00 - - 4 16.00 2 20.00 - - - -

18-Oct-19 - - - - 4 8.00 3 30.00 - - - -

22-Oct-19 3 30.00 - - 8 24.00 - - - - - -

23-Oct-19 - - - - 3 18.00 - - - - - -

24-Oct-19 - - - - - - - - - - - -

25-Oct-19 1 10.00 - - 4 4.00 3 60.00 - - - -

30-Oct-19 4 40.00 25 87.76 5 30.00 3 90.00 - - - -

31-Oct-19 30 150.32 13 74.64 - - - - - - - -

Total 150 1206.48 55 262.42 35 160.00 11 200.00 2 20.00

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

10-Oct-19 1 76.30 0 - - - 1 6.00 - - - -

11-Oct-19 - - 2 30.00 - - - - - - - -

15-Oct-19 2 45.46 - - - - - - 1 3.21 - -

16-Oct-19 1 23.00 2 16.15 - - - - - - - -

17-Oct-19 1 50.00 - - - - - - - - - -

18-Oct-19 1 50.00 - - - - - - - - - -

24-Oct-19 - - 1 100.00 - - - - - - - -

25-Oct-19 - - - - 2 100.00 - - - - - -

31-Oct-19 - - - - - - 1 10 - - - -

Total 6 244.76 5 146.15 2 100.00 2 16.00 1 3.2072105

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TABLE : TRADED NOTIONAL PRINCIPAL FOR OTC INTERBANK FCY - IRS FOR THE MONTH OF82 OCTOBER 2019

* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase CurrencyMost of the FCY/IRS trades are with overseas counterparties and hence the reporting is single sided by the domestic counterparty.CCIL shall not be liable for errors committed by the reporting party in the absence of matching of primary economic parameters.

USD JPY EUR GBP 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

01-Oct-19 13 164.58 - - - - - - - - - -

02-Oct-19 2 100.00 - - - - - - - - - -

03-Oct-19 28 679.22 - - - - - - - - - -

04-Oct-19 18 676.02 - - - - - - - - - -

07-Oct-19 1 15.00 - - - - - - - - - -

08-Oct-19 2 200.00 - - - - - - - - - -

09-Oct-19 5 91.20 1 8,011.13 - - - - - - - -

10-Oct-19 24 1,014.67 - - - - - - - - - -

11-Oct-19 8 134.80 - - - - - - - - - -

14-Oct-19 2 53.00 - - - - - - - - - -

15-Oct-19 17 533.63 - - - - - - - - - -

16-Oct-19 15 492.84 1 1,500.00 - - - - - - - -

17-Oct-19 7 400.00 - - - - - - - - - -

18-Oct-19 11 327.68 2 2,600.00 - - - - - - - -

21-Oct-19 1 50.00 - - - - - - - - - -

22-Oct-19 5 87.00 - - - - - - - - - -

23-Oct-19 11 246.45 - - - - - - - - - -

24-Oct-19 26 748.97 - - 1 100.00 - - - - - -

25-Oct-19 6 118.15 - - - - - - - - - -

28-Oct-19 1 25.00 - - - - - - - - - -

29-Oct-19 11 136.17 - - - - - - - - - -

30-Oct-19 15 1,437.57 - - 1 10.00 - - - - - -

31-Oct-19 16 1,915.76 1 4,330.00 - - 1 15.00 - - - -

Total 245 9647.71 6 24641.13 2 110.00 1 15 No

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

85OCTOBER 2019

TABLE : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - INR FORWARDS AS AT END83 OCTOBER 2019

TABLE : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - INR OPTIONS AS AT END84 OCTOBER 2019

* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currencies, in terms of Outstanding Notional Principal, represented with respect to volumes in Base Currency.



TABLE : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - FCY OPTIONS AS AT END87 OCTOBER 2019



TABLE 8 : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - FCY FORWARDS AS AT END6 OCTOBER 2019

statistics

138

USD / INR JPY / INR GBP / INR EUR / INR CAD / INR OTHERS *

MonthTrades

Volume(in Mio)

TradesVolume(in Mio)

TradesVolume

(inMio)

TradesVolume

(inMio)

TradesVolume

(inMio)

Trades

Volume(USD

inMio)

Oct-19 47318 467,254.44 285 52,072.83 319 130.35 160 107.29 2 78.26 246 23.84

USD / INR JPY / INR EUR / INR GBP / INR CHF / INR OTHERS *

MonthTrades

Volume(in Mio)


TradesVolume

(inMio)

TradesVolume

(inMio)

TradesVolume

(inMio)

Trades

Volume(USD

inMio)

Oct-19 2956 22,899.11 11 36,742.59 127 217.19 17 69.54 0

USD-INR JPY-INR EUR-INR SGD-INR GBP-INR OTHERS *

MonthTrades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency


Oct-19 1274 24,003.33 27 94,232.60 97 637.06 6 53.04 1 11.32 1 3.24

EUR / USD GBP / USD USD / JPY USD / CHF USD / CAD OTHERS *

MonthTrades

Volume(in Mio)


TradesVolume

(inMio)

TradesVolume

(inMio)

TradesVolume

(inMio)

TradesVolume(USD in

Mio)

Oct-19 16373 18,239.80 6344 10,735.45 3397 9,503.66 690 3,951.15 1002 3,783.55 3884 5,178.87

GBP / USD EUR / USD USD / JPY AUD / USD EUR / AUD 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)

Oct-19 171 1,710.23 363 1,585.56 129 907.05 34 507.00 2 20.00 - -

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TABLE : OUTSTANDING NOTIONAL PRINCIPAL FOR OTC INTERBANK FCY - IRS AS AT END OF89 OCTOBER 2019

* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase Currency for each instrumentMost of the FCY/IRS trades are with overseas counterparties and hence the reporting is single sided by the domestic counterparty.CCIL shall not be liable for errors committed by the reporting party in the absence of matching of primary economic parameters.

