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10

Policymaking from a “macroprudential” perspective in emerging

market economiesInterpreting Currency Movements during the Crisis

Managing Public Debt and Its Financial Stability Implications

What's New

Reports

More on CDS

Article

3

5

Key Personnel

Corporate Bonds

World Economic Outlook - Update

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The tight liquidity condition of the previous

month continued in Jan'11, albeit at a little

milder scale, with RBI supporting the market

with LAF repo inflows. The average infusion in

LAF Repo window during the month was

93,071.75crores vis-à-vis 1,21,935crore in

Dec'10. Inflation clearly continues to be the

dominant concern for all policy makers. After

some moderation between August and

November 2010, inflation rose again in

December 2010 on the back of sharp increase in

the prices of primary food articles and the

recent spurt in global oil prices. Non-food

manufacturing inflation has remained sticky,

reflecting both buoyant demand conditions

and rising costs. Real GDP in India increased

by 8.9 per cent during the first half of 2010-11,

reflecting strong domestic demand, especially

private consumption and investment, and

improving external demand. Although on a

cumulative basis, the IIP grew by 9.5 per cent

during April-November 2010, it has been

volatile in the current financial year with

growth rates ranging between 2.7 per cent and

16.6 per cent. The average daily call rate

moderated from 6.7 per cent during December

2010 to about 6.5 per cent in January 2011. At

the longer end, 10-year government security

yield, which had generally remained above 8

per cent during most of October-November

2010 on account of inflationary pressures and

persistent liquidity tightness, also softened in

the second half of December 2010. However,

the yield on 10-year G-sec moved up again to

8.2 per cent by January 21, 2011, reflecting

both liquidity conditions and inflationary

expectations. India's Current Account deficit

(CAD) has widened significantly. Although

recent trade data suggest moderation of the

trade deficit in the latter part of the year,

overall CAD for 2010-11 is expected to be about

3.5 per cent of GDP. A CAD of this magnitude is

not desirable. On the basis of the macro-

economic issues persisting in the economy, the

RBI increased the repo rate under the liquidity

adjustment facility (LAF) by 25 basis points

from 6.25 per cent to 6.5 per cent with and the

reverse repo rate by 25 basis points from 5.25

per cent to 5.50 per cent with immediate effect.

As a fallout of liquidity situation, CCIL activity

was mixed - in Jan'11, daily outright volumes

declined marginally to 7497crores from

7541crores, daily market repo volumes

showed a decline at 11541crores from

12993crores, daily Forex volume increased to

US$17.41billion from US$15.59billion and daily

CBLO volume showed a marginal increase to

44815crores from 43784crores. The situation

is expected to improve with the RBI monetary

policy measures.

` `

`

`

`

`

` `

(Y. S. S. Kapdi)

MANAGING DIRECTOR'S MESSAGE

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2.1 CDS spread models: some finer points

2.1.1 Term Structure of CDS spreads

2.1.1.1 Relationship between conditional

and unconditional default probabilities.

as estimated at inception.

unconditional

conditional upon no default in the first two

2.1.1.2 Calculating CDS spreads from

default probabilities.

2.1.1.3 Term Structure

In the article published in the January 2011 issue of

Rakshitra, I had referred to the relationship

between

i. Unconditional and conditional default

probabilities; and

ii. Conditional default probabilities and

CDS spreads for different maturities.

These relationships are derived once again from the

principles arbitrage free pricing, described in the

earlier article, and are elaborated below.

We earlier defined unconditional default

probability as the probability of default before the

end of n year, Let x =

unconditional probability of default before the end

of the i year, i=1,2,3……n.

With this notation, it is easy to see that the

probability of default in the 3

year is x -x . However, the conditional probability

of default in the third year brings in another factor:

namely, there should be no default in the first two

years. This probability is, by definition, (1 -x ).

Therefore the probability of default in the 3 year,

(or

) is

= (x -x ) * (1 -x )

More generally =(x ) *(1 x )

(i.e. unconditional probability of default

multiplied by the probability of no default in

earlier years).

Default probabilities can be combined with

recovery rates (say R) to calculate CDS spreads,

once again applying the principle of arbitrage-free

pricing. Let us assume the spread to be say “s”% p.a.

For the seller of the protection the inflow in any

year is (s * probability of survival of bond without

the occurrence of a Credit Event, before the end of

that year) -- for simplicity's sake, we assume that the

Event occurs only at the end of a year.

For year i (i= I to n), this will be s * (1 )

We also need to calculate, for each year, the likely

outflows assuming a recovery rate of R. For year i,

this will be

R *(1 )

It can be readily seen that given default

probabilities and recovery rates, we can now

calculate “s”, the CDS spread, by equating the

present values of the likely inflows and outflows.

The relationship between probabilities of default

and spreads also leads to the concept of the term

th

th

rd

rd

i

3 2

2

2,3

2,3 3 2 2

(i -1),i i x (i-1) (i-1)

(i-1), i

(i 1),i

y

y

y

y

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A. V. Rajwade*

* is a Forex and Management ConsultantShri. A. V. Rajwade

MORE ON CDS

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structure of CDS spreads and hence their implied

forward prices.

“Basis” is the term commonly used to refer to the

difference between the model derived and actual

spreads. In active markets, this difference arises

because of demand supply imbalances as also more

fundamental factors. Some of the latter are

discussed below:

i. The funding cost of the holder of the risky

bond who is buying credit protection-and

how much it differs from the risk free rate.

To that extent, the buyer is likely to pay less

than the credit premium embedded in bond

pricing.

ii. While, in theory, the holder of the bond

would be entitled to the accrued interest at

the time of the occurrence of the Credit

Event, in practice the protection buyer may

not get it (or, more precisely, the recovery

percentage on the accrued interest), even

while it will be factored in the cash

settlement.

iii. If the underlying risk is on a portfolio of

bonds (see paragraph 2.3 ii below), the bond

to be delivered on occurrence of the Credit

Event may well be the cheapest-to-deliver

(CTD) out of the portfolio.

iv. Perhaps the most important reason is that

the credit premium in the bond market has

generally been more than the actual

experience of default probabilities and

recovery percentages. To be sure, in

speculative markets sometimes the basis

(CDS spread-credit premium in the bond

market) is positive as well.

Another point worth noting is that standard

pricing models use the swap rate as a proxy for risk

free rate.

While the traditional practice was that the credit

protection buyer pays the spread quarterly in

arrears, increasingly a practice is coming into vogue

that a portion of the spread is paid upfront and

only the balance quarterly in arrears. This too is a

contributing factor to the existence of “basis” as,

should a Credit Event occur, given the spread paid

upfront, only the balance which is yet to accrue will

not be payable by the protection buyer. The actual

spread the buyer would be willing to pay therefore

may be less than the model price.

Whatever the practices in western markets, we

obviously need to adapt them for our conditions,

in particular in two respects:

i. Our swap rate has been generally below the

G-Sec yields and we should not therefore

use the swap as a proxy for the risk free rate

to calculate spreads.

ii. It should also be noted that CDS spreads in

western markets are generally derived from

credit spreads on LIBOR-linked floating

rate bonds. (This is the reason why the

Reference Price is generally 100%: floating

rate bonds have practically no price risk

arising from interest rate fluctuations). We

do not have a LIBOR-linked floating rate

benchmark, nor many floating rate

corporate bonds. CDS spreads would

therefore need to be modeled from prices

of fixed rate bonds and hence the need to

use the full market price (marked-to-

2.1.2 “Basis”

2.1.3 Risk Free Rate

2.1.4 Spread Payments

2.1.5 Some issues for conditions in India

market for changes in risk free rate), as the

Reference Price as I have argued in the

earlier article. In fact, the model discussed

in that article is based on an “asset swap” -

swap between the cash flow of a risky bond

and a credit risk free, fixed interest rate

bond.

Many variations of the basic product have been

introduced in the market. Some of them are

described in the subsequent paragraphs. We also

discuss the features of another credit derivative

namely a total return swap (TRS), sometimes also

referred to as the total rate of return swap (TROR)

swap.

DCS differs from the plain vanilla CDS in that it

protects the counterparty credit risk exposure

inherent in other OTC derivatives like currency,

interest rate or commodity swaps, or bought

options, hereafter referred as the underlying

derivative:

Such exposure arises from failure of the

counterparty and has two elements:

• MTM value of the underlying derivative

(which keeps changing with time), if positive

to the DCS protection buyer; and

This first exposure could be hedged at a fixed

(known) credit spread by buying a DCS. How

would the writer or seller of the DCS price and

hedge the swap?

I n p r i n c i p l e , t h e s e l l e r f a c e s t w o

risks/uncertainties:

The basic principles of pricing/hedging the first of

these risks have been discussed earlier. As for the

second, it could be hedged by entering into a

derivative contract with payoffs identical to the

underlying derivative whose credit exposure is

being hedged through the DCS - and the cost

structured in the credit spread on the DCS.

The Contingent Payment would be the MTM value

of the underlying derivative when the Credit Event

occurs - although the underlying derivative

transaction may not have matured. (The standard

ISDA Master Agreements covering interest

rate/currency derivatives give the non-defaulting

party the right to terminate the contract on

occurrence of specified events. The protection

buyer under a DCS would obviously need to make

sure that these events are identical to the Credit

Event which would trigger the Contingent

Payment under the DCS.)

Why would the protection buyer prefer to buy a

DCS rather than terminating the contract? There

may be several reasons:

2.1.6 Variations

2.2 Dynamic credit swap (DCS) (also known

as “credit intermediation swap”)

• The potential exposure in replacement costs.

The second may be insignificant if the

underlying derivative has a liquid market, but

it can be material for complex structures in ill-

liquid markets.

• The occurrence of a Credit Event, namely

failure of the counterparty; and

• The MTM value of the derivative when the

failure occurs.

• The relationship with the counterparty to the

underlying derivative could be harmed by a

cancellation, which the protection buyer may

like to avoid.

• A Credit Event allowing termination may not

have occurred, but is apprehended.

• There may be a minimum MTM when alone

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termination is permitted by the Agreement.

• There may be time intervals specified for

payment of MTM margins.

• The cost of buying protection may be lower

than the credit spread factored in pricing the

underlying derivative.

• A cap on the Contingent Payment;

• Contingent Payment to be MTM, less a fixed

amount (which the protection buyer may well

have recovered as margin when the underlying

derivative contract was entered into);

• MTM changes between margin recovery dates;

etc.

In fact, in order to meet the requirement of

different DCS buyers, contracts can provide for

different payoffs:

All these variations will have lower costs than a

plain vanilla DCS.

The problems of pricing/hedging DCS get more

complex when the positive MTM of the underlying

exposure is strongly correlated to the probability of

occurrence of the Credit Event or counterparty

default. To elaborate the point by using a simple

example, consider that the counterparty credit

exposure to be hedged under the DCS is that on a

forward contract under which the protection buyer

is to receive a given amount of foreign currency and

pay a fixed amount of the counterparty's domestic

currency, on maturity of the contract. The credit

exposure arises if the domestic currency falls

against the foreign currency. But this may itself

weaken the credit quality of the counterparty

because of worsening economic prospects and/or

macro-economic measures taken by the authorities

to counter the fall of the domestic currency!

i. Binary or digital CDS: the payoff is fixed,

generally based on historical recovery rates;

ii. Basket CDS: the Reference Obligation is a

portfolio of bond/debt exposures. The

Contingent Payment falls due on occurrence

of the “n”th default (n can be 1 also),

whereafter the CDS gets terminated.

Sometimes, a CDS specifies that for triggering

the Contingent Payment on occurrence of the

Credit Event, any one of a number of specified

bonds could be delivered. The buyer of the

CDS would obviously deliver the cheapest to

deliver bond.

iii. Contingent default swap: Payment is triggered

only when two Events occur, the first being the

Credit Event relating to the Reference Entity,

and the second one independent of it-for

example the level of the stock market.

Obviously such swaps would be cheaper to

buy than the plain vanilla CDS with a single

Credit Event.

iv. CDS on a portfolio of bonds represented in an

Index: as the market for CDS has grown,

Credit Indices of credit spreads have been

structured (with equal weights for all CDSs in

the Index) and are accepted by the market. The

index can be used as the credit spread to buy or

sell a CDS on all the underlying bonds. Such

CDSs have two features:

a. The notional on each bond is equal; and

b. The spread payment by the buyer comes

down proportionately when a Credit

Event occurs in relation to any of the

bonds in the Index.

2.3 Other variations

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2.4 Derivatives on CDS: Forwards and

Options

Once a liquid market in CDS got established,

forwards and options also started getting priced

and quoted. The forward contract on CDS

commits the counterparties to enter into a CDS

contract for a specified notional, maturity and

spread at the price agreed now.

This can be arrived at from the spreads for different

maturities-buy longer maturity, sell shorter

maturity CDS (or vice versa) to arrive at the forward

price. The shorter maturity CDS will coincide with

the maturity of the forward contract, and the

longer maturity with the maturity of the CDS

underlying the forward contract.

The parameters of the call and put options will

include

(i) The notional principal;

(ii) The maturity of the option; and

(iii) The exercise price by way of spread on the

CDS.

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Policymaking from a “macroprudential”

perspective in emerging market economies:

Ramon Moreno; BIS Working Papers No

336, Monetary and Economic Department,

January 2011

The landscape for financial stability in emerging

market economies (EMEs) has changed

considerably since the first half of 2009. Capital

flows are back, and given current account surpluses

and efforts to manage exchange rates, foreign

reserves are rising. This could lead to an increase in

aggregate demand with a concomitant risk of

inflation; and an increase in bank credit growth

and asset prices, increasing financial fragility.

Rapid credit growth can mean deterioration in

credit quality over time, disguised by rapid

economic growth that may prove transitory. Credit

growth could also be associated with growing risks

of spillovers or contagion, either due to common

exposure to risky sectors or networks linking

financial institutions. The risks would be amplified

by booms in the prices of leveraged assets. Risks

could materialise in the event of sudden capital

inflow reversals. Raising interest rates is the

standard response to deal with an increase in

aggregate demand, but it could attract more capital

inflows and lead to appreciation pressures.

Furthermore, whether interest rate policy is an

appropriate instrument to deal with the financial

stability implications of bank credit growth and

asset prices is still the subject of debate.

Policymakers in EMEs have sought to limit these

risks during the extended period of expansion in

the 2000s by using what are traditionally seen as

“monetary” or “micro prudential” tools but that

are now applied with a “macroprudential”

perspective. The form of intervention can broadly

be classified into measures to control capital

inflows, foreign exchange market intervention and

foreign reserve accumulation, measures to

strengthen bank balance sheets and capital &

measures to maintain the quality of credit or to

influence credit growth or allocation.

Many central banks value a regime of floating

exchange rates because it reminds financial markets

of foreign exchange risk - and so creates the right

incentives for risk management. Hence such a

regime is seen as having macroprudential benefits.

But even under floating, central banks intervene in

foreign exchange markets to dampen exchange rate

volatility, or to accumulate foreign reserves.

With regards to measures to strengthen bank

balance sheets and capital, steps taken have

included limits to net open positions of financial

institutions, more stringent requirements on

foreign currency lending, rules for liquidity risks,

rules regarding currency and maturity mismatches,

capital requirements, & loan-loss provisioning

requirements.

As far as measures to maintain the quality of credit

or to influence credit growth or allocation are

concerned, loan-to-value (LTV) ceilings on

mortgage loans have been used in a number of

EMEs to limit credit risks; debt-to-income or debt

service-to-income rules, that would tend to ensure

credit flows to those with a greater ability to repay,

have also been used.

Since the mid-1980s, most direct controls on bank

lending have been dismantled because they

undermined the efficiency of financial

intermediation. Nevertheless, several countries

have used credit ceilings more recently, and China

has used window guidance , involv ing

ARTICLE SUMMARY

ARTICLE SUMMARY

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consultations between the authorities and the

banks, to curtail lending. However, reserve

requirements are less costly to authorities and are

less distortionary than controls on bank lending,

although there are well-known drawbacks. Other

measures include taxes on lending & targeting

certain sectors for adjustments.

Sudden changes in capital inflows have been a

major contributor to financial instability in the

EMEs over several decades. While foreign currency

borrowing has generally been liberalised, a number

of EMEs still impose restrictions. India

traditionally has maintained restrictions that seek

to encourage FDI and limit external borrowing,

particularly short-term. However, some central

banks see disadvantages in capital controls or do

not consider them feasible. Capital controls

involve significant tradeoffs. They can help

contain financial stability risks; alternatively they

can cause distortions and impair financial

development.

A macroprudential view introduces an additional

dimension to the discussion of economic

stabilisation policies by focusing not only on

inflation, but also considering the possible effects

of capital inflows on credit, asset prices, risk-taking

behaviour and ultimately financial stability.

Supplementary instruments sometimes directly

influence the quantity of financing as well as its

cost, which may imply that they may be less

“market-friendly” as well as more effective than

interest rate policy.

Experience with crises has led to a number of

indicators or analysis that can guide policy

responses by shedding light on resilience,

imbalances and systemic risks; such as Indicators of

resilience of financial system, indicators of

macroeconomic or financial imbalances, and

indicators of systemic risks.

Interpreting data and assessing risks in EMEs also

poses challenges. There are still difficulties in

assessing credit risk in individual financial

institutions, notably from fast-growing sectors,

such as consumer and mortgage lending, due to

incomplete default history data. Furthermore,

systemic risks are not fully understood.

Information on interbank exposures may also be

limited or not easily analysed. Deregulation and

deepening of financial markets further accentuate

these challenges. Much of the discussion regarding

the timing of macroprudential measures pertains

to how these measures should be applied over the

cycle, partly because regulatory provisions are often

procyclical. From a risk-management perspective,

supplementary tools ideally would be imposed

early and in a manner that takes into account risks

should economic conditions deteriorate.

The Basel Committee on Banking Supervision is

taking a number of steps to mitigate procyclicality.

These include assessing and dampening the

cyclicality of minimum capital requirements,

encouraging forward-looking provisioning,

adopting a regulatory framework for capital

conservation and countercyclical buffers, and

introducing a minimum leverage ratio.

Apart from the steps taken by the Basel Committee,

procyclicality can be further countered by

supplementary macroprudential measures,

particularly when capital has been at its maximum

for an extended period and there are signs of

continued booms in credit and asset prices. Indeed,

s o m e a u t h o r i t i e s h a v e i m p l e m e n t e d

macroprudential measures in a way that counters

the cycle.

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Supplementary tools are generally seen as

enhancing banking sector resilience to shocks, but

their perceived effectiveness in curbing credit

growth appears to vary. Partly reflecting

uncertainties about the effects of supplementary or

macroprudential instruments, the authorities

appear to behave pragmatically when applying

such tools. In particular, they appear to assess the

effectiveness of measures adopted and adjust rates

or coverage if this appears to be necessary. In some

cases, however, the settings for what are

i n c r e a s i n g l y r e c o g n i s e d a s p o s s i b l e

macroprudential tools are still based on

microprudential norms. It will be difficult to

change this until theoretical and empirical research

clarifies how these settings should be adjusted to

take into account macroprudential risks.

The use of macroprudential instruments raises the

question of how these instruments might be related

to interest rate policy. Both interest rates and

macroprudential instruments are ways to influence

financial conditions. Such instruments can

strengthen or weaken how the policy rate is

ultimately reflected in the availability and cost of

financing faced by borrowers. However, as both

ultimately affect the availability and cost of

financing, they can also be viewed as substitutes.

How much interest rates and macroprudential

instruments will be used will depend in part on the

extent to which macroeconomic and financial

stability considerations coincide, and the relative

effectiveness of these instruments. Under a fixed

exchange regime, policymakers will have no

interest rate tool and would have to rely exclusively

on supplementary tools. The development or

condition of the financial system may also have a

bearing on the types of instruments used.

Over the medium term, the use of supplementary

and macroprudential tools raises issues of financial

development and efficiency. Many supplementary

tools have been abandoned in advanced economies

because of the heavy costs imposed on the financial

system and distortions in resource allocation. On

the other hand, recent experience showed clearly

that market discipline is not enough to guarantee

financial stability. The crisis has prompted a

reassessment of how these two competing

considerations should be balanced.

Another concern is that the focus on

supplementary tools, including capital controls,

could draw attention away from the need for sound

macroeconomic policies. A number of central

banks take the view that there is no substitute for

conservative fiscal, monetary and regulatory

policies in order to prevent fluctuations in global

capital flows from causing severe disruptions in

EMEs.

Source: www.bis.org

The financial turmoil of 2008-2010 observed very

sharp changes in the currencies of advanced and

emerging market economies against the US dollar

(USD). However, the currency movements against

the USD has been largely heterogeneous across the

world which can be explained by size of countries'

financial liabilities against the U.S., size of a

country's FX reserves and size of countries' current

account positions in line with Fratzcher (2009)

findings of a safe-haven story in which the global

Interpreting Currency Movements during

the Crisis: What's the Role of Interest Rate

Differentials? - (Nicoletta Batini and

Thomas Dowling)

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nature of the slowdown led investors to believe that

negative shocks originating in the U.S. would affect

foreign markets even more acutely. However

Kohler (2010) argues that exchange rate

movements during this crisis were characterized by

both safe-heaven effects and carry trade that

resulted from interest rate differentials.

The paper tries to analyze currency movements and

its drivers during the financial crisis of 2008-2010

using an adaptation of the Uncovered Interest

Parity (UIP) condition. The paper also investigates

the relationship between exchange rate movements

and monetary policy and its heterogeneous

character during the crisis by assessing the

contribution of monetary policy news in the U.S.

to exchange rate developments in five inflation-

targeting advanced economies (Australia, Canada,

the Euro Area, New Zealand, and the United

Kingdom) and three inflation-targeting EMEs

(Brazil, Chile and Mexico) during the crisis.

Employing instantaneous forward interest rate

differentials for each country in an adapted UIP

framework, the paper decomposes exchange rate

movements into changes attributable to monetary

policy and a residual and tries to determine the

interaction between interest rates and exchanges

rates.

The paper finds that the early stages of the crisis

were marked by sharp depreciation of currencies

worldwide against USD but then from late 2008

early 2009, these currencies began appreciating

near to pre-crisis level by the end of the first quarter

of 2010

. The depreciation phase of the currencies

during the 2008-2010 financial and economic crisis

was largely dominated by safe-haven effects rather

than carry trade activity or other return

considerations. This movement is attributable to

the widening between such rates, the Fed's open

commitment to prolonged easing, and the lowering

of the Fed Funds rates.

The UIP decomposition results suggest that in the

majority of countries, the initial depreciating phase

against the USD cannot be explained in terms of

changes in expected relative real interest rates. The

decomposition suggests that the depreciating phase

was the result of a portfolio shock which is in line

with the view of most commentators at the time

that saw the U.S. dollar's strength as a sign of real

panic and risk aversion. The wave of initial

depreciations came in a staged fashion likely

reflecting markets' sentiments about the strength

and sequence with which the financial and

economic crisis originating in the US would hit

individual countries. Over the period, the USD

nominal effective exchange rate strengthened

substantially as short-term capital flew out of all the

sample currencies into the USD.

By contrast, the appreciating phase of some

currencies (EUR, BRL, CLP and MXN) can be

largely explained through changes in expected

nominal rate differentials with the Fed Funds rate.

The Fed slashed its policy rate practically to zero

(0.125 %) in Dec'08 and soon after, most central

banks moved to an emphasis on supporting

economic growth from a focus on inflation and

started cutting their policy rates rapidly. In line

with the UIP logic, the resulting downward

cumulative revisions to the nominal forward

differentials between such rates and the Fed Funds

rate sparked upward expectations of exchange rate

changes in these countries. Over this period of

appreciation, changes in the expectations of

nominal rate differentials explain 100% of changes

-

-

as the U.S. economy slid further into

recession

ARTICLE SUMMARY

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ARTICLE SUMMARY

in the euro, the Brazilian real, and the Mexican

peso, and around 70% of the fluctuation on the

Chilean peso while 30% ((Brazil, Mexico), 60%

(Chile) to 100% (Euro Area) of these revisions

relates in the real interest rate component of the

nominal differential i.e. expectation about

monetary policy factors. However, risk rather than

return considerations seem to have been behind the

small appreciation of sterling, or the stronger

appreciations of the Canadian and New Zealand

dollars. All these countries made clear

commitments to particularly low levels of policy

rates ruling out revisions to nominal rate

differentials vis-à-vis the Fed Funds rate going

forward.

In emerging market economy countries-with the

exception of Chile-the largest daily changes in

expectations in exchange rates during the crisis

seem to have been driven by changes in forward

differentials. In case of Brazil, the entire exchange

rate appreciation against the USD can be

rationalized through revisions to forward

differentials of which almost 30% can be ascribed

to monetary policy news however in case of

movements of the peso seem uncorrelated to shifts

in expectations of the monetary policy rate or in

inflation expectations relative to the U.S.

The results also show that the depreciation phase of

the currencies was largely dominated by safe haven

effects rather than carry trade activity or other

return considerations. However in some countries,

the appreciation that began at the end of 2008

seems largely to reflect downward movement in the

cumulative revisions to nominal forward

differentials, suggesting carry trade. Typically,

countries with greater financial exposure to the US

and/or with foreign reserves below a cross-country

average and/or with higher-than-average current

account deficits have experienced significantly

larger depreciations against the USD (averaging

about 22.5 % between July 2008 and February

2009).

Thus in advanced countries the largest daily

changes in expected exchange rates seems to have

been dominated by changes in investors' sentiment

toward those countries' currencies against the USD

(portfolio shocks), and hence to be risk-related. In

other words cumulative revisions to nominal

forward interest rate differentials for most chosen

dates are unable to explain the large appreciation /

depreciation seen in their bilateral with the USD

over these dates. However the Fed's emergency cut

of 50 basis points in Fed Fund rates to 1.5% on

October 8, 2008, however, surprised most currency

markets, both emerging and advanced, and seems

responsible for large FX trading on that day.

Source: www.imf.org

Sovereign debt has traditionally received much

attention as a crucial component of a country's

macroeconomic and financial policy framework.

The recently heightened attention on sovereign risk

from policy makers and financial markets stems

from the realization that how debt is managed

considerably influences the soundness and

solvency of the overall public sector balance sheet.

Debt management is also perceived as an important

factor that underpins the credibility and

reputation of a sovereign, and conditions the

Managing Public Debt and Its Financial

Stability Implications (Udaibir S. Das,

Michael Papapioannou, Guilherme Pedras,

Faisal Ahmed, and Jay Surti)

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stability of debt capital markets and the financial

institutions that hold public debt. The sharp

increase in debt levels in developed countries and

the recent contagion fears in Euro Area countries

through the banking systems have reinforced this

perception.

This paper explores how the debt and debt

management contribute to financial stability.

Recently studies explicitly acknowledged the role

of the proper management of domestic public debt

in promoting macroeconomic-financial stability.

An analytical model explains a financial crisis in

emerging markets as a function of the balance sheet

vulnerabilities of different sectors of the economy

to exogenous shocks and the way in which such

sector-specific vulnerabilities spill over to other

sectors. Clearly, however, unsustainable domestic

debt levels caused by factors such as expansionary

fiscal policy, under fixed-exchange rates or

exchange rate bond arrangements, can also lead to

currency crises, with large, discrete devaluations

and substantial macroeconomic dislocation.

At a strategic level, debt management plays a vital

role in securing the economic benefits of a sound

policy framework in several ways representing

optimization in the cost-risk space within the

constraints set by macroeconomic policy. The

improvement in the debt structure can be an

essential complement to fiscal consolidation in

ensuring a robust recovery in a post crisis

environment and such improvements, when

implemented opportunistically, can strengthen the

effectiveness managing public debt of counter-

cyclical macroeconomic policy going forward, at a

relatively low cost. The improvement measures

include substitution of debt denominated in

domestic currency for foreign currency or foreign

currencylinked debt; an extension of the maturity

profile of the debt portfolio at a reasonable cost; the

assignment of maturity brackets that avoid a

bunching of refinancing need; and a widening of

the investor base through attracting foreign

investors into the domestic debt market. The task is

operationally complex and requires debt managers

to make difficult trade-offs.

In an ideal world, debt managers would be able to

issue the low-cost paper demanded by foreign

investors through a liability structure in which

their exit is negatively-or weakly- correlated with

macroeconomic risk factors or exit triggers for

other investors. If this is not possible, the low

issuance cost may come at a heavy price in terms of

riskiness of the debt sold to foreign investors.

Depending on the country and the point in the

business cycle, this could be very risky. The volume

and nature of foreign investors' presence in the

domestic debt market needs to be carefully assessed

in raising and managing public debt. In addition to

strategic improvements through a long-term plan

of action, debt managers play an important role in

s t a b i l i z i n g m a r k e t s t h ro u g h t a c t i c a l

decisions/interventions in the market.

The linkage between government finances and

financial stability becomes painfully apparent

during recessions triggered by a financial crisis. It is

especially apparent for banks, which typically (need

to) hold an adequate quantity of government paper

due to several reasons: to conserve on equity capital

funding cost, as the risk weight on this investment

is typically nil; to meet the regulatory and internal

risk limits on liquidity buffers; and to meet

regulatory constraints concerning asset classes

eligible for investment of regulatory capital

instruments. In an upswing, the quality of financial

ARTICLE SUMMARY

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institutions' exposure to the government is high, as

public bonds carry low default, extension, and

liquidity risk. While in a downswing, especially in

the case of a recession triggered by a financial sector

dislocation, maintenance of the asset quality of the

government's liabilities, although far more elusive,

is much more critical in containing adverse

developments in the real and financial sectors

In general, the presence of a well-functioning

government debt market helps build and develop

efficient financial markets and inhibits the

sovereign's ability to conduct effective

countercyclical macroeconomic-financial policy. A

sound financial market allows a country's savings

to be channeled into investments in a more

effective way. More efficient financial markets also

allow for longer-term loans for individuals and

companies and help boost investment in a more

stable way, allowing the financial system to

promote an efficient allocation of capital and

transformation of maturities. Market participants

typically reassess the risk of public liabilities with

potentially rapid and substantial ratings

downgrades, which limit borrowing capacity

because of the narrowing of the investor base and

the increase in issuance cost. It also exacerbates

pressure on financial institutions' balance sheets,

incomes, and capital reserves, particularly where

marking to market of government securities in

financial institutions' portfolios implies

reductions in income and through an increase in

the risk weight - for banks using advanced Internal

Ratings Based (IRB) methodologies under Basel-II -

a reduction in capital. Finally, from an investors'

perspective, market pessimism can narrow the

investor base for the sovereign's issues, which may

translate into reduced liquidity of public debt.

Analytically, financial stability can be viewed as a

function of the level of the debt stock, the debt

profile, the investor base, the stage of development

of the capital market, and institutional factors.

Higher levels of debt trigger policies for mitigating

possible higher inflation rates and the sovereign's

credibility becomes less ensured in the eyes of

international investors, which could result in

higher volatility caused by difficulties in

refinancing government debt, which in turn could

trigger wider financial instability. The higher stock

also entails a higher probability of affecting the

prices of financial assets, correspondingly

influencing the soundness of the financial sector

balance sheet.

Debt structures relying heavily on short-term

instruments are sources of vulnerability because

short average maturities entail high rollover and

refinancing risk and adverse fiscal impact. Debt

structures that are too short or allow for bumps in

the maturity profile can potentially generate

confidence crises, fueled by investors' concerns that

the government will not have sufficient funds to

redeem maturing bonds when they fall due.

