CCIL-weekly Update 13022009

7/24/2019 CCIL-weekly Update 13022009

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For the week ended February 13, 2009

Market Update Market Update

Market Snapshot

MARKET SNAPSHOT

Indicators Feb. 13, 2009 Feb. 06, 2009

Inflation (%) 4.39 5.07

(Jan. 31, 2009) (Jan. 24, 2009)

CCIL MIBOR 4.1008 4.1216

CCBOR 3.7316 3.5909

Avg. LAF Rev. Repo Vol. 485,870 516,580

Avg. LAF Repo Vol. 1,800 2,250

Avg. Call Vol. 115,009 124,892

Avg. Repo Vol. 217,779 193,564

Avg. CBLO Vol. 367,679 360,075

Avg. Call Rates (%) 3.95 4.05

Avg. Repo Rates (%) 3.73 3.99

Avg. CBLO Rate (%) 3.72 3.73

91-Day Cut-off (%) 4.7895 4.8306

182 Day Cut-off (%) 4.7002

364 Day Cut-off (%) 4.5822

10-yr G-Sec yield (%) 6.2445 6.2221

1-10 yr spread (bps) 169 162

USD/INR 48.72 48.73

6 Month Forward Premia (%) 1.95 2.18

6 month USD LIBOR 1.72 1.77

(Amount in Rs. Mn)

CCIL WEEKLY BUSINESS ACTIVITY (SATURDAY TO FRIDAY)(Amount in Rs.Million)

Current Previous 1 month 3 months 6 months 1 yearWeek week ago ago ago ago

Outright 597836.16 523208.81 922596.50 290747.42 307347.65 576996.29Repo 1306671.10 1161383.00 1143583.40 671386.40 488240.70 1200810.60CBLO 2206072.50 2160451.00 1981281.50 1337796.00 1108366.00 2173699.00NDS-Call 604193.20 599088.50 723382.50 510932.50 687108.00 593448.30Forex* 36113.50 49531.40 54286.76 44244.83 53462.28 51233.26FX-Clear* 1011.86 909.45 1140.83 801.69 929.49 1085.96CLS* 7422.46 7902.56 8036.25 5662.57 11940.53 11890.10IRS-MIBOR 131600.00 81500.00 168570.00 66910.00 527770.00 826430.00IRS-MIFOR 8055.00 8220.50 12250.00 15380.00 20250.00 63500.00IRS-INBMK 2000.00 1750.00 0.00 0.00 250.00 0.00

* Amount in USD Million


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Market Developments

According to the advance estimates released by theCentral Statistical Organisation (CSO), the growth

in gross domestic product (GDP) at constant pricesduring 2008-09 is estimated to grow at 7.10% asagainst 9.0% during 2007-08. At current prices, GDPduring 2008-09 is likely to attain a growth of 15.50%as against 14.30% during 2007-08.

The Index of Industrial Production (IIP) registereda decline of 2.0% in December 2008 compared to agrowth of 8.0% in December 2007. The IIP growthfor November 2008 has been revised downwardsto a growth of 1.70% from a growth of 2.40%. TheIIP growth declined to 3.20% between April-December'08 from 9.0% in the corresponding periodof the previous fiscal.

RBI conducted the auction of "6.05% GovernmentStock 2019" and "6.83% Government Stock 2039"for the notified amounts of Rs.6,000 crore andRs.2,000 crore respectively on February 13, 2009.The cut-off yields for the securities were 5.9407%and 7.3696% respectively.

During the week ended February 13, 2009, RBIabsorbed an average amount of Rs.48,587.00 crore

from the system through the daily LAF reverse repoauctions. On the other hand, RBI injected anaverage amount of Rs.180.00 crore into the systemthrough the daily LAF repo auctions.

Banks have borrowed an amount of Rs.270 croreduring the week ended February 13, 2009 underthe special term repo facility.

As on January 30, 2009 all the Scheduled Banks'investments (at book value) in the central and stategovernment securities stood at Rs.11,85,202.02crores as against Rs.9,70,649.32 crores in the

corresponding period of the previous year. Nine State Governments announced the auction of

their 10-year SDLs for an aggregate amount ofRs.8,362.240 on February 17, 2009.

The Government of India, in consultation with theRBI, has issued a new issuance calendar formarketable dated securities worth Rs.46,000 crorecovering the period from February 20, 2009 toMarch 31, 2009.

RBI has decided to widen the scope of its OMO by

including purchases of Government securitiesthrough an auction-based mechanism in addition

MARKET DEVELOPMENTSto its operations through NDS-OM fromFebruary 19, 2009.