TABLE 8 : OUTSTANDING PRINCIPAL AMOUNT FOR OTC INTERBANK FCY -FCY CROSS CURRENCY SWAPS AS AT END

8OCTOBER 2019


USD-JPY EUR-USD USD-SGD AUD-USD GBP-USD OTHERS *

MonthTrades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency


Oct-19 179 9,347.24 384 4,255.34 71 1,660.72 17 1,065.55 46 439.25 32 765.53

USD EUR JPY GBP SGD OTHERS *

MonthTrades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency


Oct-19 9681 215350.08 329 2400.28 123 265935.47 222 1065.36 16 725.00 103 72.71

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HIGHLIGHTS

• Zero coupon yields as on October 31, 2019 have

moved to lower levels across the curve as

compared to the yields prevailing a year back. In

the last one month, yields have moved to lower

levels across the curve

INTEREST RATE MOVEMENT

Chart 2: Sovereign Yield Curve

Chart 1: Zero Coupon Yield Curve

statistics

140

4.75

5.25

5.75

6.25

6.75

7.25

7.75

8.25

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

October 31, 2019 September 30, 2019 October 31, 2018

5.005.255.505.756.006.256.506.757.007.257.507.758.008.25

1 6 11 16 21 26 31 36 41

Tenor (In years)

Zer

oC

oupon

Rat

e(%

)

October 31, 2019 September 30, 2019 October 31, 2018

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141

statistics

TABLE 90: SPREAD ANALYSIS - SDL

Note: Spread has been calculated on the basis of deals settled through CCIL taking into account only outright deals of 5 Crore andabove. The methodology and other information on the spread can be requested from Economic Research Department, CCIL

`

State TradesTraded Value

(` Crore)Average Spread (bps)

ANDHRA PRADESH 158 4014 33

ASSAM 8 716 51

BIHAR 57 1046 52

CHHATTISHGARH 17 635 36

GOA 10 103 50

GUJARAT 153 3578 41

HARYANA 27 368 45

HIMACHAL PRADESH 18 255 48

JAMMU & KASHMIR 12 153 56

JHARKHAND 6 60 57

KARNATAKA 240 3838 41

KERALA 44 803 49

MADHYA PRADESH 29 663 47

MAHARASHTRA 268 4527 43

ODISHA 3 65 46

PUDUCHERRY 15 215 51

PUNJAB 93 2199 42

RAJASTHAN 83 1583 45

SIKKIM 4 50 56

TAMIL NADU 216 3907 36

TELANGANA 17 215 43

TRIPURA 1 251 51

UTTAR PRADESH 7 404 30

UTTARAKHAND 16 220 50

UTTARPRADESH 68 4288 47

WEST BENGAL 74 3178 30

Total 1644 37333 41 No

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TABLE 91: YIELD MOVEMENT Percent

statis

tic

s

142

YTMChange inYTM(bps)

YearOctober31, 2019

September30, 2019

August 30,2019

July 31,2019

June 28,2019

May 31,2019

April 30,2019

March29, 2019

February28, 2019

January31, 2019

December31, 2018

November30, 2018

October31, 2018

Monthto

Month

Yearon

Year

2019 6.9643 7.2735 7.5495

2020 5.4750 5.6769 5.7809 5.9917 6.2721 6.3833 6.6583 6.5073 6.6500 6.8441 6.8317 7.2473 7.5808 -20 -211

2021 5.4925 5.7512 5.7826 6.0166 6.2929 6.4228 6.7628 6.5368 6.7460 6.9334 7.0405 7.3076 7.6741 -26 -218

2022 5.9368 5.9838 6.0823 6.2121 6.5847 6.6801 7.0000 6.7489 6.9790 7.1612 7.1657 7.4220 7.6940 -5 -176

2023 6.0448 6.7077 6.1465 6.2541 6.6545 6.7420 7.1504 6.8387 7.0653 7.1941 7.1869 7.4758 7.8502 -66 -181

2024 6.2287 6.3683 6.2682 6.3024 6.7674 6.8492 7.3242 6.9231 7.1462 7.3217 7.3334 7.5148 7.8413 -14 -161

2025 6.5028 7.1064 6.5204 6.5814 6.9146 7.0323 7.4666 7.1631 7.4386 7.4426 7.3820 7.5768 7.8469 -60 -134

2026 6.4686 6.7072 6.4400 6.5286 6.9138 7.0097 7.4417 7.2928 7.4531 7.4432 7.3806 7.5743 7.9176 -24 -145

2027 6.8119 6.8926 6.6459 6.7186 7.0305 7.1905 7.5817 7.4762 7.6432 7.5516 7.4390 7.6625 7.9174 -8 -111

2028 6.7515 6.8266 6.6742 6.6245 7.0109 7.1946 7.5154 7.4645 7.6388 7.5081 7.3553 7.6089 7.8665 -8 -111

2029 6.6586 6.7011 6.5688 6.3687 6.8814 7.0551 7.4035 7.3293 7.4349 7.2956 7.5128 7.7149 7.9792 -4 -132

2030 6.9670 6.9704 6.8188 6.7845 7.0262 7.2683 7.6451 7.5586 7.6886 7.6751 7.5452 7.7423 8.1758 0 -121

2031 6.9167 6.9326 6.8334 6.7683 7.0397 7.2596 7.6956 7.5831 7.7774 7.6217 7.5275 7.7095 7.8956 -2 -98

2032 7.0619 7.0601 6.9030 6.7830 7.0458 7.2962 7.7134 7.6008 7.8272 7.6534 7.5218 7.7568 8.0751 0 -101

2033 6.9990 7.0131 6.9089 6.7792 7.0236 7.2528 7.7233 7.6210 7.8048 7.6608 7.5642 7.7892 8.1329 -1 -113

2034 7.0101 7.0658 6.9134 6.8253 7.0771 7.3027 7.7176 7.6264 7.8130 7.6598 7.5823 7.7973 8.1890 -6 -118

2035 7.0898 7.0810 6.9288 6.8310 7.0709 7.3053 7.7303 7.6404 7.8570 7.6806 7.5849 7.7650 8.1658 1 -108

