TABLE 11: CCIL SETTLEMENT DETAILS e · 2004. 2003. e` s TABLE 11: CCIL SETTLEMENT DETAILS er...

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

** Commenced operations from January 20, 2003.

Amount Crore`

StatisticsTABLE 11: CCIL SETTLEMENT DETAILS

CCIL Monthly Newsletter

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May 2018

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

SettlementPeriod Trades Value

Avg.Trades

Avg.Vol

Trades ValueAvg.

TradesAvg.Vol

TradesValue(USD

Million)

Avg.Trades

Avg.Vol

(USDMillion)

Trades ValueAvg.

TradesAvg.Vol

2002-03 191843 1076147 646 3623 23284 933509 78 3143 100232 136102 1101 1496 159 852 3 16

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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TABLE 12: CATEGORYWISE BUYING ACTIVITY Percent

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

TABLE 13: CATEGORYWISE SELLING ACTIVITY

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

Ma

y 2

01

8

Outright

ReverseRepo

(FundsLending)

CBLOLending

UncollateralisedMoney Market

Lending*Forex

IRS-MIBOR

IRS-MIFOR

Co-operative Banks 3.89 0.26 1.26 35.57** 0.18 - -

Financial Institutions 0.32 0.19 0.18 - 0.00 - -

Foreign Banks 26.15 23.95 3.73 6.33 41.59 55.68 64.79

Insurance Companies 2.85 5.53 16.11 - - - -

Mutual Funds 8.65 23.85 63.26 - - - -

Others 5.19 0.01 6.51 - - - -

Primary Dealers 14.03 2.55 0.01 0.02 - 21.52 0.00

Private Sector Banks 24.20 23.41 1.68 21.78 27.64 18.64 35.21

Public Sector Banks 14.72 20.24 7.27 36.29 30.59 4.16 0.00

Category

Outright RepoCBLO

Borrowing

UncollateralisedMoney Market

Borrowing*Forex

IRS-MIBOR

IRS-MIFOR

Co-operative Banks 3.52 2.53 2.04 1.81** 0.17 - -

Financial Institutions 0.18 0.38 12.25 - 0.00 - -

Foreign Banks 25.99 22.93 5.66 14.82 41.80 54.63 54.45

Insurance Companies 2.20 0.00 0.52 - - - -

Mutual Funds 8.48 0.13 15.82 - - - -

Others 2.83 5.58 6.48 - - - -

Primary Dealers 16.26 29.53 6.93 28.64 - 23.63 0.00

Private Sector Banks 24.56 17.47 12.06 32.43 27.63 17.23 45.55

Public Sector Banks 15.99 21.46 38.23 22.30 30.39 4.51 0.00

Category

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TABLE 14: COMPARABLE RATES Percent

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May 2018

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

DateCall Repo CBLO

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

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

FBIL-Term

MIBOR14

DAYS(11:45A.M.)

FBIL-TermMIBOR 1

Month(11:45A.M.)

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

CCBOR(10:00A.M.)

10YBenchmark

(WAY)

91DTB

182DTB

364DTB

LAFRepo

LAFReverseRepo

3-Apr-18 5.8867 5.8065 5.6774 6.00 5.84 6.37 6.66 6.89 5.7796 7.3371 - - - 6.00 5.75

4-Apr-18 5.8996 5.8063 5.6781 6.00 5.87 6.31 6.58 6.78 5.8076 7.3118 6.1081 6.3092 6.4914 6.00 5.75

5-Apr-18 5.9105 5.7751 5.7427 6.00 5.82 6.29 6.53 6.77 5.7969 7.2215 - - - 6.00 5.75

6-Apr-18 5.8936 5.8200 5.7945 6.00 5.85 6.26 6.50 6.73 5.8222 7.1562 - - - 6.00 5.75

7-Apr-18 5.5936 5.0000 5.8035 - - - - - - - - - - 6.00 5.75

9-Apr-18 5.9110 5.8766 5.8710 6.00 5.90 6.25 6.50 6.73 5.8396 7.1961 - - - 6.00 5.75

10-Apr-18 5.8921 5.9481 5.9623 6.00 5.99 6.25 6.49 6.72 5.9382 7.3215 - - - 6.00 5.75

11-Apr-18 5.8672 5.8901 5.8554 6.00 5.96 6.26 6.47 6.75 5.9495 7.4495 6.1081 6.3092 6.4914 6.00 5.75

12-Apr-18 5.8439 5.7916 5.8071 6.00 5.92 6.27 6.47 6.76 5.8983 7.4788 - - - 6.00 5.75

13-Apr-18 5.8590 5.8705 4.8572 6.00 5.93 6.27 6.47 6.77 4.9194 7.4729 - - - 6.00 5.75

16-Apr-18 5.9304 5.8538 5.9099 6.00 5.94 6.27 6.47 6.78 5.9030 7.4320 - - - 6.00 5.75

17-Apr-18 5.8559 5.8729 5.9100 6.00 5.94 6.27 6.47 6.79 5.9208 7.4902 - - - 6.00 5.75

18-Apr-18 5.8827 5.8479 5.8799 6.00 5.93 6.27 6.46 6.83 5.9018 7.5107 6.1081 6.3092 6.5141 6.00 5.75

19-Apr-18 5.9266 5.8520 5.9331 6.00 5.91 6.26 6.47 6.85 5.8990 7.6136 - - - 6.00 5.75

20-Apr-18 5.9660 5.9172 6.0064 6.01 5.95 6.26 6.48 6.88 5.9765 7.7232 - - - 6.00 5.75

21-Apr-18 5.8238 - 5.9522 - - - - - - - - - - 6.00 5.75

23-Apr-18 5.9040 5.8522 5.9874 6.00 5.93 6.27 6.49 6.90 5.9603 7.7206 - - - 6.00 5.75

24-Apr-18 5.8179 5.8816 5.9501 6.02 5.97 6.29 6.51 6.91 5.9938 7.6794 - - - 6.00 5.75

25-Apr-18 5.8788 5.8417 5.9136 6.00 5.94 6.30 6.52 6.93 5.9568 7.7356 6.1908 6.4159 6.6280 6.00 5.75

26-Apr-18 5.8845 5.8384 5.9415 6.00 5.94 6.29 6.54 6.94 5.9363 7.7466 - - - 6.00 5.75

27-Apr-18 6.0164 5.8951 5.5300 6.00 5.98 6.28 6.54 6.97 5.2969 7.7551 - - - 6.00 5.75

Average 5.8783 5.8119 5.8078 6.00 5.92 6.28 6.51 6.83 5.8156 7.4922 6.1288 6.3359 6.5312 6.00 5.75

Max 6.0164 5.9481 6.0064 6.02 5.99 6.37 6.66 6.97 5.9938 7.7551 6.1908 6.4159 6.6280 6.00 5.75

Min 5.5936 5.0000 4.8572 6.00 5.82 6.25 6.46 6.72 4.9194 7.1562 6.1081 6.3092 6.4914 6.00 5.75

SD 0.0792 0.1957 0.2483 0.01 0.05 0.03 0.05 0.08 0.2646 0.1992 0.0414 0.0534 0.0654 - -

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TABLE 15 : PROPRIETARY / CONSTITUENT SETTLEMENT ANALYSIS

GOVERNMENT SECURITIES MARKETSETTLEMENT ANALYSIS

Number of Participants: 205

Percent

statistics

Ma

y 2

01

8

Outright Repo

Proprietary Constituent Proprietary ConstituentSettlement

Period

Trades Value Trades Value Trades Value Trades Value

2002-03 80.54 87.54 19.46 12.46 99.58 99.81 0.42 0.19

2003-04 75.82 85.03 24.18 14.97 88.11 89.96 11.89 10.04

2004-05 75.96 81.95 24.04 18.05 81.83 86.21 18.17 13.79

2005-06 78.55 85.37 21.45 14.63 70.00 82.77 30.00 17.23

2006-07 87.78 90.06 12.22 9.94 70.67 85.01 29.33 14.99

2007-08 90.26 90.55 9.74 9.45 70.74 83.79 29.26 16.21

2008-09 89.48 88.32 10.52 11.68 72.60 87.98 27.40 12.02

2009-10 90.16 90.56 9.84 9.44 81.01 94.03 18.99 5.97

2010-11 89.23 89.92 10.77 10.08 80.58 89.37 19.42 10.63

2011-12 90.81 88.35 9.19 11.65 81.39 88.46 18.61 11.54

2012-13 89.69 87.05 10.31 12.95 90.89 92.91 9.11 7.09

2013-14 88.78 85.20 11.22 14.80 91.90 93.43 8.10 6.57

2014-15 89.88 88.50 10.12 11.50 94.15 93.04 5.85 6.96

2015-16 89.10 88.95 10.90 11.05 95.84 94.73 4.16 5.27

2016-17 87.56 87.62 12.44 12.38 95.46 94.19 4.54 5.81

2017-18 86.31 85.71 13.69 14.29 96.63 94.91 3.37 5.09

Apr-18 88.55 85.00 11.45 15.00 97.17 95.05 2.83 4.95

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TABLE 16: DEAL SIZE ANALYSIS Percent

Ma

y 2

01

8

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

Settlement Period % tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

2002-03 10.22 1.64 75.71 67.68 10.88 19.23 2.30 6.80 0.89 4.65

2003-04 12.23 1.72 68.92 53.29 11.98 18.40 2.54 6.51 4.33 20.09

2004-05 14.24 1.75 67.12 47.55 9.72 13.59 2.98 7.02 5.93 30.09

2005-06 15.26 1.78 67.75 49.17 8.05 11.49 2.68 6.36 6.26 31.20

2006-07 8.30 0.93 71.38 47.90 12.50 16.67 2.59 5.76 5.23 28.75

2007-08 5.30 0.51 60.70 34.66 23.17 26.40 3.47 6.62 7.36 31.81

2008-09 5.69 0.56 64.57 36.76 20.60 23.40 2.89 5.52 6.26 33.76

2009-10 5.35 0.54 65.32 35.53 18.16 19.71 3.31 6.03 7.86 38.20

2010-11 6.34 0.69 64.62 37.42 18.04 20.84 3.90 7.58 7.10 33.46

2011-12 5.32 0.57 66.66 39.39 17.19 20.27 3.91 7.74 6.92 32.03

2012-13 4.21 0.45 60.06 29.98 21.30 21.23 5.09 8.66 9.33 39.68

2013-14 3.85 0.40 58.80 26.93 20.49 18.74 5.97 9.29 10.89 44.65

2014-15 2.78 0.33 61.13 29.43 21.40 20.58 5.42 8.89 9.27 40.77

2015-16 3.48 0.43 60.18 27.32 20.28 18.37 5.55 8.56 10.51 45.32

2016-17 3.43 0.42 52.33 20.81 23.71 18.83 6.66 9.07 13.87 50.86

2017-18 3.52 0.42 56.59 22.80 20.39 16.39 6.89 9.45 12.62 50.94

Apr-18 2.76 0.38 62.95 29.48 18.83 17.60 5.99 9.50 9.47 43.03

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TABLE 18: T+2 TRADES - HISTORICAL TRADING SUMMARY Amount Crore`

TABLE 17: T+2 TRADING SUMMARY Amount Crore`

As confirmed on trade date

Ma

y 2

01

8

Date Trades Face Value

3-Apr-18 11 921

4-Apr-18 31 1168

5-Apr-18 30 1538

6-Apr-18 3 133

9-Apr-18 8 1210

10-Apr-18 9 1365

11-Apr-18 12 466

12-Apr-18 10 257

13-Apr-18 2 330

16-Apr-18 1 25

17-Apr-18 11 1181

18-Apr-18 21 1325

19-Apr-18 15 1123

20-Apr-18 14 425

23-Apr-18 70 2836

24-Apr-18 26 2412

25-Apr-18 5 217

26-Apr-18 6 131

27-Apr-18 9 677

Total 294 17740

Period Trades Face Value

2015-16 2139 124016

2016-17 3054 212821

2017-18 2513 151185

Apr-18 294 17740

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

Ma

y 2

01

8

Cen. Govt. Dated Securities Treasury Bills State Development LoansSettlement

Period ValueAvg.Value

% Share ValueAvg.Value


% Share

2002-03 1032185 3475 95.91 37443 126 3.48 6519 22 0.61

2003-04 1458665 4911 92.61 102299 344 6.49 14169 48 0.90

2004-05 862820 2955 76.07 246703 845 21.75 24700 85 2.18

2005-06 657213 2443 76.00 189839 706 21.95 17700 66 2.05

2006-07 883248 4723 86.46 126956 679 12.43 11332 61 1.11

2007-08 1467704 5942 88.74 171914 696 10.39 14234 58 0.86

2008-09 1955412 8321 90.52 170436 725 7.89 34385 146 1.59

2009-10 2480850 10424 85.14 363283 1526 12.47 69757 293 2.39

2010-11 2552181 10333 88.90 275095 1114 9.58 43677 177 1.52

2011-12 3099108 13021 88.85 345237 1451 9.90 43859 184 1.26

2012-13 5920929 24568 89.82 552943 2294 8.39 118159 490 1.79

2013-14 7968661 32928 88.97 833191 3443 9.30 154847 640 1.73

2014-15 9149608 38606 90.09 823470 3475 8.11 183083 773 1.80

2015-16 8557672 35509 87.96 854390 3545 8.78 316479 1313 3.25

2016-17 15198472 63064 90.07 1073461 4454 6.36 602213 2499 3.57

2017-18 9830117 40789 86.23 1006055 4175 8.83 563709 2339 4.94

Apr-18 781381 41125 88.50 56127 2954 6.36 45388 2389 5.14

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

Ma

y 2

01

8

Year 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09 2009-10 2010-11 2011-12 2012-13 2013-14 2014-15 2015-16 2016-17 2017-18 Apr-18

2003 0.40 0.06 - - - - - - - - - - - - - - -

2004 1.82 1.31 0.04 - - - - - - - - - - - - - -

2005 0.44 0.79 2.40 0.09 - - - - - - - - - - - - -

2006 0.32 0.49 2.01 2.04 0.20 - - - - - - - - - - - -

2007 0.50 0.51 1.34 2.35 1.55 0.06 - - - - - - - - - - -

2008 3.58 2.73 2.04 2.06 1.44 0.31 0.00 - - - - - - - - - -

2009 2.81 3.18 5.43 2.64 2.83 11.43 4.27 0.43 - - - - - - - - -

2010 5.14 4.20 10.39 12.56 2.91 6.29 3.50 3.38 0.59 - - - - - - - -

2011 15.85 7.48 6.88 4.70 14.48 1.17 1.99 3.21 1.14 0.15 - - - - - - -

2012 21.42 12.04 4.66 8.19 4.27 0.56 1.04 2.94 2.38 0.82 0.05 - - - - - -

2013 9.21 7.53 2.13 6.48 0.59 2.99 1.92 1.57 1.29 0.12 0.08 0.05 - - - - -

2014 0.44 5.51 6.04 12.79 6.12 1.49 6.75 10.24 0.82 0.12 0.07 0.34 0.05 - - - -

2015 7.89 5.70 25.34 1.38 1.56 3.50 1.78 5.38 8.21 0.43 0.35 0.57 0.62 0.38 - - -

2016 2.98 0.88 2.07 0.26 32.66 1.00 1.63 13.70 5.12 0.80 0.13 0.20 0.19 0.63 0.18 - -

2017 17.65 25.82 16.64 22.60 17.69 47.01 5.84 1.05 6.76 1.05 4.57 4.86 0.24 0.79 0.84 0.05 -

2018 0.51 6.96 3.73 1.38 0.14 0.08 42.75 0.15 0.04 6.55 1.56 1.48 0.11 0.83 0.74 0.40 0.10

2019 0.99 3.94 2.24 0.18 0.09 0.03 2.44 24.90 0.10 0.01 0.02 3.82 2.02 1.65 1.58 0.81 1.29

2020 0.06 3.75 1.73 0.10 0.10 0.01 0.02 19.27 32.76 1.56 7.77 6.38 10.43 12.47 6.23 2.93 3.54

2021 2.24 0.46 0.17 14.21 3.64 0.57 3.71 4.92 0.03 53.20 8.26 0.60 0.11 0.66 1.66 1.12 1.57

2022 2.77 2.66 1.44 1.13 0.52 5.82 1.56 1.43 35.55 13.87 25.16 12.91 2.73 1.49 1.22 4.07 6.36

2023 - 2.38 1.33 0.10 0.07 0.67 2.27 0.53 0.08 0.07 0.01 26.74 26.46 8.71 7.44 3.21 1.63

2024 - - - - 0.01 0.69 1.08 1.24 0.19 17.58 12.68 0.99 23.76 19.12 2.83 2.49 1.21

2025 - - - - - 0.16 1.30 0.30 0.05 0.01 10.78 13.02 0.16 20.27 3.87 2.44 0.37

2026 2.22 0.22 0.08 0.08 0.00 0.22 0.74 0.80 0.38 0.14 21.30 15.87 2.29 7.33 34.72 9.29 1.10

2027 - - - - 0.04 0.67 2.97 2.35 2.95 1.31 0.86 7.98 6.25 1.12 0.51 29.72 15.22

2028 - 1.14 0.98 0.09 0.06 0.03 0.04 0.01 0.01 0.00 0.00 0.00 21.17 4.46 0.43 4.87 44.71

2029 - - - - - - - - - 0.00 0.00 0.00 0.00 2.97 13.50 20.05 0.36

2030 - - - - - - - - - 0.95 3.88 2.06 1.14 13.39 21.61 2.76 0.87

2031 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 12.39 20.59

2032 0.74 0.29 0.30 0.35 0.27 2.46 7.71 0.62 0.72 0.27 0.31 0.91 0.43 0.57 0.21 0.41 0.25

2033 - - - - - - - - - 0.00 0.00 0.00 0.18 0.71 0.26 0.85 0.16

2034 - - 0.59 1.69 4.18 0.02 0.75 0.86 0.03 0.00 0.01 0.01 0.01 0.40 0.57 0.74 0.20

2035 - - - 2.55 0.08 0.01 0.26 0.26 0.01 0.00 0.00 0.10 0.02 0.03 0.12 0.11 0.06

2036 - - - - 4.50 12.75 3.07 0.10 0.04 0.00 0.45 0.03 0.05 0.06 0.09 0.07 0.02

2037 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

2038 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

2039 - - - - - - 0.63 0.38 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.03 0.02

2040 - - - - - - - - 0.75 0.62 0.11 0.03 0.19 0.18 0.07 0.10 0.05

2041 - - - - - - - - - 0.36 1.34 0.58 0.14 0.11 0.07 0.06 0.03

2042 - - - - - - - - - - 0.25 0.41 0.45 0.23 0.11 0.10 0.03

2043 - - - - - - - - - - 0.05 0.61 0.23 0.13 0.04 0.02

2044 - - - - - - - - - - - - 0.19 0.69 0.39 0.35 0.03

2045 - - - - - - - - - - - - - 0.52 0.34 0.16 0.01

2046 - - - - - - - - - - - - - - 0.10 0.16 0.02

2051 - - - - - - - - - - - - - - 0.06 0.21 0.09

2055 - - - - - - - - - - - - - 0.02 0.07 0.02 0.08

Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00

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TABLE 21: NETTING FACTOR: FUNDS

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

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

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

Amount Crore`

NETTING FACTOR

Ma

y 2

01

8

Settlement Period Gross Net Netting Factor (%)

2002-03 2324017 653519 71.88

2003-04 4038385 979592 75.74

2004-05 4582506 1037355 77.36

2005-06 4460523 905062 79.71

2006-07 6275182 968185 84.57

2007-08 9646481 1596638 83.45

2008-09 10756665 1674892 84.43

2009-10 15502457 2642001 82.96

2010-11 11233653 2561298 77.20

2011-12 10996999 2191680 80.07

2012-13 17585265 3101477 82.36

2013-14 23207382 4256748 81.66

2014-15 26141572 4216733 83.87

2015-16 27433525 4352880 84.13

2016-17 42368619 6265051 85.21

2017-18 37795487 6679290 82.33

Apr-18 2751880 483979 82.41

TABLE 22: NETTING FACTOR: SECURITIES Amount Crore`


2004-05 4250540 2462556 42.06

2005-06 4384775 2012523 54.10

2006-07 6123933 2418739 60.50

2007-08 9536455 3776777 60.40

2008-09 10365006 3750501 63.82

2009-10 15056277 6461619 57.08

2010-11 11078385 4883399 55.92

2011-12 11011992 4139464 62.41

2012-13 17395376 6568929 62.24

2013-14 23302555 9419626 59.58

2014-15 25891676 10026109 61.28

2015-16 26977725 10438154 61.31

2016-17 40603629 15078857 62.86

2017-18 37036379 15278527 58.75

Apr-18 2727505 1072755 60.67

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

Sr.No.