Depending on the extent of these fears, they could

translate into lower demand for the country's

instruments in auctions, thus triggering a self-

fulfilling prophecy.

The maturity of a debt structure is instrumental for

financial stability. As the short-term debt involves

higher refinancing risk which could pose a higher

risk to the financial stability of the country, a fixed-

rate and long-term bond portfolio could be the

ideal debt structure. However, fixed rate bonds pose

less risk to the government but may represent a

higher risk to the investor as longer-term debt may

represent higher value at risk (VaR) for the debt

.

ARTICLE SUMMARY

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ARTICLE SUMMARY

holder. If individual investors, in search of higher

profits, increase their exposure to interest rate risk

and there is a hike in interest rates, the market as a

whole may suffer, because the unwinding of

positions by some institutions may trigger VaR

thresholds for others. Therefore debt managers

should be aware of and try to monitor this risk and

to combat this situation. During the same period,

the government increases issuance of floating rate

bonds.

As the investor base usually comprises banks,

mutual funds, pension funds, and foreign and

retail investors, the debt managers must strike the

right balance between meeting the specific needs of

each of these groups of investors and reducing the

costs to the government. They can play a

preemptive role in developing the investor base

further, by issuing instruments targeted at a

specific group of investors and by working on

increasing a specific group's participation in the

debt or in particular instruments. The inclusion of

foreign investors in the investor base can reduce

vulnerabilities associated with public debt as they

are usually less risk averse and tend to hold longer-

term instruments. However, countries with a high

concentration of foreign investors are more

susceptible to financial crises, given that such

investors are less committed to these assets.

Other institutional aspects for financial stability

are efficient risk-free benchmark instruments, a

well defined legal framework, proper coordination

between debt management and monetary policy,

transparent communicational setup and risk

mitigation policies. The issuance of an efficient

“risk-free” yield curve can serve as a reference point

for pricing other instruments issued by financial

enterprises or corporations and thus reduces

systemic risks stemming from the financial sector.

Such benchmark instruments can serve as efficient

collateral for operations in the financial market

that reduces the transaction risk of institutions

which can use these instruments to offset credit

risk. A well-defined legal framework and proper

coordination between debt management and

monetary policy results in better signaling of

government intentions and increases transparency.

Concluding the paper suggests that the a debt

management strategy should be carefully analyzed

by debt managers and policy makers in terms of

their impact on the government's balance sheet,

macroeconomic developments, and the financial

system.

Source: www.imf.org

BRIEFING

WHAT'S NEW

InternationalDevelopments

• The People's Bank of China raised the reserve ratios by 50 basis points

starting January 20, the fourth increase in two months.

• The Bank of Korea raised the seven-day repurchase rate by a quarter of a

percentage point to 2.75% and announced plans to freeze utility costs and

cut food tariffs.

• Federal Reserve Chairman Ben S. Bernanke said the central bank is doing its

best to minimize the burden of regulations on smaller banks that don't pose

risks to the financial system.

• Federal Reserve policy makers said that improvements in the economy

didn't meet the threshold for scaling back their plans to purchase $600

billion in bonds.

• European Central Bank President Jean-Claude Trichet said the central bank

can't be relied on to offset government irresponsibility and called for “more

ambitious” efforts to reform fiscal rules.

• The European Central Bank threw Portugal a temporary lifeline by buying

up its bonds, as market and peer pressure mounted for Lisbon to seek an

international bailout soon.

• Brazil's central bank set reserve requirements on short dollar positions held

by local banks in its third attempt since October to stem a rally in the

currency.

• Standard & Poor's cut Japan's long-term sovereign debt rating for the first

time since 2002, saying the country's government lacked a coherent plan to

tackle its mounting debt. It reduced the rating by one notch to AA minus -

three levels below the highest possible rating.

• Standard & Poor's and Moody's investor service warned that US will loose its

'AAA' rating if its national debt kept growing.

• China ($14.8 trillion economy) over took the US ($14.6 trillion economy) as

the world's biggest economy when measured in terms of purchasing power.

• The U.S. GDP grew at a 3.2% annual rate in the fourth quarter of 2010 as

consumer spending climbed by the most in more than four years.

• China's growth accelerated to 9.80% in the fourth quarter as industrial

production and retail sales picked up, adding pressure on policy makers to

keep raising interest rates. The economy expanded 10.30% in 2010, the

fastest pace in three years. CPI eased to 4.60% in December but rose 3.30%

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for 2010 as a whole, breaching the government target of 3%.

• As per the Office for National Statistics, British GDP fell 0.50% after

increasing 0.70% in the previous quarter.

• As per the European Union's statistics office, GDP in the euro region rose

0.30% in the third quarter instead of 0.40% reported on December 2, 2010.

Euro-area consumer prices rose 2.2% in December from a year earlier after

increasing 1.9% in November.

• German GDP jumped 3.60% in 2010, the most since data for a reunified

Germany began in 1992, after slumping 4.70% in 2009.

• The IMF raised its forecast for global economic growth this year to 4.40%.

Expansion next year is projected to reach 4.50%.

• Capital inflows, a driving force of the recovery in emerging countries, now

pose risks to global growth as they can trigger abrupt currency fluctuations

that may do lasting damage to some nations, the World Bank said. It left its

growth forecast for the world's economy this year unchanged at 3.3%, from a

revised 3.9% in 2010.

• According to the IMF, Europe has yet to allay investor “skepticism” about

the sustainability of the region's debt, and any spread of the crisis would

cloud global economic prospects.

• The Basel Committee on Banking Supervision has stated that debt securities

of banks must be capable of being written off or converted into common

stock in a crisis if they were to count towards a lender's capital before any

public money was used.

• Prime Minister Jose Socrates said that Portugal had no plans to seek aid,

while the Bank of Portugal forecast the economy would shrink 1.3% this year

as austerity measures crushed internal demand - in sharp contrast to the

government's projection that exports would help GDP to grow 0.2%.

• European Parliament members proposed more automatic sanctions on high-

deficit nations.

• Japan plans to buy bonds issued by Europe's financial-aid funds, its finance

minister said, joining China in assisting the region as it battles against a

fund- raising crisis that prompted bailouts of Ireland and Greece.

• The U.S. trade deficit unexpectedly shrank 0.30% to $38.3 billion in

November as growing global demand and a weaker dollar help boost overseas

sales.

• China reported a less-than-forecast $13.1 billion trade surplus for December.

InternationalDevelopments

WHAT'S NEW

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WHAT'S NEW

• China's foreign-exchange reserves climbed 18.70% to a world-record $2.85

trillion at the end of 2010 from a year earlier and domestic lending exceeded

the government's full-year target.

• Japan's current account surplus narrowed 15.7% from a year earlier to about

$11 billion in November, the first decline in three months after import

growth accelerated.

• Japan's deflation eased in December as consumer prices declined 0.4% from a

year earlier and the job market strengthened, supporting the central bank's

view that the economy may pick up this quarter.

• As per the Office for National Statistics, consumer prices in the UK rose

3.7% from a year earlier after a 3.3% increase in November.

• European inflation accelerated 2.20%, the fastest pace in more than two years

in December, led by surging energy costs.

• US President Barack Obama and Chinese President Hu Jintao vowed to work

to find common ground as the two countries announced $45 billion in

export deals.

• U.S. Treasury Secretary Timothy F. Geithner said the Obama administration

will continue to press China to allow the yuan to rise so that companies

around the world can compete fairly.

• China said that it would welcome assurances on the safety of its financial

assets in the United States.

• US Treasury secretary Timothy F Geithner said China needs to strengthen the

'substantially undervalued' yuan because it puts other countries at a

competitive disadvantage.

• The yuan exchange rate is not the main cause of the trade imbalance between

China and the US, the Chinese foreign ministry said while adding that China

was committed to proceeding with yuan exchange rate reform.

• The United States may hit the legal limit on its ability to borrow by March 31

and faces serious consequences unless the Congress acts by then to raise it,

Treasury Secretary Timothy Geithner said.

• Japan's top government spokesman said the country's fiscal situation is

“approaching the edge of a cliff”.

• China will let companies invest overseas in yuan in the latest move to expand

the currency's international role and curb dependence on the dollar.

• France, Germany, the U.S. and the U.K. need to control their spending on

InternationalDevelopments

WHAT'S NEW

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• India's fiscal deficit during April-December 2010 was 1,71,249 crore and

represented a decline of 44.75% over the fiscal deficit of 3,09,980 crores in

April-December 2009. The fiscal deficit during accounted for 44.90% of the

budgeted estimates of 3,81,408 crore for 2010-11.

• India's export grew by 36.40% in December 2010 to $22.50 billion from

$16.49 billion in December 2009, while imports declined by 11.10% to $25.13

billion from $28.25 billion in December 2009. The trade deficit for April-

December 2010 at $82.02 billion was higher than the $80.13 billion during the

corresponding period in the previous year.

• The Index of Industrial Production (IIP) registered a growth of 2.70% in

November 2010 compared with 11.30% in November 2009. The IIP for

October was revised upwards to 11.30% from 10.80%. The IIP registered a

growth of 9.50% in April-November 2010 compared to 7.40% in the previous

year.

• The Index of Six core industries having a combined weight of 26.70% in the

IIP, registered a growth of 6.6% (provisional) in December 2010 compared to

6.20% registered in December 2009. During April-December 2010-11, six core

industries registered a growth of 5.3% (provisional) as against 4.7% during the

corresponding period of the previous year.

• India's holding of US Treasury Securities at the end of November 2010 stood

at $40.7 billion vis-à-vis $41.1 billion at the end of October 2010.

• The annual rate of inflation, based on monthly WPI, stood at 8.43% for the

month of December 2010 as compared to 7.48% (provisional) for the previous

month and 6.90% during the corresponding month of the previous year.

`

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Indian Economy

pensions and health care to keep their debt burdens stable over the long

term, Moody's Investors Service said.

• The U.K. economy faces a 20 percent chance of slipping into another

recession as rising unemployment and faster inflation weigh on growth, the

Centre for Economics and Business Research said.

• Japan's government raised its assessment of the economy for the first time

since June, as global demand encourages companies to step up output.

• As per the World Bank, higher food prices pose a major threat to the global

economy and social stability but policymakers must not over-regulate

commodity markets.

• World food prices rose to a record in December on higher sugar, grain and

oilseed costs, the United Nations said, exceeding levels reached in 2008.

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WHAT'S NEW

• The wholesale-price index rose 8.43% in December from a year earlier after a

7.48% increase in November.

• India's annual inflation rate based on consumer price index (CPI) for

industrial workers surged to 9.47% in December from 8.33% in November as

food items became costlier.

• India received FDI of $1.6 billion in November 2010, down 7% from the

$1.72 in same month last year.

• FDI inflow in the services sector dipped by 30% to $2.16 billion in April-

October this fiscal.

• Import of sensitive products increased 14% to 40,499 crore in the April-

October 2010 period and amounted to 4.6% of the country's total imports

during the period.

• Direct tax collections in the first nine months (April-December) of the

current financial year increased 19.47% to touch 2,98,958 crore, compared

with 2,50,232 crore in the corresponding period of 2009-10.

• Finance Minister, Mr Pranab Mukherjee, raised the collections targets for

direct tax by 4% to 4.47 lakh crore and for indirect tax by 7% to 3.37 lakh

crore for the current financial year.

• Finance minister Pranab Mukherjee said that India's economic growth may

have climbed back to a higher trajectory but main concerns now are inflation

and capital inflows.

• Finance minister Pranab Mukherjee said the “normal monsoons” this year

would help the agriculture sector to expand at a spectacular 6% this financial

year, up from a meager 0.2% last fiscal.

• The finance ministry said the average annual inflation during the current

fiscal will jump to 9%, which is more than double the figure of 3.8% recorded

a year ago.

• Petroleum Minister Murli Deora said that the government has indefinitely

deferred a hike in diesel rates despite soaring crude oil prices to prevent a

further increase in prices, particularly of food items.

• The Prime minister's economic panel said inflation, is likely to come down to

7% for December and decline further to 6-6.5% by the end of this fiscal as

against the earlier estimate of 5.50%.

• Chief economic advisor Kaushik Basu said that India's fast-growing economy

will have to live with a spike of up to 2% in the annual headline inflation rate,

translating into a new comfort range of 6-7% for inflation for the long-term

against last-decade's around 5%.

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WHAT'S NEW

• Crisil in its report titled “'India-Raising the Growth Bar” said that India's

domestic demand will enable it to maintain 8.4% annual growth over the next

five years. If some supply-side issues are addressed, it can sustain a 10%

growth.

• Investment bank Nomura in its India 2011 strategy note titled 'Under the

Weather', nudged down the GDP growth forecast for India to 8% for the year

to March 2012 from 8.10%.

• As per analysts with the Royal Bank of Scotland, India is not ready for 9%

growth in current circumstances and the recent decline in WPI inflation

should not be equated with decline in prices.

• Goldman Sachs said that the high deficit number supports the view that

rising current account deficit being financed by short-term capital flows

remains the biggest risk to India's growth story.

• BNP Paribas expects that 2011 is likely to be a year of two halves for India:

muted performance by the market in the first half and strong recovery in the

second half.

• IMF expects Indian economy to grow by 8.8% during the current financial

year, up from 7.4% a year ago, mainly driven by robust growth in farm sector

and pick up in consumption.

• Data released by the US Department of Commerce show that India's exports

to the US were more or less unaffected by recession.

• Marking a robust year for deal activities, mergers and acquisitions involving

Indian companies trebled to $68.3 billion in 2010 compared with the

previous year, according to global consultancy Ernst & Young.

• The government announced a 14-point menu to tame food inflation but said

it has limited leverage over vegetables and fruit.

• Concerns over rising food prices has led Standard Chartered Bank to revise its

outlook on India's inflation to 8.3% from 7%, while Citi now estimates

December inflation to touch 8.4% compared with its earlier estimate of 7.5%.

• The Prime Minister's Economic Advisory Council (PMEAC) revised upward

the March-end inflation forecast to 7% from 6.5% estimated earlier.

• Sebi has allowed stock exchanges to introduce derivatives contracts in global

indices in their equity derivatives segments.

• The government has directed all retirement funds to trade in debt

instruments on exchanges compulsorily and has set a deadline of February 28

for pension funds to report all bond purchases on BSE, NSE, or with the

FIMMDA.

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WHAT'S NEW

• Shri Anand Sinha took over as the Deputy Governor of the Reserve Bank of

India.

• From January 3, 2011, the Reserve Bank of India will place on its website, the

public engagement schedule of the Governor and the Deputy Governors.

• RBI has asked banks to allow only one transaction at ATM machines for one

entry of PIN (Personal Identification Number).

• Banks have been permitted to change the benchmark and methodology used

in the computation of Base Rate for a further period of six months i.e. upto

June 30, 2011.

• The deadline for adoption of security issues and risk mitigation measures

related to card not present transactions has been extended by one month upto

January 31, 2011.

• RBI notified the prudential guidelines for parallel run and prudential floor

for capital adequacy and market discipline under the New Capital Adequacy

Framework (NCAF).

• The guidelines on listing and rating requirements pertaining to non-SLR

securities would not be applicable to banks' investments in Non-Convertible

Debentures (NCDs) of maturity up to one year.

• RBI has decided to extend the scope of 'Speed Clearing' to cover all transaction

codes, other than those relating to government cheques.

• RBI has notified the modifications in the regulatory framework for core

investment companies (CICs).

• RBI issued the directions for monitoring of end use of funds.

• Banks have been directed not to issue Tier 1 or Tier 2 capital instruments with

'step-up option'.

• RBI notified the modified norms regarding opening of small accounts.

• RBI has allowed more participants in the currency futures and the exchange

traded currency options market.

• India has voluntarily asked the IMF and the World Bank to conduct a

comprehensive and in-depth analysis of the country's financial sector, Finance

Minister Pranab Mukherjee said.

• The World Bank has raised its single-country loan exposure limit for India to

$17.5 billion from $15.5 billion.

• The Budget session of Parliament will begin on February 21 and the Union

Budget for 2011-12 will be presented on February 28.

Reserve Bank of India:(Source: http://rbi.org.in)

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WHAT'S NEW

• RBI has notified the revised service charge structure for cheque collection

effective from April 1, 2011.

• RBI has decided to extend the timings for Centralised Funds Management

System (CFMS).

• Central Processing Centres (CPCs)/Service branches have been directed not to

have direct interface with customers.

• UCBs have been directed to follow “Settlement Date” accounting for

recording both outright and ready forward purchase and sale transactions in

Government Securities.

• RBI released the draft guidelines on advanced measurement approach (AMA)

for calculating operational risk capital charge.

• RBI released on its website the “Discussion Paper on Presence of Foreign Banks

in India”.

• RBI released on its website the report of the sub-committee of its Central Board

of Directors under the Chairmanship of Shri Y H Malegam to study issues and

concerns in the micro finance institutions sector.

• RBI has given certain relaxations to banks in its present restructuring

guidelines in order to enable them to extend credit support to micro finance

institutions (MFIs).

• RBI has invited views/comments of all stakeholders and the public at large on

the Malegam Committee report on microfinance institutions (MFIs).

• RBI has placed on its website the report of the Working Group on information

security, electronic banking, technology risk management, and cyber frauds.

• RBI has launched the twelfth round of its 'Order Books, Inventories and

Capacity Utilization Survey'.

• RBI has launched the 53rd round of the Industrial Outlook Survey for

reference period Jan-Mar 2011.

• The exposure of State Co-operative Banks & Central Co-operative Banks to

housing finance would henceforth be limited to 5% of their total assets.

• NBFCs have been directed to make a general provision at 0.25% of the

outstanding standard assets.

• RBI notified the modified prudential guidelines on restructuring of advances

by AIFIs.

• RBI has entered into a Supplementary Agreement under Section 21A of the

Reserve Bank of India Act, 1934 with the Government of Jammu & Kashmir.

Reserve Bank of India:(Source: http://rbi.org.in)

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REPORTS

World Economic Outlook - Update

Global activity expanded at an annualized rate of

just over 3½ percent in the third quarter of 2010

owing to better than forecast in the October 2010

WEO, owing to stronger-than expected

consumption in the United States and Japan.

Growth in emerging and developing economies

remained robust in the third quarter, buoyed by

we l l - en t renched pr i v a t e demand , s t i l l

accommodative policy stances, and resurgent

capital inflows.

Activity in the advanced economies is projected to

expand by 2½ percent during 2011-12, which is still

sluggish considering the depth of the 2009

recession and insufficient to make a significant

dent in high unemployment rates. In both 2011

and 2012, growth in emerging and developing

economies is expected to remain buoyant at 6½

percent, a modest slowdown from the 7% growth

registered last year. Developing Asia continues to

grow most rapidly, but other emerging regions are

also expected to continue their strong rebound.

Prices for both oil and non-oil commodities rose

considerably in 2010, in response to strong global

demand but also to supply shocks for selected

commodities. Upward pressure on prices is

expected to persist in 2011, due to continued robust

demand and a sluggish supply response to

tightening market conditions. As a result, the IMF's

baseline petroleum price projection for 2011 is now

$90 per barrel. Consumer prices in emerging

economies are projected to rise 6 percent this year,

while that for advanced economies inflation is

expected to remain at 1½ percent this year.

Downside risks arise from the possibility of

tensions in the euro area periphery spreading to the

core of Europe; the lack of progress in formulating

medium-term fiscal consolidation plans in major

advanced economies; the continued weakness of

the U.S. real estate market; high commodity prices;

and overheating and the potential for boom-bust

cycles in emerging markets. On the upside, there are

risks from stronger-than-expected business

investment rebounds in major advanced

economies. Another downside risk stems from

insufficient progress in developing medium-term

fiscal consolidation plans in large advanced

economies. In emerging economies, key risks relate

to overheating, a rapid rise of inflation pressures,

and the possibility of a hard landing. In the near

term, upside risks to growth have risen, driven by

accommodative policies, strong terms-of-trade

gains for commodity exporters, and resurgent

capital inflows.

In the advanced economies, there is a need for

continued progress to repair and reform financial

systems. In the near term, emerging signs of a

handoff from public to private demand in many

large advanced economies suggests that countries

can push forward in formulating and

i m p l e m e n t i n g c r e d i b l e m e d i u m - t e rm

consolidation plans. At the same time, monetary

accommodation needs to continue in the advanced

REPORTS

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REPORTS

economies. Monetary tightening should begin or

continue in emerging economies where

overheating pressures are starting to emerge.

Further, prudential measures to keep increases in

credit or asset markets from becoming excessive

should also be considered. For emerging countries,

with real effective rates close to pre-crisis levels,

allowing the currency to appreciate would help

combat overheating pressures and facilitate a

healthy rebalancing from external to domestic

demand. In other countries where the currency is

above levels consistent with medium-term

fundamentals, fiscal adjustment can help lower

interest rates and restrain domestic demand.

Source: www.imf.org

D i l e m m a s i n C e n t r a l B a n k

Communication: Some Reflections Based

on Recent Experience; Second Business

Standard Annual Lecture delivered by Dr.

Duvvuri Subbarao, Governor, Reserve Bank

of India, at New Delhi on January 7, 2011

Dr. Subbarao begins by stating that it is standard

practice for central banks these days to indicate

the policy rates, the rationale behind the policy

action, the expected outcomes, and oftentimes to

give forward guidance on future policy actions.

While communicating policy after it is made is the

standard mode of communication, central banks

are also increasingly taking to communication

before policy action-the market does not like

unexpected news, and that surprises should be

avoided unless surprise is, in rare circumstances,

part of the strategy itself.

According to him, sometimes, communication,

instead of being a vehicle for policy, can be the

policy itself. Communication can be a potentially

powerful tool for getting feedback when the

implications and the impact of proposed policy

are uncertain. He also states that eliciting views

and feedback is now standard practice for most

policy decisions of the Reserve Bank of India

(RBI).

Yet another factor that has motivated central

banks into placing larger emphasis on

communication is their hard earned autonomy in

the years before the crisis. Central banks have

i n c r e a s i n g l y e m b r a c e d m o r e o p e n

communication to counter the criticism that an

autonomous central bank comprising unelected

decision makers was inconsistent with a

democratic structure.

Dr. Subbarao puts forward some of the

communication dilemmas and challenges faced

by the RBI in the recent period. He states that by

the time of the second quarter review in early

November 2010, the RBI had already raised policy

interest rates five times. The central issue before

this policy review was whether it should continue

on the tightening spree or pause before resuming

tightening later on. Inside the Reserve Bank, the

view was that within the policy trajectory, it did

not matter if one paused briefly as long as the RBI

remained committed to the eventual outcome.

T h e d i l e m m a t h e n b o i l e d d o w n t o

communicating to the market that the RBI action

should be interpreted only as a comma and not a

full stop.

Central banks have learnt that giving forward

guidance on the policy trajectory is an effective

way of managing market expectations; but the

forward guidance is typically conditional on

certain expected macroeconomic developments.

The dilemma then is how precisely is the

conditionality to be communicated, and how to

ensure that the market does not ignore the

conditionality and interpret the guidance as an

irrevocable commitment.

Dr. Subbarao pointed out the additional dilemma

in differentiating between 'neutral' & 'normal'

target policy rates. Another frequent dilemma

faced by the RBI is about how much of the

uncertainty surrounding a policy decision should

be communicated. He puts forward an example

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for illustration. The Reserve Bank conducts a

quarterly inflation expectations survey based on a

sample of respondents, since September 2005. By

2009 there was a growing view within the Reserve

Bank that the results of the survey should be

'communicated' to the public on the principle

that, as far as possible, there should be no

information asymmetry between the public and

the RBI. The real communication dilemma

emerged over the question whether the RBI will be

able to convey the arms length relationship

between the 'Reserve Bank' and the 'Reserve Bank

Survey', and make the broader public appreciate

that the survey results are the opinion of the

respondents and not of the Reserve Bank.

According to Dr. Subbarao, communication

dilemmas arise not just in the domain of monetary

policy but also with respect to other dimensions of

the Reserve Bank's work, for instance on the

guidelines over the issuance of new banking

licenses. With respect to Basel III framework, Dr.

Subbarao feels that the communication challenge

is to educate the market on the Basel III notion of

buffers and their manner of use so that these

safeguards function the way they are intended to.

The second communication challenge comes from

the 'comply or explain' framework under which

countries have the option to deviate from certain

components of the package and explain why they

have deviated. The concern really is that the

market, known for its unfailing ruthlessness, will

penalize any deviation, and the communication

challenge for regulators is to persuade the markets

to evaluate the country's compliance based on the

explanation.

The Basel Committee on Banking Supervision

(BCBS) and the Financial Stability Board (FSB) are

currently engaged in devising a framework for

regulating and supervising systemically important

financial institutions (SIFIs). Under the

arrangement presently under discussion, SIFIs will

be pre-identified on the basis of some defined

criteria and subjected to graded prudential

surcharges and other safeguards. These are

intended to eliminate the moral hazard, reduce

their systemic risk potential, and should it become

inevitable, allow them to fail in an orderly

manner. The intent is to pre-identify SIFIs for the

purpose of greater supervision but not to disclose

the list as that would accentuate the moral hazard.

The dilemma is how the market might actually

respond to this deliberate non-transparency.

Dr. Subbarao continues that greater transparency

is not always better communication and white

noise often complicates understanding; and that

central banks may sometimes withhold

information for strategic reasons. However, he

argues that the RBI has, however, progressively

moved towards greater disclosure in line with

international best practices, and is among 68

central banks from around the world to have

adopted the Special Data Dissemination

Standards (SDDS) template for publication of

detailed data on foreign exchange reserves,

including some information on currency

composition, investment pattern and forward

positions.

Dr. Subbarao feels that the media has been an

effective intermediary between the Reserve Bank

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SPEECHES

and its stakeholders; however, there are ways in

which it can become even more effective. He

suggests that the media will probably be more

effective and value adding if it allows time for

digesting the news and thinks through before

'analysis and interpretation', and does some

research before coming out with 'opinion'. Also,

more stringent quality control will make the

media a more useful and effective 'news

intermediator'. The media has a responsibility also

for broad basing its reporting; and should opt for

restraint instead of sensationalism.

In his conclusion, Dr. Subbarao states that it is the

continuing endeavour of the RBI to communicate

in a clear manner so as to minimize scope for

misinterpretation; in an effective manner so that

the diverse target groups get the relevant

information and message; and also in an honest

and consistent manner such that people can link

its policies and action to past trends and future

projections.

Source: www.rbi.org.in

Centrality of banks in the financial system:

Address by Shyamala Gopinath, Deputy

Governor, RBI at the 12th FIMMDA-PDAI

Annual Conference, Udaipur, January 8,

2011.

The main focus of the Shyamala Gopinath speech

was on the emerging post-crisis regulatory

landscape for the financial sector i.e. Basel III

framework for banks, OTC derivative markets,

etc. She said that recent crisis was about the

centrality of banks as the supporting lifelines of

financial markets. There is a clear recognition of

the inadequacies of the regulatory approach based

on the assumption of self-contained, well

functioning markets which ignored the risks these

markets passed on to the banking system.

She mentioned two kind of financial system i.e.

bank-based and market based financial systems.

The bank-based system highlights the positive role

of banks in leveraging informational advantage

about the firms for capital allocation and ensuring

better credit discipline. In contrast, the market-

based system highlights the growth enhancing role

of well-functioning markets in fostering greater

innovation; enhancing greater market discipline

and corporate governance. Market based systems

were supposed to reduce the problem of moral

hazard inherent in bank-based systems. However,

it is increasingly being recognized that any system

is essentially an interplay of dynamic interaction

between banks and markets and right

interpretation of this interplay would be critical

for addressing systemic stability.

The two major factors which accentuated the crisis

is banks' increasing interdependence on the

capital markets because of blurring of lines

between commercial banking and investment

banking and increased recourse to 'originate and

distribute' model of asset creation and increased

reliance on wholesale, market linked funding of

balance sheets through unregulated repo market.

There was an entire set of market microstructure

which facilitated the above transition the rating

agencies, accounting standards & legal

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documentation practices. The end result of the

banks' increasing reliance on capital markets and

capital market intermediaries was an explosion in

the total size of financial markets. On the other

hand, as major market participants, it is the banks

which create and enhance market liquidity by

virtue of their participation without which it

would be difficult to envisage the success of

markets. Even the central counter parties (CCPs),

which guarantee market transactions and assume

counterparty risks through novation, ultimately

depend on banks to for the settlement guarantee

funds.

Now there is generally accepted consensus on

improving the quality of capital of banks and the

new Basel norms prescribe a higher portion of

pure equity. There are also proposals for a new

form of instruments - contingent capital - which

would be nothing but a convertible debt security

that would automatically convert into equity as

the institution's financial condition weakened.

This mandatory conversion feature means that the

debt security would not default and thus

bankruptcy would be avoided.

In India, banks balance sheets are relatively less

aligned with capital market both on the asset side

as well as liability side. Capital in the form of

subordinated debt and other non-equity

instruments constitutes only around 38 per cent of

total capital. Also, there are prudential limits on

banks' reliance on short-term funding markets.

The overnight unsecured market for funds is

restricted only to banks and primary dealers (PD)

and for these too there are limits on both lending

as well as borrowing. Inter-bank liabilities in all

forms for any bank have to be within 200 percent

of its net-worth. Access to collateralized segments

such as market repo and CBLO is contingent on

the availability of securities, which is floored by

the SLR requirements. On the asset side,

investment activities of banks are based on

following fundamental guiding principles: (i)

Nature of different credit exposures is different

and all exposures cannot be treated on par (ii)

Underlying intent and spirit of a particular

transaction is more relevant than the form (iii)

Contamination risks arising from off-balance

sheet activities need to be contained.

She admitted that it is impossible to have a

straightjacket framework for scope and nature of

banks' involvement with market-based systems

such as corporate bond market, securitization,

issuance of Irrevocable Payment Commitments by

banks to stock exchanges, issue of structured forex

derivatives by banks and Credit Default Swap

(CDS).

In her conclusion, Shyamala Gopinath said that

the migration from the conventional bank based

model to a market based model has not

diminished the importance of banks in the

financial system. In fact, with higher growth in the

financial markets, the responsibilities cast on the

banks are on the increase. She underlined seven

broad issues that need to be addressed in the

Indian context going forward: (i) How to

strengthen capital requirements for market risk

when most banks are on Standardised Approach?

(ii) How to strike a balance in regard to fee-based

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revenue streams of banks? (iii) How to address

conflicts of interest in banks' lending

relationships and capital market activities? (iv)

How to strengthen the rating regime? (v) How to

address excessive collateralisation of balance

sheets? (vi) How to increase the appetite for credit

risk among non-bank institutional investors? (vii)

How to encourage true market development

without the support of banks?

www.rbi.org.in

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MARKET ROUND-UP

MARKET OVERVIEW

Macro-economic Overview

Domestic

• Fiscal stimulus announced by the government and Pay Commission awards enabled the economy to

achieve a smart recovery on both savings and investment fronts in 2009-10. Data published by the Central

Statistical Organization shows that gross capital formation - a proxy for investment - stood at 36.5% of

GDP in 2009-10 as against 34.5% in 2008-09. Despite a decrease in household savings, a rise in public and

private corporate savings pushed the overall savings rate to 33.7% in 2009-10 from 32.2% in the year

before. According to the quick estimates, the economy grew 8% during 2009-10, higher than 7.4%

provisionally estimated earlier, driven by stronger performance in manufacturing (8.8%), financing,

insurance, real estate & business services (9.2%), transport, storage and communication (15%),

community, social and personal services (11.8%). The numbers have been revised following the change

the wholesale price index with base year 2004-05 and also subsequent revision in the index of industrial

production. The country's per capita income also, grew by 14.5% to 46,492 in 2009-10 from 40,605 in

the year-ago period.

