Managing Director's Message: Briefing

C O N T E N T S
Managing Director's Message 3
Article
Evolution of the Indian G-sec Yield Curve: A Semi-Parametric Approach 5
Briefing
Article Summary 12
Macro-Prudential Approach to Regulation - Scope and and Issues
Measuring Market Risk
Determinants of Overnight Index Swap (OIS) Rates
What's New 18
Reports 26
Report of the Working Group on Foreign Investment Department
of Economic Affairs
Strengthening Repo Clearing and Settlement Arrangements BIS
Speeches 32
Market Roundup 36
Key Macroeconomic Indicators
Domestic 51
World 53
Outstanding Government Debt 54
CCIL Indices 64
Technical Analysis 69
Primary Market Analysis 71
Statistics 73
Government Securities Market 75
Money Market 95
Foreign Exchange Market 103
Derivatives 110
Interest Rate Movement 113
Corporate Bonds 118
Milestones 122
Key Personnel 125
MANAGING DIRECTOR'S MESSAGE
The Indian economy continued to move on a CCIL business activity remained stable during
positive note during the month with ADB the month with a marginal increase in daily
increasing the growth forecast to 8.5% from average Repo and forex trading volumes while
8.2% for FY2010-11. The industrial output daily average outright activity showed a
surged to 13.76% indicating that the economy marginal decline. The CBLO showed
is picking up steam to achieve the desired significant increase during the month. On the
higher growth. Inflation is showing a decline, liquidity front, the market remained in
although remaining at a higher level at 8.51%. shortage mode as RBI supported the market
The new Auction calendar also showed a lower through LAF repo.
level of government borrowings indicating
On technology front, during the month, we
improvement in fiscal numbers. The revival of
successfully completed an extended
industrial sector has translated into higher
comprehensive BCP drill from our DR site at
revenues for the government. This is a very
Pune. As planned, the entire trading as well as
positive sign and will most likely bring
settlement operations of CCIL ran from our
heightened movement in the bond market.
Pune DRS for a complete week, from 4th to 9th
However, the main worry is the increase in
Sept, along with movement of our core staff. All
India's current account deficit of
the internal tests were successfully executed.
USD13.4billion in the first quarter. Trade
We thank all our members for their full support
deficit has increased substantially to
and cooperation during this period.
USD34.2billion from USD25.6billion last
quarter. Determined to keep inflation within a CCIL's own Corporate Office premises with
reasonable level, RBI chose to increase key primary data center at Dadar and new Active -
policy rates for the fourth time this fiscal on Active center at Kurla are getting ready. Both
Sept 16, 2010. The Repo rate was increased by sites will have state-of-the-art technology and
25bps to 6% while Reverse Repo rate was facilities which will help us to provide better
increased by 50bps to 5%. The government also support to the market. We are working for the
announced a hike in FII investment limit in completion of these projects on schedule.
bond market to USD10billion in government
bonds and USD20billion in corporate bonds.
This is a positive sign as it will add to the depth
of the market with higher FII investments. (Y. S. S. Kapdi)
HIGHLIGHTS OF THE MONTH HIGHLIGHTS OF THE MONTH
• CCIL successfully conducted “Live Operations” of all its

business applications from DR Pune datacenter during
September 4-9, 2010.
• CCIL CLS Segment settled 35,329 deals in September

2010, the highest since inception.
EVOLUTION OF THE INDIAN G-SEC YIELD CURVE:
A SEMI-PARAMETRIC APPROACH
Aditya Vyas*
This article attempts to capture as well as explain understand the yield curve as it stands today
the evolution and dynamics of the yield curve in in the Indian bond market. The method is an
the sovereign bond market using the widely instrument through which we can asses the various
popular statistical tool of Principal Components movements in the yield curve by observing the
Analysis commonly known as PCA. The use of the results yielded by applying the method.
principal components approach for bonds was first
PCA is a technique designed to handle analysis in
used by Litterman and Scheinkman in their
time series and stands out from other time series
seminal paper titled “Common factors affecting
analysis like cointegration and factor analysis due
Bond returns”, after which there was a spew of
to the ease with which its results can be interpreted.
articles on the subject. Other notable papers are by
What are those “common factors” affecting the
Hunt and Terry who proposed a novel approach
bond returns or in general the changes in bond
with the polynomial approach in estimating the
yields? If one were to ask the following question: Is
zero coupon yield curve which makes the
there a certain common factor by which we can
estimation better than the normal polynomial
approximate the changes in the bond yields, then
approach. The literature is full of articles which use
the principal component analysis gives one of the
the PCA approach to analyze various facets of the
many ways in which this problem can be analyzed.,
yield curve. PCA has also been used to analyze the
the prominent advantage being the ease with which
various Value-at-Risk based models. In this article
the results of the principal components can be
we will use PCA to look at how the tool helps us to
interpreted over all the other methods.
Yearly Movement of the YTM curve

9.5000
THE CLEARING CORPORATION OF INDIA LTD.

8.5000
7.5000
Yield(% )
6.5000
5.5000
4.5000
3.5000
0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00
Maturity
1-Jan-04 1-Jan-05 2-Jan-06 2-Jan-07 1-Jan-08 1-Jan-09 1-Jan-10
*Mr. Aditya Vyas is Assistant Manager, Economic Research and Surveillance Department,
The Clearing Corporation of India Limited
5
The general term structure or the YTM curves on a It is not unreasonable to presume that these rates
yearly interval are given below to have a fair idea of are the key drivers for the entire term structure in
the movements in the Indian sovereign bond the sovereign bond market. The data was first
markets. The CCIL YTM Curve is estimated using converted to a first difference series which was
Non-uniform rational B-splines (NURBS) from the found to be stationary. We then extracted the
traded yields in the bond markets on a daily basis. covariance matrix from these first differences and
This interpolation technique gives a smooth yield applied the principal components analysis.
curve based purely on the traded information, on
The graphs of the first 3 major principal
the basis of which the general term structure is then
components (PCs) given below summarize the
derived and the non-traded securities are assigned a
behavior of the yield curve over the past six years in
model yield. In the present study we seek to analyze
short the evolution of the yield curve. The PCs are
how the YTM fares when it comes to explaining the
ordered as per their relative weight in terms of their
volatility implicit in the sovereign yield curve.
variances. In fact the whole purpose of conducting
Analyzing the Yield Curve the PCA is to reduce the dimensions of a large data
set in such a way that the PC with maximum
We have used the data from January 2004 to August
variance is first, the PC with the second largest
2010 of the CCIL YTM Curve. The studies which
variance is ordered second and so on. The
have hitherto analyzed the yield curve for
sensitivities of YTM rates to the first three factors
developed markets have been based mostly on the
are plotted below:
Zero coupon yield curves. In the present study we
Sensitivities of the YTM Rates to the First Three Factors

1
0.5
Basis Points
0
0 5 10 15 20 25 30 35
-0.5
-1
Maturity
Prin1 Prin2 Prin3
have endeavored to use the Yield-to-Maturity curve The above graph clearly shows the sensitivities of
and base our analysis on that curve. each of the rates to the first three principal
components for the Indian yield curve. As can be
This time series is comprised of 8 key rates viz 0.5
seen, the first principal component has a positive
yrs, 1yr, 5yrs, 10yrs, 15 yrs, 20 yrs, 25yrs and 30yrs.
and largely steady shape which depicts that a
6
change in the first factor can induce a roughly change in this factor would have a negative effect
parallel shift in the entire term structure. This is on the mid-term rates but would have a positive
the factor that bond dealers would describe as being effect on both the very short and very long terms in
associated to duration hedging. the term structure. The respective PCs can be
plotted in a way in which one can see how each of
The second PC is positive in the short term and
the key rates is participating in the movements
negative in the long term which means that a
across the yield curve. These graphs are plotted
change in the second factor would propel a positive
below with
Participation of each of the Key Rates (PC1) Participation of each of the Key Rates (PC2)
1 1
0.5 0.5
Basis Points
Basis Points
0 0
0.5 1 5 10 15 20 25 30 0.5 1 5 10 15 20 25 30
-0.5 -0.5
-1 -1
Maturity Maturity
1 1
0.5 0.5
Basis Points
Basis Points
0 0
0.5 1 5 10 15 20 25 30
-0.5 0.5 1 5 10 15 20 25 30 -0.5
-1 -1
Maturity Maturity
1 1
0.5 0.5
Basis Points
Basis Points
0 0
-0.5 -0.5 0.5 1 5 10 15 20 25 30

0.5 1 5 10 15 20 25 30
-1 -1
Maturity Maturity

1 1
0.5
Basis Points
0.5
Basis Points
0 0
-0.5 -0.5
0.5 1 5 10 15 20 25 30
-1 0.5 1 5 10 15 20 25 30
-1
Maturity Maturity
change in the short term and would have a negative The first graph represents the participation of the
impact in the long run. Say a policy rate hike would first component and its impact as can be seen all
increase the short term rates but would not affect the key rates have an almost similar participation
the long term rates by the same degree which would in the movement of the level of the yield curve. If
be similar to an effect like “flattening” the yield closely observed, the six-month rate and the one-
curve or lessening the slope of the yield curve. year rate have a relatively less impact but otherwise
all the other rates have an almost similar impact on
The third factor represents the curvature of the
the parallel shift. This means that when there is a
yield curve which in the graph above has negative
unit change in the first factor the key rates will shift
“pull” in the middle term segment signifying that a
7
the yield curve with a roughly parallel move in the Table 2: Principal Components
yield curve. The first
component depicts the Tenor PC1 PC2 PC3 PC4 PC5 PC6 PC7 PC8
0.5 0.0919 0.7669 0.1290 0.4527 -0.4242 0.0418 0.0101 0.0006
“level” factor of the yield
1 0.1485 0.6166 -0.0565 - 0.5664 0.5168 - 0.0803 -0.0148 0.0075
curve.
5 0.3723 - 0.0014 -0.7846 0.2200 0.1175 0.4263 0.0416 -0.0019
The second graph represents 10 0.4391 - 0.0713 -0.2677 -0.0483 -0.2422 - 0.8002 0.1555 - 0.0689
the “slope” factor of the yield 15 0.4257 - 0.0815 0.1173 - 0.3816 -0.4186 0.2127 - 0.5627 0.3400
curve and as is clearly seen 20 0.4037 - 0.0792 0.3001 - 0.2153 -0.1557 0.3154 0.3589 - 0.6647
the first two rates have a 25 0.3876 - 0.0859 0.3302 0.1495 0.2103 0.0855 0.5239 0.6205
positive relation with the 30 0.3789 - 0.0797 0.2829 0.4573 0.4866 -0.1326 -0.5038 - 0.2298
factor change, whereas all the Since we have taken 8 key rates, we have 8 principal
other key rates have negative relation with the components in the analysis. The first factor shown
factor changes. These results suggest that in case as PC1 represents a roughly parallel shift in the
there is a policy rate shock in general the yield curve yield curve. When we have one unit of that factor,
response will be such that the short and medium the six-month rate increases by 0.091 basis points.
term rates up to five years will respond positively to The 1 year rate increases by 0.14 basis points, the 5
the unit change whereas the rates beyond 5 years year rate moves by 0.37 basis points. Similarly for
will respond negatively to the policy rate changes. the other PC's , if we have a unit of the second factor
The third factor represents the “curvature factor” of then the six month rate moves by 0.76 basis points,
the yield curve. This factor has yielded results where the 1 year rate moves by 0.61 basis points, the 5-year
we see that only the mid-term rates have negative rate moves by -0.0013 basis points . This entire table
pull in relation to the changes in the third factor. can be read in a similar fashion and the movements
The short and long term bond returns have a respective to all the PC's corresponding to the key
positive relationship with the factor movements. rates can be deciphered.
The table below depicts the PCs for the key rates in The next table depicts the proportion of variance
the yield curve. explained by each principal

component in the total
Table1: Summary statistics of the Key YTM rates
volatility of the yield curve.
Standard Standard Sample
Tenor Mean Median Mode Kurtosis Skewness G e n e r a l l y , i n p r i n c i p a l
Error Deviation Variance
6m 5.7757 0.0335 5.5215 4.5055 1.3839 1.9151 -0.6620 0.3201 components analysis the first
1 Year 6.0216 0.0314 5.7202 4.5822 1.2969 1.6821 -0.6580 0.3990 three components explain
over 90% of the variation in
5 Years 6.9494 0.0230 7.0505 5.2610 0.9504 0.9033 0.3133 -0.3473
the data. Similarly, the Indian
10 Years 7.2619 0.0215 7.4515 5.4694 0.8901 0.7923 0.4323 -0.6646
YTM curve has yielded results
15 Years 7.5279 0.0196 7.6358 5.8887 0.8112 0.6581 0.5132 -0.6176
akin to that and the first three
20 Years 7.6819 0.0191 7.7558 6.2264 0.7882 0.6212 0.5669 -0.5340 components explain almost
25 Years 7.7755 0.0188 7.8546 6.3441 0.7782 0.6057 0.6565 -0.5158 93% of the volatility implicit
30 Years 7.8337 0.0185 7.9176 7.4061 0.7656 0.5862 0.6477 -0.5070 in the yield curve. The first
component explains 67% of
8
the volatility, the first and second factors explain distributions of the first three principal
close to 89% of the volatility together. components “factor scores” are given below along
with their cumulative distribution functions.
The relatively low explaining power of the first PC
can be attributed to the uniqueness and The quantity of a particular factor in the interest
imperfections of the Indian market which is not as rate changes on a particular day is known as the
developed and as deep as the some of the developed factor score for that day. The importance of a factor
countries. In addition to this the policy shocks and is measured by the standard deviation of its factor
timely interventions of the central bank make the score. Though the factor scores are not explicitly
Indian market a seemingly more regulated market given in the study the variance is nothing but the
than most of the developed countries that have square of the respective standard deviations of each
largely “free” markets. of the key rates. They are arranged in descending
order after deriving them from the correlation
Table 3: Contribution of the PC's in the
matrix. The standard deviations are generally
total Variance explained
measured in terms of basis points since they reflect
Cumulative
Proportion of
Proportion of
the volatility of the factor scores of the various key
Variance Variance
Explained
Variance rates.
Explained
PC1 0.0525 0.6673 0.6673 The two tables given above which depict the PC's
PC2 0.0172 0.2184 0.8857 and the variances of the respective PC's can be
PC3 0.0035 0.0402 0.9259 useful in estimating the basis point changes in the
PC4 0.0020 0.0260 0.9519
tenor in terms of one standard deviation in the
PC5 0.0020 0.0256 0.9775
following manner. First we convert the variances
PC6 0.0013 0.0165 0.9939
into standard deviations by taking the square roots
PC7 0.0004 0.0049 0.9988
of the variances. Once that is done the quantity of
PC8 9.44E-05 1
any given factor corresponds to the product of the
So here we can see that the dimensionality of our respective principal component with its respective

analysis has now been reduced from the original 8 standard deviation.
factors that we chose
from the entire term Histogram of Factor Scores for PC1
1000 120%
structure of the
900
interest rates to 800
100%
merely the first three 700

80%
Frequency
PCs or factors which 600

500 60%
a re t o t a l l y
400
uncorrelated to each 40%
300
other, which explain 200
20%
most of the 100
variation in the 0 0%
yield curve. The

01
04
09
63
53
55
07
58
61
12
15
.12
.10
.07
.04
.01
.61
.58
.56
.53
.50
0.
1.
2.
3.
4.
0.
1.
2.
3.
4.
5.
-5
-4
-4
-3
-3
-2
-2
-1
-1
-0
Bin
f r e q u e n c y Frequency Cumulative %
9
Histogram of Factor Scores of PC2 Conclusion: As can be seen
450 120% from the above analysis we
400
100% can represent most of the
350
volatility of the yield curve
300 80%
Frequency
250
by synthetically
60%
200 constructing the principal
150 40% components from the
100 covariance structure
20%
50 inherent to the yield curve.
0 0%
In doing so we can also have
77
.08
.98
.88
.57
.47
.37
.26
.16
.06
05
15
25
35
46
56
66
87
97
.78
.67
a grasp of the evolution of
0.
0.
0.
0.
0.
0.
0.
0.
0.
0.
-0
-0
-0
-0
-0
-0
-0
-1
-0
-0
-0
Bin
the yield curve in the sense
that past movements are
Histogram of Factor Scores for PC3 captured to estimate future
450 120%
effects of a rate shock to
400
100% yield curve. In this kind of
350
analysis, principal
300 80%
component analysis is very
Frequency
250
60% useful in reducing the
200
dimensionality of the
150 40%
hugely correlated data to a
100
20% few uncorrelated “factors”
50
which represent the major

0 0%
changes in the yield curve.

39
51
03
07
11
15
19
23
27
31
35
43
47
9
9
5
7
3
5
1
.2
.2
.0
.2
.1
.1
.0
.0
0.
0.
0.
0.
0.
0.
0.
0.
0.
0.
0.
0.
0.
-0
-0
-0
-0
-0
-0
-0
-0
Bin
Frequency Cumulative % Appendix:

So for example if we have to find the quantity of the Consider a random (column) vector X=(X1,X2,
first factor equal to one standard deviation, then it …….XM)T, where T denotes the matrix transpose
corresponds to the six-month rate moving by 0.091
x 0.22= 0.021 basis points, the 1-year rate moving by operator, with covariance matrix S. As long as
0.148 x 0.22 = 0.012 basis points so on and so forth. none of the Xi is an exact linear combination of the
This matrix can then be applied in the manner other components of the random vector X, S will
shown above and the movements of the entire term
structure can then be estimated. be positive definite. If S is a positive definite
matrix of dimension m, it has a complete set of m
As we can see the frequency distribution of the first distinct and strictly positive eigenvalues, and there
PC is non-normal, where as the frequency exists an orthogonal matrix A, consisting of the
distribution of the other two PC's is approaching
unit eigenvectors of S, such that
normality. The third principal component has
almost a normal curve.
A
T
SA=D
10
where D is the diagonal matrix with the eigenvalues This is the percentage variation explained by the
respective egienvalues of the covariance matrix of
of S along the diagonal.
the term structure of interest rates. The eigenvectors
Consider the random vector defined by are arranged (sorted) according to the respective
T eigenvalues in descending order of importance and
Z=A X
then the relative contribution of each eigenvector is
The covariance matrix of Z is given by computed.
T T T
E[ZZ ]=E[A XX A] Refernces
T
=A E[XX ]A
T
1. Common Factors Affecting Bond Returns-
Robert Litterman and Jose Scheinkman
=A
T
SA 2. Interest Rate option Models -Ricardo
=D Rebonato 3.Options, Futures and Other
Derivatives-John C Hull - Sixth Edition
T
Thus by making the transformation Z= A X we Prentice Hall India
have constructed a set of uncorrelated random
3. Intepolating the South African Yield Curve -
variables.
James Maitland , University of the
* T
Z i =ai X Witwatersand
4. An Empirical Analysis of the Canadian Term

Where ai is the ith unit eigenvector of S, Structure of Zero-Coupon Interest Rates-
corresponding to the eigenvalue li . Using the fact David j.Bolder, Grahame Johnson and Adam
T
that A is an orthogonal matrix, so that ai aj= 0 for i Metzler. Working Paper Bank of Canada.
j, it follows that
5. Principal Components Analysis-
www.riskglossary.com

Percentage variation is defined as
11
ARTICLE SUMMARY
Macro-prudential Approach to Regulation - mechanism to correct the inherently skewed
Scope and and Issues: Shyamala Gopinath, pricing of credit risk by financial institutions
DG, RBI (Paper presented at the ADBI-BNM through the cycle. It also tries to preempt asset price
Conference on “Macroeconomic and bubbles in the economy and limit the build-up of
Financial Stability in Asian Emerging financial risks in the system. She further added that
Markets”, Kuala Lumpur, on Aug. 4, 2010) macro prudential policy is no substitute for
monetary tightening but should rather act as
Acknowledging the criticality of macro-prudential
complement to monetary policy. She also favoured
perspective in designing and pursuing micro
the necessary independence and flexibility to
prudential regulation of institutions and markets,
supervisors to act timely on the basis of available
Dr. Shyamala Gopinath said that systemic risk is a
information.
much broader concept implying probability of
sudden disruption to a large part of the financial The real challenge of macro-prudential regulation
system reflected in failure of multiple institutions is strong resistance to counter cyclical actions
and freezing of markets, triggered by a common during booms. Having a rule based approach will
shock and propagated through interconnected to a large extent obviate this problem but this
exposures and correlated positions. approach has its own limitations. Hence there is a
need to use macro-prudential regulation in
She said that volatile capital flows and
conjunction with other policies to be effective. For
management of sovereign borrowing are two
leaning against the buildup of imbalances, a
specific areas of perceived systemic risk. Excessive
combination of monetary and macro-prudential
volatility of capital flows could impose significant
policies is required. If inflation risks are emerging,
costs to the economy beyond the obvious exchange
macro-prudential measures cannot take the place of
rate impact which impacts financial stability in the
interest rate increases. Macro-prudential measures
form of induced risks of asset price bubbles and
are well suited to enhance resilience of the financial

excessive foreign currency exposures in the
system but their effect on aggregate demand and
financial system. Citing a survey report, she said
inflationary expectations are weak compared to
that macro-prudential policies are used extensively
interest rates.
by policy markers in emerging market economies
(EMEs) which help to enhance financial system Macro-prudential regulation cannot manage
resilience. Many EMEs with given specific context economic cycles or target asset prices but can
already had placed measures to address specific provide instruments to respond to these
risks - loan-to-deposit limits, core funding ratios, developments to cushion the financial system from
reserve requirements for liquidity risk and limits potential stresses. Thus it is difficult to lay down
on open currency positions or on derivatives simple rules as the financial system and markets are
transactions for forex risk. evolving and banks continue to be dominant
source of funding. EMEs will have to address these
She added that the dynamics of macro-prudential
issues with a range of policy tools. Regulators may
regulation is focused to address procyclical
have to rely on continued use of discretionary
elements in the financial system and to provide a
12
ARTICLE SUMMARY
adjustments. in the case of multinational banks are more stable

during the crisis than those funded across borders
In November 2009, G20 finance ministers agreed
and currencies, as in the case of international
on the criteria for identifying institutions and
banks. From a market disruption perspective, the
markets of systemic importance, based on the joint
relevant issue is the destabilizing spillovers on local
proposals of the International Monetary Fund,
lending decisions as a result of problems in the
Bank for International Settlements and Financial
global wholesale funding and swap market.
Stability Board (FSB). Three main proposed criteria
are size of institutions (volume of financial services She concluded her speech by saying that the
by an institution), the lack of substitutability effectiveness and intensity of supervisory is the
(financial system's relative dependence on the most important issue. There is clearly a link
financial services provided by a single entity to between the depth and magnitude of the crisis to
measure the system's immunity to the the weakness of oversight over the financial system.
disappearance of said entity) and Stressed environments often reveal weaknesses in
interconnectedness (direct and indirect links supervisory framework and methods which were
between financial institutions that will contribute not readily apparent in times of stability.
to the spread of systemic risk and its contagion to Regulators and supervisors should be better
the real economy). equipped to not just identify but also take
appropriate action preemptively to address risks
The efforts at the FSB focused to address specific
that have the potential to destabilize the system.
issues reducing the probability and impact of
failure via higher prudential requirements, better Source: www.rbi.org.in
supervisory practices, potential limitation on the
size, breadth and intra-group connectivity;
improving resolution capacity and strengthening Measuring Market Risk - An Application of

the core financial infrastructures and markets to Value-at-risk to select Government Bonds in
address interconnectedness and lessen the risk of India; G. P. Samanta, Prithwis Jana,
contagion in case of resolution. The specifics of the Angshuman Hait and Vivek Kumar; Reserve
broad template are still under preparation and it Bank of India Occasional Papers, Vol. 31,
will indeed be a huge challenge for global regulators No.1, Summer 2010
to arrive at an agreed framework.
Value-at-Risk (VaR) is widely used as a tool for
Going beyond macro-prudential regulation, the measuring the market risk of asset portfolios.
critical issue from a stability perspective to EMEs is Banks, who adopt 'internal model approach' (IMA)
the nature of presence of foreign financial of the Basel Accord, are required to quantify market
institutions because this determines the exposures risk through their own VaR model and minimum
of the domestic financial systems to the risk of required capital for the quantified risk would be
proxy contamination with problems in global determined by a rule prescribed by the concerned
markets. From the perspective of stability of banks' regulator. In practice, selection of risk model for a
exposures to borrowers, local funded positions as portfolio has to be decided empirically. In this
13
ARTICLE SUMMARY
paper, the authors make an empirical attempt to banks do not specify any VaR model to the banks.
select a suitable VaR model for government Rather under the advanced 'internal model
securities market in India. approach', banks are allowed to adopt their own
VaR model. VaR is being used for determining
The market risk amendment of 1988 Basel Accord
minimum required capital larger the value of VaR,
in 1996, the advent of New Basel Accord (Basel II)
larger is the capital charge. Since larger capital
in 2004, and subsequent revisions in the accord
charge may affect profitability adversely, banks
have brought about sea changes in risk
have an incentive to adopt a model that produces
management framework adopted at banks globally
lower VaR estimate. In order to eliminate such
in recent years. Regulators across the world today
inherent inertia of banks, Basel Committee has set
follow banking supervision systems broadly
out certain requirements on VaR models used by
similar to the framework articulated in these
banks to ensure their reliability; such as 1-day and
documents. A key feature of this framework is the
10-day VaRs must be estimated based on the daily
risk capital. The risk-based capital regulation has
data of at least one year, and that the capital charge
emerged as a tool to maintain stability of banking
is equal to three times the 60-day moving average of
sector. Determination of minimum required
1% 10-day VaRs, or 1% 10-day VaR on the current
capital is now made more risk-sensitive than earlier
day, which ever is higher. Further, Basel Committee
in the supervisory framework in recent years, &
provides Backtesting criteria for an internal VaR
there has also been an expansion in coverage of risk
model, like One-day VaRs are compared with actual
events in banks' portfolio.
one-day trading outcomes, One-day VaRs are
The Basel Accord and associated required to be correct on 99% of backtesting days, &
amendments/revisions provide broad guidelines to that there should be at least 250 days (around one
determine the level of minimum required capital a year) for backtesting. A VaR model fails in
bank should maintain for all three types of Backtesting when it provides 5% or more incorrect

financial risks. In the case of 'market risk' the VaRs. If a bank provides a VaR model that fails in
advanced approach is known as 'internal model backtesting, it will have its capital multiplier
approach' (IMA), wherein risk capital is adjusted upward, thus increasing the amount of
determined based on the new risk measure, called capital charges. For carrying out the Backtesting of
value-at-risk (VaR). Banks, who adopt IMA, subject a VaR model, realized day-to-day returns of the
to regulators' approval, would quantify market risk portfolio are compared to the VaR of the portfolio.
through its own VaR model and minimum required
Regarding data availability for their analysis, the
capital for the quantified risk would be determined
authors state that the same in government
by a rule prescribed by the concerned regulator. The
securities to carry out value-at-risk analysis is quite
challenging task before banks and risk manager's
difficult, because the government securities market
has been the selection of appropriate risk model
is still not vibrant, deep and liquid enough.
from a wide and heterogeneous set of potential
Securities keep on changing their tradability
alternatives.
making it difficult to get time series trade data on a
As recommended by Basel Committee, central particular security for more than three years.
14
ARTICLE SUMMARY
Though there are more than ninety outstanding distributed, estimation of VaR would be made
government securities, less than ten securities are simply by using first two moments of the
traded for good volume or number of trade. Again, distribution and the tabulated values of standard
among these, all are not regularly traded. The normal distribution. But the experience from
authors use data for three years, between August empirical literature shows that the task is
2005 & July 2008. Effective working days during potentially difficult for the fact that the financial
this three year period was 747 days while the most market returns seldom follow normal distribution.
regularly traded security, 8.07% GS 2017, during
Accordingly, the authors employed a number of
this period was traded for 685 days followed by
non-normal VaR models, such as, historical
7.37% GS 2014 for 608 days.
simulation, RiskMetric, hyperbolic distribution
For each chosen bond, the authors considered the fit, method based on tail-index. The empirical
continuously compounded daily returns, whereby results show that the VaR estimates, based on the
their findings indicated that none of the return conventional 'normal' method, are usually biased
series could be considered to be normally downward (lower than actual) and the popular
distributed. The identified non-normality of the RiskMetric approach could not improve this level
underlying return distributions poses a great of underestimation. Interestingly, historical
difficulty in estimating value-at-risk. The authors simulation method (in its suitable chosen form)
decided to estimate VaR using a set of alternative can estimate VaR numbers more accurately.
techniques/models and evaluate each competing However, most accurate VaR estimates are obtained
model based on suitable criteria. from the tail-index method followed by the method
based on hyperbolic distribution fit.
From their analyses, they observe that VaR
estimates obtained from normal method are the Source: www.rbi.org.in
lowest for selected bonds. Among the non-normal

alternatives, historical simulation (simple) and
hyperbolic distribution produces the lowest VaR Determinants of Overnight Index Swap (OIS)
numbers. On the other hand, the RiskMetric and Rates: Some Empirical Findings from an
hybrid historical simulation methods produce the Emerging Market Economy, India; Saurabh
highest VaR estimates. The tail-index based method Ghosh and Amarendra Acharya; Reserve
results into VaR estimates some where in between Bank of India Occasional Papers, Vol. 31,
these two set of estimates. No.1, Summer 2010
At the end of their analyses, the authors observe This paper makes attempts to analyze the
that ideally one would like to estimate VaR as a relationship of the OIS rates with other financial
measure of market risk for a much wider real variables.
portfolio held by any investor/institute. However,
The ushering of the global economic crisis / sub-
composition of and returns on such a portfolio is
prime crisis brought fore a new variable as a
not readily available and there also exist certain
measure of financial health-the spread between 3-
data limitations. If returns were normally
15
ARTICLE SUMMARY
month LIBOR and the 3-month Overnight Index cumulative increase in CRR and increase in the
Swap (OIS) rate-which captures factors other than repo rate. Beginning July 2008, there was a change
interest rate expectations, such as credit and in the underlying trend and the OIS rate generally
liquidity risks. An increase in the spread, holding declined, perhaps reflecting the global financial
the OIS constant, will increase the cost of such crisis, expectations for the easing rate and liquidity
loans and have a contractionary effect on the conditions in the Indian money markets. Finally,
economy. Bringing this spread down therefore from beginning of December 2008, the rate in the
became a major objective of monetary policy, as OIS market started increasing gradually. In the
well as a measure of its success in dealing with the entire period under consideration the data
market turmoil. indicated a close co-movement between OIS rates
and Gsec rates.
The Interest rate swap market in India is relatively
new, with the first interest rate swap being traded in Among the financial variables considered in this
July 1999. Among the Interest rate swaps, the OIS is study, the Gsec rate had high and significant
the most popular and liquid. Though OIS are positive contemporaneous correlation with the
quoted in different maturities, anecdotal evidence OIS rate. The call rate was also found to have
indicates that tenors upto five-year are liquid positive and significant correlation with OIS rate.
(according to the number of deals). In India the However, the inflation rate was not found to be
OIS market is generally dominated by the foreign contemporaneously related with the OIS rate. The
banks and some of the segments of the OIS market above correlation didn't considerably change
remain quite illiquid. during the global financial crisis or in its
aftermath. This could be because of the fact that the
This study concentrates on the last two-and-half
global financial crisis had a muted impact on the
year daily data on one-year and five-year OIS rates
Indian economy.
(from August 2007 to November 2009). The rate /

financial sector variables considered are as follows: The causality analysis generally indicated
1-year FIMMDA generic yield, 5-year FIMMDA unidirectional causality from G-Sec to OIS rate.
generic yield, call/notice money market rate, repo The other factor that significantly caused the OIS
rate, reverse repo rate & cash reserve ratio (CRR), movement was the liquidity conditions in the
call money spread-the difference between the call Indian money market, measured by the difference
rate and the repo rate, & weekly WPI Inflation Rate. between the call and repo rate. While the above
factors remained crucial even during and in the
The trends in the one-year and five-year OIS rates
aftermath of the global financial crisis, inflation
along with Gsec rate during the period under
became a factor causing one year OIS movement in
consideration were observed. Accordingly, there
the post-crisis period. It may be mentioned in this
have been three distinct phases in the OIS market.
context that inflation changed considerably during
In the first phase, i.e. from August 2007 to June
and after the crisis period. Call rate didn't
2008, the OIS rate followed an increasing trend in
significantly cause the OIS rates or vice-versa. This
general, which reflected the inflationary pressures,
could be because of the fact that the causality
16
ARTICLE SUMMARY
analysis results are indicative of a short period presence of at least one co-integrating vector. The
adjustment. coefficient of Gsec rate in the estimated
cointegration was found to be positive and
Anecdotal evidences suggested shocks to financial
significant. However, the coefficient of call rate was
variables affect OIS rate movement. To evaluate the
found to be negative (and low). It could indicate
impact of such impulses, the generalized impulse
that a high (low) call rate today was expected to
response functions were considered. In this
converge to the long term market expectation as
framework, the one standard deviation shocks to
indicated by the OIS rate.
inflation, differenced G-sec rate and differenced
call rate positively impacted the OIS rate in the 1st Concluding, the paper states that the road ahead
period. However, the impact of such shocks died for some of the empirical research in this area
down over a ten working day period indicating the includes the issues relating to the predictive power
resilience of the OIS market. of the OIS rate, the behavior of the MIBOR-OIS
spread for India during different phases and the
Moving to the long-run equilibrium relationship
reasons for OIS rate being lower than the risk free
between OIS rate, call rate and the Gsec rate, the test
GoI bond rate.
for cointegration, i.e. for the possible long run co-
movement of the rate variables indicated the Source: www.rbi.org.in
17
BRIEFING
WHAT'S NEW
International • Bank of Canada increased its overnight rate target by 25 bps to 1% and said
Developments
that it expects the economic recovery in Canada to be slightly more gradual
than it had projected in its July Monetary Policy Report (MPR), largely
reflecting a weaker profile for U.S. activity.
• The Federal Open Market Committee while maintaining the target range for
the federal funds rate at 0.0-0.25% signaled its willingness to ease monetary
policy further, adding that too-low inflation, in addition to sluggish growth,
would warrant taking action.
• Bank of Japan officials flagged rising risks to the nation's growth as the yen
climbed in the aftermath of the U.S. Federal Reserve signaling willingness to
consider more monetary stimulus.
• Japan intervened in the foreign exchange market for the first time since 2004
after a surge in the yen to the strongest against the dollar in 15 years
threatened to stunt the nation's economic recovery.
• Bank of Japan governor Masaaki Shirakawa said the central bank is closely
watching the effect on the economy of the yen's appreciation, and is
prepared to take “appropriate action” if needed.
• Federal Reserve Chairman Ben Bernanke said that the damage from the
financial crisis has left the US economy growing at a slower pace than the
policy makers want even as the central bank's more than $1 trillion in bond
purchases have reduced interest rates.
• The Chinese Vice commerce minister said that the US's bill on China's
currency is redundant and China would set policy on its currency according
to its own needs.
• Treasury Secretary Timothy F. Geithner said the U.S. isn't satisfied with the
pace of yuan gains and is considering ways to urge China to let the currency
rise faster.
• The longest and deepest US recession since the Great Depression ended in
June 2009, lasting 18 months, the National Bureau of Economic Research
said.
• As per the European Commission, Europe's economy may grow 1.7% this
year instead of the 0.9% projected at the depth of Europe's fiscal crisis in May
with a more “moderate” expansion in the second half.
• As per the Office for National Statistics, consumer prices in the UK rose
18
WHAT'S NEW
International 3.1% in August from a year earlier.

Developments
• As per the OECD, recent data suggest the economy of the G7 could grow at
an annualized rate of about 1.5% in the second half, below the 1.7%
previously envisaged and the 3% rate of the first six months of the year.
• The ADB raised its 2010 economic growth forecast for Asia excluding Japan
to 8.2% from 7.5% estimated in April and said governments should sustain
the expansion by refraining from tightening fiscal and monetary policies
“too quickly.”
• The Basel Committee on Banking Supervision including regulators from 27
nations more than doubled their capital requirements for banks, giving
lenders as long as eight years to comply in full, as part of international efforts
to prevent future financial crises.
• The European Union unveiled proposals to curb or temporarily ban short-
selling and tighten controls on derivatives.
• China will introduce credit-default swaps by year-end, allowing banks to
hedge risk while limiting the amount of leverage used and restricting
contracts written on high-risk assets.
• Consumer prices in Japan excluding fresh food slid 1% in August from a year
earlier after falling 1.1% in July.
• World trade is expected to grow by more than 13.5% in 2010, the fastest ever
in global commerce, according to revised projections made by the WTO.
• As per the Ministry of Commerce, FDI in China rose 1.4% in August from a

year earlier to $7.6 billion. Consumer prices jumped 3.5% from a year earlier
in August.
• Moody's downgraded Spain's local and foreign currency government bond
rating one notch from Aaa to Aa1 citing the nation's “weak” economic
outlook.
Indian Economy • India's fiscal deficit during April-August 2010 was `1,51,425 crore and
represented a decline of 16.93% over the fiscal deficit of `1,82,290 crores in
April-August 2009. The fiscal deficit during accounted for 39.70% of the
budgeted estimates of `3,81,408 crore for 2010-11.
• India's exports grew by 22.50% to US$16.64 billion during August 2010 as
against US$13.59 billion in August 2009. Imports grew by 32.20% to
US$29.68 billion as against US$22.45 billion in August 2009. Trade deficit
19
WHAT'S NEW
Indian Economy during April-August 2010 stood at US$56.62 billion as against US$40.28
billion in April-August 2009.
• The Index of Industrial Production (IIP) registered a growth of 13.80% in
July 2010 compared to 7.20% in July 2009. The cumulative growth for April-
July 2010-11 stood at 11.40% as against 4.70% in the previous year.
• The index of six core industries having a combined weight of 26.7% in the
IIP registered a growth of 3.7% (provisional) in August 2010 as compared to
6.4% registered in August 2009. During April-August 2010-11, six core
industries registered a growth of 4.1% (provisional) as against 4.8% during
the corresponding period of the previous year.
• India's holding of US Treasury Securities at the end of July 2010 stood at
$39.4 billion vis-à-vis $36.4 billion at the end of June 2010.
• The WPI inflation as per the new index with the base year of 2004-05 stood at
8.51% for the month of August. It stood at 9.50% as per the old index. The
inflation for July as per the new index stood at 9.78%.
• India's imports of sensitive items have gone up by 13.6% to `16,190.13 crore
during the April-June period of the current fiscal from `14,252.09 crore a
year ago.
• According to a survey conducted UNCTAD, India has replaced the US as the
second most important FDI destination for transnational corporations
during 2010-2012.
• FDI investment into India dipped for the second consecutive month, by
49% in July, to $1.78 billion.
• The finance ministry raised the cap for investment by foreign portfolio
investors in government securities from $5 billion to $10 billion, and in
corporate bonds from $15 billion to $20 billion.
• Enthused by the remarkable economic recovery, finance minister Pranab
Mukherjee said the GDP growth for the fiscal is likely to surpass 8.75%.
• In its monthly review CMIE has said that India's GDP is expected to grow at
9.2% in 2010-11 on the back of spurt in economic activities with the biggest
turnaround expected from the agriculture and allied sector, which is
projected to grow by 5.7% in FY11.
• The government has announced a one-percentage increase in the EPF rate to
9.50% for 2010-11.
• The Commerce Secretary, Dr Rahul Khullar said that although the trade
deficit may shoot up to $135 billion by March 2011, it is within manageable
20
WHAT'S NEW
Indian Economy limits and is eminently financeable.