SecurityMaturity

Date

Daystraded(in last

12months)

Valuetraded inlast 12months(FV in

` Crore)

Percentsharein last

12monthsValue

No. ofTrades(April,2018)

Value forApril - 2018

(FV in` Crore)

Percentshare

in(April2018)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily

TradingValue inlast 12months(FV in

` Crore)

AverageDaily

TradingValue inApril -2018

(FV in` Crore)

1 7.17% GS 2028 08-Jan-28 73 759739 7.63 38205 347244 44.44 39000 890 10407 18276

2 6.68% GS 2031 17-Sep-31 158 1378770 13.84 18286 160920 20.59 93252 173 8726 8469

3 6.79% GS 2027 15-May-27 234 2949297 29.60 12499 116247 14.88 121000 96 12604 6118

4 8.20% GS 2022 15-Feb-22 231 92182 0.93 1037 16023 2.05 57632 28 399 843

5 6.84% GS 2022 19-Dec-22 242 155403 1.56 1240 15610 2.00 87000 18 642 822

6 8.15% GS 2022 11-Jun-22 235 87696 0.88 691 14501 1.86 83000 17 373 763

7 8.12% GS 2020 10-Dec-20 216 48852 0.49 335 11585 1.48 76000 15 226 610

8 7.80% GS 2020 03-May-20 226 77700 0.78 271 6922 0.89 75000 9 344 364

9 7.16% GS 2023 20-May-23 241 123300 1.24 537 6863 0.88 77100 9 512 361

10 6.05% GS 2019 02-Feb-19 191 38635 0.39 301 4786 0.61 53000 9 202 252

11 7.94% GS 2021 24-May-21 163 22719 0.23 159 4602 0.59 49425 9 139 242

12 7.80% GS 2021 11-Apr-21 239 55776 0.56 295 4356 0.56 66000 7 233 229

13 8.33% GS 2026 09-Jul-26 213 49577 0.50 195 3756 0.48 90000 4 233 221

14 8.40% GS 2024 28-Jul-24 199 57799 0.58 173 3704 0.47 90000 4 290 206

15 7.37% GS 2023 16-Apr-23 10 3411 0.03 275 3411 0.44 6000 57 341 341

16 8.27% GS 2020 09-Jun-20 241 55746 0.56 192 3374 0.43 73000 5 231 178

17 8.79% GS 2021 08-Nov-21 131 31558 0.32 174 3290 0.42 83000 4 241 183

18 7.88% GS 2030 19-Mar-30 195 44579 0.45 181 2807 0.36 89000 3 229 175

19 6.90% GS 2019 13-Jul-19 141 15161 0.15 82 2566 0.33 45000 6 108 197

20 8.19% GS 2020 16-Jan-20 108 15172 0.15 53 2439 0.31 74000 3 140 244

21 7.61% GS 2030 09-May-30 225 114476 1.15 204 2437 0.31 85000 3 509 143

22 8.15% GS 2026 24-Nov-26 222 70749 0.71 86 2318 0.30 86489 3 319 145

92


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

Sr.No.

SecurityMaturity

Date

Daystraded(in last

12months)


` Crore)

Percentsharein last

12monthsValue



(FV in` Crore)

Percentshare

in(April2018)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily


` Crore)

AverageDaily


(FV in` Crore)

23 6.35% GS 2020 02-Jan-20 239 81905 0.82 171 2106 0.27 61000 3 343 111

24 FRB 2024 07-Nov-24 31 7191 0.07 22 2065 0.26 116965 2 232 258

25 8.60% GS 2028 02-Jun-28 200 56589 0.57 68 2035 0.26 84000 2 283 254

26 7.28% GS 2019 03-Jun-19 223 19766 0.20 162 1964 0.25 53000 4 89 103

27 7.59% GS 2026 11-Jan-26 214 93914 0.94 120 1957 0.25 87000 2 439 140

28 7.59% GS 2029 20-Mar-29 210 34513 0.35 166 1933 0.25 96237 2 164 138

29 7.35% GS 2024 22-Jun-24 237 154640 1.55 178 1847 0.24 90168 2 652 109

30 7.72% GS 2025 25-May-25 242 154367 1.55 154 1829 0.23 86000 2 638 96

31 7.68% GS 2023 15-Dec-23 230 133600 1.34 138 1819 0.23 88132 2 581 114

32 9.15% GS 2024 14-Nov-24 145 18834 0.19 55 1787 0.23 92000 2 130 255

33 8.24% GS 2027 15-Feb-27 216 33815 0.34 121 1659 0.21 93389 2 157 111

34 8.08% GS 2022 02-Aug-22 208 63649 0.64 104 1635 0.21 68969 2 306 102

35 8.97% GS 2030 05-Dec-30 159 29220 0.29 54 1451 0.19 90000 2 184 145

36 7.73% GS 2034 19-Dec-34 222 61516 0.62 135 1249 0.16 100000 1 277 78

37 6.65% GS 2020 09-Apr-20 7 1242 0.01 87 1242 0.16 4000 31 177 177

38 8.20% GS 2025 24-Sep-25 206 58614 0.59 66 1051 0.13 90000 1 285 88

39 8.13% GS 2022 21-Sep-22 112 9765 0.10 60 976 0.12 70495 1 87 108

40 6.79% GS 2029 26-Dec-29 226 1869575 18.76 83 908 0.12 118801 1 8272 76

41 8.35% GS 2022 14-May-22 128 16216 0.16 37 872 0.11 77000 1 127 73

42 6.57% GS 2033 05-Dec-33 229 66840 0.67 125 761 0.10 49000 2 292 42

43 8.32% GS 2032 02-Aug-32 111 14121 0.14 43 747 0.10 89434 1 127 83

44 8.28% GS 2032 15-Feb-32 120 9061 0.09 54 730 0.09 90687 1 76 81

93


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May 2018


Sr.No.

SecurityMaturity

Date

Daystraded(in last

12months)


` Crore)

Percentsharein last

12monthsValue



(FV in` Crore)

Percentshare

in(April2018)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily


` Crore)

AverageDaily


(FV in` Crore)

45 5.64% GS 2019 02-Jan-19 86 5521 0.06 26 719 0.09 10000 7 64 90

46 6.62% GS 2051 28-Nov-51 170 20159 0.20 34 693 0.09 52000 1 119 99

47 8.28% GS 2027 21-Sep-27 199 32815 0.33 54 669 0.09 89252 1 165 61

48 7.72% GS 2055 26-Oct-55 52 1961 0.02 27 599 0.08 49000 1 38 120

49 6.97% GS 2026 06-Sep-26 218 403694 4.05 45 546 0.07 91000 1 1852 39

50 8.24% GS 2033 10-Nov-33 162 15036 0.15 35 503 0.06 87275 1 93 56

51 7.95% GS 2032 28-Aug-32 133 16381 0.16 37 501 0.06 89000 1 123 84

52 7.40% GS 2035 09-Sep-35 161 11121 0.11 111 458 0.06 55245 1 69 46

53 8.30% GS 2040 02-Jul-40 111 8944 0.09 30 411 0.05 90000 0 81 46

54 7.83% GS 2018 11-Apr-18 119 13087 0.13 13 386 0.05 - 110 97

55 8.26% GS 2027 02-Aug-27 152 8009 0.08 51 356 0.05 73427 0 53 27

56 7.50% GS 2034 10-Aug-34 159 10521 0.11 134 324 0.04 90000 0 66 27

57 6.17% GS 2023 12-Jun-23 109 2332 0.02 40 279 0.04 14000 2 21 25

58 8.17% GS 2044 01-Dec-44 209 30983 0.31 35 271 0.03 86000 0 148 27

59 8.30% GS 2042 31-Dec-42 107 7398 0.07 16 255 0.03 104529 0 69 36

60 8.83% GS 2041 12-Dec-41 89 5421 0.05 16 240 0.03 90000 0 61 120

61 8.83% GS 2023 25-Nov-23 187 37040 0.37 17 231 0.03 83000 0 198 39

62 8.24% GS 2018 22-Apr-18 58 3855 0.04 15 215 0.03 - - 66 54

63 5.69% GS 2018 25-Sep-18 123 13777 0.14 12 197 0.03 16130 1 112 33

64 6.30% GS 2023 09-Apr-23 119 3543 0.04 6 160 0.02 13000 1 30 53

65 9.23% GS 2043 23-Dec-43 99 4009 0.04 13 155 0.02 79472 0 40 39

66 6.83% GS 2039 19-Jan-39 108 3038 0.03 15 154 0.02 13000 1 28 39

-

94



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May 2018

Sr.No.

SecurityMaturity

Date

Daystraded(in last

12months)


` Crore)

Percentsharein last

12monthsValue



(FV in` Crore)

Percentshare

in(April2018)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily


` Crore)

AverageDaily


(FV in` Crore)

67 8.33% GS 2036 07-Jun-36 91 5297 0.05 15 143 0.02 86000 0 58 24

68 7.06% GS 2046 10-Oct-46 185 16108 0.16 30 129 0.02 58000 0 87 13

69 9.20% GS 2030 30-Sep-30 102 7509 0.08 9 100 0.01 61885 0 74 50

70 8.13% GS 2045 22-Jun-45 181 14883 0.15 15 94 0.01 73000 0 82 19

71 6.05% GS 2019 12-Jun-19 81 3356 0.03 11 61 0.01 11000 1 41 9

72 6.01% GS 2028 25-Mar-28 79 628 0.01 10 60 0.01 15000 0 8 20

73 5.87% GS 2022 28-Aug-22 7 68 0.00 1 45 0.01 11000 0 10 45

74 8.03% FCI SB 2024 15-Dec-24 15 28 0.00 1 14 0.00 5000 0 2 14

75 8.20% OMC SB 2024 15-Sep-24 24 106 0.00 4 5 0.00 10306 0 4 2

76 10.25% GS 2021 30-May-21 40 436 0.00 4 5 0.00 26213 0 11 2

77 8.30% FERT SB 2023 07-Dec-23 18 42 0.00 2 4 0.00 3880 0 2 4

78 8.15% FCI SB 2022 16-Oct-22 35 127 0.00 5 2 0.00 5000 0 4 1

79 8.20% OMC SB 2023 10-Nov-23 15 13 0.00 2 2 0.00 22000 0 1 2

80 8.40% OMC SB 2026 29-Mar-26 11 27 0.00 3 2 0.00 4971 0 2 1

81 8.01% OMC SB 2023 15-Dec-23 8 5 0.00 1 2 0.00 88132 0 1 2

82 7.95% OMC SB 2025 18-Jan-25 9 41 0.00 3 1 0.00 11257 0 5 1

83 8.35% SBI SB 2024 27-Mar-24 3 26 0.00 1 1 0.00 9996 0 9 1

84 10.03% GS 2019 09-Aug-19 15 422 0.00 2 1 0.00 6000 0 28 1

85 10.70% GS 2020 22-Apr-20 21 66 0.00 1 1 0.00 6000 0 3 1

86 8.13% OMC SB 2021 16-Oct-21 6 20 0.00 3 1 0.00 5000 0 3 1

87 8.23% FCI SB 2027 12-Feb-27 17 30 0.00 1 0 0.00 6200 0 2 0

95


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May 2018


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

Sr.No.

SecurityMaturity

Date

Daystraded(in last

12months)


` Crore)

Percentsharein last

12monthsValue



(FV in` Crore)

Percentshare

in(April2018)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily


` Crore)

AverageDaily


(FV in` Crore)

88 7% FERT SB 2022 10-Dec-22 17 49 0.00 1 0 0.00 6072 0 3 0

89 7.95% FERT SB 2026 18-Feb-26 27 90 0.00 1 0 0.00 3551 0 3 0

90 8.20% OMC SB 2024 12-Feb-24 3 42 0.00 3 0 0.00 5000 0 14 0

91Other Securities Traded DuringThe Past 12 Months ButNot Traded During The Month

18043 0.18

Total 9963357 100.00 78585 781379 100.00

96

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

statistics

Ma

y 2

01

8

TABLE 25: MARKET SHARE OF MEMBERS IN OUTRIGHT SETTLEMENT Percent

Settlement Period Top 5 Top 10 Top 15 Top 20

2003-04 39.01 57.30 70.28 79.43

2004-05 49.97 66.31 74.56 80.36

2005-06 63.75 82.82 89.67 92.85

2006-07 74.88 88.82 92.37 94.88

2007-08 66.35 83.84 92.54 95.79

2008-09 61.07 73.89 81.92 87.35

2009-10 60.71 79.08 86.48 90.54

2010-11 71.77 88.33 93.91 96.39

2011-12 85.51 94.15 97.07 98.68

2012-13 77.59 94.68 97.63 98.70

2013-14 68.11 90.79 95.61 97.70

2014-15 79.28 91.80 96.45 97.74

2015-16 66.26 82.74 88.47 91.80

2016-17 68.59 86.20 90.49 92.79

2017-18 70.79 79.86 85.06 88.59

Apr-18 83.96 89.67 92.21 94.07

Settlement Period Top 5 Top 10 Top 15 Top 20

2002-03 20.17 32.59 42.33 50.14

2003-04 19.02 31.58 40.63 48.49

2004-05 21.20 35.51 46.10 54.37

2005-06 21.84 37.47 49.11 57.64

2006-07 28.93 45.34 57.08 65.89

2007-08 27.42 43.65 56.17 65.31

2008-09 28.33 45.51 57.23 65.63

2009-10 28.74 44.32 55.32 63.35

2010-11 34.01 49.31 59.66 67.17

2011-12 30.04 47.85 60.10 68.81

2012-13 31.30 48.48 59.42 67.31

2013-14 33.33 49.48 59.63 67.34

2014-15 31.06 46.52 56.59 64.50

2015-16 32.08 48.64 58.60 65.67

2016-17 30.02 45.15 54.73 62.20

2017-18 29.35 45.89 55.80 63.20

Apr-18 31.89 48.39 57.35 64.34

97

TRADING ANALYSIS

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

*as on trade date

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Ma

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01

8

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

CategoriesCooperative

BanksForeignBanks

PublicSector Banks

PrivateSector Banks

MutualFunds

PrimaryDealers

No of Members 54 38 20 20 26 7

2002-03 87.04 75.91 41.44 50.65 59.76 62.00

2003-04 76.72 75.48 43.88 53.33 55.47 62.96

2004-05 82.30 77.94 51.20 69.12 56.99 61.90

2005-06 75.10 77.91 53.45 71.55 56.49 56.95

2006-07 77.20 76.04 52.57 73.68 68.00 72.44

2007-08 86.70 74.99 55.29 73.01 70.20 86.20

2008-09 82.16 76.26 52.53 76.79 66.10 86.83

2009-10 72.08 79.86 47.99 79.61 64.19 82.44

2010-11 62.05 83.05 48.99 74.60 66.49 84.80

2011-12 61.15 75.91 51.48 74.43 68.01 82.38

2012-13 55.50 77.32 48.92 83.43 65.36 82.08

2013-14 55.31 81.15 45.68 86.53 65.08 85.35

2014-15 58.68 82.14 47.58 80.35 66.19 87.29

2015-16 60.56 86.10 50.22 83.16 63.90 89.18

2016-17 56.83 87.23 45.98 79.16 62.48 93.18

2017-18 58.90 80.40 59.40 80.72 56.80 91.62

Apr-18 66.83 75.41 55.53 84.45 55.08 91.97

OTC NDS-OM TotalPeriod

Trades Value % Share % Share Trades Value % Share % Share Trades Value

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

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

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

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

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

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

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

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

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

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

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

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

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

Apr-18 4794 176553 5.92 20.34 76165 691530 94.08 79.66 80959 868083

98

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TABLE 29: MARKET SHARE - PROPRIETARY TRADES* Percent

* Trade Data

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

Ma

y 2

01

8

Period Trades Value

2006-07 154 1270

2007-08 169 1530

2008-09 335 3000

2009-10 320 3180

2010-11 306 2715

2011-12 391 2985

2012-13 1586 11805

2013-14 1406 11295

2014-15 1232 11265

2015-16 679 5755

2016-17 1400 13535

2017-18 966 9555

Apr-18 9 65

TABLE 28B: WHEN-ISSUED TRADING DETAILS Amount Crore`

Security Description Maturity Date Trades Value

6.65% GS 2020 9-Apr-20 3 15

7.37% GS 2023 16-Apr-23 2 20

7.17% GS 2028 08-Jan-28 4 30

Total 9 65

Buy SellCategory

Trades Value Trades Value

Co-operative Banks 6.68 3.71 6.49 3.48

Financial Institutions 0.60 0.31 0.35 0.19

Foreign Banks 18.93 23.08 20.01 22.63

Insurance Companies 2.13 2.80 1.65 2.21

Mutual Funds 6.67 8.88 7.73 8.73

Others 5.04 3.93 4.33 2.55

Primary Dealers 15.25 14.07 17.88 16.42

Private Sector Banks 20.32 19.86 19.68 21.42

Provident Funds 0.20 0.77 0.00 0.00

Public Sector Banks 16.93 14.10 16.95 15.65

99

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TABLE 30: MARKET SHARE - CONSTITUENT TRADES* Percent

*Trade data

PercentTABLE 31: TURNOVER RATIO

TABLE 32: NET MARKET ACTIVITY IN G-SEC TRADING Percent

Ma

y 2

01

8

Current Month Previous Month 3 Months 6 Months 12 Months

1.58% 1.18% 1.36% 1.77% 1.50%

DateForeignBanks

MutualFunds

OthersPrimaryDealers

PrivateSectorBanks

PublicSectorBanks

3-Apr-18 -1.46 -1.88 2.29 -0.68 3.47 -1.74

4-Apr-18 6.70 -0.96 0.10 0.31 -1.67 -4.50

5-Apr-18 4.95 -3.25 0.77 1.99 1.15 -5.61

6-Apr-18 -3.32 -2.74 1.83 -0.70 4.55 0.38

9-Apr-18 4.31 -2.50 2.26 -1.50 -0.15 -2.42

10-Apr-18 0.47 -0.21 4.14 -2.01 -4.79 2.41

11-Apr-18 -1.59 6.74 3.33 1.63 -10.08 -0.02

12-Apr-18 -3.36 3.99 0.86 -1.05 1.14 -1.58

13-Apr-18 -0.78 3.33 -1.18 -1.10 3.43 -3.70

16-Apr-18 0.33 -1.47 2.65 -1.40 -1.41 1.30

17-Apr-18 8.62 -1.33 1.80 0.39 -0.91 -8.57

18-Apr-18 -4.69 3.81 3.31 0.27 1.47 -4.17

19-Apr-18 -2.66 2.20 0.44 0.04 1.41 -1.43

20-Apr-18 -5.94 0.39 13.22 -4.09 -1.38 -2.20

23-Apr-18 -0.39 -2.28 2.90 -2.88 0.71 1.95

24-Apr-18 -1.18 2.15 0.25 -1.47 2.20 -1.95

25-Apr-18 -3.92 -5.47 2.12 1.52 2.47 3.27

26-Apr-18 -5.68 -0.41 4.82 -4.07 4.54 0.79

27-Apr-18 -0.23 4.98 1.10 -2.97 -3.20 0.32

Net Activity in Apr-18 0.00 -0.01 2.40 -0.76 0.05 -1.67

Buy SellConstituent Category


Banks 0.35 0.46 0.18 0.20

Co-operative Banks 1.89 0.82 0.99 0.43

Corporates 2.05 2.49 2.16 2.48

FIIs 0.35 1.95 0.44 2.56

Insurance Companies 1.12 1.55 0.68 0.68

Mutual Funds 0.22 0.22 0.21 0.21

Finance Cos. 0.01 0.07 0.00 0.01

Others 0.14 0.18 0.10 0.06

Provident Funds 1.11 0.74 0.16 0.09

100

TABLE 33: TRADING SUMMARY Amount Crore`

*Amount in USD Million


statis

tic

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May 2018

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

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

3-Apr-18 4121 39408 65 813 75 2968 4261 43189 318 31472 732 104696 10601 42255

4-Apr-18 6224 64712 132 1595 124 8064 6480 74371 338 34612 751 108390 13062 37783