RBI has notified the time limit to be adhered to bybanks for reconciliation of transactions related toATM failure.

RBI has notified the revised rules for lending underconsortium arrangement/multiple bankingarrangements.

RBI has decided to constitute a Task Force to lookinto the problems faced by the diamond industry inGujarat and make practicable recommendations formitigating the difficulties.

RBI has liberalised the norms regarding opening ofdiamond dollar accounts.

RBI has signed a MoU with the Government ofOrissa for the constitution of a state level task forceon Urban Co-operative Banks for the State ofOrissa.

RBI has permitted use of NBFCs' investments infixed deposits of SIDBI and NABARD for meetingthe requirements of Section 45IB of Reserve Bankof India Act, 1934.

Fitch Ratings affirmed India's long-term foreigncurrency and local currency Issuer Default Ratings(IDRs) at 'BB-', or 'investment grade'. It estimatesthe consolidated general government deficit to reach9.5% of the GDP by March 2009, up from 6.1% ayear ago. Current account deficit will fall to 1.2% ofGDP in 2009-10 from 2.9% of GDP in 2008-09.

The US Senate passed President Barack Obama'seconomic stimulus package worth $787 billion,comprising of a package of tax cuts and more thana half-trillion dollars in new federal spending.

The Bank of Korea cut its interest rate to a recordlow of 2% while indicating that there was scope foranother reduction to revive the economy.

GDP in the euro region declined 1.5% in the fourthquarter of 2008 from the previous quarter, the mostin at least 13 years. From a year earlier, GDP fell1.2%, the only full-year drop on record.

Consumer prices in China rose 1% in January'09from a year earlier, after gaining 1.2% inDecember'08. Producer prices fell 3.3% after a 1.1%decline in December.

CCIL became the first organization to be grantedauthorisation by the Reserve Bank of India under"The Payment & Settlement Systems Act- 2007".


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For the week ended February 13, 2009Market Update Market Update

Securities Segment

VOLUME AND PRICE MOVEMENTS FOR OUTRIGHT TRADES

3) Top 2 Central Government Dated Securities (Amt. in Rs. Million)

Security Value % ValueDescription to Total

Price (Rs.) YTM (%) Price (Rs.) YTM (%)

8.24% G.S. 2018 193490 37.29 114.34 6.1700 111.89 6.50197.46% G.S. 2017 69990 13.49 106.81 6.4110 106.33 6.4839

As on February 13, 2009 As on February 06, 2009

SECURITIES SEGMENTSETTLEMENT ANALYSIS

No of Participants: 151

1) Settlement Volume (Amt. in Rs. Million)

Average outright settlement volumes increased by 14% as compared to the previous week.Average Repo volumes increased by 13% compared to the previous week. The highest daily settlementvolumes of Rs.164 billion for outright trades and Rs.363 billion for repo trades were recorded onFebruary 13, 2009.

February 13, 2009 February 06, 2009 2008-09 2007-08(upto Feb. 13, 2009) (upto Feb. 15, 2008)

Week Ended Trades Value Trades Value Trades Value Trades Value

Outright 6682 597836 5587 523209 221122 18844172 167962 14808809Repo 757 1306671 649 1161383 19987 34059126 23535 34107142

Total 7439 1904507 6236 1684592 241109 52903298 191497 48915951Daily Avg 1336 119567 1117 104642 1063 90597 767 67620Outright

Daily Avg 126 217779 108 193564 79 134621 91 132198Repo

INSTRUMENT WISE SETTLEMENT VOLUME

2) Outright and Repo Trades (Amt. in Rs. Million)

The share of central government dated securities in the total outright volumes remained steady at87% as against the previous week.

Week Ended Repo

February 13, 2009 February 06, 2009 February 13, 2009 February 06, 2009

Central Govt. 518835 (86.79%) 453359 (86.65%) 966105 (73.94%) 926386 (79.77%)SDL 3380 (0.57%) 546 (0.1%) 608 (0.05%) 147 (0.01%)T-Bills 75621 (12.65%) 69304 (13.25%) 339958 (26.02%) 234850 (20.22%)Total 597836 523209 1306671 1161383

Outright

CATEGORYWISE OUTRIGHT ACTIVITY Market Share (%)4 A) Buying

Category Current Previous 1 month 3 months 6 months 1 yearWeek week ago ago ago ago

Foreign Banks 33.30 32.56 28.41 31.48 37.42 28.71Public Sector Banks 18.78 20.30 19.37 19.12 20.52 28.12Primary Dealers 14.84 12.02 16.46 17.24 21.33 19.75Mutual Funds 14.64 14.11 12.27 7.65 5.25 5.26Private Sector Banks 12.48 15.75 15.03 17.38 10.62 13.45Ins. Cos 1.97 1.56 0.77 0.60 0.19 0.16Co-operative Banks 1.97 1.76 5.76 2.72 4.41 3.32Others 1.12 0.36 1.89 3.36 0.03 0.01FIs 0.90 1.59 0.04 0.44 0.21 1.22


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Securities Segment

6) Market Share in Outright Settlement Volumes (%)

The share of the top 5 market players was lower at 25% as against 27% during the previous week.