2036 7.1435 7.2006 6.9399 6.8386 7.1346 7.3370 7.7173 7.6294 7.8164 7.6456 7.5870 7.8062 8.1728 -6 -103

2039 7.0733 7.1194 6.9916 6.8542 7.0388 7.3166 7.6774 7.7377 7.9254 7.7810 7.7055 7.8953 8.3008 -5 -123

2040 7.1918 7.2415 6.8977 6.8512 7.0892 7.3577 7.7249 7.6950 7.8295 7.6747 7.5968 7.9087 8.3066 -5 -111

2041 7.0958 7.2491 7.0441 6.8504 7.0936 7.4566 7.7222 7.6224 7.8087 7.6792 7.5968 7.8446 8.2025 -15 -111

2042 7.2148 7.1635 7.0352 6.8400 7.0958 7.3741 7.7193 7.6498 7.8199 7.6829 7.5960 7.8650 8.3074 5 -109

2043 7.1085 7.1709 7.0581 6.6934 7.0970 7.4000 7.7132 7.6442 7.8030 7.6862 7.7048 7.9618 8.3047 -6 -120

2044 7.1184 7.2322 6.9254 6.8662 7.1077 7.3546 7.7115 7.6164 7.7853 7.6888 7.5930 7.8504 8.1917 -11 -107

2045 7.1217 7.2709 7.0146 6.8527 7.0969 7.3583 7.7079 7.6253 7.7873 7.6963 7.5917 7.8450 8.2105 -15 -109

2046 7.0863 7.1523 7.0115 6.8475 7.0948 7.3493 7.7046 7.5912 7.7952 7.6945 7.6255 7.8584 8.1860 -7 -110

2049 7.1666 7.1986 7.0336 6.8352 7.0872 7.3000 7.7046 - - - - - - -3 -

2051 7.1346 7.1402 6.9005 6.7567 7.0789 7.4047 7.6834 7.5985 7.7838 7.7626 7.6729 7.9570 8.2869 -1 -115

2055 7.2335 7.2886 6.9574 6.8054 7.0661 7.3644 7.7335 7.6056 7.7359 7.7091 7.5506 7.8450 8.1733 -6 -94

2059 7.1052 7.1466 6.9843 6.7880 7.0525 7.3325 - - - - - - - -4 -

November 2019

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statistics

CORPORATE BONDSPRIMARY ISSUANCE ANALYSIS

FIXED COUPON BONDS

TABLE 92: ANALYSIS OF CORPORATE BOND ISSUANCE

TABLE 93: TOP 5 ISSUANCES

TABLE 95: CATEGORY ANALYSIS

TABLE 94: SECTOR ANALYSIS

Company No.Amount(` Cr.)

Avg.Tenor

Max.Tenor

Min.Tenor

Avg.Coupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

%Share

RSCL TRADING PRIVATE LIMITED 1 590.40 2.94 2.94 2.94 5.00 5.00 5.00 10.07

ALEOR DERMACEUTICALS LIMITED 2 500.00 7.12 7.12 7.12 10.00 10.00 10.00 8.53

CENTRAL BANK OF INDIA 1 500.00 10.17 10.17 10.17 9.80 9.80 9.80 8.53

INDIA INFRADEBT LIMITED 1 500.00 5.00 5.00 5.00 8.60 8.60 8.60 8.53

POWER FINANCE CORPORATION LTD. 1 500.00 5.00 5.00 5.00 5.75 5.75 5.75 8.53

Sector No.Amount

(Cr.)Avg.

TenorMax.Tenor

Min.Tenor

Avg.Coupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

Finance 29 3076.57 4.28 10.17 0.94 10.75 14.00 5.75

Infrastructure 15 837.25 4.28 9.99 1.88 13.54 20.00 4.00

Manufacturing 4 998.00 6.05 7.12 4.96 11.08 14.00 10.00

Others 11 949.48 6.00 10.00 1.98 9.41 18.00 0.10

Type No.Amount(` Cr.)

Avg.Tenor

Max.Tenor

Min.Tenor

Avg.Coupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

PSU 3 1021.03 6.72 10.17 4.99 7.10 9.80 5.75

PVT 56 4840.26 4.62 10.01 0.94 11.45 20.00 0.10

Type Sector No.Amount(` Cr.)

Avg.Tenor

Max.Tenor

Min.Tenor

Avg.Coupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

PSU Finance 3 1021.03 6.72 10.17 4.99 7.10 9.80 5.75

PVT Finance 26 2055.54 4.00 10.01 0.94 11.18 14.00 6.60

PVT Infrastructure 15 837.25 4.28 9.99 1.88 13.54 20.00 4.00

PVT Manufacturing 4 998.00 6.05 7.12 4.96 11.08 14.00 10.00

PVT Others 11 949.48 6.00 10.00 1.98 9.41 18.00 0.10

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TABLE 96: NON-FIXED RATE BOND ISSUANCE ANALYSIS

VARIABLE/ZERO COUPON BONDS

TABLE 9 :7 TENORWISE ISSUANCE ANALYSIS

Source: FIMMDA

TABLE 98: PRIMARY MARKET CATEGORY ANALYSIS - HISTORICAL Amount ( Cr)`

statistics

144

Type No.Amount(` Cr.)