5-Apr-18 7860 77712 238 3960 80 1918 8178 83590 340 31707 713 104966 9707 29468

6-Apr-18 5284 55413 136 1885 39 905 5459 58202 370 38353 783 107307 10125 27143

7-Apr-18 3 219 153 10209

9-Apr-18 4513 45982 134 1976 35 1170 4682 49128 358 43448 782 115882 9907 26884

10-Apr-18 4615 52728 263 5608 55 3180 4933 61516 439 52303 817 120009 8525 25452

11-Apr-18 4181 43870 185 2707 114 4861 4480 51438 357 39898 769 105817 9674 26485

12-Apr-18 4290 38247 155 2054 75 1549 4520 41851 356 38463 768 106352 8567 23399

13-Apr-18 4163 37866 72 1357 45 1099 4280 40323 533 85762 587 69059 13184 28265

16-Apr-18 3712 32900 119 2507 32 744 3863 36151 383 41341 780 107342 11693 28942

17-Apr-18 2473 25494 136 1316 59 4040 2668 30851 394 40863 832 116758 8176 21968

18-Apr-18 2447 23991 128 2412 122 7041 2697 33444 364 37111 765 108349 8836 21247

19-Apr-18 3193 32914 187 2578 51 897 3431 36389 385 43004 779 104775 10681 22931

20-Apr-18 3936 43092 81 2599 27 572 4044 46263 417 52276 844 110307 9721 22349

21-Apr-18 0 0 156 12142

23-Apr-18 3235 29374 112 926 29 1168 3376 31469 470 49615 818 112220 9664 23673

24-Apr-18 4285 42160 216 4866 51 2674 4552 49701 479 58527 786 111468 9754 24403

25-Apr-18 3109 26253 179 2445 134 7222 3422 35920 507 70018 826 121439 11362 25231

26-Apr-18 3201 31280 203 2549 67 3133 3471 36962 478 70343 773 110251 10719 25255

27-Apr-18 1998 23708 131 2449 33 1169 2162 27325 534 86134 668 71378 20526 134149

Total 76840 767104 2872 46603 1247 54376 80959 868083 7823 945471 14882 2039116 204484 617281

Average 4044 40374 151 2453 66 2862 4261 45689 373 45022 709 97101 10762 32488

Market Share (%) 94.91 88.37 3.55 5.37 1.54 6.26

101


TABLE 34: G-SEC TRADING ANALYSIS Amount Crore`

statis

tic

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May 2018

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

DateTrades

No. ofSecurities

ValueMarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

3-Apr-18 122 35 3739.93 9.49 3999 46 35668.25 90.51 21 15 908.85 2.31 4121 48 39408.18

4-Apr-18 218 45 9757.31 15.08 6006 47 54954.65 84.92 44 19 2510.10 3.88 6224 55 64711.97

5-Apr-18 187 38 6319.15 8.13 7673 55 71392.47 91.87 28 14 1220.00 1.57 7860 59 77711.63

6-Apr-18 167 38 6477.85 11.69 5117 50 48934.68 88.31 23 14 880.00 1.59 5284 52 55412.52

9-Apr-18 163 44 5923.33 12.88 4350 55 40058.34 87.12 15 9 615.00 1.34 4513 61 45981.67

10-Apr-18 141 26 8808.80 16.71 4474 50 43918.98 83.29 30 13 2475.00 4.69 4615 51 52727.78

11-Apr-18 140 27 7687.28 17.52 4041 40 36182.40 82.48 30 8 3286.99 7.49 4181 43 43869.68

12-Apr-18 108 28 2493.60 6.52 4182 46 35753.65 93.48 16 11 798.00 2.09 4290 52 38247.25

13-Apr-18 84 25 3702.78 9.78 4079 42 34163.64 90.22 13 6 1585.00 4.19 4163 44 37866.43

16-Apr-18 93 17 2701.70 8.21 3619 29 30198.48 91.79 21 7 1045.00 3.18 3712 46 32900.18

17-Apr-18 105 27 5575.05 21.87 2368 34 19919.13 78.13 34 12 2665.00 10.45 2473 61 25494.18

18-Apr-18 115 28 5325.93 22.20 2332 35 18665.50 77.80 24 9 1870.00 7.79 2447 63 23991.43

19-Apr-18 98 28 5281.17 16.05 3095 35 27632.37 83.95 17 9 840.00 2.55 3193 63 32913.54

20-Apr-18 108 29 5763.34 13.37 3828 42 37328.98 86.63 18 10 1080.00 2.51 3936 71 43092.33

23-Apr-18 162 29 5454.50 18.57 3073 36 23919.94 81.43 14 10 570.00 1.94 3235 39 29374.43

24-Apr-18 116 18 7387.97 17.52 4169 33 34771.85 82.48 25 9 3265.00 7.74 4285 36 42159.82

25-Apr-18 111 25 4044.30 15.41 2998 34 22208.60 84.59 24 10 1605.00 6.11 3109 39 26252.90

26-Apr-18 156 35 4771.50 15.25 3045 38 26508.81 84.75 22 11 850.00 2.72 3201 46 31280.32

27-Apr-18 108 27 5646.26 23.82 1890 26 18061.77 76.18 20 11 985.00 4.15 1998 35 23708.03

Total 2,502 106862 74,338 660242 439 29054 76,840 767104

Average 132 30 5624 3,913 41 34750 23 11 1529 4,044 51 40374

PercentMarket Share

13.93 86.07 3.79

102


TABLE 35: T-BILL TRADING ANALYSIS Amount Crore`

statis

tic

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May 2018

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

DateTrades

No. ofSecurities

ValueMarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

3-Apr-18 25 14 1738.02 58.55 50 14 1230.45 41.45 6 3 845.00 28.47 75 22 2968.47

4-Apr-18 53 12 5481.68 67.98 71 20 2582.37 32.02 3 1 160.00 1.98 124 24 8064.04

5-Apr-18 29 15 777.22 40.52 51 14 1141.04 59.48 1 1 10.00 0.52 80 23 1918.26

6-Apr-18 16 8 330.00 36.46 23 10 575.00 63.54 1 1 100.00 11.05 39 11 905.00

9-Apr-18 10 6 630.00 53.85 25 9 540.00 46.15 6 3 595.00 50.85 35 12 1170.00

10-Apr-18 11 7 1539.73 48.42 44 12 1640.00 51.58 1 1 25.00 0.79 55 16 3179.73

11-Apr-18 44 14 3211.97 66.07 70 14 1649.34 33.93 3 3 172.94 3.56 114 22 4861.31

12-Apr-18 39 17 1069.18 69.02 36 13 480.00 30.98 0 0 0.00 0.00 75 22 1549.18

13-Apr-18 11 8 141.45 12.87 34 13 958.00 87.13 0 0 0.00 0.00 45 16 1099.45

16-Apr-18 9 6 221.58 29.80 23 11 522.04 70.20 0 0 0.00 0.00 32 17 743.62

17-Apr-18 21 12 2923.39 72.35 38 12 1117.00 27.65 6 5 2539.47 62.85 59 24 4040.39

18-Apr-18 49 13 4456.71 63.30 73 11 2584.46 36.70 8 5 784.18 11.14 122 24 7041.16

19-Apr-18 22 11 357.38 39.82 29 4 540.00 60.18 2 2 137.88 15.36 51 15 897.38

20-Apr-18 5 5 56.50 9.89 22 10 515.00 90.11 0 0 0.00 0.00 27 15 571.50

23-Apr-18 17 10 712.90 61.04 12 9 455.00 38.96 2 1 250.00 21.41 29 17 1167.90

24-Apr-18 20 13 1849.41 69.15 31 9 825.00 30.85 8 4 1140.00 42.63 51 20 2674.40

25-Apr-18 59 11 4943.52 68.45 75 16 2278.49 31.55 2 2 70.17 0.97 134 21 7222.01

26-Apr-18 28 14 858.08 27.39 39 8 2275.00 72.61 5 4 540.00 17.24 67 16 3133.08

27-Apr-18 8 5 315.00 26.95 25 7 853.70 73.05 0 0 0.00 0.00 33 9 1168.70

Total 476 31614 771 22762 54 7370 1,247 54376

Average 25 11 1664 41 11 1198 3 2 388 66 18 2862

PercentMarket Share

58.14 41.86 13.55

103


TABLE 36: SDL TRADING ANALYSIS Amount Crore`

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May 2018

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

DateTrades

No. ofSecurities

ValueMarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

3-Apr-18 44 31 677.93 83.42 21 17 134.74 16.58 10 6 279.35 34.37 65 45 812.67

4-Apr-18 70 30 1090.20 68.34 62 27 505.12 31.66 25 13 711.98 44.63 132 54 1595.32

5-Apr-18 92 39 2655.53 67.05 146 52 1304.71 32.95 32 23 1750.00 44.19 238 93 3960.25

6-Apr-18 82 45 1672.50 88.75 54 29 212.06 11.25 17 10 535.00 28.39 136 65 1884.56

9-Apr-18 87 50 1738.98 1738.98 47 26 237.22 12.00 6 6 305.00 15.43 134 61 1976.21

10-Apr-18 155 32 4118.91 4118.91 108 35 1489.12 26.55 10 6 215.00 3.83 263 50 5608.04

11-Apr-18 103 47 1904.03 1904.03 82 22 803.02 29.66 12 9 203.89 7.53 185 61 2707.05

12-Apr-18 111 46 1644.44 1644.44 44 16 409.77 19.95 12 9 305.00 14.85 155 50 2054.21

13-Apr-18 44 27 1221.99 1221.99 28 16 135.08 9.95 5 4 315.00 23.21 72 37 1357.06

16-Apr-18 90 56 2318.95 92.50 29 15 187.98 7.50 13 8 470.00 18.75 119 71 2506.92

17-Apr-18 80 25 872.98 66.31 56 20 443.51 33.69 9 6 189.48 14.39 136 45 1316.49

18-Apr-18 73 33 2022.41 83.86 55 20 389.18 16.14 12 12 1037.27 43.01 128 53 2411.59

19-Apr-18 115 43 1968.11 76.35 72 26 609.66 23.65 30 16 1022.79 39.68 187 69 2577.76

20-Apr-18 64 42 2512.65 96.67 17 11 86.44 3.33 2 1 20.00 0.77 81 53 2599.09

23-Apr-18 76 32 784.87 84.72 36 13 141.50 15.27 16 10 537.08 57.98 112 44 926.38

24-Apr-18 130 47 4181.39 85.92 86 32 685.03 14.08 10 7 438.88 9.02 216 63 4866.41

25-Apr-18 138 58 2231.79 91.27 41 20 213.47 8.73 19 13 721.17 29.49 179 74 2445.25

26-Apr-18 154 60 2374.94 93.17 49 27 174.00 6.83 23 20 1188.59 46.63 203 83 2548.95

27-Apr-18 108 48 2084.86 85.14 23 16 363.81 14.86 23 23 951.21 38.85 131 71 2448.68

Total 1,816 38077 1056 8525 286 11197 2,872 46603

Average 96 42 2004 56 23 449 15 11 589 151 60 2453

PercentMarket Share

81.71 18.29 24.03

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

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Ma

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Sr.No.

ISINDESC TradesValue(` Cr.)

MarketShare(% )

DaysTraded

Days Traded with 5trades or more per day

Days Traded with lessthan 5 trades per day

1 7.17% GS 2028 37494 339925 44.41 20 20 0

2 6.68% GS 2031 17634 157292 20.55 20 20 0

3 6.79% GS 2027 11841 108890 14.22 20 20 0

4 6.84% GS 2022 1310 17194 2.25 20 19 1

5 8.20% GS 2022 1052 16460 2.15 20 19 1

6 8.15% GS 2022 722 14325 1.87 20 19 1

7 8.12% GS 2020 298 11250 1.47 20 15 5

8 7.80% GS 2020 272 7305 0.95 20 15 5

9 7.16% GS 2023 487 6699 0.88 20 18 2

10 7.80% GS 2021 276 4807 0.63 20 15 5

11 7.94% GS 2021 163 4782 0.62 20 10 10

12 6.05% GS 2019 292 4700 0.61 20 14 6

13 7.37% GS 2023 305 4536 0.59 11 10 1

14 8.27% GS 2020 188 4047 0.53 19 12 7

15 8.33% GS 2026 187 3740 0.49 16 12 4

16 8.40% GS 2024 162 3611 0.47 17 9 8

17 8.79% GS 2021 177 3350 0.44 16 12 4

18 8.19% GS 2020 53 2795 0.37 10 3 7

19 7.88% GS 2030 169 2777 0.36 15 11 4

20 6.90% GS 2019 80 2560 0.33 13 7 6

21 7.61% GS 2030 166 2350 0.31 17 13 4

22 8.15% GS 2026 72 2305 0.30 14 6 8

23 7.28% GS 2019 149 2292 0.30 20 10 10

24 6.35% GS 2020 155 2155 0.28 20 10 10

25 FRB 2024 21 2060 0.27 7 1 6

26 7.35% GS 2024 147 1986 0.26 17 14 3

27 8.60% GS 2028 63 1916 0.25 7 4 3

28 7.59% GS 2026 101 1835 0.24 14 7 7

29 7.68% GS 2023 136 1801 0.24 16 12 4

30 9.15% GS 2024 52 1785 0.23 6 4 2

31 8.08% GS 2022 99 1739 0.23 16 5 11

32 7.72% GS 2025 135 1688 0.22 18 11 7

33 7.59% GS 2029 127 1604 0.21 12 7 5

34 8.24% GS 2027 99 1591 0.21 14 6 8

35 8.97% GS 2030 46 1440 0.19 8 4 4

36 6.65% GS 2020 82 1222 0.16 7 5 2

37 7.73% GS 2034 86 1039 0.14 12 8 4

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

statistics

Ma

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01

8

Sr.No.

ISINDESC TradesValue(` Cr.)

MarketShare(% )

DaysTraded

Days Traded with 5trades or more per day

Days Traded with lessthan 5 trades per day

38 8.20% GS 2025 46 978 0.13 9 3 6

39 8.13% GS 2022 55 900 0.12 9 4 5

40 8.35% GS 2022 33 880 0.11 10 2 8

41 8.32% GS 2032 30 730 0.10 7 3 4

42 5.64% GS 2019 23 710 0.09 7 3 4

43 6.62% GS 2051 32 683 0.09 7 1 6

44 6.57% GS 2033 77 680 0.09 14 6 8

45 8.83% GS 2023 18 668 0.09 7 1 6

46 8.28% GS 2027 42 650 0.08 7 2 5

47 7.72% GS 2055 21 591 0.08 3 1 2

48 6.97% GS 2026 39 522 0.07 14 3 11

49 6.79% GS 2029 67 515 0.07 12 5 7

50 8.24% GS 2033 34 500 0.07 8 2 6

51 8.28% GS 2032 34 485 0.06 7 3 4

52 7.95% GS 2032 33 445 0.06 4 4 0

53 7.83% GS 2018 11 380 0.05 3 1 2

54 7.40% GS 2035 40 365 0.05 7 4 3

55 8.30% GS 2040 14 345 0.05 5 0 5

56 8.26% GS 2027 27 325 0.04 11 1 10

57 6.17% GS 2023 27 250 0.03 10 2 8

58 8.17% GS 2044 18 212 0.03 7 1 6

59 8.30% GS 2042 13 195 0.03 6 1 5

60 5.69% GS 2018 8 180 0.02 4 0 4

61 7.50% GS 2034 27 180 0.02 9 2 7

62 6.30% GS 2023 5 160 0.02 2 0 2

63 8.24% GS 2018 11 155 0.02 3 1 2

64 6.83% GS 2039 9 145 0.02 3 0 3

65 8.33% GS 2036 8 140 0.02 4 0 4

66 9.23% GS 2043 6 125 0.02 1 1 0

67 7.06% GS 2046 4 110 0.01 2 0 2

68 8.83% GS 2041 8 105 0.01 2 1 1

69 9.20% GS 2030 8 100 0.01 1 1 0

70 6.01% GS 2028 9 60 0.01 2 1 1

71 6.05% GS 2019 4 50 0.01 3 0 3

72 5.87% GS 2022 1 45 0.01 1 0 1

73 8.13% GS 2045 5 42 0.01 3 0 3

74 8.01% OMC SB 2023 1 25 0.00 1 0 1

75 8.03% FCI SB 2024 1 14 0.00 1 0 1

75747 765499 100.00

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TABLE 38: LIQUIDITY DISTRIBUTION (G-SEC)

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

DaysTraded

TradesValue(` Cr.)

ISINDESCDays

TradedTrades

Value(` Cr.)

1 7.17% GS 2028 20 37494 339925 8.08% GS 2022 11 24 200

2 6.68% GS 2031 20 17634 157292 6.97% GS 2026 11 19 315

3 6.79% GS 2027 20 11841 108890 7.94% GS 2021 10 20 255

4 6.84% GS 2022 19 1308 17112 7.28% GS 2019 10 18 445

5 8.20% GS 2022 19 1051 16455 6.35% GS 2020 10 15 115

6 8.15% GS 2022 19 720 14265 8.26% GS 2027 10 20 270

7 7.16% GS 2023 18 483 6592 8.40% GS 2024 8 22 313

8 8.12% GS 2020 15 286 10245 8.15% GS 2026 8 18 300

9 7.80% GS 2020 15 260 7175 8.24% GS 2027 8 17 375

10 7.80% GS 2021 15 260 4337 6.57% GS 2033 8 17 180

11 6.05% GS 2019 14 282 4610 8.35% GS 2022 8 17 325

12 7.35% GS 2024 14 142 1620 6.17% GS 2023 8 17 175

13 7.61% GS 2030 13 155 2275 8.27% GS 2020 7 18 212

14 8.27% GS 2020 12 170 3835 7.72% GS 2025 7 16 105

15 8.33% GS 2026 12 176 3600 7.59% GS 2026 7 15 505

16 8.79% GS 2021 12 165 3185 6.79% GS 2029 7 16 135

17 7.68% GS 2023 12 124 1261 8.19% GS 2020 7 17 670

18 7.88% GS 2030 11 161 2727 7.50% GS 2034 7 15 90

19 7.72% GS 2025 11 119 1583 6.05% GS 2019 6 10 90

20 7.94% GS 2021 10 143 4527 6.90% GS 2019 6 11 845

21 7.37% GS 2023 10 303 4521 8.20% GS 2025 6 15 148

22 7.28% GS 2019 10 131 1847 8.24% GS 2033 6 16 210

23 6.35% GS 2020 10 140 2040 FRB 2024 6 10 1845

24 8.40% GS 2024 9 140 3297 6.62% GS 2051 6 9 90

25 7.73% GS 2034 8 77 906 8.83% GS 2023 6 11 537

26 6.90% GS 2019 7 69 1715 8.17% GS 2044 6 13 177

27 7.59% GS 2026 7 86 1330 8.12% GS 2020 5 12 1005

28 7.59% GS 2029 7 113 1519 7.80% GS 2020 5 12 130

29 8.15% GS 2026 6 54 2005 7.80% GS 2021 5 16 470

30 8.24% GS 2027 6 82 1216 7.59% GS 2029 5 14 85

31 6.57% GS 2033 6 60 500 8.13% GS 2022 5 5 275

32 8.08% GS 2022 5 75 1539 8.28% GS 2027 5 12 255

33 6.65% GS 2020 5 77 1147 8.30% GS 2042 5 6 125

34 6.79% GS 2029 5 51 380 8.30% GS 2040 5 14 345

35 8.60% GS 2028 4 59 1491 7.61% GS 2030 4 11 75

36 9.15% GS 2024 4 50 1730 8.33% GS 2026 4 11 140

37 8.97% GS 2030 4 39 1370 8.79% GS 2021 4 12 165

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TABLE 38: LIQUIDITY DISTRIBUTION (G-SEC)

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

DaysTraded

TradesValue(` Cr.)

ISINDESCDays

TradedTrades

Value(` Cr.)