• According to the triennial central bank survey of foreign exchange and
derivative market activity of Bank of International Settlements, Indian
rupee's share in global foreign exchange market turnover increased to 0.9%
from 0.7% in 2007.
• ADB raised the country's growth forecast for the current fiscal to 8.5%,
identical to the government figure, from 8.2%. S&P also raised its growth
estimates to 8.1% in 2010. ADB raised its inflation estimates to 7.5% from
the earlier projection of 5.5%.
• India is among the 25 jurisdictions identified by the IMF as having
systemically important financial sectors for mandatory surveillance by the
Fund.
Reserve Bank of India: • Dr. D. Subbarao, Governor, Reserve Bank of India will announce
(Source: http://rbi.org.in)
the Second Quarter Review of Monetary Policy for 2010-11 on
Tuesday, November 2, 2010.
• Highlights of the Mid-Quarter Monetary Policy Review: September
2010
• The repo rate under the LAF has been increased by 25 basis points from
5.75% to 6.0% with immediate effect.
• The reverse repo rate under the LAF has been increased by 50 basis
points from 4.50% to 5.0% with immediate effect.

• Current and expected macroeconomic conditions, particularly the
price situation, will guide policy going forward.
• RBI issued an indicative calendar for issuance of Government dated
securities worth `1,63,000 crores for the second half of the fiscal year 2010-
11 (October 1, 2010 to March 31, 2011).
• On a review of the cash position of the Government of India, the RBI in
consultation with Government of India modified the notified amounts for
the issuance of Treasury Bills for the quarter ending December 2010.
• RBI announced the calendar of auction for LAF for the quarter October -
December 2010.
• RBI has constituted a Working Group to review the current operating
procedure of monetary policy of the Reserve Bank, including the liquidity
adjustment facility (LAF).
21
WHAT'S NEW
Reserve Bank of India: • The rate of interest on the Floating Rate Bonds, 2013 (FRB, 2013) applicable
for the year (September 10, 2010 to September 9, 2011) shall be 6.91%.
• RBI announced the prudential norms on investment in Zero Coupon
Bonds.
• RBI has issued the directive on settlement and default handling procedures
in multilateral and deferred net settlement systems under the Payment and
Settlement Systems Act, 2007.
• RBI has notified the norms for grant of bank advances for financing
promoters' contribution.
• RBI issued the norms regarding banks' exposure to capital market regarding
the issue of Irrevocable Payment Commitments (IPCs).
• RBI notified the exclusivity arrangements for in-bound cross border money
transfer service.
• RBI notified that banks' investments in the National Payments
Corporation of India. (NPCI) and United Stock Exchange of India Ltd.
(USEIL) will be excluded from the calculation of their capital markets
exposure as the two institutions are crucial for financial infrastructure
building.
• Banks have been permitted to engage companies registered under the
Indian Companies Act, 1956, excluding NBFCs, as Business
Correspondents (BCs).
• RBI issued the instructions on the procedure for lodging of ATM related
complaints.
• RBI issued the instructions on collection of third party account payee
cheques regarding prohibition on crediting proceeds to third party
accounts.
• RBI has clarified that NBFCs can participate in the designated currency
options exchanges only for the purpose of hedging their underlying forex
exposures.
• RBI notified the format of data to be submitted by Credit Institutions to
Credit Information Companies.
• RBI released the data on ECBs and FCCBs under both automatic and
approval routes for the months of July and August 2010.
• RBI released the twelfth volume of its annual statistical publication titled
Handbook of Statistics on the Indian Economy (HBS) 2009-10.
• RBI placed on its website “A Profile of Banks 2009-10”.
22
WHAT'S NEW
Reserve Bank of India: • RBI released its 'Quarterly Statistics on Deposits and Credit of Scheduled
Commercial Banks March 2010'.
• Major highlights of India's External Debt as at the end of June 2010:
o India's external debt, as at end-June 2010, was placed at US$273.1 billion
recording an increase of US$10.8 billion or 4.1% over the level at end-
March 2010 on account of significant increase in short-term trade
credits, commercial borrowings and multilateral government
borrowings.
o Excluding the valuation effects due to appreciation of US dollar against
other major international currencies and the Indian Rupee, the increase
in external debt works out to US$12.1 billion over the quarter.
o The share of commercial borrowings stood highest at 27.3% as at end-
June 2010 followed by short-term debt (21.2%), NRI deposits (17.6%)
and multilateral debt (16.4%).
o Based on residual maturity, short-term debt accounted for 42.5% of the
total external debt as at end-June 2010, while the share of short-term debt,
by original maturity, was 21.2%.
o The ratio of short-term debt to foreign exchange reserves rose to 21.0% as
at end-June 2010 from 18.8% as at end-March 2010.
o External debt in terms of US dollar accounted for 59.8% of the total
external debt stock as at end-June 2010 followed by the Indian rupee
(13.2%).

o The ratio of foreign exchange reserves to external debt as at end June
2010 came down to 101.0% from 106.4% as at end-March 2010.
• Major highlights of India's Balance of Payments Developments during the
First Quarter (April-June) of 2010-11:
o Exports recorded a growth of 37.2% during Q1 of 2010-11, on a year-on-
year basis, as against a decline of 31.8% during Q1 of 2009-10.
o Imports registered a growth of 35.7% during Q1 of 2010-11 as against a
decline of 21.7% during Q1 of 2009-10.
o Despite higher growth in exports relative to imports, the trade deficit
widened during Q1 of 2010-11.
o Net invisibles declined owing to relatively higher invisibles payments
driven particularly by higher payments under investment income and
also by larger payments on account of travel, transportation, business
and financial services.
23
WHAT'S NEW
Reserve Bank of India: o The higher trade deficit combined with the lower invisibles surplus
resulted in the widening of current account deficit during Q1 of 2010-11.
o The capital account surplus increased significantly, over the
corresponding quarter of last year, mainly due to short-term credit,
ECBs, external assistance and banking capital.
o Net foreign investment, however, was much lower than the
corresponding quarter of last year mainly due to significant moderation
in net inflows under FIIs investments. Net inflows under FDI were also
lower during the Q1 of 2010-11.
o With capital account surplus being higher than the current account
deficit, the overall balance was in surplus at US$3.7 billion, which
resulted in a net accretion to foreign exchange reserves of equivalent
amount during the Q1 of 2010-11.
• Major highlights of International Investment Position (IIP) of India as at
the end of June 2010 are summarized below:
o Net claim of non-residents on India as reflected by the net IIP as at end-
June 2010, increased by US$26.8 billion to US$185.1 billion from
US$158.4 billion as at end-March 2010, mainly due to increase in net
inflow of Direct Investment and Portfolio Investment in India in
addition to inflow of trade credit and loans.
o Total external financial assets declined by US$5.3 billion to US$373.6
billion as at end-June 2010 over the previous quarter, due to contraction
in Other Investment by US$4.8 billion besides decrease in Reserve Assets
(US$3.4 billion).
o Among the other components of external financial assets, Direct
Investment abroad moved up by US$2.8 billion, over end-March 2010, to
US$82.1 billion as at end-June 2010.
o Reserve Assets i.e. official reserves (foreign currency assets, IMF reserve
position, SDRs, Gold) declined by US$3.4 billion over the previous
quarter and stood at US$275.7 billion at end-June 2010.
o Reserve Assets exceeded the total external debt (US$273.1 billion) by
US$2.6 billion as at end-June 2010.
o Total external financial liabilities increased by US$21.4 billion over the
previous quarter and stood at US$558.7 billion as at end-June 2010.
Direct Investment and Portfolio Investment in India increased by
US$6.0 billion and US$4.7 billion to US$180.5 billion and US$138.9
24
WHAT'S NEW
Reserve Bank of India: billion respectively over the previous quarter.

o Among the Other Investment constituents of liabilities, trade credit and
loans increased by US$5.6 billion and US$5.2 billion to US$55.2 billion
and US$127.6 billion respectively, over the previous quarter.
• According to the RBI's 'Sources of Variation in Foreign Exchange Reserves
in India during April-June 2010-11', there was an accretion to the foreign
exchange reserves in BoP terms by US$3.7 billion. Taking into account the
valuation effects, foreign exchange reserves declined by US$3.3 billion
during April-June 2010-11 as against an accretion of US$13.2 billion during
April-June 2009-10.
CCIL • CCIL's CLS segment settled 35,329 deals in the month of September
2010 (previous highest being 35,322 deals in the month of May 2010).
• CCIL successfully conducted “Live Operations” of all its business
applications from DR Pune datacenter during September 4-9, 2010.
25
REPORTS
Report of the Working Group on Foreign tribunals with regard to securities matters.
Investment Department of Economic Affairs,
2. Qualified Financial Investors (QFIs)
Ministry of Finance
1. Create a single window for registration and
The Working Group on Foreign Investment was
clearance of portfolio investment regulations
constituted to rationalize the existing arrangements
that does not distinguish between investor
relating to foreign portfolio investments by Foreign
classes.
Portfolio Investors (FIIs)/ Non-Resident Indians
(NRIs) and other foreign investments like Foreign (a) Qualified depository participants (“DPs”),
Venture Capital Investor (FVCI) and Private Equity with global presence through branch network
entities etc. and agency relationships would be legally
responsible for enforcing OECD-standard
The key recommendations of the Working Group
KYC requirements;
are:
(b) Such global DPs would have higher capital
1. Legal Process
requirements and would need to pass a
1. Respect and protect basic principles of due detailed “fitness test” administered by SEBI;
process when agencies apply foreign investment
(c) FIIs, FVCIs and NRIs would be abolished as
or foreign exchange law to individual market
an investor class.
participants;
2. Promulgate broader KYC requirements that meet
2. Create a financial sector appellate tribunal, or
OECD standards of best practices. These
extend the authority of the Securities Appellate
requirements would combine adherence to
Tribunal, to hear appeals on all aspects of capital
Prevention of Money Laundering Act (“PMLA”)
flows management regulations;
rules and regulations as well as information
3. Institute processes of required public required for market monitoring by all regulators
consultation before issuing any directives of law of financial services into one master file;
and policy. In general, the working group urges
3. Closely review sectors where limits set by FDI
the creation of transparent and approachable
and capital flows management policy overlap;
frameworks for access to the administrators of
financial regulation for interpretation and 4. QFI investment ceilings should be reckoned over
clarity in areas of ambiguity; and above prescribed FDI sectoral caps;
4. Involve law departments more integrally in the 5. Examine closely areas where regulations tailored
formation of policy; to a particular type of institution would be
incorporated, modified or subsumed by the
5. Create more user-friendly access to the law
larger QFI framework.
through public information systems. This
should include provision of real-time access to 6. With regard to participatory notes, SEBI should
comprehensive statements of law as well as have the final right to demand details about the
decisions and reasoned orders of appellate end investor in cases of needed investigations;
26
REPORTS
7. Legal changes: would have to be adopted and dovetailed

with AML-CFT frameworks including those
a. QFI
for reporting suspicious transactions
i. SEBI FVCI and FII regulations would be (“Suspicious Transaction Reports”).
replaced by a new QFI regulation;
ii. DPs would report KYC information on behalf
ii. FEMA (Transfer or Issue of Security by a of clients investing in unlisted equity directly
Person Resident Outside India) Regulations, to the RBI. The RBI, would also have to give
would have to restate permissible caps and approval for the opening of limited purpose
investment levels, now unified across asset accounts for securities transactions.
classes;
d. Miscellaneous
iii. Schedules specifying permitted investments
i. Closely review how and whether regulation
by FIIs, FVCIs and NRIs would ostensibly
tailored to fit specific classes of investors like
be replaced by a new schedule for QFIs.
FVCIs or NBFCs will be included, excluded
b. Depository Participants or modified under the QFI framework
i. Enforcement of contracts between depository ii. Scrutinize areas where FDI and capital flows
participants and investors should b e management regulations overlap.
clarified. In particular, international dispute
iii. The language of FEMA (Transfer or Issue of
settlement mechanisms should be
any Foreign Security) Regulations,
established;
particularly regulations 6C and 7 would have
ii. SEBI (Depositories and Participants) to be consolidated to address investment by
Regulations, 1996 would have to be amended mutual funds and other financial services
to allow DPs to set up offshore branches; firms;

iii. FEMA (Transfer or Issue of Any Foreign iv. With regard to outflows, the Master Circular
Security) Regulations need to be amended to on Miscellaneous Remittances from India
allow setting up of DPs abroad; would have to be modified to permit banks to
provide credit facilities to individuals once
iv. SEBI (Stock Broker and Sub-Broker)
appropriate consumer protection standards
Regulations, 1992 would have to be changed
are notified;
to allow stock brokers to register foreign
investors as clients with SEBI; v. Regulations permitting investment in foreign
securities, presumably along the lines
v. Criteria for filtering DPs who could be
suggested by IDR policy, would also need to
entrusted with the task of registering QFIs
be promulgated.
would have to be promulgated.
3. Outflows into Equity
c. KYC
All entities structuring and offering securities
i. KYC guidelines for depository participants
market-related products in the overseas market,
27
REPORTS
who offer these products to residents on Indian (d) Change FEMA (Borrowing or Lending in
soil, should register with SEBI and fully Foreign Exchange Regulations),
disclose all promotional materials, including
(e) Authorize QFIs to invest in security receipts
product literature, advertisements and
on par with domestic investors;
brochures.
(f) Different treatment of PSU debt and other
4. Debt
company debt, FCEB and FCCB could be
1. Remove the caps on rupee-denominated consolidated into a combined limit.
corporate debt as a matter of addressing
(g) Any other legal changes required to
currency mismatches. Any desired
implement the package of recommendations
restrictions on debt related capital f l o w s
compiled by expert committees in recent
could be expressed in percentage instead of
years.
absolute terms;
5. Derivatives
2. Finish implementing the many
recommendations from government 1. Capital flow management regulations should
committee reports over the past five years that focus on spot instruments and not
have either partially or not been derivatives;
implemented;
2. Harmonize the regulation of futures,
3. Extend the QFI model, our single window for forwards and options. There should be a
clearance of portfolio investment general policy preference to encourage greater
regulations, to debt investments as well; trade in exchange-traded, as opposed to over-
the-counter derivatives;
4. Extend consumer protection guidelines for
investment in foreign securities under the 3. Exempt investment by Indian residents in
Liberalised Remittance Scheme to derivatives trade abroad up to the US

investments in debt securities. $200,000 limit under the Liberalised
Remittance Scheme from further regulation.
5. Legal changes:
4. Specifically the ban on taking margin
(a) Rescind the limit on FII debt or replace hard
payments should be restated to hold that,
caps with percentage limits to remove
when taking margin payments, total liability
quantitative restrictions;
should not exceed the LRS limit;
(b) Change SEBI (FII) Regulations, FEMA
5. Streamline registration processes by
(Transfer or Issue of Security) Regulations,
implementing the QFI model, as suggested
FEMA (Borrowing and Lending in Rupees)
above, to also reduce the incentives to
Regulations and SEBI
participate in offshore markets such as those
(c) Change FEMA (Transfer or Issue of Any for participatory notes.
Foreign Security) Regulations,
28
REPORTS
6. Tax investments of a global fund located abroad

would be held to be an “independent agent”
1. Study the revenue implications of shifting to
and consequently would not constitute a PE
a residence-based system of taxation;
in India. Laying down a suitable criteria for
2. Study the information technology systems “dependent” and “independent” status for
and information sharing mechanisms with fund management services for global
other countries which need to be in place to investors would help in increasing these
properly implement taxation of global services out of India.
income of residents in a residence-based
Source: finminnic.in
taxation system for capital gains. A study of
such mechanisms in BSST (Brazil, South
Africa, South Korea and Turkey) land OECD
Strengthening repo clearing and settlement
countries could be done;
arrangements BIS, September 2010
3. Study the administrative issues and short-
During the recent financial crisis, repo markets
term revenue implications of shifting from a
proved to be a less reliable source of funding
source-based to a residence-based system with
liquidity than expected in some countries. As part
attention to other countries experiences with
such transitions; of the Financial Stability Board's (FSB) broader
work stream “Strengthening the core financial
4. Study the revenue and compliance advantages infrastructures and markets”, the Committee on
of source based taxation of capital gains and Payment and Settlement Systems (CPSS) therefore
whether tax and compliance burden would commissioned a working group to investigate the
actually reduce if countries followed a source extent to which the market infrastructure i.e. the
based taxation regime for capital gains. practices, procedures and systems used for clearing

5. The working group notes that, the Draft and settling repos and liquidating a defaulting cash
Direct Taxes Code, if enacted in its current borrower's collateral added to the uncertainty in
form, would improve certainty with regard to repo markets and whether there is room for
permanent establishment status for global improvement.
investors working with fund managers
Based on a comprehensive survey of the clearing
located in India and, as such, would remove
and settlement arrangements for repos in selected
this barrier to the development of financial
CPSS countries and, in particular, on the
services in the country. The proposal to deem
experience with these arrangements during the
income of FIIs as income from capital gains
should be broadened to cover all non-resident financial crisis, the Working Group identified
investors including private equity funds. seven issues related to the repo market
infrastructure that have the potential to affect the
6. Clarify, through a suitable instruction or resilience of repo markets: (1) the risks related to
circular, the circumstances under which a the extension of significant amounts of intraday
fund manager in India handling the credits within some repo settlement arrangements;
29
REPORTS
(2) the lack of transparency of some repo credit.

infrastructure roles, responsibilities, practices and
Second, to the extent that repo clearing and
procedures; (3) concerns regarding protection
settlement infrastructure roles, responsibilities,
against counterparty credit risk in repo
practices and procedures are not fully transparent,
transactions; (4) inadequate capabilities for
market participants may misperceive the credit and
liquidating repo collateral in the event of a cash
liquidity risks involved by entering into repo
borrower's default; (5) the inefficient use of (high-
transactions. Moreover, particularly in times of
quality) collateral due to constraints within repo
market stress, uncertainty about the repo
clearing and settlement arrangements; (6)
infrastructure roles, responsibilities, practices and
procyclical effects of certain risk management
procedures can give rise to concerns in using the
practices; and (7) a lack of transparency in the repo
infrastructure. Where relevant, repo clearing and
market. The Working Group believes that
settlement infrastructure facilities are thus
appropriate measures on the level of repo clearing
encouraged to raise market participants' awareness
and settlement infrastructure can play a role in
of their roles, responsibilities, practices and
helping to address these issues, thereby
procedures and to eliminate any related
contributing to more resilient repo markets. The
ambiguities.
seven issues and potential measures to address these
issues are briefly summarised below. Third, concerns regarding protection against
counterparty credit risk in repo transactions can
First, the settlement procedures for repo
suddenly deter financial institutions from
transactions, and in particular for term repos, can
participating in repo markets, particularly in times
give rise to the extension of significant amounts of
of volatile collateral prices and heightened
intraday credit to the cash borrower, either by repo
counterparty credit risk. Depending on the
settlement infrastructures or by settlement banks
adequacy of their risk management, central
supporting the repo infrastructure. This may create

counterparties (CCPs) can play an important role
vulnerabilities not only for the institution
in helping financial institutions manage their
extending intraday credit, but also for the repo
counterparty risk in repo markets. Stakeholders in
counterparties. For instance, the cash borrower
the repo market thus might evaluate carefully the
may become dependent on risk management
benefits and limitations of introducing or
decisions by the institution extending intraday
promoting the wider use of a CCP for the repo
credit, while the cash lender to the extent that it
market. In addition, other repo infrastructure
holds temporarily a cash deposit with the
facilities could evaluate whether and how they can
settlement institution instead of securities
assist participants in managing counterparty risk
collateral may face heightened counterparty risk.
more effectively.
Where relevant, an infrastructure settling repo
transactions thus might review its practices and Fourth, in the event of a cash borrower's default,
procedures to ensure that the arrangements allow cash lenders must be entitled and operationally
for effective mitigation of the risks related to the able to take possession of and liquidate the repo
extension of significant amounts of intraday collateral. If cash lenders are not well prepared to
30
REPORTS
do so they might withdraw from the market in detrimental to the resilience of repo markets in
times of heightened counterparty risk concerns. In times of stress. To the extent that repo market
markets cleared by a CCP, the CCP takes over the infrastructures must manage their own credit and
responsibility of liquidating collateral in the event liquidity risks, they could consider adopting risk
of a cash borrower's default. In other markets, tri- management practices that mitigate procyclical
party repo service providers could evaluate whether effects (e.g. by calibrating margins, haircuts and
and how they can play a role in supporting their liquidation horizons to stressed market scenarios).
participants' preparations for collateral This is particularly relevant for CCPs, but to some
liquidation. Even if market participants are extent also for any other repo infrastructure that
adequately prepared for liquidating collateral, they bears credit and liquidity risks.
might still withdraw from the market if they fear
Seventh, inadequate transparency as well as
that the liquidation of a substantial amount of
asymmetric information in repo markets can
collateral following the default of a large market
exacerbate the full or partial withdrawal of some
participant creates the potential for fire sale
repo market participants in times of heightened
conditions. While this report presents some credit and liquidity risks. To enhance the
suggestions as to how market infrastructure could transparency of repo markets, repo infrastructures
help reduce the potential for fire sale conditions, it are encouraged to consider reasonable requests by
is acknowledged that this is essentially a collective market participants or authorities to make available
action problem that requires coordinated action by meaningful summary statistics on the repo market.
market participants.
Finally, it needs to be stressed that repo clearing and
Fifth, constraints on the efficient and flexible use settlement arrangements vary considerably across
of collateral within repo clearing and settlement countries and markets, and hence not all of the
arrangements can complicate market participants' identified issues are relevant to the same extent in

collateral management, hampering the each market. Nevertheless, it is worthwhile for the
development of liquid repo markets in normal stakeholders in each market to review how the repo
times and affecting the resilience of repo markets in market infrastructure could be further strengthened.
times of stress. The efficient and flexible use of As a first step, the providers of repo market
collateral could be fostered by repo collateral infrastructures in each country, jointly with market
substitution and re-use functionalities or, in the participants, regulators and the central bank, should
case that frictions are caused by fragmented attempt to develop a common view on the relevance
infrastructure, by establishing efficient and secure of the identified issues for their market. Based on
linkages between clearing and settlement that, each repo market infrastructure could then
infrastructure that facilitate the transfer of evaluate which measure or combination of measures
collateral between different markets and countries. would be best suited to address the relevant issues in
its specific circumstances.
Sixth, risk management practices that aggravate
Source: www.bis.org
procyclical effects in repo markets can be
31
SPEECHES
Post-Crisis Reforms to Banking Regulation from common equity, significant investments in
and Supervision Think Global, Act Local; the common shares of unconsolidated financial
Inaugural address by Dr. D. Subbarao, institutions and deferred tax assets arising from
Governor, Reserve Bank of India at the timing differences etc.; limiting the recognition of
FICCI-IBA Conference on 'Global Banking: minority interest in group capital to the extent of
Paradigm Shift' on September 7, 2010. its share in the minimum capital required for
subsidiary banks; and appropriate disclosure of
Dr. Subbarao begins by observing that over the last
various elements of capital.
one year, there has been significant progress in
crystallizing the reform agenda and in reaching a The Basel Committee's response to containing the
shared understanding on most of the measures. The excess prior to the downturn is the introduction of
thrust of the reform package has been to fortify the a leverage ratio which will be a simple, transparent,
banking system, correct the incentive framework non-risk based measure calibrated to act as a
and ensure its long term stability. The reforms credible supplement and backstop to the risk-based
focus on both the microprudential dimension at requirements.
the individual institution level and the
The proposed measures to contain the
macroprudential dimension at the systemic level.
procyclicality of financial sector regulations
India has been a newly inducted member of the
through capital buffers and provisioning will
Basel Committee on Banking Supervision (BCBS),
impose additional costs on banks. Apart from the
and the Reserve Bank has been actively engaged in
general concern in this regard, in India, there is an
the process of crystallizing what has now come to
additional concern about the variable used to
be called Basel III.
calibrate the countercyclical capital buffer. The
In July 2010, the BCBS put out a comprehensive most widely discussed candidate for this is the
paper indicating the broad agreement reached on credit to GDP ratio. However, in emerging
the Basel III proposals. Broadly, these reforms will economies such as India, it will likely go up for
require banks to hold more and better quality structural reasons - enhanced credit intermediation
capital and to carry more liquid assets, limit their owing to higher growth as well as efforts at
leverage and mandate them to build up capital deepening financial inclusion. a study undertaken
buffers in good times that can be drawn down in by the Reserve Bank shows that the credit to GDP
periods of stress. ratio has not historically been a good indicator of
build up of systemic risk in our banking system.
The proposals regarding the capital adequacy
Furthermore, some economic sectors such as real
framework aim at ensuring that the quality of
estate, housing, micro finance and consumer credit
capital is high, there is consistency in the definition
are relatively new in India, and as such the risk
of capital across various jurisdictions and that
build up in such sectors cannot accurately be
there are appropriate disclosures to make the
captured by the aggregate credit to GDP ratio.
capital base transparent. The key changes include
prescription of an explicit minimum Tier I The major challenge for banks in India in
requirement; deduction above a certain threshold, implementing the liquidity standards is to develop
32
SPEECHES
the capability to collect the relevant data accurately approval for the remuneration of their whole-time
and granularly, and to formulate and predict the directors and chief executive officers.
liquidity stress scenarios with reasonable accuracy
Speaking on the implementation of Basel III in
and consistent with their own situation. However,
India, Dr Subbarao states that India's prudential
most of the Indian banks follow a retail business
regulations are ownership neutral. They will be
model and also have a substantial amount of liquid
applicable uniformly to public sector banks,
assets which should enable them to meet the new
private banks and foreign banks. The impact of the
standards. There is an issue about the extent to
measures will of course vary and will depend on the
which statutory holdings of SLR are counted
business model and risk profile of the banks and
towards the proposed liquidity ratios. Nevertheless,
their domestic and overseas balance sheets. The
it would be reasonable to treat at least a part of the
buffers built into the reform package are expected
SLR holdings in calculating the liquidity ratio
to provide automatic stabilizers obviating the need
under stressed conditions, particularly as these are
for external support during a downturn.
government bonds against which RBI provides
liquidity. Banks across the world are apprehensive that even
as they incur the cost of building the capital buffers
The recent Reserve Bank initiative to constitute a
they will not be able to use them during a
working group to examine the suitability of
downturn, because ironically that is when markets
financial holding companies in India is a step in
would expect and demand higher capital. Second,
identifying systemically important institutions.
some components of the reform package may have
RBI has also been constantly upgrading the
a 'comply or explain' framework which allows
regulatory and supervisory framework for financial
individual jurisdictions to deviate from any
conglomerates. Efforts are also under way to bring
specific provision of the package by explaining why
a larger number of financial transactions within
it has made deviations. There is a risk though that

the ambit of multilateral settlement through
even well reasoned and perfectly justifiable
central counterparties.
deviations may be interpreted as willful
According to Dr Subbarao, it is now widely noncompliance, or worse still as unwarranted
acknowledged that the flawed incentive framework regulatory forbearance, and markets may penalize
underlying the compensation structures in the such jurisdictions.
advanced country banking sectors fuelled the crisis.
While concluding, Dr Subbarao points out that
The Financial Stability Board has since evolved a
one of the big unacknowledged drivers of India's
set of principles to govern compensation practices
growth has been the impressive improvement in the
and the Basel Committee has developed a
quality and quantum of financial intermediation
methodology for assessing compliance with these
over the last decade. Therefore, he urged the Indian
principles. While the compensation for Public
banking fraternity to contemplate on the
Sector Banks is determined by the government,
challenges of delivering on their reforms agenda.
private, foreign and local area banks in India are
statutorily required to obtain RBI's regulatory Source: www.rbi.org.in
33
SPEECHES
Perspectives on Inflation in India: Address inflation. In the last 56 years, there are 9 episodes of
by Deepak Mohanty, Executive Director, double digit inflation. Out of these 9 episodes,
RBI, the Bankers Club, Chennai on double digit inflation lasting beyond a year
September 28, 2010. occurred on 5 occasions. The most prolonged one
lasted for 30 months during October 1972 to
The main focus of the Deepak Mohanty's speech
March 1975. The last such high inflation was in the
was features of the new series of WPI, history of
mid-1990s which lasted 15 months between March
inflation from 1952-53 and determinants of
1994 and May 1995. Notwithstanding these
inflation. He said that by considering the data for
episodes of double digit inflation, it is important
the past five years, 2005-06 to 2009-10, there is not
to recognize that India has been a moderate
much difference in average inflation between the
inflation country. For the 56 years period from
new series and the old series.
1953-54 to 2009-10, the monthly annual average
The first and most important feature of new WPI is inflation is around 6.7%. There has particularly
the change in the relative weight of major been a perceptible drop in the average WPI
commodity groups. The share of primary articles inflation to about 5.1% in the last decade during
has gone down by 1.9%, which has been 2001-02 to 2009-10.
compensated by increase in the share of fuel group
He said that both the supply side and the demand
by about 0.7% and manufactured products by
side explain the behavior of inflation. In India,
1.2%. There has been a reduction in weightage of
medium-term supply response corresponding to
primary food articles and manufactured food
the changes in demand conditions is important for
products by 2.6% in the new series to 24.3 % from
the determination of the trend. Emphasis on fiscal
about 26.9 % in the old series. Second, because of
consolidation, discontinuation of the practice of
change in the consumption basket, the food
automatic monetization of fiscal deficit, market
inflation in the new series is higher than in the old

determined exchange rate system and greater
series. Third, because of a substantial overhauling
reliance on price signals had a positive impact on
of the basket with the introduction of a number of
macroeconomic factors which resulted in a decline
new items, the non-food manufactured products
in the volatility of inflation with a step-up in
inflation is lower in the new series than in the old
economic growth. Since agricultural GDP is
series. Fourth, the new series has wider coverage so
frequently interrupted by weather conditions, non-
it is the better representative of overall commodity
agricultural GDP and money supply can be
price inflation.
considered as the more relevant variables in the
The WPI series is available from the year 1952-53 determination of the inflation trend. Empirical
onwards though the base year has undergone exercise based on annual data for the 57 year
revisions from time to time. Inflation was quite period, 1952-53 to 2009-10, shows that there is a co-
volatile in the initial three decades of the 1950s, integrating long-term equilibrium relationship
1960s and 1970s. Its volatility has reduced in the among inflation, non-agricultural GDP and
subsequent decades even with occasional spikes in money supply.
34
SPEECHES
Thus the inference that can be drawn is that non- Mr. Mohanty concluded by saying that the new
agricultural GDP has a highly significant and series of WPI inflation marks a major change in
negative relationship with inflation, implying that terms of scope and coverage of commodities and is
an increase in non-agricultural GDP representing more representative of the underlying economic
improved supply condition will decrease inflation. structure. With the reduction in average inflation
Second, money supply has a highly significant and and inflation volatility, tolerance for high
positive relationship with inflation. One per cent inflation has come down. The moderation of
increase in money supply in absence of any increase inflation trend has had several beneficial effects in
in non-agricultural GDP could lead to 0.9 per cent terms of lower nominal interest rate and high GDP
increase in inflation. Third, alongside increase in growth rate. Given the remarkable stability in the
money supply by one percent, if non-agricultural inflation rate since the mid-1990s, it is important
GDP also increases by one per cent it will have a to persevere with appropriate policy responses so
dampening effect on inflation. But still inflation that the high inflation seen in the recent months
could go up by 0.15 per cent in the long-run. does not get entrenched. Even if the trigger for
Fourth, deviation from the long-run equilibrium is inflation is from supply side, its persistence
statistically significant and the adjustment towards necessitates monetary policy responses to bring the
the long-run equilibrium is faster through changes inflation rate back to its trend and anchor
in the non-agricultural GDP. Fifth, there is a two inflationary expectations.
way causal relationship between money supply and
Source: www.rbi.org.in
prices.
35
MARKET ROUND-UP
MARKET OVERVIEW
Macro-economic Overview
Domestic
• Asian Development Bank echoed the views of the chief economic advisor to the finance ministry and
Prime Minister's Economic Advisory Council chairman C Rangarajan regarding India's growth
prospects. ADB raised the country's growth forecast from 8.2% to 8.5% in 2010 but cautioned that high
inflation and a rising rupee could threaten the country's sustained growth. CMIE, being more optimistic,
anticipates India to at 9.2% in 2010-11 on the back of spurt in economic activities. The industrial sector,
including construction is projected to grow by 9.4% in FY11, better than the 9.2% growth in FY10. The
service sector is projected to expand by 10%, compared to 8.6% last year led by the growth in trade and
transport segment. The biggest turnaround is expected from the agriculture and allied sector, which is
projected to grow by 5.7% in FY11.
• Mr. C Rangarajan expressed his concern over the current high level of inflation and suggested
improvement in farm productivity and closing the large physical infrastructure deficit, especially in the
power sector. However, a good monsoon is expected to ease inflation rate to 6% by March 2011.
According to him, agriculture, which grew at 0.2% in 2009-10, is projected to grow at 4% in 2011-12.
Industry, which achieved a 9.3% growth in 2009-10, is projected to grow further at 9.7% in 2010-11 and
10.3% the following year. The same trend could be observed in services sector, which after recording a
growth of 8.5% last year, is projected to grow at 8.9% in 2010-11 and 9.8% in 2011-12. The investment rate
is expected to be 37% in 2010-11 and 38.4% in 2011-12. Domestic savings rate is expected to be over 34%
in 2010-11 and about 36% in 2011-12.
• Fuelled by a strong rebound in manufacturing activity, India's industrial output surged 13.76% in July
from a year ago, a good 6 percentage
Growth of Industrial Production (in per cent)
points above the median analyst forecast 3 Months 6 Months
Category Jul'10 Jun'10 Year ago
and far higher than the June figure ago ago
re v i s e d d o w n w a rd t o - 5 . 7 6 % . SECTORAL
General 13.76 5.76 16.50 16.70 7.20
Manufacturing output jumped to
Mining 9.70 9.50 11.40 14.60 8.70
15.01% in July, where as power
Manufacturing 15.01 7.30 17.90 17.90 7.40
generation growth continued to be
Electricity 3.70 3.50 6.00 5.60 4.20
dismal at 3.7%. Going by use-based USE-BASED
classification of factory output, capital Basic goods 5.10 3.40 8.80 10.70 4.70
goods production showed a spectacular Capital goods 63.00 9.70 72.80 56.20 1.70
performance by growing at 63% in July Intermediate goods 9.10 8.70 10.80 21.30 9.80
from a year ago, indicating a strong Consumer goods 6.70 8.30 14.50 4.20 9.70
growth in domestic investment in Consumer durables 22.10 27.40 37.00 31.60 22.10
capacity expansion. Consumer non-durables 0.50 1.30 6.60 -3.10 5.30
36
• India's Monthly wholesale price inflation fell to 8.51% in August'10 (the lowest level since January) from
9.78% in July, as measured by a new series that takes into consideration the change in consumption
pattern over the years. Despite the sharp drop in headline inflation, there was no let up in underlying
firmness in prices as the wholesale price index
BASE EFFECT
(WPI) remained unchanged at 140.3 in August,
Weights (%) No. of Items
Major Group an indication that the decline was largely
2004-05 1993-94 2004-05 1993-94
because of high inflation last year. The figures
All Commodities 100.00 100.00 676 435
were the first using a new series of data with a
1. Primary Articles 20.12 22.03 102 98
different base year of 2004-05, new components
2. Fuel & Power 14.91 14.23 19 19
and weightings for the wholesale price index
3. Manufactured Products 64.97 63.75 555 318
(WPI) based inflation.
Monthly Inflation Rates
• The government's fiscal deficit fell by 16.93%
Month Revised Rate (%) Provisional Rate (%)
to `1,51,425 crore during April-August, 2010
Oct-09 1.46 1.34
from `1,82,290 crore in the same period last
Nov-09 5.55 4.78
year and accounts for 39.7% of the estimate for
Dec-09 8.10 7.31
Jan-10 9.44 8.56
2010-11. The deficit fell as the Centre garnered
Feb-10 10.06 9.89
better-than-expected revenues from auction of
Mar-10 11.04 9.90 broadband and 3G spectrum airwaves. During
Apr-10 11.23 9.59 the period under consideration, non-tax
May-10 11.14 10.16 revenue receipts were `1,52,299 crore, crossing
Jun-10 11.06 10.55 the full year target of `1,48,118 crore, mainly
due to robust response for the spectrum sale.
On the other hand, tax revenue receipts during April-August'10 period reached 25.9% of 2010-11 estimate
at `1,38,500 crore. The total expenditure in the first five months of the current fiscal stood at `4,47,703
crore, thereby reaching 40.4% of the target for the full year.