Avg.Tenor

Max.Tenor

Min.Tenor

Remarks

Floating Rate - - - - - -

Zero Coupon Bond - - - - - -

TenorBuckets

No.Amount

(Cr.)Fixed Floating

ZeroCoupon

Avg.Fixed

Coupon(%)

Max.Coupon

(%)

Min.Coupon

(%)

FloatingBenchmark

<=1 year 2 16.00 2 - - 14.00% 14.00% 14.000% -

> 1 year -<=2 years 13 409.86 13 - - 12.11% 20.00% 6.60% -

> 2 years -<=5 years 26 2851.68 26 - - 11.97% 16.80% 5.00% -

>5 years -<=10 years 14 1716.54 14 - - 9.17% 15.00% 0.10% -

>10 years-<=15 years 4 867.22 4 - - 9.41% 10.00% 8.65% -

>15 years - - - - - - - - -

CategoriesYear

Finance Infrastructure Manufacturing Oil Others Total

2017-18 252217 207711 21996 2284 48847 533055

2018-19 234753 153080 14951 1164 38081 442029

Apr-19 8812 8598 35 - 961 18406

May-19 10173 10118 - - 983 21274

Jun-19 16513 16963 141 - 1340 34956

Jul-19 4540 4967 133 - 3014 12654

Aug-19 7999 11721 198 - 282 20200

Sep-19 15728 3580 - - 1004 20313

Oct-19 3077 837 998 - 949 5861

2019-20 (UptoOct 2019)

66841 56785 1504 - 8534 133664

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SECONDARY MARKET ANALYSIS

Amount Crore`TABLE 99: CORPORATE BONDS TRADING DETAILS

statistics

Date Trades Value

1-Oct-19 166 3934

3-Oct-19 208 5906

4-Oct-19 156 3993

7-Oct-19 118 2115

9-Oct-19 177 5771

10-Oct-19 205 5158

11-Oct-19 199 5512

14-Oct-19 122 3822

15-Oct-19 268 15351

16-Oct-19 232 14485

17-Oct-19 185 5710

18-Oct-19 132 5567

22-Oct-19 169 5608

23-Oct-19 236 17930

24-Oct-19 208 4960

25-Oct-19 167 4458

29-Oct-19 93 2107

30-Oct-19 170 4463

31-Oct-19 173 4072

Total 3384 120923

Average 178 6364

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TABLE 100: HISTORICAL SUMMARY Amount Crore`

Since April 1, 2014 all Corporate Bond deals are being reported only on the exchanges

statistics

146

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

2018-19 37813 1090407 156 4506

Apr-19 3267 90604 182 5034

May-19 4055 116055 184 5275

Jun-19 3560 135126 187 7112

Jul-19 3923 132962 171 5781

Aug-19 3157 108402 158 5420

Sep-19 3157 108402 158 5420

Oct-19 3384 120923 178 6364

2019-20 (Upto October 2019) 24503 812474 153 5078

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TABLE 101: CATEGORYWISE TRADING ANALYSIS

TABLE 102: RATING ANALYSIS

statistics

TABLE 103: CATEGORY ANALYSIS

CATEGORY Rating Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)

FINANCE AAA 1092 32558 3.93 124

FINANCE AA 214 5385 7.41 293

FINANCE A 18 380 3.42 464

FINANCE BBB 1 25 0.28 468

FINANCE NA 475 20392 4.73 189

INFRASTRUCTURE AAA 577 12154 5.84 97

INFRASTRUCTURE AA 67 1755 7.71 285

INFRASTRUCTURE A 6 100 2.43 811

INFRASTRUCTURE BBB 1 50 11.67 755

INFRASTRUCTURE NA 333 6949 6.81 201

MANUFACTURING AAA 115 4503 3.05 117

MANUFACTURING AA 26 815 2.27 250

MANUFACTURING NA 2 10 1.61 288

OIL AAA 71 5547 3.83 83

OIL NA 50 4540 7.36 114

OTHERS AAA 76 2666 3.31 137

OTHERS AA 8 1008 2.57 257

OTHERS NA 111 19516 4.83 209

Rating Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)

AAA 1931 57428 4.37 116

AA 315 8963 6.84 286

A 24 480 3.27 517

BBB 2 75 5.98 612

NA 971 51408 5.58 195

Category Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)

FINANCE 1800 58740 4.52 162

INFRASTRUCTURE 984 21009 6.28 147

MANUFACTURING 143 5328 2.85 151

OIL 121 10087 4.91 93

OTHERS 195 23190 3.95 182

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TABLE 104: BOND TYPE ANALYSIS

TABLE 105: AAA SPREAD ANALYSIS

TABLE :106 CATEGORY ANALYSIS - HISTORICAL Amount Crore`

statistics

148

Maturity Buckets Average Spread (bps)

<=1 year 118

> 1 year -<=2 years 185

> 2 years -<=3 years 118

>3 years -<=5 years 122

>5 years-<=7 years 85

> 7 years 82

Type of Bond Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)

FIXED 3047 112319 5.08 141

ZERO COUPON 52 2350 1.96 271

Floating - - - -

NA 144 3685 2.98 400

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

2018-19 729650 209064 60659 4806 86228 1090407

Apr-19 56931 21379 5784 605 5906 90604

May-19 74755 24330 6199 5355 5416 116055

Jun-19 78150 38838 5601 140 12396 135126

Jul-19 82549 38153 6237 110 3101 130151

Aug-19 67162 28844 5150 1690 5555 108402

Sep-19 66802 36942 2501 1700 17970 125915

Oct-19 58740 21009 5328 10087 25759 120923

2019-20 (UptoOct 2019)

485089 209495 36800 19687 76105 827176

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TABLE : SPREAD ANALYSIS108 - HISTORICAL (AVERAGE) basis points

TABLE :107 RATING ANALYSIS - HISTORICAL Amount Crore`

statistics

RatingsYear

AAA AA A1 A2 A BBB BB B C D P1 NA

2008-09 107549 13465 - - 2463 70 - - - - 9 22273

2009-10 294268 36550 5 - 12034 15 16 - - - 25 59244

2010-11 379542 107514 139 - 8068 260 38 216 - - 8510 94317

2011-12 410152 44643 1637 - 3814 451 64 - - - - 131217

2012-13 410581 80864 5736 - 7859 564 2966 124 - - 201 227453

2013-14 696917 130830 3273 - 20241 2994 186 2 - - 50 117664

2014-15 716087 129597 3555 600 35012 1389 3746 108 48 - - 123362

2015-16 576773 151808 1835 - 33276 1856 942 174 - - - 138669

2016-17 578952 123929 1034 - 18746 1096 384 135 - - - 400712

2017-18 833499 222659 7178 295 30716 4300 896 430 - - - 250058

2018-19 820650 172568 711.5 0 28459 2199 1513 301 281 17 0 63707

Apr-19 76780 8871 - - 702 222 234 12 14 81 - 3688

May-19 102209 8906 - - 2262 580 20 - - - - 2078

Jun-19 112642 14451 - - 1764 112 - - - - - 6158

Jul-19 108825 15918 - - 786 210 916 - - - - 3496

Aug-19 91651 8254 - - 698 43 75 - - - - 7681

Sep-19 48384 6623 - - 1210 70 47 - - - - 69582

Oct-19 57428 8963 - - 480 75 - - - - - 53978

2019-20 (UptoOct 2019)