Top 'n' Market Current Previous 1 month 3 months 6 months 1 yearPlayers Week week ago ago ago ago

Top 5 25.12 26.73 26.66 33.60 32.09 27.38Top 10 41.65 43.92 42.48 51.00 53.48 44.86

Top 15 54.55 56.75 55.77 62.20 66.99 58.62Top 20 64.31 65.58 65.14 70.02 74.34 67.76


Private Sector Banks 46.99 47.79 53.00 36.54 28.36 39.45Foreign Banks 33.05 30.00 22.92 36.69 40.22 32.16Primary Dealers 19.42 22.14 24.04 26.74 29.73 23.48Public Sector Banks 0.50 0.00 0.00 0.00 1.69 4.90Co-op Banks 0.04 0.07 0.04 0.03 0.00 0.01FIs 0.00 0.00 0.00 0.00 0.00 0.00Ins. Cos 0.00 0.00 0.00 0.00 0.00 0.00Mutual Funds 0.00 0.00 0.00 0.00 0.00 0.00Others 0.00 0.00 0.00 0.00 0.00 0.00

5 B) Borrowing

CATEGORYWISE REPO ACTIVITY Market Share (%)

5 A) LendingCategory Current Previous 1 month 3 months 6 months 1 year

Week week ago ago ago ago

Mutual Funds 70.56 70.19 59.52 58.11 68.02 61.26Ins. Cos 11.98 8.10 3.50 0.41 11.48 3.41Foreign Banks 8.55 11.76 10.07 12.65 11.60 31.64Private Sector Banks 4.06 6.28 14.80 25.69 5.05 1.95FIs 2.80 2.17 2.58 0.04 0.98 0.01Public Sector Banks 1.11 0.33 8.44 0.00 0.09 0.76Co-op Banks 0.69 0.98 0.27 0.24 0.21 0.06Others 0.16 0.15 0.11 0.65 0.04 0.03Primary Dealers 0.09 0.04 0.71 2.21 2.53 0.88

4 B) Selling


Foreign Banks 30.10 32.86 30.10 32.36 35.68 30.36Public Sector Banks 21.37 15.07 19.50 20.13 12.08 24.17Primary Dealers 18.17 19.89 19.00 20.14 27.77 21.84Private Sector Banks 16.05 17.08 15.52 13.96 15.47 14.94Mutual Funds 9.73 11.30 9.59 6.18 4.73 4.60Ins. Cos 2.56 1.59 0.37 0.48 0.13 0.15Co-operative Banks 1.58 1.55 5.35 2.92 3.99 3.48Others 0.27 0.07 0.05 0.00 0.00 0.00FIs 0.18 0.60 0.51 3.82 0.14 0.46


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Securities Segment

7 B) Trading Platform Analysis (T-Bills) - Trading Volume (Amt. in Rs. Million)

The market share of NDS trades increased to 51% of the total T-Bill trading volumes during the week asagainst 46% during the previous week. The share of the NDS-OM platform decreased to 49% of the totalT-Bill trading volumes during the week as against 54% during the previous week.

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

Date Tra- No. of Value Market Tra- No. of Value Market Tra- No. of Value Market Tra- No. of Valuedes Secu- Share des Secu- Share des Secu- Share des Secu-

rities (%) rities (%) rities (%) rities

9-Feb-09 18 10 8160.03 60.85 20 7 5250.00 39.15 8 5 6688.83 49.88 38 11 13410.0010-Feb-09 6 4 757.50 10.66 21 5 6350.00 89.34 3 3 450.00 6.33 27 6 7107.5011-Feb-09 15 4 9235.00 67.98 13 4 4350.00 32.02 12 4 8225.00 60.54 28 6 13585.0012-Feb-09 25 4 11983.13 45.00 46 9 14648.08 55.00 2 1 450.00 1.69 71 11 26631.2013-Feb-09 15 5 5140.00 56.55 18 5 3950.00 43.45 9 5 3840.00 42.24 33 6 9090.00

Total 79 35275.65 50.52 118 34548.08 49.48 34 19653.83 28.15 197 69823.70

SECURITIES SEGMENT: TRADING ANALYSIS

7 A) Trading Platform Analysis (G-Sec) - Trading Volume (Amt. in Rs. Million)

The market share of NDS trades increased to 24% of the total G-Sec trading volumes as against 23%

during the previous week. The share of G-Sec trading on the NDS-OM platform decreased to 76% of thetotal G-Sec trading volumes as against 77% during the previous week.