• Imports to the country continued to outpace merchandise exports, thereby widening the trade deficit to
$56.62 billion during April-August'10. This has prompted the government to revise the trade deficit
forecast for 2010-11 from $120 billion to $135 billion. In August, exports increased 22.5% to $16.64
billion on improved global demand for Indian merchandise while strong demand for inputs and capital
goods from the domestic economy saw imports jump 32.2% to $29.70 billion. The sectors registering
healthy exports growth include cotton
Trend in Export and Import during 2010-11 (Amt. in USD Million)
yarn, gems and jewellery, iron ore, Growth Growth
Month Export Import Trade Balance
engineering and petroleum, oil and (%) (%)
2009-10 178665 286823 -108158
lubricants (POL). However, the
Apr-10 16887 35.4 27307 42.0 -10420
readymade garments, handicrafts,
May-10 16145 31.1 27437 37.1 -11292
handlooms and carpets sectors are still
Jun-10 17745 30.4 28299 23.0 -10554
in bad shape. Jul-10 16240 13.2 29170 34.5 -12930
• As per the developments in India's Aug-10 16644 22.5 29679 32.3 -13035
2010-11 83661 141892 -58231
Balance of Payments during the First
37
Quarter (April-June) of 2010-11, published by the RBI, India's current account deficit has trebled to a
worrying $13.7 billion during the period, a new record, from $4.5 billion in the same quarter last year. The
prime reason could be the trade deficit, which rose to $34.2 billion in the June 2010 quarter from $25.6
billion in the June 2009 Major Items of India's Balance of Payments (USD billion)
quarter. However, robust April-March April-June
Item
capital inflows have helped 2008-09 (PR) 2009-10 (P) 2009-10 (PR) 2010-11( P)
overall Balance of Payments to 1. Exports 189.00 182.20 39.20 53.70
remain in a surplus at $3.74 2. Imports 307.70 299.50 64.80 87.90
billion. India's capital account 3. Trade Balance (1-2) -118.70 -117.30 -25.60 -34.20
surplus ascended to $17.5 4. Invisibles, net 89.90 78.90 21.20 20.50
billion in April-June from $4.6 5. Current Account Balance (3+4) -28.70 -38.40 -4.50 -13.70
6. Capital Account* 8.60 51.90 4.60 17.50
billion in the same quarter in
7. Change in Reserves# (-Indicates
2009-10 mainly on account of increase; + indicates decrease) 20.10 -13.40 -0.10 -3.70
short-term credit, external *: Including errors and omissions. #: On BoP basis (i.e., excluding valuation).
c o m m e rc i a l b o r ro w i n g s , P: Preliminary. PR: Partially Revised.
e x t e rn a l a s s i s t a n c e a n d Source: RBI
banking capital.
• Net direct tax collections during the period April to DIRECT TAX (Collections in ` crore)
August 2010 stood at `1,00,112 crore, up from `87,888 April-August 2009-10 2010-11 % change
crore in the same period last fiscal, registering a growth Corporation tax 49,339 57,750 17.05
of 13.91%. Growth in corporate income tax during the Personal income tax 38,491 42,217 9.68
period was 17.05% while personal income tax Total 87,888 100,112 13.91
(including STT, and residual FBT and BCTT) grew at
9.68%.
• The revival of the industrial sector has translated into higher revenues for the exchequer with the
government's indirect tax collection up by around 46% to over `1.24 lakh crore during the first five
months of this fiscal. The indirect tax department has collected `51,866 crore as customs duty during the
April-August period this year, almost 67% up
Indirect Tax Collections (Amt in ` Crore)
when compared to the last year corresponding
Type of Duty Apr-Aug 2009-10 Apr-Aug 2010-11 Growth (%)
period. Riding on a booming manufacturing
Customs 31,150 51,866 66.5
sector, excise duty collections have also
Excise 35,054 49,672 41.7
registered a growth of 42%. Service Tax
Service 18,891 22,632 19.8
collections during the period are around
Total 85,095 1,24,170 45.9
`22,632 crore, up 20% when compared to last
year.
• The six key infrastructure industries grew at 3.7% in August, the second slowest pace in the last 10 months.
The only silver line is the growth in crude oil production (15%). Production of finished steel, however,
bounced back to a five-month high of 7.7%. Cement, coal and electricity output grew only 1.6%, 1% and
1% respectively in August'10. The low growth, however, could be partly attributed to the high base effect.
38
Sector-wise Growth Rate (%) in Production
20.0 17.5
15.8
15.0 13.7
15.0 13.3
10.2
10.0 7.7 6.4
(%)
4.5 3.8 3.7 3.9

5.0 3.0
1.0 1.6 -0.2
1.0 0.3
0.0
-0.9
-2.5 -2.3
al
il
nt
ll
ct s
el
-5.0
ty
eO
era
Co
te
me
ci
u
ds
tri
Ov
od
ud
Ce
ec
he
Pr
Cr
El
nis
m
Fi
leu
Sectors
tro
Aug-10 Jul-10 Aug-09

Pe
• Apart from falling core infrastructure growth, vegetables owing to relentless rains in most
threatening to impact IIP and in turn country's parts of the country.
high growth prospects, rising food inflation is
• Determined to keep inflation on a leash and
another key area of concern for the economy.
encouraged by the 8.8% GDP growth in the first
After falling to 14.56% (week ending 28th quarter of 2010-11, RBI chose to increase key
August'10) from 14.94% during the week ended policy rates for the fourth time this fiscal
21st August'10 as per the new data series, food during its Mid-Quarter Monetary Policy
inflation continued its march upward for the Review: on 16th September 2010 - a move that
three consecutive weeks, reaching 16.44% for was a shade more hawkish than the market
the week ended 18th September'10. The prime expectations. While the repo rate was increased
reason being disruption in supply of fruits and by 25 bps to 6%, the reverse repo was hiked 50

b p s t o 5 % , t h e re b y
Weekly Food Inflation (%)
narrowing the liquidity
22.50 adjustment facility (LAF)
21.00
19.50 corridor to just 100 bps, an
%
18.00 attempt to reduce

16.50
15.00
volatility in overnight
13.50 r a t e s , t h e re b y
2 - -10
0
-M 0
18 -10
6- 1 0
-A 0
strengthening the
-A 0
9- -10
8- 0
2 6 -10
1- -10
0
-A 0
14 -10
2 0 -10
-1
21 y -1
-1
25 g-1
-1
-1
13 g -1
-
ay
ep
p
ug
pr
pr
pr
ul
un
un
l
n
Ju
a
Se
u
Ju
-J
M
-S
-A
A
A
-J
-J
monetary transmission
3-
15
27
Date mechanism.
39
Movement in Key Policy Rates expressed its concern over tightening fiscal and
Effective Reverse Effective Repo monetary policies “too quickly” by the
Since Repo Rate Since Rate governments to sustain the expansion. Asia,
8-Dec-08 5.00 31-Jan-07 7.50
excluding Japan, is anticipated to grow 8.2% in
5-Jan-09 4.00 31-Mar-07 7.75
2010, faster than an April estimate of 7.5%. The
5-Mar-09 3.50 12-Jun-08 8.00
ADB maintained its 2011 growth forecast at 7.3%.
21-Apr-09 3.25 25-Jun-08 8.50 China is likely to expand 9.6% this year, unchanged
19-Mar-10 3.50 30-Jul-08 9.00 from the previous estimate. Inflation in Asia is
20-Apr-10 3.75 20-Oct-08 8.00 expected to remain within central banks' “comfort
5-Jul-10 4.00 3-Nov-08 7.50 zones” and could average 4.1% in 2010 and 3.9% in
27-Jul-10 4.50 8-Dec-08 6.50 2011.
16-Sep-10 5.00 5-Jan-09 5.50
The OECD forecast growth across the G7 to average
5-Mar-09 5.00
an annualized 1.4% in the third quarter and 1% in
21-Apr-09 4.75
the fourth of 2010, down from 3.2% and 2.5% in
19-Mar-10 5.00
the first and second quarters respectively. It
20-Apr-10 5.25
forecast annualized US growth rates of 2% and then
5-Jul-10 5.50
1.2%, where as Japan is expected to grow 0.6% and
27-Jul-10 5.75 0.7% respectively in the Q3 and Q4.
16-Sep-10 6.00
All the central banks held their respective
International benchmark rates unchanged during the month.
The month saw a decline in average crude oil price According to the European Commission, GDP in
from $77.08 per barrel (August'10) to $76.15 per the 16-nation euro region may increase by 1.7%
barrel. Factors such as weakening of the euro during 2010 instead of a previously projected 0.9%.
against the US dollar, decline in applications for The region's growth rate may slow by half to 0.5%
US unemployment benefit and rising equities
in the third quarter and weaken to 0.3% in the

bolstering optimism that the global economic fourth quarter of 2010 as governments trim budget
recovery is strengthening led to a rise in crude oil deficits. Japan's economy grew an annualized 1.5%
price from $75.25 a barrel (1st September'10) to in the second quarter of 2010, faster than the 0.4%
$78.23 a barrel by 9th September'10. However, oil reported last month as companies boosted capital
fell to $73.71 a barrel (20th September'10) after spending. On the contrary, New Zealand's
negative news on US consumer confidence and economic growth unexpectedly weakened even
ahead of the anticipated reopening of a major before the nation's worst earthquake in eight
pipeline delivering crude into the US. Fluctuating decades crippled infrastructure in the south of the
close to $74 per barrel, crude oil prices increased to country. GDP increased 0.2% in the second quarter
$77.57 a barrel at the end of the month as US from the previous three months, less than the 0.9%
second quarter GDP and weekly jobless claims beat forecast by the central bank due to a record decline
economists' estimates. in output from dairy plants and other food
The Asian Development Bank raised its 2010 processors.
economic growth forecast for the Asian region and
40
GDP Growth Rate (Quarter-on-Quarter) (%)
Country 2008:Q4 2009:Q1 2009:Q2 2009:Q3 2009:Q4 2010:Q1 2010:Q2
US -5.40 -6.40 -0.70 2.20 5.60 3.70 1.60
EURO 16 -1.80 -2.50 -0.20 0.40 0.00 0.20 1.00
Japan -10.20 -11.90 2.70 0.00 0.90 1.30 1.50
UK -1.80 -2.50 -0.60 -0.20 0.40 0.30 1.20
Australia -0.50 0.40 0.60 0.30 0.90 0.70 1.20
China 9.00 6.10 7.10 7.70 8.70 11.90 10.30
INTERNATIONAL YIELD MOVEMENTS

% (U S, G erm any)
2.90 1.22
2.80 1.18
% (Japan)
2.70 1.14
2.60 1.10
2.50 1.06
2.40 1.02
2.30 0.98
2.20 0.94
2.10 0.90
0
0
0
0
10
10
10
10
-1
-1
-1
-1
-1
-1
-1
p-
p-
p-
p-
ep
ep
ep
ep
ep
ep
ep
Se
Se
Se
Se
-S
-S
-S
-S
-S
-S
-S
1-
3-
7-
9-
16
20
24
28
30
14
22
Date
US 10 year bond rate Germany 10 year bond rate Japan 10 year bond rate
Money Market Review* September'10, short term rates remained range

bound between 4% - 4.9%. However, outflows
As liquidity condition tightened considerably
towards advance tax payment and hike in policy
from the second week of September'10, the
rates by the RBI during its Mid-Quarter Monetary

weighted average rates in all the three segments of
Policy Review pushed money market rates to 6.5% -
the money market increased by 0.3%. Segment wise,
7% at the end of the month. The succeeding two
the average rate in the Call, Repo and CBLO
Charts exhibit the movement of short term rates
markets climbed to 5.61%, 5.46% and 5.26% from
during the month and the share of each segment in
5.26%, 5.18% and 4.99% during the previous
the total trading volume of the money market
month respectively. Tracking comfortable cash
respectively.
conditions in the banking system till 8 th
*
The volumes and the weighted rates pertaining to Saturday have been ignored in the computation of weighted average rate and the graphs for all
the segments of money market
41
MOVEMENT OF SHORT TERM RATES
6.70 Tight liquidity
Tight liquidity
6.40 conditions 6.90
conditions
CBLO and Repo 6.10 6.60
Call Rate (%)

Rates (%) 5.80 6.30
5.50 6.00
5.20 5.70
4.90
5.40
4.60
4.30 5.10
4.00 4.80
3.70 4.50
0 0 0 0 10 10 10 10 10 10
-1 -1 -1 -1 p- p- p- p- p- p-
-S ep -S ep -S ep -S ep S e S e S e S e S e S e
- - - - - -
1 3 7 9 14 16 20 22 24 28
Date
CBLO rate Repo rate Call rate
SHARE IN MONEY MARKET TRADING VOLUMES
CALL VOLUME
REPO VOLUME 12.14%
20.24%
CBLO VOLUME
67.62%
The subsequent two tables explain the comparative rates across the various segments of the money
weighted average rates over a period of time and the market respectively.
comparative statistics of short term volumes and
COMPARATIVE WEIGHTED AVERAGE MONEY MARKET RATES (%)

COMPARATIVE WEIGHTED AVERAGE MONEY MARKET RATES (%)
Segment Sep'10 Aug'10 3 Months ago 6 Months ago Year ago
CALL 5.61 5.26 5.23 3.58 3.25
REPO 5.46 5.18 5.32 3.41 2.81
CBLO 5.26 4.99 5.19 3.21 2.63
42
COMPARATIVE MONEY MARKET VOLUMES AND RATES
COMPARATIVE MONEY MARKET VOLUMES AND RATES
Gross Daily Average Minimum Maximum
Segment Volumes (` Cr) Volumes (` Cr) Rate (%) Rate (%)
Sep'10 Aug'10 Sep'10 Aug'10 Sep'10 Aug'10 Sep'10 Aug'10
CALL 219862.00 231984.66 9559.22 9279.39 4.55 4.52 7.04 5.84
REPO 366327.14 388817.75 15927.27 15552.71 4.39 4.44 6.58 5.71
CBLO 1224126.30 1129515.45 53222.88 45180.62 4.00 4.09 6.05 5.69
Liquidity Adjustment Facility of wireless spectrum with the debt market by

cutting its annual borrowing programme. The
September'10 witnessed a drastic turnaround in the
marginal cut in government's market borrowing by
liquidity conditions of the banking system with the
`10,000 crore to `4.47 lakh crore for 2010-11 is
outflow of `40,000 crore towards the advance tax
expected to help the domestic private sector to raise
payments as evident from 391% (`30,245.25 crore)
capital at competitive rates and reduce the fiscal
leap in the average cash infusion by the RBI using
deficit.
LAF Repo window. Banks had borrowed an average
of `6,160 crore during the previous month. From 1st The market witnessed liquidity outflows in the
September'10 to 8th September'10, banks parked form of re-issue of nine government securities
sum of `94,815 crore with the RBI using LAF worth `34,000 crore, issue of eleven SDLs
Reverse Repo window without making use of the (aggregate `9,800 crore) and auction of T-Bills
LAF Repo auctions. However, RBI absorbed only (aggregate `20,000 crore) during September'10.
`8,535 crore during the rest of the month; where as There was no recourse to auctions under the Market
it injected massive `6,04,905 crore into the system. Stabilization Scheme. There was no purchase of
securities by the RBI under the open market
Government Securities Market
operations. The Tables forthcoming shows the
details of the primary issues of dated securities and

Primary Market
the auction of the T-Bills respectively during the
The government decided to share the benefits of
month.
higher revenue receipts from taxes and the auction
43
DATED SECURITIES AUCTION/ISSUE
Date of Issue/ Amount Cut-off Yield Devolvement on
Paper
Auction (` Crore) Price (`) (%) PDs (`Crore)
03-Sep-10 7.46% G.S. 2017 4000.00 97.11 8.0081 0.00
03-Sep-10 8.08% G.S. 2022 5000.00 100.37 8.0296 0.00
03-Sep-10 8.30% G.S. 2040 3000.00 98.90 8.3993 0.00
8.39% SDL 2020 (Maharashtra,
07-Sep-10 3748.05 - 8.3900 -
Tamil Nadu, West Bengal)
07-Sep-10 8.40% SDL 2020 (Punjab) 800.00 - 8.4000 -
07-Sep-10 8.41% SDL 2020 (Uttar Pradesh) 1000.00 - 8.4100 -
09-Sep-10 7.17% G.S. 2015 4000.00 97.95 7.6888 0.00
09-Sep-10 8.13% G.S. 2022 4000.00 100.85 8.0181 0.00
09-Sep-10 8.26% G.S. 2027 3000.00 99.20 8.3475 0.00
21-Sep-10 8.37% SDL 2020 (Andhra Pradesh, Punjab) 1200.00 - 8.3700 -
21-Sep-10 8.38% SDL 2020 (Gujarat, West Bengal) 2001.95 - 8.3800 -
21-Sep-10 8.39% SDL 2020 (Meghalaya, Uttar Pradesh) 1050.00 - 8.3900 -
24-Sep-10 7.99% G.S. 2017 5000.00 100.57 7.8763 0.00
24-Sep-10 7.80% G.S. 2020 4000.00 99.57 7.8628 0.00
24-Sep-10 8.30% G.S. 2040 2000.00 99.25 8.3668 0.00
T-BILL AUCTION
91 day T-Bill 182 day T-Bill 364 day T-Bill
Date Amt MSS Price YTM Amt MSS Price YTM Amt MSS Price YTM
(` Cr) (` Cr) (Rs.) (%) (` Cr) (` Cr) (Rs.) (%) (` Cr) (` Cr) (`) (%)
01-Sep-10 2500.00 0.00 98.51 6.0668 1500.00 0.00 96.92 6.3732 - - - -
08-Sep-10 2500.00 0.00 98.52 6.0254 - - - - 1000.00 0.00 93.93 6.4800
15-Sep-10 2500.00 0.00 98.49 6.1495 1500.00 0.00 96.89 6.4373 - - - -
22-Sep-10 2500.00 0.00 98.48 6.1908 - - - - 1000.00 0.00 93.74 6.6964
29-Sep-10 3500.00 0.00 98.46 6.2735 1500.00 0.00 96.83 6.5655 - - - -
Total 13500.00 0.00 4500.00 0.00 2000.00 0.00
Charts provided below shows the trend in the cut- Bills respectively.
off yields of the 91-day, 182-day and 364-day T-
91 DAY T-BILL CUT-OFF YIELDS

9.50
9.00
8.50
8.00
7.50
7.00
(%)
6.50
6.00
5.50
5.00
4.50
4.00
3.50
3.00
Ja 7
M 08
M 09
Fe 06
D 6
Au -07
Au 09
D 08
10
Ju 6
M 7
Ju 0
Ju 08
Ap 8
Ap 0
Ja 9
Se 0
N 09
O 7
Se 8
Se 6
0
r -0
r -1
0
1
0
-0
l-1
0
0
0
-
-
ct-
r-
ar-
p-
p-
p-
n-
n-
b-
g-
g-
n-
n-
ec
ec
ay
ay
ov
Ap
44
182 DAY & 364 DAY T-BILL CUT-OFF YIELDS
10.00
9.00
8.00
7.00
(%)
6.00
5.00
4.00
3.00
Ja 7
Fe 6
M 8
M 09
Au 09
Au 07
D 8
10
Ju 6
D 6
M 7
Ju 8
Ju 0
Ap 8
10
9
N 09
Se 0
O 7
Se 6
Se 8
0
-0
-0
r -0
r -0
r -1
0
0
-0
0
l-1
0
-
-
c t-
ar-
p-
p-
p-
b-
n-
n-
g-
g-
n-
n-
ec
ec
ay
ay
ov
Ap
Ap
Ja
182 day T-Bill yields 364 day T-Bill yields
Secondary Market Yield movements
A 15% decline was seen in the total trading volume During September'10, 10-year yields moved
on the NDS-OM platform during September'10 to between 7.84% - 7.99% against 7.80% and 8.04%
`1,98,164 crore from `2,34,191 crore during during the previous month. Bond yields hardened
August'10. Volumes settled by CCIL during the from 7.94% (1st September'10) to 7.99% (6th
month can be observed from the Chart given September'10) on speculation that some investors
below. pared holdings of securities to raise cash for
TOTAL SETTLEMENT VOLUMES

20000.00

Volume ` Crore
15000.00
10000.00
5000.00
0
0
0
-1
-1
-1
-1
-1
-1
-1
-1
-1
-1
ep
ep
ep
ep
ep
ep
p
p
Se
Se
Se
Se
-S
-S
-S
-S
-S
-S
1-
3-
7-
9-
14
16
20
22
24
28
There were 29 trades worth `255 crore of “8.08% purchases at a government debt auction. However,
G.S. 2022” conducted in the “When Issued” market expectations of lower monthly inflation rate pulled
during the month. G-Sec yields back to 7.90% by 9th September'10. On
the very next day, 10-year yields jumped to 7.96% as
45
market participants remained wary of an impeding additional $10 billion in corporate and
rate hike after better-than-expected industrial government papers by allowing them to
th
production numbers fuelled concerns. By 17 collectively buy government bonds worth $10
September'10, yields once again escalated to near billion and corporate bonds worth $20 billion
8% level after the central bank delivered a stronger- against the earlier limit of $5 billion and $15
than-expected rate action and due to liquidity billion respectively. These measures cheered the
crunch in the banking system. The government market; as a result, 10-year G-Sec yields eased to
announced that it was cutting back its gross 7.84% at the end of the month. Its movement is
borrowing program by `10,000 crore to `4.47 lakh depicted in the following Chart and the yields
crore for 2010-11 and opened debt market to more prevailing on the last working day of the month are
foreign investment. It permitted FIIs to put in an provided in the ensuing Table.
10-YR YIELD MOVEMENT

8.0000
7.9500
(%)
7.9000
7.8500
7.8000
10
10
10
10
11 10
13 10
15 10
23 10
17 10
19 10
21 10
25 10
27 10
29 10
0
-1
-
-
-
-
-
-
p-
p-
p-
p-
p-
ep
ep
ep
ep
ep
ep
ep
ep
ep
ep
Se
Se
Se
Se
Se
-S
-S
-S
-S
-S
-S
-S
-S
-S
-S
1-
5-
9-
3-
7-
Date
YIELD MOVEMENTS (%)*

YIELD MOVEMENTS (%)*
Tenor Sep-10 Aug-10 3 Months ago 6 Months ago Year ago
10 year 7.8374 7.9484 7.5435 7.7918 7.1469
* as on the last working day of the month
The trend in the average yield spread over a period 181.14 bps during September'10, is illustrated in the
of time, which fluctuated between 127.72 bps and subsequent Chart.
46
1 YR - 10 YR SPREAD
350
300
250
200
(bps)
150
100
50
0
-50
Apr-05
Sep-05
Sep-06
Sep-07
Sep-08
Sep-09
Sep-10
Mar-06
Mar-08
Mar-09
Mar-07
Mar-10
Spread (1-10yr)
Foreign Exchange Market benchmark interest rates by the RBI leading to

widening of interest rate differential between the
During September'10, the USD-INR exchange rate
US and India, however, strengthened the Indian
oscillated between `46.87 per dollar and `44.92 per
currency further to `45.61 per dollar by 21st
dollar with an average rate of `46.06 a dollar and
September'10. After moving close to `45.50 level,
standard deviation of 62 paise. The first week of
rupee closed at `44.92 per dollar on the last day of
September'10 saw the Indian currency appreciating
the month following raise in the cap on overseas
against the US dollar from `46.87 a dollar (1st
investments in government and corporate
September'10) to ` 46.48 per dollar (6 t h
securities.
September'10) on speculation that accelerating
economic growth is prompting investors to increase Table (A) gives the analysis of the rupee movement
purchases of the nation's stocks. The next day, against major currencies and the exchange rate

rupee weakened to `46.71 per dollar as the US prevailing on the last working day of the month
currency firmed up against other major over a period of time is provided in Table (B). The
international currencies. Dollar depreciation movement of the rupee against major currencies is
overseas, bigger pickup in factory output (13.8% in depicted in the following Chart.
July) than estimated (7.7%) as well as hike in
TABLE (A): EXCHANGE RATE MOVEMENT

Rs. / Euro Rs./ Pound Rs./ 100 yen Rs. / Dollar
Movement (%) -2.35 1.50 3.30 4.16
Average Rate 60.08 71.68 54.54 46.06
Stddev 0.56 0.36 0.95 0.62
Max 61.10 72.22 55.89 46.87
Min 59.11 71.14 53.23 44.92
47
TABLE (B): EXCHANGE RATE MOVEMENT
Exchange Rate Sep' 10 Aug' 10 3 Months ago 6 Months ago Year ago
Rs. / Euro 61.00 59.50 56.94 60.56 70.24
Rs./ Pound 71.14 72.64 70.07 68.03 76.43
Rs./ 100 yen 53.70 55.96 52.61 48.44 53.35
Rs. / Dollar 44.92 47.08 46.60 45.14 48.04
RUPEE VIS-A-VIS MAJOR INTERNATIONAL CURRENCIES

73.00 56.00
55.00
71.00 54.00
Pound Sterling/Euro
US Dollar/Jap Yen
53.00
69.00
52.00
67.00 51.00
50.00
65.00 49.00
48.00
63.00
47.00
61.00 46.00
45.00
59.00
-S 0 44.00
20 p-10
-S 0
27 p-10
0
14 p-10
-S 0
16 p-10
21 p-10
-S 0
23 p-10
28 p-10
-S 0
6- -10
7- -10
2- -10
3- -10
8- -10
9- -10
13 p-10
17 p-1
24 p-1
-1
15 p-1
22 p-1
29 p-1
ep
p
p
p
p
e
e
e
e
e
e
e
e
e
e
e
Se
Se
Se
Se
Se
Se
Se
-S
-S
-S
-S
-S
-S
-S
-S
1-
Rs. / Euro Rs./ Pound Rs./ 100 yen Rs. / Dollar
The movement of 6-month and 1-month forward 5.29% - 6.60% respectively during the month can be
premia which fluctuated between 4.86% - 6.04% and seen from the Chart provided below.
FORWARD PREMIA
6.60
6.30
Rate (%)
6.00
5.70
5.40
5.10
4.80
2- -10
3- -10
6- -10
7- -10
8- -10
9- -10
-S 0
-S 0
-S 0
-S 0
-S 0
-S 0
-S 0
0
-S 0
-S 0
-S 0
-S 0
-S 0
-S 0
14 ep-1
15 p-1
16 ep- 1
17 p-1
21 p- 1
22 ep-1
23 p-1
24 ep-1
27 p-1
28 ep- 1
29 p- 1
-1
13 p -1
20 ep-1
ep
p
p
p
p
p
p
Se
Se
Se
Se
Se
Se
Se
e
e
e
1-
6-month 1-month
48
The government raised the ceiling for investment corporate bonds has been reserved exclusively for
in government and corporate bonds by foreign infrastructure companies.
funds and permitted them to put in an additional
FIIs more than doubled their purchases of the
$10 billion in corporate and government papers.
equities and debt from USD 2.51 billion and USD
The relaxation for FIIs means they can now
0.65 billion vis-à-vis USD 5.43 billion and USD
collectively buy government bonds worth $10
1.67 billion respectively; an increase of 116% and
billion and corporate bonds worth $20 billion
158% month over month, resulting in record high
against the previous limit of $5 billion and $15
level (USD 7.10 billion) of FII flows since April'06.
billion respectively. However, the additional $5
During the current financial year, FIIs have infused
billion in each of the categories can be invested
USD 19.25 billion into the Indian sub-continent.
only in paper with a residual maturity of over five
The trend in FII flows over a period of time is
years. Moreover, the extra $5 billion allocated for
exhibited in the following Chart.
FII INFLOWS
7000
6250
5500
4750
4000
3250
USD Million
2500
1750
1000
250
-500
-1250
-2000
-2750
-3500
-4250
-5000

M - 08
M - 10
M - 07
M - 09
Ju 07
Ju 08
Ju 10
Ju 06
N -0 6
N -0 7
N -0 8
Ju 09
N -0 9
10
M 07
M 08
M 09
M 10
Ja 06
Se 7
Ja 7
Ja 08
Ja 09
Se 0
Se 6
Se 8
Se 9
l-0
l-0
-0
l-0
l-1
l-0
-
-
-
p-
n-
n-
n-
n-
-
-
ar
ar
ar
ar
p
p
ay
ay
ay
ay
ay
ov
ov
ov
ov
M
QUARTERLY MOVEMENT OF FII FLOWS (USD Million)
Quarter Net Investment in Equity Net Investment in Debt Total (USD Mn.)
Q1 2008-09 -3478.70 -709.80 -4188.50
Q2 2008-09 -2807.90 2003.30 -804.60
Q3 2008-09 -4015.10 739.50 -3275.60
Q4 2008-09 -1524.70 -1562.90 -3087.60
Q1 2009-10 6269.00 157.70 6426.70
Q2 2009-10 7102.40 831.50 7933.90
Q3 2009-10 4861.94 1769.13 6631.07
Q4 2009-10 4547.32 4712.56 9259.88
Q1 2010-11 2331.16 1371.28 3702.44
Q2 2010-11 11495.15 4053.23 15548.38
49
FDI in the country decreased by about 49% to USD From January-July'10, India received 25% less FDI
1.79 billion in July'10 against USD 3.48 billion as compared to the previous year to USD 16.65
during the corresponding period previous year. billion.
FOREIGN INVESTMENT INFLOWS (US $ MILLION)
2010-11 (P) 2009-10 (P)
Item
Apr. May. Jun. Jul. Apr-Jul Apr-Jul
A. Direct Investment 2179.00 2213.00 1380.00 1785.00 7557.00 10381.00
B. Portfolio Investment 3315.00 41.00 1297.00 9114.00 13767.00 11302.00
Total (A+B) 5494.00 2254.00 2677.00 10899.00 21324.00 21683.00
India's foreign exchange reserves increased from USD September'10), foreign exchange reserves rose by
th
282.84 billion (week ended 27 August'10) to USD almost USD 9 billion to USD 291.60 billion till the
285.33 billion for the week ended 3rd September'10 on week ended 24th September'10 largely on account of
the back of a healthy increase in foreign currency revaluation of non-dollar assets. The following
assets and gold reserves. After marginally decreasing Chart provides the trend in foreign exchange
to USD 284.50 billion during the week ended 10th reserves over a period of time.
FOREIGN EXCHANGE RESERVES

325000 19500
300000 14500
275000 9500
4500
USD Million
USD Million
250000
-500
225000 -5500
200000 -10500
175000 -15500
150000 -20500
-25500
125000 -30500
100000 -35500
75000 -40500
06
6
0
07
08
09
10
07
08
10
09
-0
-0
-0
-0
-1
p-
p-
p-
p-
p-
n-
n-
n-
n-
ay
ay
ay
ay
ay
Se
Se
Se
Se
Se
Ja
Ja
Ja
Ja
M
CHANGE FOREX RESERVES
50
KEY MACROECONOMIC INDICATORS
TABLE 1: DOMESTIC INDICATORS
Sr. 2009-10 2010-11 Change
Item
No. (Latest (Latest over
Unit/Base 1990-91 2000-01 2001-02 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09
available available Previous
National Income
figures) figures) Month
Gross Domestic Product at market 2393671 2612847 3117372 3402716 4465360 4807222 1209888
1 ` Crore 692871 (1) 1870387 1978055 2052586 2208196
price (at 2004-05 prices) o (7.5%) (QE) (9.4%) (RE) (9.60%) (9.00%) (6.70%) (7.40%)$ (8.80%)$
2 Fiscal Deficit ` Crore 44632.00 118816.00 140955.00 145072.00 123273.00 125202.00 146435.00 142793.00 94283.00 ¥ 330114.00 412307.00 151425.00
Agriculture
Triennium
Index Number of Agricultural
3 ending 1993- 148.40*** 167.30 178.20 140.00 141.20 139.20 146.70 167.20 173.10 161.20 150.40
Production (All crops)
94=100
Industry
General Index of Industrial 204.20 221.20 284.50 297.80 297.90 347.30 330.80
4 1993-94 = 100 212.60* 162.60 167.00 176.60 189.00 (7.0) 22.40
Production (8.0%) (8.0%) (12.90%) (3.90%) (-2.30%) (13.50%) (13.80%)
Money Supply, Banking &
Interest Rates
3295644 3876926 4655831 5579567 5865310
5 M3 ` Crore 265828 1313220 1498355 1719203 2000349 2253938 2729535 69637.00
(20.8%) (17.10%) (16.20%) (14.90%) (4.70%)
2594259 3075224 3732501 4486573 4690703
6 Aggregate Deposits ` Crore 192541 962618 1103360 1280853 1501931 1766628 2087670 59124.00
(23.0%) (17.90%) (16.80%) (14.80%) (4.40%)
1923192 2272603 2690513 3240399 3382928
7 Bank Credit ` Crore 116301 511434 589723 729215 835382 1141701 1496474 18417.00
(27.6%) (17.80%) (13.90%) (12.60%) (4.30%)
S C Banks Investment in Govt.
8 ` Crore 49998 340035 411176 523417 653244 726111 704694 771060 966516 1166237 1375704 1453335 6611.00
Securities
9 Credit - Deposit Ratio Per cent 60.40 53.39 53.81 56.87 56.23 64.63 71.68 74.13 73.90 72.08 70.97 72.12
10 Cash Reserve Ratio Per cent 15.00 8.00 5.50 4.75 4.50 5.00 5.00 6.00 7.50 5.00 5.75 6.00
11 Bank Rate Per cent 10.00 7.00 6.50 6.25 6.00 6.00 6.00 6.00 6.00 6.00 6.00 6.00
Inter-bank call money rate
12 Per cent 4.00 - 70.00 4.00 - 19.00 4.00 - 20.00 3.00 - 12.00 2.00 - 4.60 1.50 - 5.90 4.75 - 8.25 6.00 - 80.00 2.50 - 9.70 2.00 - 5.05 1.00 - 4.10 2.90 - 5.75
(Mumbai)
13 Base Rate û Per cent -- 11.00 -12.00 11.00 -12.00 10.75 -11.50 10.25 -11.00 10.25 -10.75 10.25 -10.75 12.25 - 12.50 12.25 - 12.75 11.50 -12.50 11.00 - 12.00 7.50 - 8.00
Inflation
14 Wholesale Prices (Monthly) ø
189.10 197.70 210.00 223.60 227.30 250.80 140.30
a. All Commodities 2004-05=100 182.70*** 155.70 161.30 166.80 175.90 0.00
(5.2%) (3.51%) (5.74%) (6.68%) (0.31%) (9.90%) (8.51%)
b. Fuel, power, light and
2004-05=100 175.80*** 208.10 226.70 239.20 254.50 289.00 316.70 320.10 341.00 320.90 361.80 148.00 0.20
lubricants
15 Wholesale Prices (Weekly) ø
283.40 180.90
a. Primary Articles 2004-05=100 - - - - - - - - - - 2.20
(13.86%) (18.31%)
b. Fuel, power, light and 361.80 147.60
2004-05=100 - - - - - - - - - - 0.00
lubricants (12.75%) (10.73%)
16 Consumer Prices-Industrial Workers 2001=100 193.00 444.00 463.00 482.00 500.30 (3.85) 519.50 (3.84) 119.00μ 127.00μ 137.00μ 148.00μ 170.00μ 178.00μ 0.00
Balance of Trade****