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• RBI, in its Third Quarter Review of Monetary Policy 2010-11, retained the baseline projection of real GDP

growth at 8.5% with an upside bias. IMF too revised up its projection for the Indian economy to 8.8%

during 2011 from 7.4% a year ago following robust growth in farm sector and pick up in consumption, at

the same time, raising concerns over rising prices.

• RBI started to publish data on sectoral

deployment of credit for the month.

These data are collected on a monthly

basis from select 47 scheduled

commercial banks accounting for about

95% of the total non-food credit

deployed by all scheduled commercial

banks. It shows that all major sectors,

except agriculture, recorded accelerated credit growth in December'10, both on a y-o-y and financial year

basis.

• The government's fiscal deficit in the April-December period of 2010-11 has come down by 45% to 1.71

lakh crore (drop of 15,273 crore from November'10), compared to the 3.09 lakh crore in the same period

last fiscal. Better-than-expected income from spectrum auction and a growing tax kitty are the prime

reasons for the fall in deficit figures. Besides, the government has also cut down on its expenditure further

narrowing the gap between its revenue and expenses. In absolute terms, expenditure by the government

during the three quarters rose by 11% to 7.87 lakh crore from 7.07 lakh crore in the period a year ago,

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Sectoral Deployment of Credit - December-2010

Year on Year Variation(%)

Financial Year BasisVariation (%)Sector

2009 2010 2009-10 2010-11

Non-Food Credit 11.5 23.1 5.9 11.6

Industry 15.7 27.4 11.8 14.5

Services 11.5 25.0 2.4 13.8

Agriculture 20.3 21.0 2.8 1.2

which got overshadowed by impressive growth in revenues that went up by almost 50% at 5.84 lakh crore

till December as against same period last fiscal. The government collected 3.91 lakh crore in taxes during

the nine-month period, which was 73.2% of the Budgetary target for the entire fiscal. Meanwhile, non-tax

revenue in April-December'10, stood at 1.93 lakh crore, 130.4% of the Budget estimate for the entire

fiscal, primarily on account of higher realization from the auction of spectrum. Banking on healthy

growth in direct taxes collections, the finance minister raised the revenue collection target for financial

year by 20, 000 crore to 4.5 lakh crore.

• According to the data provided by the Commerce Ministry, the country's goods exports have shot up by

36.3% in December'10 to $22.50 billion, the highest in 33 months. Imports, on the contrary, fell by 10.9%

to $25.13 billion, the lowest in the last 14 months. This resulted in trade deficit narrowing to $2.63

billion, the lowest in the last three years. The reasons for the good show by exporters were market

diversification, better demand even in traditional destinations such as the US and Europe, competitive

pricing of items with help from Government incentives as well as better marketing. Oil imports in

December fell 16% to $6.93 billion where as non-oil imports, including capital goods were up 9% to $18.2

billion. The Third Quarter Review of Monetary Policy 2010-11 expressed concern over the widening

current account deficit

(CAD) which is expected to

be almost 3.5% of GDP.

P e r s i s t e n t r i s e i n

commodity prices may pose

further risk for both the

CAD and inflation. The

combined r i sks f rom

inflation, the CAD and

fiscal situation could

contribute to an increase in

u n c e r t a i n t y a b o u t

economic stability.

• Output of six key infrastructure sectors expanded 6.6% in December'10, higher than an upwardly revised

growth of 3% in November, igniting expectations of a better factory output. The better performance in

infrastructure was driven by the robust crude oil (15.8%) and petroleum refinery sectors (8.3%). Finished

steel output rose more than 11%, but cement production contracted 2.2%, indicating a slack in

construction activity.

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Trend in Export and Import during 2010-11 (Amt. in USD Million)

Month ExportGrowth

(%)Import

Growth(%)

TradeBalance

2009-10 178665 286985 -108320

Apr-10 17278 38.5 28022 45.0 -10744

May-10 16023 30.1 26553 32.5 -10530

Jun-10 19452 43.0 25831 12.2 -6379

Jul-10 16013 11.7 26510 22.0 -10497

Aug-10 16644 22.5 29679 32.3 -13035

Sep-10 18023 23.2 27141 26.4 -9118

Oct-10 17960 21.3 27689 9.1 -9729

Nov-10 18895 26.5 27796 12.1 -8901

Dec-10 22500 36.3 25130 -10.9 -2630

2010-11 162788 244351 -81563

• Direct tax collections in the first nine months (April-December) of the current financial year increased

19.47% to touch 2.99 lakh crore (69.53% of the Budgeted target), compared with 2.50 lakh crore in the

corresponding period of 2009-10. During the period under consideration, collections from corporation

tax jumped 22.07%, where as collections of personal income-tax, including securities transaction tax

(STT), residual fringe benefit tax and banking cash transaction tax increased by 10.96%. The mop-up from

STT increased 11.97% to 5,117 crore

from 4,570 crore last year. The

government's direct tax collection

figures are now expected to go up by

an additional 20,000 crore from the

budget target of 4.3 lakh crore on

the back of rising corporate income

and improved tax compliance by

salaried individuals.

• The Centre has, during April-December, achieved three-fourths of the indirect taxes collection target for

2010-11. Overall, indirect tax collections grew 42.8% during April-December'10, at 2.37 lakh crore ( 1.66

lakh crore). Net indirect tax collections in December'10, grew 45.9% to 29,437 crore ( 20,175 crore),

higher than the collection of 27,495 crore in previous month. While customs duty collections grew

75.7%, excise duty collection for the same month grew 29.5%. Service tax collections grew 27% in

December'10, to 5,154 crore ( 4,057 crore). Boosted by higher revenue mop-up, the government has

upped indirect tax collection estimates by 7% for this fiscal, from the Budget target of 3.15 lakh crore.

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Sector-wise Growth Rate (%) in Production

1.2

11.2

-2.2

6.6

4.38.3

15.8

3.0

-3.7

-11.6

17.0

3.04.4

0.7

3.3

9.611.0

0.9

6.2

1.1

6.6

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

Crude O

il

Petro

leum

Produc

tsCoal

Electri

city

Cemen

t

Finish

edste

el

Ove

rall

Sectors

(%)

Dec-10 Nov-10 Dec-09

Direct Tax Mop-Up (Amt in Crore)`

CategoryApril-Dec

2010April-Dec

2009Growth (%)

Corporate Tax 203244 166503 22.07

Personal Income Tax* 92295 83178 10.96

Securities Transaction Tax 5117 4570 11.97

Total 298958 250232 19.47

*includes securities transaction tax, residual fringe benefit tax and bankingcash transaction tax

• The government's inflation worries do not seem

to abate. Rising food prices pushed up headline

inflation sharply to 8.43% in December'10 from

7.48% in November'10. Inflation rate for October

too was revised upwards to 9.12% from 8.58%,

indicating that prices have indeed been rising

much faster than anticipated. Inflation has been

shooting up due to domestic supply-side

bottlenecks that pushed up food prices and rising

global commodity prices. Food inflation

accelerated to 13.55% from 9.41% in

November'10, while manufacturing inflation

cooled to 4.46% from 4.56%. Fuel inflation rose to

11.19% in December (10.3% in November),

forcing government to defer a hike in diesel prices

last month.

• After five consecutive weeks of steady rise, food inflation declined to 15.52% for the week ended 8

January'11 from 18.32% for the week ended 25 December'10 following reduced prices of pulses, wheat,

potatoes and cereals.

However, high onion,

vegetables, fruits, as well as

mi l k p r i c e s pu shed

inflation once again up, to

17.05% for the week ended

22 January'11 i.e. an

increase of 1.53 percentage

points within two weeks

(note: the rise was despite

the various measures

taken by the government such as ban on exports of milk products, edible oil, pulses and non-basmati

rice). Hike in petrol prices (second time in a month) by state-owned oil companies by 2.50-2.54 per litre

on 17 January'11 also contributed to the jump in inflation rate.

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Indirect Tax Collections (Amt. in ` Crore)

Type of DutyBudget Estimate

(2010-11)Dec-09 Dec-10

Growth(%)

Apr-Dec2009

Apr-Dec2010

Growth(%)

Customs 115000 7391 12986 75.70 59402 99830 68.06

Excise 130471 8727 11297 29.45 69747 93281 33.74

Service 68000 4057 5154 27.04 36984 44081 19.19

Total 313471 20175 29437 45.91 166133 237192 42.77

Monthly Inflation Rates

Month Revised Rate (%) Provisional Rate (%)

Oct-09 1.46 1.34

Nov-09 5.55 4.78

Dec-09 8.10 7.31

Jan-10 9.44 8.56

Feb-10 10.06 9.89

Mar-10 11.04 9.90

Apr-10 11.23 9.59

May-10 11.14 10.16

Jun-10 11.06 10.55

Jul-10 10.31 9.97

Aug-10 8.82 8.51

Sep-10 8.93 8.62

Oct-10 9.12 8.58

Weekly Food Inflation (%)

8.00

12.00

16.00

20.00

24.00

3-A

pr-

10

17

-Apr-

10

1-M

ay-1

0

15

-May

-10

29-M

ay-1

0

12

-Jun

-10

26-J

un-1

0

10

-Jul-

10

24

-Jul-

10

7-A

ug-

10

21

-Aug-

10

4-S

ep-1

0

18

-Sep

-10

2-O

ct-1

0

16-O

ct-1

0

30

-Oct

-10

13-N

ov-1

0

27

-Nov

-10

11-D

ec-1

0

25

-Dec

-10

8-J

an-1

1

22-J

an-1

1

Date

%

• RBI, in its Third Quarter Review of Monetary

Policy 2010-11, revised upwards the baseline

projection of WPI inflation for March'11 to 7%

from 5.5%, stating that inflation outlook will

be shaped by the factors which include changes

in food price situation - both domestic and

global, movement in global commodity prices

as well as the extent of demand side pressures. To

check the further rise in inflation rate, RBI

hiked the repo and reverse repo rate under the

LAF, once again, by 25 bps each from 25

January'11 (sixth hike in 2010-11).

• Industrial output nosedived to 2.7% in

November, the slowest in 18-months, pulled

down by the dismal show in manufacturing

sector (2.32% against 12.3% a year ago),

especially consumer goods (3.1% against an

impressive 10.1% growth a year ago). IIP fell

after a robust 11.29% growth in October partly

because of the high base effect (11.3%). The

silver lining, however, is the 12.6% growth in

capital goods production, a measure of

investments taking place in the industry. This

double-digit growth is on top of the high

growth of 11% recorded the same time last year.

Consumer non-durables output declined by 6%

from a 2.3% growth during the corresponding

month previous year where as consumer

durables output expanded by a meager 4.3% in

November, from the 36.3% growth recorded a

year ago. Mining and power generation output

expanded at a rate of 5.97% and 4.6%

respectively.

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Movement in Key Policy Rates

Effective SinceReverse

Repo RateEffective Since Repo Rate

8-Dec-08 5.00 12-Jun-08 8.00

5-Jan-09 4.00 25-Jun-08 8.50

5-Mar-09 3.50 30-Jul-08 9.00

21-Apr-09 3.25 20-Oct-08 8.00

19-Mar-10 3.50 3-Nov-08 7.50

20-Apr-10 3.75 8-Dec-08 6.50

5-Jul-10 4.00 5-Jan-09 5.50

27-Jul-10 4.50 5-Mar-09 5.00

16-Sep-10 5.00 21-Apr-09 4.75

2-Nov-10 5.25 19-Mar-10 5.00

25-Jan-11 5.50 20-Apr-10 5.25

5-Jul-10 5.50

27-Jul-10 5.75

16-Sep-10 6.00

2-Nov-10 6.25

25-Jan-11 6.50

Growth of Industrial Production (in per cent)

Category Nov'10 Oct'10 3 Months ago 6 Months ago Year ago

SECTORAL

General 2.70 11.29 6.90 11.30 11.30

Mining 5.97 6.50 7.00 8.70 10.70

Manufacturing 2.30 11.30 5.90 12.30 12.30

Electricity 4.60 8.80 1.00 6.40 1.80

USE-BASED

Basic goods 4.50 7.70 3.70 7.90 6.00

Capital goods 12.60 22.00 -2.60 34.30 11.00

Intermediate goods 2.40 9.50 10.00 10.20 19.40

Consumer goods -3.10 9.60 6.90 8.20 10.10

Consumer durables 4.30 31.00 26.50 23.70 36.30

Consumer non-durables -6.00 0.10 -1.20 2.40 2.30

International

The average crude oil prices remained steady near

$89 per barrel during the month when compared to

December'10. The first week of January'11 saw

crude oil prices easing to $88.68 per barrel from

$91.69 a barrel following strengthening of US

dollar against major international currencies and

rise in US oil inventories. However, by 13

January'11, crude oil prices bounced back to the

month high of 91.98 per barrel as an Alaskan

pipeline carrying about 15% of US crude output

was shut following a leak. After fluctuating in a

range of $91-$91.59 per barrel till 20 January'11,

various factors such as sharp rise in jobless claims

in US against a forecast for a slight drop, hike in

lenders' reserve requirements by 50 bps by China,

restoration of Alaskan pipeline led crude oil prices

to drop to $85.57 per barrel (28 January'11). Rising

by around $4 per barrel in the very next trading

session, crude prices ended the month at $89.55 a

barrel as concerns over anti-government protest in

Egypt spreading to the West Asia and disrupting

supply heightened.

The IMF, in its World Economic Outlook, raised

the forecast for global economic growth for 2010,

2011 and 2012 to 5%, 4.4% and 4.5% respectively

from the October's prediction. According to the

IMF, a bill signed into law by President Barack

Obama on 17 December'10 that extends for two

years and renews emergency jobless benefits will

help the US grow 3% in 2011, the fastest of Group

of Seven economies before slowing to 2.7% next

year. Estimates for the euro area were unchanged at

1.5% for 2011 and were cut to 1.7% in 2012. Japan is

now seen growing 1.6% and 1.8% next year. Urging

emerging countries to closely watch the rise of asset

price bubbles following increase in inflation risks,

IMF expressed concern over growth slowdown in

China and India when compared with 2010. The

fund left the forecast for China unchanged at 9.6%

and held India's growth outlook at 8.4% for 2011.

The World Bank left growth forecast for the world

economy in 2011 unchanged at 3.3%, from a

revised 3.9% in 2010, reflecting capacity constraints

in developing nations and restructuring in

developed economies, which will be followed by

faster growth of 3.6% in 2012. Rising commodity

prices seen as one of the major threats in the short

term to global growth. It expects capital inflows, a

driving force of the recovery in emerging countries,

now pose risks to global growth as they can trigger

abrupt currency fluctuations. According to the

bank, developing economies accounting for 46% of

global growth during 2010 will continue to lead,

with forecast expansion of 6% in 2011, down from

7% in 2010. China's growth could slow to 8.7% this

year from 10% in 2010 where as India will grow

8.4%, down from 9.5% last year. High-income

nations are expected to expand 2.4%, from 2.8% last

year with the Euro region growing 1.4% (1.7% in

2010) as well as U.S. by 2.8% in 2011 with strong

domestic demand growth. Expansion in Japan

could slow to 1.8% from an estimated 4.4% in 2010.

The US economy accelerated in the fourth quarter

of 2010 to 3.2% as consumer spending climbed by

the most in more than four years and on strong

exports. During 2010, the world's largest economy

expanded 2.9%, the most in five years, after

shrinking 2.6% in 2009. However, Moody's

Investors Service warned that lack of US

government action on the budget deficit increases

the likelihood of a negative outlook on the

country's top AAA credit rating. Europe's economy

expanded less than initially estimated in the third

quarter as companies trimmed spending to weather

the region's worsening debt crisis. GDP in the euro

region rose 0.3% from the second quarter instead of

0.4% reported on 2 December'10. The Bank of

Japan raised its growth forecasts for the year

through March and predicted faster inflation as

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strength in overseas demand bolsters exports and

pushes up commodity prices. Japan's economy may

expand 3.3%, raising the estimate from 2.1% in

October. Ignoring the government's hope of

economic recovery, Japan's long-tem sovereign debt

rating was cut for the first time in nine years by

Standard & Poor's as persistent deflation and

political gridlock undermine efforts to reduce a 943

trillion yen ($11 trillion) debt burden. The world's

most indebted nation is now ranked at AA-, the

fourth-highest level, putting the country on a par

with China. The rating agency feels that the

government lacks a “coherent strategy” to address

the nation's debt. Britain's economy unexpectedly

shrank the most in more than a year in the fourth

quarter of 2010 as construction slumped and the

coldest weather in a century last month hampered

services and retailing. GDP fell 0.5% in the three

months through December (the biggest drop since

the second quarter of 2009, when it fell 0.8%) after

increasing 0.7% in the previous quarter.

China finished 2010 with a bang, its growth soaring

past forecasts and inflation slowing less than

expected. Its growth accelerated to 9.8% in the

fourth quarter (compared with a 9.6% annual gain

in the previous three months) as industrial

production and retail sales picked up. China's

economy expanded 10.3% in 2010, the fastest pace

in three years; that compared with growth of 9.2%

in 2009. As per the estimates released by the World

Bank, China's GDP growth is set to slow down this

year to 8.7% and the next to below 9% from 10% in

2010 and the key challenges for the economy is to

ensure that anti-inflationary measures do not

“significantly” reduce growth.

China overtook the US last year as the world's

biggest economy when measured in terms of

purchasing power. The size of China's economy in

2010 was $14.8 trillion, compared with the US's

$14.6 trillion, when accounting for the countries'

differing costs of living.

The central banks of US, Euro, Japan, Australia, UK

and New Zealand held their respective benchmark

rates unchanged during the month. However,

People's Bank of China raised lenders' reserve

requirements within three weeks of boosting

benchmark interest rates by 50 bps w.e.f. 20

January'11 to rein in liquidity after the nation's

foreign-exchange reserves surged by a record last

quarter to $2.85 trillion and new loans breached a

2010 target.

After last month's downgrade, the ECB threw

Portugal a temporary lifeline by buying up its

bonds as market and peer pressure mounted to seek

an international bailout soon. Germany, France

and other euro zone countries were also pushing

Portugal to seek an EU-IMF assistance program,

following Greece and Ireland, in a bid to prevent

contagion spreading to the much larger Spain, the

fourth biggest economy in the euro area. Joining

China in assisting the region, as it battles against a

fund- raising crisis that prompted bailouts of

Ireland and Greece, Japan decided to use its foreign-

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GDP Growth Rate (Quarter-on-Quarter) (%)

2008:Q4 2009:Q1 2009:Q2 2009:Q3 2009:Q4 2010:Q1 2010:Q2 2010:Q3 2010:Q4

US -5.40 -6.40 -0.70 2.20 5.60 3.70 1.70 2.60 3.20

EURO 16 -1.80 -2.50 -0.20 0.40 0.00 0.20 1.00 0.30 -

Japan -10.20 -11.90 2.70 0.00 0.90 1.30 1.80 4.50 -

UK -1.80 -2.50 -0.80 -0.20 0.40 0.30 1.10 0.70 -0.50

Australia -0.50 0.40 0.60 0.30 0.90 0.70 1.20 0.20 -

China 9.00 6.10 7.10 7.70 8.70 11.90 10.30 9.60 9.80

*The volumes and the weighted rates pertaining to Saturday have been ignored in the computation of weighted average rate and the graphs for all

the segments of money market

MOVEMENT OF SHORT TERM RATES

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International Yield Movements

2.83

2.93

3.03

3.13

3.23

3.33

3.43

3.53

3-Ja

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5-Ja

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7-Ja

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11-J

an-1

1

13-J

an-1

1

17-J

an-1

1

19-J

an-1

1

21-J

an-1

1

25-J

an-1

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28-J

an-1

1

Date

%(U

S,G

erm

any)

1.121.141.161.181.201.221.241.261.28

%(J

apan

)

US 10 year bond rate Germany 10 year bond rate Japan 10 year bond rate

exchange reserves to buy more than a fifth of bonds

to be issued later in January under a special

assistance program to help Ireland.

Relatively easy liquidity conditions in the banking

system following various policy measures taken by

the RBI led short term rates to ease marginally. The

weighted average rates in the Call, Repo as well as

CBLO markets declined to 6.54%, 6.25% and

6.16% respectively during January'11 from 6.72%,

6.30% and 6.17% during the previous month. There

was a marked fall in the quantum of net liquidity

infusions, which led to some softening in money

market rates from 6.2% - 6.7% (3 January'11) to

5.2% - 6.0% by the second week of the month.

However, average rates climbed to 6.9% in the call

segment towards the end of the month following

the turnaround in the cash position of the banks.

The ensuing Charts display the movement of short

term rates during January'11 and the share of each

segment in the total trading volume of the money

market respectively.

Money Market Review*

rd

5.20

5.40

5.60

5.80

6.00

6.20

6.40

6.60

3-Ja

n-11

5-Ja

n-11

7-Ja

n-11

11-Ja

n-11

13-Ja

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17-Ja

n-11

19-Ja

n-11

21-Ja

n-11

25-Ja

n-11

28-Ja

n-11

Date

CB

LO

and

Rep

oR

ates

(%)

6.20

6.30

6.40

6.50

6.60

6.70

6.80

6.90

7.00C

allR

ate

(%)

CBLO rate Repo rate Call rate

Reporting Friday

Comfortable liquidity

COMPARATIVE WEIGHTED AVERAGE MONEY MARKET RATES (%)

The following two Tables illustrate the comparative

weighted average rates over a period of time and the

comparative statistics of short term volumes and

rates across the various segments of the money

market respectively.

COMPARATIVE MONEY MARKET VOLUMES AND RATES

Liquidity Adjustment Facility

Liquidity condition of the banks improved during

the month as apparent from 24% decline in the

average cash infusion by the RBI using LAF Repo

window. It stood at 93,071.75 crore against

1,21,934.55 crore during December'10. At the same

time, banks parked, on average, 1,548.25 crore with

the RBI using LAF Reverse Repo window during

January'11 against 2 486.82 crore during the

previous month reduction of 38%. Actions taken

during the previous month had its effect on the total

liquidity support provided by the RBI in the first

two weeks of January'11 when it fell to 7 85 435

crore. However, banks succumbed to the cash crunch

and borrowed 10,76,000 crore in the later half of

January'11.

On the basis of an assessment of the current liquidity

situation, RBI decided to extend the following

liquidity management measures:

• The additional liquidity support to scheduled

commercial banks under the LAF to the extent

of up to 1% of their NDTL, currently set to

expire on January 28, 2011, has been extended

up to April 8, 2011.

• The second LAF will now be conducted on a

daily basis up to April 8, 2011.

the

,

,

-

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Jan'11 Dec'10 3 Months ago 6 Months ago Year ago

CALL 6.54 6.72 6.42 5.53 3.26

REPO 6.25 6.30 6.00 5.44 3.02

CBLO 6.16 6.17 5.93 5.26 2.88

Gross Daily Average Minimum Maximum

Volumes (` Cr) Volumes (` Cr) Rate (%) Rate (%)

Jan'11 Dec'10 Jan'11 Dec'10 Jan'11 Dec'10 Jan'11 Dec'10

CALL 224958.31 253860.94 8998.33 10154.44 6.29 6.34 6.92 6.97

REPO 288642.86 324715.36 11545.71 12988.61 5.92 5.97 6.56 6.36

CBLO 1120387.20 1094590.70 44815.49 43783.63 5.28 5.28 6.50 6.29

SHARE IN MONEY MARKET TRADING VOLUMES

REPO VOLUME17.66%

CALL VOLUME13.77%

CBLO VOLUME68.57%

OMOs CONDUCTED DURING THE MONTH

Government Securities Market

Primary Market

The market witnessed liquidity outflows in the form

of re-issue of 9 government securities for 33,000

crore, issue of 13 SDLs for 8,361 crore and auction

of T-Bills worth 24,363 crore. As part of the 48,000

crore of OMOs announced by the RBI in

December'10, it purchased government securities

worth 17,508.51 crore during the month, summary

of which is given in the following Table.`

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` `

`

There was no recourse to auctions under the Market

Stabilization Scheme. The succeeding two Tables

provide the details of the primary issue of dated

securities and the auction of the T-Bills respectively

during the month.

DATED SECURITIES AUCTION/ISSUE

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Date of Repurchase Paper Amount (` Crore) Cut-off Price (`) Yield (%)

05-Jan-11 7.17% G.S. 2015 8858.56 97.59 7.8211

05-Jan-11 7.99% G.S. 2017 1030.00 100.87 7.8167

05-Jan-11 6.90% G.S. 2019 112.56 93.73 7.9257

12-Jan-11 7.46% G.S. 2017 1552.28 97.17 8.0162

12-Jan-11 7.80% G.S. 2020 1733.12 97.57 8.1751

12-Jan-11 8.08% G.S. 2022 4221.99 99.35 8.1669

Date ofIssue/

AuctionPaper

Amount(` Crore)

Cut-offPrice (`)

Yield(%)

Devolvementon PDs

(` Crore)

04-Jan-11 8.38% SDL 2021 (Gujarat) 500.00 - 8.3800 -

04-Jan-11 8.39% SDL 2021 (Madhya Pradesh, Punjab, Tamil Nadu) 2025.00 - 8.3900 -

04-Jan-11 8.42% SDL 2021 (Jammu & Kashmir) 479.10 - 8.4200 -

07-Jan-11 7.49% G.S. 2017 4000.00 97.25 8.0536 723.50

07-Jan-11 7.80% G.S. 2020 4000.00 97.48 8.1891 1486.10

07-Jan-11 8.26% G.S. 2027 3000.00 98.10 8.4745 0.00

14-Jan-11 7.17% G.S. 2015 4000.00 96.56 8.1108 0.00

14-Jan-11 8.13% G.S. 2022 4000.00 99.66 8.1732 0.00

14-Jan-11 8.30% G.S. 2040 3000.00 97.54 8.5288 0.00

18-Jan-11 8.52% SDL 2021 (Gujarat) 500.00 - 8.5200 -

18-Jan-11 8.53% SDL 2021 (Andhra Pradesh) 1000.00 - 8.5300 -

18-Jan-11 8.54% SDL 2021 (Maharashtra) 1875.00 - 8.5400 -

18-Jan-11 8.55% SDL 2021 (Bihar, Manipur, Mizoram, Uttarakhand) 1481.52 - 8.5500 -

18-Jan-11 8.56% SDL 2021 (Uttar Pradesh) 500.00 - 8.5600 -

21-Jan-11 7.99% G.S. 2017 4000.00 99.01 8.1892 0.00

21-Jan-11 8.08% G.S. 2022 4000.00 98.75 8.2497 0.00

21-Jan-11 8.26% G.S. 2027 3000.00 97.70 8.5216 0.00

182 DAY & 364 DAY T-BILL CUT-OFF YIELDS

The Charts shown below gives the trend in the cut-

off yields of the 91-day, 182-day and 364-day T-

Bills respectively.

91 DAY T-BILL CUT-OFF YIELDS

T-BILL AUCTION

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91 day T-Bill 182 day T-Bill 364 day T-BillDate Amt

(` Cr)MSS

(` Cr)Price(`)

YTM(%)

Amt(` Cr)

MSS(` Cr)

Price(`)

YTM(%)

Amt(` Cr)

MSS(` Cr)

Price(`)

YTM(%)

05-Jan-11 4500.00 0.00 98.26 7.1027 1500.00 0.00 96.49 7.2954 - - - -

12-Jan-11 4500.00 0.00 98.25 7.1443 - - - - 1000.00 0.00 93.04 7.5012

19-Jan-11 4502.00 0.00 98.24 7.1858 1500.50 0.00 96.42 7.4462 - - - -

25-Jan-11 5860.90 0.00 98.23 7.2274 - - - - 1000.00 0.00 92.96 7.5940

Total 19362.90 0.00 3000.50 0.00 2000.00 0.00

3.003.504.004.505.005.506.006.507.007.508.008.509.009.50

Apr-0

6

Jun-

06

Aug-0

6

Nov

-06

Jan-

07

Apr-0

7

Jun-

07

Aug-0

7

Nov

-07

Jan-

08

Mar

-08

Jun-

08

Aug-0

8

Nov

-08

Jan-

09

Mar

-09

Jun-

09

Aug-0

9

Nov

-09

Jan-

10

Mar

-10

Jun-

10

Aug-1

0

Nov

-10

Jan-

11

(%)

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

Apr

-06

Jun-

06

Aug

-06

Nov-

06

Jan-

07

Apr

-07

Jun-

07

Aug

-07

Nov-

07

Jan-

08

Mar-0

8

Jun-

08

Aug

-08

Nov-

08

Jan-

09

Mar-0

9

Jun-

09

Aug

-09

Nov-

09

Jan-

10

Mar-1

0

Jun-

10

Aug

-10

Nov-

10

Jan-

11

(%)

182 day T-Bill yields 364 day T-Bill yields

Yield Movements

10-year yields moved between 7.95% and 8.24%

during January'11 as compared to 7.89% and 8.20%

during the previous month. On heightened fears of

stringent monetary tightening by the RBI after

food inflation surged to 18% and disappointing G-

Sec auction results on 7 January'11, the yields of

benchmark securities hardened from 7.95% (3

January'11) to 8.23% by 10 January'11. However,

bond yields fell to 8.14% (13 January'11) on

speculation that RBI will temper the pace of rate

increases as industrial output slowed in November.

After climbing to the month high of 8.24% by 17

January'11 following comments from the RBI

governor that the country is facing a surging

inflation, it fell to 8.12% towards the end of the

month. The prime reason for the downward

movement in the yields was less-than-expected

hawkish tone of the RBI during its third quarter

review of monetary policy. The movement of 10-

year G-Sec yields is shown in the following Chart

and the yields of different tenors prevailing on the

last working day of the month are provided in the

forthcoming Table.

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rd

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SETTLEMENT VOLUMES

7 trades totaling 60 crore of “7.17% G.S. 2015”, 34

trades of “7.99% G.S. 2017” for 215 crore, 3 trades

of “8.08% G.S. 2022” for 15 crore and 12 trades

totaling 110 crore of “8.13% G.S. 2022” were

conducted in the When Issued Market during the

month.

`

`

`

`

" "

Secondary Market

The total trading volume on the NDS-OM

platform fell for the fifth consecutive month to

1,11,042 crore (January'11) from 1,27,812 crore

(December'10) decline of 13%. Volumes settled by

CCIL in January'11 can be seen from the Chart

exhibited below.

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1000.00

3000.00

5000.00

7000.00

9000.00

11000.00

3-Ja

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5-Ja

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7-Ja

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11-Jan

-11

13-Jan

-11

17-Jan

-11

19-Jan

-11

21-Jan

-11

25-Jan

-11

28-Jan

-11

Vol

ume

(C

rore

)`

1 YR - 10 YR SPREAD

10-YR YIELD MOVEMENT

YIELD MOVEMENTS (%)*

* as on the last working day of the month

The trend in the average yield spread over a period

of time, which increased marginally from 71.81-

100.73 bps during December'10 and fluctuated

between 75.39 bps and 118.71 bps during the month,

is illustrated in the following Chart.