597918 71987 - - 7901 1312 1291 12 14 81 - 146660

RatingsYear

AAA AA A1 A2 A BBB BB B C D P1 NA

2011-12 119 189 248 - 202 185 227 - - - - 205

2012-13 98 161 231 - 220 308 262 182 - - 193 181

2013-14 85 140 275 - 163 291 254 - - - 189 176

2014-15 46 123 179 141 149 351 83 138 566 - - 148

2015-16 62 164 205 - 237 593 710 281 - - - 167

2016-17 73 221 240 - 343 720 1042 1699 - - - 170

2017-18 74 171 177 825 352 500 957 1052 - - - 135

2018-19 105 183 199 - 232 460 602 885 687 656 - 256

Apr-19 114 241 - - 369 678 838 1529 781 807 - 587

May-19 122 257 - - 300 210 661 - - - - 89

Jun-19 124 253 - - 368 1029 - - - - - 485

Jul-19 125 273 - - 421 719 347 - - - - 391

Aug-19 118 311 - - 482 1147 822 - - - - 306

Sep-19 110 300 - - 478 894 992 - - - - 219

Oct-19 116 286 - - 517 612 - - - - - 195

2019-20 (UptoOct 2019)

119 275 - - 398 700 650 1529 781 807 - 250

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TABLE 109: TOP 25 TRADED CORPORATE BONDS

statis

tic

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150

Note: Spread over comparable G-SecDeals apparently viewed as duplicate deals have been excluded.Source for Corporate Bonds:www.fimmda.org

No. ISIN No. Security Description Rating Category MaturityCoupon

(%)Trades

Volume(` Cr.)

Yield(%)

1 INE0AED08037 AIR INDIA ASSETS HOLDING LIMITED - OTHERS 22-Oct-29 0.07 33 9260 7.5201

2 INE0AED08029 AIR INDIA ASSETS HOLDING LIMITED - OTHERS 12-Oct-29 0.07 38 8791 7.4788

3 INE134E08KG2 POWER FINANCE CORPORATION LTD. - FINANCE 15-Oct-22 0.07 67 6930 7.3390

4 INE094A08044 HINDUSTAN PETROLEUM CORPORATION LIMITED CRISIL AAA DT.26.09.2019 OIL 15-Dec-22 0.07 62 5817 6.7919

5 INE242A08437 INDIAN OIL CORPORATION LIMITED - OIL 22-Oct-29 0.07 24 3730 7.4033

6 INE261F08BP0 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT - FINANCE 17-Oct-34 0.08 64 3137 7.8208

7 INE115A07OK5 LIC HOUSING FINANCE LIMITED CRISIL AAA DT.18.09.2019 FINANCE 23-Aug-21 0.07 36 1870 7.2002

8 INE001A07RZ8 HOUSING DEVELOPMENT FINANCE CORPORATION LTD - FINANCE 26-Sep-22 0.07 35 1780 7.2467

9 INE115A07OM1 LIC HOUSING FINANCE LIMITED - FINANCE 18-Oct-24 0.08 41 1469 7.7772

10 INE0AED08011 AIR INDIA ASSETS HOLDING LIMITED IND AAA DT-29.07.2019 OTHERS 16-Dec-22 0.07 33 1240 7.0541

11 INE053F07926 INDIAN RAILWAY FINANCE CORPORATION LIMITED AAA ICRA DT-23.09.16 FINANCE 10-Nov-19 0.07 31 1045 5.0511

12 INE733E07KL3 NTPC LIMITED CRISIL AAA DT.08.07.2019 INFRASTRUCTURE 17-Jul-29 0.07 30 1030 7.5663

13 INE001A07RY1 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED CRISIL AAA DT.05.09.2019 FINANCE 16-Sep-21 0.07 20 975 7.0882

14 INE002A08500 RELIANCE INDUSTRIES LIMITED AAA CRISIL DT 01.11.2017 OIL 8-Nov-22 0.07 28 955 7.2679

15 INE001A07RH6 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED CRISIL AAA DT. 28.09.2018 FINANCE 13-Dec-19 0.09 5 942 5.5444

16 INE002A08518 RELIANCE INDUSTRIES LIMITED AAA CRISIL DT 01.11.2017 OIL 14-Dec-20 0.07 14 855 6.7194

17 INE906B07HH5 NATIONAL HIGHWAYS AUTHORITY OF INDIA CRISIL AAA DT.28.08.2019 INFRASTRUCTURE 13-Sep-29 0.08 37 800 7.7570

18 INE001A07SB7 HOUSING DEVELOPMENT FINANCE CORPORATION LTD - FINANCE 22-Oct-29 0.08 20 767 8.0173

19 INE906B07HG7 NATIONAL HIGHWAYS AUTHORITY OF INDI A CRISIL AAA DT.22.07.2019 INFRASTRUCTURE 1-Aug-29 0.07 39 765 7.7627

20 INE053F07BW9 INDIAN RAILWAY FINANCE CORPORATION LIMITED CRISIL AAA DT.04.09.19 FINANCE 9-Sep-29 0.08 38 745 7.6540

21 INE216A07052 BRITANNIA INDUSTRIES LIMITED CRISIL AAA DT. 26.02.19 MANUFACTURING 28-Aug-22 0.08 12 725 7.3250

22 INE397D08037 BHARTI AIRTEL LIMITED AA+ CRISIL DT-09.03.18 INFRASTRUCTURE 20-Apr-21 0.08 2 725 8.2742

23 INE031A08475 HOUSING AND URBAN DEVELOPMENT CORPORATION LTD. (HUDCO) AAA IND DT- 13.09.16 FINANCE 30-Nov-19 0.07 28 700 5.3013