NDS (G-Sec) NDS-OM (G-Sec) Brokered Deals (G-Sec) Total (G-Sec)

Date Tra- No. of Value Market Tra- No. of Value Market Tra- No. of Value Market Tra- No. of Valuedes Secu- Share des Secu- Share des Secu- Share des Secu-

rities (%) rities (%) rities (%) rities

9-Feb-09 155 30 33029.13 35.56 894 29 59841.00 64.44 67 19 25176.90 27.11 1049 41 92870.10

10-Feb-09 115 20 11482.24 15.72 892 22 61558.00 84.28 45 11 7496.00 10.26 1007 28 73040.20

11-Feb-09 131 39 28175.34 32.80 824 20 57733.54 67.20 62 17 19810.00 23.06 955 43 85908.80

12-Feb-09 167 33 17986.52 13.14 1673 24 118910.16 8 6.86 71 16 11336.00 8.28 1840 41 136896.70

13-Feb-09 150 25 25857.47 25.14 1072 23 77000.00 7 4.86 56 18 11665.00 1 1.34 1222 33 102857.50

Total 718 116530.70 23.71 5355 375042.70 76.29 301 75483.90 15.36 6073 491573.30

7 C) When Issued Trading (Amt. in Rs. Million)

Security Description Maturity Date Type Trades Value

6.05% G.S. 2019 2-Feb-19 WI - Re Issued 50 4200

Total 50 4200


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CBLO Segment

COLLATERALISED BORROWING AND LENDING OBLIGATION (CBLO)

Number of Participants : 177

8) Trading Volumes (Amt. in Rs. Million)

Average CBLO volumes during the week increased by around 2% as compared to the previous week.The weighted average rates moved higher during the week, with the weighted average overnightrates at 3.75% as against 3.68% during the previous week.

February 13, 2009 February 06, 20092008-09 (Upto 2007-08 (UptoFeb. 13, 2009) Feb. 15, 2008)

Week Trades Value Wtd. Trades Value Wtd. Trades Value Trades ValueEnded Average Average

Rate (%) Rate (%)

Overnight 2156 1878850 3.75 1862 1729867 3.68 81738 58682019 80645 57083275Term 459 327223 3.79 471 430585 3.74 21280 14298100 16712 11619047

Total 2615 2206073 2333 2160451 103018 72980119 97357 68702321

Average 436 367679 389 360075 407 288459 377 266288

CATEGORYWISE CBLO ACTIVITY9 A) Lending


Mutual Funds 77.04 78.39 77.99 56.35 64.36 57.87

Ins. Cos 16.79 15.77 12.89 9.57 17.10 6.76

Co-op Banks 2.07 1.63 1.61 1.78 0.92 3.21

Others 1.48 1.11 1.08 3.84 0.11 0.07

Public Sector Banks 1.37 1.35 4.32 23.89 6.67 26.83

Foreign Banks 0.68 0.03 0.43 0.42 2.87 3.42

Private Sector Banks 0.33 0.56 1.20 3.03 1.41 1.01

FIs 0.24 1.09 0.44 1.11 6.54 0.78Primary Dealers 0.00 0.07 0.04 0.01 0.02 0.05


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CBLO Segment

9 B) Borrowing




Foreign Banks 20.27 20.16 16.36 24.28 13.13 8.11

Others 9.39 10.04 10.77 12.50 14.42 10.91

Primary Dealers 4.07 3.69 3.79 5.29 3.96 8.46

Co-op Banks 2.68 2.53 2.22 4.06 6.11 2.18

FIs 1.52 1.37 1.01 2.70 2.02 2.02

Mutual Funds 0.96 0.09 0.99 0.08 1.27 0.90

Ins. Cos 0.00 0.00 0.00 0.00 0.00 0.00


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Forex Segment

Deal Size Analysis

During the current week, the share of deals of size greater than USD 20 million increased to 46.51% as against33.16% during the previous week. Deals of size between USD 5 million and USD 10 million decreased to16.19% as against 26.6% during the previous week.

No of Participants: 72

10) Settlement Volume (Amt. in USD Million) Forex settlement volumes during the week decreased in all the segments of the forex market.