38 8.13% GS 2022 4 50 625 7.68% GS 2023 4 12 540

39 7.95% GS 2032 4 33 445 7.88% GS 2030 4 8 50

40 7.40% GS 2035 4 31 320 7.73% GS 2034 4 9 133

41 8.19% GS 2020 3 36 2125 8.97% GS 2030 4 7 70

42 8.20% GS 2025 3 31 830 8.32% GS 2032 4 6 270

43 8.32% GS 2032 3 24 460 5.64% GS 2019 4 8 565

44 5.64% GS 2019 3 15 145 8.28% GS 2032 4 8 80

45 6.97% GS 2026 3 20 207 5.69% GS 2018 4 8 180

46 8.28% GS 2032 3 26 405 8.33% GS 2036 4 8 140

47 8.35% GS 2022 2 16 555 7.35% GS 2024 3 5 367

48 8.28% GS 2027 2 30 395 8.60% GS 2028 3 4 425

49 8.24% GS 2033 2 18 290 7.40% GS 2035 3 9 45

50 6.17% GS 2023 2 10 75 6.83% GS 2039 3 9 145

51 7.50% GS 2034 2 12 90 6.05% GS 2019 3 4 50

52 FRB 2024 1 11 215 8.13% GS 2045 3 5 42

53 6.62% GS 2051 1 23 593 7.16% GS 2023 2 4 107

54 8.83% GS 2023 1 7 131 6.65% GS 2020 2 5 75

55 7.72% GS 2055 1 15 561 9.15% GS 2024 2 2 55

56 7.83% GS 2018 1 7 290 7.72% GS 2055 2 6 30

57 8.26% GS 2027 1 7 55 7.83% GS 2018 2 4 90

58 8.17% GS 2044 1 5 35 8.24% GS 2018 2 2 15

59 8.30% GS 2042 1 7 70 6.30% GS 2023 2 5 160

60 8.24% GS 2018 1 9 140 7.06% GS 2046 2 4 110

61 9.23% GS 2043 1 6 125 6.84% GS 2022 1 2 82

62 8.83% GS 2041 1 7 100 8.20% GS 2022 1 1 5

63 9.20% GS 2030 1 8 100 8.15% GS 2022 1 2 60

64 6.01% GS 2028 1 8 55 7.37% GS 2023 1 2 15

65 8.83% GS 2041 1 1 5

66 6.01% GS 2028 1 1 5

67 5.87% GS 2022 1 1 45

68 8.01% OMC SB 2023 1 1 25

69 8.03% FCI SB 2024 1 1 14

Total 467 75052 749501 Total 331 695 15998

Expected Bond Days 1216 Expected Bond Days 1311

Efficiency 38.40 Efficiency 25.25

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Amount Crore`TABLE 39: MONEY MARKET VOLUMES

statistics

MONEY MARKET

Ma

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8

COLLATERALISED BORROWING AND LENDING OBLIGATION (CBLO)


TABLE 40: CBLO TRADING Amount Crore`

Overnight Term Total Daily AveragePeriod


2002-03 157 829 2 23 159 852 3 15

2003-04 2280 58136 780 18715 3060 76851 10 251

2004-05 22802 768294 6549 208497 29351 976790 101 3345

2005-06 54026 2391854 13437 561280 67463 2953134 229 10045

2006-07 69602 3860456 16279 871815 85881 4732271 292 16096

2007-08 93282 6699077 19995 1411751 113277 8110828 385 27588

2008-09 94344 7099527 24597 1725258 118941 8824784 414 30748

2009-10 115171 12747733 26881 2793645 142052 15541378 498 54531

2010-11 121286 10516301 24097 1743444 145383 12259745 495 41700

2011-12 118699 9481527 25250 1673901 143949 11155428 495 38335

2012-13 129197 10194520 26902 1833520 156099 12028040 538 41476

2013-14 147469 14892707 30449 2633485 177918 17526192 605 59613

2014-15 170308 13949524 36933 2815073 207241 16764597 722 58413

2015-16 184915 15480390 30236 2353139 215151 17833529 777 64381

2016-17 192122 20392360 25664 2560473 217786 22952833 807 85010

2017-18 180965 25407650 22747 2923108 203712 28330758 766 106507

Apr-18 12733 1761111 2149 278005 14882 2039116 709 97101

Uncollateralised Call, Noticeand Term Money Market

Market Repo CBLOPeriod

ValueDaily Average

ValueValue

Daily AverageValue

ValueDaily Average

Value

2009-10 2522703 8914 6072829 21308 15541378 54531

2010-11 2945901 10020 4099284 13943 12259745 41700

2011-12 4084692 14085 3755892 12907 11155428 38335

2012-13 4814032 16658 5402765 18695 12028040 41620

2013-14 4507273 15383 7228127 24585 17526192 59613

2014-15 3740742 12989 7875244 27440 16764597 58413

2015-16 3799481 13717 8621665 31125 17833528 64381

2016-17 4242821 15714 11835001 43833 22952833 85010

2017-18 3871780 14556 12780289 48046 28330758 106507

Apr-18 356450 16974 945469 45022 2039115 97101

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MARKET REPO

TABLE 41: REPO TERM ANALYSIS Percent

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

Period% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

2002-03 50.05 50.15 30.96 31.01 15.46 15.95 2.26 1.78 1.27 1.11

2003-04 53.00 52.29 32.68 32.94 13.63 14.37 0.58 0.34 0.11 0.06

2004-05 68.29 69.29 26.30 24.23 5.30 6.35 0.09 0.11 0.02 0.02

2005-06 70.93 72.06 25.73 25.11 3.06 2.71 0.19 0.08 0.08 0.04

2006-07 73.68 75.19 21.58 21.06 4.32 3.57 0.12 0.07 0.31 0.11

2007-08 74.00 73.97 22.86 23.25 2.80 2.69 0.03 0.01 0.30 0.09

2008-09 68.24 68.69 27.17 27.04 4.35 4.17 0.07 0.03 0.17 0.07

2009-10 70.42 69.51 23.07 24.25 6.23 6.00 0.19 0.23 0.09 0.02

2010-11 68.51 65.99 27.94 31.12 2.96 2.68 0.27 0.08 0.32 0.13

2011-12 67.46 65.94 26.27 28.53 5.17 5.24 0.39 0.11 0.72 0.18

2012-13 69.06 67.82 27.13 27.75 3.49 4.16 0.14 0.21 0.18 0.05

2013-14 66.29 65.24 27.73 28.34 5.60 6.17 0.16 0.18 0.23 0.07

2014-15 67.08 65.76 27.56 28.22 5.08 5.63 0.25 0.37 0.03 0.02

2015-16 71.79 70.30 23.89 25.40 4.24 4.21 0.06 0.08 0.02 0.02

2016-17 70.48 67.25 24.29 26.22 4.67 5.36 0.39 0.79 0.16 0.39

2017-18 71.27 68.06 21.27 23.76 6.15 6.92 0.41 0.65 0.90 0.61

Apr-18 74.95 70.89 16.86 18.56 6.89 9.16 0.24 0.23 1.06 1.16

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TABLE 42: INSTRUMENTWISE SETTLEMENT OF REPO TRADES Amount Crore`

State Development LoansCen. Govt. Dated Treasury BillsSettlement

Period ValueAvg.Value



% Share

2002-03 403971 1360 86.28 64238 216 13.72 20 0 0.00

2003-04 874438 2974 92.71 59222 201 6.28 9530 32 1.01

2004-05 1262149 4322 81.02 286955 983 18.42 8803 30 0.57

2005-06 1369411 4674 80.81 277687 948 16.39 47411 162 2.80

2006-07 2126634 7233 83.19 379165 1290 14.83 50677 172 1.98

2007-08 3569960 12102 90.41 323984 1098 8.20 54807 186 1.39

2008-09 3475348 12109 84.88 583335 2033 14.25 35603 124 0.87

2009-10 5233295 18362 86.18 812537 2851 13.38 26996 95 0.44

2010-11 3253965 11068 79.38 832632 2832 20.31 12688 43 0.31

2011-12 2186877 7515 58.10 1554121 5341 41.29 22878 79 0.61

2012-13 2918337 10098 54.02 2413144 8350 44.66 71282 247 1.32

2013-14 3364069 11442 46.54 3832478 13036 53.02 31580 107 0.44

2014-15 4471896 15582 56.78 3259007 11355 41.38 144343 503 1.83

2015-16 6230697 22493 72.27 2248204 8116 26.08 142765 515 1.66

2016-17 9499803 35184 80.27 1802788 6677 15.23 532410 1972 4.50

2017-18 9131782 34330 71.45 2684898 10094 21.01 963609 3623 7.54

Apr-18 748711 35653 79.19 103999 4952 11.00 92761 4417 9.81

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TABLE 43: CROMS TRADING ACTIVITY

Number of Participants: 154 Amount Crore`

CROMS Special CROMS Basket CROMS - Total Repo

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

% Shareof

CROMSin Repovolumes

3-Apr-18 207 14258 5.7669 96 14519 5.8519 303 28777 5.8098 318 31472 5.8065 91.44

4-Apr-18 210 13996 5.7458 116 18084 5.8692 326 32080 5.8153 338 34612 5.8063 92.68

5-Apr-18 217 13114 5.7212 111 16111 5.8217 328 29225 5.7766 340 31707 5.7751 92.17

6-Apr-18 223 16552 5.7698 138 19352 5.8741 361 35904 5.8260 370 38353 5.8200 93.61

9-Apr-18 209 16181 5.8229 138 24809 5.9170 347 40990 5.8799 358 43448 5.8766 94.34

10-Apr-18 249 16378 5.8998 181 33495 5.9849 430 49873 5.9570 439 52303 5.9481 95.35

11-Apr-18 223 15561 5.7970 125 21998 5.9667 348 37559 5.8964 357 39898 5.8901 94.14

12-Apr-18 235 16807 5.6565 111 19494 5.9082 346 36301 5.7916 356 38463 5.7916 94.38

13-Apr-18 255 22748 5.7619 264 60115 5.9131 519 82863 5.8716 533 85762 5.8705 96.62

16-Apr-18 230 17845 5.7460 138 20917 5.9481 368 38762 5.8551 383 41341 5.8538 93.76

17-Apr-18 263 19067 5.7951 117 19376 5.9390 380 38443 5.8676 394 40863 5.8729 84.90

18-Apr-18 252 19537 5.7832 100 15155 5.9257 352 34692 5.8455 364 37111 5.8479 103.59

19-Apr-18 256 20136 5.7678 118 20259 5.9437 374 40395 5.8560 385 43004 5.8520 93.93

20-Apr-18 268 19574 5.8026 138 30208 5.9950 406 49782 5.9193 417 52276 5.9172 95.23

23-Apr-18 316 21919 5.7391 143 25185 5.9722 459 47104 5.8637 470 49615 5.8522 94.94

24-Apr-18 307 21975 5.7415 161 34149 5.9755 468 56124 5.8839 479 58527 5.8816 95.89

25-Apr-18 298 22539 5.6462 199 45614 5.9409 497 68153 5.8435 507 70018 5.8417 97.34

26-Apr-18 286 21910 5.5823 181 46273 5.9571 467 68183 5.8366 478 70343 5.8384 96.93

27-Apr-18 251 20928 5.6147 268 62178 5.9921 519 83106 5.8971 534 86134 5.8951 96.48

Total 4755 351025 2843 547290 7598 898315 7820 945252 95.03

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TABLE 45: TOP 5 SECURITIES - BASKET REPO

TABLE 46: TOP 5 SECURITIES - SPECIAL REPO

Amount Crore`

Amount Crore`

TABLE 44: CROMS HISTORICAL SUMMARY Amount Crore`

CROMS-SPECIAL CROMS-BASKET CROMS

PeriodTrades Value

% Sharein Repo

Trades Value% Sharein Repo

TradesTotalValue

DailyAverageValue

% Sharein Repo

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

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

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

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

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

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

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

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

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

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

Apr-18 4755 351025 2843 547290 7598 898315 47280

Security Trades Value Rate

8.20% GS 2022 227 44496 5.9239

7.80% GS 2020 182 43679 5.9558

8.12% GS 2020 181 41154 5.9409

6.35% GS 2020 156 33825 5.9578

7.28% GS 2019 98 27071 5.9549

Security Trades Value Rate

6.79% GS 2027 381 38931 5.7438

6.68% GS 2031 394 32176 5.6797

7.17% GS 2028 463 29265 4.7985

8.39% RAJASTHAN UDAY BOND 2019 60 17605 5.9699

6.84% GS 2022 181 16947 5.8083

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TABLE 47: DEALT TRANSACTIONS ON THE NDS-CALL PLATFORM

CALL MONEY MARKET

Amount Crore`

CALL NOTICE TERM TOTALDate

Trade Value WAR Trade Value WAR Trade Value WAR Trade Value

3-Apr-18 152 14287 5.9424 - - - 23 2100 6.3919 175 16387

4-Apr-18 153 14180 5.9615 - - - 16 1075 6.6144 169 15255

5-Apr-18 161 16417 5.9595 1 25 5.7500 7 475 6.4247 169 16917

6-Apr-18 152 13237 5.9374 4 440 6.0114 13 550 6.2468 169 14227

7-Apr-18 18 1179 5.7989 - - - - - - 18 1179

9-Apr-18 182 16551 5.9527 2 200 6.0500 2 75 6.2900 186 16826

10-Apr-18 100 8507 5.9708 - - - 5 625 6.5220 105 9132

11-Apr-18 74 6162 5.9663 - - - 3 425 6.6000 77 6587

12-Apr-18 90 8168 5.9110 - - - 1 100 6.2500 91 8268

13-Apr-18 190 17414 5.8955 - - - 1 90 6.7500 191 17504

16-Apr-18 145 12413 6.0000 - - - 5 484 6.8949 150 12897

17-Apr-18 74 5647 5.9266 13 990 5.9841 3 55 6.2909 90 6692

18-Apr-18 100 7871 5.9491 1 2 5.8500 8 763 6.5705 109 8636

19-Apr-18 122 10108 6.0168 1 35 5.7500 4 70 6.2429 127 10213

20-Apr-18 136 12318 6.0254 2 20 5.7875 7 405 6.2821 145 12743

21-Apr-18 30 3023 5.9969 - - - - - - 30 3023

23-Apr-18 110 8570 6.0020 1 65 5.9000 8 360 6.3472 119 8995

24-Apr-18 94 9252 5.8704 1 200 6.0000 7 445 6.3528 102 9897

25-Apr-18 153 15469 5.9311 1 2 5.9000 10 1200 6.4833 164 16671

26-Apr-18 138 13694 5.9430 1 90 6.0000 6 605 6.5273 145 14389

27-Apr-18 278 36678 6.0497 - - - 2 75 6.4000 280 36753

Total 2652 251142 5.9664 28 2069 5.9870 131 9977 6.4754 2811 263188

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

CALL NOTICE Term TotalDate

Trade Value WAR Trade Value WAR Trade Value WAR Trade Value

3-Apr-18 326 5713 5.8936 16 141 5.8773 21 837 6.1157 363 6690

4-Apr-18 364 5466 5.7388 21 146 5.8333 11 185 6.2099 396 5796

5-Apr-18 337 4284 5.7229 12 108 5.9264 5 34 6.1490 354 4426

6-Apr-18 345 4420 5.7504 5 76 5.7808 7 141 6.2295 357 4637

7-Apr-18 58 933 5.3344 - - - - - - 58 933

9-Apr-18 350 4746 5.7657 13 93 5.8673 4 175 6.2500 367 5014

10-Apr-18 360 4396 5.7398 4 31 5.8642 6 155 6.3768 370 4583

11-Apr-18 370 4612 5.7349 12 55 5.8282 7 65 6.4246 389 4732

12-Apr-18 385 4822 5.7304 12 117 5.8877 11 137 6.1996 408 5076

13-Apr-18 377 4688 5.7233 4 31 5.7295 8 208 6.3692 389 4927

16-Apr-18 358 4671 5.7455 17 147 5.8946 3 125 6.2900 378 4942

17-Apr-18 288 3448 5.7402 79 824 5.6868 3 55 6.5055 370 4326

18-Apr-18 277 3812 5.7454 13 166 5.9715 7 175 6.2457 297 4153

19-Apr-18 374 4592 5.7283 14 128 5.8620 10 213 6.2315 398 4933

20-Apr-18 382 4567 5.6794 11 79 5.9661 6 97 6.2021 399 4743

21-Apr-18 108 926 5.2588 1 7 5.4500 - - - 109 933

23-Apr-18 376 4180 5.7032 18 157 5.9277 15 448 6.2304 409 4785

24-Apr-18 386 4285 5.7046 13 120 5.8879 7 217 6.3226 406 4622

25-Apr-18 373 4264 5.6892 12 116 5.9314 12 281 6.2644 397 4660

26-Apr-18 370 4289 5.6979 13 104 5.9258 6 98 6.2249 389 4491

27-Apr-18 347 3798 5.6956 4 41 5.9232 16 284 6.2777 367 4122

Total 6911 86912 5.7266 294 2685 5.8289 165 3927 6.2370 7370 93524

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TABLE 49: UNCOLLATERALISED OVERNIGHT TRANSACTIONS Percent

Within +/-10 bpsof FBIL O/N

MIBOR


MIBOR


MIBORTotalTRADE

DATE

FBILO/N

MIBORRate Trades Value Trades Value Trades Value Trades Value (` Cr.)