51
52
106121 140238 181368 235911 287759 278681 (- 141894

17 Value of Imports US$ Million 24073 50536 51413 60157 75,400 29680.00
(35.62%) (32.00%) (29.33%) (27.01%) (14.30%) 8.20%) (33.10%)
79594 100607 124629 155512 168704 176574 (- 85273
18 Value of Exports US$ Million 18145 44560 43827 52719 61718 16644.00
(24.41%) (25.00%) (23.88%) (23.02%) (3.40%) 4.70%) (28.60%)
19 Balance of Trade US$ Million -5927 -5976 -7587 -8693 224 -26528 -39631 -56739 -80398 -119055 -102106 -56620 -13035.00
Foreign Exchange
Inflows/Outflows & Exchange
Rate
20 Foreign Exchange Reserves****
a. Foreign Currency Assets US$ Million 2236.00 39554.00 51049.00 71890.00 107448.00 135262.00 142159.00 191924.00 294649.00 241597.00 254685.00 264529.00 7881.00
b. Gold US$ Million 3496.00 2725.00 3047.00 3534.00 4198.00 4500.00 5747.00 6784.00 9558.00 9746.00 17920.00 20008.00 730.00
c. SDRs US$ Million 102.00 2.00 10.00 4.00 2.00 5.00 3.00 2.00 18.00 1.00 5006.00 5083.00 102.00
21 INR-USD Exchange Rate Rupee 19.57 46.63 48.80 47.50 43.39 43.75 44.61 43.59 39.97 50.95 45.14 44.92 -2.16
22 Net FII Investment US$ Million -- 399.00 107.00 202.00 1418.00 3838** 2262.80 6708.00 16039.80 -11356.30 30251.55 19250.82 7100.45
23 Cumulative Net Investment+ US$ Million -- 13416.00 15281.00 15804.00 25754.00 35925** 43808.50 51965.70 68005.40 56649.30 89332.60 108583.41 7100.41
Central Government Borrowings
(Dated Securities and 364 day T-
bills)
24 Government Borrowings****
Gross ` Crore -- 115183 133801 151126 180891 106501 158816 227687 188205 306550 459497 301439 36000.00
Net ` Crore -- 73787 92302 104118 108581 46050 85058 146574 106895 230018 313010 199334 30966.70
25 Outstandings ` Crore 536325 674204 1127268 885498** 1018621 1181604 1434086 1706083 2033452 2242681 44750.00
26 CCIL Settlement Statistics****
a. Securities (F.V.) ` Crore 1544376** 2518322** 2692126** 2559260** 3578037** 5602602** 6254519 8986719 4002673 -55688.11
b. Forex US$ Million -- -- -- 136102** 501342** 899782** 1179688** 1776981 ** 3133664** 3758904 2988971 1959321 -20367.30
c. CBLO (F.V.) ` Crore -- -- -- 852** 76851** 976757** 2953134** 4732271 ** 8110828** 8824784 15541378 6104299 94610.85
27 Gilts Turnover Ratio# Per cent -- -- -- -- 176.17^ 87.93 61.54 74.26 102^ 111^ 123^ 124^
Source: RBI Annual Report, Bulletin, Weekly Statistics, SEBI & CCIL
Notes:
Yearly figures are as in March-end
* : Base: 1980-81=100
*** : Base : 1981-82=100
**: Figure as at March-end
****: Figures are cumulative for the year
Q.E : Quick Estimate
R.E : Revised Estimate
A.E : Advance Estimate
B.E.: Budget Estimate
#Turnover Ratio=(Central Government Securities Volumes for 12 months/Market Capitialisation during the month)*100
Percentage figures in brackets denote y-o-y growth
^ Turnover Ratio as on September 29, 2010
(1) At 1993-94 prices
μ: Base year 2001
$ :GDP for Apr-Jun 2010 (Q1 2010-11). GDP for Apr-Jun 2009 (Q1 2009-10): Rs. 10,99,653 Crore - (6.0%)
.+: Grand Total
¥: Excluding acquisition cost of RBI stake in SBI (Rs.35,531 crores)
o: GDP data till 2008-09 are calculated taking 1999-00 prices as the base.
¤: Base Rate relates to five major banks since July 1, 2010. Earlier figures relate to Benchmark Prime Lending Rate (BPLR).
ø: Inflation data till 2009-10 are calculated taking 1993-94 as base
TABLE 2: WORLD ECONOMIC INDICATORS
UK USA Japan Germany South Korea China Brazil India
GDP for 2009 (USD Bn)(μ) 2256.80 14043.90 4139.60 2969.60 1324.40 30067# 3143.00 59232.00
GDP at current prices (2010 Q2) (1) 364148 3644675 119749050 622320 289465600 11753.60# 892.40 17093.40#
Net Exports (USD Bn) (July 2010) (2) -12.85 -62.03# 6.98 14.40# 6.65 26.36# 0.60 -10.78#
% change of GDP over last quarter** 1.17 0.43 0.37 2.18 1.43 - - -
GDP Implicit price deflator(2010 Q2)( 2005 = 100) 129.57 124.64 88.69 111.10 128.35 - - -
Industrial Production Index (2005=100) (July 2010) 89.13 97.85@ 95.08@ 105.26 143.91 194.20# 114.00 147.30#
Producer Price Index (2005=100) (August 2010) (9) 120.09 116.17 102.20 106.77 116.19 114.60# 125.60# 153.20#
Narrow Money (2005=100) (July 2010) (7) 156.90 125.29 104.96 146.86(3) 121.58 241.77# 201.27 220.23
Broad Money (2005=100) (July 2010) (8) 176.40 131.97 108.95 138.54(3) 156.80 238.78# 218.75 241.79
Long term Interest rates (August 2010) 3.20 2.70 1.08# 2.35 4.68 - - 7.84^
Short term Interest rates (August 2010) 0.75 0.41# 0.36 0.89(b)(3) 2.63 3.69# 16.94# 7.50-8.00(6)
Exchange rate (per 1USD) (August 2010) 0.64 1.00 85.38 0.77(3) 1179.46 6.77# 1.77# 44.92@
Key Policy Rates (%) 0.50 0.00-0.25 0.00-0.10 1.00 2.25 5.31 10.75 5.00
Implies 2010(Q2) over 2010(Q1)

September 29, 2010.
July, 2010.
Short August, 2010.
Base Rate

53
54
OUTSTANDING GOVERNMENT DEBT

TABLE 3: LIST OF OUTSTANDING GOVERNMENT DEBT
Expected
price
Price
Price Change for Actual
Change
Yield Market Change a 100bps Change
Due to
Sr. Issue Maturity Outstanding (%) Capitali- Mod V+ (for V- (for Convexity Due to rise in yield for 100
ISIN No. Security Price Yield Duration Modified PV01
No. Date Date (` Crore) (Previous zation Duration 100bps) 100bps) Measure Convexity due to bps
Duration
Month) (` Crore) for 100 Duration increase
for 100bps
bps(%) and in yield
(%)
Convexity
Effect(%)
1 IN0019820128 8.75% 2010 13-Dec-82 13-Dec-10 500.22 100.56 5.8276 5.8863 503.00 0.2028 0.20 102.95 103.36 0.08 -0.1970 0.0004 -0.1966 -0.2000 0.0021
2 IN0019980344 12.32% 2011(Pvt. Placement) 29-Jan-99 29-Jan-11 9462.00 101.96 6.1438 6.1021 9647.40 0.3306 0.32 103.71 104.39 0.21 -0.3207 0.0010 -0.3197 -0.3229 0.0034
3 IN0020020213 6.57% 2011(Pvt. Placement) 24-Feb-03 24-Feb-11 18590.50 100.04 6.4252 6.5628 18597.94 0.4000 0.39 100.31 101.09 0.30 -0.3875 0.0015 -0.3860 -0.3885 0.0039
4 IN0019989014 10% NAT BKS (NT) SPL SEC 2011 24-Mar-89 24-Mar-11 400.00 101.69 6.3881 6.2256 406.75 0.4833 0.47 101.38 102.33 0.44 -0.4684 0.0022 -0.4662 -0.4667 0.0048
5 IN0019810020 8% 2011 27-Apr-81 27-Apr-11 1472.92 100.87 6.4202 6.2436 1485.73 0.5559 0.54 103.71 104.83 0.56 -0.5386 0.0028 -0.5358 -0.5358 0.0056
6 IN0020000041 10.95% 2011 30-May-00 30-May-11 12000.00 102.90 6.4148 6.3924 12347.40 0.6412 0.62 105.89 107.21 0.70 -0.6213 0.0035 -0.6178 -0.6178 0.0066
7 IN0020010057 9.39% 2011 2-Jul-01 2-Jul-11 37000.00 102.07 6.5151 6.4753 37765.09 0.7334 0.71 103.63 105.11 0.86 -0.7103 0.0043 -0.7060 -0.7060 0.0074
8 IN0020040021 6.10% UTI Spl. Bonds 2011 23-Jul-04 23-Jul-11 362.00 99.53 6.6903 6.5153 360.29 0.7990 0.77 99.89 101.45 0.98 -0.7732 0.0049 -0.7683 -0.7683 0.0078
9 IN0019910044 11.50% 2011 5-Aug-91 5-Aug-11 2861.36 103.95 6.6051 6.3311 2974.38 0.8206 0.79 104.87 106.55 1.03 -0.7944 0.0051 -0.7893 -0.7893 0.0084
10 IN0019910127 12% 2011 21-Oct-91 21-Oct-11 3246.91 105.29 6.7294 6.6055 3418.61 0.9781 0.95 109.55 111.64 1.41 -0.9463 0.0071 -0.9393 -0.9393 0.0105
11 IN0020000116 11.50% 2011(2nd Series) 24-Nov-00 24-Nov-11 11000.00 105.12 6.7823 6.6704 11562.73 1.0726 1.04 108.02 110.28 1.63 -1.0374 0.0082 -1.0293 -1.0293 0.0113
7.47% Oil Marketing Companies GOI
12 IN0020050053 7-Mar-06 7-Mar-12 2000.00 100.33 7.2180 6.8735 2006.61 1.3829 1.33 99.47 102.17 2.46 -1.3347 0.0123 -1.3224 -1.3225 0.0135
Special Bonds, 2012
13 IN0020050087 23-Mar-06 23-Mar-12 2000.00 100.30 7.2181 6.9072 2006.08 1.4275 1.38 99.08 101.85 2.60 -1.3778 0.0130 -1.3648 -1.3649 0.0138
Special Bonds, 2012
14 IN0020020023 6.85% 2012 5-Apr-02 5-Apr-12 26000.00 99.79 7.0002 6.8283 25944.39 1.4166 1.37 101.72 104.54 2.63 -1.3687 0.0132 -1.3555 -1.3556 0.0141
15 IN0020020056 7.40% 2012 3-May-02 3-May-12 33000.00 100.63 6.9676 6.8019 33208.36 1.4876 1.44 102.18 105.16 2.87 -1.4375 0.0143 -1.4232 -1.4233 0.0149
16 IN0019840035 10.25% 2012 1-Jun-84 1-Jun-12 1574.13 105.03 6.9930 6.8611 1653.30 1.5324 1.48 106.83 110.04 3.04 -1.4806 0.0152 -1.4654 -1.4656 0.0161
17 IN0020000066 11.03% 2012 18-Jul-00 18-Jul-12 13500.00 106.67 7.0088 6.9955 14400.19 1.6545 1.60 107.15 110.63 3.47 -1.5985 0.0173 -1.5811 -1.5813 0.0174
18 IN0020020080 6.72% 2012 18-Jul-02 18-Jul-12 546.81 99.47 7.0302 6.9130 543.91 1.7043 1.65 99.17 102.49 3.60 -1.6464 0.0180 -1.6284 -1.6285 0.0166
19 IN0020050137 7% OIL COS' GOI SPL BONDS 2012 9-Sep-05 9-Sep-12 5762.85 99.55 7.2502 7.1333 5736.80 1.8422 1.78 98.20 101.75 4.12 -1.7778 0.0206 -1.7572 -1.7574 0.0178
20 IN0020010073 9.40% 2012 11-Sep-01 11-Sep-12 11000.00 104.19 7.0550 6.9900 11460.92 1.8196 1.76 102.87 106.55 4.06 -1.7576 0.0203 -1.7373 -1.7375 0.0184
21 IN0019820037 9% 2013 24-May-82 24-May-13 1751.33 104.07 7.2785 7.2415 1822.52 2.3528 2.27 104.82 109.69 6.68 -2.2702 0.0334 -2.2367 -2.2371 0.0243
22 IN0020010032 9.81% 2013 30-May-01 30-May-13 11000.00 106.00 7.2856 7.3112 11660.00 2.3492 2.27 106.83 111.78 6.69 -2.2666 0.0334 -2.2332 -2.2336 0.0248
23 IN0019980187 12.40% 2013 (On Tap) 20-Aug-98 20-Aug-13 11983.91 112.96 7.3316 7.3082 13537.46 2.5116 2.42 111.61 117.16 7.56 -2.4228 0.0378 -2.3850 -2.3854 0.0277
Expected
price
Price
Change
Due to
Duration
for 100bps
bps(%) and in yield
(%)
Convexity
Effect(%)
24 IN0020020122 7.27% 2013 (conv) 3-Sep-02 3-Sep-13 46000.00 100.15 7.2076 7.1370 46070.75 2.6742 2.58 98.14 103.34 8.28 -2.5811 0.0414 -2.5397 -2.5402 0.0260
25 IN0020030105 5.32% 2014 16-Feb-04 16-Feb-14 5000.00 93.68 7.4694 7.5117 4683.87 3.1064 2.99 91.55 97.20 10.90 -2.9946 0.0545 -2.9401 -2.9409 0.0282
26 IN0020020221 6.72% 2014 (Pvt. Placement) 24-Feb-03 24-Feb-14 15273.60 97.90 7.4281 7.4816 14952.35 3.0724 2.96 95.70 101.54 10.78 -2.9624 0.0539 -2.9085 -2.9092 0.0292
27 IN0020020049 7.37% 2014 16-Apr-02 16-Apr-14 42000.00 100.01 7.3666 7.5318 42002.10 3.0808 2.97 100.35 106.49 11.16 -2.9713 0.0558 -2.9155 -2.9163 0.0307
28 IN0020090018 6.07% GS 2014 15-May-09 15-May-14 40000.00 95.51 7.5031 7.5571 38205.48 3.2242 3.11 94.81 100.89 11.96 -3.1077 0.0598 -3.0479 -3.0487 0.0304
29 IN0019830010 10% 2014 30-May-83 30-May-14 2333.26 107.89 7.4920 7.5383 2517.41 3.0879 2.98 107.98 114.60 11.36 -2.9764 0.0568 -2.9196 -2.9205 0.0331
30 IN0020090067 7.32% 2014 20-Oct-09 20-Oct-14 18000.00 99.45 7.4786 7.6426 17900.49 3.4676 3.34 99.34 106.21 14.05 -3.3426 0.0702 -3.2724 -3.2735 0.0343
31 IN0019840084 10.50% 2014 29-Oct-84 29-Oct-14 1755.10 110.11 7.5697 7.6233 1932.56 3.3264 3.21 110.92 118.26 13.32 -3.2051 0.0666 -3.1385 -3.1395 0.0367
32 IN0020080043 7.56% G.S. 2014 3-Nov-08 3-Nov-14 41000.00 99.87 7.5952 7.6519 40945.67 3.4884 3.36 99.57 106.49 14.20 -3.3607 0.0710 -3.2897 -3.2908 0.0346
33 IN0019990137 11.83% 2014 12-Nov-99 12-Nov-14 11500.00 114.80 7.5724 7.6255 13202.12 3.3035 3.18 115.62 123.21 13.24 -3.1830 0.0662 -3.1168 -3.1178 0.0380
34 IN0020020205 NAT BK'S(NT) SPL SEC 2015 7-Feb-03 7-Feb-15 70.00 100.92 7.7415 7.8150 70.65 3.7227 3.58 98.52 105.84 15.90 -3.5840 0.0795 -3.5045 -3.5058 0.0366
35 IN0020000132 10.47% 2015 12-Feb-01 12-Feb-15 6430.00 110.38 7.6254 7.8475 7097.42 3.6130 3.48 107.97 115.75 15.29 -3.4803 0.0765 -3.4039 -3.4051 0.0389
36 IN0020050061 7-Mar-06 7-Mar-15 1750.00 99.49 7.7452 7.8143 1741.12 3.8279 3.69 96.38 103.75 16.65 -3.6852 0.0832 -3.6020 -3.6034 0.0368
Special Bonds, 2015
37 IN0020050095 23-Mar-06 23-Mar-15 1750.00 99.40 7.7514 7.9997 1739.43 3.8734 3.73 95.91 103.34 16.99 -3.7289 0.0850 -3.6440 -3.6454 0.0371
Special Bonds, 2015
38 IN0020000033 10.79% 2015 19-May-00 19-May-15 2683.45 112.04 7.6519 7.7119 3006.45 3.6955 3.56 111.93 120.19 16.40 -3.5593 0.0820 -3.4773 -3.4787 0.0413
39 IN0019850034 11.50% 2015 21-May-85 21-May-15 3560.50 114.79 7.6481 7.7075 4087.23 3.6644 3.53 114.81 123.21 16.22 -3.5294 0.0811 -3.4483 -3.4497 0.0420
40 IN0020090026 6.49% 2015 8-Jun-09 8-Jun-15 40000.00 95.15 7.7393 7.8310 38060.00 4.0172 3.87 93.50 101.02 18.43 -3.8675 0.0921 -3.7754 -3.7770 0.0376
41 IN0020100023 7.17% GOVT.STOCK 2015 14-Jun-10 14-Jun-15 35000.00 98.00 7.6797 7.6680 34300.70 3.9856 3.84 96.36 104.05 18.27 -3.8382 0.0914 -3.7469 -3.7485 0.0384
42 IN0020000090 11.43% 2015 (Pvt. Placement) 7-Aug-00 7-Aug-15 12000.00 114.92 7.6836 8.0419 13790.19 3.8783 3.73 112.35 121.06 17.81 -3.7348 0.0890 -3.6458 -3.6474 0.0435
43 IN0020020130 7.38% 2015 3-Sep-02 3-Sep-15 61000.00 98.48 7.7550 7.7201 60072.80 4.1891 4.03 95.14 103.13 19.92 -4.0327 0.0996 -3.9331 -3.9349 0.0399
44 IN0020010099 9.85% 2015 16-Oct-01 16-Oct-15 10000.00 109.13 7.6345 7.8460 10912.58 3.9782 3.83 109.37 118.08 19.05 -3.8319 0.0952 -3.7367 -3.7385 0.0435
45 IN0020060219 7.59% 2016 12-Apr-06 12-Apr-16 50000.00 99.45 7.7126 7.9280 49725.73 4.4587 4.29 98.69 107.54 23.38 -4.2932 0.1169 -4.1763 -4.1786 0.0442
46 IN0020010016 10.71% 2016 19-Apr-01 19-Apr-16 9000.00 112.48 7.8890 7.9024 10123.10 4.2266 4.07 112.63 122.17 21.73 -4.0662 0.1087 -3.9575 -3.9597 0.0477
47 IN0020040013 5.59% 2016 4-Jun-04 4-Jun-16 6000.00 90.23 7.7471 7.9654 5413.70 4.8022 4.62 87.89 96.41 26.11 -4.6231 0.1305 -4.4926 -4.4953 0.0425
48 IN0019990129 12.30% 2016 (On Tap) 2-Jul-99 2-Jul-16 13129.85 121.04 7.7004 7.9127 15891.81 4.3334 4.17 119.00 129.36 22.78 -4.1728 0.1139 -4.0589 -4.0612 0.0517
49 IN0020090059 7.02% 2016 17-Aug-09 17-Aug-16 60000.00 96.27 7.8199 7.8756 57764.40 4.8558 4.67 92.70 101.78 26.88 -4.6731 0.1344 -4.5387 -4.5415 0.0454

55
56
Expected
price
Price
Change
Due to
Duration
for 100bps
bps(%) and in yield
(%)
Convexity
Effect(%)
50 IN0020010107 8.07% 2017 15-Jan-02 15-Jan-17 49000.00 101.38 7.7849 8.0011 49675.54 4.9855 4.80 98.26 108.16 28.99 -4.7987 0.1450 -4.6538 -4.6570 0.0494
51 IN0020020031 7.49% 2017 16-Apr-02 16-Apr-17 48000.00 98.38 7.8088 8.0247 47224.66 5.1029 4.91 96.95 106.96 30.81 -4.9112 0.1541 -4.7571 -4.7606 0.0500
52 IN0020070010 7.99% 2017 9-Jul-07 9-Jul-17 39000.00 101.04 7.7861 8.0384 39405.33 5.2788 5.08 97.78 108.23 32.68 -5.0810 0.1634 -4.9175 -4.9214 0.0522
53 IN0020020098 7.46% 2017 28-Aug-02 28-Aug-17 57886.80 97.92 7.8538 7.9582 56682.58 5.4710 5.26 93.56 103.95 34.57 -5.2643 0.1729 -5.0914 -5.0955 0.0519
54 IN0020020163 6.25% 2018 2-Jan-03 2-Jan-18 16886.80 90.59 7.9807 7.9932 15297.75 5.7693 5.55 87.18 97.41 38.35 -5.5479 0.1917 -5.3562 -5.3610 0.0511
55 IN0020080019 8.24% GOVT. STOCK 2018 22-Apr-08 22-Apr-18 50000.00 101.53 7.9648 7.9846 50766.25 5.5919 5.38 99.69 111.01 37.78 -5.3778 0.1889 -5.1889 -5.1937 0.0565
56 IN0020010024 10.45% 2018 30-Apr-01 30-Apr-18 3716.00 113.45 8.0446 7.9671 4215.62 5.3618 5.15 111.93 124.09 35.61 -5.1545 0.1780 -4.9764 -4.9809 0.0607
57 IN0020030063 5.69% 2018 (conv) 25-Sep-03 25-Sep-18 16130.00 86.37 8.0346 8.0435 13931.94 6.3890 6.14 81.34 91.97 46.32 -6.1423 0.2316 -5.9107 -5.9169 0.0531
58 IN0019980286 12.60% 2018 (On Tap) 23-Nov-98 23-Nov-18 12631.88 127.30 7.9745 7.9792 16080.82 5.4740 5.26 125.06 138.94 37.92 -5.2641 0.1896 -5.0745 -5.0795 0.0693
59 IN0020030097 5.64% 2019 2-Jan-04 2-Jan-19 10000.00 85.64 8.0519 8.0608 8564.30 6.4625 6.21 81.82 92.64 48.19 -6.2124 0.2410 -5.9715 -5.9782 0.0540
60 IN0020080068 6.05% 2019 2-Feb-09 2-Feb-19 53000.00 88.50 7.9613 8.0623 46905.00 6.4764 6.23 84.11 95.27 48.54 -6.2285 0.2427 -5.9858 -5.9926 0.0557
61 IN0020030048 6.05% 2019 (conv) 12-Jun-03 12-Jun-19 11000.00 87.55 8.0670 8.0750 9630.29 6.6092 6.35 83.91 95.28 51.26 -6.3529 0.2563 -6.0966 -6.1041 0.0567
62 IN0020090042 6.90% 2019 13-Jul-09 13-Jul-19 45000.00 93.60 7.9223 8.0501 42120.00 6.5518 6.30 89.32 101.32 50.84 -6.3022 0.2542 -6.0480 -6.0554 0.0599
63 IN0020010065 10.03% 2019 9-Aug-01 9-Aug-19 6000.00 112.44 8.0364 8.0423 6746.60 6.1696 5.93 107.37 120.89 46.63 -5.9313 0.2332 -5.6981 -5.7048 0.0675
64 IN0020020171 6.35% 2020 2-Jan-03 2-Jan-20 61000.00 89.62 7.9526 8.0619 54670.57 6.8829 6.62 85.39 97.48 56.10 -6.6197 0.2805 -6.3392 -6.3477 0.0603
65 IN0020000025 10.70% 2020 22-Apr-00 22-Apr-20 6000.00 117.36 8.0599 8.0642 7041.40 6.2395 6.00 115.03 129.69 49.82 -5.9978 0.2491 -5.7487 -5.7563 0.0732
66 IN0020100015 7.80% G.S. 2020 3-May-10 3-May-20 48000.00 99.74 7.8373 7.9483 47875.39 6.7106 6.46 96.56 109.87 55.48 -6.4576 0.2774 -6.1802 -6.1888 0.0664
67 IN0020000124 11.60% 2020 27-Dec-00 27-Dec-20 5000.00 124.83 7.9981 8.0925 6241.74 6.5318 6.28 120.14 136.22 54.65 -6.2806 0.2733 -6.0073 -6.0161 0.0803
68 IN0020009018 11.50% GOI (IIBI) Spl Securities 2021 30-Mar-01 30-Mar-21 100.00 123.17 8.1705 8.2452 123.17 6.7795 6.51 115.49 131.56 57.75 -6.5134 0.2888 -6.2247 -6.2341 0.0802
69 IN0020060318 7.94% G.S. 2021 24-May-06 24-May-21 49000.00 99.62 7.9910 8.1435 48815.03 7.1769 6.90 95.65 109.81 64.32 -6.9012 0.3216 -6.5796 -6.5905 0.0706
70 IN0020010040 10.25% 2021 30-May-01 30-May-21 26213.32 115.13 8.1021 8.1198 30178.08 6.8111 6.55 111.12 126.67 59.49 -6.5460 0.2974 -6.2485 -6.2584 0.0776
8.13% Oil Marketing Companies
71 IN0020060094 16-Oct-06 16-Oct-21 5000.00 99.36 8.2186 8.2946 4967.92 7.2116 6.93 96.25 110.55 66.15 -6.9270 0.3307 -6.5963 -6.6078 0.0714
Government of India Special Bonds, 2021
72 IN0020019017 9.75% GOI (IFCI) SPL SEC 2021 30-Oct-01 30-Oct-21 400.00 111.10 8.2035 8.2789 444.42 6.9810 6.71 107.79 123.27 63.05 -6.7059 0.3152 -6.3907 -6.4016 0.0772
73 IN0020060096 28-Nov-06 28-Nov-21 5000.00 96.56 8.2243 8.3007 4828.08 7.4009 7.1086 92.47 106.59 68.75 -7.1086 0.3438 -6.7648 -6.7769 0.0705
74 IN0020060037 8.20% Government Stock 2022 15-Feb-07 15-Feb-22 57632.33 101.08 8.0517 8.1543 58252.86 7.5549 7.2625 95.04 109.89 71.06 -7.2625 0.3553 -6.9072 -6.9199 0.0741
75 IN0020020072 8.35% 2022 14-May-02 14-May-22 44000.00 102.05 8.0725 8.1670 44902.79 7.4707 7.18 98.01 113.15 71.31 -7.1808 0.3565 -6.8243 -6.8372 0.0755
Expected
price
Price
Change
Due to
Duration
for 100bps
bps(%) and in yield
(%)
Convexity
Effect(%)
76 IN0020070028 8.08% Government Stock 2022 2-Aug-07 2-Aug-22 11969.41 100.79 7.9728 8.1784 12064.51 7.7561 7.46 94.85 110.11 75.49 -7.4588 0.3775 -7.0813 -7.0952 0.0761
77 IN0020039031 5.87% 2022 (conv) 28-Aug-03 28-Aug-22 11000.00 83.10 8.1080 8.2040 9140.91 8.3265 8.00 77.27 90.68 83.83 -8.0021 0.4191 -7.5830 -7.5988 0.0669
78 IN0020070051 8.13% 2022 21-Sep-07 21-Sep-22 16495.28 101.16 7.9776 8.0299 16686.31 7.8817 7.58 94.06 109.45 77.37 -7.5793 0.3868 -7.1925 -7.2069 0.0768
8.15% Government of India FCI Special
79 IN0020060095 16-Oct-06 16-Oct-22 5000.00 99.29 8.2435 8.3190 4964.37 7.5924 7.29 95.86 110.91 74.49 -7.2918 0.3725 -6.9194 -6.9332 0.0751
Bonds, 2022
80 IN0020089028 7% FERT COS GOI SPL BOND 2022 10-Dec-08 10-Dec-22 10000.00 90.41 8.2608 8.3371 9040.80 7.9923 7.68 85.80 100.04 80.39 -7.6753 0.4019 -7.2734 -7.2886 0.0710
6.20% Fertilizer Companies’ Government
81 IN0020089044 24-Dec-08 24-Dec-22 4000.00 84.24 8.2707 8.3473 3369.49 8.2369 7.91 79.44 93.06 84.04 -7.9098 0.4202 -7.4896 -7.5057 0.0679
of India Special Bonds, 2022
6.65% Fertilizer Companies Government
82 IN0020089051 29-Jan-09 29-Jan-23 6000.00 87.63 8.2670 8.3436 5257.73 8.2145 7.89 82.11 96.14 83.77 -7.8884 0.4188 -7.4696 -7.4857 0.0700
83 IN0020030014 6.30% 2023 9-Apr-03 9-Apr-23 13000.00 85.88 8.1166 8.2112 11164.17 8.2285 7.91 82.21 96.29 85.65 -7.9076 0.4283 -7.4794 -7.4961 0.0702
84 IN0020030055 6.17% 2023 12-Jun-03 12-Jun-23 14000.00 84.69 8.1230 8.2180 11856.37 8.4395 8.11 79.89 93.96 88.97 -8.1101 0.4449 -7.6653 -7.6828 0.0701
85 IN0020089010 10-Nov-08 10-Nov-23 22000.00 99.44 8.2683 8.3435 21877.89 8.0012 7.68 95.16 110.97 83.70 -7.6836 0.4185 -7.2650 -7.2817 0.0788
Government of India Special Bonds 2023
8.30% Fertilizer Companies GOI Special
86 IN0020079011 7-Dec-07 7-Dec-23 3890.00 100.23 8.2684 8.3436 3899.00 8.0554 7.74 95.30 111.24 84.52 -7.7356 0.4226 -7.3130 -7.3299 0.0795
Bonds, 2023
87 IN0020060052 15-Dec-06 15-Dec-23 4150.00 97.90 8.2714 8.3467 4063.00 8.1383 7.82 92.82 108.52 85.83 -7.8151 0.4291 -7.3859 -7.4031 0.0783
88 IN0020060060 12-Feb-07 12-Feb-24 5000.00 99.38 8.2753 8.3509 4969.08 8.2552 7.93 92.93 108.90 87.63 -7.9272 0.4381 -7.4891 -7.5068 0.0796
8.35% SBI Rights Issue Government of
89 IN0020079045 27-Mar-08 27-Mar-24 9996.01 100.62 8.2731 8.3479 10057.66 8.3496 8.02 93.04 109.23 89.10 -8.0180 0.4455 -7.5725 -7.5906 0.0807
India Special Bonds, 2024
90 IN0020090034 7.35% 2024 22-Jun-09 22-Jun-24 10000.00 93.60 8.1300 8.2210 9360.04 8.5147 8.18 88.21 103.89 93.62 -8.1821 0.4681 -7.7140 -7.7335 0.0782
8.20% Oil Marketing Companies’
91 IN0020099019 15-Sep-09 15-Sep-24 10306.33 99.00 8.3214 8.2918 10203.53 8.5037 8.16 91.68 107.94 93.19 -8.1641 0.4659 -7.6981 -7.7176 0.0811
92 IN0020060011 15-Dec-06 15-Dec-24 5000.00 97.84 8.2892 8.3642 4891.96 8.4598 8.12 92.50 108.81 94.22 -8.1232 0.4711 -7.6521 -7.6721 0.0813
Bonds, 2024
93 IN0020089036 23-Dec-08 23-Dec-24 22000.00 83.83 8.3055 8.3036 18443.69 8.9199 8.56 78.64 93.33 102.08 -8.5642 0.5104 -8.0538 -8.0758 0.0732

57
58
Expected
price
Price
Change
Due to
Duration
for 100bps
bps(%) and in yield
(%)
Convexity
Effect(%)
94 IN0020079029 18-Jan-08 18-Jan-25 11256.92 97.16 8.2902 8.3653 10937.36 8.5694 8.23 91.08 107.37 96.01 -8.2283 0.4800 -7.7483 -7.7688 0.0812
Government of India Special Bonds 2025
95 IN0020079052 28-Mar-08 28-Mar-25 9296.92 100.92 8.2898 8.3614 9382.33 8.6650 8.32 93.04 109.88 97.46 -8.3201 0.4873 -7.8328 -7.8538 0.0840
96 IN0020030071 5.97% 2025 25-Sep-03 25-Sep-25 16687.95 81.20 8.1675 8.2768 13550.52 9.5019 9.13 74.31 89.19 114.22 -9.1291 0.5711 -8.5580 -8.5839 0.0742
97 IN0020089069 6.90% OIL MKTG COS GOI SB 2026 4-Feb-09 4-Feb-26 21942.00 87.53 8.3548 8.3758 19206.14 9.1731 8.81 81.27 96.92 109.95 -8.8053 0.5497 -8.2556 -8.2806 0.0780
7.95% Fertilizer Companies Government
98 IN0020079037 18-Feb-08 18-Feb-26 3610.00 96.88 8.3110 8.3859 3497.49 8.9511 8.59 89.90 106.76 105.80 -8.5940 0.5290 -8.0650 -8.0889 0.0840
99 IN0020089077 8.00% OIL MKT COS GOI SB 2026 23-Mar-09 23-Mar-26 10000.00 97.34 8.3085 8.3681 9733.66 9.0373 8.68 89.53 106.50 107.25 -8.6768 0.5363 -8.1405 -8.1649 0.0845
100 IN0020060102 29-Mar-07 29-Mar-26 4971.00 100.83 8.3041 8.2899 5012.11 8.9647 8.61 92.68 110.09 105.86 -8.6073 0.5293 -8.0780 -8.1020 0.0868
101 IN0020010081 10.18% 2026 11-Sep-01 11-Sep-26 15000.00 117.87 8.1557 8.2485 17681.11 8.7591 8.42 109.03 129.02 103.49 -8.4159 0.5175 -7.8985 -7.9221 0.0996
102 IN0020060029 12-Feb-07 12-Feb-27 6200.00 99.18 8.3211 8.3957 6148.97 9.1444 8.78 92.01 109.67 112.52 -8.7791 0.5626 -8.2165 -8.2432 0.0880
Bonds, 2027
105 IN0020070069 8.28% 2027 21-Sep-07 21-Sep-27 1252.24 100.82 8.1889 8.2732 1262.55 9.4170 9.05 92.46 110.80 119.23 -9.0466 0.5962 -8.4504 -8.4795 0.0913
106 IN0020020247 6.01% 2028 7-Aug-03 25-Mar-28 15000.00 79.45 8.2502 8.3050 11917.50 10.2003 9.80 72.26 87.90 137.07 -9.7962 0.6853 -9.1109 -9.1459 0.0779
107 IN0020030022 6.13% 2028 4-Jun-03 4-Jun-28 11000.00 80.69 8.2186 8.3058 8876.13 9.9879 9.59 75.27 91.19 135.01 -9.5937 0.6751 -8.9186 -8.9533 0.0793
110 IN0020020106 7.95% 2032 28-Aug-02 28-Aug-32 59000.00 96.53 8.2950 8.2246 56952.70 10.4495 10.03 88.20 107.81 157.26 -10.0333 0.7863 -9.2470 -9.2934 0.0975
111 IN0020070077 8.33% 2032 21-Sep-07 21-Sep-32 1522.48 100.78 8.2518 8.3295 1534.41 10.4451 10.03 91.61 111.97 156.74 -10.0312 0.7837 -9.2475 -9.2937 0.1012
112 IN0020040039 7.50% 2034 10-Aug-04 10-Aug-34 60000.00 92.27 8.2443 8.3760 55362.00 10.8595 10.43 84.34 103.91 173.86 -10.4295 0.8693 -9.5602 -9.6151 0.0972
113 IN0020050012 7.40% 2035 9-Sep-05 9-Sep-35 42000.00 90.83 8.2735 8.3690 38149.56 11.0855 10.65 82.33 101.87 182.31 -10.6451 0.9115 -9.7336 -9.7929 0.0971
Expected
price
Price
Change
Due to
Duration
for 100bps
bps(%) and in yield
(%)
Convexity
Effect(%)
114 IN0020060045 8.33% 2036 7-Jun-06 7-Jun-36 59000.00 99.81 8.3458 8.4002 58890.32 10.6821 10.25 92.76 113.90 175.22 -10.2542 0.8761 -9.3781 -9.4356 0.1049
115 IN0020080050 6.83% G.S. 2039 19-Jan-09 19-Jan-39 13000.00 84.43 8.2596 8.3846 10975.49 11.5045 11.05 77.11 96.20 205.22 -11.0483 1.0261 -10.0222 -10.0954 0.0947
116 IN0020100031 8.30% G.S. 2040 2-Jul-10 2-Jul-40 13000.00 99.75 8.3209 8.3789 12967.50 11.1927 10.75 91.78 113.81 198.80 -10.7456 0.9940 -9.7516 -9.8234 0.1093
2193331.41 2155595.93 6.2784
* Weighted Average Duration of all the outstanding securities excluding the FRBs
Note: Prices in Bold are Last traded prices on September 29, 2010. Other prices are CCIL Model Prices
Duration is calculated considering September 30, 2010 as settlement date.
Duration
1 Modified Duration =
1 + Yield/2
2 V+ denotes the price due to 100 bps increase in yield; V- denotes the price due to 100 bps decrease in yield.
(V - ) + (V + ) - 2P0
3 Convexity = Where P0 denotes the current price before any change in yield.
P0 x (0.01 ) 2
4 Price Change Due to Modified Duration for 100bps (%) = Dur mod x ( 0 . 01) x 100 (A)
2
5 Price Change Due to Convexity for 100bps (%) = Convexity x ( 0 . 01) x 100 (B)
6 Expected price Change due to Duration and Convexity Effect (%) = (A) + (B)
V + - P0
7 Actual Change for 100bps (%) = x 100
P0
8 PV01 denotes the difference between the actual price and the price of the security for 1 bp change in the yield.