The average daily settlement volume for the period under review was USD 7223 million. For2008-09, the average daily volumes for Cash, Tom, Spot and Forward were USD 1551 million,USD 2162 million, USD 8128 million and USD 4676 million, respectively.

The highest daily volumes were USD 1784 million on February 10, 2009 for Cash, USD 2333million on February 11, 2009 for Tom, USD 3752 million on February 11, 2009 for Spot, andUSD 1344 million on February 13, 2009 for Forward segments respectively.

FOREX SEGMENT: SETTLEMENT ANALYSIS

February 13, 2009 February 06, 2009 2008-09 2007-08

(upto Feb. 13, 2009) (upto Feb. 15, 2008)

Week Ended Deals Value Deals Value Deals Value Deals Value

Cash 564 6679 674 7739 27680 313208 26020 276457Tom 1068 8935 1316 11884 47168 436640 44236 353228Spot 18290 17637 21360 23652 1199174 1641919 1058044 1361938Forward 364 2862 484 6256 206602 944495 171204 593572

Total 20286 36114 23834 49531 1480624 3336261 1299504 2585194

Average 4057 7223 4767 9906 7330 16516 6130 12194

11) Categorywise Forex Activity

Market Share (%)

Category Buy Sell Cash Tom Spot Forward

Foreign Banks 57.74 59.79 62.21 65.76 51.12 76.02



Co-operative Banks 0.25 0.25 0.17 0.29 0.26 0.26

Financial Institutions 0.01 0.02 0.05 0.02 0.00 0.00

12) Market Share (%)

Market share of the top players decreased to 39% as compared to 41% during the previous week.

Top n Week ended Week ended 1 month 3 months 6 months 1 yearMarket Players Feb. 13, 2009 Feb. 06, 2009 ago ago ago ago

Top 5 39.28 40.70 43.57 39.75 38.70 36.01

Top 10 61.15 62.22 66.25 61.59 62.27 59.05

Top 15 74.63 74.49 78.24 76.30 78.35 74.97Top 20 82.79 82.54 85.02 84.04 87.15 82.83


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CONTINOUS LINKED SETTLEMENT (CLS)No. of Participants: 15

14) Settlement Volumes (Amt. in USD Million)

Average CLS settlement volumes during the week decreased by 6% as compared to the previous week.Average CLS trades increased by 1% as compared to the previous week.

February 13, 2009 February 06, 2009 2008-09(Upto February 13, 2009)

Week Ended Trades Value Trades Value Trades Value

Total 5964 7422 5882 7903 214100 444541Average 1193 1484 1176 1581 960 1993

13) Tenor Wise Forward Trades (Amt. in USD Million)

The share of forward trades of maturity between 90 days and 180 days decreased to 10% as against ashare of 27% during the previous week. The share of forward trades of maturity less than 30 days increasedto 53% as against a share of 27% during the previous week.

Week Ended February 13, 2009 February 06, 2009

Tenor Trades Value % Value Trades Value % Value

< 30 Days 154 1,511 53 184 1,675 27

> 30 Days & 90 Days & 180 Days & 1 Year 30 470 16 2 0 0

Total 364 2862 100 484 6256 100

Spot figures include spot leg of Swaps.

Forex Segment

FOREX TRADING PLATFORM: FX-CLEARNo of Participants: 63

15) Trading Volume (Amt. in USD Million)

Average FX-CLEAR volumes increased by 11% during the current week. Average FX-CLEAR tradesincreased by 9%.

February 13, 2009 February 06, 2009 2008-09(Upto February 13, 2009)

Week Ended Trades Value Trades Value Trades ValueSpot 1856 1012 1703 909 67649 40505Average 371 202 341 182 322 193

FOREX MARKET ACTIVITY The rupee closed at Rs.48.72/USD on February 13, 2009 as compared with Rs.48.73/USD as on

February 06, 2009. The Rupee moved between Rs.48.6 and Rs.48.82, with a standard deviation of 8paise during the week. Similarly during the fortnight (February 02, 2009 - February 13, 2009), the Rupeemoved between Rs.48.6 and Rs.49.01, with a standard deviation of 11 paise. The Rupee moved betweenRs.48.56 and Rs.49.19 during the last 1 month (January 19, 2009 -February 13, 2009), with a standarddeviation of 17 paise.

The six-month forward premia closed at 1.95% (annualized) on February 13, 2009 vis--vis 2.18% onFebruary 06, 2009.