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7.9300

7.9700

8.0100

8.0500

8.0900

8.1300

8.1700

8.2100

8.2500

3-Ja

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5-Ja

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7-Ja

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9-Ja

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11-Ja

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13-Ja

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15-Ja

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17-Ja

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19-Ja

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21-Ja

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23-Ja

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25-Ja

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27-Ja

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29-Ja

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31-Ja

n-11

Date

(%)

Tenor Jan-11 Dec-10 3 Months ago 6 Months ago Year ago

O/N 6.9829 6.7184 7.3008 5.0331 3.2984

3 month 6.8853 6.8349 6.6861 5.7108 3.6087

6 month 7.0615 6.9723 6.8264 5.9073 3.9799

1 year 7.2692 7.2219 6.9720 6.2354 4.6369

2 year 7.5593 7.5452 7.2274 6.6873 5.7958

5 year 8.0246 7.8428 7.8214 7.4569 7.1613

10 year 8.1452 7.9131 8.1215 7.7901 7.5678

-50

0

50

100

150

200

250

300

350

Ap

r-0

5

Jun

-05

Sep

-05

Dec

-05

Mar

-06

May

-06

Au

g-0

6

No

v-0

6

Feb

-07

May

-07

Jul-

07

Oct

-07

Jan-0

8

Apr-

08

Jul-

08

Sep

-08

Dec

-08

Mar

-09

Jun

-09

Sep

-09

Nov

-09

Feb

-10

May

-10

Aug-

10

Nov

-10

Jan-1

1

(bp

s)

Spread (1-10yr)

TABLE (B): EXCHANGE RATE MOVEMENT

TABLE (A): EXCHANGE RATE MOVEMENT

Foreign Exchange Market

The USD-INR exchange rate oscillated between

45.95 per dollar and 44.67 a dollar with an

average rate of 45.39 per dollar and standard

deviation of 30 paise during January'11. Higher

dollar purchases to pay for costlier crude oil

imports, speculation over record current account

deficit as well as on fears of slower economic growth

in Asia because of tightened monetary policies to

curb inflation Indian currency depreciate

from 44.67 per dollar (3 January'11) to 45.44 per

dollar by 10 January'11. However, the Indian

rupee climbed to 45.13 a dollar (13 January'11) in

anticipation that demand for emerging market

assets will improve as concern over Europe's debt

crisis abates following a pledge by Japan to buy

euro-region debt. Reversing the trend, Indian

currency once again declined to 45.70 by the end

of the third week of January'11, tracking sharp sell-

off in domestic shares on account of China's rate

hike, some weak numbers from corporate India,

wholesale inflation number of 8.43% for

December'10 and rate hike by the RBI. After

fluctuating close to 45.50 per dollar, rupee

weakened to the month low of 45.95 a dollar (31

January'11) as mounting unrest in Egypt prompted

investors to favor the relative safety of the dollar

over emerging market assets.

Table (A) gives the analysis of the rupee movement

against major currencies and the exchange rate

prevailing on the last working day of the month

over a period of time is provided in Table (B). The

movement of the rupee against major currencies is

depicted in the following Chart.

` `

`

` `

`

`

`

`

, led the tord

th

th

st

TH

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AR

ING

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OR

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ION

OF

IND

IALT

D.

47

Rs. / Euro Rs./ Pound Rs./ 100 yen Rs. / Dollar

Movement (%) -5.34 -5.05 -1.91 -2.87

Average Rate 60.53 71.54 54.97 45.39

Staddev 1.42 1.28 0.45 0.30

Max 62.73 72.95 56.02 45.95

Min 58.63 69.32 54.33 44.67

Exchange Rate Jan' 11 Dec' 10 3 Months ago 6 Months ago Year ago

Rs. / Euro 62.54 59.81 61.81 60.73 64.63

Rs./ Pound 72.95 69.29 70.93 72.54 74.78

Rs./ 100 yen 56.02 55.06 55.21 53.70 51.59

Rs. / Dollar 45.95 44.81 44.54 46.46 46.37

The movement of 6-month and 1-month forward

premia which fluctuated between 6.17% - 6.74%

and 6.14% - 6.63% respectively during January'11

can be seen from the Chart given below.

RUPEE VIS-A-VIS MAJOR INTERNATIONAL CURRENCIES

FORWARD PREMIA

TH

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AR

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OR

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ION

OF

IND

IALT

D.

48

58.00

60.00

62.00

64.00

66.00

68.00

70.00

72.00

3-Ja

n-11

4-Ja

n-11

5-Ja

n-11

6-Ja

n-11

7-Ja

n-11

10-Jan

-11

11-Jan

-11

12-Jan

-11

13-Jan

-11

14-Jan

-11

17-Jan

-11

18-Jan

-11

19-Jan

-11

20-Jan

-11

21-Jan

-11

24-Jan

-11

25-Jan

-11

27-Jan

-11

28-Jan

-11

31-Jan

-11

Po

und

Ster

ling/

Eur

o

44.00

45.00

46.00

47.00

48.00

49.00

50.00

51.00

52.00

53.00

54.00

55.00

56.00

US

Do

llar/

Jap

Yen

Rs. / Euro Rs./ Pound Rs./ 100 yen Rs. / Dollar

6.10

6.20

6.30

6.40

6.50

6.60

6.70

6.80

3-Ja

n-11

5-Ja

n-11

7-Ja

n-11

11-Ja

n-11

13-Ja

n-11

17-Ja

n-11

19-Ja

n-11

21-Ja

n-11

25-Ja

n-11

28-Ja

n-11

Rat

e(%

)

6-month 1-month

The month observed sharp contrast in the FIIs'

buying behavior when they reduced the purchase of

equities and remained net sellers of USD 1.05

billion in January'11 against net purchase of USD

0.45 billion during the previous month. Where as,

the action in the equity market was off-set by large

purchases of debt by them worth USD 2.25 billion

(January'11) when compared with the net purchase

of debts of USD 0.26 billion during the previous

month. After taking into consideration both the

markets, FIIs remained net buyers of USD 1.20

billion - a jump of 69% from the previous month's

net purchase of financial instruments worth USD

0.71 billion. The trend in FII flows over a course of

time is given in the following Chart.

TH

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D.

49

QUARTERLY MOVEMENT OF FII FLOWS (USD Million)

FII INFLOWS

-5000-4250-3500-2750-2000-1250-500250

100017502500325040004750550062507000

Apr

-06

Jul-0

6

Oct-0

6

Jan-

07

Apr

-07

Jul-0

7

Oct

-07

Jan-

08

Apr

-08

Jul-0

8

Oct-0

8

Jan-

09

Apr

-09

Jul-0

9

Oct-0

9

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

USD

Million

Quarterly Movement of FII flows

Quarter Net Investment in Equity Net Investment in Debt Total (USD Mn.)

Q1 2008-09 -3478.70 -709.80 -4188.50

Q2 2008-09 -2807.90 2003.30 -804.60

Q3 2008-09 -4015.10 739.50 -3275.60

Q4 2008-09 -1524.70 -1562.90 -3087.60

Q1 2009-10 6269.00 157.70 6426.70

Q2 2009-10 7102.40 831.50 7933.90

Q3 2009-10 4861.94 1769.13 6631.07

Q4 2009-10 4547.32 4712.56 9259.88

Q1 2010-11 2331.16 1371.28 3702.44

Q2 2010-11 11495.15 4053.23 15548.38

Q3 2010-11 10988.20 -24.91 10963.29

Jan-11 -1053.55 2251.70 1198.15

India's foreign exchange reserves came close to

achieving the USD 300 billion mark by the week

ending 21 January'11 when it reached USD 299.40

billion from USD 295.03 billion (week ended 24

December'10) on account of rise in foreign currency

assets from USD 265.91 billion to USD 269.55

billion during the period under consideration.

However, for the week ending 28 January'11,

foreign exchange reserves fell marginally and stood

at USD 299.17 billion following revaluation of

non-dollar assets vis-à-vis the dollar. The following

Chart provides the trend in foreign exchange

reserves over a period of time.

st

th

th

FOREIGN INVESTMENT INFLOWS (US $ MILLION)

TH

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50

With economic recovery in the rich countries

remaining fragile, FDI inflows to India dipped for

the second consecutive month, falling by about 6%

to $1.6 billion in November'10 over the same

period last year. In November'09, FDI stood at

$1.74 billion. During the first eight months of

2010-11, India received FDI inflows worth $14.03

billion, a decline of 27.4% over the corresponding

period previous year when it stood at $19.33

billion.

2010-11 (P) 2009-10 (P)Item

Apr. May. Jun. Jul. Aug. Sep. Oct. Nov. Apr-Nov Apr-Nov

A. Direct Investment 2179.00 2213.00 1380.00 1785.00 1330.00 2118.00 1392.00 1628.00 19002.00 24964.00

B. Portfolio Investment 3315.00 41.00 1297.00 9114.00 -440.00 10577.00 28704.00 -19811.00 32797.00 22167.00

Total (A+B) 5494.00 2254.00 2677.00 10899.00 890.00 12695.00 30096.00 -18183.00 51799.00 47131.00

FOREIGN EXCHANGE RESERVES

150000

175000

200000

225000

250000

275000

300000

325000

Apr

-06

Jul-0

6

Oct-0

6

Jan-

07

Apr

-07

Jul-0

7

Oct-0

7

Jan-

08

Apr

-08

Jul-0

8

Oct-0

8

Jan-

09

Apr

-09

Jul-0

9

Oct-0

9

Jan-

10

Apr

-10

Jul-1

0

Oct-1

0

Jan-

11

USD

Mil

lion

-40500-35500-30500-25500-20500-15500-10500-5500-500450095001450019500

USD

Mill

ion

CHANGE FOREX RESERVES (RHS)

THE CLEARING CORPORATION OF INDIA LTD.

51

KEY MACROECONOMIC INDICATORSTABLE 1: DOMESTIC INDICATORS

Sr.No.

Item Unit/Base 1990-91 2000-01 2001-02 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09

2009-10(Latest

availablefigures)

2010-11(Latest

availablefigures)

National Income

Changeover

PreviousMonth

1Gross Domestic Product at market price (at2004-05 prices)

` Crore 692871 (1) 1870387 1978055 2052586 22081962393671

(7.5%) (QE)2612847

(9.4%) (RE)3117372(9.60%)

3402716(9.00%)

4465360(6.70%)

4807222(7.40%)$

1225554(8.90%)$

2 Fiscal Deficit ` Crore 44632.00 118816.00 140955.00 145072.00 123273.00 125202.00 146435.00 142793.00 94283.00 ¥ 330114.00 412307.00 171249.00

Agriculture

3Index Number of Agricultural Production(All crops)

Trienniumending

1993-94=100148.40*** 167.30 178.20 140.00 141.20 139.20 146.70 167.20 173.10 161.20 150.40

Industry

4 General Index of Industrial Production1993-94 =

100212.60* 162.60 167.00 176.60 189.00 (7.0) 204.20 (8.0%) 221.20 (8.0%)

284.50(12.90%)

297.80(3.90%)

297.90(-2.30%)

347.30(13.50%)

317.90(2.7%)

-15.20

Money Supply, Banking & Interest Rates

5 M3 ` Crore 265828 1313220 1498355 1719203 2000349 2253938 27295353295644(20.8%)

3876926(17.10%)

4655831(16.20%)

5579567(14.90%)

6200420(10.70%)

2.77%

6 Aggregate Deposits ` Crore 192541 962618 1103360 1280853 1501931 1766628 20876702594259(23.0%)

3075224(17.90%)

3732501(16.80%)

4486573(14.80%)

4945648(10.10%)

3.04%

7 Bank Credit ` Crore 116301 511434 589723 729215 835382 1141701 14964741923192(27.6%)

2272603(17.80%)

2690513(13.90%)

3240399(12.60%)

3719885(14.60%)

2.20%

8 S C Banks Investment in Govt. Securities ` Crore 49998 340035 411176 523417 653244 726111 704694 771060 966516 1166237 1375704 1459961 1.51%

9 Credit - Deposit Ratio Per cent 60.40 53.39 53.81 56.87 56.23 64.63 71.68 74.13 73.90 72.08 70.97 75.22

10 Cash Reserve Ratio Per cent 15.00 8.00 5.50 4.75 4.50 5.00 5.00 6.00 7.50 5.00 5.75 6.00

11 Bank Rate Per cent 10.00 7.00 6.50 6.25 6.00 6.00 6.00 6.00 6.00 6.00 6.00 6.00

12 Inter-bank call money rate (Mumbai) Per cent 4.00 - 70.00 4.00 - 19.00 4.00 - 20.00 3.00 - 12.00 2.00 - 4.60 1.50 - 5.90 4.75 - 8.25 6.00 - 80.00 2.50 - 9.70 2.00 - 5.05 1.00 - 4.10 4.00 - 6.50

13 Base Rate û Per cent -- 11.00 -12.00 11.00 -12.00 10.75 -11.50 10.25 -11.00 10.25 -10.75 10.25 -10.75 12.25 - 12.50 12.25 - 12.75 11.50 -12.50 11.00 - 12.00 8.00 - 9.00

Inflation

14 Wholesale Prices (Monthly) ø

a. All Commodities 2004-05=100 182.70*** 155.70 161.30 166.80 175.90 189.10 (5.2%)197.70

(3.51%)210.00

(5.74%)223.60

(6.68%)227.30

(0.31%)250.80

(9.90%)144.10

(8.43%)1.80

b. Fuel, power, light and lubricants 2004-05=100 175.80*** 208.10 226.70 239.20 254.50 289.00 316.70 320.10 341.00 320.90 361.80 150.10 1.50

15 Wholesale Prices (Weekly) ø

a. Primary Articles 2004-05=100 - - - - - - - - - -283.40

(13.86%)194.60

(18.44%)4.90

b. Fuel, power, light and lubricants 2004-05=100 - - - - - - - - - -361.80

(12.75%)151.90

(11.61%)1.20

16 Consumer Prices-Industrial Workers 2001=100 193.00 444.00 463.00 482.00 500.30 (3.85) 519.50 (3.84) 119.00μ 127.00μ 137.00μ 148.00μ 170.00μ 185.00μ 3.00

THE CLEARING CORPORATION OF INDIA LTD.

52

Source: RBI Annual Report, Bulletin, Weekly Statistics, SEBI & CCILNotes:Yearly figures are as in March-end* : Base: 1980-81=100*** : Base : 1981-82=100**: Figure as at March-end****: Figures are cumulative for the yearQ.E : Quick EstimateR.E : Revised EstimateA.E : Advance EstimateB.E.: Budget Estimate#Turnover Ratio=(Central Government Securities Volumes for 12 months/Market Capitialisationduring the month)*100

Percentage figures in brackets denote y-o-y growth^ Turnover Ratio as on January 31, 2011(1) At 1993-94 pricesμ: Base year 2001$ :

.+: Grand Total¥: Excluding acquisition cost of RBI stake in SBI ( 35,531 crores)

`GDP for Jul-Sep 2010 (Q2 2010-11). GDP for Jul-Sep 2009 (Q2 2009-10): 1,108,537 Crore -(8.7%)

: GDP data till 2008-09 are calculated taking 1999-00 prices as the base.¤: Base Rate relates to five major banks since July 1, 2010. Earlier figures relate to Benchmark PrimeLending Rate (BPLR).ø: Inflation data till 2009-10 are calculated taking 1993-94 as base

`

�

Sr.No.

Item Unit/Base 1990-91 2000-01 2001-02 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09

2009-10(Latest

availablefigures)

2010-11(Latest

availablefigures)

Changeover

PreviousMonth

Balance of Trade****

17 Value of Imports US$ Million 24073 50536 51413 60157 75,400106121

(35.62%)140238

(32.00%)181368

(29.33%)235911

(27.01%)287759

(14.30%)278681 (-

8.20%)246724

(19.01%)11.16%

18 Value of Exports US$ Million 18145 44560 43827 52719 6171879594

(24.41%)100607

(25.00%)124629

(23.88%)155512

(23.02%)168704(3.40%)

176574 (-4.70%)

164707(29.50%)

17.41%

19 Balance of Trade US$ Million -5927 -5976 -7587 -8693 224 -26528 -39631 -56739 -80398 -119055 -102106 -82017.00 0.42%

Foreign Exchange Inflows/Outflows &Exchange Rate

20 Foreign Exchange Reserves****

a. Foreign Currency Assets US$ Million 2236.00 39554.00 51049.00 71890.00 107448.00 135262.00 142159.00 191924.00 294649.00 241597.00 254685.00 269282.00 3377.00

b. Gold US$ Million 3496.00 2725.00 3047.00 3534.00 4198.00 4500.00 5747.00 6784.00 9558.00 9746.00 17920.00 22470.00 346.00

c. SDRs US$ Million 102.00 2.00 10.00 4.00 2.00 5.00 3.00 2.00 18.00 1.00 5006.00 5158.00 115.00

21 INR-USD Exchange Rate Rupee 19.57 46.63 48.80 47.50 43.39 43.75 44.61 43.59 39.97 50.95 45.14 45.95 1.14

22 Net FII Investment US$ Million -- 399.00 107.00 202.00 1418.00 3838** 2262.80 6708.00 16039.80 -11356.30 30251.55 31412.26 1198.15

23 Cumulative Net Investment+ US$ Million -- 13416.00 15281.00 15804.00 25754.00 35925** 43808.50 51965.70 68005.40 56649.30 89332.60 120744.91 1198.11

Central Government Borrowings (DatedSecurities and 364 day T-bills)

24 Government Borrowings****

Gross ` Crore -- 115183 133801 151126 180891 106501 158816 227687 188205 306550 459497 447482 35000.00

Net ` Crore -- 73787 92302 104118 108581 46050 85058 146574 106895 230018 313010 320872 24154.35

25 Outstandings ` Crore 536325 674204 1127268 885498** 1018621 1181604 1434086 1706083 2033452 2353211 24154.35

26 CCIL Settlement Statistics****

a. Securities (F.V.) ` Crore 1544376** 2518322** 2692126** 2559260** 3578037** 5602602** 6254519 8986719 5929467 -10.65%

b. Forex US$ Million -- -- -- 136102** 501342** 899782** 1179688** 1776981 ** 3133664** 3758904 2988971 3487830 -3.57%

c. CBLO (F.V.) ` Crore -- -- -- 852** 76851** 976757** 2953134** 4732271 ** 8110828** 8824784 15541378 10206112 2.36%

27 Gilts Turnover Ratio# Per cent -- -- -- -- 176.17^ 87.93 61.54 74.26 102^ 111^ 123^ 110^

November, 2010.

January 31, 2011

December, 2010.Short

Implies 2010(Q4) over 2010(Q3)

THE CLEARING CORPORATION OF INDIA LTD.

53

Base Rate

TABLE 2: WORLD ECONOMIC INDICATORS

�

Item UK USA Japan Germany South Korea China Brazil India

GDP for 2009 (USD Bn)(µ) 2189.40 14043.90 3064.86 2582.61 1424.61 30067# 3143.00 59232.00

GDP at current prices (2010 Q3) (1) 365920 3717600@ 120527675 628140 292737500 11753.60# 891.60 17093.40#

Net Exports (USD Bn) (November 2010) (2) -12.48# -51.42# 5.16 15.11 0.94 16.85# 4.22@ -11.90#

% change of GDP over last quarter** -0.50 0.78 1.10# 0.70# 0.54 - - -

GDP Implicit price deflator(2010 Q3)( 2005 = 100) 129.24 125.35@ 88.23 111.11 128.86 - - -

Industrial Production Index (2005=100) (November 2010) 90.03 98.57 92.28 109.68# 137.71 200.90# 114.32# 153.85#

Producer Price Index (2005=100) (December 2010) (9) 120.49# 118.95 102.70 108.17 119.29 115.80# 127.10# 155.80#

Narrow Money (2005=100) (November 2010) (7) 152.86 133.57 106.23 147.23(3) 120.98# 265.69@ 211.12 238.86@

Broad Money (2005=100) (November 2010) (8) 175.07 134.93 105.32 139.66(3) 158.12# 264.74@ 232.90 264.38@

Long term Interest rates (December 2010) 3.59 3.29 1.16# 2.91 4.46 - - 8.14^

Short term Interest rates (December 2010) 0.76 0.30 0.34# 1.02(b)(3) 2.80 2.75# 17.30# 7.60-8.50(6)

Exchange rate (per 1USD) (December 2010) 0.64 1.00 83.27 0.76(3) 1145.14 6.65 1.70 45.95@

Key Policy Rates (%) 0.50 0.00-0.25 0.00-0.10 1.00 2.75 5.81 10.75 5.50

THE CLEARING CORPORATION OF INDIA LTD.

54

OUTSTANDING GOVERNMENT DEBTTABLE 3: LIST OF OUTSTANDING GOVERNMENT DEBT

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

PriceYield(%)

Yield (%)(PreviousMonth)

DurationMod

DurationV+ (for100bps)

V- (for100bps)

ConvexityMeasure

PriceChangeDue to

ModifiedDurationfor 100bps

(%)

PriceChangeDue to

Convexityfor 100bps

(%)

Expected priceChange for a100bps rise inyield due to

Duration andConvexityEffect(%)

ActualChange for

100 bpsincrease in

yield

PV01

1 IN0020020213 6.57% 2011(Pvt. Placement) 24-Feb-03 24-Feb-11 17082.53 17084 100.01 6.2792 6.6361 0.07 0.06 102.7862 102.92 0.01 -0.06 0.00 -0.06 -0.07 0.00

2 IN0019989014 10% NAT BKS (NT) SPL SEC 2011 24-Mar-89 24-Mar-11 400.00 402 100.49 6.4590 6.8270 0.15 0.15 103.8382 104.15 0.04 -0.15 0.00 -0.15 -0.15 0.00

3 IN0019810020 8% 2011 27-Apr-81 27-Apr-11 1472.92 1477 100.25 6.8071 6.7738 0.24 0.23 102.0741 102.56 0.11 -0.23 0.00 -0.23 -0.24 0.00

4 IN0020000041 10.95% 2011 30-May-00 30-May-11 12000.00 12148 101.23 7.0357 7.6605 0.33 0.32 102.7235 103.39 0.21 -0.32 0.00 -0.32 -0.32 0.00

5 IN0020010057 9.39% 2011 02-Jul-01 02-Jul-11 37000.00 37278 100.75 7.5026 7.3026 0.42 0.41 101.0667 101.90 0.33 -0.41 0.00 -0.41 -0.41 0.00

6 IN0020040021 6.10% UTI Spl. Bonds 2011 23-Jul-04 23-Jul-11 362.00 360 99.37 7.4458 7.0757 0.48 0.46 99.0307 99.95 0.43 -0.46 0.00 -0.46 -0.46 0.00

7 IN0019910044 11.50% 2011 05-Aug-91 05-Aug-11 2861.36 2919 102.02 7.4092 7.4621 0.49 0.47 107.1104 108.12 0.46 -0.47 0.00 -0.47 -0.47 0.01

8 IN0019910127 12% 2011 21-Oct-91 21-Oct-11 3246.91 3350 103.18 7.3763 7.2565 0.70 0.67 105.7681 107.20 0.79 -0.67 0.00 -0.67 -0.67 0.01

9 IN0020000116 11.50% 2011(2nd Series) 24-Nov-00 24-Nov-11 11000.00 11331 103.01 7.5929 7.5372 0.79 0.76 104.3268 105.93 0.96 -0.76 0.00 -0.76 -0.76 0.01

10 IN00200500537.47% Oil Marketing Companies GOISpecial Bonds, 2012

07-Mar-06 07-Mar-12 2000.00 1993 99.65 7.7990 7.7992 1.05 1.01 101.5858 103.66 1.54 -1.01 0.01 -1.00 -1.00 0.01

11 IN00200500877.44% Oil Marketing Companies GOISpecial Bonds, 2012

23-Mar-06 23-Mar-12 2000.00 1993 99.65 7.7514 7.5015 1.09 1.05 101.2056 103.36 1.65 -1.05 0.01 -1.04 -1.04 0.01

12 IN0020020023 6.85% 2012 05-Apr-02 05-Apr-12 26000.00 25779 99.15 7.6035 7.3146 1.13 1.09 100.2422 102.45 1.75 -1.09 0.01 -1.08 -1.08 0.01

13 IN0020020056 7.40% 2012 03-May-02 03-May-12 33000.00 32956 99.87 7.4985 7.4481 1.21 1.16 100.4839 102.85 1.95 -1.16 0.01 -1.15 -1.15 0.01

14 IN0019840035 10.25% 2012 01-Jun-84 01-Jun-12 1574.13 1633 103.75 7.2390 7.3269 1.27 1.22 104.1532 106.73 2.13 -1.22 0.01 -1.21 -1.21 0.01

15 IN0020000066 11.03% 2012 18-Jul-00 18-Jul-12 13500.00 14152 104.83 7.4859 7.3575 1.39 1.34 103.8010 106.62 2.50 -1.34 0.01 -1.33 -1.33 0.01

16 IN0020020080 6.72% 2012 18-Jul-02 18-Jul-12 546.81 541 98.95 7.4882 7.3290 1.42 1.37 97.8285 100.54 2.56 -1.37 0.01 -1.35 -1.35 0.01

17 IN0020050137 7% OIL COS' GOI SPL BONDS 2012 09-Sep-05 09-Sep-12 5762.85 5696 98.83 7.7778 7.6574 1.51 1.45 100.1152 103.06 2.91 -1.45 0.01 -1.44 -1.44 0.01

18 IN0020010073 9.40% 2012 11-Sep-01 11-Sep-12 11000.00 11308 102.80 7.5151 7.4010 1.49 1.43 104.9206 107.97 2.87 -1.43 0.01 -1.42 -1.42 0.02

19 IN0019820037 9% 2013 24-May-82 24-May-13 1751.33 1806 103.11 7.5020 7.5122 2.11 2.04 102.6559 106.93 5.38 -2.04 0.03 -2.01 -2.01 0.02

20 IN0020010032 9.81% 2013 30-May-01 30-May-13 11000.00 11532 104.84 7.5016 7.5162 2.12 2.04 104.3298 108.67 5.41 -2.04 0.03 -2.01 -2.01 0.02

21 IN0019980187 12.40% 2013 (On Tap) 20-Aug-98 20-Aug-13 11983.91 13152 109.75 8.0948 7.5564 2.17 2.09 112.8862 117.70 5.89 -2.09 0.03 -2.06 -2.06 0.02

22 IN0020020122 7.27% 2013 (conv) 03-Sep-02 03-Sep-13 46000.00 45494 98.90 7.7421 7.5650 2.34 2.25 99.6078 104.20 6.53 -2.25 0.03 -2.22 -2.22 0.02

THE CLEARING CORPORATION OF INDIA LTD.

55

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

PriceYield(%)

Yield (%)(PreviousMonth)

DurationMod

DurationV+ (for100bps)

V- (for100bps)

ConvexityMeasure

PriceChangeDue to

ModifiedDurationfor 100bps

(%)

PriceChangeDue to

Convexityfor 100bps

(%)

Expected priceChange for a100bps rise inyield due to

Duration andConvexityEffect(%)

ActualChange for

100 bpsincrease in

yield

PV01

23 IN0020030105 5.32% 2014 16-Feb-04 16-Feb-14 5000.00 4673 93.47 7.7701 7.8036 2.77 2.67 93.3725 98.49 8.89 -2.67 0.04 -2.62 -2.62 0.03

24 IN0020020221 6.72% 2014 (Pvt. Placement) 24-Feb-03 24-Feb-14 15273.60 14840 97.16 7.7762 7.8132 2.74 2.63 97.4783 102.75 8.78 -2.63 0.04 -2.59 -2.59 0.03

25 IN0020020049 7.37% 2014 16-Apr-02 16-Apr-14 42000.00 41517 98.85 7.7751 7.8147 2.86 2.75 98.2506 103.81 9.50 -2.75 0.05 -2.70 -2.70 0.03

26 IN0020090018 6.07% GS 2014 15-May-09 15-May-14 40000.00 38040 95.10 7.7806 7.8172 2.99 2.88 93.6430 99.19 10.19 -2.88 0.05 -2.82 -2.83 0.03

27 IN0019830010 10% 2014 30-May-83 30-May-14 2333.26 2453 105.14 8.1987 7.8229 2.88 2.77 103.8980 109.82 9.74 -2.77 0.05 -2.72 -2.72 0.03

28 IN0020090067 7.32% 2014 20-Oct-09 20-Oct-14 18000.00 17640 98.00 7.9456 7.7500 3.26 3.13 96.9614 103.23 12.21 -3.13 0.06 -3.07 -3.07 0.03

29 IN0019840084 10.50% 2014 29-Oct-84 29-Oct-14 1755.10 1905 108.54 7.8192 7.8547 3.15 3.03 107.8921 114.63 11.71 -3.03 0.06 -2.97 -2.97 0.03

30 IN0020080043 7.56% G.S. 2014 03-Nov-08 03-Nov-14 41000.00 40637 99.12 7.8305 7.8599 3.28 3.16 97.8170 104.19 12.41 -3.16 0.06 -3.10 -3.10 0.03

31 IN0019990137 11.83% 2014 12-Nov-99 12-Nov-14 11500.00 12840 111.65 8.1786 7.9017 3.13 3.00 110.8468 117.71 11.63 -3.00 0.06 -2.95 -2.95 0.03

32 IN0020020205 NAT BK'S(NT) SPL SEC 2015 07-Feb-03 07-Feb-15 70.00 70 100.21 7.9366 7.9562 3.39 3.26 100.7356 107.52 13.51 -3.26 0.07 -3.19 -3.19 0.03

33 IN0020000132 10.47% 2015 12-Feb-01 12-Feb-15 6430.00 7001 108.88 7.8563 7.8801 3.28 3.15 110.2537 117.43 12.96 -3.15 0.06 -3.09 -3.09 0.04

34 IN00200500617.61% Oil Marketing Companies GOISpecial Bonds, 2015

07-Mar-06 07-Mar-15 1750.00 1730 98.88 7.9314 7.9480 3.49 3.36 98.5521 105.40 14.20 -3.36 0.07 -3.29 -3.29 0.03

35 IN00200500957.59% Oil Marketing Companies GOISpecial Bonds, 2015

23-Mar-06 23-Mar-15 1750.00 1729 98.79 7.9344 7.9495 3.54 3.40 98.0848 104.99 14.51 -3.40 0.07 -3.33 -3.33 0.03

36 IN0020000033 10.79% 2015 19-May-00 19-May-15 2683.45 2925 109.00 8.2552 7.8831 3.52 3.38 107.4465 114.97 14.62 -3.38 0.07 -3.31 -3.31 0.04

37 IN0019850034 11.50% 2015 21-May-85 21-May-15 3560.50 4025 113.04 7.8668 7.8829 3.50 3.37 111.4367 119.21 14.56 -3.37 0.07 -3.30 -3.30 0.04

38 IN0020090026 6.49% 2015 08-Jun-09 08-Jun-15 40000.00 37874 94.69 7.9539 7.8158 3.81 3.67 92.1950 99.21 16.39 -3.67 0.08 -3.58 -3.59 0.04

39 IN0020100023 7.17% GOVT.STOCK 2015 14-Jun-10 14-Jun-15 53000.00 51179 96.56 8.1155 7.8520 3.78 3.64 94.0122 101.11 16.24 -3.64 0.08 -3.56 -3.56 0.04

40 IN0020000090 11.43% 2015 (Pvt. Placement) 07-Aug-00 07-Aug-15 12000.00 13587 113.22 7.8940 7.8991 3.54 3.41 114.7595 122.85 15.31 -3.41 0.08 -3.33 -3.33 0.04

41 IN0020020130 7.38% 2015 03-Sep-02 03-Sep-15 61000.00 59766 97.98 7.9109 8.4823 3.85 3.71 97.3338 104.82 17.25 -3.71 0.09 -3.62 -3.62 0.04

42 IN0020010099 9.85% 2015 16-Oct-01 16-Oct-15 10000.00 10747 107.47 7.9137 7.9083 3.82 3.67 106.3584 114.46 17.21 -3.67 0.09 -3.59 -3.59 0.04

43 IN0020060219 7.59% 2016 12-Apr-06 12-Apr-16 50000.00 49026 98.05 8.0514 8.0186 4.29 4.12 96.3003 104.57 21.25 -4.12 0.11 -4.01 -4.02 0.04

44 IN0020010016 10.71% 2016 19-Apr-01 19-Apr-16 9000.00 10005 111.17 8.0419 8.0154 4.09 3.93 109.7960 118.77 19.94 -3.93 0.10 -3.83 -3.83 0.04

45 IN0020040013 5.59% 2016 04-Jun-04 04-Jun-16 6000.00 5362 89.37 8.0747 8.0304 4.61 4.43 86.3529 94.35 23.69 -4.43 0.12 -4.31 -4.31 0.04

46 IN0019990129 12.30% 2016 (On Tap) 02-Jul-99 02-Jul-16 13129.85 15414 117.40 8.2513 8.1496 4.19 4.03 113.7116 123.25 20.86 -4.03 0.10 -3.92 -3.92 0.05

THE CLEARING CORPORATION OF INDIA LTD.