03-Apr-18 6.00 31 57 44 80 50 87 478 20000

04-Apr-18 6.00 32 68 39 76 46 84 517 19646

05-Apr-18 6.00 34 70 42 76 49 88 498 20701

06-Apr-18 6.00 30 60 42 79 51 89 497 17657

09-Apr-18 6.00 39 80 47 87 54 91 532 21297

10-Apr-18 6.00 29 72 38 79 45 83 460 12903

11-Apr-18 6.00 25 65 34 73 40 79 444 10774

12-Apr-18 6.00 24 52 30 53 44 85 475 12990

13-Apr-18 6.00 27 46 46 85 52 91 567 22102

16-Apr-18 6.00 38 82 44 83 50 85 503 17084

17-Apr-18 6.00 26 53 38 66 48 84 362 9095

18-Apr-18 6.00 38 81 46 82 55 86 377 11683

19-Apr-18 6.00 36 80 42 82 48 86 496 14700

20-Apr-18 6.01 34 81 36 82 44 85 518 16885

23-Apr-18 6.00 35 80 40 81 47 88 486 12749

24-Apr-18 6.02 21 42 25 45 38 70 480 13537

25-Apr-18 6.00 34 75 43 86 48 90 526 19733

26-Apr-18 6.00 34 69 40 75 49 90 508 17983

27-Apr-18 6.00 40 65 52 87 62 96 625 40476

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


MIBOR


MIBOR


MIBORTotalTRADE

DATE

FBILO/N


03-Apr-18 6.00 64 66 94 97 98 99 152 14287

04-Apr-18 6.00 76 79 86 90 97 100 153 14180

05-Apr-18 6.00 79 79 89 86 98 100 161 16417

06-Apr-18 6.00 66 66 88 89 99 100 152 13237

09-Apr-18 6.00 87 91 95 98 99 100 182 16551

10-Apr-18 6.00 81 87 92 97 99 100 100 8507

11-Apr-18 6.00 82 82 92 95 99 100 74 6162

12-Apr-18 6.00 64 58 66 58 100 100 90 8168

13-Apr-18 6.00 53 46 93 95 99 100 190 17414

16-Apr-18 6.00 96 96 97 96 99 97 145 12413

17-Apr-18 6.00 65 62 78 76 100 100 74 5647

18-Apr-18 6.00 95 99 96 100 100 100 100 7871

19-Apr-18 6.00 98 100 99 100 100 100 122 10108

20-Apr-18 6.01 98 100 99 100 99 100 136 12318

23-Apr-18 6.00 100 100 100 100 100 100 110 8570

24-Apr-18 6.02 62 45 65 48 95 82 94 9252

25-Apr-18 6.00 81 85 95 98 99 100 153 15469

26-Apr-18 6.00 83 79 89 86 99 99 138 13694

27-Apr-18 6.00 68 68 88 91 100 100 278 36678

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


MIBOR


MIBOR


MIBORTotalTRADE

DATE

FBILO/N


03-Apr-18 6.00 15 34 21 37 28 58 326 5713

04-Apr-18 6.00 14 38 19 41 25 42 364 5466

05-Apr-18 6.00 12 37 20 41 25 44 337 4284

06-Apr-18 6.00 14 44 22 48 30 55 345 4420

09-Apr-18 6.00 14 44 22 48 30 60 350 4746

10-Apr-18 6.00 14 43 23 46 29 52 360 4396

11-Apr-18 6.00 14 42 22 45 29 52 370 4612

12-Apr-18 6.00 14 41 22 44 30 59 385 4822

13-Apr-18 6.00 15 44 22 47 28 58 377 4688

16-Apr-18 6.00 14 44 23 48 30 54 358 4671

17-Apr-18 6.00 16 40 28 50 35 59 288 3448

18-Apr-18 6.00 18 42 29 46 38 56 277 3812

19-Apr-18 6.00 15 38 24 43 31 56 374 4592

20-Apr-18 6.01 12 32 14 35 24 44 382 4567

23-Apr-18 6.00 16 39 23 42 32 63 376 4180

24-Apr-18 6.02 12 34 15 39 24 44 386 4285

25-Apr-18 6.00 15 39 21 43 27 54 373 4264

26-Apr-18 6.00 16 39 21 42 30 60 370 4289

27-Apr-18 6.00 17 37 22 44 31 60 347 3798

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

NDS-CALL Platform (WAR)

TRADEDATE

FBIL O/NMIBOR Rate

Uncollateralised O/NCall (WAR)

All Trades Trades Upto 4 PM

TradesReported onNDS-CALLPlatform(WAR)

03-Apr-18 6.00 5.89 5.94 5.98 5.89

04-Apr-18 6.00 5.90 5.96 5.99 5.74

05-Apr-18 6.00 5.91 5.96 6.00 5.72

06-Apr-18 6.00 5.89 5.94 5.99 5.75

09-Apr-18 6.00 5.91 5.95 6.00 5.77

10-Apr-18 6.00 5.89 5.97 6.00 5.74

11-Apr-18 6.00 5.87 5.97 6.00 5.73

12-Apr-18 6.00 5.84 5.91 5.99 5.73

13-Apr-18 6.00 5.86 5.90 5.95 5.72

16-Apr-18 6.00 5.93 6.00 5.99 5.75

17-Apr-18 6.00 5.86 5.93 5.99 5.74

18-Apr-18 6.00 5.88 5.95 6.00 5.75

19-Apr-18 6.00 5.93 6.02 6.00 5.73

20-Apr-18 6.01 5.97 6.03 6.01 5.68

23-Apr-18 6.00 5.90 6.00 6.00 5.70

24-Apr-18 6.02 5.82 5.87 6.01 5.70

25-Apr-18 6.00 5.88 5.93 5.98 5.69

26-Apr-18 6.00 5.88 5.94 6.00 5.70

27-Apr-18 6.00 6.02 6.05 5.99 5.70

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Apr-18 215 7945 25 1167 45 3940 10 847 0 0 1 5 0 0 296 13904

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TABLE 54: NDS-CALL HISTORICAL Amount Crore`

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

Dealt Reported Reciprocal Total NDS-CALL

Total Average Total Average Total Total Average% Share in NDS-CALL

Total Value ofCall, Notice andTerm Money as

per RBIPeriod

Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value Dealt Reported Reciprocal TotalDaily

Average

2006-07** 6853 507998 44 3277 351 5427 2 35 161 30326 7365 543750 48 3508 93.42 1.00 5.58 2209978 14258

2007-08 31402 2778531 108 9516 3597 26413 12 90 151 20117 35150 2825061 120 9675 98.35 0.93 0.71 3513925 12034

2008-09 35742 3179134 125 11077 4533 20797 16 72 351 57557 40626 3257488 142 11350 97.59 0.64 1.77 3717091 12952

2009-10 24530 2124356 86 7454 4735 23877 17 84 91 18470 29356 2166703 103 7602 98.05 1.10 0.85 2522703 8852

2010-11 26401 2450742 90 8336 7352 49514 25 168 379 76328 34132 2576584 116 8764 95.12 1.92 2.96 2945901 10020

2011-12 34031 3483245 117 11970 5449 21071 19 72 449 95779 39929 3600095 137 12371 96.75 0.59 2.66 4084692 14037

2012-13 37174 4124785 129 14273 29554 352449 102 1220 338 58407 67066 4535641 232 15694 90.94 7.77 1.29 4814032 16658

2013-14 38231 3617702 130 12305 65715 875335 224 2977 503 96025 104449 4589062 355 15609 78.83 19.07 2.09 4507273 15331

2014-15 33462 2557815 117 8912 70390 1175399 245 4095 278 51625 104130 3784839 363 13188 67.58 31.06 1.36 3740742 13034

2015-16 33445 2535754 121 9154 85053 1247369 307 4503 110 26894 118608 3810017 428 13657 66.55 32.74 0.71 3799481 13717

2016-17 30447 2553972 113 9459 97868 1676388 362 6209 82 19082 128394 4249442 476 15739 60.10 39.45 0.45 4242821 15714

2017-18 27849 2474817 105 9304 93891 1395175 353 5245 60 16561 121800 3886553 458 14611 63.68 35.90 0.43 3871780 14556

Apr-18 2811 263188 134 12533 7370 93524 351 4454 17 7300 10198 364012 486 17334 72.30 25.69 2.01 356450 16974

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TABLE 55: FOREX SETTLEMENT*

FOREIGN EXCHANGE MARKETFOREX SETTLEMENT


Cash Tom Spot Forward Total AverageSettlement

Period TradesValue(USDMn)

Value(` Cr)

TradesValue(USDMn)

Value(` Cr)

TradesValue(USDMn)

Value(` Cr)

TradesValue(USDMn)

Value(` Cr)

TradesValue(USDMn)

Value(` Cr)

TradesValue(USDMn)

Value(` Cr)

2002-03 - - - - - - 74423 96483 462370 25809 39619 195665 100232 136102 658035 1101 1496 7231

2003-04 1036 5951 26861 1555 9150 41335 251258 354541 1627644 76668 131700 622691 330517 501342 2318531 1425 2161 9994

2004-05 8747 69882 312311 16178 112750 504325 356382 533015 2389936 85020 184133 835863 466327 899780 4042435 1976 3813 17129

2005-06 12946 154626 686160 21307 199621 885585 371059 585089 2594240 84337 240352 1073689 489649 1179688 5239674 2084 5020 22296

2006-07 14292 233010 1050413 25708 316585 1427018 481702 884740 3993765 85106 342646 1551883 606808 1776981 8023078 2550 7466 33710

2007-08 15118 318055 1279466 25598 409979 1652802 609676 1595080 6426403 106683 810551 3368161 757074 3133665 12726832 3181 13167 53474

2008-09 15633 358244 1651695 26536 498767 2299036 675439 1815114 8263760 119912 1086778 4722998 837520 3758904 16937489 3657 16414 73963

2009-10 15733 363904 1719714 27643 484848 2295137 759149 1467601 6951459 81424 672619 3245177 883949 2988971 14211486 3843 12996 61789

2010-11 19778 508131 2311739 32118 651100 2964603 1007258 2119061 9650122 90883 912745 4233688 1150037 4191037 19160153 4792 17463 79834

2011-12 22838 548644 2624112 34391 691043 3304720 1115364 2326368 11141856 110585 1076517 5128924 1283178 4642573 22199612 5579 20185 96520

2012-13 23375 610559 3316787 37349 823910 4477478 1216860 2276085 12374662 118554 1120379 5948085 1396138 4830933 26117013 6018 20823 112573

2013-14 26115 701111 4225846 39467 857366 5151202 1343049 2198833 13243650 103584 986011 5825247 1512215 4743321 28445946 6490 20358 122086

2014-15 29188 837736 5114340 43168 988928 6041012 1560718 2539790 15519691 98632 931337 5868727 1731706 5297790 32543770 7595 23236 142736

2015-16 29214 843416 5512112 43890 1015607 6634573 1708058 2613073 17113232 103967 1017190 6665777 1885129 5489286 35925694 8056 23458 153529

2016-17 34026 1046478 7008460 48895 1244934 8339217 1742074 2857496 19175458 101111 1126070 7702460 1926106 6274978 42225595 8302 27047 182007

2017-18 30993 936402 6035678 49271 1235303 7965989 1995325 3200910 20638692 99185 1121839 7472707 2174774 6494454 42113066 9294 27754 179970

Apr-18 2723 81926 536751 4742 108460 709661 187408 302698 1982367 9611 124196 816473 204484 617281 4045251 10762 32488 212908

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TABLE 56: FOREX TRADE TYPE ANALYSIS Percent

Cash Tom Spot ForwardSettlementPeriod Trades Value Trades Value Trades Value Trades Value

2002-03 - - - - 74.25 70.89 25.75 29.11

2003-04 0.31 1.19 0.47 1.83 76.02 70.72 23.20 26.27

2004-05 1.88 7.77 3.47 12.53 76.42 59.24 18.23 20.46

2005-06 2.64 13.11 4.35 16.92 75.78 49.60 17.22 20.37

2006-07 2.36 13.11 4.24 17.82 79.38 49.79 14.03 19.28

2007-08 2.00 10.15 3.38 13.08 80.53 50.90 14.09 25.87

2008-09 1.87 9.53 3.17 13.27 80.65 48.29 14.32 28.91

2009-10 1.78 12.17 3.13 16.22 85.88 49.10 9.21 22.50

2010-11 1.72 12.12 2.79 15.54 87.58 50.56 7.90 21.78

2011-12 1.78 11.82 2.68 14.88 86.92 50.11 8.62 23.19

2012-13 1.67 12.64 2.68 17.05 87.16 47.11 8.49 23.19

2013-14 1.73 14.78 2.61 18.08 88.81 46.36 6.85 20.79

2014-15 1.69 15.81 2.49 18.67 90.13 47.94 5.70 17.58

2015-16 1.55 15.36 2.33 18.50 90.61 47.60 5.52 18.53

2016-17 1.77 16.68 2.54 19.84 90.45 45.54 5.25 17.95

2017-18 1.43 14.42 2.27 19.02 91.75 49.29 4.56 17.27

Apr-18 1.33 13.27 2.32 17.57 91.65 49.04 4.70 20.12

TABLE 57: FOREX DEAL SIZE ANALYSIS Percent

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


% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

2002-03 21.93 7.23 52.61 38.74 24.53 46.47 0.70 4.42 0.19 2.25 0.04 0.89

2003-04 20.74 6.07 49.79 32.82 28.02 50.16 1.07 6.12 0.30 3.18 0.08 1.65

2004-05 21.26 4.77 44.14 22.88 31.22 47.19 1.94 8.70 0.97 8.21 0.47 8.25

2005-06 20.32 3.66 42.70 17.72 31.55 40.18 2.77 10.27 1.58 11.18 1.08 16.99

2006-07 21.57 3.29 39.00 13.32 32.03 34.85 3.68 11.50 1.95 11.41 1.77 25.64

2007-08 16.67 1.81 33.75 8.15 36.19 29.18 8.62 19.93 2.13 8.78 2.63 32.15

2008-09 17.00 1.64 32.19 7.17 35.41 25.85 10.31 22.22 2.16 8.20 2.93 34.92

2009-10 20.10 2.55 44.55 13.18 25.18 23.58 5.90 16.56 1.93 9.78 2.33 34.35

2010-11 18.75 2.21 46.50 12.76 24.77 21.89 5.31 13.81 1.92 9.18 2.75 40.15

2011-12 17.05 2.00 48.47 13.40 22.93 20.98 6.47 17.23 2.13 10.24 2.95 36.16

2012-13 23.80 2.79 46.36 13.40 18.86 17.81 6.25 17.54 1.96 9.88 2.77 38.57

2013-14 27.88 3.63 46.12 14.70 16.68 16.87 4.85 14.94 1.70 9.37 2.78 40.47

2014-15 28.91 4.07 45.66 14.93 16.77 17.27 4.23 13.38 1.61 9.16 2.82 41.19

2015-16 33.13 5.03 42.61 14.63 16.25 17.33 3.06 10.01 1.40 8.30 3.55 44.70

2016-17 34.55 4.78 39.86 12.23 12.25 9.10 0.55 1.22 0.81 3.67 11.98 68.99

2017-18 30.71 4.69 46.14 15.45 13.83 12.75 1.78 5.54 1.14 6.38 6.40 55.18

Apr-18 26.38 3.96 50.15 16.61 15.88 16.05 3.09 9.85 1.68 9.90 2.83 43.63

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01

8

TABLE 58: TENORWISE FORWARD TRADES ANALYSIS Percent

< 30 Days> 30 Days &<= 90 Days

> 90 Days &<= 180 Days

> 180 Days &<= 365 Days

> 1 YearSettlement


% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Apr-18 15.50 23.94 24.18 28.48 17.60 19.08 39.75 26.62 2.97 1.87

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TABLE 59: MARKET SHARE - FOREX Percent

TABLE 60: CATEGORYWISE FOREX ACTIVITY - DEAL TYPE

Market Share (%)

Ma

y 2

01

8

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

2002-03 33.65 57.73 72.42 83.30

2003-04 30.53 54.83 69.59 79.45

2004-05 29.00 49.45 63.61 73.61

2005-06 30.59 52.45 68.38 78.89

2006-07 31.15 50.93 65.08 73.69

2007-08 39.66 61.31 76.24 84.55

2008-09 39.65 62.30 76.97 85.71

2009-10 33.13 55.14 71.31 81.51

2010-11 34.94 57.30 73.56 82.97

2011-12 31.01 54.09 70.57 80.23

2012-13 31.53 52.64 68.22 78.40

2013-14 28.35 49.26 64.60 75.27

2014-15 29.05 49.51 64.62 74.95

2015-16 29.29 49.46 63.40 73.98

2016-17 30.16 50.82 65.10 75.09

2017-18 33.21 55.62 69.87 79.60

Apr-18 29.88 53.83 68.59 78.76

Category CASH TOM SPOT FORWARD

Foreign Banks 42.03 42.56 41.04 42.31

Public Sector Banks 30.38 27.25 32.46 28.61

Private Sector Banks 27.46 30.09 26.25 28.96

Cooperative Banks 0.11 0.10 0.25 0.12

Financial Institutions 0.01 0.00 0.00 0.00

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TABLE 61: NETTING FACTOR - FOREX Amount in USD Million

Ma

y 2

01

8


2002-03 136102 24687 81.86

2003-04 501342 83849 83.28

2004-05 899778 94395 89.51

2005-06 1179688 115909 90.17

2006-07 1776980 171832 90.33

2007-08 3133665 239169 92.37

2008-09 3758905 209822 94.42

2009-10 2988971 177192 94.07

2010-11 4191037 212265 94.94

2011-12 4642573 214730 95.37

2012-13 4830933 222470 95.39

2013-14 4743321 255080 94.62

2014-15 5297790 280097 94.71

2015-16 5489286 250784 95.43

2016-17 6274978 294883 95.30

2017-18 6494454 267809 95.88

Apr-18 617281 23040 96.27

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TABLE 62: FOREX FORWARD SETTLEMENT STATISTICS

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

Number of Participants: 84FOREX FORWARD

Amount in USD Million

statistics

TABLE 63: CLS SETTLEMENT

CONTINUOUS LINKED SETTLEMENT (CLS)

Number of Participants: 34 Amount in USD Million

Ma

y 2

01

8

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

2005-06 43788 67858 10143 85.05

2006-07 138797 327380 33493 89.77

2007-08 188741 681369 51428 92.45

2008-09 247571 499318 53726 89.24

2009-10 295258 391932 52239 86.67

2010-11 394315 469873 60605 87.10

2011-12 441933 647151 76881 88.12

2012-13 570308 724121 55305 92.36

2013-14 594816 629830 54870 91.29

2014-15 571559 592450 51981 91.23

2015-16 682758 585336 61339 89.52

2016-17 707297 635489 65894 89.63

2017-18 874952 846446 94993 88.78

Apr-18 67401 70368 6578 90.65

Outstanding AcceptedSettlement Period

Trades Volume Trades Volume

2009-10* 4965 29671 6969 41092

2010-11 11528 61293 28868 150505

2011-12 17200 100791 40760 240384

2012-13 20419 122937 50146 287697

2013-14 16861 89517 46640 254982

2014-15# 50536 415534 101372 914979

2015-16 42507 371034 94770 964070

2016-17 48614 409249 108787 1170618

2017-18 41941 395562 94192 1118572

Apr-18 41059 378076 8697 106342

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TABLE 64: CURRENCY WISE GROSS SETTLEMENT

TABLE 65: TOP 5 CURRENCY PAIRS - CLS

Ma

y 2

01

8

CurrencyCurrency Wise GrossVolume (in millions)

MTM RatesGross Volume in USD

(In millions)

US Dollar (USD INR) 617281 1.00000 617281

US Dollar 33857 1.00000 33857

EURO 15085 1.21260 18292

GB Pound 5880 1.37820 8104

Japanese Yen 478579 0.00917 4387

Canadian Dollar 2632 0.77845 2049

Australian Dollar 1866 0.75640 1412

Swiss Franc 730 1.01194 739

Singapore Dollar 638 0.75546 482

NZ Dollar 378 0.70730 267

HK Dollar 869 0.12742 111

Swedish Krone 650 0.11537 75

SA Rand 605 0.08112 49

Norwegian Krone 194 0.12549 24

Danish Krone 73 0.16276 12

Total 687141

Sr. No. Currency Pair Gross Volume %

1 EUR/USD 35580 50.92

2 GBP/USD 15330 21.94

3 USD/JPY 7732 11.07

4 USD/CAD 3784 5.42

5 AUD/USD 2393 3.43

6 Others 5050 7.23

Total 69870 100.00

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FOREX TRADING PLATFORM: FX-CLEAR

3Number of Participants: 7

TABLE 66: TRADING DETAILS Amount in USD Million

Ma

y 2

01

8

Spot Daily AveragePeriod


2003-04 881 646 5 4

2004-05 3329 2250 13 9

2005-06 16636 11893 67 48

2006-07 46553 33264 190 136

2007-08 73943 49139 297 197

2008-09 79125 46889 330 195

2009-10 99090 53435 415 224

2010-11 111023 58577 448 236

2011-12 124664 65197 522 273

2012-13 171398 87689 708 362

2013-14 223396 113580 919 467

2014-15 335515 188421 1416 795

2015-16 453563 246902 1882 1024

2016-17 557267 316581 2312 1314

2017-18 664286 441203 2756 1831

Apr-18 56204 39903 2958 2100

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DERIVATIVES


INTERBANK INTEREST RATE DERIVATIVES

3

Amount Crore`

Amount Crore and Share in %`

TABLE : INTEREST RATE SWAP TRANSACTIONS (MATCHED)67

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

Ma

y 2

01

8

MIBOR MIFOR INBMK TotalDate


3-Apr-18 124 8375 1 175 - - 125 8550

4-Apr-18 189 14190 13 575 - - 202 14765

5-Apr-18 271 18250 5 390 - - 276 18640

6-Apr-18 347 36575 5 375 - - 352 36950

9-Apr-18 151 10750 2 50 - - 153 10800

10-Apr-18 227 13575 2 50 - - 229 13625

11-Apr-18 282 14500 3 200 - - 285 14700

12-Apr-18 254 14900 9 400 - - 263 15300

13-Apr-18 340 16900 12 885 - - 352 17785

16-Apr-18 634 91325 4 175 - - 638 91500

17-Apr-18 150 8510 18 1085 - - 168 9595

18-Apr-18 224 21075 5 350 - - 229 21425

19-Apr-18 313 18250 4 275 - - 317 18525

20-Apr-18 386 25275 14 600 - - 400 25875

23-Apr-18 472 30520 13 445 - - 485 30965

24-Apr-18 332 21250 1 50 - - 333 21300

25-Apr-18 340 34930 11 375 - - 351 35305

26-Apr-18 234 11925 2 140 - - 236 12065

27-Apr-18 219 20125 8 420 - - 227 20545

Total 5489 431200 132 7015 - - 5621 438215

Average 289 22695 7 369 - - 296 23064

Buy Sell TotalCategory

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

Foreign Banks 2744 49.99 240105 55.68 2619 47.71 235575 54.63 5363 48.85 475680 55.16