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DERIVATIVE SEGMENTNo of Participants : 63

BENCHMARK: MIBOR

16A) Interest Rate Swaps (MIBOR) Transactions (Reported and Matched)

Derivative Segment

Date Term Deals Total Notional Principal (Rs. Million) Wtg. Avg. Rate (%)

09-Feb-09 1 7 7000 3.877109-Feb-09 2 2 1000 4.087509-Feb-09 3 1 500 4.300009-Feb-09 4 2 1000 4.610009-Feb-09 5 6 2500 4.813009-Feb-09 10 4 1250 5.5620

10-Feb-09 1 18 18500 3.823510-Feb-09 2 3 1500 4.058310-Feb-09 5 9 3000 4.816311-Feb-09 3M 5 7500 3.805311-Feb-09 1 3 4050 3.850011-Feb-09 2 6 3000 4.063311-Feb-09 3 13 6250 4.275211-Feb-09 4 15 7500 4.578011-Feb-09 5 11 5300 4.806112-Feb-09 3M 4 1750 3.862912-Feb-09 1 10 11000 3.809112-Feb-09 2 3 1500 4.046712-Feb-09 3 2 1000 4.270012-Feb-09 4 5 2750 4.517312-Feb-09 5 10 3250 4.721212-Feb-09 10 1 500 5.500013-Feb-09 3M 1 1000 3.900013-Feb-09 9M 1 1500 3.760013-Feb-09 1 17 27500 3.772213-Feb-09 2 6 4500 4.071113-Feb-09 4 11 5500 4.5105

Total 176 131600

16B) Interest Rate Swaps (INBMK) Transactions (Reported and Matched)


09-Feb-09 10 3 1000 5.9125

12-Feb-09 3 2 1000 5.4350Total 5 2000


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Derivative Segment

Top N Market Players Market Share (%)

Top 1 20.55Top 5 69.41Top 10 93.64

18) TOP "N" Market Share in MIBOR SWAPS

BENCHMARK: MIFOR

19) Interest Rate Swaps (MIFOR) Transactions (Reported and Matched)


09-Feb-09 7 1 1215 5.5500

10-Feb-09 2 1 500 3.6900

10-Feb-09 3 1 500 4.2300

11-Feb-09 3 1 500 4.3000

11-Feb-09 10 1 250 6.5000

12-Feb-09 4 7 2500 4.6240

12-Feb-09 7 1 250 5.8000

13-Feb-09 4 1 500 4.7500

13-Feb-09 5 4 1000 5.1625

13-Feb-09 7 2 840 5.5250

Total 20 8055

Buy Sell Total

CATEGORY Deals Market Notional Market Deals Market Notional Market Deals Market Notional MarketShare Amount Share Share Amount Share Share Amount Share

Foreign Banks 161 91.48 120850.00 91.83 164 93.18 127100.00 96.58 325 92.33 247950.00 94.21

Nationalized Banks 4 2.27 1000.00 0.76 3 1.70 750.00 0.57 7 1.99 1750.00 0.66

Primary Dealers 4 2.27 5000.00 3.80 4 2.27 1750.00 1.33 8 2.27 6750.00 2.56

Private Banks 7 3.98 4750.00 3.61 5 2.84 2000.00 1.52 12 3.41 6750.00 2.56

Total 176 100.00 131600.00 100.00 176 100.00 131600.00 100.00 352 100.00 263200.00 100.00

17) Interest Rate Swap (MIBOR) Market Share (Amount in Rs. Million and Share in %)


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Interest Rates

eNOTICE

No. of eNotices received during the week February 07, 2009 to February 13, 2009 was 146 as comparedto 186 in the previous week.

Highest number of eNotices received in one day was 44 on February 13, 2009.

INTEREST RATESHIGHLIGHTS

Zero coupon yields have moved to higher levels in the medium to long term as compared to the yieldsprevailing as on last Friday, i.e. February 06, 2009. In the short to medium term yields however moved tomarginally lower levels.

The 1-10 year YTM spreads increased by 6 bps to 169 bps. The yield of the benchmark 10 year security -6.05% G.S. 2019 was at 5.8841% as against 5.7914% during the previous week.

Top N Market Players Market Share (%)

Top 1 29.48

Top 5 78.49

Top 10 98.45

21) TOP "N" Market Share in MIFOR SWAPS

20) Interest Rate Swap (MIFOR) Market Share (Amount in Rs. Million and Share in %)Buy Sell Total

CATEGORY Deals Market Notional Market Deals Market Notional Market Deals Market Notional MarketShare Amount Share Share Amount Share Share Amount Share

Foreign Banks 19 95.00 7555.00 93.79 19 95.00 7555.00 93.79 38 95.00 15110.00 93.79

Private Banks 0 0.00 0.00 0.00 1 5.00 500.00 6.21 1 2.50 500.00 3.10

Nationalized Banks 1 5.00 500.00 6.21 0 0.00 0.00 0.00 1 2.50 500.00 3.10

Total 20 100.00 8055.00 100.00 20 100.00 8055.00 100.00 40 100.00 16110.00 100.00


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Interest Rates

MARKET ANALYSIS

23 A) GOI BORROWING PROGRAM - 2008-09

Particulars (Rs. Mn.)