56

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

PriceYield(%)

Yield (%)(PreviousMonth)

DurationMod

DurationV+ (for100bps)

V- (for100bps)

ConvexityMeasure

PriceChangeDue to

ModifiedDurationfor 100bps

(%)

PriceChangeDue to

Convexityfor 100bps

(%)

Expected priceChange for a100bps rise inyield due to

Duration andConvexityEffect(%)

ActualChange for

100 bpsincrease in

yield

PV01

47 IN0020090059 7.02% 2016 17-Aug-09 17-Aug-16 60000.00 57600 96.00 7.9237 7.8745 4.52 4.35 94.9827 103.61 23.79 -4.35 0.12 -4.23 -4.23 0.04

48 IN0020010107 8.07% 2017 15-Jan-02 15-Jan-17 49000.00 48608 99.20 8.2413 8.5423 4.83 4.63 95.0536 104.28 26.68 -4.63 0.13 -4.50 -4.50 0.05

49 IN0020020031 7.49% 2017 16-Apr-02 16-Apr-17 55000.00 53310 96.93 8.1259 7.8496 4.95 4.76 94.5156 103.95 28.50 -4.76 0.14 -4.61 -4.62 0.05

50 IN0020070010 7.99% 2017 09-Jul-07 09-Jul-17 59000.00 58569 99.27 8.1363 7.8169 5.13 4.93 94.9669 104.81 30.34 -4.93 0.15 -4.78 -4.78 0.05

51 IN0020020098 7.46% 2017 28-Aug-02 28-Aug-17 57886.80 56202 97.09 8.0366 7.8101 5.13 4.93 95.4474 105.34 31.04 -4.93 0.16 -4.78 -4.78 0.05

52 IN0020020163 6.25% 2018 02-Jan-03 02-Jan-18 16886.80 15160 89.77 8.2149 8.1141 5.62 5.39 85.5479 95.29 35.79 -5.39 0.18 -5.22 -5.22 0.05

53 IN0020080019 8.24% GOVT. STOCK 2018 22-Apr-08 22-Apr-18 50000.00 50150 100.30 8.1804 8.0057 5.47 5.26 97.3309 108.12 35.52 -5.26 0.18 -5.08 -5.08 0.05

54 IN0020010024 10.45% 2018 30-Apr-01 30-Apr-18 3716.00 4134 111.25 8.3456 8.0025 5.25 5.04 108.3057 119.80 33.51 -5.04 0.17 -4.88 -4.88 0.06

55 IN0020030063 5.69% 2018 (conv) 25-Sep-03 25-Sep-18 16130.00 13893 86.13 8.1603 8.0403 6.05 5.81 83.1667 93.42 42.24 -5.81 0.21 -5.60 -5.61 0.05

56 IN0019980286 12.60% 2018 (On Tap) 23-Nov-98 23-Nov-18 12631.88 15701 124.30 8.3054 8.0249 5.38 5.17 120.3223 133.42 35.91 -5.17 0.18 -4.99 -4.99 0.07

57 IN0020030097 5.64% 2019 02-Jan-04 02-Jan-19 10000.00 8539 85.39 8.1818 8.0567 6.33 6.08 80.7985 91.24 45.51 -6.08 0.23 -5.85 -5.86 0.05

58 IN0020080068 6.05% 2019 02-Feb-09 02-Feb-19 53000.00 46364 87.48 8.2148 8.0607 6.13 5.88 85.3431 96.00 44.25 -5.88 0.22 -5.66 -5.67 0.05

59 IN0020030048 6.05% 2019 (conv) 12-Jun-03 12-Jun-19 11000.00 9585 87.13 8.2036 8.3500 6.49 6.23 82.6682 93.64 48.63 -6.23 0.24 -5.99 -6.00 0.05

60 IN0020090042 6.90% 2019 13-Jul-09 13-Jul-19 45000.00 41477 92.17 8.2011 7.9375 6.43 6.18 87.0016 98.44 48.16 -6.18 0.24 -5.93 -5.94 0.06

61 IN0020010065 10.03% 2019 09-Aug-01 09-Aug-19 6000.00 6670 111.16 8.1849 8.0649 5.82 5.59 109.6808 122.66 42.62 -5.59 0.21 -5.38 -5.39 0.06

62 IN0020020171 6.35% 2020 02-Jan-03 02-Jan-20 61000.00 53824 88.24 8.2362 8.1011 6.76 6.49 83.1983 94.73 53.28 -6.49 0.27 -6.23 -6.23 0.06

63 IN0020000025 10.70% 2020 22-Apr-00 22-Apr-20 6000.00 6950 115.83 8.2158 8.0914 6.17 5.93 111.9754 126.07 47.82 -5.93 0.24 -5.69 -5.70 0.07

64 IN0020100015 7.80% G.S. 2020 3-May-10 3-May-20 60000.00 58660 97.77 8.1451 7.9131 6.61 6.35 93.5817 106.25 52.86 -6.35 0.26 -6.08 -6.09 0.06

65 IN0020000124 11.60% 2020 27-Dec-00 27-Dec-20 5000.00 6100 122.00 8.2973 8.1148 6.46 6.20 115.7456 131.03 52.44 -6.20 0.26 -5.94 -5.95 0.08

66 IN0020009018 11.50% GOI (IIBI) Spl Securities 2021 30-Mar-01 30-Mar-21 100.00 121 121.23 8.3563 8.2287 6.42 6.17 117.6726 133.11 53.21 -6.17 0.27 -5.90 -5.91 0.08

67 IN0020060318 7.94% G.S. 2021 24-May-06 24-May-21 49000.00 48301 98.57 8.1444 8.0532 7.10 6.83 93.4999 107.18 61.97 -6.83 0.31 -6.52 -6.53 0.07

68 IN0020010040 10.25% 2021 30-May-01 30-May-21 26213.32 29621 113.00 8.3446 8.0689 6.74 6.47 107.6007 122.47 57.27 -6.47 0.29 -6.19 -6.20 0.07

69 IN00200600948.13% Oil Marketing CompaniesGovernment of India Special Bonds, 2021

16-Oct-06 16-Oct-21 5000.00 4902 98.05 8.4069 8.2700 7.15 6.86 93.8229 107.61 63.81 -6.86 0.32 -6.54 -6.55 0.07

THE CLEARING CORPORATION OF INDIA LTD.

57

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

PriceYield(%)

Yield (%)(PreviousMonth)

DurationMod

DurationV+ (for100bps)

V- (for100bps)

ConvexityMeasure

PriceChangeDue to

ModifiedDurationfor 100bps

(%)

PriceChangeDue to

Convexityfor 100bps

(%)

Expected priceChange for a100bps rise inyield due to

Duration andConvexityEffect(%)

ActualChange for

100 bpsincrease in

yield

PV01

70 IN0020019017 9.75% GOI (IFCI) SPL SEC 2021 30-Oct-01 30-Oct-21 400.00 438 109.46 8.3936 8.2609 6.92 6.64 104.7892 119.68 60.91 -6.64 0.30 -6.34 -6.35 0.07

71 IN00200600967.75% Oil Marketing CompaniesGovernment of India Special Bonds, 2021

28-Nov-06 28-Nov-21 5000.00 4766 95.33 8.4135 8.2758 7.33 7.04 90.1699 103.79 66.35 -7.04 0.33 -6.70 -6.72 0.07

72 IN0020060037 8.20% Government Stock 2022 15-Feb-07 15-Feb-22 57632.33 57632 100.00 8.1991 8.0692 7.20 6.92 96.9136 111.29 66.05 -6.92 0.33 -6.59 -6.60 0.07

73 IN0020020072 8.35% 2022 14-May-02 14-May-22 44000.00 44300 100.68 8.2532 8.1171 7.41 7.12 95.4943 110.10 68.98 -7.12 0.34 -6.77 -6.78 0.07

74 IN0020070028 8.08% Government Stock 2022 02-Aug-07 02-Aug-22 26969.41 26775 99.28 8.1778 8.0507 7.39 7.10 96.2923 110.98 70.16 -7.10 0.35 -6.75 -6.76 0.07

75 IN0020039031 5.87% 2022 (conv) 28-Aug-03 28-Aug-22 11000.00 9042 82.20 8.2896 8.1468 7.96 7.65 78.5237 91.50 78.21 -7.65 0.39 -7.26 -7.27 0.06

76 IN0020070051 8.13% 2022 21-Sep-07 21-Sep-22 33495.28 33410 99.74 8.1622 8.0299 7.52 7.22 95.5992 110.46 72.00 -7.22 0.36 -6.86 -6.88 0.07

77 IN00200600958.15% Government of India FCI SpecialBonds, 2022

16-Oct-06 16-Oct-22 5000.00 4892 97.84 8.4406 8.3044 7.54 7.23 93.3019 107.82 72.15 -7.23 0.36 -6.87 -6.88 0.07

78 IN0020089028 7% FERT COS GOI SPL BOND 2022 10-Dec-08 10-Dec-22 10000.00 8919 89.19 8.4592 8.3207 7.93 7.61 83.6447 97.39 77.83 -7.61 0.39 -7.22 -7.23 0.07

79 IN00200890446.20% Fertilizer Companies’ Government ofIndia Special Bonds, 2022

24-Dec-08 24-Dec-22 4000.00 3327 83.18 8.4690 8.3285 8.16 7.83 77.5662 90.72 81.32 -7.83 0.41 -7.43 -7.44 0.07

80 IN00200890516.65% Fertilizer Companies Government ofIndia Special Bonds, 2023

29-Jan-09 29-Jan-23 6000.00 5189 86.48 8.4665 8.3267 8.15 7.82 80.0739 93.62 81.13 -7.82 0.41 -7.41 -7.43 0.07

81 IN0020030014 6.30% 2023 09-Apr-03 09-Apr-23 13000.00 11025 84.81 8.3034 8.1639 8.16 7.84 80.2960 93.92 82.97 -7.84 0.41 -7.42 -7.44 0.07

82 IN0020030055 6.17% 2023 12-Jun-03 12-Jun-23 14000.00 11708 83.63 8.3121 8.1730 8.37 8.04 78.0148 91.62 86.24 -8.04 0.43 -7.61 -7.62 0.07

83 IN00200890108.20% Oil Marketing CompaniesGovernment of India Special Bonds 2023

10-Nov-08 10-Nov-23 22000.00 21531 97.87 8.4738 8.3406 7.95 7.63 92.4734 107.72 81.34 -7.63 0.41 -7.22 -7.24 0.08

84 IN00200790118.30% Fertilizer Companies GOI SpecialBonds, 2023

7-Dec-07 7-Dec-23 3890.00 3837 98.63 8.4746 8.3420 8.01 7.68 92.5767 107.95 82.16 -7.68 0.41 -7.27 -7.29 0.08

85 IN00200600528.01% Oil Marketing CompaniesGovernment of India Special Bonds, 2023

15-Dec-06 15-Dec-23 4150.00 3999 96.36 8.4778 8.3447 8.09 7.76 90.1979 105.34 83.43 -7.76 0.42 -7.34 -7.36 0.08

86 IN00200600608.20% Oil Marketing CompaniesGovernment of India Special Bonds, 2024

12-Feb-07 12-Feb-24 5000.00 4889 97.79 8.4829 8.3500 7.88 7.56 94.3361 109.73 81.81 -7.56 0.41 -7.15 -7.16 0.08

87 IN00200790458.35% SBI Rights Issue Government of IndiaSpecial Bonds, 2024

27-Mar-08 27-Mar-24 9996.01 9892 98.96 8.4804 8.2970 7.97 7.65 94.4327 110.04 83.21 -7.65 0.42 -7.23 -7.25 0.08

88 IN0020090034 7.35% 2024 22-Jun-09 22-Jun-24 10000.00 9219 92.19 8.3271 8.1947 8.46 8.12 85.8162 100.96 91.11 -8.12 0.46 -7.67 -7.69 0.08

89 IN00200990198.20% Oil Marketing Companies’Government of India Special Bonds, 2024

15-Sep-09 15-Sep-24 10306.33 10224 99.20 8.2972 8.3638 8.18 7.85 94.6776 110.77 88.14 -7.85 0.44 -7.41 -7.43 0.08

THE CLEARING CORPORATION OF INDIA LTD.

58

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

PriceYield(%)

Yield (%)(PreviousMonth)

DurationMod

DurationV+ (for100bps)

V- (for100bps)

ConvexityMeasure

PriceChangeDue to

ModifiedDurationfor 100bps

(%)

PriceChangeDue to

Convexityfor 100bps

(%)

Expected priceChange for a100bps rise inyield due to

Duration andConvexityEffect(%)

ActualChange for

100 bpsincrease in

yield

PV01

90 IN00200600118.03% Government of India FCI SpecialBonds, 2024

15-Dec-06 15-Dec-24 5000.00 4809 96.18 8.5020 8.3727 8.41 8.07 89.7674 105.49 91.80 -8.07 0.46 -7.61 -7.63 0.08

91 IN00200890366.35% Oil Marketing CompaniesGovernment of India Special Bonds, 2024

23-Dec-08 23-Dec-24 22000.00 18167 82.58 8.5105 8.3903 8.87 8.50 76.5453 90.74 99.41 -8.50 0.50 -8.01 -8.03 0.07

92 IN00200790297.95% Oil Marketing CompaniesGovernment of India Special Bonds 2025

18-Jan-08 18-Jan-25 11256.92 10750 95.50 8.5066 8.3768 8.52 8.18 88.3605 104.06 93.56 -8.18 0.47 -7.71 -7.73 0.08

93 IN00200790528.40% Oil Marketing CompaniesGovernment of India Special Bonds, 2025

28-Mar-08 28-Mar-25 9296.92 9217 99.14 8.5031 8.3751 8.28 7.94 94.3349 110.57 91.21 -7.94 0.46 -7.48 -7.50 0.08

94 IN0020030071 5.97% 2025 25-Sep-03 25-Sep-25 16687.95 13338 79.92 8.3719 8.2426 9.11 8.75 75.2447 89.63 107.39 -8.75 0.54 -8.21 -8.23 0.07

95 IN0020089069 6.90% OIL MKTG COS GOI SB 2026 04-Feb-09 04-Feb-26 21942.00 19155 87.30 8.4044 8.3937 8.83 8.47 83.4442 98.85 104.15 -8.47 0.52 -7.95 -7.97 0.08

96 IN00200790377.95% Fertilizer Companies Government ofIndia Special Bonds, 2026

18-Feb-08 18-Feb-26 3610.00 3434 95.13 8.5300 8.3479 8.55 8.20 91.0734 107.31 99.20 -8.20 0.50 -7.71 -7.73 0.08

97 IN0020089077 8.00% OIL MKT COS GOI SB 2026 23-Mar-09 23-Mar-26 10000.00 9555 95.55 8.5271 8.4027 8.64 8.29 90.6878 107.04 100.59 -8.29 0.50 -7.78 -7.81 0.08

98 IN00200601028.40% Oil Marketing CompaniesGovernment of India Special Bonds, 2026

29-Mar-07 29-Mar-26 4971.00 4919 98.95 8.5224 8.3985 8.57 8.22 93.8907 110.67 99.25 -8.22 0.50 -7.72 -7.74 0.08

99 IN0020010081 10.18% 2026 11-Sep-01 11-Sep-26 15000.00 17262 115.08 8.4239 8.3625 8.35 8.01 110.0279 129.14 96.67 -8.01 0.48 -7.53 -7.55 0.10

100 IN00200600298.23% Government of India FCI SpecialBonds, 2027

12-Feb-07 12-Feb-27 6200.00 6031 97.28 8.5445 8.4236 8.74 8.38 93.1509 110.15 105.60 -8.38 0.53 -7.85 -7.88 0.08

101 IN0020060078 8.24% Government Stock 2027 15-Feb-07 15-Feb-27 57388.55 56097 97.75 8.4987 8.3651 8.76 8.40 93.5082 110.62 105.99 -8.40 0.53 -7.87 -7.90 0.09

102 IN0020070036 8.26% Government Stock 2027 2-Aug-07 2-Aug-27 49427.33 48340 97.80 8.5104 8.3381 8.84 8.48 93.7720 111.11 109.13 -8.48 0.55 -7.94 -7.96 0.09

103 IN0020070069 8.28% 2027 21-Sep-07 21-Sep-27 1252.24 1226 97.90 8.5160 8.3980 8.97 8.60 92.7232 110.14 111.30 -8.60 0.56 -8.05 -8.08 0.09

104 IN0020020247 6.01% 2028 07-Aug-03 25-Mar-28 15000.00 11603 77.35 8.5493 8.4323 9.75 9.35 72.4912 87.41 128.59 -9.35 0.64 -8.71 -8.74 0.07

105 IN0020030022 6.13% 2028 04-Jun-03 04-Jun-28 11000.00 8613 78.30 8.5512 8.4354 9.90 9.50 72.2195 87.32 131.24 -9.50 0.66 -8.84 -8.87 0.08

106 IN0020060086 8.28% Government Stock 2032 15-Feb-07 15-Feb-32 52687.11 51511 97.77 8.5090 8.4146 9.80 9.40 92.6934 111.88 142.44 -9.40 0.71 -8.69 -8.73 0.10

107 IN0020070044 8.32% Government Stock 2032 2-Aug-07 2-Aug-32 15434.05 15122 97.98 8.5268 8.4244 9.83 9.43 93.1573 112.50 144.66 -9.43 0.72 -8.71 -8.75 0.10

108 IN0020020106 7.95% 2032 28-Aug-02 28-Aug-32 59000.00 55556 94.16 8.5459 8.3951 9.98 9.57 88.8615 107.62 147.97 -9.57 0.74 -8.83 -8.88 0.09

109 IN0020070077 8.33% 2032 21-Sep-07 21-Sep-32 1522.48 1493 98.07 8.5251 8.4235 9.97 9.56 92.0934 111.50 147.18 -9.56 0.74 -8.82 -8.87 0.10

* Weighted Average Duration of all the outstanding securities excluding the FRBs

Note: Prices in Bold are Last traded prices on January 31, 2011. Other prices are CCIL Model Prices

Duration is calculated considering as settlement date.January 31, 2011

Modified Duration =Yield/21

Duration

+

0.01 )2x (P0

2P0( )V +( -+=

V - )Convexity

100 (A))01.0((%)100bpsforDurationModifiedtoDueChangePrice modx= Dur

100 (B))01.0(Convexity(%)100bpsforConvexitytoDueChangePrice 2=

Expected price Change due to Duration and Convexity Effect (%) = (A) + (B)

100(%)100bpsforChangeActual0

0-=

+

P

PV

V+ denotes the price due to 100 bps increase in yield; V- denotes the price due to 100 bps decrease in yield.

Where denotes the current price before any change in yield.

1

2

3

5

6

7

8 PV01 denotes the difference between the actual price and the price of the security for 1 bp change in the yield.

4

P0

x

x x

x

THE CLEARING CORPORATION OF INDIA LTD.

59

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

PriceYield(%)

Yield (%)(PreviousMonth)

DurationMod

DurationV+ (for100bps)

V- (for100bps)

ConvexityMeasure

PriceChangeDue to

ModifiedDurationfor 100bps

(%)

PriceChangeDue to

Convexityfor 100bps

(%)

Expected priceChange for a100bps rise inyield due to

Duration andConvexityEffect(%)

ActualChange for

100 bpsincrease in

yield

PV01

110 IN0020040039 7.50% 2034 10-Aug-04 10-Aug-34 60000.00 53670 89.45 8.5477 8.4509 10.34 9.91 84.4802 103.02 162.86 -9.91 0.81 -9.10 -9.15 0.09

111 IN0020050012 7.40% 2035 09-Sep-05 09-Sep-35 42000.00 37055 88.23 8.5526 8.4585 10.57 10.13 82.6170 101.19 171.18 -10.13 0.86 -9.28 -9.34 0.09

112 IN0020060045 8.33% 2036 07-Jun-06 07-Jun-36 59000.00 57365 97.23 8.5985 8.4389 10.62 10.18 89.2177 109.38 171.78 -10.18 0.86 -9.32 -9.38 0.10

113 IN0020080050 6.83% G.S. 2039 19-Jan-09 19-Jan-39 13000.00 10661 82.01 8.5282 8.4403 11.41 10.95 73.9823 92.10 200.76 -10.95 1.00 -9.94 -10.02 0.09

114 IN0020100031 8.30% G.S. 2040 2-Jul-10 2-Jul-40 29000.00 28205 97.26 8.5553 8.4620 11.13 10.67 88.3384 109.38 195.21 -10.67 0.98 -9.70 -9.77 0.10

2303861.21 2231978.18 6.11

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Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

PriceYield(%)

FLOATING RATE BONDS (FRBs)

1 IN0020032028 FRB 2011 (5.99% - 364 day T-Bill) 08-Aug-03 08-Aug-11 6000.00 5968 99.47

2 IN0020032036 FRB 2012 (7.08% - 364 day T-Bill) 10-Nov-03 10-Nov-12 5000.00 5028 100.55

3 IN0020042043 FRB 2013 (6.91% - 364 day T-Bill) 09-Sep-04 10-Sep-13 4000.00 4040 101.00

4 IN0020032010 FRB 2014 (5.10% - 364 day T-Bill) 20-May-03 20-May-14 5000.00 5018 100.35

5 IN0020042027 FRB 2015 (5.66% - 364 day T-Bill) 01-Jul-04 02-Jul-15 6000.00 6047 100.79

6 IN0020042035 FRB 2015 (II) (6.36% - 364 day T-Bill) 09-Aug-04 10-Aug-15 6000.00 6108 101.80

7 IN0020042019 FRB 2016 (5.05% - 364 day T-Bills) 07-May-04 07-May-16 6000.00 6035 100.58

8 IN0020022011 FRB 2017 (7.56% - 364 day T-Bills) 02-Jul-02 02-Jul-17 3000.00 3088 102.93

9 IN0020092071 FRB 2020 (7.23% - 182 day T-Bills) 21-Dec-09 21-Dec-20 8000.00 7584 94.80

10 IN0020042050 FRB 2035 (7.17%- reset every 5 years) 25-Jan-05 25-Jan-35 350.00 341 97.43

49350.00 49256

TREASURY BILL (T-Bills)

1 IN002009Z025 364 DTB 12-Feb-10 10-Feb-11 3014.40 3009 99.83 6.17

2 IN002009Z025 364 DTB 26-Feb-10 25-Feb-11 3000.00 2987 99.56 6.38

3 IN002009Z025 364 DTB 12-Mar-10 11-Mar-11 3113.85 3092 99.31 6.55

4 IN002009Z025 364 DTB 26-Mar-10 25-Mar-11 3000.00 2971 99.04 6.70

5 IN002010Z023 364 DTB 09-Apr-10 08-Apr-11 2025.20 2000 98.76 6.83

6 IN002010Z023 364 DTB 23-Apr-10 22-Apr-11 2000.00 1967 98.37 7.46

7 IN002010Z023 364 DTB 07-May-10 06-May-11 2000.00 1964 98.20 7.05

8 IN002010Z023 364 DTB 21-May-10 20-May-11 2000.00 1958 97.91 7.14

9 IN002010Z023 364 DTB 04-Jun-10 03-Jun-11 1000.00 976 97.62 7.24

10 IN002010Z023 364 DTB 18-Jun-10 17-Jun-11 1157.00 1126 97.34 7.29

11 IN002010Z023 364 DTB 02-Jul-10 01-Jul-11 1194.00 1159 97.05 7.35

12 IN002010Z023 364 DTB 16-Jul-10 15-Jul-11 1000.00 968 96.77 7.38

13 IN002010Z023 364 DTB 30-Jul-10 29-Jul-11 1000.00 965 96.48 7.45

14 IN002010Z023 364 DTB 13-Aug-10 12-Aug-11 1016.80 978 96.19 7.50

15 IN002010Z023 364 DTB 27-Aug-10 26-Aug-11 1046.30 1003 95.90 7.54

16 IN002010Z023 364 DTB 10-Sep-10 08-Sep-11 1000.00 956 95.63 7.57

17 IN002010Z023 364 DTB 24-Sep-10 23-Sep-11 1000.00 953 95.35 7.58

18 IN002010Z023 364 DTB 08-Oct-10 07-Oct-11 2042.30 1941 95.05 7.64

19 IN002010Z023 364 DTB 22-Oct-10 21-Oct-11 2000.00 1895 94.77 7.67

20 IN002010Z023 364 DTB 05-Nov-10 03-Nov-11 2000.00 1892 94.58 7.58

21 IN002010Z023 364 DTB 19-Nov-10 18-Nov-11 2000.00 1884 94.21 7.71

22 IN002010Z023 364 DTB 03-Dec-10 02-Dec-11 1000.00 939 93.93 7.74

23 IN002010Z023 364 DTB 17-Dec-10 15-Dec-11 1000.00 937 93.67 7.75

24 IN002010Z023 364 DTB 31-Dec-10 30-Dec-11 1000.00 934 93.38 7.77

25 IN002010Z023 364 DTB 14-Jan-11 13-Jan-12 1000.00 931 93.10 7.79

26 IN002010Z023 364 DTB 28-Jan-11 27-Jan-12 1000.00 928 92.83 7.81

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Note: Prices in Bold are Last traded prices on 3 , 201 . Other prices are CCIL Model PricesDuration is calculated considering s settlement date.