59
Market
Sr. Issue Maturity Outstanding Capitali-
ISIN No. Security Price Yield
No. Date Date (` Crore) zation
(` Crore)
FLOATING RATE BONDS(FRBs)
1 IN0020032028 FRB 2011 (5.99% - 364 day T-Bill) 8-Aug-03 8-Aug-11 6000.00 99.75 5985.12
2 IN0020032036 FRB 2012 (6.91% - 364 day T-Bill) 10-Nov-03 10-Nov-12 5000.00 100.16 5007.81
3 IN0020042043 FRB 2013 (4.81% - 364 day T-Bill) 9-Sep-04 10-Sep-13 4000.00 101.32 4052.93
4 IN0020032010 FRB 2014 (5.10% - 364 day T-Bill) 20-May-03 20-May-14 5000.00 99.86 4992.98
5 IN0020042027 FRB 2015 (5.66% - 364 day T-Bill) 1-Jul-04 2-Jul-15 6000.00 99.91 5994.78
6 IN0020042035 FRB 2015 (II) (6.36% - 364 day T-Bill) 9-Aug-04 10-Aug-15 6000.00 101.41 6084.87
7 IN0020042019 FRB 2016 (5.05% - 364 day T-Bills) 7-May-04 7-May-16 6000.00 99.59 5975.48
8 IN0020022011 FRB 2017 (5.56% - 364 day T-Bills) 2-Jul-02 2-Jul-17 3000.00 101.44 3043.18
9 IN0020092071 FRB 2020 (4.92% - 182 day T-Bills) 21-Dec-09 21-Dec-20 8000.00 92.01 7361.14
10 IN0020042050 FRB 2035 (7.17%- reset every 5 years) 25-Jan-05 25-Jan-35 350.00 97.97 342.91
49350.00 48841.19
TREASURY BILLS (DTB)
1 IN002009Z025 364 DTB 9-Oct-09 8-Oct-10 2000.00 99.83 7.5818 1996.68
2 IN002009Z025 364 DTB 23-Oct-09 22-Oct-10 2000.00 99.66 5.6602 1993.20
3 IN002009Z025 364 DTB 6-Nov-09 5-Nov-10 2000.00 99.43 5.7922 1988.64
4 IN002009Z025 364 DTB 20-Nov-09 19-Nov-10 2000.00 99.19 5.9868 1983.73
5 IN002009Z025 364 DTB 4-Dec-09 3-Dec-10 1000.00 98.95 6.0299 989.54
6 IN002009Z025 364 DTB 18-Dec-09 17-Dec-10 1000.00 98.73 5.9965 987.35
7 IN002009Z025 364 DTB 1-Jan-10 31-Dec-10 1000.00 98.48 6.1272 984.79
8 IN002009Z025 364 DTB 15-Jan-10 14-Jan-11 1000.00 98.24 6.1762 982.38
9 IN002009Z025 364 DTB 29-Jan-10 28-Jan-11 1000.00 97.99 6.2240 979.95
10 IN002009Z025 364 DTB 12-Feb-10 10-Feb-11 3014.40 97.77 6.2673 2947.10
11 IN002009Z025 364 DTB 26-Feb-10 25-Feb-11 3000.00 97.50 6.3155 2925.09
12 IN002009Z025 364 DTB 12-Mar-10 11-Mar-11 3113.85 97.14 6.6452 3024.64

13 IN002009Z025 364 DTB 26-Mar-10 25-Mar-11 3000.00 97.01 6.4007 2910.18
14 IN002010Z023 364 DTB 9-Apr-10 8-Apr-11 2025.20 96.65 6.6565 1957.38
15 IN002010Z023 364 DTB 23-Apr-10 22-Apr-11 2000.00 96.41 6.6687 1928.14
16 IN002010Z023 364 DTB 7-May-10 6-May-11 2000.00 96.25 6.5177 1925.06
17 IN002010Z023 364 DTB 21-May-10 20-May-11 2000.00 96.00 6.5541 1920.01
18 IN002010Z023 364 DTB 4-Jun-10 3-Jun-11 1000.00 95.75 6.5894 957.48
19 IN002010Z023 364 DTB 18-Jun-10 17-Jun-11 1000.00 95.49 6.6237 954.94
20 IN002010Z023 364 DTB 2-Jul-10 1-Jul-11 1000.00 95.24 6.6570 952.41
21 IN002010Z023 364 DTB 16-Jul-10 15-Jul-11 1000.00 95.12 6.5024 951.20
22 IN002010Z023 364 DTB 30-Jul-10 29-Jul-11 1000.00 94.73 6.7210 947.32
23 IN002010Z023 364 DTB 13-Aug-10 12-Aug-11 1016.80 94.48 6.7518 960.65
24 IN002010Z023 364 DTB 27-Aug-10 26-Aug-11 1046.30 94.22 6.7820 985.85
25 IN002010Z023 364 DTB 10-Sep-10 9-Sep-11 1000.00 93.99 6.7897 939.86
26 IN002010Z023 364 DTB 24-Sep-10 23-Sep-11 1000.00 93.87 6.6574 938.71
60
Market
Sr. Issue Maturity Outstanding Capitali-
ISIN No. Security Price Yield
No. Date Date (Rs. Crore) zation
(Rs. Crore)
TREASURY BILLS (DTB)
27 IN002010Y026 182 DTB 16-Apr-10 15-Oct-10 2000.00 99.74 6.3994 1994.75
28 IN002010Y026 182 DTB 30-Apr-10 29-Oct-10 2000.00 99.49 6.4989 1989.73
29 IN002010Y026 182 DTB 14-May-10 12-Nov-10 2000.00 99.25 6.4256 1984.97
30 IN002010Y026 182 DTB 28-May-10 26-Nov-10 2000.00 99.07 6.0073 1981.41
31 IN002010Y026 182 DTB 11-Jun-10 10-Dec-10 1000.00 98.84 6.0536 988.36
32 IN002010Y026 182 DTB 25-Jun-10 24-Dec-10 1000.00 98.60 6.1025 985.99
33 IN002010Y026 182 DTB 9-Jul-10 7-Jan-11 1800.00 98.34 6.2319 1770.08
34 IN002010Y026 182 DTB 23-Jul-10 21-Jan-11 1500.00 98.12 6.2003 1471.75
35 IN002010Y026 182 DTB 6-Aug-10 4-Feb-11 1500.00 97.77 6.5513 1466.57
36 IN002010Y026 182 DTB 20-Aug-10 18-Feb-11 2000.00 97.61 6.3446 1952.15
37 IN002010Y026 182 DTB 3-Sep-10 4-Mar-11 1500.00 97.38 6.3373 1460.69
38 IN002010Y026 182 DTB 17-Sep-10 18-Mar-11 1500.00 97.11 6.4277 1456.65
39 IN002010Y026 182 DTB 1-Oct-10 1-Apr-11 1500.00 96.83 6.5297 1452.45
40 IN002010X028 91 DTB 2-Jul-10 1-Oct-10 2500.00 99.98 7.3015 2499.50
41 IN002010X028 91 DTB 9-Jul-10 8-Oct-10 2500.00 99.85 6.8403 2496.26
42 IN002010X028 91 DTB 16-Jul-10 15-Oct-10 2500.00 99.73 6.6661 2493.17
43 IN002010X028 91 DTB 23-Jul-10 22-Oct-10 2500.00 99.64 5.9810 2491.02
44 IN002010X028 91 DTB 30-Jul-10 29-Oct-10 2854.10 99.53 5.9585 2840.65
45 IN002010X028 91 DTB 6-Aug-10 5-Nov-10 9875.00 99.39 6.2591 9814.41
46 IN002010X028 91 DTB 13-Aug-10 12-Nov-10 7550.00 99.30 5.9697 7497.27
47 IN002010X028 91 DTB 20-Aug-10 19-Nov-10 8000.00 99.05 6.9770 7924.26
48 IN002010X028 91 DTB 27-Aug-10 26-Nov-10 8000.00 99.07 6.0125 7925.58
49 IN002010X028 91 DTB 3-Sep-10 3-Dec-10 2500.00 98.90 6.3321 2472.55
50 IN002010X028 91 DTB 10-Sep-10 10-Dec-10 2500.00 98.85 5.9649 2471.33

51 IN002010X028 91 DTB 17-Sep-10 17-Dec-10 2500.00 98.67 6.2975 2466.80
52 IN002010X028 91 DTB 24-Sep-10 24-Dec-10 2500.00 98.61 6.0481 2465.28
53 IN002010X028 91 DTB 1-Oct-10 31-Dec-10 3500.00 98.46 6.1918 3446.22
123295.65 121272.12
Note: Prices in Bold are Last traded prices on September 29, 2010. Other prices are CCIL Model Prices.
61
TABLE 4: STATE DEVELOPMENT LOANS (SDLS)
State/Union Teritorry No. of Bonds Outstanding (` Crore) Wtd. Avg. Coupon (%)
Andhra Pradesh 80 57182.77 7.86
Arunachal Pradesh 36 673.46 7.72
Assam 42 10462.46 8.01
Bihar 38 16440.13 7.78
Chhattisgarh 19 2537.38 7.32
Goa 34 2409.86 7.82
Gujarat 55 38262.82 7.68
Haryana 35 12436.84 7.69
Himachal Pradesh 51 8629.26 7.68
Jammu & Kashmir 55 9639.16 8.10
Jharkhand 39 7869.23 7.72
Karnataka 38 22959.93 7.68
Kerala 64 25243.32 7.78
Madhya Pradesh 50 21210.08 7.72
Maharashtra 61 63098.61 7.75
Manipur 36 1766.93 7.66
Meghalaya 42 1625.60 7.82
Mizoram 37 1145.55 7.89
Nagaland 47 2855.60 7.88
Orissa 27 6420.02 7.27
Puducherry 6 1187.43 8.35
Punjab 59 24135.90 7.77
Rajasthan 70 32615.40 7.76
Sikkim 28 1235.44 7.78
Tamil Nadu 71 45922.06 7.81
Tr ipura 32 1483.07 7.67

Uttar Pradesh 64 62335.16 7.98
Uttrakhand 36 6930.40 7.48
West Bengal 73 65821.18 7.87
1325 554535.06
Note: Does not include Power Bonds
62
TABLE 5: OUTSTANDING - GOVERNMENT SECURITIES, TREASURY BILLS AND STATE DEVELOPMENT LOANS
Amount ` Crore Amount ` Crore
State State
Government Treasury Government Treasury
Month Development Month Development
Securities Bills Securities Bills
Loans Loans
Apr-05 901997.98 78347.59 218075.65 Jan-08 1408888.64 126951.13 276361.79
May-05 912527.77 82165.74 218375.65 Feb-08 1425466.64 123605.11 289973.52
Jun-05 929979.88 90331.59 225929.72 Mar-08 1434086.40 136139.95 302724.48
Jul-05 941979.88 83796.09 228320.37 Apr-08 1474383.32 139593.07 310302.66
Aug-05 944979.88 95621.69 228320.37 May-08 1475406.64 147979.97 307821.10
Sep-05 957497.26 103942.30 228570.37 Jun-08 1488021.91 132825.20 311085.20
Oct-05 932367.49 105231.80 232340.93 Jul-08 1502365.10 133659.95 313385.20
Nov-05 965451.90 101083.56 232340.93 Aug-08 1503865.10 134160.86 313885.20
Dec-05 973451.90 80417.30 232715.93 Sep-08 1516355.10 135751.52 315762.92
Jan-06 983451.90 72232.94 233077.07 Oct-08 1526056.63 141434.52 318774.92
Feb-06 997121.18 67298.85 234260.04 Nov-08 1548689.18 149632.01 319041.09
Mar-06 1018621.18 70905.72 237984.24 Dec-08 1585092.50 145070.40 327486.09
Apr-06 1020121.18 67072.91 239804.87 Jan-09 1620512.50 146566.95 338191.45
May-06 1029072.84 76150.24 240104.87 Feb-09 1675454.50 146762.02 356629.49
Jun-06 1043942.84 76537.87 240763.49 Mar-09 1706082.83 150273.80 369290.70
Jul-06 1051942.84 84100.94 240763.49 Apr-09 1715696.03 163472.50 414068.98
Aug-06 1063882.03 92801.37 242221.82 May-09 1763993.85 148275.25 414563.33
Sep-06 1072882.03 95251.47 243271.82 Jun-09 1801993.85 146874.80 421563.33
Oct-06 1091856.02 93358.52 243271.82 Jul-09 1852993.85 141338.92 427513.33
Nov-06 1103856.02 99852.39 243473.15 Aug-09 1888993.85 138854.64 437472.91
Dec-06 1123116.81 96859.85 245904.37 Sep-09 1945300.18 141887.94 452223.35
Jan-07 1127268.03 102420.08 247867.61 Oct-09 1975300.18 134980.94 465742.01
Feb-07 1154702.69 108913.26 247472.70 Nov-09 2004300.18 134014.74 476964.28

Mar-07 1181603.52 115473.69 251072.27 Dec-09 2030300.18 134764.74 489096.47
Apr-07 1193903.52 119965.64 254078.59 Jan-10 2029064.40 134753.74 496442.94
May-07 1200403.52 126189.40 250533.80 Feb-10 2033844.94 134660.14 509676.73
Jun-07 1225403.52 145981.76 252283.80 Mar-10 2033451.94 137466.34 517405.62
Jul-07 1251403.52 151565.34 255849.38 Apr-10 2082451.94 136489.04 521551.88
Aug-07 1295914.84 156379.61 253433.89 May-10 2107575.72 144488.54 529259.38
Sep-07 1317484.84 147411.54 256918.33 Jun-10 2140802.69 131988.54 534974.23
Oct-07 1362127.88 159450.17 259992.07 Jul-10 2148674.69 116883.22 540925.06
Nov-07 1382506.38 146252.36 262886.53 Aug-10 2197931.41 122828.95 547425.91
Dec-07 1389507.17 126327.36 268186.53 Sep-10 2242681.41 123295.65 554535.06
Note: Data on SDLs does not include Power Bonds
63
CCIL INDICES
TABLE 6: COMPOSITION OF CCIL BROAD INDEX
Sr.
Security
No.
1 7.80% G.S. 2020*
2 8.13% G.S. 2022*
3 7.17% G.S. 2015*
4 7.46% G.S. 2017*
5 8.26% G.S. 2027*
6 7.27% G.S. 2013
7 7.40% G.S. 2012
8 7.02% G.S. 2016
9 7.38% G.S. 2015
10 8.20% G.S. 2022
11 8.32% G.S. 2032
12 8.30% G.S. 2040
13 6.85% G.S. 2012
14 6.72% G.S. 2014
15 9.40% G.S. 2012
16 7.32% G.S. 2014
17 8.24% G.S. 2027
18 6.35% G.S. 2020
19 9.81% G.S.. 2013
20 6.07% G.S. 2014
* COMPOSITION OF CCIL LIQUID INDEX
CHART 1 : MOVEMENT OF CCIL BOND INDICES (JAN'04 - SEP'10)

1100 1500
1050
1400
1000
1300
950
TRI
900 1200
PRI
850
1100
800
1000
750
700 900
Dec-03
Mar-05
May-06
Dec-07
May-08
Dec-09
May-10
May-04
Dec-05
Mar-07
Oct-04
Oct-06
Jul-07
Oct-08
Feb-09
Jul-09
Sep-10
Aug-05
CCIL BROAD PRI CCIL LIQUID PRI CCIL BROAD TRI CCIL LIQUID TRI
64
CHART 2: MOVEMENT OF CCIL T-BILL INDEX (JAN'04 - SEP'10)
130
125
120
115
110
105
100
Dec-06
Dec-09
May-04
Sep-04
Feb-05
Nov-05
Sep-07
Feb-08
Nov-08
May-10
Sep-10
Mar-06
May-07
Mar-09
Jan-04
Aug-06
Aug-09
Jun-05
Jun-08
CCIL Liquidity Weight Index CCIL Equal Weight Index
CHART 3: MOVEMENT OF CCIL ALL SOVEREIGN BONDS INDEX (JAN'04 - SEP'10)
1050 1350
1000 1300
1250
950
1200
900 1150
PRI
TRI
850 1100
1050
800

1000
750 950
700 900
Dec-03
Dec-06
Dec-09
Nov-05
Sep-07
Nov-08
Apr-10
May-04
Sep-04
Feb-05
Mar-06
May-07
Feb-08
Mar-09
Sep-10
Aug-06
Aug-09
Jun-05
Jun-08
CASBI PRI CASBI TRI
65
CHART 4A: MOVEMENT OF CCIL TENOR INDEX PRI (JAN'04 - SEP'10)
1050
1000
950
900
PRI
850
800
750
700
650
Dec-06
Dec-09
Dec-03
May-04
Feb-05
Mar-06
Feb-08
Nov-08
Sep-04
Nov-05
May-07
Sep-07
Mar-09
Apr-10
Sep-10
Aug-06
Aug-09
Jun-05
Jun-08
Upto 5 Years 5-10 Years 10-15 Years 15-20 Years 20-30 Years
CHART4B: MOVEMENT OF CCIL TENOR INDEX TRI (JAN'04 - SEP'10)

1450
1375
1300
1225
TRI
1150
1075
1000
925
850
Mar-06
Dec-03
May-04
Nov-05
Dec-06
May-07
Nov-08
Mar-09
Dec-09
Sep-04
Feb-05
Jun-05
Sep-07
Feb-08
Apr-10
Sep-10
Jun-08
Aug-06
Aug-09
Upto 5 Years 5-10 Years 10-15 Years 15-20 Years 20-30 Years
CHART 5: MOVEMENT OF SDL INDEX (JAN'07 - SEP'10)

1150 1300
1100 1250
1200
1050
1150
PRI
TRI
1000
1100
950
1050
900 1000
850 950
Aug-07
Apr-08
Aug-09
Apr-10
Jun-07
Feb-08
Jul-08
Oct-08
Jul-10
Sep-10
Jan-07
Nov-07
Dec-08
Nov-09
Jan-10
May-09
Mar-07
Mar-09
CCIL SDL PRI CCIL SDL TRI
66
10
20
30
40
50
60
70
0
0
4
8
12
16
20
24
28
Sep-06 Jan-04
Dec-06 May-04
Mar-07 Sep-04
Jun-07 Feb-05
Aug-07 Jun-05
Nov-05
Nov-07
Mar-06
Feb-08
Aug-06
May-08
Dec-06
Jul-08
May-07
Oct-08
Sep-07
Jan-09
CCBOR 10.00 A.M.
CHART 7: MOVEMENT OF CCIL MIBOR (SEP'06 - SEP'10) Feb-08

CHART 6: MOVEMENT OF CCIL CCBOR (JAN'04 - SEP'10)
Apr-09
CCIL MIBOR (10.00 A.M.)

Jun-08
Jul-09
Nov-08
Sep-09
Mar-09
Dec-09
Aug-09
Mar-10 Dec-09
Jun-10 May-10
Sep-10 Sep-10
67
55
TABLE 7: PERFORMANCE OF CCIL INDICES AS AT END OF SEPTEMBER 2010
CCIL Indices One Month Three Months Six Months Year
Bond Index Broad TRI 0.6257 0.6474 1.8806 4.0918
Bond Index Broad PRI 0.2183 -1.0220 -1.3247 -2.2906
Bond Index Liquid TRI 0.9382 0.6893 2.1240 3.9701
Bond Index Liquid PRI 0.5388 -1.0248 -0.9528 -2.1094
CASBI TRI 0.6513 0.6029 1.8586 3.9401
CASBI PRI 0.2600 -1.0980 -1.3345 -2.4505
Tenor Index (upto 5 yrs) TRI 0.2715 0.4276 1.4837 3.7803
Tenor Index (upto 5 yrs) PRI -0.2467 -1.2970 -1.7526 -2.4532
Tenor Index (5 - 10 yrs) TRI 0.5952 0.3881 1.6034 3.0402
Tenor Index (5 - 10 yrs) PRI 0.1928 -1.3595 -1.6206 -3.4633
Tenor Index ( 15 - 20 yrs) TRI 0.7754 0.8932 2.7685 5.7090
CCIL Liquidity Weight T -Bill Index 0.2773 0.8395 1.3601 2.4935
CCIL Equal Weight T-Bill Index 0.2658 0.6522 1.0005 2.1974
CCIL SDL Index TRI 0.8788 0.6154 3.1076 6.4378
CCIL SDL Index PRI 0.4680 -1.2364 -0.2331 -0.2606
68
(%)
2-
Ju (%)
4.25
4.50
4.75
5.00
5.25
5.50
5.75
6.00
6.25
6.50
6.75
l-1
0
10 2-
-J u Ju
4.50
4.75
5.00
5.25
5.50
5.75
6.00
6.25
6.50
6.75
7.00
7.25
l-1
l-1
0 0
10
18 -J u
-J u l-1
l-1 0
0 18
26 -J u
l-1
-J u
l-1 0
0 26
-J u
3- l-1
Au 0
g- 3-
10 Au
11 g-
-A 10
RepoRate
11
CallRate
ug -A
-1
0 ug
-1
19 0
-A 19
ug -A
-1 Mean
Mean
ug
0 -1
0
27 27
-A -A
ug ug
-1 -1
0 0
1SD+
TECHNICAL ANALYSIS
1SD+
4- 4-
Se Se
p- p-
10 10
12
1SD-
12 -S
-S ep
ep -1
1SD-
-1 0
0 20
20 -S
ep
CHART 8: CALL RATE MOVEMENT - (JUL'10 TO SEP'10)
-S -1
CHART 9: REPO RATE MOVEMENT - (JUL'10 TO SEP'10)
ep 0
-1 28
0 -S
28 ep
-S -1
ep 0
-1
0
69
70
Exchange Rate (Rs./US$)

(%) (%)
2-
1- Ju
4.00
4.30
4.60
4.90
5.20
5.50
5.80
6.10
Ju l-1
0
44.50
45.00
45.50
46.00
46.50
47.00
47.50
l-1 1-
6- 0 Ju
7.5000
7.6000
7.7000
7.8000
7.9000
8.0000
8.1000
Ju l-1 10
l- 6- 0 -J u
11 10 Ju l-1
-J u l- 0
l- 11 10
-Ju 18
16 10 l -J u
-J u 16 -10 l-1
l- -Ju 0
21 10 l-
-J u 21 10 26
l- -Ju -J u
26 10 l- l-1
-J u 26 10 0
l- -Ju
31 10 l 3-
Au
31 -10
CBLORate
-J u g-
USD
-Ju
l l- 10
5- -10
Yield
5 - 10
Au A 11
u -A
10 g-10 10 g -10 ug
-A -A -1
0
Mean
u u
15 g-1 0 15 g-10 19
-A -A
Average
-A u
Mean
u 20 g-10
ug
-1
20 g-1 -A 0
-A 0 u 27
u
1SD+
25 g-1 -A
25 g-1 0 -A 0 ug
-A u -1
0
1SD+
u
1SD+
30 g-10
30 g-1 0 -A
-A ug 4-
Se
1SD-
ug 4 - -10 p-
- Se 10
4- 1 0 p-
Se 12
1SD-
1SD-
p- 9- 10 -S
Se
9- 10 p ep
14 -10 -1
Se
p -S 0
14 -10 ep 20
-S 19 -10 -S
ep -S ep
ep -1
0
CHART 10: CBLO RATE MOVEMENT - (JUL'10 TO SEP'10)
19 -10 24 -10
-S -S
ep 28
CHART 11: 10-YEAR YIELD MOVEMENT - (JUL'10 TO SEP'10)
ep -S
CHART 12: EXCHANGE RATE MOVEMENT - (JUL'10 TO SEP'10)

24 -10 29 -10 ep
-S -S -1
ep ep 0
-1
29 -10
-S 0
ep
-1
0
PRIMARY MARKET ACTIVITY
TABLE: 8
SECURITIES & MONEY MARKET (PRIMARY): COMPARATIVE DATA
2010-11 2009-10 2009-10
(upto September (upto September
2010) 2009)
Dated Securities
GOI Borrowing
Total no of Issues (including reissues) 71 69 108
Gross Amount Borrowed Excluding MSS (F.V ` Crore) 284000.00 295000.00 418000.00
Weighted Average Maturity (years) 11.26 10.95 11.17
Weighted Average Yield (%) 7.78 7.08 7.23
Devolvements on PDs(F.V ` Crore) 3563.05 605.03 7219.20

Private Placements on RBI (F.V ` Crore) - - -
Redemption (F.V ` Crore) 102105.62 85960.93 146487.02
Net Borrowings(F.V ` Crore) 199333.68 225374.16 313010.12
364-Day T-Bill Borrowing (F.V ` Crore) 17439.30 16335.09 41497.14
Total Borrowing (F.V Rs Crore) 301439.30 311335.09 459497.14
Budgeted Borrowing (F.V ` Crore) 457143.06 451093.25 451093.25
% Completed of Total Borrowing 65.94 69.02 101.86
Borrowing Under MSS

Total Outstanding (F.V. ` Crore) 0.00 18773.00 2737.00
MSS Ceiling (F.V. ` Crore) 50000.00 50000.00 50000.00
Outstanding as percent of Ceiling (%) 0.00 37.55 5.47
Purchases Under OMO

Dated Securities purchased under OMO 0 47 47
Amount of OMO dated securities purchased (F.V. ` Crore) 0.00 57486.83 57486.83
Buybacks
Auctions (F.V. ` Crore) 9113.50 - 9113.50
NDS-OM (F.V. ` Crore) 500.00 - 500.00

Cash Management Bill
Amount (F.V ` Crore) 12000.00 - -
Weighted Average Cut -off (%) 3.90 - -
91 Day Treasury Bills

Amount (F.V ` Crore) 124779.10 158500.00 301503.00
Weighted Average Cut -off (%) 5.18 3.41 3.56
182 Day Treasury Bills

Amount (F.V ` Crore) 21300.00 21375.00 42875.00
364 Day Treasury Bill

Amount (F.V ` Crore) 17439.30 16335.09 41497.14
Benchmark Rates
Bank Rate(% p.a)(Effective Date) 6.00 (29-04-03) 6.00 (29-04-03) 6.00 (29-04-03)
CRR Rate (% p.a.)(Effective Date) 6.00 (24-04-10) 5.00 (17-01-09) 5.75 (27-02-10)
Reverse Repo Rate(%)(Effective Date) 5.00 (16-09-10) 3.25 (21-04-09) 3.50 (19-03-10)
Repo Rate (%) (Effective Date) 6.00 (16-09-10) 4.75 (21-04-09) 5.00 (19-03-10)
Call Money Range(%) 3.71 - 7.04 2.99 - 4.36 1.68 - 4.91
71
TABLE 9: AUCTION SUMMARY - 2010-11 Amount ` Crore
Normal Auction
Month
Dated Securities CMB 91-Day T-Bills 182-Day T-Bills 364-Day T-Bills
April-10 49000 0 28000 4000 4025
May-10 52000 12000 28000 4000 4000
June-10 50000 0 11500 2000 3351
July-10 50000 0 10354 3300 2000
August-10 49000 0 33425 3500 2063
September-10 34000 0 13500 4500 2000
2010-11 284000 12000 124779 21300 17439
Note No MSS auctions during the year.
CHART 13: PRIMARY ACTIVITY IN GOVERNMENT SECURITIES MARKET
90000
70000
50000
(Amount Rs. Crore)
30000
10000
-10000
Sep-06
Jan-07
Sep-10
Nov-06
Sep-07
Nov-07
Jan-08
Sep-08
Nov-08
Jan-09
Sep-09
Nov-09
Jan-10
May-06
May-07
Jul-07
May-08
May-09
Jul-06
Jul-08
Jul-09
May-10
Jul-10
Mar-07
Mar-08
Mar-09
Mar-10
-30000
-50000
-70000
-90000
Borrowing Redemption
CHART 14: RBI PURCHASE/SALE OF USD
15000
10000
(Amount in USD Million)
5000
0
Oct-07
Oct-08
Oct-09
Oct-06
Apr-06
Apr-07
Apr-08
Apr-09
Apr-10
Jan-07
Jan-08
Jan-09
Jan-10
Jul-06
Jul-07
Jul-08
Jul-09
Jul-10
-5000
-10000
-15000
-20000
-25000 Month
Purchase Sale
72
STATISTICS
TABLE 10: CCIL SETTLEMENT VOLUMES Amount ` Crore
Outright Repo Forex* CBLO**

Settlement Volume Avg. Vol
Period No of Avg. Avg. No of Avg. Avg. No of Avg. No of Avg. Avg.
Volume Volume (USD (USD Volume
trades Trades Vol trades Trades Vol trades Trades trades Trades Vol
Million) Million)
2002-03 191843 1076147 646 3623 11672 468229 39 1577 100232 136102 1101 1496 159 852 3 16
2003-04 243585 1575133 820 5303 20927 943189 71 3208 330517 501342 1425 2161 3060 76851 10 262
2004-05 160682 1134222 550 3884 24364 1557907 83 5335 466327 899782 1976 3813 29351 976790 101 3345
2005-06 125509 864751 467 3215 25673 1694509 88 5803 489649 1179688 2084 5020 67463 2953134 229 10045
2006-07 137100 1021536 562 4187 29008 2556501 99 8755 606808 1776981 2550 7466 85881 4732271 292 16096
2007-08 188843 1653851 765 6696 26612 3948751 91 13523 757074 3133665 3181 13167 113277 8110828 385 27588
2008-09 245964 2160233 1047 9192 24280 4094286 85 14266 837520 3758904 3657 16414 118941 8824784 414 30748
2009-10 316956 2913890 1332 12243 28651 6072829 101 21308 883949 2988971 3843 12996 142052 15541378 498 54531
Apr-10 26566 269331 1398 14175 2257 467332 98 20319 88492 311594 4657 16400 11807 1170497 513 50891
May-10 45586 418093 2279 20905 2357 422637 98 17610 94827 316783 4991 16673 10958 1014579 457 42274
Jun-10 38869 348132 1767 15824 1956 246496 75 9481 106054 350142 4821 15916 11907 808928 458 31113
Jul-10 24697 231917 1176 11044 2390 312297 92 12011 91778 308188 4370 14676 11156 756653 429 29102
Aug-10 31101 282295 1481 13443 2134 388768 85 15551 89272 346491 4251 16500 13508 1129515 540 45181
Sep-10 28977 250498 1449 12525 2244 364877 98 15864 91385 326124 4810 17164 13004 1224126 565 53223
2010-11 (Upto
195796 1800265 1592 14636 13338 2202408 91 14982 561808 1959321 4643 16193 72340 6104299 492 41526
September 2010)
*Commenced operations from November 12, 2002, Cash and Tom settlement is with effect from February 5, 2004.
** Commenced operations from January 20, 2003

73
TABLE 11: CATEGORYWISE BUYING ACTIVITY Market Share (%)
Reverse CBLO NDS-Call
Outright Forex IRS-MIBOR IRS-MIFOR
Repo Lending Lending
Co-operative Banks 2.75 0.20 0.53 4.81 0.15 - -
Financial Institutions 0.21 0.71 0.51 - 0.02 - -
Foreign Banks 41.12 10.87 1.73 9.65 57.67 78.17 95.87
Insurance Companies 1.32 6.39 12.50 - - - -
Mutual Funds 8.43 71.66 75.51 - - - -
Other Corporates 0.79 0.10 1.61 - - - -
Primary Dealers 16.42 0.11 0.03 0.01 - 8.09 0.00
Private Sector Banks 11.08 6.87 1.61 5.29 17.51 13.10 4.13
Public Sector Banks 17.89 3.09 5.97 80.24 24.65 0.64 0.00
TABLE 12: CATEGORYWISE SELLING ACTIVITY Market Share (%)

CBLO NDS-Call
Outright Repo Forex IRS-MIBOR IRS-MIFOR
Borrowing Borrowing
Co-operative Banks 2.81 0.08 2.69 0.11 0.15 - -
Financial Institutions 0.34 0.00 2.93 - 0.02 - -
Foreign Banks 42.96 43.91 19.65 37.87 59.69 79.17 85.85
Insurance Companies 1.15 0.00 0.01 - - - -
Mutual Funds 7.22 0.00 0.45 - - - -
Other Corporates 0.06 0.00 8.33 - - - -
Primary Dealers 20.40 24.80 3.76 12.84 - 7.83 0.00
74
GOVERNMENT SECURITIES MARKET
SETTLEMENT ANALYSIS
NUMBER OF PARTICIPANTS: 164
TABLE 13: SETTLEMENT VOLUMES: TRADE TYPE percent
Outright Repo
Settlement Period Proprietary Constituent Proprietary Constituent
Trades Volume Trades Volume Trades Volume Trades Volume
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
Apr-10 90.94 91.42 9.06 8.58 83.52 92.06 16.48 7.94
May-10 92.34 92.54 7.66 7.46 82.73 91.34 17.27 8.66
Jun-10 91.83 92.81 8.17 7.19 75.82 84.99 24.18 15.01
Jul-10 88.35 89.42 11.65 10.58 79.54 89.21 20.46 10.79
Aug-10 89.67 91.32 10.33 8.68 80.41 91.16 19.59 8.84
Sep-10 89.61 90.53 10.39 9.47 78.70 89.75 21.30 10.25
2010-11 (Upto
90.72 91.55 9.28 8.45 80.23 90.18 19.77 9.82
September 2010)
CHART 15: BUSINESS GROWTH

700000
600000
Volumes (F.V. ` Crore)
500000
400000
300000
200000
100000
0
Dec-08
Dec-04
Oct-06
Oct-09
Feb-04
Apr-10
Apr-03
Sep-03
Nov-05
Apr-06
Mar-07
May-09
Sep-10
Aug-07
Jan-08
Jun-05
Jul-04
Jul-08
Outright Repo
75
TABLE 14: DEAL SIZE ANALYSIS percent
< 5 Cr 5 Cr > 5 Cr <=10 Cr >10 Cr<=20 Cr > 20 Cr
Settlement % to % to % to % to % to % to % to % to % to % to
Period total total total total total total total total total total
trades value trades value trades value trades value trades value
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
Apr-10 4.84 0.52 64.31 31.72 17.62 17.32 3.95 6.52 9.28 43.92
May-10 3.45 0.43 65.25 35.57 19.32 21.05 4.35 8.05 7.63 34.89
Jun-10 4.15 0.49 64.12 35.79 20.13 22.44 4.47 8.48 7.14 32.80
Jul-10 6.21 0.62 60.57 32.25 19.46 20.68 4.58 8.25 9.19 38.20
Aug-10 5.90 0.62 62.27 34.30 19.38 21.30 4.27 7.94 8.19 35.83
Sep-10 5.03 0.61 65.43 37.85 18.05 20.82 3.97 7.72 7.52 33.00
2010-11 (Upto
4.75 0.53 63.86 34.73 19.09 20.72 4.28 7.87 8.02 36.15
September 2010)
INSTRUMENTWISE SETTLEMENT VOLUME

TABLE 15: INSTRUMENT WISE BREAKUP OF OUTRIGHT TRADES Amount ` Crore
Cen. Govt. Dated Securities Treasury Bills State Govt

Settlement Period Avg. Avg. Avg.
Volumes % Share Volumes % Share Volumes % Share
Volumes Volumes Volumes
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
Apr-10 208456 10971 77.40 53671 2825 19.93 7204 379 2.67
May-10 371385 18569 88.83 41322 2066 9.88 5387 269 1.29
Jun-10 315391 14336 90.60 27214 1237 7.82 5526 251 1.59
Jul-10 207742 9892 89.58 22106 1053 9.53 2069 99 0.89
Aug-10 259473 12356 91.92 20207 962 7.16 2616 125 0.93
Sep-10 231393 11570 92.37 16456 823 6.57 2649 132 1.06
2010-11 (Upto
1593839 12958 88.53 180975 1471 10.05 25451 207 1.41
September 2010)
76
TENOR WISE ACTIVITY
TABLE 16: TENOR WISE SETTLEMENT VOLUME OF CENTRAL GOVERNMENT DATED SECURITIES Amount ` Crore
2002 - 03 2003 - 04 2004 - 05 2005 - 06 2006 - 07 2007 - 08 2008-09 2009 - 10 2010-11

Year
Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent
2003 4143 0.40 908 0.06 - - - - - - - - - - - - - -
2004 18834 1.82 19121 1.31 355 0.04 - - - - - - - - - - - -
2005 4516 0.44 11515 0.79 20670 2.40 588 0.09 - - - - - - - - - -
2006 3348 0.32 7140 0.49 17333 2.01 13402 2.04 1788 0.20 - - - - - - - -
2007 5208 0.50 7447 0.51 11540 1.34 15475 2.35 13696 1.55 945 0.06 - - - - - -
2008 36997 3.58 39792 2.73 17615 2.04 13516 2.06 12721 1.44 4554 0.31 34 0.00 - - - -
2009 28970 2.81 46326 3.18 46812 5.43 17366 2.64 25016 2.83 167818 11.43 83527 4.27 10558 0.43 - -
2010 53051 5.14 61320 4.20 89679 10.39 82553 12.56 25661 2.91 92287 6.29 68353 3.50 83959 3.38 15050 0.94
2011 163569 15.85 109046 7.48 59344 6.88 30881 4.70 127894 14.48 17120 1.17 38961 1.99 79534 3.21 23359 1.47
2012 221073 21.42 175576 12.04 40247 4.66 53845 8.19 37727 4.27 8167 0.56 20281 1.04 72980 2.94 46292 2.90
2013 95092 9.21 109775 7.53 18371 2.13 42571 6.48 5172 0.59 43855 2.99 37453 1.92 38992 1.57 27246 1.71
2014 4574 0.44 80334 5.51 52120 6.04 84073 12.79 54025 6.12 21868 1.49 131967 6.75 253953 10.24 17696 1.11
2015 81468 7.89 83088 5.70 218628 25.34 9080 1.38 13742 1.56 51311 3.50 34802 1.78 133507 5.38 129242 8.11
2016 30709 2.98 12883 0.88 17828 2.07 1712 0.26 288462 32.66 14681 1.00 31885 1.63 339902 13.70 128352 8.05
2017 182150 17.65 376651 25.82 143535 16.64 148515 22.60 156276 17.69 689901 47.01 114152 5.84 25934 1.05 30763 1.93
2018 5281 0.51 101501 6.96 32204 3.73 9091 1.38 1267 0.14 1241 0.08 835919 42.75 3800 0.15 588 0.04
2019 10225 0.99 57441 3.94 19353 2.24 1164 0.18 791 0.09 469 0.03 47632 2.44 617767 24.90 1863 0.12
2020 650 0.06 54650 3.75 14944 1.73 642 0.10 841 0.10 132 0.01 412 0.02 478059 19.27 696159 43.68
2021 23115 2.24 6658 0.46 1488 0.17 93406 14.21 32137 3.64 8326 0.57 72525 3.71 121981 4.92 482 0.03
2022 28641 2.77 38731 2.66 12404 1.44 7409 1.13 4609 0.52 85432 5.82 30575 1.56 35552 1.43 410073 25.73
2023 - - 34674 2.38 11484 1.33 682 0.10 653 0.07 9856 0.67 44389 2.27 13195 0.53 1974 0.12
2024 - - - - - - - - 61 0.01 10058 0.69 21144 1.08 30845 1.24 4081 0.26
2025 - - - - - - - - - - 2419 0.16 25405 1.30 7333 0.30 92 0.01
2026 22939 2.22 3245 0.22 717 0.08 501 0.08 38 0.00 3265 0.22 14453 0.74 19750 0.80 5129 0.32
2027 - - - - - - - - 380 0.04 9849 0.67 58074 2.97 58354 2.35 31630 1.98
2028 - - 16592 1.14 8430 0.98 577 0.09 572 0.06 479 0.03 719 0.04 160 0.01 124 0.01
2032 7632 0.74 4251 0.29 2588 0.30 2306 0.35 2373 0.27 36162 2.46 150727 7.71 15321 0.62 17341 1.09
2034 - - - - 5132 0.59 11113 1.69 36895 4.18 246 0.02 14692 0.75 21224 0.86 692 0.04
2035 - - - - - - 16746 2.55 739 0.08 123 0.01 5011 0.26 6328 0.26 115 0.01
2036 - - - - - - - - 39712 4.50 187143 12.75 60008 3.07 2487 0.10 312 0.02
2039 - - - - - - - - - - - - 12314 0.63 9377 0.38 72 0.00
2040 - - - - - - - - - - - - - - - - 5114 0.32
Total 1032185 100.00 1458665 100.00 862820 100.00 657213 100.00 883248 100.00 1467704 100.00 1955412 100.00 2480850 100.00 1593841 100.00