Budgeted Borrowings 2981540.00

Gross Borrowing Completed 2511674.50

Dated Securities 2150000.00

364 Day T-Bills 361674.50

% Completed 84.24

Balance Borrowing 469865.50Net Borrowing till date 1606970.00

22) Yield Movement in G-Sec Market

Tenor Current Week Previous Week Fortnight Month 6 Months Year

1 year 4.5570 4.5990 4.6383 4.6798 9.3044 7.3536

5 year 5.7844 5.8424 5.9057 5.7444 9.1095 7.4441

10 year 6.2445 6.2221 6.0956 5.6532 9.0354 7.4958

Yield (%)


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Interest Rates

24) INVESTMENT ACTIVITY OF BANKS AND PRIMARY DEALERS DURING THE WEEK (Amount in Rs. Mn.)

Buy Sell Net Activity

Security Banks* Primary Banks* Primary Banks* PrimaryDealers Dealers Dealers

G-Secs 330851 77589 328825 83476 2026 -5887Special Securities 9517 925 7967 5522 1550 -4598Treasury Bills 42247 2286 53005 16019 -10757 -13734State Development Loans 878 682 1697 618 -819 64

*Includes Banks cum Primary Dealers

25) LIQUIDITY MONITOR (Amt. in Rs. Million)

Outflows Value Inflows Value

91-day T-Bill 50005.00 FRB 2011 (Coupon) 2850.00364-day T-Bill 30000.00 FRB 2015 (II) (Coupon) 2961.006.05% G.S. 2019 60000.00 NAT BK'S(NT) SPL SEC 2015 (Coupon) 280.006.83% G.S. 2039 20000.00 10.47% G.S. 2015 (Coupon) 3366.11

11.43% G.S. 2015 (Coupon) 6858.0010.03% G.S. 2019 (Coupon) 3009.008.20% OMC GOI SB 2024 (Coupon) 2050.008.23% GOI FCI SB 2027 (Coupon) 2551.307.50% G.S. 2034 (Coupon) 13875.009.40% SDL 2009 (1 State) (Coupon) 117.5011.70% SDL 2010 (2 States) (Coupon) 333.4511.80% SDL 2010 (2 States) (Coupon) 383.5012.50% SDL 2009 (3 States) (Redemption) 9031.2591-day T-Bill (Redemption) 57530.00364-day T-Bill (Redemption) 35037.00

23 B) BORROWINGS UNDER MSS - 2008-09

Particulars Amt. (Rs. Mn.) Issues* Amt Redemptions* Amt.(Rs. Mn.) (Rs. Mn.)

Outstanding Ceiling 2500000.00 364-day T-Bill 20000.00Gross Borrowing Completed -40442.20Dated Securities -365442.2091 Day T Bill 165000.00182 Day T Bill 70000.00364 Day T-Bills 90000.00Total Outstanding 1037727.80Outstanding as % of Ceiling 41.51 Total 20000.00

*During the week.


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15


Interest Rates

26) KEY DOMESTIC RATE (%)

The cut-off yield in 91-day T-Bill auction moved lower to 4.7895% as against 4.8306% during the previousweek. The cut-off yield in 364-day T-Bill auction moved lower to 4.5822% as against 4.5932% during theprevious week.

Market Current Previous Previous Year

Bank rate 6.00 6.00 6.00

CRR 5.00 5.00 7.50

RBI-LAF Repo Rate 5.50 5.50 7.75

RBI-LAF Reverse Repo Rate 4.00 4.00 6.00

Term Money Rate 5.00 - 8.30 5.00 - 8.25 6.90 - 9.46

91 Day T Bill 4.7895 4.8306 7.2689

364 Day T Bill 4.5822 7.4780

182 Day T Bill 4.7002

27) MARKET TRENDSThe weighted average rates in all the three segments of the money market remained volatile duringthe week.

* Volumes include Notice Money** Volumes in USD Bn.***Share of NDS-Call in Call segment

Wt. Avg. Rates (%) Spread (%) Volumes (Rs. Bn.)