January 1 1January 31, 2011 a

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

PriceYield(%)

27 IN002010Y026 182 DTB 06-Aug-10 04-Feb-11 1500.00 1499 99.93 6.08

28 IN002010Y026 182 DTB 20-Aug-10 18-Feb-11 2000.00 1994 99.69 6.29

29 IN002010Y026 182 DTB 03-Sep-10 04-Mar-11 1500.00 1492 99.44 6.47

30 IN002010Y026 182 DTB 17-Sep-10 18-Mar-11 1500.00 1488 99.17 6.63

31 IN002010Y026 182 DTB 01-Oct-10 01-Apr-11 1500.00 1484 98.92 6.64

32 IN002010Y026 182 DTB 15-Oct-10 15-Apr-11 1000.00 986 98.62 6.89

33 IN002010Y026 182 DTB 29-Oct-10 29-Apr-11 2000.00 1967 98.34 7.02

34 IN002010Y026 182 DTB 12-Nov-10 13-May-11 2500.00 2451 98.06 7.09

35 IN002010Y026 182 DTB 26-Nov-10 27-May-11 2000.00 1957 97.84 6.94

36 IN002010Y026 182 DTB 10-Dec-10 10-Jun-11 1000.00 975 97.47 7.29

37 IN002010Y026 182 DTB 24-Dec-10 24-Jun-11 1000.00 972 97.19 7.32

38 IN002010Y026 182 DTB 07-Jan-11 08-Jul-11 1500.00 1454 96.91 7.38

39 IN002010Y026 182 DTB 21-Jan-11 22-Jul-11 1500.50 1448 96.52 7.66

40 IN002010X028 91 DTB 05-Nov-10 03-Feb-11 5375.00 5373 99.96 4.38

41 IN002010X028 91 DTB 12-Nov-10 11-Feb-11 7075.00 7055 99.72 9.48

42 IN002010X028 91 DTB 19-Nov-10 18-Feb-11 4500.00 4486 99.69 6.28

43 IN002010X028 91 DTB 26-Nov-10 25-Feb-11 5500.00 5476 99.56 6.38

44 IN002010X028 91 DTB 03-Dec-10 04-Mar-11 4500.00 4471 99.36 7.33

45 IN002010X028 91 DTB 10-Dec-10 11-Mar-11 4500.00 4469 99.31 6.55

46 IN002010X028 91 DTB 17-Dec-10 18-Mar-11 5000.00 4955 99.11 7.17

47 IN002010X028 91 DTB 24-Dec-10 25-Mar-11 3000.00 2971 99.04 6.65

48 IN002010X028 91 DTB 31-Dec-10 01-Apr-11 5000.00 4946 98.92 6.64

49 IN002010X028 91 DTB 07-Jan-11 08-Apr-11 4500.00 4444 98.76 6.87

50 IN002010X028 91 DTB 14-Jan-11 15-Apr-11 4500.00 4438 98.62 6.91

51 IN002010X028 91 DTB 21-Jan-11 22-Apr-11 4502.00 4434 98.49 6.91

52 IN002010X028 91 DTB 28-Jan-11 29-Apr-11 5860.90 5765 98.37 6.87

126923.25 124764.78

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Note: Does not include Power Bonds

TABLE 4: STATE DEVELOPMENT LOANS (SDLS)

State/Union Territory No. of Bonds Outstanding (` Crore) Wtd. Avg. Coupon (%)

Andhra Pradesh 84 60182.77 7.89

Arunachal Pradesh 35 663.46 7.67

Assam 41 10332.56 7.97

Bihar 38 17077.94 7.76

Chhattisgarh 18 2506.89 7.28

Goa 36 2609.86 7.86

Gujarat 61 43262.82 7.76

Haryana 36 13236.84 7.74

Himachal Pradesh 51 8629.26 7.68

Jammu & Kashmir 56 10118.26 8.12

Jharkhand 38 7746.61 7.67

Karnataka 38 24562.97 7.69

Kerala 66 27743.32 7.83

Madhya Pradesh 51 23326.06 7.77

Maharashtra 63 66250.41 7.79

Manipur 37 1916.93 7.73

Meghalaya 44 1765.60 7.87

Mizoram 38 1185.55 7.91

Nagaland 47 2900.65 7.84

Orissa 26 6291.02 7.20

Puducherry 7 1387.43 8.36

Punjab 65 26235.90 7.82

Rajasthan 72 33981.07 7.78

Sikkim 28 1235.44 7.78

Tamil Nadu 75 49672.06 7.86

Tripura 31 1453.12 7.61

Uttar Pradesh 66 65032.71 7.99

Uttrakhand 36 7205.92 7.52

West Bengal 76 67321.18 7.88

1360 585834.62

TABLE 5: OUTSTANDING - GOVERNMENT SECURITIES, TREASURY BILLS AND STATE DEVELOPMENT LOANS

Amount Crore` Amount Crore`

Note: Data on SDLs does not include Power Bonds

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MonthGovernment

SecuritiesTreasury

Bills

StateDevelopment

Loans

Apr-05 901997.98 78347.59 218075.65

May-05 912527.77 82165.74 218375.65

Jun-05 929979.88 90331.59 225929.72

Jul-05 941979.88 83796.09 228320.37

Aug-05 944979.88 95621.69 228320.37

Sep-05 957497.26 103942.30 228570.37

Oct-05 932367.49 105231.80 232340.93

Nov-05 965451.90 101083.56 232340.93

Dec-05 973451.90 80417.30 232715.93

Jan-06 983451.90 72232.94 233077.07

Feb-06 997121.18 67298.85 234260.04

Mar-06 1018621.18 70905.72 237984.24

Apr-06 1020121.18 67072.91 239804.87

May-06 1029072.84 76150.24 240104.87

Jun-06 1043942.84 76537.87 240763.49

Jul-06 1051942.84 84100.94 240763.49

Aug-06 1063882.03 92801.37 242221.82

Sep-06 1072882.03 95251.47 243271.82

Oct-06 1091856.02 93358.52 243271.82

Nov-06 1103856.02 99852.39 243473.15

Dec-06 1123116.81 96859.85 245904.37

Jan-07 1127268.03 102420.08 247867.61

Feb-07 1154702.69 108913.26 247472.70

Mar-07 1181603.52 115473.69 251072.27

Apr-07 1193903.52 119965.64 254078.59

May-07 1200403.52 126189.40 250533.80

Jun-07 1225403.52 145981.76 252283.80

Jul-07 1251403.52 151565.34 255849.38

Aug-07 1295914.84 156379.61 253433.89

Sep-07 1317484.84 147411.54 256918.33

Oct-07 1362127.88 159450.17 259992.07

Nov-07 1382506.38 146252.36 262886.53

Dec-07 1389507.17 126327.36 268186.53

Jan-08 1408888.64 126951.13 276361.79

Feb-08 1425466.64 123605.11 289973.52

Mar-08 1434086.40 136139.95 302724.48

MonthGovernment

SecuritiesTreasury

Bills

StateDevelopment

Loans

Apr-08 1474383.32 139593.07 310302.66

May-08 1475406.64 147979.97 307821.10

Jun-08 1488021.91 132825.20 311085.20

Jul-08 1502365.10 133659.95 313385.20

Aug-08 1503865.10 134160.86 313885.20

Sep-08 1516355.10 135751.52 315762.92

Oct-08 1526056.63 141434.52 318774.92

Nov-08 1548689.18 149632.01 319041.09

Dec-08 1585092.50 145070.40 327486.09

Jan-09 1620512.50 146566.95 338191.45

Feb-09 1675454.50 146762.02 356629.49

Mar-09 1706082.83 150273.80 369290.70

Apr-09 1715696.03 163472.50 414068.98

May-09 1763993.85 148275.25 414563.33

Jun-09 1801993.85 146874.80 421563.33

Jul-09 1852993.85 141338.92 427513.33

Aug-09 1888993.85 138854.64 437472.91

Sep-09 1945300.18 141887.94 452223.35

Oct-09 1975300.18 134980.94 465742.01

Nov-09 2004300.18 134014.74 476964.28

Dec-09 2030300.18 134764.74 489096.47

Jan-10 2029064.40 134753.74 496442.94

Feb-10 2033844.94 134660.14 509676.73

Mar-10 2033451.94 137466.34 517405.62

Apr-10 2082451.94 136489.04 521551.88

May-10 2107575.72 144488.54 529259.38

Jun-10 2140802.69 131988.54 534974.23

Jul-10 2148674.69 116883.22 540925.06

Aug-10 2197931.41 122828.95 547425.91

Sep-10 2242681.41 123295.65 554535.06

Oct-10 2273533.10 127892.94 565736.86

Nov-10 2306528.10 117768.94 573111.86

Dec-10 2329056.86 125268.94 579026.86

Jan-11 2353211.21 126923.25 585834.62

TABLE :6 COMPOSITION OF CCIL BROAD INDEX

CCIL INDICES

CHART 1 : MOVEMENT OF CCIL BOND INDICES (JAN'04 - JAN'11)

* COMPOSITION OF CCIL LIQUID INDEX

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Sr. No. Security

1 8.13% G.S. 2022*

2 7.99% G.S. 2017*

3 8.08% G.S. 2022*

4 7.80% G.S. 2020*

5 7.17% G.S. 2015*

6 8.26% G.S. 2027

7 7.49% G.S. 2017

8 8.30% G.S. 2040

9 7.46% G.S. 2017

10 7.02% G.S. 2016

11 8.24% G.S. 2027

12 8.20% G.S. 2022

13 7.32% G.S. 2014

14 6.35% G.S. 2020

15 6.49% G.S. 2015

16 8.28% G.S. 2032

17 8.33% G.S. 2036

18 7.37% G.S. 2014

19 7.27% G.S. 2013

20 7.95% G.S. 2032

700

750

800

850

900

950

1000

1050

1100

De

c-0

3

Ma

y-0

4

Se

p-0

4

Ja

n-0

5

Ma

y-0

5

Se

p-0

5

Ja

n-0

6

Ma

y-0

6

Se

p-0

6

Ja

n-0

7

Ma

y-0

7

Se

p-0

7

Ja

n-0

8

Ma

y-0

8

Se

p-0

8

Ja

n-0

9

Ma

y-0

9

Se

p-0

9

Ja

n-1

0

Ma

y-1

0

Se

p-1

0

Ja

n-1

1

PR

I

900

1000

1100

1200

1300

1400

1500

TR

I

CCIL BROAD PRI CCIL LIQUID PRI CCIL BROAD TRI CCIL LIQUID TRI

TH

EC

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OR

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ION

OF

IND

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D.

CHART 2: MOVEMENT OF CCIL T-BILL INDEX (JAN'04 - JAN'11)

CHART 3: MOVEMENT OF CCIL ALL SOVEREIGN BONDS INDEX (JAN'04 - JAN'11)

65

100

105

110

115

120

125

130

135

Jan

-04

Ma

y-0

4

Se

p-0

4

Jan

-05

Ma

y-0

5

Se

p-0

5

Jan

-06

Ma

y-0

6

Se

p-0

6

Jan

-07

Ma

y-0

7

Se

p-0

7

Jan

-08

Ma

y-0

8

Se

p-0

8

Jan

-09

Ma

y-0

9

Se

p-0

9

Jan

-10

Ma

y-1

0

Se

p-1

0

Jan

-11

CCIL Liquidity Weight Index CCIL Equal Weight Index

700

750

800

850

900

950

1000

1050

Dec

-03

May

-04

Sep

-04

Jan

-05

May

-05

Sep

-05

Jan

-06

May

-06

Sep

-06

Jan

-07

May

-07

Sep

-07

Jan

-08

May

-08

Sep

-08

Jan

-09

May

-09

Sep

-09

Jan

-10

May

-10

Sep

-10

Jan

-11

PR

I

900

950

1000

1050

1100

1150

1200

1250

1300

1350

TR

I

CASBI PRI CASBI TRI

CHART 4A: MOVEMENT OF CCIL TENOR INDEX PRI (JAN'04 - JAN'11)

CHART4B: MOVEMENT OF CCIL TENOR INDEX TRI (JAN'04 - JAN'11)

CHART 5: MOVEMENT OF SDL INDEX (JAN'04 - JAN'11)

TH

EC

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RP

OR

AT

ION

OF

IND

IALT

D.

66

650

700

750

800

850

900

950

1000

1050

Dec

-03

May

-04

Sep

-04

Jan

-05

May

-05

Sep

-05

Jan

-06

May

-06

Sep

-06

Jan

-07

May

-07

Sep

-07

Jan

-08

May

-08

Sep

-08

Jan

-09

May

-09

Sep

-09

Jan

-10

May

-10

Sep

-10

Jan

-11

PR

I

Upto 5 Years 5-10 Years 10-15 Years 15-20 Years 20-30 Years

850

925

1000

1075

1150

1225

1300

1375

1450

De

c-0

3

Ma

y-0

4

Se

p-0

4

Jan

-05

Ma

y-0

5

Se

p-0

5

Jan

-06

Ma

y-0

6

Se

p-0

6

Jan

-07

Ma

y-0

7

Se

p-0

7

Jan

-08

Ma

y-0

8

Se

p-0

8

Jan

-09

Ma

y-0

9

Se

p-0

9

Jan

-10

Ma

y-1

0

Se

p-1

0

Jan

-11

TR

I

Upto 5 Years 5-10 Years 10-15 Years 15-20 Years 20-30 Years

850

900

950

1000

1050

1100

1150

Jan

-07

May

-07

Sep

-07

Jan

-08

Ma

y-0

8

Se

p-0

8

Jan

-09

May

-09

Se

p-0

9

Jan

-10

Ma

y-1

0

Se

p-1

0

Jan

-11

PR

I

950

1000

1050

1100

1150

1200

1250

1300T

RI

CCIL SDL PRI CCIL SDL TRI

CHART 6: MOVEMENT OF CCIL CCBOR (JAN'04 - JAN'11)

CHART 7: MOVEMENT OF CCIL MIBOR (JAN'06 - JAN'11)

TH

EC

LE

AR

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RP

OR

AT

ION

OF

IND

IALT

D.

67

0

4

8

12

16

20

24

28

Jan

-04

May

-04

Sep

-04

Jan

-05

May

-05

Sep

-05

Jan

-06

May

-06

Sep

-06

Jan

-07

May

-07

Sep

-07

Jan

-08

May

-08

Sep

-08

Jan

-09

May

-09

Sep

-09

Jan

-10

May

-10

Sep

-10

Jan

-11

CCBOR 10.00 A.M.

0

10

20

30

40

50

60

70

Sep

-06

Dec

-06

Mar

-07

Jun-0

7

Sep

-07

No

v-0

7

Feb

-08

May

-08

Aug

-08

Nov-0

8

Feb

-09

May

-09

Jul-

09

Oct

-09

Jan-1

0

Apr-

10

Jul-

10

Oct

-10

Jan-1

1

CCIL MIBOR (10.00 A.M.)

TABLE 7: PERFORMANCE OF CCIL INDICES AS AT END OF JANUARY 2011

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OF

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D.

CCIL Indices One Month Three Months Six Months Year

Bond Index Broad TRI -0.3445 0.5747 1.2615 3.0517

Bond Index Broad PRI -1.0664 -0.6964 -1.4763 -2.9610

Bond Index Liquid TRI -0.5914 0.7867 1.0632 3.1171

Bond Index Liquid PRI -1.2951 -0.5873 -1.8714 -2.8663

CASBI TRI -0.3333 0.5890 1.1227 3.0536

CASBI PRI -1.0543 -0.6808 -1.6752 -2.9941

Tenor Index (upto 5 yrs) TRI 0.1658 0.5214 0.8944 2.7354

Tenor Index (upto 5 yrs) PRI -0.3794 -0.7513 -1.9409 -3.2574

Ten or Index (5 - 10 yrs) TRI -0.5121 0.6684 1.0121 2.8593

Tenor Index (5 - 10 yrs) PRI -1.3009 -0.5613 -1.7907 -3.1427

Tenor Index (10 - 15 yrs) TRI -0.4926 0.6538 1.3907 3.0299

Tenor Index (10 - 15 yrs) PRI -1.3250 -0.6037 -1.3712 -3.1312

Tenor Index (15 - 20 yrs) TRI -0.2877 0.7980 1.9268 4.2898

Tenor Index (15 - 20 yrs) PRI -1.0397 -0.4684 -0.7385 -1.6339

Tenor Index (20 - 30 yrs) TRI -0.4812 0.3222 0.8712 3.1799

Tenor Index (20 - 30 yrs) PRI -1.3303 -1.1326 -2.2022 -3.1882

CCIL Liquidity Weight T -Bill Index 0.3648 1.0636 1.9274 3.0991

CCIL Equal Weight T-Bill Index 0.3311 1.0123 1.6931 2.4867

CCIL SDL Index TRI -0.4384 0.8785 1.9252 5.2398

CCIL SDL Index PRI -1.2377 -0.9167 -1.6287 -1.7698

TECHNICAL ANALYSIS

CHART 8: CALL RATE MOVEMENT - (NOV'10 TO JAN'11)

CHART 9: REPO RATE MOVEMENT - (NOV'10 TO JAN'11)

TH

EC

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OR

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ION

OF

IND

IALT

D.

69

6.25

6.45

6.65

6.85

7.05

7.25

7.45

1-N

ov-10

8-N

ov-10

15-N

ov-10

22-N

ov-10

29-N

ov-10

6-D

ec-1

0

13-D

ec-1

0

20-D

ec-1

0

27-D

ec-1

0

3-Ja

n-11

10-Jan

-11

17-Jan

-11

24-Jan

-11

31-Jan

-11

(%)

CallRate Mean 1SD+ 1SD-

5.90

6.15

6.40

6.65

6.90

1-N

ov-10

8-N

ov-10

15-N

ov-10

22-N

ov-10

29-N

ov-10

6-D

ec-1

0

13-D

ec-1

0

20-D

ec-1

0

27-D

ec-1

0

3-Ja

n-11

10-Jan

-11

17-Jan

-11

24-Jan

-11

31-Jan

-11

(%)

RepoRate Mean 1SD+ 1SD-

CHART 11: 10-YEAR YIELD MOVEMENT - (NOV'10 TO JAN'11)

CHART 12: EXCHANGE RATE MOVEMENT - (NOV'10 TO JAN'11)

CHART 10: CBLO RATE MOVEMENT - (NOV'10 TO JAN'11)

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5.20

5.40

5.60

5.80

6.00

6.20

6.40

6.60

1-N

ov-10

8-N

ov-10

15-N

ov-10

22-N

ov-10

29-N

ov-10

6-D

ec-1

0

13-D

ec-1

0

20-D

ec-1

0

27-D

ec-1

0

3-Ja

n-11

10-Jan

-11

17-Jan

-11

24-Jan

-11

31-Jan

-11

(%)

CBLORate Mean 1SD+ 1SD-

7.8500

7.9000

7.9500

8.0000

8.0500

8.1000

8.1500

8.2000

8.2500

1-N

ov-1

0

8-N

ov-1

0

15-N

ov-1

0

22-N

ov-1

0

29-N

ov-1

0

6-D

ec-1

0

13-D

ec-1

0

20-D

ec-1

0

27-D

ec-1

0

3-Ja

n-11

10-Ja

n-11

17-Ja

n-11

24-Ja

n-11

31-Ja

n-11

(%)

Yield Mean 1SD+ 1SD-

44.00

44.50

45.00

45.50

46.00

1-N

ov-10

8-N

ov-1

0

15-N

ov-10

22-N

ov-10

29-N

ov-10

6-D

ec-1

0

13-D

ec-1

0

20-D

ec-1

0

27-D

ec-1

0

3-Ja

n-11

10-Jan

-11

17-Jan

-11

24-Jan

-11

31-Jan

-11

Exc

han

geR

ate

(Rs.

/U

S$)

USD Average 1SD+ 1SD-

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The prevailing tight liquidity

conditions and expectations of a

further rate hike has resulted in a

tightening of yields in the

primary market especially so at

the shorter end of the curve.

However despite these tight

conditions, the auctions have

been conducted successfully with

a l ow e r d e vo l v emen t i n

comparison to the previous year.

R B I h a s m o d u l a t e d t h e

borrowing through treasury bills

and government securities in line with the

prevailing liquidity conditions. Taking into

account the need for fiscal consolidation and the

strong buoyancy in tax and non-tax revenue, the

indicative calendar for the issuance of dated

securities during the second half of 2010-11 was

scaled down by 10,000 crore for the month of

December'10. The government has completed 98%

of its total budgeted borrowing for the fiscal as of

January'11.

The total outstanding in the government securities

market at the end of January was 23,53,211 crore.

The weighted average maturity of

the securities outstanding was 9.70

years. The weighted average

coupon of the outstanding

securi t ies was 7 .80%. The

outstanding securities are mostly

concentrated up till the 10 year

maturity, with more than 60% of

the outstanding securities having a

maturity of less than 10 years.

The outstanding treasury bills as

of January 2011 were 126,923 crore Of the total

treasury bills outstanding, 91-day bills had a share

of 50.28%, followed by 364 day bills with a share of

33.57% and finally 182-day bills with 16.15%.

During 2010-11, the government has maintained

the momentum of borrowing from the market as in

the previous fiscal. Total issuance of dated

securities was 417,000 crore till January'11 as

against 410,000 crore during the same period in

2009-10. The total number of issues was 109.

Despite the tight liquidity conditions, these

auctions were largely successful. However in

comparison to the earlier 4 months when there was

`

`

`

`

`

Outstanding Analysis

Issuance

.

29.6534.00

20.94

15.41

0

5

10

15

20

25

30

35

(%)

< 5 years >=5 years <

10 years

>=10 years

< 20 years

>=20 years

Tenorwise Share in G-Sec Outstanding

PRIMARY MARKET ANALYSIS

Primary Auction Devolvements

1386.00

1728.60

2209.60

448.45

0

500

1000

1500

2000

2500

Apr

-10

May

-10

Jun-

10

Jul-1

0

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11

Months

Cro

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no devolvement, January witnessed devolvement to

the tune of 2,210 crore. The total devolvements

till the end of January'11 were 5,772.65 crore.

The borrowing of the central government through

central government securities during the current

fiscal is given in the following table.

In comparison to a weighted average maturity of

11.18 years during the corresponding period of the

previous year, the weighted average maturity of the

borrowing during this fiscal till January was 11.56

years. Similarly, the weighted average yields were

also slightly higher at 7.89% as against 7.22%

during the previous fiscal. The issuance during this

fiscal has been mainly in the medium tenor

securities i.e. between of residual maturity between

5 to 20 years. However, the tenor of the issuances

has varied and in January they were between 5 to 20

years.

Treasury bill borrowings during the year till

were 207,001 crore in 91-day T-bills, 33,800 crore

in case of 182 day T-Bills and 30,482 crore in 364-

day T-Bills. In comparison to dated securities, T-

Bill cut-offs have hardened substantially in the

auctions. In comparison to January'10, cut-off

yields have hardened to 5.88% (3.44%) for 91-day T-

bills, 6.19% (3.86%) in case of 182-T-Bills and

6.27% (4.32%) for 364 day T-Bills. In comparison

to the previous month, the notifying amounts have

been increased from 2000 crore to 4000 crore in

case of 91-day T-Bills 182-day T-bills, the

amounts increased from to 1000 crore to 1500

crore January'11. Notified amounts remained

unchanged in case of 364-day T-Bills.

`

`

` `

`

` `

` `

Borrowing - Government Securities

Treasury Bills

Treasury Bill - Borrowing

January

and for

MonthNotified Amounts

(` Crore)

Apr-10 49000

May-10 52000

Jun-10 50000

Jul-10 50000

Aug-10 49000

Sep-10 34000

Oct-10 44000

Nov-10 33000

Dec-10 23000

Jan-11 33000

Total 417000

11.11

32.35

35.14

32.35

18.92

20.59

17.24

14.71

17.24

8.11

33.33

24.14

37.84

44.44

41.38

11.11

Apr'10-June'10

July'10-Sept'10

Oct'10-Dec'10

Jan'11

(%)

< 5 years >=5 years < 10 years

>=10 years < 20 years >=20 years

Tenorwise share in Issuances

Notified Amounts ( ` Crore)Month

91-day 182-day 364-day

Apr-10 28000 4000 4000

May-10 28000 4000 4000

Jun-10 10000 2000 3000

Jul-10 8000 3000 2000

Aug-10 28000 3000 2000

Sep-10 10000 4500 2000

Oct-10 16000 4000 4000

Nov-10 16000 4000 4000

Dec-10 14000 2000 3000

Jan-11 16000 3000 2000

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Treasury bill cut-off yields have continuously

moved higher during the year, with the sharpest

increase being in case of the 91-day security. Cut-off

yields have moved by almost 300 bps as of

January'11 in comparison to the start of the fiscal.

The bid-to-cover ratio reflects the market interest in

the auctions and a higher ratio indicates a better

response to the auction being conducted.

The bid-to-cover ratio in the primary auctions

which edged lower after August'10, has seen an

upward movement after November. Except for 91-

day T-Bills, bid-to-cover ratio has moved lower

during January'11.

State government borrowings have moderated

during this fiscal as compared to the previous

fiscal. SDL borrowings were 82,964 crore during

the current fiscal till December, compared with

1,08,913 crore during the comparative period of

2009-10. The average monthly borrowing was at

around 8,000 crore. The weighted average coupon

of the SDL securities issued during the year was

higher at 8.37% as compared to 8.04% during the

corresponding period of the previous year.

Cut-off Yields - Treasury Bills

Bid to Cover Ratio

Average Bid-to-Cover Ratio

State Development Loans

`

`

`

Average Cut-off Yields (%)Month

91-day 182-day 364-day

Apr-10 4.1436 4.6373 5.0725

May-10 4.3898 4.7635 4.9233

Jun-10 5.2912 5.3112 5.4895

Jul-10 5.5612 5.8621 5.9944

Aug-10 6.1495 6.4053 6.4800

Sep-10 6.1412 6.4587 6.5882

Oct-10 6.6463 6.9406 6.9711

Nov-10 6.8225 7.1985 7.1376

Dec-10 7.1443 7.3169 7.3663

Jan-11 7.1650 7.3708 7.5940

MonthDated

Securities91-day 182-day 364 day

Apr-10 2.60 3.10 3.31 3.37

May-10 2.27 2.54 2.82 4.10

Jun-10 2.31 3.61 3.52 2.91

Jul-10 2.36 3.61 2.44 4.26

Aug-10 2.13 2.14 2.22 2.91

Sep-10 2.44 3.11 2.84 3.07

Oct-10 2.04 2.24 2.20 2.46

Nov-10 2.15 2.85 2.34 2.75

Dec-10 2.30 2.83 3.80 4.27

Jan-11 1.94 2.96 2.95 3.76

Month SDL Borrowing (` Crore)

Apr-10 10400

May-10 7708

Jun-10 5715

Jul-10 8319

Aug-10 7921

Sep-10 9800

Oct-10 11202

Nov-10 7375

Dec-10 6165

Jan-11 8360

SDL Borrowing

TABLE 8: SECURITIES & MONEY MARKET (PRIMARY): COMPARATIVE DATA

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2010-11 2009-10 2009-10

(upto January 2011) (upto January 2010)

Dated Securities

GOI Borrowing

Total no of Issues (including reissues) 109 105 108

Gross Amount Borrowed Excluding MSS (F.V ` Crore) 417000.00 410000.00 418000.00

Weighted Average Maturity (years) 11.56 11.18 11.17

Weighted Average Yield (%) 7.89 7.22 7.23

Devolvements on PDs(F.V ` Crore) 5772.65 7219.20 7219.20

Private Placements on RBI (F.V ` Crore) - - -

Redemption (F.V ` Crore) 126609.61 130492.21 146487.02

Net Borrowings(F.V ` Crore) 320871.99 308876.68 313010.12

364-Day T-Bill Borrowing (F.V ` Crore) 30481.60 29368.89 41497.14

Total Borrowing (F.V ` Crore) 447481.60 439368.89 459497.14

Budgeted Borrowing (F.V ` Crore) 457143.06 491044.25 451093.25

% Completed of Total Borrowing 97.89 89.48 101.86

Borrowing Under MSS

Total Outstanding (F.V. ` Crore) 0.00 7737.00 2737.00

MSS Ceiling (F.V. ` Crore) 50000.00 50000.00 50000.00

Outstanding as percent of Ceiling (%) 0.00 15.47 5.47

Purchases Under OMO

Dated Securities purchased under OMO 22 47 47

Amount of OMO dated securities purchased (F.V. ` Crore) 67246.28 57486.83 57486.83

Buybacks

Auctions (F.V. ` Crore) 11261.79 - 9113.50

NDS-OM (F.V. ` Crore) 505.00 - 500.00

Cash Management Bill

Amount (F.V Rs Crore) 12000.00 - -

Weighted Average Cut -off (%) 3.90 - -

91 Day Treasury Bills

Amount (F.V ` Crore) 207001.09 258002.50 301503.00

Weighted Average Cut -off (%) 5.88 3.44 3.56

182 Day Treasury Bills

Amount (F.V ` Crore) 33800.50 34375.00 42875.00

Weighted Average Cut -off (%) 6.19 3.86 4.01

364 Day Treasury Bill

Amount (F.V ` Crore) 30481.60 29368.89 41497.14

Weighted Average Cut -off (%) 6.27 4.32 4.53

Benchmark Rates

Bank Rate(% p.a)(Effective Date) 6.00 (29-04-03) 6.00 (29-04-03) 6.00 (29-04-03)

CRR Rate (% p.a.)(Effective Date) 6.00 (24-04-10) 5.00 (17-01-09) 5.75 (27-02-10)

Reverse Repo Rate(%)(Effective Date) 5.50 (25-01-11) 3.25 (21-04-09) 3.50 (19-03-10)

Repo Rate (%) (Effective Date) 6.50 (25-01-11) 4.75 (21-04-09) 5.00 (19-03-10)

Call Money Range(%) 3.71 - 8.06 1.68 - 4.36 1.68 - 4.91

CHART 13: PRIMARY ACTIVITY IN GOVERNMENT SECURITIES MARKET

Amount Crore`

CHART 14: RBI PURCHASE/SALE OF USD

TABLE 9: AUCTION SUMMARY - 2010-11

Note: No MSS auctions during the year.

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Normal AuctionMonth

Dated Securities CMB 91-Day T-Bills 182-Day T-Bills 364-Day T-Bills

April-10 49000 0 28000 4000 4025

May-10 52000 12000 28000 4000 4000

June-10 50000 0 11500 2000 3351

July-10 50000 0 10354 3300 2000

August-10 49000 0 33425 3500 2063

September-10 34000 0 13500 4500 2000

October-10 44000 0 18409 3000 4042

November-10 33000 0 22450 4500 4000

December-10 23000 0 22000 2000 3000

January-11 33000 0 19363 3001 2000

2010-11 417000 12000 207001 33801 30482

-90000

-70000

-50000

-30000

-10000

10000

30000

50000

70000

90000

Ap

r-06

Jul-

06

Oct

-06

Jan

-07

Ap

r-07

Jul-

07

Oct

-07

Jan

-08

Ap

r-08

Jul-

08

Oct

-08

Jan

-09

Ap

r-09

Jul-

09

Oct

-09

Jan

-10

Ap

r-10

Jul-

10

Oct

-10

Jan

-11

Borrowing Redemption

()

`A

mount

Cro

re

-25000

-20000

-15000

-10000

-5000

0

5000

10000

15000

Ap

r-0

6

Sep

-06

Feb

-07

Jul-

07

Dec

-07

May

-08

Oct

-08

Mar

-09

Aug-

09

Jan

-10

Jun

-10

No

v-1

0

Month

(Am

oun

tin

USD

Mill

ion

)

Purchase Sale

TA

BLE

10:C

CIL

SETTLEM

EN

TV

OLU

MES

Am

ount

Cro

re`

*Com

men

ced

oper

atio

nsfr

om

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mber

12,2

002,

Cas

han

dTo

mse

ttle

men

tis

wit

hef

fect

from

Feb

ruar

y5,

2004

.

**C

om

men

ced

oper

atio

nsfr

om

Januar

y20

,200

3.