77
CHART 16: TENORWISE ANALYSIS - SEPTEMBER 2010
50 47
45
40
Market Share (%)

35
28
30
25
20
12
15
10
4
3 2
5 1 1 1 1
0
2020
2015
2027
2040
2013
2022
2017
2012
2016
2011
Tenor
CHART 17: CATEGORY WISE ANALYSIS OF OUTRIGHT - TRADES NDS AND NDS - OM
CATEGORY WISE ANALYSIS OF OUTRIGHT TRADES
NDS AND NDS - OM
FIs & Ins.Cos
1.51% (1.93%)
Cooperative Banks
2.78% (2.25%) Others 0.42% (0.89%)
Mutual Funds Primary Dealers

7.82% (7.93%) 18.41% (17.35%)
Foreign Banks Public Sector Banks

42.04% (39.47%) 14.82% (13.66%)
Private Sector Bank
12.19% (16.52%)
* Figures in bracket relate to previous month
TABLE 17: INTER-CATEGORY WISE NDS REPORTED OUTRIGHT TRADES - CENTRAL GOVERNMENT SECURITIES (BUY)
SELLER
Market
BUYER Private Public Co- Market
Foreign Primary Mutual Ins. Share (%)
Sector Sector operativ Others FIs Share
Banks Dealers Funds Cos (Previous
Banks Banks e Banks (%)
Month)
Foreign Banks 52.67 16.38 11.56 14.43 3.92 0.86 0.13 0.06 0.00 42.32 33.40
Private Sector Banks 36.11 16.74 4.62 37.54 0.61 0.26 3.79 0.35 0.00 15.58 25.30
Public Sector Banks 58.66 18.24 1.36 17.08 3.43 0.45 0.78 0.00 0.00 14.93 11.53
Primary Dealers 43.50 34.26 6.76 9.88 3.18 0.51 1.29 0.62 0.00 13.12 11.01
Mutual Funds 53.38 15.54 5.12 25.13 0.33 0.50 0.00 0.00 0.00 8.15 9.56
Ins. Cos 37.45 17.28 14.40 25.10 5.28 0.00 0.48 0.01 0.00 2.81 3.10
Co-operative Banks 3.71 29.26 2.25 17.17 0.75 0.00 42.37 4.50 0.00 1.80 2.06
Others 33.69 13.04 4.22 40.85 0.00 0.07 6.01 2.11 0.00 1.28 4.04
FIs 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00
78
54
TABLE 18: INTER-CATEGORY WISE NDS REPORTED OUTRIGHT TRADES -
CENTRAL GOVERNMENT SECURITIES (SELL)
BUYER
Market
SELLER Private Public Co- Market
Sector Sector operative Others FIs Share
Banks Banks Banks (%)
Month)
Foreign Banks 46.17 11.82 11.65 18.14 9.01 0.14 2.18 0.89 0.00 48.28 35.00
Primary Dealers 31.48 6.68 30.15 13.15 10.56 1.59 3.63 2.69 0.07 19.40 23.84
Mutual Funds 57.75 14.55 3.29 17.84 0.94 0.47 5.16 0.00 0.00 2.87 6.92
Ins. Cos 62.69 11.61 6.97 11.61 6.97 0.00 0.00 0.16 0.00 0.58 1.09
Others 9.97 30.11 19.94 0.00 0.00 29.91 0.11 9.97 0.00 0.27 1.57
FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
TABLE 19: INTER-CATEGORY WISE NDS REPORTED OUTRIGHT TRADES - TREASURY BILLS (BUY)
SELLER
Market
BUYER Public Private Co- Market
Foreign Mutual Primary Ins. Share (%)
Sector Sector operative Others FIs Share
Banks Funds Dealers Cos (Previous
Month)
Foreign Banks 51.30 6.68 2.63 23.90 5.89 9.58 0.02 0.00 0.00 48.90 43.05
Mutual Funds 35.13 19.25 0.00 10.52 0.00 35.10 0.00 0.00 0.00 5.51 4.86
Primary Dealers 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.08 6.84
Ins. Cos 1.20 34.41 0.00 55.79 0.00 0.00 8.60 0.00 0.00 2.69 12.06

Others 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.12 0.00
FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
TABLE 20: INTER-CATEGORY WISE NDS REPORTED OUTRIGHT TRADES - TREASURY BILLS (SELL)
BUYER
Market
SELLER Public Private Co- Market
Primary Foreign Ins. Mutual Share (%)
Sector Sector operative FIs Others Share
Dealers Banks Cos Funds (Previous
Month)
Primary Dealers 0.00 28.59 61.59 2.97 3.67 1.42 1.46 0.00 0.29 40.88 54.56
Foreign Banks 13.88 68.59 9.75 2.40 0.09 5.29 0.00 0.00 0.00 36.57 27.24
Ins. Cos 0.00 80.12 19.88 0.00 0.00 0.00 0.00 0.00 0.00 3.59 0.40
Mutual Funds 0.00 41.00 59.00 0.00 0.00 0.00 0.00 0.00 0.00 3.14 1.74
FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Others 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
79
NETTING FACTOR
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.
TABLE 21: NETTING FACTOR: FUNDS Amount ` Crore

Settlement Period Gross Net Netting Factor(%)
2002-03 2324017 653519 71.88
2003-04 4038385 979592 75.74
2004-05 4582506 1037355 77.36
2005-06 4460523 905062 79.71
2006-07 6275182 968185 84.57
2007-08 9646481 1596638 83.45
2008-09 10756665 1674892 84.43
2009-10 15502457 2642001 82.96
Apr-10 1218304 274818 77.44
May-10 1297530 238542 81.62
Jun-10 867348 181848 79.03
Jul-10 855256 187639 78.06
Aug-10 1086028 224703 79.31
Sep-10 1002951 228126 77.25
2010-11 (Upto September 2010) 6327417 1335676 78.89
TABLE 22: NETTING FACTOR: SECURITIES Amount ` Crore

Settlement Period Gross Net Netting Factor(%)
2004-05 4250539.89 2462555.71 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
Apr-10 1202038 587054 51.16
May-10 1264737 556812 55.97
Jun-10 845358 358843 57.55
Jul-10 836700 365791 56.28
Aug-10 1068795 436446 59.16
Sep-10 990688 431846 56.41
2010-11 (Upto September 2010) 6208316 2736791 55.92
Note: DvP III was introduced since April 2, 2004.
80
TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH
Days Volume Percent Market Average Daily Average Daily
No. of Volume for Percent
traded settled in last share in Capitali- Trading Value Trading Value in
Sr. Maturity Trades September - share in Turnover
Security (in last 12 months last 12 zation (FV in last 12 September -
No. Date (September, 2010 (FV in (September Ratio*
12 (FV in ` months in ` months (FV in 2010 (FV in
months) Crore) volume
2010) ` Crore) 2010)
Crore) ` Crore) ` Crore)
1 7.80% G.S. 2020 03-May-20 108 632732 23.69 13068 115530 46.35 47875.39 1321.62 5858.63 5501.43
2 8.13% G.S. 2022 21-Sep-22 83 109310 4.09 6179 46431 18.63 16686.31 655.09 1316.99 2321.55
3 7.17% G.S. 2015 14-Jun-15 76 85216 3.19 3150 29150 11.69 34300.70 248.44 1121.26 1388.10
4 8.08% G.S. 2022 02-Aug-22 26 20769 0.78 3070 21899 8.79 12064.51 172.15 798.81 1152.58
5 8.26% G.S. 2027 02-Aug-27 142 29171 1.09 1502 7648 3.07 32407.71 90.01 205.43 364.19
6 7.46% G.S. 2017 28-Aug-17 134 27598 1.03 799 6496 2.61 56682.58 48.69 205.96 309.33
7 7.99% G.S. 2017 09-Jul-17 48 6973 0.26 384 4517 1.81 39405.33 17.70 145.27 1129.25
8 7.40% G.S. 2012 03-May-12 231 69069 2.59 145 2301 0.92 33208.36 207.99 299.00 127.83
9 8.30% G.S. 2040 02-Jul-40 54 5114 0.19 239 1738 0.70 12967.50 39.44 94.70 86.90
10 6.90% OMC SB 2026 04-Feb-26 45 3447 0.13 97 1543 0.62 19206.14 17.95 76.60 192.88
11 7.27% G.S. 2013 03-Sep-13 200 33177 1.24 94 1505 0.60 46070.75 72.01 165.89 94.06
12 6.85% G.S. 2012 05-Apr-12 147 13238 0.50 47 1425 0.57 25944.39 51.02 90.05 109.62
13 7.02% G.S. 2016 17-Aug-16 238 329145 12.33 157 1330 0.53 57764.40 569.81 1382.96 70.00
14 9.39% G.S. 2011 02-Jul-11 166 27603 1.03 24 905 0.36 37765.09 73.09 166.28 113.13
15 8.20% G.S. 2022 15-Feb-22 156 281322 10.53 107 900 0.36 58252.86 482.93 1803.35 52.94
16 7.32% G.S. 2014 20-Oct-14 160 32434 1.21 24 695 0.28 17900.49 181.19 202.71 115.83
17 9.40% G.S. 2012 11-Sep-12 55 5358 0.20 8 665 0.27 11460.92 46.75 97.42 221.67
18 8.00% G.S. 2011 27-Apr-11 27 1636 0.06 5 600 0.24 1485.73 110.11 60.59 200.00
19 9.85% G.S. 2015 16-Oct-15 16 541 0.02 10 363 0.15 10912.58 4.96 33.81 90.75
20 6.35% G.S. 2020 02-Jan-20 218 459162 17.19 39 264 0.11 54670.57 839.87 2106.25 20.31
21 7% OMC SB 2012 09-Sep-12 16 540 0.02 9 245 0.10 5736.80 9.41 33.75 35.00
22 7.59% OMC SB 2015 23-Mar-15 10 318 0.01 7 210 0.08 1739.43 18.28 31.80 42.00
23 6.90% G.S. 2019 13-Jul-19 166 267645 10.02 10 210 0.08 42120.00 635.43 1612.32 42.00
24 10.71% G.S. 2016 19-Apr-16 4 210 0.01 9 205 0.08 10123.10 2.07 52.50 102.50
25 8.32% G.S. 2032 02-Aug-32 89 5182 0.19 56 200 0.08 15427.98 33.59 58.22 12.50
26 8.20% OMC SB 2024 15-Sep-24 146 6212 0.23 42 195 0.08 10203.53 60.88 42.55 12.19

81
82

2010) ` Crore) 2010)
months) Crore) volume Crore) ` Crore) ` Crore)
27 8.24% G.S. 2027 15-Feb-27 198 21820 0.82 21 165 0.07 57201.58 38.15 110.20 20.63
28 8.28% G.S. 2032 15-Feb-32 205 18887 0.71 22 138 0.06 52362.21 36.07 92.13 12.55
29 6.72% G.S. 2014 24-Feb-14 34 4041 0.15 9 130 0.05 14952.35 27.03 118.85 43.33
30 10.95% G.S. 2011 30-May-11 47 4314 0.16 3 125 0.05 12347.40 34.94 91.79 62.50
31 FRB 2020 21-Dec-20 75 5760 0.22 17 105 0.04 7361.14 78.25 76.80 21.00
32 7.44% OMC SB 2012 23-Mar-12 12 370 0.01 3 100 0.04 2006.08 18.44 30.83 33.33
33 10.45% G.S. 2018 30-Apr-18 7 136 0.01 13 96 0.04 4215.62 3.23 19.43 32.00
34 8.40% OMC SB 2026 29-Mar-26 32 908 0.03 23 92 0.04 5012.11 18.12 28.38 13.14
35 7.95% G.S. 2032 28-Aug-32 74 868 0.03 45 90 0.04 56952.70 1.52 11.73 15.00
36 8.33% G.S. 2036 07-Jun-36 64 627 0.02 9 87 0.03 58890.32 1.06 9.80 21.75
37 11.03% G.S. 2012 18-Jul-12 84 6439 0.24 8 86 0.03 14400.19 44.71 76.65 12.29
38 7.47% OMC SB 2012 07-Mar-12 7 210 0.01 3 80 0.03 2006.61 10.47 30.00 26.67
39 7.59% G.S. 2016 12-Apr-16 60 1373 0.05 3 80 0.03 49725.73 2.76 22.88 40.00
40 6.35% OMC SB 2024 23-Dec-24 48 2606 0.10 13 78 0.03 18443.69 14.13 54.29 9.75
41 6.25% G.S. 2018 02-Jan-18 40 177 0.01 5 63 0.03 15297.75 1.16 4.43 15.75
42 7.5% G.S. 2034 10-Aug-34 182 5764 0.22 30 61 0.02 55362.00 10.41 31.67 5.08
43 7.61% OMC SB 2015 07-Mar-15 4 195 0.01 3 60 0.02 1741.12 11.20 48.75 30.00
44 6.57% G.S. 2011 24-Feb-11 117 18117 0.68 4 55 0.02 18597.94 97.41 154.85 18.33
45 7.38% G.S. 2015 03-Sep-15 112 37846 1.42 4 48 0.02 60072.80 63.00 337.91 24.00
46 8.24% G.S. 2018 22-Apr-18 49 1108 0.04 8 43 0.02 50766.25 2.18 22.61 10.75
47 11.50% G.S. 2011 05-Aug-11 31 1245 0.05 1 40 0.02 2974.38 41.86 40.16 40.00
48 7.94% G.S. 2021 24-May-21 72 1612 0.06 6 40 0.02 48815.03 3.30 22.39 40.00
49 6.05% G.S. 2019 02-Feb-19 37 615 0.02 7 35 0.01 46905.00 1.31 16.62 8.75
50 6.07% G.S. 2014 15-May-14 74 2959 0.11 2 25 0.01 38205.48 7.74 39.99 25.00
51 7.95% FERT SB 2026 18-Feb-26 54 721 0.03 7 25 0.01 3497.49 20.61 13.35 5.00
52 11.43% G.S. 2015 07-Aug-15 16 207 0.01 2 25 0.01 13790.19 1.50 12.94 12.50
53 5.59% G.S. 2016 04-Jun-16 14 254 0.01 7 24 0.01 5413.70 4.69 18.14 4.80
2010) Rs. Crore) 2010)
months) Crore) volume Crore) ` Crore) ` Crore)
54 10.47% G.S. 2015 12-Feb-15 13 256 0.01 3 20 0.01 7097.42 3.61 19.69 10.00
55 10.25% G.S. 2021 30-May-21 57 621 0.02 8 17 0.01 30178.08 2.06 10.89 2.83
56 9.81% G.S. 2013 30-May-13 46 1967 0.07 4 15 0.01 11660.00 16.87 42.76 5.00
57 7.37% G.S. 2014 16-Apr-14 70 3500 0.13 2 10 0.00 42002.10 8.33 50.00 10.00
58 6.49% G.S. 2015 08-Jun-15 162 45744 1.71 1 10 0.00 38060.00 120.19 282.37 10.00
59 10.00% G.S. 2014 30-May-14 17 298 0.01 1 5 0.00 2517.41 11.84 17.53 5.00
60 6.13% G.S. 2028 04-Jun-28 22 36 0.00 6 5 0.00 8876.13 0.41 1.64 1.25
61 6.01% G.S. 2028 25-Mar-28 56 116 0.00 9 4 0.00 11917.50 0.97 2.07 0.57
62 8.00% OMC SB 2026 23-Mar-26 73 6244 0.23 10 2 0.00 9733.66 64.15 85.53 0.40
63 11.50% G.S. 2015 21-May-15 26 106 0.00 4 1 0.00 4087.23 2.59 4.08 0.25
64 8.20% OMC SB 2023 10-Nov-23 121 7482 0.28 4 1 0.00 21877.89 34.20 61.83 0.50
65 10.25% G.S. 2012 01-Jun-12 23 393 0.01 6 1 0.00 1653.30 23.77 17.09 0.20
66 9.00% G.S. 2013 24-May-13 23 76 0.00 2 1 0.00 1822.52 4.17 3.30 0.50
67 8.01% OMC SB 2023 15-Dec-23 14 44 0.00 1 0 0.00 4063.00 1.08 3.14 0.00
68 8.15% FCI SB 2022 16-Oct-22 20 53 0.00 2 0 0.00 4964.37 1.07 2.65 0.00
69 10.50% G.S. 2014 29-Oct-14 11 74 0.00 1 0 0.00 1932.56 3.83 6.73 0.00
70 6.17% G.S. 2023 12-Jun-23 34 80 0.00 1 0 0.00 11856.37 0.67 2.35 0.00
71 6.05% G.S. 2019 12-Jun-19 32 119 0.00 1 0 0.00 9630.29 1.24 3.72 0.00
72 5.69% G.S. 2018 25-Sep-18 20 166 0.01 1 0 0.00 13931.94 1.19 8.30 0.00
73 11.83% G.S. 2014 12-Nov-14 34 512 0.02 1 0 0.00 13202.12 3.88 15.06 0.00
74 10.03% G.S. 2019 09-Aug-19 4 5 0.00 1 0 0.00 6746.60 0.07 1.25 0.00
75 7.35% G.S. 2024 22-Jun-24 51 2122 0.08 1 0 0.00 9360.04 22.67 41.61 0.00
76 10.70% G.S. 2020 22-Apr-20 7 2 0.00 1 0 0.00 7041.40 0.03 0.29 0.00
77 12.32% G.S. 2011 29-Jan-11 39 7156 0.27 1 0 0.00 9647.40 74.18 183.49 0.00
78 12.40% G.S. 2013 20-Aug-13 37 956 0.04 3 0 0.00 13537.46 7.06 25.84 0.00
Total 2670429 29634 249258
*Turnover Ratio has been calculated as 12 months cumulative trading value as a percentage of market capitalization of respective security. Note: Prices used for calculating Market
Capitalization are Weighted Average prices as on September 29, 2010. In case of non availability Weighted Average prices, CCIL Model prices as on September 29, 2010 are used.

83
TABLE 24: TURNOVER RATIO OF CENTRAL GOVERNMENT SECURITIES Amount ` Crore
Cen. Govt. Dated 12 Month G-Sec Market Turnover
Month
Securities Volume Capitialisation Ratio (%)
Apr-03 110290 1097202 870354 126.06
May-03 139912 1196652 884296 135.32
Jun-03 145734 1294358 902447 143.43
Jul-03 148576 1351570 951641 142.03
Aug-03 187278 1438727 971426 148.10
Sep-03 125325 1494771 994508 150.30
Oct-03 171400 1557205 1005834 154.82
Nov-03 86233 1505350 1002288 150.19
Dec-03 87274 1467722 1004124 146.17
Jan-04 81917 1405180 1002211 140.21
Feb-04 66543 1341833 1003259 133.75
Mar-04 108183 1350482 1004393 134.46
Apr-04 143620 1491995 1034562 144.22
May-04 94430 1446513 1017708 142.13
Jun-04 86607 1387386 1005959 137.92
Jul-04 64462 1303272 977016 133.39
Aug-04 64224 1180218 976774 120.83
Sep-04 86987 1141880 973696 117.27
Oct-04 55872 1026352 960159 106.89
Nov-04 38485 978604 948161 103.21
Dec-04 65817 957147 975989 98.07
Jan-05 54626 929856 976889 95.19
Feb-05 64234 927548 988793 93.81
Mar-05 43455 862820 981306 87.93
Apr-05 42905 762105 963618 79.09
May-05 58362 726037 984205 73.77

Jun-05 101123 740552 1011329 73.23
Jul-05 56641 732731 1021712 71.72
Aug-05 65079 733587 1021995 71.78
Sep-05 77657 724256 1001115 72.34
Oct-05 43581 711965 1004636 70.87
Nov-05 49241 722721 1038494 69.59
Dec-05 45208 702112 1047826 67.01
Jan-06 47703 695188 1046315 66.44
Feb-06 35808 666762 1052002 63.38
Mar-06 33905 657213 1068008 61.54
Apr-06 55089 669397 1069470 62.59
May-06 54161 665195 1063822 62.53
Jun-06 34866 598938 1049720 57.06
Jul-06 34676 576973 1049776 54.96
Aug-06 89446 601341 1079013 55.73
84
Month
Sep-06 134614 658298 1102636 59.70
Oct-06 63939 678657 1125373 60.31
Nov-06 158397 787813 1109312 71.02
Dec-06 78497 821101 1161197 70.71
Jan-07 74000 847399 1149828 73.70
Feb-07 60113 871704 1168370 74.61
Mar-07 45449 883248 1189326 74.26
Apr-07 68354 896513 1188531 75.43
May-07 68222 910574 1198425 75.98
Jun-07 92811 968519 1219959 79.39
Jul-07 204550 1138394 1270011 89.64
Aug-07 104680 1153627 1302665 88.56
Sep-07 85029 1104041 1323589 83.41
Oct-07 89923 1130025 1370857 82.43
Nov-07 67776 1039404 1388051 74.88
Dec-07 117893 1078800 1404825 76.79
Jan-08 295325 1300125 1445073 89.97
Feb-08 182597 1422608 1454517 97.81
Mar-08 90544 1467704 1441311 101.83
Apr-08 98286 1497636 1471828 101.75
May-08 129032 1558446 1464561 106.41
Jun-08 101475 1567109 1412037 110.98
Jul-08 83793 1446352 1395509 103.64
Aug-08 111093 1452765 1420737 102.25
Sep-08 153971 1521708 1448033 105.09
Oct-08 132519 1564304 1554434 100.63

Nov-08 174174 1670702 1601267 104.34
Dec-08 352329 1905138 1797057 106.01
Jan-09 294708 1904521 1755683 108.48
Feb-09 163975 1885899 1777507 106.10
Mar-09 160058 1955412 1763360 110.89
Apr-09 237356 2094483 1831108 114.38
May-09 224389 2189840 1841701 118.90
Jun-09 215004 2303369 1865534 123.47
Jul-09 270989 2490566 1908859 130.47
Aug-09 146426 2525899 1900471 132.91
Sep-09 249130 2621058 1955774 134.02
Oct-09 191754 2680293 1969015 136.12
Nov-09 263678 2769797 2012133 137.65
Dec-09 211647 2629115 2015842 130.42
Jan-10 191363 2525771 2015085 125.34
Feb-10 149846 2511642 2005496 125.24
85
Month
Mar-10 129266 2480850 2017871 122.94
Apr-10 208456 2451949 2053001 119.43
May-10 371385 2598945 2101580 123.67
Jun-10 315391 2699332 2123662 127.11
Jul-10 207742 2636084 2115872 124.59
Aug-10 259473 2749131 2150393 127.84
Sep-10 231393 2731394 2204437 123.90
MARKET SHARE
TABLE 25: MARKET SHARE OF TOP 'N' SECURITIES percent
Month 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
Apr-10 81.47 90.93 96.21 98.47
May-10 84.98 93.63 96.19 97.64
Jun-10 90.61 95.43 97.18 98.12
Jul-10 87.59 93.54 96.46 98.04
Aug-10 86.03 93.57 96.60 98.39
Sep-10 88.53 95.18 97.62 98.65
2010-11 (Upto September 2010) 77.47 89.05 94.01 95.91
TABLE 26: 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
Apr-10 31.60 46.79 58.20 65.39
May-10 30.92 45.68 56.28 64.94
Jun-10 37.42 53.34 63.10 69.16
Jul-10 35.66 52.97 63.84 70.84
Aug-10 36.99 53.27 62.81 69.37
Sep-10 37.39 51.92 61.62 69.00
2010-11 (Upto September 2010) 34.74 50.32 60.63 67.84
86
TABLE 27: MARKET SHARE OF TOP FIVE (CATEGORY WISE) percent
Cooperative Foreign Public Sector Private Sector Mutual Primary
Categories
Banks Banks Banks Banks Funds Dealers
No of Members 33 28 27 20 26 8
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
Apr-10 65.04 77.39 45.36 83.67 69.82 84.69
May-10 64.11 82.01 44.60 79.07 73.56 85.76
Jun-10 70.30 83.35 44.67 81.71 58.00 87.17
Jul-10 56.91 85.15 54.81 75.10 73.44 86.78
Aug-10 62.88 83.75 55.26 75.16 59.90 83.51
Sep-10 62.74 83.65 64.51 57.01 61.62 83.28
2010-11 (Upto
64.53 82.77 49.70 76.98 67.08 85.31
September 2010)
TRADING ANALYSIS
TABLE 28: G-SEC TRADING VOLUMES Amount ` Crore
NDS-OM NDS
Month
Trades Volumes % share Trades Volumes % share
2005-06 38238 220805 56.36 29197 170937 43.64
2006-07 101091 643740 72.95 26943 238753 27.05
2007-08 155259 1160554 79.10 22753 306591 20.90

2008-09 207011 1475799 75.45 27750 480276 24.55
2009-10 268766 1965066 79.35 30249 511269 20.65
Apr-10 23717 177710 80.33 2126 43505 19.67
May-10 40777 315508 84.52 3534 57768 15.48
Jun-10 33856 268398 86.37 3010 42354 13.63
Jul-10 19917 164289 80.95 2889 38668 19.05
Aug-10 27899 225330 84.91 3152 40049 15.09
Sep-10 24598 191856 83.06 2857 39116 16.94
2010-11 (Upto
170764 1343092 83.71 17568 261461 16.29
September 2010)
TABLE 29: WHEN ISSUED TRADING DETAILS Amount ` Crore
Security Description Maturity Date Trades Value

8.08% G.S. 2022 2-Aug-22 29 255.00
Total 29 255.00
87
88
TABLE 30: TRADING DETAILS Amount ` Crore
Central Government SDL T-Bills Total Repo CBLO Forex*

Date
Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value
1-Sep-10 1925 17398.35 30 209.64 26 669.74 1981 18277.73 96 17214.71 673 70609.95 3296 14422.02
2-Sep-10 1098 9509.87 15 37.71 72 2365.19 1185 11912.77 86 15520.33 684 68694.80 4383 15933.58
3-Sep-10 1090 10002.68 22 65.50 41 1180.50 1153 11248.68 89 16439.21 651 71847.40 3943 13698.79
4-Sep-10 1 22.20 63 2475.55
6-Sep-10 903 6852.11 23 47.14 21 314.29 947 7213.54 98 15308.08 753 72210.75
7-Sep-10 1349 11336.00 30 163.27 26 547.43 1405 12046.70 122 18785.77 695 69083.45 6064 17956.40
8-Sep-10 1409 10972.90 90 309.82 43 1458.53 1542 12741.25 132 21194.03 728 77508.55 3459 11678.75
9-Sep-10 1920 16723.28 21 108.73 16 577.24 1957 17409.25 230 48010.07 497 37133.05 3260 10660.77
13-Sep-10 1078 8441.11 29 54.95 10 302.00 1117 8798.06 131 23835.91 705 73768.35 4020 13245.96
14-Sep-10 1395 11716.04 31 118.94 16 468.54 1442 12303.52 119 17842.29 679 68078.25 3807 10833.40
15-Sep-10 1116 9071.90 29 120.07 14 662.76 1159 9854.73 105 16138.45 627 63065.55 4430 12568.14
16-Sep-10 1609 13423.22 20 45.38 36 1221.63 1665 14690.23 101 13432.16 620 53517.25 4159 13955.77
17-Sep-10 812 6653.91 17 84.19 24 727.63 853 7465.73 95 12933.09 628 57789.60 3753 12829.75
18-Sep-10 2 12.95 64 4741.05
20-Sep-10 796 6094.46 11 92.08 11 578.82 818 6765.36 99 13843.56 684 68985.40 4447 15758.75
21-Sep-10 1305 10712.38 38 204.12 10 73.16 1353 10989.66 101 13404.09 668 67317.55 5727 17949.90
22-Sep-10 1162 9150.31 93 406.31 14 560.00 1269 10116.62 87 12385.01 625 62960.80 4933 16415.75
23-Sep-10 1693 13052.43 20 150.37 47 1940.26 1760 15143.06 97 15245.94 729 65504.00 4561 13465.35
24-Sep-10 1959 16699.24 19 21.71 13 637.00 1991 17357.95 187 37280.99 464 28756.10 5272 15523.86
25-Sep-10 1 20.05 87 6295.40
27-Sep-10 1264 10411.52 25 62.64 23 992.60 1312 11466.76 79 13255.31 654 57568.00 4398 14602.44
28-Sep-10 1757 14884.36 44 176.76 38 594.00 1839 15655.12 97 13034.02 512 45147.35 5210 15819.38
29-Sep-10 1815 17866.22 32 91.77 11 337.62 1858 18295.61 90 11168.92 514 31068.15 12263 68804.97
Total 27455 230972.29 639 2571.10 512 16208.94 28606 249752.33 2245 366327.14 13004 1224126.30 91385 326123.74
Average 1373 11548.61 32 128.56 26 810.45 1430 12487.62 98 15927.27 565 53222.88 4810 17164.41
Market Share (%) 95.98 92.48 2.23 1.03 1.79 6.49
*Forex in USD Million

TABLE 31: G-SEC TRADING ANALYSIS Amount ` Crore
NDS (Gilts) NDS-OM (Gilts) Brokered Deals (Gilts) Total (Gilts)

Date Market Market Market
No. of No. of No. of No. of
Trades Value Share Trades Value Share Trades Value Share Trades Value
Securities Securities Securities Securities
(%) (%) (%)
1-Sep-10 143 20 2747.60 15.79 1782 13 14650.75 84.21 78 11 2393.50 13.76 1925 22 17398.35
2-Sep-10 88 17 1367.38 14.38 1010 12 8142.49 85.62 54 12 1087.50 11.44 1098 18 9509.87
3-Sep-10 125 11 2363.58 23.63 965 12 7639.10 76.37 31 6 760.00 7.60 1090 15 10002.68
6-Sep-10 127 23 1391.65 20.31 776 12 5460.46 79.69 35 11 935.00 13.65 903 24 6852.11
7-Sep-10 105 14 1851.60 16.33 1244 14 9484.40 83.67 63 9 1500.00 13.23 1349 16 11336.00
8-Sep-10 112 18 1437.40 13.10 1297 13 9535.50 86.90 40 7 1105.00 10.07 1409 20 10972.90
9-Sep-10 183 27 2917.27 17.44 1737 14 13806.00 82.56 66 11 1495.00 8.94 1920 29 16723.28
13-Sep-10 178 22 2054.05 24.33 900 12 6387.06 75.67 51 8 1025.00 12.14 1078 25 8441.11
14-Sep-10 139 22 1571.48 13.41 1256 17 10144.56 86.59 45 9 940.00 8.02 1395 24 11716.04
15-Sep-10 102 17 1179.60 13.00 1014 16 7892.30 87.00 39 6 805.00 8.87 1116 22 9071.90
16-Sep-10 182 19 1850.47 13.79 1427 17 11572.75 86.21 55 9 1170.00 8.72 1609 22 13423.22
17-Sep-10 72 16 753.91 11.33 740 14 5900.00 88.67 25 8 468.00 7.03 812 20 6653.91
20-Sep-10 80 18 966.21 15.85 716 11 5128.25 84.15 21 7 780.00 12.80 796 22 6094.46
21-Sep-10 106 15 1514.81 14.14 1199 18 9197.57 85.86 44 7 1187.00 11.08 1305 21 10712.38
22-Sep-10 107 20 1447.91 15.82 1055 17 7702.40 84.18 43 9 1015.00 11.09 1162 26 9150.31
23-Sep-10 107 15 1034.61 7.93 1586 15 12017.82 92.07 43 7 795.00 6.09 1693 21 13052.43
24-Sep-10 274 22 3481.11 20.85 1685 17 13218.12 79.15 72 11 1110.00 6.65 1959 28 16699.24
27-Sep-10 181 31 2210.92 21.24 1083 14 8200.60 78.76 59 18 1006.62 9.67 1264 32 10411.52
28-Sep-10 208 32 2696.29 18.11 1549 29 12188.05 81.88 88 15 2005.01 13.47 1757 41 14884.36
29-Sep-10 238 24 4278.54 23.95 1577 23 13587.68 76.05 109 14 2783.00 15.58 1815 29 17866.22
Total 2857 39116.42 24598 191855.86 1061 24365.63 27455 230972.29
Average 143 20 1955.82 1230 16 9592.79 53 10 1218.28 1373 24 11548.61
Percent Market
16.94 83.06 10.55
Share
89
90
TABLE 32: T-BILL TRADING VOLUME ANALYSIS Amount ` Crore
NDS (T-Bills) NDS-OM (T-Bills) Brokered Deals (T-Bills) Total (T-Bills)

Date Market Market Market
No. of No. of No. of No. of
Trades Value Share Trades Value Share Trades Value Share Trades Value
Securities Securities Securities Securities
(%) (%) (%)
1-Sep-10 11 5 376.74 56.25 15 4 293.01 43.75 4 3 89.00 13.29 26 8 669.74
2-Sep-10 44 9 1813.78 76.69 28 7 551.40 23.31 8 6 300.00 12.68 72 11 2365.19
3-Sep-10 18 9 810.50 68.66 23 5 370.00 31.34 9 6 429.00 36.34 41 11 1180.5
6-Sep-10 5 5 33.37 10.62 16 6 280.92 89.38 2 2 30.00 9.55 21 10 314.29
7-Sep-10 3 3 56.00 10.23 23 8 491.43 89.77 0 0 0.00 0.00 26 9 547.43
8-Sep-10 19 7 1048.53 71.89 24 6 410.00 28.11 2 2 50.00 3.43 43 10 1458.53
9-Sep-10 8 5 402.24 69.68 8 3 175.00 30.32 4 3 130.00 22.52 16 7 577.24
13-Sep-10 5 4 177.00 58.61 5 4 125.00 41.39 3 2 170.00 56.29 10 8 302.00
14-Sep-10 9 7 183.54 39.17 7 3 285.00 60.83 4 3 132.65 28.31 16 10 468.54
15-Sep-10 11 9 512.76 77.37 3 2 150.00 22.63 9 7 497.76 75.10 14 10 662.76
16-Sep-10 18 6 641.63 52.52 18 6 580.00 47.48 2 2 85.00 6.96 36 10 1221.63
17-Sep-10 7 5 507.63 69.77 17 3 220.00 30.24 2 2 180.00 24.74 24 7 727.63
20-Sep-10 4 4 423.82 73.22 7 2 155.00 26.78 3 3 130.58 22.56 11 5 578.82
21-Sep-10 5 4 13.16 17.98 5 5 60.00 82.01 0 0 0.00 0.00 10 9 73.16
22-Sep-10 10 7 425.00 75.89 4 3 135.00 24.11 8 7 410.00 73.21 14 8 560.00
23-Sep-10 32 8 1568.73 80.85 15 5 371.53 19.15 3 2 345.00 17.78 47 9 1940.26
24-Sep-10 7 4 512.00 80.38 6 2 125.00 19.62 1 1 100.00 15.70 13 6 637.00
27-Sep-10 7 5 657.60 66.25 16 9 335.00 33.75 3 3 610.00 61.45 23 11 992.60
28-Sep-10 17 8 253.50 42.68 21 7 340.50 57.32 2 2 110.00 18.52 38 12 594.00
29-Sep-10 10 5 332.62 98.52 1 1 5.00 1.48 3 1 150.00 44.43 11 6 337.62
Total 250 10750.12 262 5458.78 72 3948.99 512 16208.94
Average 13 6 537.51 13 5 272.94 4 3 197.45 26 9 810.45
Percent
66.32 33.68 24.36
Market Share
TABLE 33: NET MARKET SHARE IN G-SEC TRADING percent
Foreign Mutual Primary Private Sector Public Sector
Date Others
Banks Funds Dealers Banks Banks
1-Sep-10 -12.40 -0.20 2.03 2.41 2.82 5.35
2-Sep-10 -6.31 -0.90 2.41 -4.60 2.09 7.31
3-Sep-10 4.01 2.85 3.44 -14.73 0.08 4.34
6-Sep-10 -11.18 -0.80 3.02 -1.15 -0.44 10.55
7-Sep-10 -1.28 4.19 -2.22 8.84 -7.07 -2.47
8-Sep-10 1.83 -1.09 -0.19 -3.11 0.04 2.52
9-Sep-10 -0.54 3.17 0.53 -2.76 1.30 -1.70
13-Sep-10 -16.75 -2.43 4.01 -5.01 3.42 16.77
14-Sep-10 -6.61 1.02 -0.59 4.06 -1.06 3.19
15-Sep-10 -3.55 1.60 0.43 -5.23 1.38 5.38
16-Sep-10 -9.79 3.09 0.77 -5.63 -1.36 12.91
17-Sep-10 -10.92 -0.38 2.87 -2.98 0.62 10.78
20-Sep-10 4.99 -4.43 1.01 -4.92 -0.67 4.04
21-Sep-10 6.73 2.10 -1.65 -4.95 -0.72 -1.51
22-Sep-10 3.16 0.00 -0.50 -2.38 0.31 -0.59
23-Sep-10 5.27 0.27 -1.68 -0.26 -1.38 -2.21
24-Sep-10 1.98 5.15 1.22 -3.62 0.06 -4.79
27-Sep-10 2.21 0.77 -0.87 2.74 0.13 -4.98
28-Sep-10 1.07 -1.14 1.30 -1.58 1.21 -0.85
29-Sep-10 -3.87 -0.08 -1.63 2.59 1.15 1.84
Net Activity in Sep-10 -2.46 0.95 0.51 -1.70 0.16 2.53
TABLE 34: LIQUIDITY OF BONDS TRADED IN SEPTEMBER 2010