Date Call NDS- Repo CBLO NDS NDS LAF- LAF- Outri- For- Repo CBLO Call* NDS-Call Call Call Reverse Repo ght ex** Call*

Repo CBLO Repo

07-02-09 3.85 4.09 2.60 3.48 1.49 0.60 0.00 0.00 0.00 0.00 0.17 49.53 3.53 2.95 83.67

09-02-09 4.00 4.12 3.91 3.69 0. 22 0. 43 452.35 0.00 147. 09 6.69 244.37 441.42 130.01 109.51 84.23

10-02-09 3.98 4.13 3.95 3.76 0. 18 0. 38 458.65 0.00 105. 91 7.70 233.26 442.51 137.94 113.08 81.98

11-02-09 3.99 4.11 3.96 3.78 0. 16 0. 33 458.45 0.00 80.69 7.65 2 28.99 466.84 131. 56 105.64 80.29

12-02-09 3.96 4.10 3.98 3.81 0. 12 0. 29 544.10 0.00 100. 38 6.42 236.41 476.89 125.43 108.79 86.74

13-02-09 3.91 4.10 4.01 3.79 0. 09 0. 31 515.80 9.00 163. 76 7.65 363.48 328.88 161.59 147.52 91.29

Shareof

NDS-Call

(%)***


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29) KEY INTERNATIONAL RATES (%)

Market Current Previous Previous year

US Fed Funds Rate 0.00 - 0.25 0.00 - 0.25 3.00

European Central Bank (Repo rate) 2.00 2.00 4.00

Bank of England (Repo Rate) 1.00 1.00 5.25

Reserve Bank of Australia 3.25 3.25 7.00Bank of Canada 1.00 1.00 4.00

Bank of Japan 0.10 0.10 0.50

Reserve Bank of New Zealand 3.50 3.50 8.25

USD Libor (3 Months) 1.23 1.24 3.07

USD Libor (6 Months) 1.72 1.77 2.96

US Government 30 Year Bond - Yield 3.49 3.65 4.59

US Government 10 Year Bond - Yield 2.78 2.90 3.76

UK Government 30 Year Bond - Yield 4.08 4.25 4.52

UK Government 10 Year Bond - Yield 3.48 3.67 4.60

Japanese Government 30 Year Bond - Yield 1.92 1.98 2.35

Japanese Government 10 Year Bond - Yield 1.27 1.34 1.46

German Government 30 Year Bond - Yield 3.72 3.90 4.49

German Government 10 Year Bond - Yield 3.08 3.32 3.96

Australian Government 10 Year Bond - Yield 4.20 4.44 6.33

Canadian 10 Year Bond 2.90 2.97 3.83

28) MACRO ECONOMIC INDICATORS

Indicators Curr. Period Value Prev. Period Value

GDP (%) July - September 08-09 7.60% April - June 08-09 7.90%IIP (%) Dec-08 -2.00% Dec-07 8.00%

Fiscal Deficit (Rs. Mn.) Dec-08 2182620 Dec-07 420470*

M3 Growth (%) January 30, 2009 13.70% January 16, 2009 12.70%

Forex Reserves (USD bn.) February 6, 2009 251.53 January 30, 2009 248.61

Inflation (%) January 31, 2009 4.39% January 24, 2009 5.07%

SCB Gov. Sec. Invst. (Rs. Mn.) January 30, 2009 11483800 January 16, 2009 11228200

Non-Food Credit (Rs. Mn.) January 30, 2009 25908170 January 16, 2009 25954650

Aggregate Deposits (Rs. Mn.) January 30, 2009 36688010 January 16, 2009 36300790

Credit - Deposit Ratio (%) January 30, 2009 71.86% January 16, 2009 72.87%

*Excluding acquisition cost of RBI stake in SBI (Rs.35,531 crores).

Disclaimer : This document contains information relating to the operations of The Clearing Corporation of India Ltd. (CCIL), its Members and the Reserve Bank of India. WhileCCIL has taken every care to ensure that the information and/or data provided are accurate and complete, CCIL does not warrant or make any representation as to the accuracyand completeness of the same. Accordingly, CCIL assumes no responsibility for any errors and omissions in any section or sub-section of this document.CCIL shall not be liable to any member or any other person for any direct, consequential or other damages arising out of the use of this document.

Published by Economic Research Department, CCIL. Suggestions and feedback are welcome at 5th, 6th, & 7th Floor, Trade World, C Wing, Kamala City,S. B. Marg, Lower Parel (W), Mumbai - 400 013.Tel.: 24928155, 56639200, E-mail : [email protected] Website : www.ccilindia.com

CCIL-weekly Update 13022009

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