STA

TIS

TIC

S

TH

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AT

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OF

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76

Outr

ight

Rep

oFore

x*

CBLO

**Set

tlem

ent

Per

iod

No

of

trad

esVolu

me

Avg

.Tra

des

Avg

.Vol

No

of

trad

esVolu

me

Avg

.Tra

des

Avg

.Vol

No

of

trad

es

Volu

me

(USD

Million)

Avg

.Tra

des

Avg

.Vol

(USD

Million)

No

of

trad

esVolu

me

Avg

.Tra

des

Avg

.Vol

2002-0

319

1843

1076

147

646

3623

1167

246

8229

3915

7710

0232

1361

0211

0114

9615

985

23

16

2003-0

424

3585

1575

133

820

5303

2092

794

3189

7132

0833

0517

5013

4214

2521

6130

6076

851

1026

2

2004-0

516

0682

1134

222

550

3884

2436

415

5790

783

5335

4663

2789

9782

1976

3813

2935

197

6790

101

3345

2005-0

612

5509

8647

5146

732

1525

673

1694

509

8858

0348

9649

1179

688

2084

5020

6746

329

5313

422

910

045

2006-0

713

7100

1021

536

562

4187

2900

825

5650

199

8755

6068

0817

7698

125

5074

6685

881

4732

271

292

1609

6

2007-0

818

8843

1653

851

765

6696

2661

239

4875

191

1352

375

7074

3133

665

3181

1316

711

3277

8110

828

385

2758

8

2008-0

924

5964

2160

233

1047

9192

2428

040

9428

685

1426

683

7520

3758

904

3657

1641

411

8941

8824

784

414

3074

8

2009-1

031

6956

2913

890

1332

1224

328

651

6072

829

101

2130

888

3949

2988

971

3843

1299

614

2052

1554

1378

498

5453

1

Apr-

10

2656

626

9331

1398

1417

522

5746

7332

9820

319

8849

231

1594

4657

1640

011

807

1170

497

513

5089

1

May

-10

4558

641

8093

2279

2090

523

5742

2637

9817

610

9482

731

6783

4991

1667

310

958

1014

579

457

4227

4

Jun-1

038

869

3481

3217

6715

824

1956

2464

9675

9481

1060

5435

0142

4821

1591

611

907

8089

2845

831

113

Jul-10

2469

723

1917

1176

1104

423

9031

2297

9212

011

9177

830

8188

4370

1467

611

156

7566

5342

929

102

Aug-

10

3110

128

2295

1481

1344

321

3438

8768

8515

551

8927

234

6491

4251

1650

013

508

1129

515

540

4518

1

Sep

-10

2897

725

0498

1449

1252

522

4436

4877

9815

864

9138

532

6124

4810

1716

413

004

1224

126

565

5322

3

Oct

-10

2642

222

9363

1258

1092

227

4236

1513

110

1446

111

0952

4248

4955

4821

242

1431

910

9576

857

343

831

Nov-

10

2087

716

7619

1044

8381

2157

2391

1890

9963

9721

842

9932

5401

2388

511

417

7910

6747

632

961

Dec

-10

2132

316

5897

969

7541

2565

3248

1510

312

993

9847

534

2980

4476

1559

012

556

1094

591

502

4378

4

Jan-1

118

741

1499

4193

774

9720

6728

8528

8311

541

1008

1833

0748

5306

1740

812

159

1120

387

486

4481

5

2010-1

1(U

pto

Januar

y2011)

2831

5925

1308

513

7512

199

2286

934

1638

293

1388

896

9271

3487

830

4846

1743

912

2791

1020

6112

499

4148

8

Market Share (%)

TABLE 1 :2 CATEGORYWISE SELLING ACTIVITY Market Share (%)

TABLE :11 CATEGORYWISE BUYING ACTIVITY

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Category Outright Reverse RepoCBLO

LendingNDS-CallLending

Forex IRS-MIBOR IRS-MIFOR

Co-operative Banks 2.52 0.07 0.35 3.83 0.14 - -

Financial Institutions 0.35 0.03 0.46 - 0.01 - -

Foreign Banks 35.93 19.27 0.73 10.37 53.39 85.55 94.69

Insurance Companies 1.19 4.88 8.23 - - - -

Mutual Funds 6.27 61.13 80.24 - - - -

Other Corporates 3.33 0.07 1.32 - - - -

Primary Dealers 15.55 2.95 0.09 0.03 - 5.88 0.00

Private Sector Banks 10.84 8.68 0.51 4.70 18.37 7.56 5.31

Public Sector Banks 24.01 2.91 8.07 81.08 28.09 1.01 0.00

Category Outright RepoCBLO

BorrowingNDS-CallBorrowing

Forex IRS-MIBOR IRS-MIFOR

Co-operative Banks 2.42 5.68 5.18 0.47 0.14 - -

Financial Institutions 0.15 0.00 3.59 - 0.02 - -

Foreign Banks 35.66 26.54 14.48 23.28 53.91 82.61 74.91

Insurance Companies 1.52 0.00 0.01 - - - -

Mutual Funds 6.00 0.00 0.52 - - - -

Other Corporates 0.24 0.00 9.85 - - - -

Primary Dealers 23.53 19.92 2.57 11.16 - 8.43 0.00

Private Sector Banks 11.03 34.63 18.03 38.24 17.58 7.74 25.09

Public Sector Banks 19.45 13.24 45.78 26.85 28.35 1.23 0.00

CHART 15: BUSINESS GROWTH

GOVERNMENT SECURITIES MARKET

SETTLEMENT ANALYSIS

NUMBER OF PARTICIPANTS: 165

TABLE 13: SETTLEMENT VOLUMES: TRADE TYPE percent

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Outright Repo

Proprietary Constituent Proprietary ConstituentSettlement Period

Trades Volume Trades Volume Trades Volume Trades Volume

2002-03 80.54 87.54 19.46 12.46 99.58 99.81 0.42 0.19

2003-04 75.82 85.03 24.18 14.97 88.11 89.96 11.89 10.04

2004-05 75.96 81.95 24.04 18.05 81.83 86.21 18.17 13.79

2005-06 78.55 85.37 21.45 14.63 70.00 82.77 30.00 17.23

2006-07 87.78 90.06 12.22 9.94 70.67 85.01 29.33 14.99

2007-08 90.26 90.55 9.74 9.45 70.74 83.79 29.26 16.21

2008-09 89.48 88.32 10.52 11.68 72.60 87.98 27.40 12.02

2009-10 90.16 90.56 9.84 9.44 81.01 94.03 18.99 5.97

Apr-10 90.94 91.42 9.06 8.58 83.52 92.06 16.48 7.94

May-10 92.34 92.54 7.66 7.46 82.73 91.34 17.27 8.66

Jun-10 91.83 92.81 8.17 7.19 75.82 84.99 24.18 15.01

Jul-10 88.35 89.42 11.65 10.58 79.54 89.21 20.46 10.79

Aug-10 89.67 91.32 10.33 8.68 80.41 91.16 19.59 8.84

Sep-10 89.61 90.53 10.39 9.47 78.70 89.75 21.30 10.25

Oct-10 89.67 88.37 10.33 11.63 83.33 91.26 16.67 8.74

Nov-10 89.05 87.26 10.95 12.74 78.26 85.94 21.74 14.06

Dec-10 87.44 86.40 12.56 13.60 80.12 87.84 19.88 12.16

Jan-11 86.05 84.62 13.95 15.38 77.46 87.30 22.54 12.70

2010-11 (Upto January 2011) 89.94 90.22 10.06 9.78 80.15 89.53 19.85 10.47

0

100000

200000

300000

400000

500000

600000

700000

Ap

r-03

Jul-

03

No

v-03

Mar

-04

Jul-

04

No

v-04

Mar

-05

Jul-

05

No

v-05

Mar

-06

Jul-

06

Oct

-06

Feb

-07

Jun

-07

Oct

-07

Feb

-08

Jun

-08

Oct

-08

Feb

-09

Jun

-09

Oct

-09

Feb

-10

Jun

-10

Sep

-10

Jan

-11

Vo

lum

es(F

.V.

Cro

re)

Outright Repo

`

percentTABLE 14: DEAL SIZE ANALYSIS

TH

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AR

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CO

RP

OR

AT

ION

OF

IND

IALT

D.

79

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

Period % to totaltrades

% to totalvalue

% to totaltrades

% to totalvalue

% to totaltrades

% to totalvalue

% to totaltrades

% to totalvalue

% to totaltrades

% to totalvalue

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

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

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

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

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

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

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

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

Apr-10 4.84 0.52 64.31 31.72 17.62 17.32 3.95 6.52 9.28 43.92

May-10 3.45 0.43 65.25 35.57 19.32 21.05 4.35 8.05 7.63 34.89

Jun-10 4.15 0.49 64.12 35.79 20.13 22.44 4.47 8.48 7.14 32.80

Jul-10 6.21 0.62 60.57 32.25 19.46 20.68 4.58 8.25 9.19 38.20

Aug-10 5.90 0.62 62.27 34.30 19.38 21.30 4.27 7.94 8.19 35.83

Sep-10 5.03 0.61 65.43 37.85 18.05 20.82 3.97 7.72 7.52 33.00

Oct-10 5.73 0.60 66.58 38.35 16.91 19.43 3.54 6.81 7.24 34.81

Nov-10 6.08 0.70 66.23 41.24 17.84 22.16 3.71 7.72 6.15 28.18

Dec-10 7.48 0.83 65.01 41.78 18.97 24.30 3.36 7.14 5.19 25.96

Jan-11 9.78 1.10 64.25 40.16 16.66 20.74 3.46 7.13 5.85 30.88

2010-11 (UptoJanuary 2011)

5.48 0.60 64.40 36.28 18.62 20.94 4.04 7.67 7.45 34.51

Cen. Govt. Dated Securities Treasury Bills State GovtSettlement Period

VolumesAvg.

Volumes% Share Volumes

Avg.Volumes

% Share VolumesAvg.

Volumes% 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 24699.7 85 2.18

2005-06 657213 2443 76.00 189839 706 21.95 17699.85 66 2.05

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

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

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

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

Apr-10 208456 10971 77.40 53671 2825 19.93 7204 379 2.67

May-10 371385 18569 88.83 41322 2066 9.88 5387 269 1.29

Jun-10 315391 14336 90.60 27214 1237 7.82 5526 251 1.59

Jul-10 207742 9892 89.58 22106 1053 9.53 2069 99 0.89

Aug-10 259473 12356 91.92 20207 962 7.16 2616 125 0.93

Sep-10 231393 11570 92.37 16456 823 6.57 2649 132 1.06

Oct-10 211665 10079 92.28 15642 745 6.82 2055 98 0.90

Nov-10 151253 7563 90.24 13730 687 8.19 2636 132 1.57

Dec-10 151380 6881 91.25 12668 576 7.64 1848 84 1.11

Jan-11 130205 6510 86.84 16120 806 10.75 3616 181 2.41

2010-11 (UptoJanuary 2011)

2238343 10866 89.07 239136 1161 9.52 35606 173 1.42

INSTRUMENTWISE SETTLEMENT VOLUME

TABLE :15 INSTRUMENT WISE BREAKUP OF OUTRIGHT TRADES Amount Crore`

TENOR WISE ACTIVITY

TABLE 16: TENOR WISE SETTLEMENT VOLUME OF CENTRAL GOVERNMENT DATED SECURITIES Amount Crore`

THE CLEARING CORPORATION OF INDIA LTD.

80

2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09 2009 - 10 2010-11Year

Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent

2003 4143 0.40 908 0.06 - - - - - - - - - - - - - -

2004 18834 1.82 19121 1.31 355 0.04 - - - - - - - - - - - -

2005 4516 0.44 11515 0.79 20670 2.40 588 0.09 - - - - - - - - - -

2006 3348 0.32 7140 0.49 17333 2.01 13402 2.04 1788 0.20 - - - - - - - -

2007 5208 0.50 7447 0.51 11540 1.34 15475 2.35 13696 1.55 945 0.06 - - - - - -

2008 36997 3.58 39792 2.73 17615 2.04 13516 2.06 12721 1.44 4554 0.31 34 0.00 - - - -

2009 28970 2.81 46326 3.18 46812 5.43 17366 2.64 25016 2.83 167818 11.43 83527 4.27 10558 0.43 - -

2010 53051 5.14 61320 4.20 89679 10.39 82553 12.56 25661 2.91 92287 6.29 68353 3.50 83959 3.38 15050 0.67

2011 163569 15.85 109046 7.48 59344 6.88 30881 4.70 127894 14.48 17120 1.17 38961 1.99 79534 3.21 27166 1.21

2012 221073 21.42 175576 12.04 40247 4.66 53845 8.19 37727 4.27 8167 0.56 20281 1.04 72980 2.94 56966 2.55

2013 95092 9.21 109775 7.53 18371 2.13 42571 6.48 5172 0.59 43855 2.99 37453 1.92 38992 1.57 31385 1.40

2014 4574 0.44 80334 5.51 52120 6.04 84073 12.79 54025 6.12 21868 1.49 131967 6.75 253953 10.24 20466 0.91

2015 81468 7.89 83088 5.70 218628 25.34 9080 1.38 13742 1.56 51311 3.50 34802 1.78 133507 5.38 186397 8.33

2016 30709 2.98 12883 0.88 17828 2.07 1712 0.26 288462 32.66 14681 1.00 31885 1.63 339902 13.70 130585 5.83

2017 182150 17.65 376651 25.82 143535 16.64 148515 22.60 156276 17.69 689901 47.01 114152 5.84 25934 1.05 149780 6.69

2018 5281 0.51 101501 6.96 32204 3.73 9091 1.38 1267 0.14 1241 0.08 835919 42.75 3800 0.15 837 0.04

2019 10225 0.99 57441 3.94 19353 2.24 1164 0.18 791 0.09 469 0.03 47632 2.44 617767 24.90 2249 0.10

2020 650 0.06 54650 3.75 14944 1.73 642 0.10 841 0.10 132 0.01 412 0.02 478059 19.27 825845 36.90

2021 23115 2.24 6658 0.46 1488 0.17 93406 14.21 32137 3.64 8326 0.57 72525 3.71 121981 4.92 605 0.03

2022 28641 2.77 38731 2.66 12404 1.44 7409 1.13 4609 0.52 85432 5.82 30575 1.56 35552 1.43 680384 30.40

2023 - - 34674 2.38 11484 1.33 682 0.10 653 0.07 9856 0.67 44389 2.27 13195 0.53 2031 0.09

2024 - - - - - - - - 61 0.01 10058 0.69 21144 1.08 30845 1.24 4488 0.20

2025 - - - - - - - - - - 2419 0.16 25405 1.30 7333 0.30 93 0.00

2026 22939 2.22 3245 0.22 717 0.08 501 0.08 38 0.00 3265 0.22 14453 0.74 19750 0.80 8851 0.40

2027 - - - - - - - - 380 0.04 9849 0.67 58074 2.97 58354 2.35 59794 2.67

2028 - - 16592 1.14 8430 0.98 577 0.09 572 0.06 479 0.03 719 0.04 160 0.01 150 0.01

2032 7632 0.74 4251 0.29 2588 0.30 2306 0.35 2373 0.27 36162 2.46 150727 7.71 15321 0.62 17861 0.80

2034 - - - - 5132 0.59 11113 1.69 36895 4.18 246 0.02 14692 0.75 21224 0.86 748 0.03

2035 - - - - - - 16746 2.55 739 0.08 123 0.01 5011 0.26 6328 0.26 117 0.01

2036 - - - - - - - - 39712 4.50 187143 12.75 60008 3.07 2487 0.10 508 0.02

2039 - - - - - - - - - - - - 12314 0.63 9377 0.38 72 0.00

2040 - - - - - - - - - - - - - - - - 15913 0.71

Total 1032185 100.00 1458665 100.00 862820 100.00 657213 100.00 883248 100.00 1467704 100.00 1955412 100.00 2480850 100.00 2238343 100.00

CHART :17 CATEGORY WISE ANALYSIS OF OUTRIGHT TRADES - NDS AND NDS - OM

CHART 16: TENORWISE ANALYSIS - JANUARY 2011

TABLE 17: INTER-CATEGORY WISE NDS REPORTED OUTRIGHT TRADES - CENTRAL GOVERNMENT SECURITIES (BUY)

Cooperative Banks2.47% ( %)2.47

FIs & Ins.Cos% ( %)1.6 2.68

Foreign Banks% ( %)35.79 29.99

Mutual Funds% ( %)6.14 8.84

Others% (0. %)1.79 0.47

Primary Dealers% ( %)19.54 21.36

Private SectorBanks% ( %)11.85 13.64

Public SectorBanks

20. % ( %)81 20.62

* Figures in bracket relate to previous month

TH

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81

48

15 1412

52

1 1 10

10

20

30

40

50

60

Mar

ket

Sh

are

(%)

2022

2020

2017

2015

2027

2040

2012

2013

2011

Tenor

SELLER

BUYER ForeignBanks

PublicSectorBanks

PrimaryDealers

PrivateSectorBanks

OthersMutualFunds

Ins.Cos

Co-operative

BanksFIs

MarketShare(%)

MarketShare (%)(PreviousMonth)

Foreign Banks 54.59 13.80 19.44 8.48 0.06 2.79 0.53 0.30 0.00 54.79 47.70

Public Sector Banks 59.41 5.62 14.07 8.49 1.77 2.65 5.21 2.79 0.00 11.01 10.56

Primary Dealers 57.44 13.56 6.80 13.46 2.54 3.49 0.99 1.71 0.00 10.53 14.10

Private Sector Banks 27.50 8.02 34.28 15.53 5.15 1.35 1.84 6.34 0.00 9.45 13.88

Others 7.93 0.67 60.44 23.63 0.11 1.69 3.86 1.66 0.00 5.82 1.73

Mutual Funds 43.89 5.49 31.82 14.96 0.00 1.83 1.83 0.19 0.00 5.29 5.58

Ins. Cos 76.44 7.87 5.36 0.09 0.10 3.37 0.00 6.75 0.00 1.72 3.78

Co-operative Banks 8.07 1.81 19.16 27.16 0.00 1.95 4.17 37.68 0.00 1.39 2.66

FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

TABLE : INTER-CATEGORY WISE OUTRIGHT TRADES - TREASURY BILLS (SELL)20 NDS REPORTED

TABLE : INTER-CATEGORY WISE OUTRIGHT TRADES - TREASURY BILLS (BUY)19 NDS REPORTED

TABLE 18: INTER-CATEGORY WISE NDS REPORTED OUTRIGHT TRADES -CENTRAL GOVERNMENT SECURITIES (SELL)

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IND

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D.

82

BUYER

SELLER ForeignBanks

PrimaryDealers

PrivateSectorBanks

PublicSectorBanks

MutualFunds

Co-operative

Banks

Ins.Cos

Others FIsMarketShare(%)

MarketShare (%)(PreviousMonth)

Foreign Banks 60.66 12.27 5.27 13.27 4.71 0.23 2.67 0.94 0.00 49.31 44.60

Primary Dealers 49.05 3.30 14.91 7.13 7.76 1.23 0.43 16.19 0.00 21.72 21.42

Private Sector Banks 42.19 12.88 13.32 8.49 7.20 3.44 0.01 12.48 0.00 11.01 19.38

Public Sector Banks 69.65 13.15 6.98 5.70 2.68 0.23 1.25 0.36 0.00 10.86 6.75

Mutual Funds 58.91 14.17 4.89 11.23 3.73 1.04 2.24 3.79 0.00 2.60 2.59

Co-operative Banks 8.27 9.00 29.95 15.36 0.50 26.26 5.81 4.84 0.00 2.00 2.58

Ins. Cos 19.08 6.87 11.45 37.66 6.36 3.82 0.00 14.76 0.00 1.52 2.46

Others 3.25 27.03 49.21 19.67 0.00 0.00 0.18 0.67 0.00 0.99 0.22

FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

SELLER

BUYER ForeignBanks

PublicSectorBanks

MutualFunds

PrivateSectorBanks

PrimaryDealers

Ins.Cos

Co-operative

BanksOthers FIs

MarketShare(%)

MarketShare (%)(PreviousMonth)

Foreign Banks 16.60 17.80 3.67 17.48 44.44 0.00 0.00 0.00 0.00 45.87 61.57

Public Sector Banks 43.47 17.86 0.00 2.42 34.48 1.73 0.05 0.00 0.00 22.67 18.54

Mutual Funds 38.99 35.58 0.00 10.49 14.94 0.00 0.00 0.00 0.00 12.67 4.24

Private Sector Banks 18.48 26.28 0.00 13.55 41.70 0.00 0.00 0.00 0.00 9.94 4.07

Primary Dealers 83.92 8.65 2.71 4.72 0.00 0.00 0.00 0.00 0.00 7.23 10.43

Ins. Cos 27.89 41.83 13.94 0.00 16.34 0.00 0.00 0.00 0.00 1.41 0.85

Co-operative Banks 0.00 0.00 0.00 40.70 41.72 0.00 17.57 0.00 0.00 0.19 0.23

Others 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.03 0.06

FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

BUYER

SELLER PrimaryDealers

ForeignBanks

PublicSectorBanks

PrivateSectorBanks

MutualFunds

Ins.Cos

Co-operative

BanksOthers FIs

MarketShare(%)

MarketShare (%)(PreviousMonth)

Primary Dealers 0.00 58.95 22.60 11.98 5.47 0.66 0.23 0.10 0.00 34.58 35.24

Foreign Banks 19.76 24.80 32.09 5.98 16.09 1.28 0.00 0.00 0.00 30.70 43.91

Public Sector Banks 3.05 39.74 19.71 12.71 21.94 2.86 0.00 0.00 0.00 20.55 7.88

Private Sector Banks 2.92 68.76 4.71 11.55 11.39 0.00 0.67 0.00 0.00 11.66 10.45

Mutual Funds 9.43 81.13 0.00 0.00 0.00 9.43 0.00 0.00 0.00 2.08 0.28

Ins. Cos 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.39 2.12

Co-operative Banks 0.00 0.00 23.41 0.00 0.00 0.00 76.59 0.00 0.00 0.04 0.11

Others 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

TABLE 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`

Amount Crore`TABLE 22: NETTING FACTOR: SECURITIES

Note: DvP III was introduced since April 2, 2004.

NETTING FACTOR

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83

Settlement Period Gross Net Netting Factor (%)

2002-03 2324017 653519 71.88

2003-04 4038385 979592 75.74

2004-05 4582506 1037355 77.36

2005-06 4460523 905062 79.71

2006-07 6275182 968185 84.57

2007-08 9646481 1596638 83.45

2008-09 10756665 1674892 84.43

2009-10 15502457 2642001 82.96

Apr-10 1218304 274818 77.44

May-10 1297530 238542 81.62

Jun-10 867348 181848 79.03

Jul-10 855256 187639 78.06

Aug-10 1086028 224703 79.31

Sep-10 1002951 228126 77.25

Oct-10 949147 239009 74.82

Nov-10 658074 147733 77.55

Dec-10 817397 187093 77.11

Jan-11 735064 213344 70.98

2010-11 (Upto January 2011) 9487098 2122855 77.62

Settlement Period Gross Net Netting Factor(%)

2004-05 4250540 2462555.71 42.06

2005-06 4384775 2012523 54.10

2006-07 6123933 2418739 60.50

2007-08 9536455 3776777 60.40

2008-09 10365006 3750501 63.82

2009-10 15056277 6461619 57.08

Apr-10 1202038 587054 51.16

May-10 1264737 556812 55.97

Jun-10 845358 358843 57.55

Jul-10 836700 365791 56.28

Aug-10 1068795 436446 59.16

Sep-10 990688 431846 56.41

Oct-10 941055 411879 56.23

Nov-10 653665 281427 56.95

Dec-10 809590 340888 57.89

Jan-11 732048 342264 53.25

2010-11 (Upto January 2011) 9344675 4113249 55.98

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

THE CLEARING CORPORATION OF INDIA LTD.

84

Sr.No.

SecurityMaturity

Date

Days traded(in last 12months)

Volumesettled inlast 12

months (FVin ` Crore)

Percentshare in last12 months

volume

No. ofTrades

(January,2011)

Volume forJanuary -

2011 (FV in` Crore)

Percentshare in(January2011)

MarketCapitalization (FV in `

Crore)

TurnoverRatio*

AverageDaily

TradingValue in last12 months(FV in `

Crore)

AverageDaily

TradingValue inJanuary -

2011 (FV in` Crore)

1 8.08% G.S. 2022 02-Aug-22 108 116350 4.62 4851 32308 24.77 26774.83 434.55 1077.31 1615.40

2 8.13% G.S. 2022 21-Sep-22 149 283004 11.24 4361 30344 23.26 33409.67 847.07 1899.36 1444.95

3 7.17% G.S. 2015 14-Jun-15 158 140279 5.57 1866 15140 11.61 51178.76 274.10 887.84 720.95

4 7.80% G.S. 2020 03-May-20 190 754613 29.98 1834 13592 10.42 58659.96 1286.42 3971.65 679.60

5 7.99% G.S. 2017 09-Jul-17 101 104958 4.17 1042 9313 7.14 58568.95 179.20 1039.19 465.65

6 7.49% G.S. 2017 16-Apr-17 61 12510 0.50 809 7887 6.05 53310.18 23.47 205.08 394.35

7 8.26% G.S. 2027 02-Aug-27 202 56381 2.24 1562 6430 4.93 48339.93 116.63 279.11 321.50

8 FRB 2020 21-Dec-20 81 10638 0.42 251 5775 4.43 7584.00 140.27 131.33 360.94

9 8.30% G.S. 2040 02-Jul-40 135 15913 0.63 338 3031 2.32 28204.82 56.42 117.87 144.33

10 7.40% G.S. 2012 03-May-12 214 51117 2.03 98 1517 1.16 32956.04 155.11 238.86 79.84

11 7.27% G.S. 2013 03-Sep-13 198 34452 1.37 114 1273 0.98 45494.00 75.73 174.00 79.56

12 7.46% G.S. 2017 28-Aug-17 148 32024 1.27 38 891 0.68 56201.53 56.98 216.38 148.50

13 6.90% OMC SB 2026 04-Feb-26 108 7126 0.28 92 519 0.40 19155.37 37.20 65.98 37.07

14 9.39% G.S. 2011 02-Jul-11 131 15865 0.63 17 393 0.30 37277.50 42.56 121.11 35.73

15 11.50% G.S. 2011 05-Aug-11 31 1235 0.05 14 300 0.23 2919.25 42.31 39.84 42.86

16 6.35% G.S. 2020 02-Jan-20 168 191730 7.62 29 205 0.16 53824.18 356.22 1141.25 17.08

17 6.85% G.S. 2012 05-Apr-12 114 11702 0.46 11 205 0.16 25778.87 45.39 102.65 51.25

18 7.02% G.S. 2016 17-Aug-16 194 211446 8.40 5 205 0.16 57600.08 367.09 1089.93 68.33

19 8.24% G.S. 2027 15-Feb-27 166 9726 0.39 47 155 0.12 56097.31 17.34 58.59 9.12

20 11.50% G.S. 2015 21-May-15 33 194 0.01 3 74 0.06 4024.64 4.82 5.88 37.00

21 8.20% G.S. 2022 15-Feb-22 179 281614 11.19 9 63 0.05 57632.33 488.64 1573.26 10.50

22 6.72% G.S. 2014 24-Feb-14 32 4382 0.17 1 60 0.05 14839.73 29.53 136.94 60.00

23 10.25% G.S. 2012 01-Jun-12 24 397 0.02 2 60 0.05 1633.16 24.31 16.54 30.00

24 7.47% OMC SB 2012 07-Mar-12 14 400 0.02 3 60 0.05 1992.94 20.07 28.57 30.00

25 8.28% G.S. 2032 15-Feb-32 162 12554 0.50 20 51 0.04 51511.40 24.37 77.49 6.38

THE CLEARING CORPORATION OF INDIA LTD.

85

Sr.No.

SecurityMaturity

Date

Days traded(in last 12months)

Volumesettled inlast 12

months (FVin ` Crore)

Percentshare in last12 months

volume

No. ofTrades

(January,2011)

Volume forJanuary -

2011 (FV in` Crore)

Percentshare in(January2011)

MarketCapitalization (FV in `

Crore)

TurnoverRatio*

AverageDaily

TradingValue in last12 months(FV in `

Crore)

AverageDaily

TradingValue inJanuary -

2011 (FV in` Crore)

26 12.32% G.S. 2011 29-Jan-11 20 3396 0.13 2 50 0.04 - - 169.80 50.00

27 7.38% G.S. 2015 03-Sep-15 109 38065 1.51 5 50 0.04 59766.47 63.69 349.22 12.50

28 12.00% G.S. 2011 21-Oct-11 16 473 0.02 5 49 0.04 3350.16 14.12 29.56 9.80

29 7.95% G.S. 2032 28-Aug-32 77 815 0.03 39 39 0.03 55555.70 1.47 10.58 3.00

30 8.20% OMC SB 2024 15-Sep-24 141 4723 0.19 14 36 0.03 10223.88 46.20 33.50 3.60

31 12.40% G.S. 2013 20-Aug-13 38 236 0.01 5 35 0.03 13152.34 1.79 6.21 8.75

32 6.35% OMC SB 2024 23-Dec-24 76 2690 0.11 6 32 0.02 18166.50 14.81 35.39 6.40

33 7.32% G.S. 2014 20-Oct-14 114 16282 0.65 5 25 0.02 17640.00 92.30 142.82 8.33

34 11.83% G.S. 2014 12-Nov-14 32 419 0.02 7 25 0.02 12839.75 3.26 13.09 5.00

35 6.05% G.S. 2019 12-Jun-19 44 242 0.01 8 24 0.02 9584.73 2.52 5.50 4.80

36 10.50% G.S. 2014 29-Oct-14 9 50 0.00 2 23 0.02 1904.98 2.62 5.56 11.50

37 8.07% G.S. 2017 15-Jan-17 64 831 0.03 11 18 0.01 48608.00 1.71 12.98 2.57

38 8.30% FERT SB 2023 07-Dec-23 24 30 0.00 11 16 0.01 3836.73 0.78 1.25 2.29

39 10.25% G.S. 2021 30-May-21 65 523 0.02 4 15 0.01 29621.05 1.77 8.05 3.75

40 11.50% G.S. 2011 24-Nov-11 22 1847 0.07 2 15 0.01 11331.49 16.30 83.95 7.50

41 6.05% G.S. 2019 02-Feb-19 32 444 0.02 6 14 0.01 46364.40 0.96 13.88 3.50

42 8.33% G.S. 2036 07-Jun-36 69 560 0.02 11 14 0.01 57365.05 0.98 8.12 1.75

43 6.90% G.S. 2019 13-Jul-19 113 12239 0.49 5 13 0.01 41477.22 29.51 108.31 3.25

44 8.24% G.S. 2018 22-Apr-18 26 341 0.01 7 12 0.01 50150.00 0.68 13.12 4.00

45 8.20% OMC SB 2023 10-Nov-23 75 1962 0.08 5 11 0.01 21530.68 9.11 26.16 3.67

46 8.35% SBI SB 2024 27-Mar-24 19 372 0.01 2 10 0.01 9891.94 3.76 19.58 5.00

47 7.44% OMC SB 2012 23-Mar-12 13 283 0.01 1 10 0.01 1992.99 14.20 21.77 10.00

48 7.95% FERT SB 2026 18-Feb-26 37 282 0.01 3 9 0.01 3434.08 8.21 7.62 4.50

49 7.94% G.S. 2021 24-May-21 47 384 0.02 11 8 0.01 48300.82 0.80 8.17 1.14

50 6.49% G.S. 2015 08-Jun-15 111 11416 0.45 1 5 0.00 37874.33 30.14 102.85 5.00

51 9.40% G.S. 2012 11-Sep-12 52 5072 0.20 1 5 0.00 11308.00 44.85 97.54 5.00

*Turnover Ratio has been calculated as 12 months cumulative trading value as a percentage of market capitalization of respective security. Note: Prices used for calculating MarketCapitalization are Weighted Average prices as on January 31, 2011. In case of non availability Weighted Average prices, CCIL Model prices as on are used.January 31, 2011

THE CLEARING CORPORATION OF INDIA LTD.

86

Sr.No.

SecurityMaturity

Date

Days traded(in last 12months)

Volumesettled inlast 12

months (FVin ` Crore)

Percentshare in last12 months

volume

No. ofTrades

(January,2011)

Volume forJanuary -

2011 (FV in` Crore)

Percentshare in(January2011)

MarketCapitalization (FV in `

Crore)

TurnoverRatio*

AverageDaily

TradingValue in last12 months(FV in `

Crore)

AverageDaily

TradingValue inJanuary -

2011 (FV in` Crore)

52 7.5% G.S. 2034 10-Aug-34 143 944 0.04 6 4 0.00 53669.86 1.76 6.60 2.00

53 8.35% G.S. 2022 14-May-22 17 77 0.00 3 3 0.00 44299.80 0.17 4.53 1.50

54 6.25% G.S. 2018 02-Jan-18 46 319 0.01 7 2 0.00 15159.78 2.10 6.93 0.29

55 8.03% FCI SB 2024 15-Dec-24 5 63 0.00 3 2 0.00 4809.06 1.31 12.60 2.00

56 10.70% G.S. 2020 22-Apr-20 14 3 0.00 5 1 0.00 6949.62 0.04 0.21 0.20

57 11.43% G.S. 2015 07-Aug-15 21 207 0.01 4 1 0.00 13586.51 1.52 9.86 0.25

58 8.32% G.S. 2032 02-Aug-32 105 5266 0.21 2 1 0.00 15121.76 34.82 50.15 1.00

59 5.64% G.S. 2019 02-Jan-19 27 48 0.00 1 1 0.00 8538.50 0.56 1.78 1.00

60 8.15% FCI SB 2022 16-Oct-22 22 52 0.00 2 1 0.00 4892.20 1.06 2.36 0.50

61 6.01% G.S. 2028 25-Mar-28 55 118 0.00 2 1 0.00 11602.61 1.02 2.15 0.50

62 10.00% G.S. 2014 30-May-14 11 139 0.01 2 0 0.00 2453.19 5.67 12.64 0.00

63 12.60% G.S. 2018 23-Nov-18 8 52 0.00 3 0 0.00 15701.43 0.33 6.50 0.00

64 10.45% G.S. 2018 30-Apr-18 13 164 0.01 1 0 0.00 4134.05 3.97 12.62 0.00

65 10.79% G.S. 2015 19-May-15 3 5 0.00 1 0 0.00 2924.96 0.17 1.67 0.00

66 10.95% G.S. 2011 30-May-11 26 1869 0.07 1 0 0.00 12147.97 15.39 71.88 0.00

67 11.60% G.S. 2020 27-Dec-20 6 1 0.00 2 0 0.00 6100.00 0.02 0.17 0.00

68 12.30% G.S. 2016 02-Jul-16 18 151 0.01 3 0 0.00 15414.44 0.98 8.39 0.00

69 8.23% FCI SB 2027 12-Feb-27 9 9 0.00 2 0 0.00 6031.11 0.15 1.00 0.00

70 8.40% OMC SB 2026 29-Mar-26 27 487 0.02 2 0 0.00 4918.79 9.90 18.04 0.00

71 8.40% OMC SB 2025 28-Mar-25 8 2 0.00 1 0 0.00 9217.10 0.02 0.25 0.00

72

Other securities tradedduring the past 12months but not tradedduring the month

42897 1.70

Total 2517460 17649 130431 100.00

TABLE 24: TURNOVER RATIO OF CENTRAL GOVERNMENT SECURITIES Amount Crore`

TH

EC

LE

AR

ING

CO

RP

OR

AT

ION

OF

IND

IALT

D.