(TRADES GREATER THAN ` 5 CRORE)
Days Traded

Days Traded
Market with less
Sr. No. of Value with 5 trades
ISINDESC Share Days Traded than 5
No. Trades (` Cr.) or more per
(%) trades per
day
day
1 7.80% G.S. 2020 12001 106850 46.45 20 20 0
2 8.13% G.S. 2022 5620 41860 18.20 19 19 0
3 7.17% G.S. 2015 2752 25875 11.25 20 20 0
4 8.08% G.S. 2022 3025 21645 9.41 18 18 0
5 8.26% G.S. 2027 915 6931 3.01 20 20 0
6 7.46% G.S. 2017 690 6060 2.63 20 19 1
7 7.99% G.S. 2017 379 4510 1.96 4 4 0
8 7.40% G.S. 2012 136 2221 0.97 17 11 6
9 8.30% G.S. 2040 160 1609 0.70 19 12 7
10 6.90% OMC SB 2026 81 1522 0.66 7 4 3
11 6.85% G.S. 2012 45 1425 0.62 12 3 9
12 7.02% G.S. 2016 155 1320 0.57 18 13 5
13 7.27% G.S. 2013 77 1095 0.48 15 7 8
91
Days Traded
Days Traded
Market with less
Sr. No. of Value with 5 trades
ISINDESC Share Days Traded than 5
No. Trades (` Cr.) or more per
(%) trades per
day
day
14 6.90% OMC SB 2026 24 905 0.39 8 2 6
15 8.20% G.S. 2022 78 755 0.33 14 6 8
16 7.32% G.S. 2014 24 695 0.30 6 3 3
17 9.40% G.S. 2012 8 665 0.29 3 1 2
18 8.00% G.S. 2011 4 600 0.26 2 0 2
19 9.85% G.S. 2015 7 360 0.16 2 0 2
20 7% OMC SB 2012 9 245 0.11 7 0 7
21 6.35% G.S. 2020 23 229 0.10 6 2 4
22 6.90% G.S. 2019 10 210 0.09 5 1 4
23 10.71% G.S. 2016 9 205 0.09 2 1 1
24 8.32% G.S. 2032 30 180 0.08 13 1 12
25 8.20% OMC SB 2024 10 180 0.08 3 1 2
26 7.59% OMC SB 2015 6 160 0.07 4 0 4
27 8.24% G.S. 2027 12 150 0.07 5 1 4
28 6.72% G.S. 2014 9 130 0.06 3 0 3
29 8.28% G.S. 2032 14 130 0.06 9 0 9
30 FRB 2020 17 105 0.05 5 2 3
31 7.44% OMC SB 2012 3 100 0.04 3 0 3
32 10.45% G.S. 2018 12 95 0.04 3 1 2
33 8.33% G.S. 2036 8 85 0.04 4 0 4
34 7.47% OMC SB 2012 3 80 0.03 3 0 3
35 7.59% G.S. 2016 2 80 0.03 1 0 1
36 6.35% OMC SB 2024 6 75 0.03 4 0 4
37 11.03% G.S. 2012 1 65 0.03 1 0 1
38 6.25% G.S. 2018 3 60 0.03 2 0 2

39 7.61% OMC SB 2015 3 60 0.03 2 0 2
40 6.57% G.S. 2011 3 55 0.02 2 0 2
41 8.40% OMC SB 2026 6 51 0.02 4 0 4
42 7.38% G.S. 2015 2 46 0.02 1 0 1
43 11.50% G.S. 2011 1 40 0.02 1 0 1
44 7.94% G.S. 2021 6 40 0.02 1 1 0
45 7.95% G.S. 2032 6 40 0.02 2 0 2
46 6.05% G.S. 2019 7 35 0.02 4 0 4
47 7.5% G.S. 2034 7 35 0.02 3 1 2
48 8.24% G.S. 2018 6 35 0.02 3 0 3
49 6.07% G.S. 2014 2 25 0.01 1 0 1
50 10.25% G.S. 2021 3 15 0.01 2 0 2
51 9.81% G.S. 2013 3 15 0.01 2 0 2
Total 26432 230024 100.00
92
TABLE 35: LIQUIDITY DISTRIBUTION IN SEPTEMBER 2010
(TRADES GREATER THAN ` 5 CRORE)
5 or more Trades Per Day Less than 5 Trades Per Day
Sr.
No. Days No. of Value Days No. of Value
ISINDESC ISINDESC
Traded Trades (` Cr.) Traded Trades (` Cr.)
1 7.80% G.S. 2020 20 12001 106850.00 8.32% G.S. 2032 12 25 155.00
2 7.17% G.S. 2015 20 2752 25875.00 6.85% G.S. 2012 9 16 775.00
3 8.26% G.S. 2027 20 915 6930.94 8.28% G.S. 2032 9 14 130.00
4 8.13% G.S. 2022 19 5620 41860.40 7.27% G.S. 2013 8 20 180.00
5 7.46% G.S. 2017 19 687 6015.00 8.20% G.S. 2022 8 20 150.00
6 8.08% G.S. 2022 18 3025 21645.00 8.30% G.S. 2040 7 14 201.65
7 7.02% G.S. 2016 13 146 1230.00 7% OMC SB 2012 7 9 245.00
8 8.30% G.S. 2040 12 146 1407.10 7.40% G.S. 2012 6 14 110.00
9 7.40% G.S. 2012 11 122 2111.00 9.39% G.S. 2011 6 9 370.00
10 7.27% G.S. 2013 7 57 915.00 7.02% G.S. 2016 5 9 90.00
11 8.20% G.S. 2022 6 58 605.00 6.35% G.S. 2020 4 10 130.00
12 7.99% G.S. 2017 4 379 4509.58 6.90% G.S. 2019 4 5 175.00
13 6.90% OMC SB 2026 4 77 1495.50 8.24% G.S. 2027 4 6 70.00
14 6.85% G.S. 2012 3 29 650.00 7.59% OMC SB 2015 4 6 160.00
15 7.32% G.S. 2014 3 17 525.00 8.33% G.S. 2036 4 8 85.00
16 9.39% G.S. 2011 2 15 535.00 6.35% OMC SB 2024 4 6 75.00
17 6.35% G.S. 2020 2 13 98.50 8.40% OMC SB 2026 4 6 50.80
18 FRB 2020 2 10 60.00 6.05% G.S. 2019 4 7 35.00
19 9.40% G.S. 2012 1 5 345.00 6.90% OMC SB 2026 3 4 26.07
20 6.90% G.S. 2019 1 5 35.00 7.32% G.S. 2014 3 7 170.00
21 10.71% G.S. 2016 1 8 200.00 FRB 2020 3 7 45.00
22 8.32% G.S. 2032 1 5 25.00 6.72% G.S. 2014 3 9 130.00
23 8.20% OMC SB 2024 1 7 134.60 7.44% OMC SB 2012 3 3 100.00

24 8.24% G.S. 2027 1 6 80.00 7.47% OMC SB 2012 3 3 80.00
25 10.45% G.S. 2018 1 7 65.00 8.24% G.S. 2018 3 6 35.00
26 7.94% G.S. 2021 1 6 40.00 9.40% G.S. 2012 2 3 320.00
27 7.5% G.S. 2034 1 5 25.00 8.20% OMC SB 2024 2 3 45.00
28 10.45% G.S. 2018 2 5 30.00
29 Total 194 26123 224267.62 7.5% G.S. 2034 2 2 10.00
30 Expected Bond Days 540 8.00% G.S. 2011 2 4 600.00
31 Efficiency 35.93 9.85% G.S. 2015 2 7 360.00
32 6.25% G.S. 2018 2 3 60.00
33 7.61% OMC SB 2015 2 3 60.00
34 6.57% G.S. 2011 2 3 55.00
35 7.95% G.S. 2032 2 6 40.00
36 10.25% G.S. 2021 2 3 15.00
37 9.81% G.S. 2013 2 3 15.00
38 7.46% G.S. 2017 1 3 45.00
39 10.71% G.S. 2016 1 1 5.00
93
5 or more Trades Per Day Less than 5 Trades Per Day
Sr.
No. Days No. of Value Days No. of Value
ISINDESC ISINDESC
Traded Trades (` Cr.) Traded Trades (` Cr.)
40 7.59% G.S. 2016 1 2 80.00
41 11.03% G.S. 2012 1 1 65.00
42 7.38% G.S. 2015 1 2 46.06
43 11.50% G.S. 2011 1 1 40.00
44 6.07% G.S. 2014 1 2 25.00
45 7.95% FERT SB 2026 1 1 14.50
46 11.43% G.S. 2015 1 1 12.50
47 10.95% G.S. 2011 1 2 10.00
48 6.49% G.S. 2015 1 1 10.00
49 7.37% G.S. 2014 1 2 10.00
50 10.00% G.S. 2014 1 1 5.00
51 10.47% G.S. 2015 1 1 5.00
Total 168 309 5757
Expected Bond Days 1020
Efficiency 16.47
94
MONEY MARKET
TABLE 36: COMPARABLE WEIGHTED AVERAGE MONEY MARKET RATES AND DAILY VOLUMES
Rates (%) Volumes (` Cr.)

Date
Call Repo CBLO Call Repo CBLO
1-Sep-10 4.90 4.83 4.64 9215.59 17214.71 70609.95
2-Sep-10 4.62 4.53 4.35 9226.65 15520.33 68694.80
3-Sep-10 4.55 4.39 4.43 11653.59 16439.21 71847.40
4-Sep-10 4.34 2.00 4.31 748.38 22.20 2475.55
6-Sep-10 4.78 4.50 4.00 11682.29 15308.08 72210.75
7-Sep-10 4.62 4.40 4.40 12046.48 18785.77 69083.45
8-Sep-10 4.64 4.45 4.50 11628.27 21194.03 77508.55
9-Sep-10 4.89 4.67 4.50 8841.98 48010.07 37133.05
13-Sep-10 5.67 5.64 5.62 8052.99 23835.91 73768.35
14-Sep-10 5.78 5.73 5.68 9107.20 17842.29 68078.25
15-Sep-10 5.79 5.75 5.73 8679.40 16138.45 63065.55
16-Sep-10 5.89 5.84 5.54 11707.94 13432.16 53517.25
17-Sep-10 6.12 6.03 5.99 12827.09 12933.09 57789.60
18-Sep-10 5.84 3.81 6.00 794.36 12.95 4741.05
20-Sep-10 6.15 6.01 5.97 13208.01 13843.56 68985.40
21-Sep-10 6.13 6.01 5.97 12186.22 13404.09 67317.55
22-Sep-10 6.14 6.00 6.05 12129.89 12385.01 62960.80
23-Sep-10 6.09 5.97 5.40 8969.05 15245.94 65504.00
24-Sep-10 6.02 5.80 4.77 11357.39 37280.99 28756.10
25-Sep-10 6.17 5.50 5.96 1650.00 20.05 6295.40

27-Sep-10 6.18 6.02 5.78 12948.90 13255.31 57568.00
28-Sep-10 6.26 6.08 6.00 11497.82 13034.02 45147.35
29-Sep-10 7.04 6.58 5.93 9702.99 11168.92 31068.15
Average 5.59 5.24 5.28 9559.24 15927.27 53222.88
Total - - - 219862.48 366327.14 1224126.30
SD 0.74 1.03 0.73 3700.92 10501.65 23456.19
Market Share (%) 12.14 20.24 67.62
95
COLLATERALISED BORROWING AND LENDING OBLIGATION (CBLO)
TABLE 37: CBLO SETTLEMENT VOLUMES Amount ` Crore
Overnight Term Total Daily Average

Settlement Period
2002-03 157 829 2 23 159 852 3 16
2003-04 2280 58136 780 18715 3060 76851 10 251
2004-05 22802 768294 6549 208497 29351 976790 101 3345
2005-06 54026 2391854 13437 561280 67463 2953134 229 10045
2006-07 69602 3860456 16279 871815 85881 4732271 292 16096
2007-08 93282 6699077 19995 1411751 113277 8110828 385 27588
2008-09 94344 7099527 24597 1725258 118941 8824784 414 30748
2009-10 115171 12747733 26881 2793645 142052 15541378 498 54531
Apr-10 10405 1047338 1402 123159 11807 1170497 513 50891
May-10 9117 861201 1841 153378 10958 1014579 457 42274
Jun-10 9348 657795 2559 151133 11907 808928 458 31113
Jul-10 8793 614391 2363 142262 11156 756653 429 29102
Aug-10 11444 963279 2064 166237 13508 1129515 540 45181
Sep-10 10800 1029283 2204 194843 13004 1224126 565 53223
2010-11 (Upto
59907 5173288 12433 931012 72340 6104299 492 41526
September 2010)
TABLE 38: INTERCATEGORYWISE CBLO LENDING

Borrower Category
Market
Lender Category Public Private Co- Market
Sector Sector Others FIs operative share
Month)
Mutual Funds 47.69 18.48 16.85 8.06 3.33 2.78 2.38 0.43 0.00 75.51 62.77
Ins. Cos 38.36 24.30 13.05 10.62 5.29 4.31 3.35 0.68 0.04 12.50 12.75
Foreign Banks 43.77 15.22 17.31 8.53 6.42 2.58 5.83 0.36 0.00 1.73 2.88
Others 40.23 17.87 14.00 14.22 3.74 4.50 4.97 0.47 0.00 1.61 2.18
FIs 45.19 27.34 11.62 0.80 6.57 6.42 2.07 0.00 0.00 0.51 0.51
Primary Dealers 12.53 16.38 27.78 11.02 5.56 0.00 26.72 0.00 0.00 0.03 0.01
96
TABLE 39: INTERCATEGORYWISE CBLO BORROWING
Lender Category
Market
Borrower Category Public Private Co- Market
Sector Sector Others FIs operative Share
Month)
Foreign Banks 7.12 1.34 2.36 1.47 0.03 0.71 0.52 70.99 15.46 19.65 12.53
Others 4.26 1.78 1.08 2.75 0.04 0.05 1.05 73.05 15.94 8.33 5.14
Primary Dealers 5.96 2.96 2.52 1.60 0.05 0.89 1.62 66.83 17.57 3.76 3.85
FIs 3.30 1.52 1.39 2.47 0.00 1.11 0.51 71.40 18.31 2.93 2.79
Mutual Funds 3.11 1.40 0.00 1.71 0.00 0.00 1.39 73.39 19.00 0.45 1.14
Ins. Cos 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.01 0.01
MARKET REPO
TABLE 40: REPO TERM ANALYSIS percent
O/N 2-3 days 4-7 days 8-14 days >14 days
Settlement Period % to % to % to % to %t to % to % to % to % to % to
total no total total no total total no total total no total total no total
of trades value of trades value of trades value of trades value of trades value
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
Apr-10 67.74 66.01 31.10 33.60 0.71 0.26 0.00 0.00 0.44 0.13
May-10 70.98 68.95 28.77 30.95 0.08 0.05 0.00 0.00 0.17 0.05
Jun-10 70.09 64.38 28.99 34.66 0.77 0.84 0.00 0.00 0.15 0.12
Jul-10 70.00 66.44 29.50 33.41 0.29 0.09 0.00 0.00 0.21 0.05
Aug-10 70.06 68.05 29.43 31.72 0.33 0.08 0.05 0.03 0.14 0.12
Sep-10 68.45 65.52 21.21 21.27 10.34 13.21 0.00 0.00 0.00 0.00
2010-11 (Upto
69.55 66.73 28.16 30.81 2.09 2.37 0.01 0.00 0.19 0.08
September 2010)
97
TABLE 41: INSTRUMENT WISE SETTLEMENT VOLUMES FOR REPO TRADES
Amount ` Crore
Cen. Govt. Dated Treasury Bills State Govt
Settlement Period Avg. % Avg. Avg. %
Volumes Volumes % Share Volumes
Volumes Share Volumes Volumes 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
Apr-10 351613 15288 75.24 113317 4927 24.25 2403 104 0.51
May-10 344320 14347 81.47 77209 3217 18.27 1108 46 0.26
Jun-10 198486 7634 80.52 47601 1831 19.31 410 16 0.17
Jul-10 266342 10244 85.28 44156 1698 14.14 1799 69 0.58
Aug-10 299519 11981 77.04 88764 3551 22.83 485 19 0.12
Sep-10 299245 13011 82.01 64164 2790 17.59 1468 64 0.40
2010-11 (Upto
1759525 11970 79.89 435210 2961 19.76 7673 52 0.35
September 2010)
TABLE 42: INTER-CATEGORY WISE REVERSE REPO TRADES

Borrower Category
Market
Lender Category Private Public Co- Market
Mutual Foreign Ins. Primary Share (%)
Sector Sector FIs operative Others Share
Funds Banks Cos Dealers (Previous
Month)
Mutual Funds 0.00 50.84 23.47 0.00 4.40 0.00 0.10 21.19 0.00 71.66 42.12
Foreign Banks 0.00 40.13 53.04 0.00 3.46 0.00 0.00 3.37 0.00 10.87 37.16
Ins. Cos 0.00 21.99 24.64 0.00 0.00 0.00 0.00 53.37 0.00 6.39 6.32
FIs 0.00 18.28 60.60 0.00 3.82 0.00 0.00 17.29 0.00 0.71 0.59
Primary Dealers 0.00 3.90 14.29 0.00 0.00 0.00 0.00 81.82 0.00 0.11 0.34
Others 0.00 0.00 45.74 0.00 48.81 0.00 0.00 5.44 0.00 0.10 0.15
98
TABLE 43: INTER-CATEGORY WISE REPO TRADES
Lender Category
Market
Borrower Category Private Public Market
Foreign Primary Co-op Ins. Mutual Share (%)
Sector Sector FIs Others share
Banks Dealers Banks Cos Funds (Previous
Banks Banks (%)
Month)
Foreign Banks 9.94 0.32 0.01 3.32 0.01 0.42 3.02 82.96 0.00 43.91 24.12
Primary Dealers 1.48 18.79 0.35 4.12 0.77 0.97 12.30 61.20 0.02 24.80 23.18
Co-op Banks 0.00 0.00 0.00 0.00 3.63 0.00 0.00 96.37 0.00 0.08 0.43
FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0 0.00
Ins. Cos 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0 0.00
Mutual Funds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0 0.00
Others 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0 0.00
TABLE 44: CROMS TRADING ACTIVITY

NUMBER OF PARTICIPANTS: 107 Amount ` Crore
CROMS SPECIAL CROMS BASKET CROMS - TOTAL REPO % Share of
CROMS
Date No. of
Trades Value WAR Value WAR Trades Value WAR Trades Value WAR in Repo
Trades volumes
1-Sep-10 35 3685.00 4.8275 27 7913.93 4.8047 62 11598.93 4.8120 96 17214.71 4.8328 67.38
2-Sep-10 23 2527.00 4.5484 27 6189.53 4.4429 50 8716.53 4.4735 86 15520.33 4.5338 56.16
3-Sep-10 29 2942.00 4.3964 31 9073.47 4.3757 60 12015.47 4.3807 89 16439.21 4.3906 73.09
6-Sep-10 30 2787.00 4.5136 35 7997.20 4.4815 65 10784.20 4.4898 98 15308.08 4.5035 70.45
7-Sep-10 34 3125.00 4.3010 58 11217.35 4.3862 92 14342.35 4.3676 122 18785.77 4.3859 76.35
8-Sep-10 32 3010.00 4.4346 66 13221.06 4.4431 98 16231.06 4.4415 132 21194.03 4.4495 76.58
9-Sep-10 37 5034.00 4.5734 139 29012.66 4.7014 176 34046.66 4.6825 230 48010.07 4.6727 70.92
13-Sep-10 33 4071.00 5.6451 61 14082.49 5.6365 94 18153.49 5.6384 131 23835.91 5.6381 76.16

14-Sep-10 31 3334.00 5.7487 48 9194.95 5.7326 79 12528.95 5.7369 119 17842.29 5.7350 70.22
15-Sep-10 32 3530.00 5.7428 38 8043.60 5.7498 70 11573.60 5.7476 105 16138.45 5.7519 71.71
16-Sep-10 28 2698.00 5.8322 41 6839.24 5.8408 69 9537.24 5.8384 101 13432.16 5.8358 71.00
17-Sep-10 34 3090.00 6.0215 25 5690.77 6.0136 59 8780.77 6.0164 95 12933.09 6.0224 67.89
20-Sep-10 35 2936.00 5.9979 24 5237.17 6.0180 59 8173.17 6.0107 99 13843.56 6.0136 59.04
21-Sep-10 31 2279.00 6.0086 32 5691.05 6.0048 63 7970.05 6.0059 101 13404.09 6.0089 59.46
22-Sep-10 26 2124.00 5.9984 33 6518.28 6.0011 59 8642.28 6.0005 87 12385.01 6.0003 69.78
23-Sep-10 23 2036.00 6.0043 31 5035.95 5.8939 54 7071.95 5.9257 97 15245.94 5.9721 46.39
24-Sep-10 36 4511.00 5.8318 102 22252.56 5.8302 138 26763.56 5.8305 187 37280.99 5.7992 71.79
27-Sep-10 22 2545.00 6.0687 21 3658.85 6.0480 43 6203.85 6.0565 79 13255.31 6.0172 46.80
28-Sep-10 23 2135.00 6.1067 34 3238.85 6.1296 57 5373.85 6.1205 97 13034.02 6.0797 41.23
29-Sep-10 22 3182.00 6.5829 24 3083.28 6.6690 46 6265.28 6.6253 90 11168.92 6.5768 56.10
Total 596 61581 897 183192.24 1493 244773.24 2241 366271.94 66.83
99
TABLE 45: CROMS MARKET SHARE Amount ` Crore
CROMS-SPECIAL CROMS-BASKET % Share of
Month CROMS in Repo
VOL %SHARE VOL %SHARE Volumes
Jan-09 1315.00 0.29 700.73 0.16 0.45
Feb-09 20781.00 4.74 152.00 0.03 4.77
Mar-09 71273.00 14.35 - - 14.35
Apr-09 37440.00 9.11 34126.80 8.31 17.42
May-09 53202.74 9.88 177070.99 32.87 42.74
Jun-09 42935.00 7.61 315403.77 55.92 63.53
Jul-09 63833.00 12.13 342058.64 64.98 77.11
Aug-09 47357.00 8.47 352887.34 63.10 71.56
Sep-09 112686.00 17.51 396767.00 61.66 79.17
Oct-09 89389.00 16.58 334993.00 62.15 78.73
Nov-09 90984.00 17.56 355057.05 68.53 86.09
Dec-09 37429.00 7.30 390097.84 76.13 83.44
Jan-10 50826.00 13.98 244916.72 67.37 81.35
Feb-10 51093.00 11.73 313516.74 71.95 83.67
Mar-10 65400.00 14.23 286571.61 62.37 76.60
Apr-10 62902.00 13.46 288664.26 61.78 75.25
May-10 83746.00 19.82 234052.77 55.39 75.21
Jun-10 54802.00 22.24 102221.41 41.48 63.72
Jul-10 84693.00 27.12 134610.98 43.10 70.22
Aug-10 59133.00 15.21 167021.43 42.97 58.18
Sep-10 61581.00 16.81 183192.24 50.02 66.83
TABLE 46A: TOP 5 SECURITIES - BASKET REPO Amount ` Crore

SECURITY TRADES VOLUMES RATE
9.39% G.S. 2011 107 34612.69 5.2542
7.40% G.S. 2012 97 29376.42 5.2381

7.17% G.S. 2015 78 14386.45 5.4923
7.80% G.S. 2020 80 14074.08 5.0781
7.27% G.S. 2013 54 10182.65 5.4880
TABLE 46B: TOP 5 SECURITIES - SPECIAL REPO Amount ` Crore
SECURITY TRADES VOLUMES RATE

7.80% G.S. 2020 172 19981.00 5.2739
7.17% G.S. 2015 63 6748.00 5.4476
7.47% OMC SB 2012 34 4944.00 5.6290
7.38% G.S. 2015 25 3934.00 5.6612
8.13% G.S. 2022 61 3525.00 5.4703
100
CALL MONEY MARKET
CHART 18: MARKET SHARE IN NDS-CALL LENDING CHART 19: MARKET SHARE IN NDS-CALL BORROWING
Primary Dealers Co-operative Foreign Banks

Primary Dealers Co-operative
Private Banks 0.01% (0%) Banks 4.81% 26.08% (31.4%)
Banks
5.29% (6.12%) Foreign Banks 12.84% (15.9%)
9.65% (8.45%) 0.11% (0%)
(5.68%)
Nationalised Nationalised Banks Private Banks

Banks 80.24%
(79.75%) 28.95% (23.91%) 20.23% (34.11%)
TABLE 47: NDS-CALL TRANSACTIONS Amount ` Crore

CALL NOTICE Term % Share
in total
Date
Trade Value WAR Trade Value WAR Trade Value WAR call
volumes
1-Sep-10 86 7117 4.9546 - - - - - - 77.23
2-Sep-10 90 8094 4.6665 - - - 7 198 7.1326 87.72
3-Sep-10 - - - 97 9403 4.5828 1 25 5.5000 80.69
4-Sep-10 6 540 4.6074 - - - - - - 72.16
6-Sep-10 112 10009 4.8429 - - - 5 575 6.2065 85.68
7-Sep-10 113 10158 4.6709 1 35 4.7500 2 95 7.5526 84.61
8-Sep-10 102 9524 4.7069 3 250 4.7250 1 50 8.0500 84.06
9-Sep-10 85 7258 5.0018 1 35 5.0000 3 520 6.1538 82.48
13-Sep-10 83 6030 5.7812 - - - 4 933 9.0901 74.88
14-Sep-10 72 6848 5.8915 - - - 7 895 6.3867 75.19
15-Sep-10 71 6457 5.8961 - - - 1 150 7.2500 74.39

16-Sep-10 101 9776 5.9750 1 35 5.7500 5 750 6.8337 83.80
17-Sep-10 4 235 6.1904 113 10452 6.1836 4 265 6.6083 83.32
18-Sep-10 7 525 6.1619 - - - - - - 66.09
20-Sep-10 107 10804 6.2266 - - - 5 595 6.8029 81.80
21-Sep-10 98 9810 6.2116 - - - 3 525 6.5905 80.50
22-Sep-10 102 10097 6.2179 - - - - - - 83.24
23-Sep-10 75 6330 6.1769 - - - 2 45 7.7944 70.57
24-Sep-10 4 210 6.0024 101 9236 6.0739 2 500 6.6300 83.17
25-Sep-10 15 1650 6.1742 - - - - - - 100.00
27-Sep-10 120 10663 6.2422 1 100 7.2500 4 125 7.1700 83.12
28-Sep-10 105 9270 6.3456 - - - 2 35 7.5357 80.62
29-Sep-10 94 7881 7.1793 - - - 2 265 6.8585 81.22
Total 1652 149286 318 29546 60 6546
101
TABLE 48: NDS-CALL VOLUMES - HISTORICAL Amount ` Crore
NDS- CALL Daily % share in total call
Month NDS-CALL Total Call Volumes
Average Volumes volumes
Sep-06 15503.95 1414.87 169360.71 9.15
Oct-06 32266.00 1466.64 339030.44 9.52
Nov-06 42539.00 1636.12 379206.39 11.22
Dec-06 70307.90 2812.32 363117.78 19.36
Jan-07 88199.35 3674.97 311261.93 28.34
Feb-07 95898.15 4359.01 285681.42 33.57
Mar-07 148204.42 6175.18 314600.65 47.11
Apr-07 212233.11 9646.96 351622.95 60.36
May-07 190944.61 7637.78 275612.98 69.28
Jun-07 189250.75 7278.88 244775.13 77.32
Jul-07 207373.70 8294.95 251851.89 82.34
Aug-07 258991.11 10359.64 341052.65 75.94
Sep-07 234377.65 10190.33 280787.87 83.47
Oct-07 219437.73 8439.91 267483.52 82.04
Nov-07 211303.75 8804.32 261994.76 80.65
Dec-07 192484.15 8020.17 226772.43 84.88
Jan-08 330291.94 13211.68 385224.27 85.74
Feb-08 277776.14 11111.05 314536.51 88.31
Mar-08 221434.00 10065.18 254471.82 87.02
Apr-08 216747.55 9423.81 260155.15 83.31
May-08 239433.00 9577.32 277010.51 86.43
Jun-08 268051.72 10722.07 314787.72 85.15
Jul-08 318357.53 12244.52 367075.98 86.73
Aug-08 280805.75 11700.24 321776.79 87.27
Sep-08 273684.65 11403.53 317404.76 86.23
Oct-08 302377.45 13744.43 348765.75 86.70
Nov-08 249184.70 10834.12 292109.10 85.31
Dec-08 253315.65 10132.63 299609.28 84.55
Jan-09 230981.50 9239.26 268808.29 85.93
Feb-09 230923.30 10496.51 281340.14 82.08
Mar-09 265820.20 11557.40 308118.22 86.27

Apr-09 190302.00 9515.10 229429.22 82.92
May-09 193419.20 8059.13 242361.47 79.81
Jun-09 226762.10 8721.62 266739.59 85.01
Jul-09 173004.50 6654.02 210482.41 82.19
Aug-09 162699.00 6779.13 193329.19 84.16
Sep-09 197524.75 8588.03 226285.08 87.29
Oct-09 155681.70 6768.77 183652.07 84.77
Nov-09 151269.55 6576.94 180494.28 83.81
Dec-09 159698.75 6387.95 187084.23 85.36
Jan-10 153654.30 6146.17 185074.83 83.02
Feb-10 123399.85 5609.08 157037.63 78.58
Mar-10 197675.66 8236.49 236384.41 83.62
Apr-10 166651.50 7245.72 208637.35 79.88
May-10 189791.50 7907.98 226402.54 83.83
Jun-10 167093.55 6426.68 210053.48 79.55
Jul-10 225486.35 8672.55 277247.65 81.33
Aug-10 191342.50 7653.70 231984.66 82.48
Sep-10 178831.95 7775.30 219862.48 81.34
102
FOREIGN EXCHANGE MARKET
SETTLEMENT VOLUMES
TABLE 49: FOREX SETTLEMENT VOLUMES*
Cash Tom Spot Forward Total Average
Settlement Period Volume Volume Volume Volume Volume Volume
Volume Volume Volume Volume Volume Volume
Trades (USD Trades (USD Trades (USD Trades (USD Trades (USD Trades (USD
(` Cr) (` Cr) (` Cr) (` Cr) (` Cr) (` Cr)
Mn) Mn) Mn) Mn) Mn) Mn)
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
Apr-10 1260 34521 153549 2298 49687 221187 78016 159878 712356 6918 67507 315600 88492 311594 1402692 4657 16400 73826
May-10 1441 36945 169248 2394 48432 221174 84904 179344 819164 6088 52061 241933 94827 316783 1451519 4991 16673 76396
Jun-10 1559 34630 161303 2675 51294 238873 94495 194622 906980 7325 69596 325726 106054 350142 1632882 4821 15916 74222
Jul-10 1523 33967 159093 2572 45797 214670 80848 166922 781751 6835 61502 288733 91778 308188 1444247 4370 14676 68774
Aug-10 1907 50883 236847 3122 68979 321021 77233 163916 762916 7010 62712 295892 89272 346491 1616675 4251 16500 76985
Sep-10 1560 40320 185581 2443 46437 214137 79911 164701 760517 7471 74666 350471 91385 326124 1510707 4810 17164 79511
2010-11 (Upto
9250 231267 1065620 15504 310627 1431062 495407 1029382 4743684 41647 388045 1818355 561808 1959321 9058722 4643 16193 74865
September 2010)
Notes:
*CCIL commenced operations on November 12, 2002
#Cash and Tom settlement is with effect from February 5, 2004.
Note : Spot figures are inclusive of spot leg of swap

103
CHART 20: MONTH WISE BUSINESS GROWTH
400000
350000
300000
250000
200000
150000
100000
50000
0
May-03
Sep-03
May-04
Sep-04
May-05
Sep-05
May-06
Sep-06
May-07
Sep-07
May-08
Sep-08
May-09
Sep-09
May-10
Sep-10
Jan-03
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-04
Gross USD Vol
TABLE 50: TRADE TYPE ANALYSIS percent
Settlement Cash Tom Spot Forward

Period Trades Volumes Trades Volumes Trades Volumes Trades Volumes
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

Apr-10 1.42 11.08 2.60 15.95 88.16 51.31 7.82 21.67
May-10 1.52 11.66 2.52 15.29 89.54 56.61 6.42 16.43
Jun-10 1.47 9.89 2.52 14.65 89.10 55.58 6.91 19.88
Jul-10 1.66 11.02 2.80 14.86 88.09 54.16 7.45 19.96
Aug-10 2.14 14.69 3.50 19.91 86.51 47.31 7.85 18.10
Sep-10 1.71 12.36 2.67 14.24 87.44 50.50 8.18 22.90
2010-11 (Upto
1.65 11.80 2.76 15.85 88.18 52.54 7.41 19.81
September 2010)
104
TABLE 51: FOREX DEAL SIZE ANALYSIS percent
> 1 mn > 5 mn > 10 mn
< 1 mn 1 mn > 20 mn
<= 5 mn <= 10 mn <= 20 mn
Settlement
Period % to % to % to % to % to % to % to % to % to % to % to % to
total total total total total total total total total total total total
trades value trades value trades value trades value trades value trades value
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
Apr-10 19.07 2.39 45.70 12.98 25.89 23.39 5.22 13.94 1.77 8.61 2.35 38.69
May-10 18.65 2.40 46.44 13.90 25.21 24.14 5.81 16.55 1.81 9.31 2.08 33.69
Jun-10 18.41 2.39 47.93 14.52 24.80 24.30 5.07 14.56 1.65 8.51 2.14 35.71
Jul-10 18.37 2.35 48.34 14.40 24.21 23.48 4.99 14.06 1.88 9.78 2.20 35.93
Aug-10 18.06 2.00 47.42 12.22 24.10 20.15 5.39 13.20 2.05 9.29 2.99 43.14
Sep-10 17.81 2.16 47.50 13.31 24.92 22.29 5.40 14.27 1.76 8.51 2.61 39.45
2010-11 (Upto
18.40 2.28 47.24 13.55 24.85 22.93 5.31 14.42 1.81 8.99 2.38 37.83
September 2010)
TABLE 52: TENOR WISE FORWARD TRADES percent

> 30 Days & > 90 Days & > 180 Days &
< 30 Days > 1 Year
<= 90 Days <= 180 Days <= 365 Days
Settlement Period % to % to % to % to % to % to % to % to % to % to
total total total total total total total total total total
trades value trades value trades value trades value trades value
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
Apr-10 15.34 27.89 24.89 25.79 19.62 14.48 39.17 30.41 0.98 1.43
May-10 21.73 28.35 23.21 25.82 17.79 13.88 36.43 30.25 0.84 1.70
Jun-10 20.63 31.27 33.42 31.81 15.92 12.11 28.87 23.31 1.16 1.50
Jul-10 22.74 30.96 31.37 29.51 15.99 14.70 28.88 24.02 1.02 0.81
Aug-10 19.51 27.47 27.55 29.88 17.48 13.46 34.31 28.36 1.16 0.83
Sep-10 17.31 24.80 23.77 24.48 18.34 16.82 38.59 31.40 1.99 2.49
2010-11 (Upto
19.47 28.38 27.45 27.87 17.51 14.29 34.35 27.96 1.21 1.49
September 2010)
105
INTERCATEGORY ANALYSIS OF SETTLEMENT VOLUMES
CHART 21: CATEGORY WISE SETTLEMENT ANALYSIS
CATEGORYWISE ANALYSIS OF FOREX TRADES
Cooperative
Private Sector Bank Banks 0.15%
16.91% (18.33%) (0.13%) Financial
Institution
0.01% (0.02%)
Public Sector Foreign Bank

Bank 24.43% 58.5%
(22.77%) (58.76%)
* Figures in bracket relate to previous month
TABLE 53: INTER CATEGORY MEMBER ACTIVITY (BUY)

Market
Public Private Market
Foreign Coop Financial Share (%)
CATEGORY Sector Sector Share
Banks Banks Inst. (Previous
Banks Banks (%)
Month)
Foreign Banks 70.58 16.81 12.59 0.00 0.01 57.67 58.40
Cooperative Banks 0.50 20.93 62.12 16.44 0.00 0.15 0.12
Financial Inst. 60.82 0.00 39.18 0.00 0.00 0.01 0.01
TABLE 54: INTER CATEGORY MEMBER ACTIVITY (SELL)

Market
Public Private Market
Foreign Coop Financial Share (%)

CATEGORY Sector Sector Share
Banks Banks Inst. (Previous
Banks Banks (%)
Month)
Foreign Banks 68.19 18.20 13.60 0.00 0.01 59.69 59.48
Cooperative Banks 0.95 19.00 63.11 16.94 0.00 0.15 0.12
Financial Inst. 43.71 3.39 52.91 0.00 0.00 0.02 0.01
TABLE 55: CATEGORYWISE FOREX ACTIVITY Market Share (%)
CATEGORY CASH TOM SPOT FORWARD

Foreign Banks 69.48 67.50 51.37 63.50
Public Sector Banks 15.94 16.53 30.78 19.61
Private Sector Banks 14.28 15.71 17.70 16.83
Cooperative Banks 0.24 0.23 0.15 0.05
Financial Inst. 0.07 0.03 0.00 0.01
106
TABLE 56: MARKET SHARE percent
Settlement Period 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
Apr-10 36.57 57.10 73.55 82.41
May-10 34.35 55.84 70.90 80.98
Jun-10 36.41 56.55 73.24 82.85
Jul-10 35.01 57.51 72.40 81.37
Aug-10 38.87 61.53 75.97 83.52
Sep-10 35.84 57.79 73.96 82.74
2010-11 (Upto September 2010) 36.34 57.96 73.63 82.62
TABLE 57: NETTING FACTOR Amount in USD Mn