24 INE115A07OD0 LIC HOUSING FINANCE LIMITED CRISIL AAA DT 24.04.2019 FINANCE 20-Jun-22 0.09 12 635 7.4098

25 INE001A07PU3 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED AAA CRISIL DT-24.10.16 FINANCE 11-Nov-19 0.08 5 630 5.4736

November 2019

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CERTIFICATES OF DEPOSIT AND COMMERCIAL PAPERS ANDREPO IN CORPORATE BONDS, CP, CD

TABLE 11 :0 CPs, CDs and Repo in Corporate Bonds, CPs and CDs -TRADING DETAILS Amount Crore`

statistics

CDs CPs TotalDate

Trades Value Trades Value Trades Value

1-Oct-19 61 4206 49 5563 11 72

3-Oct-19 72 4596 25 2055 0 0

4-Oct-19 32 2515 42 3965 0 0

7-Oct-19 35 1689 28 3181 0 0

9-Oct-19 36 1975 27 2450 0 0

10-Oct-19 34 2160 26 2020 7 140

11-Oct-19 54 2438 19 1055 2 40

14-Oct-19 20 775 10 435 0 0

15-Oct-19 46 2685 17 615 1 100

16-Oct-19 44 2047 24 1435 0 0

17-Oct-19 39 2028 24 2202 0 0

18-Oct-19 35 2086 27 1510 0 0

22-Oct-19 20 980 19 1490 0 0

23-Oct-19 19 1110 31 2316 0 0

24-Oct-19 32 2482 25 2651 5 25

25-Oct-19 25 1166 31 3445 3 15

29-Oct-19 39 2127 15 940 0 0

30-Oct-19 32 1990 34 3645 0 0

31-Oct-19 45 2631 31 1820 0 0

Total 720 41685 504 42793 29 392

Average 38 2194 27 2252 2 21

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TABLE 112: CERTIFICATE OF DEPOSIT - TENORWISE TRADING ANALYSIS

TABLE 111: HISTORICAL SUMMARY - CDs, CPs and REPO IN CORPORATE BOND, CPs and CDs Amount Crore`

statistics

152

CDs CPs Repo in Corporate Bonds, CPs and CDs

PeriodTrades Value

AverageValue

Weightedavg 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

2018-19 14729 1128276 4662 7.1063 19486 1500056 6199 1821 119850 495

Apr-19 1595 120910 6717 6.8666 1290 109714 6095 257 41534 2307

May-19 1631 119437 5429 6.9559 1595 137283 6240 117 8852 402

Jun-19 1684 170953 8998 6.4644 706 63217 3327 152 18516 975

Jul-19 315 43525 1892 6.5014 1225 221846 9645 106 10849 472

Aug-19 913 66204 3310 5.8608 807 69548 3477 63 7652 383

Sep-19 1038 77383 4073 5.6955 930 101042 5318 95 7414 390

Oct-19 720 41685 2194 5.5535 504 42793 2252 29 392 21


7896 640098 4572 6.4199 7057 745442 5325 819 95209 680

Residual Maturity (Months) Trades Traded Amount (` Crore) WAY (%)