Nationalized Banks 332 6.05 17950 4.16 338 6.16 19450 4.51 670 6.10 37400 4.34

Primary Dealers 1016 18.51 92790 21.52 1355 24.69 101875 23.63 2371 21.60 194665 22.57

Private Banks 1397 25.45 80355 18.64 1177 21.44 74300 17.23 2574 23.45 154655 17.93

Total 5489 100.00 431200 100.00 5489 100.00 431200 100.00 10978 100.00 862400 100.00

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Amount Crore and Share in %`

TABLE 70: TOP ‘N’ MARKET SHARE - IRS

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

Percent

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

Ma

y 2

01

8

MIBOR MIFOR

Top 1 24.37 15.68

Top 5 63.49 58.34

Top 10 83.75 84.21

Buy Sell TotalCategory

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

Foreign Banks 81 61.36 4545 64.79 69 52.27 3820 54.45 150 56.82 8365 59.62

Private Banks 51 38.64 2470 35.21 63 47.73 3195 45.55 114 43.18 5665 40.38

Total 132 100.00 7015 100.00 132 100.00 7015 100.00 264 100.00 14030 100.00

MIBOR MIFOR INBMKPeriod

Trades Value Trades Value Trades Value

2007-08 79495 4728077 18139 647609 385 14365

2008-09 40912 2644846 4799 223663 132 6575

2009-10 20352 1452058 1050 53867 77 5125

2010-11 33057 2359722 1291 74911 150 8775

2011-12 33642 2451048 2101 109973 14 860

2012-13 22713 2021607 1252 75435 11 635

2013-14 25514 2296732 1437 79780 1 350

2014-15 21153 2029225 1932 119779 5 275

2015-16 20746 2132920 1372 99340 4 300

2016-17 21036 1923460 2120 125436 - -

2017-18 41494 3380770 2107 111195 - -

Apr-18 5489 431200 132 7015 - -

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TABLE 72: OUTSTANDING POSITION IN IRS TRANSACTIONS Amount Crore`

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

Ma

y 2

01

8

MIBOR MIFOR INBMK TotalPeriod

TradesNotional

SumTrades

NotionalSum

TradesNotional

SumTrades

NotionalSum

2007-08 61665 3655595 16528 611566 368 13690 78561 4280852

2008-09 23732 1394018 11803 468045 461 18715 35996 1880778

2009-10 29853 1748787 8201 326852 450 20385 38504 2096024

2010-11 43197 2645709 6357 270080 542 26910 50096 2942699

2011-12 27613 1975121 6402 296491 520 25910 34535 2297521

2012-13 20958 1554242 6017 294937 489 24845 27464 1874024

2013-14 17782 1447259 5566 276349 445 22420 23793 1746028

2014-15 17279 1495595 6222 326724 387 19320 23888 1841640

2015-16 16858 1368453 6171 349766 272 13585 23301 1731804

2016-17 19901 1417357 6452 368613 161 8460 26514 1794430

2017-18 35414 2521244 7098 390259 138 7135 42650 2918638

April 2018 39449 2682231 7122 391827 135 6985 46706 3081042

Settlement Period Gross Amount Net Amount Netting %

2009-10 13827 3688 73.33

2010-11 22794 5250 76.97

2011-12 28328 7735 72.69

2012-13 23797 6732 71.71

2013-14 19667 6947 64.67

2014-15 16361 6073 62.88

2015-16 7374 2442 66.89

2016-17 5682 2110 62.87

2017-18 5440 1905 64.99

Apr - 18 395 139 64.85

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TABLE 74: GUARANTEED SETTLEMENT - IRS Amount Crore`

TABLE 75: GUARANTEED SETTLEMENT - IRS - SUMMARY STATISTICS

Amount Crore`

GUARANTEED SETTLEMENT -


INTERBANK IRS DERIVATIVES

8

statistics

Ma

y 2

01

8

Trade Date Trades Value

3-Apr-18 83 6100

4-Apr-18 125 10215

5-Apr-18 192 12550

6-Apr-18 240 16550

9-Apr-18 110 8275

10-Apr-18 174 9525

11-Apr-18 233 11675

12-Apr-18 202 10325

13-Apr-18 253 11500

16-Apr-18 581 89010

17-Apr-18 108 5200

18-Apr-18 152 7000

19-Apr-18 235 10725

20-Apr-18 340 20050

23-Apr-18 280 19295

24-Apr-18 256 12275

25-Apr-18 246 23185

26-Apr-18 184 8500

27-Apr-18 164 9575

Total 4158 301530

Average 219 15870

Period Trades Value Avg. Trades Avg. Value

2017-18 30346 2420315 125 9960

Apr-18 4158 301530 219 15870

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

FOREX DERIVATIVES

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

Ma

y 2

01

8

USD / INR EUR / INR CAD / INR GBP / INR NZD / INR OTHERS *

DateTrades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(USD inMillion)

03-Apr-18 394 5,694.42 1 0.05 - - - - - - -

04-Apr-18 376 5,660.75 2 0.10 1 2.87 - - - - - -

05-Apr-18 502 6,006.91 1 0.01 - - - - - - 3 0.06

06-Apr-18 331 4,463.37 4 0.25 - - 2 0.05 - - - -

09-Apr-18 301 3,974.76 - - - - - - - -

10-Apr-18 308 4,173.70 1 0.03 - - - - - - - -

11-Apr-18 335 3,185.41 1 0.30 - - - - - - - -

12-Apr-18 568 5,846.15 2 1.20 - - - - 5 1.00 1 0.12

13-Apr-18 349 4,500.96 3 0.23 - - - - - - - -

16-Apr-18 321 4,768.75 1 0.12 - - - - - - - -

17-Apr-18 473 5,005.16 5 0.95 - - 4 0.14 - - - -

18-Apr-18 428 4,678.15 2 0.22 - - 4 0.59 - - - -

19-Apr-18 576 7,401.46 2 0.06 - - - - - - - -

20-Apr-18 690 7,852.23 2 0.31 2 0.20 1 0.01 - - 3 0.04

23-Apr-18 700 6,702.55 3 0.18 - - 2 0.05 - - - -

24-Apr-18 476 5,963.15 7 1.33 - - - - - - - -

25-Apr-18 684 8,469.52 1 0.40 - - 4 0.40 - - 1 0.01

26-Apr-18 391 5,518.61 2 0.12 - - - - - - 1 0.02

27-Apr-18 446 5,870.03 5 0.48 - - - - - - - -

Total 8649 105736.05 45 6.34 3 3.07 17 1.23 5 1.00 9 0.25

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

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

statistics

Ma

y 2

01

8

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

DateTrades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(USD

inMio)

03-Apr-18 44 524.53 - - - - - - - - - -

04-Apr-18 42 313.92 - - - - - - - - - -

05-Apr-18 18 170.00 - - - - - - - - - -

06-Apr-18 20 114.16 - - - - - - - - - -

09-Apr-18 39 539.00 - - - - - - - - - -

10-Apr-18 8 70.00 - - - - - - - - - -

11-Apr-18 32 241.27 - - - - - - - - - -

12-Apr-18 39 138.00 - - - - - - - - - -

13-Apr-18 24 183.26 - - - - - - - - - -

16-Apr-18 45 241.68 - - - - - - - - - -

17-Apr-18 48 470.73 - - - - - - - - - -

18-Apr-18 23 232.42 - - - - - - - - - -

19-Apr-18 33 258.24 - - - - - - - - - -

20-Apr-18 84 547.84 - - - - - - - - - -

23-Apr-18 42 322.59 - - - - - - - - - -

24-Apr-18 9 77.78 - - - - - - - - - -

25-Apr-18 66 678.94 - - - - - - - - - -

26-Apr-18 20 129.49 - - - - - - - - - -

27-Apr-18 36 327.91 - - - - - - - - - -

Total 672 5581.78

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


Ma

y 2

01

8

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

DateTrades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

TradesAmountsin Mio,USD

03-Apr-18 1 30.76 - - - - - - - - -

04-Apr-18 - - 1 1,500.00 - - - - - - - -

11-Apr-18 2 20.00 - - - - - - - - - -

12-Apr-18 2 20.00 - - - - - - - - - -

13-Apr-18 3 30.00 - - - - - - - - - -

16-Apr-18 2 24.80 - - - - - - - - - -

17-Apr-18 3 13.00 - - - - - - - - - -

24-Apr-18 1 54.22 - - - - - - - - - -

25-Apr-18 1 10.00 - - - - - - - - - -

Total 15 202.78 1 1500.00

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


statistics

--

Ma

y 2

01

8

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

DateTrades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades


02-Apr-18 2 0.67 1 1.15 1 0.08 1 3.72 1 0.01

03-Apr-18 596 404.23 183 212.15 70 123.39 18 8.25 97 79.71 66 49.60

04-Apr-18 201 506.79 49 62.14 33 29.49 16 14.24 15 11.87 72 78.41

05-Apr-18 141 221.88 56 87.34 45 142.87 8 6.27 14 58.54 41 25.44

06-Apr-18 217 320.39 79 100.15 69 779.00 6 4.76 24 91.08 28 17.61

09-Apr-18 141 208.09 59 134.52 26 31.44 63 97.93 25 115.80 39 47.73

10-Apr-18 211 275.13 110 114.65 59 572.61 16 7.95 17 46.18 36 75.94

11-Apr-18 365 542.85 115 167.39 37 70.61 14 47.98 10 19.12 35 83.46

12-Apr-18 210 378.47 111 77.40 23 35.55 23 20.26 17 47.21 48 48.64

13-Apr-18 232 567.71 160 355.16 32 119.94 5 3.25 18 18.37 18 30.50

16-Apr-18 188 231.07 81 145.07 21 15.50 15 29.00 8 15.39 43 22.83

17-Apr-18 194 231.78 89 34.80 20 28.06 4 9.46 17 15.52 27 82.53

18-Apr-18 232 207.36 64 93.49 24 17.08 54 1,121.76 26 27.20 51 47.34

19-Apr-18 205 466.67 48 121.70 21 21.49 22 6.61 22 62.37 46 376.22

20-Apr-18 201 658.52 49 59.60 76 1,225.53 7 1.75 14 76.22 26 25.81

23-Apr-18 163 411.96 86 90.93 40 100.34 3 2.35 19 84.29 46 38.70

24-Apr-18 249 522.88 85 303.97 59 135.11 14 52.20 25 60.37 81 69.20

25-Apr-18 233 676.37 83 445.33 53 98.17 45 1,778.84 44 96.51 106 139.55

26-Apr-18 298 688.55 125 255.28 56 261.00 43 360.13 63 173.21 130 195.57

27-Apr-18 397 568.22 186 615.00 67 72.97 36 79.90 97 209.14 135 150.14

30-Apr-18 14 14.84 15 89.37 4 5.70 3 0.23 8 8.00 3 4.57

Total 4690 8,104.43 1834 3,566.58 835 3,885.85 416 3,653.19 581 1,319.83 1078 1,609.81

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TABLE : TRADED PRINCIPAL AMOUNT FOR OTC INTERBANK FCY - FCYCROSS CURRENCY SWAPS FOR THE MONTH OF81

APRIL 2018


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


Ma

y 2

01

8

EUR-USD USD-JPY EUR-SGD AUD-JPY AUD-USD OTHERS*

DateTrades

Amountsin

Million,Base

Currency

Trades

Amountsin

Million,Base

Currency

Trades

Amountsin

Million,Base

Currency

Trades

Amountsin

Million,Base

Currency

Trades

Amountsin

Million,Base

Currency

Trades

Amountsin

Million,USD

3-Apr-18 1 12.50 - - - - - - - - - -

5-Apr-18 1 10.50 - - - - - - - - - -

18-Apr-18 1 5.00 - - - - - - - - - -

25-Apr-18 - - 1 13.75 - - - - - - - -

27-Apr-18 - - 1 4.06 - - - - - -

Total 3 28.00 1 13.75 1 4.06

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

DateTrades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades

Volume(in

Million)Trades


02-Apr-18 18 42.00 8 16.00 - - - - - - - -

03-Apr-18 8 58.46 3 25.00 - - 2 40.00 - - - -

04-Apr-18 13 34.00 - - 18 24.00 - - 3 30.00 - -

05-Apr-18 2 4.00 4 20.00 - - - - - - - -

06-Apr-18 16 44.00 - - 2 4.00 - - - - - -

09-Apr-18 3 20.00 2 40.00 1 5.00 - - - - - -

10-Apr-18 - - 1 5.00 - - - - - - - -

11-Apr-18 11 55.29 - - 2 4.00 2 40.00 - - - -

12-Apr-18 - - 1 20.00 - - - - - - - -

13-Apr-18 6 15.00 14 14.00 2 74.56 3 60.00 - - - -

16-Apr-18 3 75.00 9 9.00 - - - - - - - -

17-Apr-18 3 45.00 25 38.00 - - - - - - - -

18-Apr-18 3 55.00 8 14.00 8 8.00 - - - - - -

19-Apr-18 4 24.00 2 6.00 - - - - - - - -

20-Apr-18 5 21.00 19 28.00 - - - - - - - -

23-Apr-18 2 2.00 9 13.00 - - - - - - - -

24-Apr-18 4 32.00 - - - - - - - - - -

25-Apr-18 5 25.00 - - 3 42.24 - - - - - -

26-Apr-18 23 156.00 12 40.96 9 17.11 - - - - - -

27-Apr-18 4 10.00 13 17.00 3 16.50 - - - - - -

Total 133 717.76 130 305.96 48 195.41 7 140.00 3 30.00

138

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

* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase CurrencyMost of the FCY/IRS trades are with overseas counterparties and hence the reporting is single sided by the domestic counterparty.CCIL shall not be liable for errors committed by the reporting party in the absence of matching of primary economic parameters.

statistics

Ma

y 2

01

8

USD GBP JPY EUR AUD OTHERS *

DateTrades

Notionalin

Million,Base

Currency

Trades

Notionalin

Million,Base

Currency

Trades

Notionalin

Million,Base

Currency

Trades

Notionalin

Million,Base

Currency

Trades

Notionalin

Million,Base

Currency

Trades

Notionalin

Million,USD

03-Apr-18 18 230.15 - - - - 3 3.60 - - - -

04-Apr-18 17 541.27 - - - - 1 1.08 - - - -

05-Apr-18 10 133.67 - - - - - - - - - -

06-Apr-18 11 231.00 - - - - - - - - - -

09-Apr-18 10 97.50 - - - - 1 0.11 - - - -

10-Apr-18 17 294.46 4 56.00 - - - - - - - -

11-Apr-18 10 106.94 - - - - - - - - - -

12-Apr-18 14 316.77 - - - - 1 1.68 - - - -

13-Apr-18 11 284.00 - - - - - - - - - -

16-Apr-18 9 154.14 - - - - - - - - - -

17-Apr-18 16 363.48 - - - - - - - - - -

18-Apr-18 10 268.43 - - - - - - - - - -

19-Apr-18 15 90.60 - - - - 1 0.09 17 17.93 - -

20-Apr-18 8 109.27 - - - - - - - - - -

23-Apr-18 17 263.08 - - 2 4,000.00 - - - - - -

24-Apr-18 23 708.67 - - - - - - - - 2 0.35

25-Apr-18 7 148.97 - - - - - - - - - -

26-Apr-18 15 385.78 - - - - 2 10.00 - - - -

27-Apr-18 17 401.55 4 56.00 - - - - - - - -

Total 255 5129.73 8 112.00 2 4000.00 9 16.554196 17 17.93 2 0.35

139

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

85APRIL 2018

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

TABLE : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - INR OPTIONS AS AT END84 APRIL 2018

* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currencies, in terms of Outstanding Notional Principal, represented with respect to volumes in Base Currency.



TABLE : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - FCY OPTIONS AS AT END87 APRIL 2018



TABLE 86: OUTSTANDING VOLUME FOR OTC INTERBANK FCY - FCY FORWARDS AS AT END APRIL 2018

Ma

y 2

01

8

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

MonthTrades

Volume(in Mio)

TradesVolume(in Mio)

TradesVolume

(inMio)

TradesVolume

(inMio)

TradesVolume

(inMio)

Trades

Volume(USD

inMio)

Apr '18 43051 388,750.70 341 39,392.91 450 210.49 7 185.08 244 63.99 100 35.54

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

MonthTrades

Volume(in Mio)

TradesVolume

(inMio)

TradesVolume

(inMio)

TradesVolume

(inMio)

TradesVolume

(inMio)

Trades

Volume(USD

inMio)

Apr-18 3269 21,424.71 129 170.96 1 81.27

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

MonthTrades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency


Apr-18 1318 21,979.90 14 71,695.61 60 427.83 3 32.52 1 2.85 1 0.63

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

MonthTrades

Volume(in Mio)

TradesVolume

(in Mio)Trades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(USD

in Mio)

Apr-18 19282 21,258.64 8092 11,311.04 3468 8,571.42 942 4,550.85 1557 3,006.46 2747 3,090.62

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

MonthTrades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(in

Mio)Trades

Volume(USD

inMio)

Apr-18 252 1,570.36 397 1,392.69 151 1,123.91 29 326.00 3 30.00 3 15.00

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TABLE 8 : OUTSTANDING NOTIONAL PRINCIPAL FOR OTC INTERBANK FCY - IRS AS AT END OF9 APRIL 2018

* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase Currency for each instrumentMost of the FCY/IRS trades are with overseas counterparties and hence the reporting is single sided by the domestic counterparty.CCIL shall not be liable for errors committed by the reporting party in the absence of matching of primary economic parameters.

TABLE 8 : OUTSTANDING PRINCIPAL AMOUNT FOR OTC INTERBANK FCY -FCY CROSS CURRENCY SWAPS AS AT END

8APRIL 2018


statistics

Ma

y 2

01

8

USD-JPY EUR-USD USD-SGD AUD-USD GBP-USD OTHERS *

MonthTrades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency


Apr-18 155 8,213.24 364 3,859.89 65 1,713.48 14 1,018.17 22 468.09 39 1,247.69

USD EUR GBP JPY SGD OTHERS *

MonthTrades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency

Trades

Amountsin Mio ,

BaseCurrency


Apr-18 11879 180235.54 246 1515.69 189 884.94 53 85777.72 19 845.00 144 476.481

141

5.5

6.25

7

7.75

8.5

0 5 10 15 20 25 30 35 40

Tenor (In years)

Zer

oC

oupon

Rat

e(%

)

27-April-18 28-March-18 28-April-17

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HIGHLIGHTS

• Zero coupon yields as on 27th Apr’ 18 have

moved to higher levels across the curve as

compared to the yields prevailing a year back

except in 0 - 1 yr tenor. The upward shift was more

pronounced in medium to long end of the curve.

In the last one month also, the yields have moved

to higher levels across the curve.