Settlement Period Gross (USD mn.) Net (USD mn.) Netting Factor (%)
2002-03 136102 24687 81.86
2003-04 501342 83849 83.28
2004-05 899778 94395 89.51
2005-06 1179688 115909 90.17
2006-07 1776980 171832 90.33
2007-08 3133665 239169 92.37

2008-09 3758905 209822 94.42
2009-10 2988971 177192 94.07
Apr-10 311594 15359 95.07
May-10 316783 13697.8 95.68
Jun-10 350142 16862 95.18
Jul-10 308188 15239 95.06
Aug-10 346491 16438 95.26
Sep-10 326124 16758 94.73
2010-11 (Upto September 2010) 1951128 94354 95.16
107
CHART 22: USD-INR SPOT CURVE
47.80 6.36
47.45 5.86
Annualised Forward Premia (%)

47.10
5.36
Spot Rate ( ` )
46.75
4.86
46.40
4.36
46.05
3.86
45.70
45.35 3.36
45.00 2.86
44.65 2.36
44.30 1.86
09-Sep-10
27-Sep-10
05-Apr-10
21-Apr-10
06-May-10
21-May-10
09-Aug-10
25-Aug-10
08-Jun-10
23-Jun-10
08-Jul-10
23-Jul-10
Date
Spot Rate Annualised Forward Premia (6 mths)
CONTINUOUS LINKED SETTLEMENT (CLS)

TABLE 58: CLS SETTLEMENT VOLUMES Amount in USD Million
Settlement Period Trades Volumes

2005-06 43774 67857.57
2006-07 138797 326641.95
2007-08 188741 681368.91
2008-09 247571 499317.93
2009-10 295258 391932.14
Apr-10 28779 30380.85
May-10 35322 36973.34

Jun-10 31627 33279.00
Jul-10 32194 34378.26
Aug-10 31734 33749.51
Sep-10 35329 40324.90
2010-11 (Upto September 2010) 194985 209085.87
108
FOREX TRADING PLATFORM:FX-CLEAR
TABLE 59: FX- CLEAR TRADING VOLUMES Amount in USD Million
Spot Daily Average
Settlement Period
Trades Volume Trades Volume
2003-04 881 646 5 4.00
2004-05 3319 2243 14 9.12
2005-06 16636 11893 68 48.74
2006-07 46551 33262 190 135.76
2007-08 73941 49138 298 198.14
2008-09 79125 46889 332 197.01
2009-10 99091 53435 415 223.58
Apr-10 10271 5574 541 293.36
May-10 9057 4737 453 236.83
Jun-10 8736 4517 397 205.31
Jul-10 8248 4278 375 194.47
Aug-10 8474 4475 404 213.12
Sep-10 8823 4711 441 235.55
2010-11 (Upto September 2010) 53609 28292 432 228.16
109
DERIVATIVES
TABLE 60: INTEREST RATE SWAPS TRANSACTIONS (MATCHED) - SEPTEMBER 2010

Amount ` Crore
MIBOR MIFOR INBMK TOTAL
Date
Trades Value Trades Value Trades Value Trades Value
1-Sep-10 186 10916 4 150 - - 190 11066
2-Sep-10 112 7000 5 175 - - 117 7175
3-Sep-10 118 9835 4 325 - - 122 10160
6-Sep-10 75 3525 2 75 - - 77 3600
7-Sep-10 94 6775 4 172 - - 98 6947
8-Sep-10 78 3925 5 329 - - 83 4254
9-Sep-10 153 8775 - - - - 153 8775
13-Sep-10 143 9220 2 75 - - 145 9295
14-Sep-10 151 8600 3 100 - - 154 8700
15-Sep-10 124 9125 4 125 - - 128 9250
16-Sep-10 266 15765 1 25 1 50 268 15840
17-Sep-10 268 15817 3 75 - - 271 15892
20-Sep-10 96 5525 2 150 - - 98 5675
21-Sep-10 80 5360 7 325 - - 87 5685
22-Sep-10 58 3309 15 675 - - 73 3984
23-Sep-10 109 7444 3 200 - - 112 7644
24-Sep-10 85 5531 1 50 - - 86 5581
27-Sep-10 67 5370 7 908 - - 74 6278
28-Sep-10 91 5737 1 25 - - 92 5762
29-Sep-10 59 4165 4 402 - - 63 4567

Total 2413 151719 77 4361 1 50 2491 156130
Average 121 7586 4 230 1 50 125 7807
110
TABLE 61: INTEREST RATE SWAPS MARKET SHARE - SEPTEMBER 2010
percent
MIBOR MIFOR
Category BUY SELL TOTAL BUY SELL TOTAL
Notional Notional Notional Notional Notional Notional
Deals Deals Deals Deals Deals Deals
Amount Amount Amount Amount Amount Amount
Foreign Banks 75.38 78.17 76.96 79.17 76.17 78.67 93.51 95.87 79.22 85.85 86.36 90.86
Nationalized
1.41 0.64 1.82 1.17 1.62 0.91 0.00 0.00 0.00 0.00 0 0.00
Banks
Primary Dealers 8.79 8.09 8.50 7.83 8.64 7.96 0.00 0.00 0.00 0.00 0 0.00
Private Banks 14.42 13.10 12.72 11.83 13.57 12.46 6.49 4.13 20.78 14.15 13.64 9.14
Total 100.00 100.00 100.00 100.00 100 100.00 100.00 100.00 100.00 100.00 100 100.00
CHART 23: MARKET SHARE IN MIBOR SWAPS TABLE 62: TOP “N” MARKET SHARE
IN MIBOR SWAPS
Primary Dealers Private Banks MIBOR MIFOR
Nationalized 7.96% 12.46%
Top 1 21.97 16.66
Banks
0.91% Top 5 53.91 64.69
Top 10 78.37 90.83
Foreign Banks
78.67%
CHART 24: MARKET SHARE IN MIFOR SWAPS
Private Banks
9.14%

Foreign Banks
90.86%
TABLE 63: OUTSTANDING POSITION IN IRS TRANSACTIONS

Amount ` Crore
MIBOR MIFOR INBMK Total

Period Notional Notional Notional Notional
Trades Trades Trades Trades
Sum Sum Sum Sum
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 (upto September 2010) 40263 2450876 7171 285427 529 25385 47963 2761688
111
TABLE 64: IRS TRADE SUMMARY Amount ` Crore
MIBOR MIFOR INBMK

Month
Trades Volumes Trades Volumes Trades Volumes
Aug-07 396 30140 35 1475 2 100
Sep-07 3730 266943 481 21092 7 250
Oct-07 2756 203909 711 32091 11 500
Nov-07 1976 141313 468 21507 - -
Dec-07 1791 135817 336 14915 2 100
Jan-08 5386 363222 853 39016 6 275
Feb-08 4713 343642 712 30781 - -
Mar-08 4683 319620 799 35141 7 325
Apr-08 3692 253937 393 17692 2 100
May-08 5159 314799 365 18004 5 200
Jun-08 5847 353056 492 21802 9 425
Jul-08 6008 383583 392 18549 9 300
Aug-08 4586 275768 347 14780 2 75
Sep-08 3792 242241 521 20962 8 450
Oct-08 3147 224822 206 8486 4 100
Nov-08 469 32064 145 6857 1 50
Dec-08 550 44234 188 10103 12 625
Jan-09 998 60260 148 7449 2 150
Feb-09 582 40111 70 3352 9 375
Mar-09 1016 71036 125 5504 2 75
Apr-09 678 43855 47 2144 2 75
May-09 1324 84029 57 2894 1 50
Jun-09 1831 116124 135 6021 - -
Jul-09 1130 69303 66 2542 7 575
Aug-09 942 65405 56 3207 2 150

Sep-09 880 76559 73 4732 - -
Oct-09 1277 101358 111 6028 1 50
Nov-09 1216 78946 44 1916 2 150
Dec-09 2233 161246 43 2410 - -
Jan-10 1827 141806 75 3666 - -
Feb-10 2158 153046 51 2267 13 850
Mar-10 2008 151301 23 1014 20 1025
Apr-10 1593 119593 63 2470 9 350
May-10 2126 149856 81 3752 25 1150
Jun-10 3365 260869 88 4290 20 1150
Jul-10 3592 265686 131 7506 23 1850
Aug-10 3619 251476 93 4979 4 300
Sep-10 2413 151719 77 4361 1 50
112
TABLE 65: NETTING FACTOR - IRS NON-GUARANTEED SETTLEMENT Amount ` Crore
Settlement Period Gross Amount Net Amount Netting %
2009-10 13863.29 3688.24 73.40
Apr-10 2107.47 485.17 76.98
May-10 1879.50 412.74 78.04
Jun-10 3114.68 624.36 79.95
Jul-10 2474.48 513.13 79.26
Aug-10 2239.13 482.20 78.46
Sep-10 2038.63 470.94 76.90
2010-11 (Upto September 2010) 13853.89 2988.55 78.43
INTEREST RATE MOVEMENT

HIGHLIGHTS back. In the longer end of the curve, the yields
• Zero coupon yields as on September 29, 2010 were however, have moved to lower levels. In the last one
at higher levels in the short to medium term of the month, yields have moved to marginally lower
curve as compared to the yields prevailing a year levels across the curve except at the very short end.
CHART 25: ZERO COUPON YIELD CURVE

9.50
9.00
8.50
8.00
Zero Coupon Rate (%)
7.50
7.00
6.50
6.00
5.50
5.00
4.50
4.00
3.50
3.00
2.50
2.00
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30

Tenor (In years)
September 29, 2010 August 31, 2010 September 29, 2009
CHART 26: SOVEREIGN YIELD CURVE

Sovereign Yield Curve
8.50
8.00
7.50
7.00
6.50
(%)
6.00
5.50
5.00
4.50
4.00
3.50
0.5 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
Tenor
September 29, 2010 August 31, 2010 September 29, 2009
113
TABLE 66: YIELD MOVEMENT OF TEN YEAR BENCHMARK - 7.80% G.S. 2020
Date Wtd avg yld
1-Sep-10 7.9375
2-Sep-10 7.9718
3-Sep-10 7.9678
6-Sep-10 7.9945
7-Sep-10 7.9528
8-Sep-10 7.9308
9-Sep-10 7.9000
13-Sep-10 7.9618
14-Sep-10 7.9572
15-Sep-10 7.9308
16-Sep-10 7.9613
17-Sep-10 7.9861
20-Sep-10 7.9733
21-Sep-10 7.9811
22-Sep-10 7.9430
23-Sep-10 7.9362
24-Sep-10 7.8567
27-Sep-10 7.8697
28-Sep-10 7.8461
29-Sep-10 7.8374
CHART 27: TEN YEAR YIELD MOVEMENT
8.20
7.90
(%)
7.60
7.30
7.00
Nov-09
Dec-09
Jan-10
Jun-10
Oct-09
Feb-10
Mar-10
May-10
Jul-10
Sep-10
Apr-10
Aug-10
Date
10-year Yield
114
TABLE 67: SPREAD ON STATE GOVERNMENT SECURITIES (SDLs)
State Trades Traded Volume (` Crore) Average Spread (bps)
ANDHRA PRADESH 90 3586.50 37.17
GUJARAT 56 1358.60 36.99
JAMMU AND KASHMIR 3 200.00 37.89
MAHARASTRA 87 5170.10 36.86
MEGHALAYA 3 104.00 32.89
PUNJAB 16 724.40 37.41
RAJASTHAN 7 700.00 39.69
TAMIL NADU 111 4037.00 36.44
UTTAR PRADESH 75 4929.30 38.41
WEST BENGAL 39 2001.80 37.04
Total 487 22811.70 37.50
Note: Spread has been calculated on the basis of deals settled through CCIL taking into account only outright deals of Rs.5 Crore and
above. The methodology and other information on the spread can be requested from Economic Research Department, CCIL
CHART 28: YIELD MOVEMENT
0.2500
0.2000
Change in yield (bps)
0.1500
0.1000
0.0500
0.0000
-0.0500

-0.1000
0.5 5 10 15 20 25 30
Years to Maturity
Change (bps)
115
TABLE 68: YIELD SPREADS
Change in Change in
YTM Change in YTM(bps) Spread over 1 year(bps)
spreads spreads
Year (bps) (bps)
September August September Month to Year on September August September Month to Year on
29, 2010 31, 2010 29, 2009 Month Year 29, 2010 31, 2010 29, 2009 Month Year
2010 4.9135 - - - - - - -
2011 6.6585 6.3924 5.7973 27 86 - - 88 - -
2012 6.9670 6.7968 6.5466 17 42 31 40 163 -10 -132
2013 7.2073 7.1419 6.8468 7 36 55 75 193 -20 -138
2014 7.5463 7.2797 6.8717 27 67 89 89 196 0 -107
2015 7.6801 7.6673 7.1450 1 54 102 127 223 -25 -121
2016 7.8223 7.8767 7.1571 -5 67 116 148 224 -32 -108
2017 7.8591 7.9581 7.1582 -10 70 120 157 224 -37 -104
2018 7.9329 7.9554 7.2572 -2 68 127 156 234 -29 -107
2019 7.9220 7.9289 7.1464 -1 78 126 154 223 -27 -97
2020 7.8373 7.9483 7.5720 -11 27 118 156 266 -38 -148
2021 7.9903 8.1312 7.8056 -14 18 133 174 289 -41 -156
2022 7.9728 8.1534 7.6701 -18 30 131 176 276 -45 -144
2023 8.1268 8.2170 7.8769 -9 25 147 182 296 -36 -150
2024 8.1916 8.2581 7.7510 -7 44 153 187 284 -33 -130
2025 8.2539 8.3037 8.0714 -5 18 160 191 316 -32 -156
2026 8.2960 8.3346 8.1392 -4 16 164 194 323 -30 -159
2027 8.2665 8.3508 8.1230 -8 14 161 196 321 -35 -160
2028 8.3513 8.3287 8.2170 2 13 169 194 330 -24 -161
2032 8.4150 8.4453 8.1758 -3 24 176 205 326 -30 -151
2034 8.3170 8.3760 8.1644 -6 15 166 198 325 -33 -159
2035 8.4317 8.4704 8.1539 -4 28 177 208 324 -30 -147
2036 8.4339 8.4750 8.1458 -4 29 178 208 323 -31 -146
2039 8.4352 8.4860 8.1151 -5 32 178 209 320 -32 -142

2040 8.3196 8.3786 - -6 - 166 199 - -33 -
Note: Weighted Average yield of most liquid security for each tenor is considered.
116
CCIL NFS-ATM
IDRBT has appointed CCIL as the designated Settlement Agency for Interbank settlement of ATM transactions within the
members of National Financial Switch (NFS). CCIL started the settlement of ATM transactions from August 27, 2004.
TABLE 69: NFS-ATM SETTLEMENT VOLUMES

Month Transactions Volumes (` Crore)
2004-05 262284 46.26
2005-06 5721316 611.78
2006-07 16146164 1869.79
2007-08 60117540 6068.88
2008-09 213126866 17280.63
2009-10 1132573588 42892.81
Apr-10 127662942 4188.67
May-10 135855932 4464.24
Jun-10 129015744 4126.30
Jul-10 145124482 4432.78
Aug-10 202015676 5244.58
Sep-10 216098442 5476.69
2010-11 (Upto September 2010) 955773218 27933.26
117
CORPORATE BONDS
September'10 witnessed an increase in the bucket. The maturity wise analysis of the securities
borrowing of corporates in the corporate bond issued during September is given in the table below.
market. 146 securities were issued during the
There was a marginal increase (5%) in the secondary
month as against 99 in August'10. Of these,
market corporate bond volumes during the month.
Finance Companies continued to account for a
Average daily volumes on the FIMMDA reporting
major share (58%), followed by Infrastructure
platform was at `1681 crore compared to `1631
Companies (23.29%), Manufacturing Companies
crore in the previous month. On the NSE platform
(13.01%) and finally Other Corporates (5.48%) .
average daily volume was at Rs. 530 crore as against
The average coupon of the securities issued during `539 crore in August. On the BSE reporting
the month was 8.83%, as compared to 9% in platform average volumes rose significantly to `164
August. Fixed coupon bonds dominated the crore as against `87 crore in August. The 5 year AAA
issuance with a share of 78% in the total issuance, bond spread widened to 102bps as against 94bps in
followed by floating rate bonds with a share of the previous month. However the longer term 10
19.18%. The issuances were mostly around the 2-5 year AAA corporate bond spread narrowed to
year tenor, followed by the 10-15 year maturity 83bps as against 96bps during the previous month.
TABLE 70: PRIMARY MARKET ISSUANCE - SEPTEMBER'10

Avg. Fixed Max. Min.
Maturity Zero Floating
No. Fixed Floating Coupon Coupon Coupon Remarks
Bucket Coupon Benchmark
(%) (%) (%)
<=1 year 14 11 3 7.5 14.00 7.50
> 1 year -<=2 Nifty Index
11 9 1 1 8.66 10.65 4.50
years Linked
Niffty Linked,
> 2 years -<=5 Gold Linked,

58 32 26 9.35 16.50 7.80
years INBMK, Equity
Linked
>5 years -<=10
21 20 1 9.56 13.50 8.45 INBMK
years
>10 years-<=15
26 26 8.83 11.00 7.50
years
> 15 years 16 16 9.06 11.00 8.68
118
TABLE 71: HISTORICAL CORPORATE BONDS TRADING DETAILS Amount ` Crore
Month FIMMDA NSE BSE Cumulative

Feb-08 2875.30 2067.34 1127.97 6070.61
Mar-08 3081.26 1384.83 1580.40 6046.49
Apr-08 3643.84 2768.29 2735.47 9147.60
May-08 3679.90 2192.63 4063.39 9935.92
Jun-08 2881.50 3281.99 3390.00 9553.49
Jul-08 2909.68 2095.06 1705.68 6710.42
Aug-08 2202.09 787.87 1160.67 4150.63
Sep-08 4372.59 2557.43 2603.21 9533.23
Oct-08 2652.20 2523.26 2482.20 7657.66
Nov-08 2065.88 1863.70 1556.86 5486.44
Dec-08 12121.62 8148.69 5817.62 26087.93
Jan-09 12200.42 7779.45 6415.54 26395.41
Feb-09 4365.25 7428.14 2669.97 14463.36
Mar-09 6406.78 7405.30 2894.17 16706.25
Apr-09 11692.45 16992.64 2681.50 31366.60
May-09 7072.22 10687.97 2762.10 20522.29
Jun-09 7065.72 8635.81 3138.79 18840.32
Jul-09 10357.91 12477.27 4573.00 27408.18
Aug-09 7134.71 13462.60 4566.05 25163.36
Sep-09 8748.29 14393.47 6336.69 29478.45
Oct-09 10115.98 12903.84 7281.77 30301.59
Nov-09 9351.03 16923.95 6058.86 32333.84
Dec-09 20372.56 7032.66 3151.12 30556.34
Jan-10 32494.07 15164.08 4656.82 52314.97
Feb-10 25925.07 9742.13 4062.10 39729.30

Mar-10 42663.91 16320.63 5156.85 66276.25
Apr-10 43312.30 19075.45 3946.07 66333.82
May-10 44629.85 21438.35 5774.11 71842.31
Jun-10 36731.18 12512.45 4291.70 53535.33
Jul-10 46687.43 11492.40 4806.18 62986.01
Aug-10 35883.51 11862.27 1919.52 49665.30
Sep-10 36990.52 11656.39 3601.23 52248.14
119
TABLE 72: CORPORATE BONDS TRADING DETAILS Amount ` Crore
FIMMDA NSE BSE Total

Date
1-Sep-10 104 1618.74 33 565.91 8 95.30 145 2279.95
2-Sep-10 98 1628.21 35 763.40 7 21.90 140 2413.51
3-Sep-10 78 1557.35 25 921.00 7 27.82 110 2506.17
6-Sep-10 104 1480.31 20 245.96 9 2.56 133 1728.82
7-Sep-10 106 1883.15 20 441.00 7 81.50 133 2405.65
8-Sep-10 131 1605.26 30 525.00 9 59.10 170 2189.36
9-Sep-10 153 1678.24 35 745.00 4 25.50 192 2448.74
13-Sep-10 106 1509.44 18 333.00 10 30.93 134 1873.37
14-Sep-10 103 1468.40 31 595.30 7 15.48 141 2079.18
15-Sep-10 115 2916.48 91 856.79 13 115.00 219 3888.27
16-Sep-10 135 1952.29 200 747.00 21 297.90 356 2997.19
17-Sep-10 112 2509.00 22 549.80 17 937.40 151 3996.20
20-Sep-10 168 2773.09 9 353.93 44 982.10 221 4109.12
21-Sep-10 138 1957.10 28 700.60 20 374.35 186 3032.05
22-Sep-10 164 1558.60 16 393.00 5 226.00 185 2177.60
23-Sep-10 156 1894.08 31 764.70 8 90.50 195 2749.28
24-Sep-10 148 1942.79 39 1072.00 7 55.60 194 3070.39
27-Sep-10 153 1571.91 21 387.30 15 34.70 189 1993.91
28-Sep-10 152 1604.49 21 327.40 13 50.50 186 1982.39
29-Sep-10 137 1881.59 18 368.30 15 77.09 170 2326.99
Total 2561 36990.52 743 11656.39 246 3601.23 3550 52248.14
Average 116 1681.39 34 529.84 11 163.69 161 2374.92
TABLE 73: SPREAD ANALYSIS

Maturity Buckets Average Spread (bps)

<=1 year 0.93
> 1 year -<=2 years 1.36
> 2 years -<=3 years 1.00
>3 years -<=5 years 1.10
>5 years-<=7 years 1.19
> 7 years 1.06
Note: Spread over comparable G-sec
Deals apparently viewed as duplicate deals have been excluded.
120
TABLE 74: TOP 25 TRADED BONDS
Volume
No. Security Description Rating Category Maturity Coupon (%) Trades Yield (%)
(` Cr.)
1 POWER FINANCE CORPORATION LIMITED AAA Finance 15-Sep-12 7.89 45 2009.00 7.9000
2 ECL FINANCE LIMITED AA- Finance 27-Oct-10 5.75 25 1289.00 5.7500
3 INDIAN OIL CORPORATION LIMITED AAA Oil 24-Jul-12 7.00 39 1262.00 7.7000
4 NATIONAL HOUSING BANK AAA Finance 13-Sep-13 7.85 23 1255.00 7.8604
5 INFOTEL BROADBAND SERVICES LIMITED - Others 15-Sep-20 8.95 21 1225.00 8.9466
6 POWER FINANCE CORPORATION LIMITED AAA Finance 15-Jul-12 7.10 33 950.00 7.7250
7 BHARAT PETROLEUM CORPORATION LIMITED AAA Oil 28-Oct-11 6.23 20 900.00 7.7925
8 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED AAA Finance 22-Apr-11 6.84 23 869.60 7.9700
9 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED AAA Finance 8-Oct-10 Zero Coupon 20 772.50 6.6300
10 RURAL ELECTRIFICATION CORPORATION LIMITED AAA Infrastructure 6-Oct-12 7.90 15 720.00 7.9500
11 INDIAN RAILWAY FINANCE CORPORATION LIMITED AAA Finance 7-Jan-13 8.75 19 700.00 7.9400
12 EXIM BANK AAA Finance 26-Aug-13 7.6 7 700.00 7.5980
13 SHRIRAM TRANSPORT FINANCE COMPANY LIMITED AAA Finance 13-Sep-17 Reset Rate 3 679.00 7.0000
14 LIC HOUSING FINANCE LIMITED AAA Finance 15-Sep-20 8.95 86 654.70 8.9600
15 NATIONAL BANK FOR AGRICULTURAL AND RURAL DEVELOPMENT AAA Finance 15-Oct-12 9.50 20 640.20 7.8000
16 EDELWEISS SECURITIES LIMITED P1+ Finance 26-Oct-10 7.50 9 605.00 7.5000
17 LIC HOUSING FINANCE LIMITED AAA Finance 11-Dec-10 7.10 8 585.00 3.7300
18 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED AAA Finance 24-Aug-11 Zero Coupon 15 570.00 7.7900
19 ECL FINANCE LIMITED AA- Finance 22-Oct-10 7.25 6 570.00 7.2500
20 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED AAA Finance 9-Mar-12 Zero Coupon 15 536.80 8.0500
21 EDELWEISS CAPITAL LIMITED P1+ Finance 27-Oct-10 5.50 9 510.00 5.5000
22 INFRASTRUCTURE DEVELOPMENT FINANCE COMPANY LIMITED AA+ Infrastructure 21-Dec-11 Zero Coupon 4 500.00 4.0500
23 RURAL ELECTRIFICATION CORPORATIO N LIMITED AAA Infrastructure 12-Jul-25 8.75 55 489.90 8.8000
24 POWER FINANCE CORPORATION LIMITED AAA Finance 14-May-20 8.70 71 473.80 8.7500
25 NATIONAL HOUSING BANK - Finance 30-Aug-13 8.2 32 432.60 8.1988
Note: Deals apparently viewed as duplicate deals have been excluded.

Yields have been taken from source.
Source for Corporate Bonds:
www.fimmda.org
www.nseindia.com
www.bseindia.com
www.nsdl.co.in

121
MILESTONES
• April 30, 2001- CCIL was incorporated as the India.
country's first clearing house for the • August 7, 2003 - FX-CLEAR, the forex dealing
Government Securities and inter-bank foreign platform was launched.
exchange transactions.
• October 18, 2003 - Electronic movement of
• February 15, 2002 - CCIL commenced its Member Margins / Collaterals facilitated
securities settlement operations (but only through “Value Free Transfer Module” of
trades below Rs. 200 million was to be NDS.
necessarily settled by CCIL).
• February 5, 2004 - CCIL commenced
• April 10, 2002 - CCIL extended the facility of guaranteed settlement of Cash and Tom deals
guaranteed settlement of G-sec trade to its from spot date.
members.
• March 5, 2004 - Non-NDS Members
• October 17, 2002 - Launched Quarterly commence CBLO operations.
Publication “Rakshitra” containing articles in
relevant operational areas as also detailed • April 2, 2004 CCIL switched to Delivery
statistics and analysis of settlement versus Payment III mode of settlement and
information. hence began netting of securities.
• October 25, 2002 - Started publication of • June 15, 2004 - Operationalised “Straight
“Weekly Market Update” containing weekly Through Processing” arrangement for
statistics and analysis of settlement settlement of foreign exchange trades done on
information and important market Fx Clear.
developments. • August 2004 “Rakshitra” was made a
• November 8, 2002 - CCIL commenced monthly newsletter.
guaranteed settlement of Forex (Spot & • August 27, 2004 - Started clearing and
Forwards) transactions. settlement of ATM transactions of National
• January 20, 2003 - CCIL launched Financial Switch operated by Institute for
Collateralized Borrowing and Lending Development and Research in Banking
Obligations (CBLO). Technology (IDRBT).
• April 1, 2003 - All trades in the securities • October 14, 2004 - Govt. Securities Lending
settlement got routed through CCIL. and Borrowing Scheme was operationalised.
• June 4, 2003 - Set up a wholly owned • January 2005 - CCIL received regulatory
Subsidiary Company Clearcorp Dealing approval for commencement of cross
Systems (India) Ltd. to manage dealing currency deals through CLS Bank by availing
platforms in Money and Currency Markets. the third party services of ABN AMRO Bank
as the settlement bank.
• July 19, 2003 - Operationalised Anonymous
Auction System to facilitate Buy Back of • January 31, 2005 CCIL released its Sovereign
Government Securities by Government of Bond Indices, CCIL BROAD GILTS INDEX,
122
consisting of top 20 traded securities and • July 2006 CCIL receives ISO/IEC 27001:
CCIL LIQUID GILTS INDEX, consisting of 2005 certification for securing its information
the 5 most liquid bonds, to track the assets.
movement of the government securities • August 2006 Electronic Receipt and
market. Confirmation System (ERCS) launched to
• February 7, 2005 CCIL started releasing enable CCIL members to submit their
comparative intra day money market rates of deposits and withdrawal request through the
Call, Repo and CBLO markets on its website. electronic media.
• April 6, 2005 Commenced settlement of cross • September 4, 2006 - CCIL released its CCIL
currency transactions through CLS. ALL SOVEREIGN BOND INDICES
• May 2, 2005 CCIL released its T-Bill index (CASBI), which would reflect the broad
consisting of two T-bill indices CCIL movement of the market. The base date of the
EQUAL WEIGHT T-bills INDEX and CCIL index is January 1, 2004.
LIQUIDITY WEIGHT T-bills INDEX. The • September 4, 2006 CCIL launched its eNotice
CCIL T-bills indices are instruments that System available to all members for sending
would capture the market movement in the their collateral notices in electronics form.
short term maturity segment. • September 11, 2006 Launch of Intraday
• June 29, 2005 The Forex segment recorded the Securities Withdrawal in CBLO segment.
highest netting factor of 97.15%. • September 18, 2006 - NDS - CALL, and
• August 1, 2005 Launching of NDS Order electronic screen-based quote driven dealing
Matching System (NDS-OM). system for all Call, Notice and Term Money
• August 16, 2005- CBLOi ((Internet Trading operations was launched. The system
System for Non-NDS Members) commenced facilitates negotiation between counterparties
operations. and monitors counterparty exposure limits, as
also adherence to regulatory limits.

• March 20, 2006 - CCIL has launched
Overnight Collateralised Benchmark • January 3, 2007 - NDS Auction module went
Reference Rates for Indian market, namely live to facilitate bidding in primary Treasury
CCIL Collateralised Benchmark Bid Rate Bill auctions.
(CCBID) and CCIL Collateralised • January 16, 2007 - Euroclear and The Clearing
Benchmark Offer Rate (CCBOR). The rates Corporation of India Limited (CCIL) signed a
are disseminated at 10:10 A.M. from Monday Memorandum of Understanding (MOU)
to Friday. The historical data is available in regarding post-trade processing collaboration.
CCIL website (http: //www.ccilindia.com) • January 25, 2007 - CCIL launched the CCIL
from January 2004. MIBOR (CCIL Mumbai Inter-Bank Offer
• July 31, 2006 Version 2 of the NDS-OM Rate) /MIBID (CCIL Mumbai Inter-Bank Bid
trading platform launched, enabling trading Rate) based on Dealt Quotes from NDS-Call.
in Treasury Bills and trading in the When • March 5, 2007 The 'eNotice System' extended
Issued market. to Non-NDS Associate Members.
123
• May 21, 2007 - Version 3.0 of NDS-OM and Special Repos for T+0 and T+1 settlement
launched on May 21, 2007 enabling odd lot tenors.
trading on the NDS-OM platform, trading of • February 11, 2009 - CCIL became the first
new securities in the when issued market and organization to be granted authorisation by the
trading of CSGL entities on this platform. Reserve Bank of India under “The Payment &
• July 03, 2007 CCIL started releasing the daily Settlement Systems Act- 2007”.
Spot reference rates on the CCIL website. • May 11, 2009 Version 2 of NDS Auction
• August 30, 2007 CCIL's reporting platform for module went live to facilitate bidding in
the transaction in OTC interest rate derivatives primary Dated Securities auctions.
(Interest Rate Swaps and Forward Rate • June 1, 2009- The CCIL SDL Index was
Agreements (IRS/FRA) became operational. launched to track the market for SDLs through
• September 10, 2007 - Version 2.0 of NDS-CALL a representative index.
electronic screen-based quote driven dealing • June 1, 2009 - The CCIL Tenor Index was
system for Call, Notice & Term money was launched to capture the tenor wise movement
launched. The enhancements include User across the term structure.
hierarchy with multiple user levels with pre set
role privileges and risk mitigation measures • December 1, 2009 - CCIL commenced the
such as assigning Single Order Limit and settlement of forex forward trades with
setting up of exposure limits for guarantee from the trade date.
Counterparties at various levels. • May 31, 2010 - Launch of FX-SWAP Dealing
• November 12, 2007 - The Depository Trust & System an anonymous order driven matching
Clearing Corporation (DTCC) and The system which offers guaranteed settlement of
Clearing Corporation of India Limited (CCIL) forward trades from the point of trade.
have signed a Memorandum of Understanding • August 11, 2010 - CCIL started settlement of
(MOU) aimed at promoting closer 'India-Pay Mobile Payment Service - India Pay
collaboration between the two market Switch' file on a Non Guaranteed basis.
infrastructure organizations.
• September 4-9, 2010 - CCIL successfully
• November 27, 2008 - CCIL commenced Non- conducted “Live Operations” of all business its
Guaranteed Settlement of OTC Trades in applications from DR Pune datacenter
Rupee Derivatives. validating its infrastructure capabilities and
• January 1, 2009 - CCIL launched the CCIL different disaster scenarios.
Certification Programme.
• January 27, 2009 - Clearcorp launched
'Clearcorp Repo Order Matching System'
(CROMS), a STP enabled electronic
anonymous order matching platform to
facilitate dealing in market repos in
government securities. CROMS facilitates
dealing in two kinds of Repos viz. Basket Repos
124
KEY PERSONNEL/HODs
Sr.
Person Designation and Department Phone No.
No
1 Dr. R.H. Patil Chairman 66639202
2 Mr. Y. S. S. Kapdi Managing Director 66639201
3 Mr. Ravi Rajan Executive Vice President 66639241
4 Mr. Bala Jothi Chief Technology Officer 66639261
5 Mrs. Indirani Rao Chief Forex Officer 66639301
6 Mr. O.N. Ravi Company Secretary & Corporate Development Officer 66639341
7 Mr. S. Roy Chief Risk Officer 66639321
8 Mr. Deepak Chande Senior Vice President , Finance & Accounts 66639352
9 Dr. Golaka C. Nath Senior Vice President, Economic Research & Surveillance, Membership 66639391
Senior Vice President , Operations (Fixed Income & Money Market)
10 Mr. Pradeep. K. Naik 66639231
Department
11 Mr. Kamal Singhania Vice President , Forex 66639361
12 Mr. Praveen Mata Vice President , Information Technology Department 66639285
13 Mr. P.S. Sundareswaran Vice President , HRD and Admin 66639302
14 Mr. R. Natarajan Asst. Vice President, Derivatives 66639315
15 Mr. Pradyumna S. Odak Asst. Vice President , Membership 66639242
16 Mr. Santosh Bhalerao Asst. Vice President , Information Technology Department 66639442
17 Mr. Amol Pradhan Jr. Vice President, Funds and Collateral. Mgmt 66639247

18 Mr. K. Biju Jr. Vice President, Product Development Departme nt 66639365
19 Mr. Bijesh Muthirakkal Jr. Vice President, Information Technology Department 66639434
20 Mr. N. Venkatraman Jr. Vice President, CBLO and Securities Settlement 66639215
125
Published by the Research Department, CCIL
Previous Issues
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Managing Director's Message: Briefing

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C O N T E N T S

Managing Director's Message 3

• CCIL successfully conducted “Live Operations” of all its

• CCIL CLS Segment settled 35,329 deals in September

Yearly Movement of the YTM curve

THE CLEARING CORPORATION OF INDIA LTD.

1-Jan-04 1-Jan-05 2-Jan-06 2-Jan-07 1-Jan-08 1-Jan-09 1-Jan-10

Sensitivities of the YTM Rates to the First Three Factors

-0.5 -0.5 0.5 1 5 10 15 20 25 30

THE CLEARING CORPORATION OF INDIA LTD.

the yield curve. explained by each principal

THE CLEARING CORPORATION OF INDIA LTD.

merely the first three 700

PCs or factors which 600

yield curve. The

a grasp of the evolution of

which represent the major

changes in the yield curve.

Frequency Cumulative % Appendix:

4. An Empirical Analysis of the Canadian Term

THE CLEARING CORPORATION OF INDIA LTD.

are well suited to enhance resilience of the financial

adjustments. in the case of multinational banks are more stable

THE CLEARING CORPORATION OF INDIA LTD.

THE CLEARING CORPORATION OF INDIA LTD.

THE CLEARING CORPORATION OF INDIA LTD.

(from August 2007 to November 2009). The rate /

THE CLEARING CORPORATION OF INDIA LTD.

International 3.1% in August from a year earlier.

THE CLEARING CORPORATION OF INDIA LTD.

Indian Economy limits and is eminently financeable.

THE CLEARING CORPORATION OF INDIA LTD.

THE CLEARING CORPORATION OF INDIA LTD.

Reserve Bank of India: billion respectively over the previous quarter.

THE CLEARING CORPORATION OF INDIA LTD.

7. Legal changes: would have to be adopted and dovetailed

THE CLEARING CORPORATION OF INDIA LTD.

Liberalised Remittance Scheme to derivatives trade abroad up to the US

6. Tax investments of a global fund located abroad

THE CLEARING CORPORATION OF INDIA LTD.

(2) the lack of transparency of some repo credit.

supporting the repo infrastructure. This may create

THE CLEARING CORPORATION OF INDIA LTD.

THE CLEARING CORPORATION OF INDIA LTD.

inflation in the new series is higher than in the old

THE CLEARING CORPORATION OF INDIA LTD.

THE CLEARING CORPORATION OF INDIA LTD.

surplus ascended to $17.5 4. Invisibles, net 89.90 78.90 21.20 20.50

c o m m e rc i a l b o r ro w i n g s , P: Preliminary. PR: Partially Revised.

4.5 3.8 3.7 3.9

Aug-10 Jul-10 Aug-09

THE CLEARING CORPORATION OF INDIA LTD.

18.00 attempt to reduce

in the third quarter and weaken to 0.3% in the

INTERNATIONAL YIELD MOVEMENTS

Money Market Review* September'10, short term rates remained range

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Call Rate (%)

SHARE IN MONEY MARKET TRADING VOLUMES

COMPARATIVE WEIGHTED AVERAGE MONEY MARKET RATES (%)

Liquidity Adjustment Facility of wireless spectrum with the debt market by

THE CLEARING CORPORATION OF INDIA LTD.