1 58 5326 4.9786

2 76 5317 5.2545

3 131 8610 5.4131

4 47 2672 5.5517

5 100 4310 5.5147

6 75 3544 5.6549

7 22 861 5.8490

8 64 3167 5.8781

9 34 1592 6.1068

10 56 3072 6.1387

11 36 2285 6.1075

12 21 931 6.0334

Total 720 41685 5.5535

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TABLE 113: COMPARISON OF FBIL TERM MIBOR AND FBIL CD CURVE

BENCHMARK RATES

Percent

statistics

14 Days 1 Month 3 Month

Date FBILTerm

MIBOR

CDWARRates

Spreadin Bps

FBILTerm

MIBOR

CDWARRates

Spreadin Bps

FBILTerm

MIBOR

CDWARRates

Spreadin Bps

01-Oct-19 5.82 5.37 45.27 5.92 5.47 44.82 6.13 5.71 42.26

03-Oct-19 5.81 5.32 48.89 5.91 5.30 61.01 6.11 5.58 52.77

04-Oct-19 5.77 5.26 50.94 5.87 5.24 63.06 6.08 5.41 66.67

07-Oct-19 5.59 5.29 29.66 5.69 5.14 54.90 5.92 5.31 61.09

09-Oct-19 5.55 5.22 33.06 5.67 5.07 60.30 5.92 5.31 60.73

10-Oct-19 5.54 5.17 36.78 5.65 5.02 63.02 5.91 5.29 61.57

11-Oct-19 5.52 5.15 36.99 5.64 5.00 64.23 5.91 5.31 59.99

14-Oct-19 5.51 5.10 40.95 5.63 4.95 68.19 5.91 5.06 84.98

15-Oct-19 5.50 5.02 48.00 5.62 4.87 74.74 5.91 5.53 38.47

16-Oct-19 5.50 5.00 50.50 5.61 4.90 71.30 5.92 5.57 34.94

17-Oct-19 5.50 5.06 44.48 5.59 4.96 63.28 5.92 5.66 26.22

18-Oct-19 5.50 5.04 46.05 5.59 4.94 64.85 5.90 5.67 23.08

22-Oct-19 5.50 4.92 57.51 5.60 4.94 66.20 5.90 5.67 22.96

23-Oct-19 5.50 4.77 73.37 5.59 4.94 64.60 5.89 5.23 66.29

24-Oct-19 5.50 5.00 50.32 5.58 4.92 65.69 5.89 5.44 45.13

25-Oct-19 5.49 5.01 47.56 5.59 4.88 70.56 5.88 5.42 46.38

29-Oct-19 5.50 5.08 41.89 5.59 4.95 63.89 5.88 5.48 40.36

30-Oct-19 5.50 4.89 61.27 5.58 5.19 39.10 5.89 5.48 41.05

31-Oct-19 5.50 4.91 59.16 5.58 4.93 65.02 5.89 5.35 54.49

No

ve

mb

er

20

19

PercentTABLE 114: FBIL CD CURVE vs FBIL TBILL CURVE


statis

tic

s

154

14 Days 1 Month 2 Months 3 Months 6 Months 9 Months 12 Months

Date FBILCDRate

FBILTB

Rate

Spreadin Bps

FBILCDRate

FBILTB

Rate

Spreadin Bps

FBILCDRate

FBILTB

Rate

Spreadin Bps

FBILCDRate

FBILTB

Rate

Spreadin Bps

FBILCDRate

FBILTB

Rate

Spreadin Bps

FBILCDRate

FBILTB

Rate

Spreadin Bps

FBILCDRate

FBILTB

Rate

Spreadin Bps

01-Oct-19 5.37 5.20 17.00 5.4718 5.23 24.27 5.49 5.24 24.76 5.71 5.32 38.73 6.14 5.38 75.92 6.28 5.45 82.29 6.40 5.49 91.36

03-Oct-19 5.32 5.15 17.00 5.2999 5.17 12.82 5.33 5.19 14.14 5.58 5.23 35.62 6.00 5.30 69.18 6.25 5.38 87.03 6.27 5.43 84.25

04-Oct-19 5.26 5.09 17.00 5.2394 5.11 12.82 5.34 5.13 20.81 5.41 5.17 24.77 5.65 5.26 39.33 6.25 5.36 89.31 6.23 5.40 82.98

07-Oct-19 5.29 5.12 17.00 5.141 5.14 -0.30 5.24 5.16 7.40 5.31 5.20 11.07 5.72 5.22 49.64 6.00 5.34 66.08 6.19 5.36 82.98

09-Oct-19 5.22 5.05 17.00 5.067 5.07 -0.30 5.20 5.13 7.40 5.31 5.20 11.07 5.64 5.33 31.36 6.29 5.35 93.89 6.22 5.39 82.98

10-Oct-19 5.17 5.00 17.00 5.0198 5.02 -0.30 5.16 5.08 7.40 5.29 5.18 11.07 5.82 5.24 58.00 5.99 5.38 61.07 6.21 5.38 82.98

11-Oct-19 5.15 4.98 17.00 4.9977 5.00 -0.30 5.34 5.05 29.61 5.31 5.17 13.68 5.66 5.22 43.49 5.95 5.38 57.10 6.21 5.38 82.98

14-Oct-19 5.10 4.93 17.00 4.9481 4.95 -0.30 5.29 5.00 29.61 5.06 5.12 -6.35 5.61 5.23 37.83 5.91 5.34 57.10 6.17 5.34 82.98

15-Oct-19 5.02 4.85 17.00 4.8726 4.88 -0.30 5.00 4.96 3.65 5.53 5.10 42.27 5.65 5.20 44.80 6.02 5.31 70.45 6.15 5.32 82.98

16-Oct-19 5.00 4.83 17.00 4.897 4.90 -0.30 5.04 5.00 3.65 5.57 5.11 46.49 5.51 5.22 29.23 5.73 5.32 40.87 5.97 5.33 64.15

17-Oct-19 5.06 4.89 17.00 4.9572 4.96 -0.30 5.15 4.95 20.25 5.66 5.07 58.36 5.57 5.19 37.72 5.98 5.31 67.56 5.91 5.32 58.94

18-Oct-19 5.04 4.87 17.00 4.9415 4.94 -0.30 5.25 4.93 31.64 5.67 5.06 61.07 5.50 5.12 37.75 5.88 5.26 61.95 5.86 5.27 58.94

22-Oct-19 4.92 5.09 -16.96 4.938 4.94 -0.30 5.29 4.98 31.64 5.67 5.06 61.07 5.35 5.22 13.32 5.81 5.24 56.44 5.86 5.28 57.69

23-Oct-19 4.77 4.94 -16.96 4.944 4.95 -0.30 5.38 5.06 31.64 5.23 5.06 16.27 5.40 5.18 22.68 5.84 5.26 58.01 5.88 5.30 57.73

24-Oct-19 5.00 4.90 9.84 4.9231 4.93 -0.30 5.37 5.06 31.64 5.44 5.08 36.21 5.41 5.20 21.29 5.84 5.26 58.01 5.85 5.27 57.73

25-Oct-19 5.01 4.92 9.84 4.8844 4.89 -0.30 5.41 4.96 44.24 5.42 5.04 37.97 5.35 5.19 16.12 5.83 5.26 56.13 5.87 5.28 59.99

29-Oct-19 5.08 4.98 9.84 4.9511 4.95 -0.30 5.47 5.03 44.24 5.48 5.05 42.37 5.60 5.20 40.37 5.90 5.25 65.26 5.88 5.26 61.84

30-Oct-19 4.89 4.94 -5.36 5.189 4.93 25.83 5.59 4.99 60.04 5.48 5.05 43.06 5.46 5.19 27.69 5.90 5.25 65.26 5.90 5.28 61.84

31-Oct-19 4.91 4.91 0.00 4.9298 4.90 3.16 5.21 4.96 25.10 5.35 5.02 32.14 5.26 5.16 9.94 5.63 5.22 40.38 5.87 5.25 61.84

November 2019


155

PercentTABLE 115: FBIL FC-RUPEE OPTION VOLATILITY MATRIX RATES - AT THE MONEY (ATM) VOLS

statis

tic

s

1 WEEK 1 MONTH 3 MONTH 6 MONTH 12 MONTHDATE

BID ASK MID BID ASK MID BID ASK MID BID ASK MID BID ASK MID

1-Oct-19 5.71 6.70 6.21 5.98 6.43 6.21 5.88 6.29 6.09 5.81 6.14 5.98 5.79 6.11 5.95

3-Oct-19 5.63 6.89 6.26 5.99 6.54 6.27 5.96 6.39 6.18 5.81 6.24 6.03 5.83 6.19 6.01

4-Oct-19 5.58 6.95 6.27 6.01 6.49 6.25 5.92 6.32 6.12 5.82 6.24 6.03 5.81 6.19 6.00