INTEREST RATE MOVEMENT

Chart 1: Zero Coupon Yield Curve

Chart 2: Sovereign Yield Curve

Ma

y 2

01

8

5.65

5.90

6.15

6.40

6.65

6.90

7.15

7.40

7.65

7.90

8.15

1M 0 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 32 33 34 35 36 37 38 39 40

Tenor

(%)

April 27, 2018 March 28, 2018 April 28, 2017

142

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TABLE 90: SPREAD ANALYSIS - SDL

Note: Spread has been calculated on the basis of deals settled through CCIL taking into account only outright deals of 5 Crore andabove. The methodology and other information on the spread can be requested from Economic Research Department, CCIL

`

statistics

Ma

y 2

01

8

State Trades Traded Value (` Crore) Average Spread (bps)

ANDHRA PRADESH 54 1696 40

ASSAM 14 265 39

BIHAR 81 1643 43

CHHATTISGARH 44 775 41

GUJARAT 188 3781 154

HARYANA 129 3136 41

HIMACHAL PRADESH 8 157 42

JAMMU & KASHMIR 15 584 47

JHARKHAND 12 183 42

KARNATAKA 140 4093 41

KERALA 142 3709 42

MADHYA PRADESH 59 1167 41

MAHARASHTRA 119 3306 37

MANIPUR 1 10 33

MEGHALAYA 1 10 42

NAGALAND 1 10 69

ODISHA 12 1016 40

PUDUCHERRY 1 30 21

PUNJAB 86 2311 46

RAJASTHAN 158 4408 45

TAMIL NADU 237 4744 43

TELANGANA 16 696 33

TRIPURA 1 5 37

UTTAR PRADESH 113 2443 43

UTTARAKHAND 34 579 41

WEST BENGAL 108 2219 42

Total 1774 42974 52

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TABLE 91: YIELD MOVEMENT Percent

May 2018

YTMChange inYTM(bps)

YearApril 27,

2018March 28,

2018February28, 2018

January31, 2018

December29, 2017

November30, 2017

October31, 2017

September29, 2017

August31, 2017

July 31,2017

June 30,2017

May 31,2017

April 28,2017

Monthto

Month

Yearon

Year

2018 - - - - 6.5122 6.3640 6.3460 6.3662 6.2626 6.3302 6.4332 6.5156 6.5398

2019 6.7514 6.5415 6.7046 6.6750 6.6066 6.3734 6.3013 6.2859 6.2746 6.3084 6.4694 6.5936 6.7469 21 0

2020 7.4598 6.8544 6.8510 6.9287 6.7645 6.6536 6.4714 6.4127 6.3598 6.3898 6.4851 6.6822 6.7879 61 67

2021 7.5791 7.0733 7.1977 7.1351 6.9803 6.9268 6.6880 6.5584 6.4522 6.6264 6.5766 6.7606 6.9093 51 67

2022 7.7489 7.2667 7.4420 7.3124 7.1419 6.8910 6.7775 6.6502 6.4995 6.6530 6.5958 6.9199 7.0121 48 74

2023 7.7670 7.3608 7.5393 7.3823 7.1793 6.9725 6.8393 6.7771 6.6239 6.6749 6.7450 6.9214 7.0598 41 71

2024 7.8890 7.5110 7.7824 7.4738 7.3212 7.0531 6.9189 6.8665 6.7058 6.7589 6.8364 7.0155 7.1585 38 73

2025 7.8565 7.5035 7.7174 7.5602 7.3145 7.1197 6.9921 6.9479 6.7888 6.8330 6.8716 7.0756 7.1951 35 66

2026 7.9080 7.6117 7.9609 7.7076 7.5562 7.2899 7.1495 6.8875 6.7218 6.6741 6.6782 6.7968 6.9439 30 96

2027 7.8607 7.4792 7.8633 7.5861 7.3290 7.0517 6.8693 6.6425 6.5347 6.4566 6.5065 6.6575 7.3621 38 50

2028 7.7549 7.3272 7.6893 7.4172 7.5271 7.3802 7.2577 7.1466 7.0449 7.0428 7.0381 7.2629 7.4348 43 32

2029 7.9089 7.6633 7.9613 7.5621 7.2346 7.1189 7.0981 6.9166 6.8531 6.7581 6.7796 6.8469 7.0925 25 82

2030 7.9704 7.7112 7.9878 7.7656 7.6247 7.3929 7.2472 7.1690 7.1445 6.9732 6.9255 7.0594 7.2539 26 72

2031 7.9896 7.5004 7.9373 7.6749 7.4541 7.1032 7.0284 6.8345 - - - - - 49 -

2032 7.9850 7.7143 8.1015 7.8565 7.5639 7.4324 7.3303 7.1268 7.1275 7.0701 7.0320 7.3583 7.5415 27 44

2033 7.9585 7.7029 8.0033 7.7586 7.5383 7.3166 7.3406 7.0537 6.8990 6.8451 6.8904 7.1830 7.5039 26 45

2034 7.9621 7.7281 8.0123 7.7971 7.6488 7.4876 7.3537 7.1978 7.1180 7.0637 7.0415 7.3168 7.4468 23 52

2035 7.9639 7.8083 8.0067 7.6047 7.5696 7.4290 7.3486 7.1196 7.1538 7.1076 7.0430 7.3249 7.3666 16 60

2036 7.9653 7.6952 8.0070 7.7772 7.6616 7.5126 7.2684 7.2519 7.2320 7.1498 7.1696 7.4300 7.4359 27 53

2039 8.0267 7.7931 7.9727 7.6046 7.6388 7.3531 7.1517 7.0908 7.0642 7.0049 7.0324 7.2725 7.3922 23 63

2040 7.9674 7.6701 8.0004 7.7949 7.7775 7.5552 7.4935 7.3821 7.2290 7.1800 7.1503 7.3041 7.6050 30 36

2041 7.9670 7.6814 7.9947 7.8067 7.7459 7.6210 7.3818 7.3100 7.2799 7.2000 7.1735 7.5100 7.6049 29 36

2042 7.9665 7.6700 7.9888 7.7963 7.7538 7.5945 7.3767 7.3333 7.2525 7.1796 7.2455 7.4830 7.6018 30 36

2043 7.9659 7.7004 8.0920 7.7932 7.7879 7.6233 7.3691 7.3275 7.2789 7.1750 7.1779 7.3373 7.6060 27 36

2044 7.9652 7.6728 8.0050 7.8014 7.7645 7.6005 7.4396 7.3080 7.2453 7.1821 7.2098 7.4541 7.5807 29 38

2045 7.9648 7.6485 7.9941 7.8021 7.7359 7.5517 7.4157 7.2917 7.2342 7.1777 7.1765 7.4418 7.5683 32 40

2046 7.9638 7.6521 7.9497 7.7752 7.6369 7.4740 7.2973 7.2381 7.1426 7.0715 7.1156 7.3550 7.4553 31 51

2051 7.9602 7.6588 7.9473 7.7329 7.6114 7.4645 7.3124 7.2781 7.1532 7.0779 7.1127 7.3868 7.4703 30 49

2055 8.0780 7.7589 7.9613 7.7334 7.6145 7.5424 7.4141 7.2784 7.1453 7.1146 7.1260 7.4088 7.7231 32 35

144

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In the primary market, 161 bonds of value 34 200

crore was issued by corporates in April 2018. Of the

bonds issued, 40% were from finance companies,

39% from infrastructure companies, 18% from

other corporates, and 1% each from manufacturing

and oil companies. The bonds issued bore a fixed

coupon and more than 50% of the bonds issued were

in the 2 to 5 year tenor bucket.

The maturity wise analysis of the securities issued

during the month is given in the table below:

` ,

TABLE 92: PRIMARY MARKET ISSUANCE CORPORATE BONDS - APRIL 2018

There was a 20% dip in trading volumes in the

secondary market in April 2018 with 4077 trades

amounting to 1,16,536 crore vis-a-vis 4077 trades

amounting to 1,46,333 crore. The spread on AAA

rated 10-year bonds was 60 bps, 9 bps higher than the

previous month, while the spread on AAA rated 5-

year bonds was 42 bps, 3 bps lower than the previous

month's spread. The two top traded corporates for

the month were: Rural Electrification Corporation

and Power Finance Corporation.

`

`

Source: FIMMDA

CORPORATE BONDS

statistics

Ma

y 2

01

8

TenorBuckets

No.Amount(` Cr.)

Fixed FloatingZero

Coupon

Avg.Fixed

Coupon(%)

Max.Coupon

(%)

Min.Coupon

(%)

FloatingBenchmark

Remarks

<=1 year 10 1661.66 10 - - 11.19% 18.00% 6.00% -

6Securitieswith nospecifiedCoupon

1 year -<=2 years

25 4486.93 23 - - 11.45% 18.00% 6.00% -

2 years –

<=5 years87 20846.20 83 - - 11.00% 20.00% 0.01% -

>5 years –

<=10 years32 5372.78 32 - - 9.93% 17.00% 5.75% -

>10 years-<=15 years

2 1350.00 2 - - 8.40% 8.80% 8.00% -

>15 years 5 482.30 5 - - 12.62% 13.65% 8.65% -

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PRIMARY ISSUANCE ANALYSIS

FIXED COUPON BONDS

TABLE 93: ANALYSIS OF CORPORATE BOND ISSUANCE

TABLE 94: RATING ANALYSIS OF CORPORATE BOND ISSUANCES

Ma

y 2

01

8

Type Sector Rating No.Amount(` Cr.)

Avg.Tenor

Max.Tenor

Min.Tenor

Avg.Coupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

PSU Finance AAA 3 649.68 2.97 2.99 2.94 6.27 8.30 5.25

PSU Finance AA 4 250.00 4.00 4.00 4.00 8.69 8.69 8.69

PSU Infrastructure AAA 4 3100.00 1.96 3.08 0.61 6.22 7.63 5.25

PSU Infrastructure NA 1 6000.00 2.90 2.90 2.90 5.25 5.25 5.25

PVT Finance AAA 7 2055.00 3.91 9.99 1.01 8.19 8.85 7.90

PVT Finance AA 22 2871.00 4.34 10.01 0.96 9.04 10.15 8.30

PVT Finance A 9 400.00 3.68 6.99 1.08 10.70 11.68 9.69

PVT Finance BBB 10 855.78 4.03 5.95 1.49 11.59 13.90 9.25

PVT Finance BB 2 170.00 4.99 6.99 2.99 11.46 11.92 11.00

PVT Finance NA 8 1750.00 5.13 6.06 1.47 6.50 10.00 5.75

PVT Infrastructure AAA 1 600.00 2.16 2.16 2.16 7.90 7.90 7.90

PVT Infrastructure AA 6 2248.20 7.04 18.00 3.01 9.33 10.25 8.50

PVT Infrastructure A 2 700.00 3.11 4.98 1.24 10.73 11.50 9.95

PVT Infrastructure BBB 2 25.00 1.03 1.03 1.03 12.10 13.50 10.70

PVT Infrastructure BB 2 181.00 2.97 3.97 1.98 14.50 15.00 14.00

PVT Infrastructure C 1 150.00 4.74 4.74 4.74 14.00 14.00 14.00

PVT Infrastructure NA 37 7117.71 6.66 29.96 0.92 14.04 20.00 6.75

PVT Manufacturing AA 1 100.00 2.99 2.99 2.99 8.40 8.40 8.40

PVT Manufacturing NA 2 30.00 1.73 2.47 0.99 18.00 18.00 18.00

PVT Oil AAA 2 592.00 2.84 2.96 2.72 8.23 8.46 8.00

PVT Others AAA 1 1000.00 4.00 4.00 4.00 7.97 7.97 7.97

PVT Others AA 11 1550.00 3.98 6.00 0.97 10.55 11.50 9.50

PVT Others A1 1 250.00 0.93 0.93 0.93 9.05 9.05 9.05

PVT Others A 1 313.00 3.99 3.99 3.99 9.95 9.95 9.95

PVT Others NA 15 1096.50 3.23 4.99 1.21 12.20 18.00 0.01

Rating No.Amount(` Cr.)

Avg.Tenor

Max.Tenor

Min.Tenor

Avg.Coupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

AAA 18 7996.68 3.11 9.99 0.61 7.41 8.85 5.25

AA 44 7019.20 4.56 18.00 0.96 9.41 11.50 8.30

A1 1 250.00 0.93 0.93 0.93 9.05 9.05 9.05

A 12 1413.00 3.61 6.99 1.08 10.64 11.68 9.69

BBB 12 880.78 3.53 5.95 1.03 11.67 13.90 9.25

BB 4 351.00 3.98 6.99 1.98 12.98 15.00 11.00

C 1 150.00 4.74 4.74 4.74 14.00 14.00 14.00

NA 63 15994.21 5.44 29.96 0.92 12.63 20.00 0.01

146

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TABLE 97: CATEGORY ANALYSIS

TABLE 98: NON-FIXED RATE BOND ISSUANCE ANALYSIS

VARIABLE/ZERO COUPON BONDS

TABLE 95: TOP 5 ISSUANCES

TABLE 96: SECTOR ANALYSIS

statistics

Ma

y 2

01

8

Company No.Amount(` Cr.)

Avg.Tenor

Max.Tenor

Min.Tenor

Avg.Coupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

%Share

NATIONAL HIGHWAYS AUTHORITY OF INDIA 1 6000.00 2.90 2.90 2.90 5.25 5.25 5.25 17.62

RURAL ELECTRIFICATION CORPORATION LIMITED 3 3000.00 1.59 2.97 0.61 5.75 6.00 5.25 8.81

LODHA DEVELOPERS LIMITED 1 1650.00 3.96 3.96 3.96 12.75 12.75 12.75 4.85

VEDANTA LIMITED 1 1650.00 3.19 3.19 3.19 8.50 8.50 8.50 4.85

SAI ASHRAY DEVELOPERS PVT LTD 1 1200.00 5.97 5.97 5.97 14.00 14.00 14.00 3.52

Sector No.Amount(` Cr.)

Avg.Tenor

Max.Tenor

Min.Tenor

Avg.Coupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

Finance 65 9001.46 4.19 10.01 0.96 9.18 13.90 5.25

Infrastructure 56 20121.91 5.72 29.96 0.61 12.53 20.00 5.25

Manufacturing 3 130.00 2.15 2.99 0.99 14.80 18.00 8.40

Oil 2 592.00 2.84 2.96 2.72 8.23 8.46 8.00

Others 29 4209.50 3.49 6.00 0.93 11.24 18.00 0.01

Type No.Amount(` Cr.)

Avg.Tenor

Max.Tenor

Min.Tenor

Avg.Coupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

PSU 12 9999.68 2.97 4.00 0.61 6.97 8.69 5.25

PVT 143 24055.19 4.69 29.96 0.92 11.20 20.00 0.01

Type No. Amount (` Cr.) Avg. Tenor Max. Tenor Min Tenor Remarks

Floating Rate - - - - - -

Zero Coupon Bond - - - - - -

147

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SECONDARY MARKET ANALYSIS

Amount Crore`TABLE 99: CORPORATE BONDS TRADING DETAILS

TABLE 100: HISTORICAL SUMMARY Amount Crore`

Since April 1, 2014 all Corporate Bond deals are being reported only on the exchanges

Ma

y 2

01

8

TotalDate

Trades Volume

03-Apr-18 253 5113

04-Apr-18 304 8308

05-Apr-18 395 10248

06-Apr-18 330 8006

09-Apr-18 253 7848

10-Apr-18 277 6825

11-Apr-18 238 7491

12-Apr-18 80 8178

13-Apr-18 208 5244

16-Apr-18 170 3786

17-Apr-18 147 4754

18-Apr-18 163 5183

19-Apr-18 199 5092

20-Apr-18 212 6079

23-Apr-18 168 5679

24-Apr-18 168 4913

25-Apr-18 169 4102

26-Apr-18 188 4916

27-Apr-18 155 4772

Total 4077 116536

Average 215 6133

Total AveragePeriod


2008-09 - 145828 - 621

2009-10 - 402157 - 1690

2010-11 43795 598604 177 2423

2011-12 51439 591979 216 2487

2012-13 66180 736347 275 3055

2013-14 69518 972156 287 4017

2014-15 72364 1013504 305 4276

2015-16 63701 905333 264 3757

2016-17 72416 1124988 300 4668

2017-18 50631 1350033 210 5602

Apr-18 4077 116536 215 6133

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TABLE 101: CATEGORYWISE TRADING ANALYSIS

TABLE 102: RATING ANALYSIS

TABLE 103: CATEGORY ANALYSIS

statistics

Ma

y 2

01

8

CATEGORY Rating Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)

FINANCE AAA 1724 52689 4.18 80

FINANCE AA 731 17004 5.28 163

FINANCE A 107 2997 4.42 294

FINANCE NA 118 3095 3.65 131

INFRASTRUCTURE AAA 684 16527 6.42 51

INFRASTRUCTURE AA 113 5566 5.25 148

INFRASTRUCTURE A 12 602 4.03 299

INFRASTRUCTURE BBB 6 216 3.02 1567

INFRASTRUCTURE BB 3 205 4.03 586

INFRASTRUCTURE NA 47 1335 6.86 243

MANUFACTURING AAA 103 3054 3.50 39

MANUFACTURING AA 41 1062 3.69 83

MANUFACTURING NA 7 274 4.79 56

OIL AAA 11 435 4.78 31

OTHERS AAA 83 3303 5.79 83

OTHERS AA 18 724 1.01 153

OTHERS NA 63 2110 4.80 83

Rating Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)

AAA 2605 76008 4.86 70

AA 903 24356 5.14 158

A 119 3599 4.39 295

BBB 6 216 3.02 1567

BB 3 205 4.03 586

B - - - -

NA 235 6813 4.68 143

Category Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)

FINANCE 2680 75784 4.45 118

INFRASTRUCTURE 865 24451 6.23 96

MANUFACTURING 151 4390 3.65 53

OIL 11 435 4.78 31

OTHERS 164 6137 5.00 88

149

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TABLE 104: BOND TYPE ANALYSIS

TABLE 105: AAA SPREAD ANALYSIS

TABLE :106 CATEGORY ANALYSIS - HISTORICAL Amount Crore`

Ma

y 2

01

8

Type of Bond Trades Value (` Crore) Avg. Tenor Avg. Spread (bps)

FIXED 3715 105829 4.99 104

ZERO COUPON 75 3725 1.76 170

Floating 57 555 3.33 211

NA 24 1089 3.19 391

CategoriesYear

Finance Infrastructure Manufacturing Oil Others Total

2008-09 102644 17543 7468 4952 13222 145828

2009-10 232669 50546 25739 18186 75017 402157

2010-11 394887 75663 26536 16916 84602 598604

2011-12 344743 99947 8781 13948 124560 591979

2012-13 334871 131421 38073 7613 224370 736348

2013-14 580267 188209 42594 17945 143141 972156

2014-15 536550 248001 41028 15605 172320 1013504

2015-16 548616 259910 41691 4182 50933 905333

2016-17 719406 255995 39124 7515 102948 1124988

2017-18 916753 273880 76597 3144 79660 1350033

Apr-18 75784 24451 4390 435 11476 116536

Maturity Buckets Average AAA Spread (bps)

<=1 year 115

> 1 year -<=2 years 108

> 2 years -<=3 years 75

>3 years -<=5 years 62

>5 years-<=7 years 20

> 7 years 41

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TABLE : SPREAD ANALYSIS108 - HISTORICAL (AVERAGE) basis points

TABLE :107 RATING ANALYSIS - HISTORICAL Amount Crore`

statistics

Ma

y 2

01

8

RatingsYear

AAA AA A1 A2 A BBB BB B C P1 NA

2008-09 107549 13465 - - 2463 70 - - - 9 22273

2009-10 294268 36550 5 - 12034 15 16 - - 25 59244

2010-11 379542 107514 139 - 8068 260 38 216 - 8510 94317

2011-12 410152 44643 1637 - 3814 451 64 - - - 131217

2012-13 410581 80864 5736 - 7859 564 2966 124 - 201 227453

2013-14 696917 130830 3273 - 20241 2994 186 2 - 50 117664

2014-15 716087 129597 3555 600 35012 1389 3746 108 48 - 123362

2015-16 576773 151808 1835 - 33276 1856 942 174 - - 138669

2016-17 578952 123929 1034 - 18746 1096 384 135 - - 400712

2017-18 833499 222659 7178 295 30716 4300 896 430 - - 250058

Apr-18 76008 24356 - - 3599 216 205 - - - 12151

RatingsYear

AAA AA A1 A2 A BBB BB B C P1 NA

2011-12 119 189 248 - 202 185 227 - - - 205

2012-13 98 161 231 - 220 308 262 182 - 193 181

2013-14 85 140 275 - 163 291 254 - - 189 176

2014-15 46 123 179 141 149 351 83 138 566 - 148

2015-16 62 164 205 - 237 593 710 281 - - 167

2016-17 73 221 240 - 343 720 1042 1699 - - 170

2017-18 74 171 177 825 352 500 957 1052 - - 135

Apr-18 70 158 - - 295 1567 586 - - - 143

151


TABLE 109: TOP 25 TRADED CORPORATE BONDS

Note: Spread over comparable G-SecDeals apparently viewed as duplicate deals have been excluded.Source for Corporate Bonds:www.fimmda.orgwww.nseindia.comwww.bseindia.comwww.nsdl.co.in

May 2018

No. ISIN No. Security Description Rating Category MaturityCoupon

(%)Trades

Volume(` Cr.)

Yield(%)

1 INE134E08JP5 POWER FINANCE CORPORATION LTD. CRISIL AAA/Stable FINANCE 3-Apr-28 7.85 217 5014.93 8.08

2 INE414G07CM0 MUTHOOT FINANCE LIMITED CRISIL AA/Stable FINANCE 19-Jun-21 8.75 68 2445.92 8.93

3 INE261F08AE6 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT CRISIL AAA FINANCE 16-Mar-28 8.20 124 2179.21 8.10

4 INE020B08AY3 RURAL ELECTRIFICATION CORPORATION LIMITED CRISIL AAA INFRASTRUCTURE 24-Mar-28 8.01 99 2047.53 7.96

5 INE110L07088 RELIANCE JIO INFOCOMM LIMITED ICRA AAA-Stable INFRASTRUCTURE 9-Apr-23 8.00 24 1925.00 7.99

6 INE261F08AD8 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT CRISIL AAA FINANCE 9-Mar-28 8.20 97 1749.90 8.08

7 INE205A07030 VEDANTA LIMITED CRISIL AA MANUFACTURING 17-Aug-20 9.45 14 1670.79 8.18

8 INE002A08476 RELIANCE INDUSTRIES LIMITED ICRA AAA OIL 31-Aug-22 7.00 67 1568.94 7.84

9 INE020B08AX5 RURAL ELECTRIFICATION CORPORATION LIMITED CRISIL AAA INFRASTRUCTURE 21-Mar-28 8.09 55 1416.57 8.10

10 INE020B08AZ0 RURAL ELECTRIFICATION CORPORATION LIMITED CARE AAA INFRASTRUCTURE 27-Mar-28 8.06 27 1366.12 8.02

11 INE110L07096 RELIANCE JIO INFOCOMM LIMITED NA INFRASTRUCTURE 16-Apr-23 8.00 9 1340.00 7.99

12 INE261F08AA4 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT CRISIL AAA FINANCE 25-Feb-28 8.22 61 1310.66 7.97

13 INE205A07139 VEDANTA LIMITED CRISIL AA-Positive MANUFACTURING 5-Apr-21 8.50 33 1266.20 8.36

14 INE261F08873 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT AAA FINANCE 31-Jul-18 7.07 11 1050.00 7.40

15 INE090A08TW2 ICICI BANK LIMITED CARE AA+ FINANCE 17-Mar-22 9.20 (AT1) 25 1034.34 8.32

16 INE134E08JL4 POWER FINANCE CORPORATION LTD. CRISIL AAA FINANCE 7-Jun-19 7.80 13 1000.22 7.51

17 INE001A07PX7 HOUSING DEVELOPMENT FINANCE CORPORATION LTD CRISIL AAA FINANCE 9-Mar-20 Zero Coupon 12 965.79 8.08

18 INE115A07MO1 LIC HOUSING FINANCE LIMITED AAA FINANCE 14-Oct-22 7.45 30 954.10 7.96

19 INE001A07RF0 HOUSING DEVELOPMENT FINANCE CORPORATION LTD CRISIL AAA FINANCE 21-Jun-19 7.85 24 909.92 7.97

20 INE261F08865 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT AAA FINANCE 31-Jul-18 7.07 10 899.93 7.34

21 INE020B08AP1 RURAL ELECTRIFICATION CORPORATION LIMITED AAA INFRASTRUCTURE 30-Nov-22 7.45 27 871.44 7.92

22 INE694L07115 TALWANDI SABO POWER LIMITED CRISIL AA (SO)-Positive INFRASTRUCTURE 23-Apr-21 8.55 11 850.00 8.54

23 INE261F08816 NATIONAL BANK FOR AGRICULTURE AND RURAL DEVELOPMENT AAA FINANCE 23-Mar-20 7.18 10 800.05 7.12

24 INE217K07BF5 RELIANCE HOME FINANCE LIMITED CARE AA+ 28-Jun-19 9.10 2 800.00 9.15

25 INE134E08IH4 POWER FINANCE CORPORATION LIMITED AAA 16-Aug-21 7.50 12 786.47 7.87

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CERTIFICATES OF DEPOSIT AND COMMERCIAL PAPERSAND CORPORATE B-ONDS, CP, CD REPO

TABLE 110: Cds, Cps & CBRepo TRADING DETAILS Amount Crore`

TABLE 111: HISTORICAL SUMMARY - CP AND CD AND CORPORATE BOND REPOS Amount Crore`

statistics

Ma

y 2

01

8

153

CDs CPs CB RepoPeriod

Trades ValueAverageValue

Weightedavg yield (%)



2012-13 39624 1833097 13283 8.8774 10831 586796 4252 33 723 5

2013-14 34228 1698860 7020 8.9368 9223 553702 2288 25 1962 8

2014-15 28958 1560787 6586 8.5662 11687 741289 3128 64 2015 9

2015-16 22454 1272810 5281 7.6574 14531 904256 3741 177 8378 32

2016-17 16018 979117 4063 6.6882 15866 1147138 4760 657 16799 70

2017-18 11365 879428 3649 6.4802 17144 1288702 5347 1207 23014 95

Apr-18 1820 134731 7091 6.6024 1714 110571 5820 125 1694 89

CDs CPs CB RepoDate

Trades Value Trades Value Trades Value

3-Apr-18 180 12950 97 7857 10 71

4-Apr-18 171 14167 138 9962 6 90

5-Apr-18 146 10242 105 6436 11 101

6-Apr-18 112 8894 85 4580 12 136

9-Apr-18 88 5807 58 3122 9 157

10-Apr-18 90 5755 47 2802 11 135

11-Apr-18 84 6648 71 3437 9 253

12-Apr-18 77 5089 65 4031 6 90

13-Apr-18 56 4312 69 4862 - -

16-Apr-18 66 4930 74 6211 11 105

17-Apr-18 69 4854 99 5786 11 157

18-Apr-18 88 5734 93 6749 6 73

19-Apr-18 71 4826 77 3811 3 70

20-Apr-18 68 5755 85 5705 9 65

23-Apr-18 85 5721 89 3725 - -

24-Apr-18 87 7059 84 4925 -

25-Apr-18 77 5302 90 4461 6 109

26-Apr-18 91 6669 150 10831 5 82

27-Apr-18 114 10020 138 11280 - -

Total 1820 134731 1714 110571 125 1694

Average 96 7091 90 5820 7 89

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TABLE 112: CERTIFICATE OF DEPOSIT - TENORWISE TRADING ANALYSIS

Ma

y 2

01

8

Residual Maturity(Months)

Trades Traded Amount (` Crore) WAY (%)

1 357 23670 6.4912

2 522 37235 6.4911

3 552 50693 6.5124

4 51 5127 6.8253

5 49 3796 6.8948

6 15 912 6.8654

7 2 110 7.0821

8 1 50 7.0500

9 10 550 7.0720

10 81 4447 7.3265

11 93 4040 7.3111

12 87 4102 7.1970

Total 1820 134731 6.6024

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TABLE 113: COMPARISON OF FBIL TERM MIBOR AND FBIL CD CURVE

BENCHMARK RATES

Percent

statistics

Ma

y 2

01

8

14 Days 1 Month 3 Month

Date FBILTerm

MIBOR

CDWARRates

Spreadin Bps

FBILTerm

MIBOR

CDWARRates

Spreadin Bps

FBILTerm

MIBOR

CDWARRates

Spreadin Bps

03-Apr-18 6.37 6.16 21.00 6.66 6.34 32.00 6.89 6.54 35.00

04-Apr-18 6.31 6.13 18.00 6.58 6.26 32.00 6.78 6.67 11.00

05-Apr-18 6.29 6.08 21.00 6.53 6.21 32.00 6.77 6.67 10.00

06-Apr-18 6.26 5.98 28.00 6.5 6.11 39.00 6.73 6.66 7.00

09-Apr-18 6.25 6.16 9.00 6.5 6.41 9.00 6.73 6.70 3.00

10-Apr-18 6.25 6.34 -9.00 6.49 6.35 14.00 6.72 6.34 38.00

11-Apr-18 6.26 6.37 -11.00 6.47 6.40 7.00 6.75 6.69 6.00

12-Apr-18 6.27 6.35 -8.00 6.47 6.42 5.00 6.76 6.68 8.00

13-Apr-18 6.27 6.34 -7.00 6.47 6.47 0.00 6.77 6.67 10.00

16-Apr-18 6.27 6.58 -31.00 6.47 6.51 -4.00 6.78 6.63 15.00

17-Apr-18 6.27 6.45 -18.00 6.47 6.50 -3.00 6.79 6.80 -1.00

18-Apr-18 6.27 6.39 -12.00 6.46 6.46 0.00 6.83 6.80 3.00

19-Apr-18 6.26 6.45 -19.00 6.47 6.52 -5.00 6.85 6.96 -11.00

20-Apr-18 6.26 6.53 -27.00 6.48 6.56 -8.00 6.88 6.79 9.00

23-Apr-18 6.27 6.72 -45.00 6.49 6.58 -9.00 6.90 6.69 21.00

24-Apr-18 6.29 6.63 -34.00 6.51 6.70 -19.00 6.91 6.67 24.00

25-Apr-18 6.30 6.49 -19.00 6.52 6.64 -12.00 6.93 6.71 22.00

26-Apr-18 6.29 6.54 -25.00 6.54 6.61 -7.00 6.94 7.07 -13.00

27-Apr-18 6.28 6.70 -42.00 6.54 6.69 -15.00 6.97 7.07 -10.00

155


PercentTABLE 114: FBIL CD CURVE vs FBIL TBILL CURVE

May 2018

14 Days 1 Month 2 Months 3 Months 6 Months 9 Months 12 Months

Date FBILCDRate

FBILTB

Rate

Spreadin Bps

FBILCDRate

FBILTB

Rate

Spreadin Bps

FBILCDRate

FBILTB

Rate

Spreadin Bps

FBILCDRate

FBILTB

Rate

Spreadin Bps

FBILCDRate

FBILTB

Rate

Spreadin Bps

FBILCDRate

FBILTB

Rate

Spreadin Bps

FBILCDRate

FBILTB

Rate

Spreadin Bps

03-Apr-18 6.16 6.00 16 6.34 5.99 35 6.48 6.02 46 6.54 6.14 40 6.96 6.20 76 7.12 6.20 92 7.13 6.39 74

04-Apr-18 6.13 5.97 16 6.26 5.96 30 6.39 5.99 40 6.67 6.11 56 7.06 6.31 75 7.24 6.32 92 7.20 6.45 75

05-Apr-18 6.08 5.92 16 6.21 5.91 30 6.35 5.96 39 6.67 6.09 58 6.84 6.28 56 7.13 6.45 68 7.21 6.42 79

06-Apr-18 5.98 5.82 16 6.11 5.81 30 6.37 5.86 51 6.66 5.99 67 6.80 6.18 62 7.06 6.41 65 7.12 6.43 69

09-Apr-18 6.16 5.90 26 6.41 5.89 52 6.37 5.94 43 6.70 6.07 63 6.84 6.25 59 7.17 6.45 72 7.05 6.44 61

10-Apr-18 6.34 5.85 49 6.35 5.86 49 6.36 5.93 43 6.34 6.05 29 6.82 6.19 63 7.28 6.42 86 7.29 6.43 86

11-Apr-18 6.37 5.79 58 6.4 5.79 61 6.37 5.86 51 6.69 6.10 59 6.92 6.30 62 7.35 6.48 87 7.33 6.47 86

12-Apr-18 6.35 5.77 58 6.42 5.78 64 6.43 5.85 58 6.68 6.10 58 6.82 6.20 62 7.30 6.44 86 7.27 6.47 80

13-Apr-18 6.34 5.76 58 6.47 5.77 70 6.39 5.84 55 6.67 6.08 59 6.88 6.26 62 7.27 6.46 81 7.30 6.46 84

16-Apr-18 6.58 5.91 67 6.51 5.92 59 6.43 5.89 54 6.63 6.04 59 6.89 6.26 63 7.22 6.46 76 7.28 6.45 83

17-Apr-18 6.45 5.91 54 6.5 5.92 58 6.50 6.00 50 6.80 6.05 75 6.87 6.24 63 7.21 6.45 76 7.28 6.45 83

18-Apr-18 6.39 5.94 45 6.46 5.95 51 6.45 5.95 50 6.80 6.10 70 6.90 6.31 59 7.27 6.50 77 7.36 6.48 88

19-Apr-18 6.45 5.92 53 6.52 5.93 59 6.52 5.94 58 6.96 6.11 85 7.14 6.27 87 7.41 6.46 95 7.40 6.45 95

20-Apr-18 6.53 5.94 59 6.56 5.95 61 6.52 5.96 56 6.79 6.12 67 7.17 6.30 87 7.44 6.49 95 7.43 6.48 95

23-Apr-18 6.72 6.00 72 6.58 5.99 59 6.54 5.99 55 6.69 6.15 54 7.28 6.35 93 7.32 6.50 82 7.45 6.50 95

24-Apr-18 6.63 6.00 63 6.7 6.03 67 6.53 6.07 46 6.67 6.15 52 7.31 6.35 96 7.40 6.50 90 7.50 6.50 100

25-Apr-18 6.49 5.93 56 6.64 5.96 68 6.61 6.04 57 6.71 6.16 55 7.35 6.39 96 7.48 6.58 90 7.61 6.61 100

26-Apr-18 6.54 5.97 57 6.61 6.00 61 6.57 6.00 57 7.07 6.19 88 7.58 6.27 131 7.58 6.46 112 7.60 6.50 110

27-Apr-18 6.70 5.97 73 6.69 6.00 69 6.61 6.08 53 7.07 6.19 88 7.56 6.24 132 7.55 6.43 112 7.71 6.46 125

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PercentTABLE 115: FBIL FC-RUPEE OPTION VOLATILITY MATRIX RATES - AT THE MONEY (ATM) VOLS

May 2018

1 WEEK 1 MONTH 3 MONTH 6 MONTH 12 MONTHDATE BID

ATM VolsASK

ATM VolsMID

ATM VolsBID

ATM VolsASK

ATM VolsMID

ATM VolsBID

ATM VolsASK

ATM VolsMID

ATM VolsBID

ATM VolsASK

ATM VolsMID

ATM VolsBID

ATM VolsASK

ATM VolsMID

ATM Vols

03-04-18 3.90 4.68 4.29 4.38 4.73 4.56 4.91 5.20 5.06 5.23 5.54 5.39 5.69 5.95 5.82

04-04-18 3.75 4.74 4.25 4.30 4.62 4.46 4.85 5.11 4.98 5.23 5.53 5.38 5.66 5.93 5.80

05-04-18 3.69 4.53 4.11 4.21 4.60 4.41 4.75 5.02 4.89 5.16 5.44 5.30 5.61 5.89 5.75

06-04-18 3.63 4.52 4.08 4.00 4.38 4.19 4.67 4.98 4.83 5.14 5.40 5.27 5.58 5.84 5.71

09-04-18 3.28 4.45 3.87 3.96 4.45 4.21 4.65 4.93 4.79 5.11 5.43 5.27 5.51 5.78 5.65

10-04-18 3.25 4.44 3.85 3.94 4.44 4.19 4.58 4.88 4.73 5.10 5.39 5.25 5.56 5.82 5.69

11-04-18 3.93 4.84 4.39 4.18 4.68 4.43 4.74 5.06 4.90 5.10 5.40 5.25 5.55 5.84 5.70

12-04-18 4.37 5.18 4.78 4.15 4.69 4.42 4.76 5.14 4.95 5.14 5.47 5.31 5.59 5.88 5.74

13-04-18 3.95 4.96 4.46 4.25 4.66 4.46 4.73 5.08 4.91 5.14 5.46 5.30 5.59 5.90 5.75

16-04-18 3.96 4.82 4.39 4.42 4.79 4.61 4.80 5.15 4.98 5.22 5.52 5.37 5.67 5.94 5.81

17-04-18 3.80 4.97 4.39 4.51 4.90 4.71 4.89 5.16 5.03 5.30 5.58 5.44 5.75 6.00 5.88

18-04-18 3.72 4.45 4.09 4.43 4.88 4.66 4.82 5.16 4.99 5.29 5.57 5.43 5.68 5.98 5.83

19-04-18 3.51 4.52 4.02 4.32 4.66 4.49 4.76 5.03 4.90 5.23 5.48 5.36 5.67 5.94 5.81

20-04-18 4.00 5.14 4.57 4.51 4.91 4.71 4.86 5.17 5.02 5.30 5.53 5.42 5.73 5.99 5.86

23-04-18 3.63 5.10 4.37 4.93 5.24 5.09 4.95 5.25 5.10 5.33 5.58 5.46 5.79 6.05 5.92

24-04-18 3.57 4.55 4.06 4.75 5.10 4.93 4.89 5.23 5.06 5.27 5.55 5.41 5.67 6.01 5.84

25-04-18 4.05 4.90 4.48 4.98 5.31 5.15 5.02 5.34 5.18 5.30 5.59 5.45 5.71 5.99 5.85

26-04-18 3.79 4.43 4.11 4.78 5.14 4.96 4.94 5.28 5.11 5.22 5.55 5.39 5.70 5.99 5.85

27-04-18 3.70 4.74 4.22 4.51 5.00 4.76 4.82 5.20 5.01 5.17 5.48 5.33 5.61 5.92 5.77

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TABLE 116: FBIL FC-RUPEE OPTION VOLATILITY MATRIX RATES - 25 DELTA RISK REVERSAL

Risk Reversal is the spread between the put and call vol for 25 delta25 delta is the market standard for out of the money option strike

Percent

Ma

y 2

01

8

25 DELTA RRDATE

1 WEEK 1 MONTH 3 MONTHS 6 MONTHS 12 MONTHS

3-Apr-18 0.51 0.49 0.64 0.76 0.81

4-Apr-18 0.50 0.46 0.62 0.74 0.80

5-Apr-18 0.35 0.45 0.62 0.75 0.79

6-Apr-18 0.31 0.44 0.60 0.72 0.78

9-Apr-18 0.31 0.44 0.60 0.72 0.78

10-Apr-18 0.31 0.44 0.58 0.72 0.78

11-Apr-18 0.31 0.44 0.59 0.73 0.78

12-Apr-18 0.31 0.44 0.59 0.73 0.78

13-Apr-18 0.31 0.44 0.59 0.73 0.78

16-Apr-18 0.31 0.44 0.59 0.72 0.78

17-Apr-18 0.31 0.44 0.58 0.75 0.79

18-Apr-18 0.31 0.44 0.59 0.76 0.79

19-Apr-18 0.31 0.49 0.58 0.75 0.81

20-Apr-18 0.32 0.55 0.61 0.77 0.80

23-Apr-18 0.38 0.59 0.65 0.82 0.87

24-Apr-18 0.41 0.56 0.65 0.80 0.86

25-Apr-18 0.40 0.59 0.65 0.80 0.86

26-Apr-18 0.40 0.59 0.65 0.80 0.86

27-Apr-18 0.40 0.51 0.62 0.78 0.80

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TABLE 117: FBIL FC-RUPEE OPTION VOLATILITY MATRIX RATES - 25 DELTA STRANGLE

Strangle is the spread between the 25 delta vol and ATM vol25 delta is the market standard for out of the money option strike

Percent

Ma

y 2

01

8

25 DELTA STRDATE

1 WEEK 1 MONTH 3 MONTHS 6 MONTHS 12 MONTHS

03-04-18 0.11 0.17 0.20 0.29 0.33

04-04-18 0.10 0.17 0.20 0.29 0.33

05-04-18 0.10 0.17 0.20 0.29 0.33

06-04-18 0.11 0.17 0.20 0.30 0.33

09-04-18 0.10 0.17 0.20 0.28 0.32

10-04-18 0.10 0.17 0.20 0.25 0.29

11-04-18 0.11 0.17 0.20 0.25 0.29

12-04-18 0.11 0.17 0.20 0.25 0.28

13-04-18 0.11 0.17 0.20 0.25 0.28

16-04-18 0.11 0.17 0.20 0.25 0.29

17-04-18 0.11 0.17 0.20 0.25 0.29

18-04-18 0.11 0.17 0.20 0.25 0.28

19-04-18 0.10 0.17 0.20 0.25 0.28

20-04-18 0.10 0.17 0.20 0.25 0.29

23-04-18 0.11 0.17 0.20 0.25 0.28

24-04-18 0.10 0.17 0.20 0.25 0.28

25-04-18 0.10 0.17 0.20 0.25 0.29

26-04-18 0.10 0.17 0.20 0.25 0.29

27-04-18 0.10 0.16 0.20 0.25 0.29

159

TABLE 11: CCIL SETTLEMENT DETAILS e · 2004. 2003. e` s TABLE 11: CCIL SETTLEMENT DETAILS er...

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