7-Oct-19 5.55 6.96 6.26 5.97 6.58 6.28 5.95 6.39 6.17 5.83 6.25 6.04 5.78 6.22 6.00

9-Oct-19 6.00 7.07 6.54 5.98 6.41 6.20 5.98 6.37 6.18 5.87 6.24 6.06 5.82 6.21 6.02

10-Oct-19 5.92 7.25 6.59 5.97 6.44 6.21 5.96 6.39 6.18 5.90 6.25 6.08 5.87 6.20 6.04

11-Oct-19 5.55 6.55 6.05 5.74 6.23 5.99 5.87 6.29 6.08 5.84 6.22 6.03 5.80 6.21 6.01

14-Oct-19 5.01 5.93 5.47 5.46 5.86 5.66 5.70 6.10 5.90 5.71 6.11 5.91 5.75 6.14 5.95

15-Oct-19 5.28 6.28 5.78 5.60 6.01 5.81 5.75 6.15 5.95 5.79 6.16 5.98 5.83 6.17 6.00

16-Oct-19 5.31 6.29 5.80 5.57 6.01 5.79 5.73 6.13 5.93 5.77 6.13 5.95 5.78 6.17 5.98

17-Oct-19 5.04 5.95 5.50 5.52 6.00 5.76 5.69 6.06 5.88 5.74 6.13 5.94 5.74 6.15 5.95

18-Oct-19 4.97 5.95 5.46 5.41 5.87 5.64 5.64 6.01 5.83 5.72 6.07 5.90 5.73 6.13 5.93

22-Oct-19 4.76 5.76 5.26 5.41 5.89 5.65 5.59 5.92 5.76 5.63 6.01 5.82 5.70 6.06 5.88

23-Oct-19 4.60 5.57 5.09 5.32 5.72 5.52 5.47 5.90 5.69 5.57 5.94 5.76 5.64 5.97 5.81

24-Oct-19 4.50 5.50 5.00 5.13 5.63 5.38 5.36 5.74 5.55 5.54 5.86 5.70 5.64 5.96 5.80

25-Oct-19 4.24 5.50 4.87 5.01 5.42 5.22 5.35 5.71 5.53 5.51 5.88 5.70 5.62 5.96 5.79

29-Oct-19 4.55 5.50 5.03 4.91 5.40 5.16 5.23 5.68 5.46 5.46 5.89 5.68 5.60 5.96 5.78

30-Oct-19 4.56 5.50 5.03 4.87 5.36 5.12 5.23 5.62 5.43 5.46 5.91 5.69 5.63 5.96 5.80

31-Oct-19 4.56 5.54 5.05 4.82 5.36 5.09 5.26 5.64 5.45 5.47 5.84 5.66 5.61 5.95 5.78

November 2019

CC

ILM

on

thly

Ne

wsl

ett

er

TABLE 116: 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

statistics

156

25 DELTA RRDATE

1 WEEK 1 MONTH 3 MONTHS 6 MONTHS 12 MONTHS

1-Oct-19 0.30 0.37 0.45 0.53 0.55

3-Oct-19 0.35 0.34 0.46 0.54 0.58

4-Oct-19 0.36 0.38 0.45 0.55 0.60

7-Oct-19 0.36 0.39 0.49 0.55 0.60

9-Oct-19 0.37 0.39 0.49 0.55 0.60

10-Oct-19 0.38 0.39 0.49 0.55 0.60

11-Oct-19 0.35 0.39 0.49 0.55 0.60

14-Oct-19 0.35 0.39 0.49 0.55 0.60

15-Oct-19 0.35 0.34 0.48 0.54 0.60

16-Oct-19 0.35 0.37 0.48 0.54 0.63

17-Oct-19 0.35 0.36 0.48 0.55 0.63

18-Oct-19 0.35 0.36 0.48 0.55 0.58

22-Oct-19 0.35 0.35 0.48 0.55 0.56

23-Oct-19 0.35 0.35 0.48 0.55 0.56

24-Oct-19 0.28 0.34 0.47 0.55 0.55

25-Oct-19 0.30 0.34 0.48 0.55 0.55

29-Oct-19 0.23 0.32 0.47 0.53 0.57

30-Oct-19 0.24 0.32 0.47 0.53 0.56

31-Oct-19 0.24 0.32 0.47 0.53 0.57

No

ve

mb

er

20

19

CC

ILM

on

thly

Ne

wsl

ett

er

157

TABLE 117 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

statistics

25 DELTA STRDATE

1 WEEK 1 MONTH 3 MONTHS 6 MONTHS 12 MONTHS

1-Oct-19 0.10 0.11 0.24 0.27 0.30

3-Oct-19 0.10 0.11 0.24 0.27 0.30

4-Oct-19 0.10 0.11 0.24 0.27 0.29

7-Oct-19 0.10 0.11 0.24 0.27 0.29

9-Oct-19 0.10 0.11 0.24 0.27 0.29

10-Oct-19 0.10 0.11 0.24 0.27 0.30

11-Oct-19 0.10 0.11 0.24 0.27 0.30

14-Oct-19 0.10 0.11 0.24 0.27 0.30

15-Oct-19 0.10 0.12 0.24 0.27 0.29

16-Oct-19 0.10 0.12 0.23 0.27 0.29

17-Oct-19 0.10 0.12 0.24 0.27 0.29

18-Oct-19 0.10 0.12 0.24 0.27 0.29

22-Oct-19 0.10 0.12 0.24 0.27 0.30

23-Oct-19 0.10 0.12 0.24 0.27 0.29

24-Oct-19 0.10 0.12 0.23 0.27 0.29

25-Oct-19 0.10 0.12 0.23 0.27 0.29

29-Oct-19 0.10 0.12 0.24 0.27 0.30

30-Oct-19 0.10 0.11 0.24 0.27 0.30

31-Oct-19 0.10 0.11 0.23 0.27 0.30

No

ve

mb

er

20

19

table 11: ccil settlement details e outright repo (first ...e` s table 11: ccil settlement details...

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