87

MonthCen. Govt. Dated

Securities12 Month G-Sec

VolumeMarket Capitialisation Turnover Ratio(%)

Apr-03 110290 1097202 870354 126.06

May-03 139912 1196652 884296 135.32

Jun-03 145734 1294358 902447 143.43

Jul-03 148576 1351570 951641 142.03

Aug-03 187278 1438727 971426 148.10

Sep-03 125325 1494771 994508 150.30

Oct-03 171400 1557205 1005834 154.82

Nov-03 86233 1505350 1002288 150.19

Dec-03 87274 1467722 1004124 146.17

Jan-04 81917 1405180 1002211 140.21

Feb-04 66543 1341833 1003259 133.75

Mar-04 108183 1350482 1004393 134.46

Apr-04 143620 1491995 1034562 144.22

May-04 94430 1446513 1017708 142.13

Jun-04 86607 1387386 1005959 137.92

Jul-04 64462 1303272 977016 133.39

Aug-04 64224 1180218 976774 120.83

Sep-04 86987 1141880 973696 117.27

Oct-04 55872 1026352 960159 106.89

Nov-04 38485 978604 948161 103.21

Dec-04 65817 957147 975989 98.07

Jan-05 54626 929856 976889 95.19

Feb-05 64234 927548 988793 93.81

Mar-05 43455 862820 981306 87.93

Apr-05 42905 762105 963618 79.09

May-05 58362 726037 984205 73.77

Jun-05 101123 740552 1011329 73.23

Jul-05 56641 732731 1021712 71.72

Aug-05 65079 733587 1021995 71.78

Sep-05 77657 724256 1001115 72.34

Oct-05 43581 711965 1004636 70.87

Nov-05 49241 722721 1038494 69.59

Dec-05 45208 702112 1047826 67.01

Jan-06 47703 695188 1046315 66.44

Feb-06 35808 666762 1052002 63.38

Mar-06 33905 657213 1068008 61.54

Apr-06 55089 669397 1069470 62.59

May-06 54161 665195 1063822 62.53

Jun-06 34866 598938 1049720 57.06

Jul-06 34676 576973 1049776 54.96

Aug-06 89446 601341 1079013 55.73

TH

EC

LE

AR

ING

CO

RP

OR

AT

ION

OF

IND

IALT

D.

88

MonthCen. Govt. Dated

Securities12 Month G-Sec

VolumeMarket Capitialisation Turnover Ratio(%)

Sep-06 134614 658298 1102636 59.70

Oct-06 63939 678657 1125373 60.31

Nov-06 158397 787813 1109312 71.02

Dec-06 78497 821101 1161197 70.71

Jan-07 74000 847399 1149828 73.70

Feb-07 60113 871704 1168370 74.61

Mar-07 45449 883248 1189326 74.26

Apr-07 68354 896513 1188531 75.43

May-07 68222 910574 1198425 75.98

Jun-07 92811 968519 1219959 79.39

Jul-07 204550 1138394 1270011 89.64

Aug-07 104680 1153627 1302665 88.56

Sep-07 85029 1104041 1323589 83.41

Oct-07 89923 1130025 1370857 82.43

Nov-07 67776 1039404 1388051 74.88

Dec-07 117893 1078800 1404825 76.79

Jan-08 295325 1300125 1445073 89.97

Feb-08 182597 1422608 1454517 97.81

Mar-08 90544 1467704 1441311 101.83

Apr-08 98286 1497636 1471828 101.75

May-08 129032 1558446 1464561 106.41

Jun-08 101475 1567109 1412037 110.98

Jul-08 83793 1446352 1395509 103.64

Aug-08 111093 1452765 1420737 102.25

Sep-08 153971 1521708 1448033 105.09

Oct-08 132519 1564304 1554434 100.63

Nov-08 174174 1670702 1601267 104.34

Dec-08 352329 1905138 1797057 106.01

Jan-09 294708 1904521 1755683 108.48

Feb-09 163975 1885899 1777507 106.10

Mar-09 160058 1955412 1763360 110.89

Apr-09 237356 2094483 1831108 114.38

May-09 224389 2189840 1841701 118.90

Jun-09 215004 2303369 1865534 123.47

Jul-09 270989 2490566 1908859 130.47

Aug-09 146426 2525899 1900471 132.91

Sep-09 249130 2621058 1955774 134.02

Oct-09 191754 2680293 1969015 136.12

Nov-09 263678 2769797 2012133 137.65

Dec-09 211647 2629115 2015842 130.42

Jan-10 191363 2525771 2015085 125.34

MARKET SHARE

TABLE 25: MARKET SHARE OF TOP 'N' SECURITIES percent

TH

EC

LE

AR

ING

CO

RP

OR

AT

ION

OF

IND

IALT

D.

89

MonthCen. Govt. Dated

Securities12 Month G-Sec

VolumeMarket Capitialisation Turnover Ratio(%)

Feb-10 149846 2511642 2005496 125.24

Mar-10 129266 2480850 2017871 122.94

Apr-10 208456 2451949 2053001 119.43

May-10 371385 2598945 2101580 123.67

Jun-10 315391 2699332 2123662 127.11

Jul-10 207742 2636084 2115872 124.59

Aug-10 259473 2749131 2150393 127.84

Sep-10 231393 2731394 2204437 123.90

Oct-10 211665 2751305 2214033 124.27

Nov-10 151253 2638880 2252314 117.16

Dec-10 151380 2578613 2272579 113.47

Jan-11 130205 2517455 2281235 110.35

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

Apr-10 81.47 90.93 96.21 98.47

May-10 84.98 93.63 96.19 97.64

Jun-10 90.61 95.43 97.18 98.12

Jul-10 87.59 93.54 96.46 98.04

Aug-10 86.03 93.57 96.60 98.39

Sep-10 88.53 95.18 97.62 98.65

Oct-10 87.44 95.05 98.01 98.99

Nov-10 87.98 97.24 99.06 99.59

Dec-10 84.56 95.95 98.36 99.18

Jan-11 77.20 96.09 98.68 99.33

2010-11 (Upto January 2011) 70.97 87.89 93.65 96.17

TABLE 27: MARKET SHARE OF TOP FIVE (CATEGORY WISE) percent

TABLE 26: MARKET SHARE OF MEMBERS IN OUTRIGHT SETTLEMENT percent

TH

EC

LE

AR

ING

CO

RP

OR

AT

ION

OF

IND

IALT

D.

90

Settlement Period Top 5 Top 10 Top 15 Top 20

2002-03 20.17 32.59 42.33 50.14

2003-04 19.02 31.58 40.63 48.49

2004-05 21.20 35.51 46.10 54.37

2005-06 21.84 37.47 49.11 57.64

2006-07 28.93 45.34 57.08 65.89

2007-08 27.42 43.65 56.17 65.31

2008-09 28.33 45.51 57.23 65.63

2009-10 28.74 44.32 55.32 63.35

Apr-10 31.60 46.79 58.20 65.39

May-10 30.92 45.68 56.28 64.94

Jun-10 37.42 53.34 63.10 69.16

Jul-10 35.66 52.97 63.84 70.84

Aug-10 36.99 53.27 62.81 69.37

Sep-10 37.39 51.92 61.62 69.00

Oct-10 37.54 52.91 63.66 71.19

Nov-10 31.66 46.07 56.56 64.88

Dec-10 30.47 44.18 54.92 63.00

Jan-11 32.06 45.95 55.62 63.73

2010-11 (Upto January 2011) 34.35 49.61 59.96 67.39

CategoriesCooperative

BanksForeignBanks

Public SectorBanks

PrivateSector Banks

MutualFunds

PrimaryDealers

No of Members 33 28 26 20 26 8

2002-03 87.04 75.91 41.44 50.65 59.76 62.00

2003-04 76.72 75.48 43.88 53.33 55.47 62.96

2004-05 82.30 77.94 51.20 69.12 56.99 61.90

2005-06 75.10 77.91 53.45 71.55 56.49 56.95

2006-07 77.20 76.04 52.57 73.68 68.00 72.44

2007-08 86.70 74.99 55.29 73.01 70.20 86.20

2008-09 82.16 76.26 52.53 76.79 66.10 86.83

2009-10 72.08 79.86 47.99 79.61 64.19 82.44

Apr-10 65.04 77.39 45.36 83.67 69.82 84.69

May-10 64.11 82.01 44.60 79.07 73.56 85.76

Jun-10 70.30 83.35 44.67 81.71 58.00 87.17

Jul-10 56.91 85.15 54.81 75.10 73.44 86.78

Aug-10 62.88 83.75 55.26 75.16 59.90 83.51

Sep-10 62.74 83.65 64.51 57.01 61.62 83.28

Oct-10 60.60 86.72 54.41 70.18 68.15 84.92

Nov-10 68.12 82.42 46.32 67.76 62.02 84.56

Dec-10 55.73 81.40 45.52 72.18 63.24 86.67

Jan-11 53.79 82.73 45.45 61.87 61.15 79.55

2010-11 (Upto January 2011) 63.16 83.09 49.11 75.16 66.41 84.94

TRADING ANALYSIS

TABLE 28: G-SEC TRADING VOLUMES Amount Crore`

TABLE 29: WHEN ISSUED TRADING DETAILS Amount Crore`

TH

EC

LE

AR

ING

CO

RP

OR

AT

ION

OF

IND

IALT

D.

91

NDS-OM NDSPeriod

Trades Volumes % share Trades Volumes % share

2005-06 38238 220805 56.36 29197 170937 43.64

2006-07 101091 643740 72.95 26943 238753 27.05

2007-08 155259 1160554 79.10 22753 306591 20.90

2008-09 207011 1475799 75.45 27750 480276 24.55

2009-10 268766 1965066 79.35 30249 511269 20.65

Apr-10 23717 177710 80.33 2126 43505 19.67

May-10 40777 315508 84.52 3534 57768 15.48

Jun-10 33856 268398 86.37 3010 42354 13.63

Jul-10 19917 164289 80.95 2889 38668 19.05

Aug-10 27899 225330 84.91 3152 40049 15.09

Sep-10 24598 191856 83.06 2857 39116 16.94

Oct-10 22068 164120 82.16 2392 35628 17.84

Nov-10 18103 128945 84.96 1936 22832 15.04

Dec-10 17549 123270 83.82 2227 23799 16.18

Jan-11 15769 106936 80.63 2222 25685 19.37

2010-11 (Upto January 2011) 244253 1866363 83.48 26345 369404 16.52

Security Description Maturity Date Trades Value

7.17% G.S. 2015 14-Jun-15 7 60.00

7.99% G.S. 2017 09-Jul-17 34 215.00

8.08% G.S. 2022 02-Aug-22 3 15.00

8.13% G.S. 2022 21-Sep-22 12 110.00

Total 56 400.00

TABLE 30: TRADING DETAILS Amount Crore`

*Forex in USD Million

THE CLEARING CORPORATION OF INDIA LTD.

92

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

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

1-Jan-11 1 38.30 121 7911.70

3-Jan-11 460 3330.17 5 12.97 22 796.57 487 4139.71 95 12740.72 607 57430.40 3655 16309.17

4-Jan-11 980 8187.73 26 204.29 16 447.82 1022 8839.84 105 12825.92 754 68794.90 3358 11834.40

5-Jan-11 821 6400.26 49 478.66 15 291.57 885 7170.49 101 14967.74 698 72313.50 3382 10648.16

6-Jan-11 749 5617.43 39 262.10 49 1500.25 837 7379.78 95 13694.05 702 77059.95 4662 12924.74

7-Jan-11 767 5916.25 13 28.00 10 410.29 790 6354.54 85 9928.04 677 73146.65 5123 13750.10

8-Jan-11 70 2783.30

10-Jan-11 894 6923.68 22 73.02 36 1280.79 952 8277.49 102 14692.33 609 67860.60 5214 14486.20

11-Jan-11 936 6784.59 25 43.89 30 756.50 991 7584.98 100 12025.78 626 69253.75 5108 13304.95

12-Jan-11 846 7299.88 22 37.45 39 636.04 907 7973.37 99 11959.02 583 61951.75 5081 14554.20

13-Jan-11 1239 9509.07 34 90.57 62 2425.29 1335 12024.93 89 10683.73 587 65329.30 4903 14497.99

14-Jan-11 890 9118.81 11 24.32 37 1416.83 938 10559.96 207 38320.98 454 21094.60 4595 12706.01

15-Jan-11 1 14.60 77 3609.20

17-Jan-11 667 4400.89 19 44.15 15 1101.01 701 5546.05 92 12395.95 585 60596.45

18-Jan-11 825 5609.80 38 540.16 16 335.34 879 6485.30 76 11622.71 556 53713.45 9530 22137.04

19-Jan-11 762 4855.24 84 533.66 12 194.25 858 5583.15 97 10791.94 534 50543.75 4840 13163.89

20-Jan-11 845 5770.79 39 181.00 49 1279.22 933 7231.01 89 10388.91 553 46259.60 4370 14252.03

21-Jan-11 718 5829.87 28 148.25 19 228.51 765 6206.63 94 11513.01 481 39575.55 4604 13218.65

22-Jan-11 2 67.45 83 3981.45

24-Jan-11 804 5639.44 41 340.27 21 804.64 866 6784.35 86 12053.49 545 44785.50 5312 13883.35

25-Jan-11 1330 8860.34 22 87.39 12 381.20 1364 9328.93 76 9398.24 646 52891.90 5454 14533.07

27-Jan-11 1447 9107.90 20 9.04 34 905.13 1501 10022.07 103 15032.07 538 45024.85 3902 11199.51

28-Jan-11 1318 8352.50 34 125.05 30 782.68 1382 9260.23 173 30699.45 418 18745.00 5027 13736.50

29-Jan-11 1 9 89 4458.95

31-Jan-11 693 5106.35 32 132.73 18 546.56 743 5785.64 100 12780 566 51271.15 12698 79607.64

Total 17991 132620.99 603 3396.97 542 16520.49 19136 152538.45 2069 288642.86 12159 1120387.20 100818 330747.60

Average 900 6631.05 30 169.85 27 826.02 957 7626.92 86 12026.79 486 44815.49 5306 17407.77

MarketShare (%)

94.02 86.94 3.15 2.23 2.83 10.83

TABLE 31: G-SEC TRADING ANALYSIS Amount Crore`

THE CLEARING CORPORATION OF INDIA LTD.

93

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

TradesNo. of

SecuritiesValue

MarketShare (%)

TradesNo. of

SecuritiesValue

MarketShare (%)

TradesNo. of

SecuritiesValue

MarketShare (%)

TradesNo. of

SecuritiesValue

3-Jan-11 77 17 569.67 17.11 383 10 2760.50 82.89 12 6 255.00 7.66 460 20 3330.17

4-Jan-11 125 18 1580.85 19.31 855 16 6606.87 80.69 52 9 1337.00 16.33 980 22 8187.73

5-Jan-11 83 19 859.40 13.43 738 14 5540.86 86.57 18 6 590.00 9.22 821 23 6400.26

6-Jan-11 101 17 933.50 16.62 648 11 4683.92 83.38 24 9 685.00 12.19 749 20 5617.43

7-Jan-11 115 19 1521.31 25.71 652 11 4394.94 74.29 19 9 595.00 10.06 767 22 5916.25

10-Jan-11 147 15 1868.84 26.99 747 13 5054.84 73.01 38 9 1480.00 21.38 894 19 6923.68

11-Jan-11 111 27 1295.98 19.10 825 15 5488.60 80.90 38 11 1163.00 17.14 936 30 6784.59

12-Jan-11 124 24 2481.66 34.00 722 11 4818.22 66.00 44 14 2220.22 30.41 846 26 7299.88

13-Jan-11 140 24 2244.29 23.60 1099 12 7264.78 76.40 62 14 1972.50 20.74 1239 25 9509.07

14-Jan-11 126 21 3767.93 41.32 764 13 5350.88 58.68 44 10 2385.00 26.15 890 25 9118.81

17-Jan-11 105 16 585.92 13.31 562 9 3814.97 86.69 11 6 130.00 2.95 667 17 4400.89

18-Jan-11 135 20 634.45 11.31 690 13 4975.35 88.69 15 9 229.00 4.08 825 25 5609.80

19-Jan-11 107 14 609.36 12.55 655 11 4245.88 87.45 15 7 295.00 6.08 762 17 4855.24

20-Jan-11 82 16 527.69 9.14 763 13 5243.10 90.86 22 7 440.00 7.62 845 17 5770.79

21-Jan-11 128 27 1812.36 31.09 590 10 4017.50 68.91 40 14 1035.00 17.75 718 27 5829.87

24-Jan-11 156 21 1523.64 27.02 648 11 4115.80 72.98 32 10 980.00 17.38 804 22 5639.44

25-Jan-11 87 16 534.63 6.03 1243 15 8325.71 93.97 33 7 445.00 5.02 1330 21 8860.34

27-Jan-11 113 22 921.25 10.11 1334 15 8186.65 89.89 31 11 567.67 6.23 1447 24 9107.90

28-Jan-11 96 19 591.24 7.08 1222 15 7761.25 92.92 28 6 490.00 5.87 1318 25 8352.50

31-Jan-11 64 25 820.60 16.07 629 12 4285.75 83.93 29 9 770.00 15.08 693 29 5106.35

Total 2222 25684.58 15769 106936.37 607 18064.39 17991 132620.99

Average 111 20 1284.23 788 13 5346.82 30 9 903.22 900 23 6631.05

PercentMarketShare

19.37 80.63 13.62

Amount Crore`TABLE :32 T-BILL TRADING VOLUME ANALYSIS

THE CLEARING CORPORATION OF INDIA LTD.

94

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

TradesNo. of

SecuritiesValue

MarketShare (%)

TradesNo. of

SecuritiesValue

MarketShare (%)

TradesNo. of

SecuritiesValue

MarketShare (%)

TradesNo. of

SecuritiesValue

3-Jan-11 13 7 561.54 70.49 9 3 235.03 29.51 4 3 193.00 24.23 22 7 796.57

4-Jan-11 3 2 158.50 35.39 13 4 289.32 64.61 1 1 100.00 22.33 16 5 447.82

5-Jan-11 11 7 221.57 75.99 4 4 70.00 24.01 3 2 100.00 34.30 15 10 291.57

6-Jan-11 47 11 1474.25 98.27 2 2 26.00 1.73 10 5 290.00 19.33 49 11 1500.25

7-Jan-11 9 7 400.29 97.56 1 1 10.00 2.44 6 4 390.00 95.05 10 7 410.29

10-Jan-11 24 13 1030.75 80.48 12 5 250.04 19.52 8 7 435.55 34.01 36 14 1280.79

11-Jan-11 18 12 496.50 65.63 12 7 260.00 34.37 10 8 215.00 28.42 30 15 756.50

12-Jan-11 18 12 179.29 28.19 21 6 456.75 71.81 5 5 90.00 14.15 39 13 636.04

13-Jan-11 51 10 2180.29 89.90 11 6 245.00 10.10 16 7 420.00 17.32 62 16 2425.29

14-Jan-11 26 10 981.83 69.30 11 4 435.00 30.70 14 6 606.52 42.81 37 11 1416.83

17-Jan-11 10 8 1031.01 93.64 5 4 70.00 6.36 9 7 1021.01 92.73 15 10 1101.01

18-Jan-11 4 3 130.34 38.87 12 6 205.00 61.13 2 2 130.00 38.77 16 7 335.34

19-Jan-11 7 4 89.25 45.95 5 3 105.00 54.05 2 2 15.00 7.72 12 7 194.25

20-Jan-11 35 7 1138.14 88.97 14 7 141.08 11.03 8 3 200.00 15.63 49 9 1279.22

21-Jan-11 8 5 73.51 32.17 11 6 155.00 67.83 5 4 65.00 28.45 19 9 228.51

24-Jan-11 11 9 624.64 77.63 10 5 180.00 22.37 7 6 604.55 75.13 21 11 804.64

25-Jan-11 7 5 301.20 79.01 5 4 80.00 20.99 4 4 201.20 52.78 12 6 381.20

27-Jan-11 33 8 895.13 98.89 1 1 10.00 1.10 10 5 385.00 42.54 34 9 905.13

28-Jan-11 24 6 657.68 84.03 6 2 125.00 15.97 16 4 585.00 74.74 30 7 782.68

31-Jan-11 12 9 406.56 74.38 6 4 140.00 25.61 5 5 294.45 53.87 18 10 546.56

Total 371 13032.24 171 3488.22 145 6341.27 542 16520.49

Average 19 8 651.61 9 4 174.41 7 5 317.06 27 10 826.02

Percent MarketShare

78.89 21.11 38.38

TABLE 34: LIQUIDITY OF BONDS TRADED IN JANUARY 2011(TRADES GREATER THAN 5 CRORE)`

TABLE 33: NET MARKET SHARE IN G-SEC TRADING percent

TH

EC

LE

AR

ING

CO

RP

OR

AT

ION

OF

IND

IALT

D.

95

Date Foreign Banks Mutual Funds OthersPrimaryDealers

Private SectorBanks

Public SectorBanks

3-Jan-11 -18.37 -1.05 0.34 -1.14 4.17 16.05

4-Jan-11 -7.45 -2.02 -0.16 -6.16 -1.88 17.67

5-Jan-11 8.00 -7.15 -1.61 -5.24 2.57 3.44

6-Jan-11 -29.19 -3.47 7.88 3.56 0.82 20.40

7-Jan-11 -6.14 3.89 0.67 -10.15 -0.25 11.99

10-Jan-11 0.22 1.99 1.63 -11.23 0.31 7.07

11-Jan-11 -0.37 -3.83 0.06 -2.34 -3.75 10.24

12-Jan-11 9.76 0.82 -0.84 -12.71 2.85 0.12

13-Jan-11 10.46 -0.42 -2.12 -3.85 1.67 -5.75

14-Jan-11 3.29 -2.69 1.10 -6.10 -1.15 5.55

17-Jan-11 -10.05 0.34 5.99 -9.15 3.97 8.90

18-Jan-11 5.03 -1.07 2.76 -13.02 0.08 6.23

19-Jan-11 -8.00 1.24 2.33 -2.31 -3.09 9.84

20-Jan-11 2.14 5.80 -0.83 -2.73 1.07 -5.45

21-Jan-11 -19.26 4.59 9.05 -7.64 -2.26 15.53

24-Jan-11 -16.11 -2.81 4.17 -2.12 5.63 11.23

25-Jan-11 9.44 0.58 -1.51 2.17 0.93 -11.60

27-Jan-11 7.26 -6.00 -0.38 -2.47 -3.80 5.40

28-Jan-11 3.14 0.00 0.75 -5.10 1.35 -0.15

31-Jan-11 -20.49 -0.22 12.89 -3.37 1.75 9.44

Net Activity in Jan-11 -1.85 -0.77 1.61 -5.02 0.32 5.72

Sr.No.

ISINDESCNo. ofTrades

Value(` Cr.)

MarketShare (%)

DaysTraded

Days Tradedwith 5 trades ormore per day

Days Tradedwith less than 5trades per day

1 8.13% G.S. 2022 4678 32660 24.77 20 20 0

2 8.08% G.S. 2022 4703 31778 24.11 19 19 0

3 7.17% G.S. 2015 1897 15701 11.91 20 20 0

4 7.80% G.S. 2020 1804 13502 10.24 20 20 0

5 7.99% G.S. 2017 1137 10207 7.74 19 18 1

6 7.49% G.S. 2017 808 8023 6.09 19 18 1

7 FRB 2020 252 5795 4.40 17 14 3

8 8.26% G.S. 2027 835 5747 4.36 19 19 0

9 8.30% G.S. 2040 192 2108 1.60 19 16 3

10 7.40% G.S. 2012 94 1540 1.17 18 8 10

11 7.27% G.S. 2013 113 1315 1.00 17 8 9

12 7.46% G.S. 2017 22 805 0.61 4 2 2

13 6.90% OMC SB 2026 37 469 0.36 7 3 4

TH

EC

LE

AR

ING

CO

RP

OR

AT

ION

OF

IND

IALT

D.

96

Sr.No.

ISINDESCNo. ofTrades

Value(` Cr.)

MarketShare (%)

DaysTraded

Days Tradedwith 5 trades ormore per day

Days Tradedwith less than 5trades per day

14 9.39% G.S. 2011 8 380 0.29 5 0 5

15 11.50% G.S. 2011 14 300 0.23 7 1 6

16 6.85% G.S. 2012 11 246 0.19 4 1 3

17 7.02% G.S. 2016 5 205 0.16 3 0 3

18 6.35% G.S. 2020 16 195 0.15 7 1 6

19 8.24% G.S. 2027 5 106 0.08 5 0 5

20 11.50% G.S. 2015 2 74 0.06 1 0 1

21 10.25% G.S. 2012 1 60 0.05 1 0 1

22 6.72% G.S. 2014 1 60 0.05 1 0 1

23 7.47% OMC SB 2012 3 60 0.05 2 0 2

24 12.32% G.S. 2011 2 50 0.04 1 0 1

25 7.38% G.S. 2015 2 50 0.04 1 0 1

26 8.20% G.S. 2022 3 45 0.03 2 0 2

27 12.00% G.S. 2011 3 45 0.03 3 0 3

28 8.28% G.S. 2032 8 40 0.03 3 0 3

29 12.40% G.S. 2013 3 35 0.03 2 0 2

30 6.35% OMC SB 2024 3 25 0.02 3 0 3

31 7.32% G.S. 2014 5 25 0.02 3 0 3

32 8.20% OMC SB 2024 3 25 0.02 3 0 3

33 10.50% G.S. 2014 1 23 0.02 1 0 1

34 10.25% G.S. 2021 1 15 0.01 1 0 1

35 11.50% G.S. 2011 2 15 0.01 2 0 2

36 11.83% G.S. 2014 2 15 0.01 2 0 2

37 8.24% G.S. 2018 3 15 0.01 2 0 2

38 6.90% G.S. 2019 1 10 0.01 1 0 1

39 7.44% OMC SB 2012 1 10 0.01 1 0 1

40 8.07% G.S. 2017 2 10 0.01 1 0 1

41 8.35% SBI SB 2024 2 10 0.01 2 0 2

42 8.30% FERT SB 2023 1 6 0.00 1 0 1

43 6.05% G.S. 2019 1 5 0.00 1 0 1

44 7.94% G.S. 2021 1 5 0.00 1 0 1

45 7.95% FERT SB 2026 1 5 0.00 1 0 1

46 8.20% OMC SB 2023 1 5 0.00 1 0 1

47 9.40% G.S. 2012 1 5 0.00 1 0 1

Total 16691 131829 100.00

TABLE 35: LIQUIDITY DISTRIBUTION IN(TRADES GREATER THAN 5 CRORE)

JANUARY 2011`

TH

EC

LE

AR

ING

CO

RP

OR

AT

ION

OF

IND

IALT

D.

97

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

DaysTraded

No. ofTrades

Value(` Cr.)

ISINDESCDays

TradedNo. ofTrades

Value(` Cr.)

1 8.13% G.S. 2022 20 4678 32660.00 7.40% G.S. 2012 10 19 395.00

2 7.17% G.S. 2015 20 1897 15700.83 7.27% G.S. 2013 9 20 355.00

3 7.80% G.S. 2020 20 1804 13502.30 11.50% G.S. 2011 6 9 195.00

4 8.08% G.S. 2022 19 4703 31778.30 6.35% G.S. 2020 6 11 170.00

5 8.26% G.S. 2027 19 835 5747.42 9.39% G.S. 2011 5 8 380.00

6 7.99% G.S. 2017 18 1133 10156.75 8.24% G.S. 2027 5 5 106.03

7 7.49% G.S. 2017 18 805 7997.50 6.90% OMC SB 2026 4 6 45.00

8 8.30% G.S. 2040 16 187 2069.74 8.30% G.S. 2040 3 5 38.60

9 FRB 2020 14 245 5700.00 FRB 2020 3 7 95.00

10 7.40% G.S. 2012 8 75 1145.00 6.85% G.S. 2012 3 5 191.00

11 7.27% G.S. 2013 8 93 960.00 7.02% G.S. 2016 3 5 205.00

12 6.90% OMC SB 2026 3 31 423.59 12.00% G.S. 2011 3 3 44.50

13 7.46% G.S. 2017 2 18 580.00 8.28% G.S. 2032 3 8 40.00

14 11.50% G.S. 2011 1 5 105.00 6.35% OMC SB 2024 3 3 25.00

15 6.85% G.S. 2012 1 6 55.00 7.32% G.S. 2014 3 5 25.00

16 6.35% G.S. 2020 1 5 25.00 8.20% OMC SB 2024 3 3 25.00

17 7.46% G.S. 2017 2 4 225.00

18 7.47% OMC SB 2012 2 3 60.00

19 Total 188 16520 128606.43 8.20% G.S. 2022 2 3 45.00

20 Expected Bond Days 320 12.40% G.S. 2013 2 3 35.00

21 Efficiency 58.75 11.50% G.S. 2011 2 2 15.00

22 11.83% G.S. 2014 2 2 15.00

23 8.24% G.S. 2018 2 3 15.00

24 8.35% SBI SB 2024 2 2 10.00

25 7.99% G.S. 2017 1 4 50.00

26 7.49% G.S. 2017 1 3 25.00

27 11.50% G.S. 2015 1 2 73.60

28 10.25% G.S. 2012 1 1 60.00

29 6.72% G.S. 2014 1 1 60.00

30 12.32% G.S. 2011 1 2 50.00

31 7.38% G.S. 2015 1 2 50.00

32 10.50% G.S. 2014 1 1 23.02

33 10.25% G.S. 2021 1 1 15.00

34 6.90% G.S. 2019 1 1 10.00

35 7.44% OMC SB 2012 1 1 10.00

36 8.07% G.S. 2017 1 2 10.00

37 8.30% FERT SB 2023 1 1 6.00

38 6.05% G.S. 2019 1 1 5.00

39 7.94% G.S. 2021 1 1 5.00

40 7.95% FERT SB 2026 1 1 5.00

41 8.20% OMC SB 2023 1 1 5.00

42 9.40% G.S. 2012 1 1 5.00

Total 106 171 3222.75

Expected Bond Days 840

Efficiency 12.62

TABLE 36: COMPARABLE WEIGHTED AVERAGE MONEY MARKET RATES AND DAILY VOLUMES

MONEY MARKET

TH

EC

LE

AR

ING

CO

RP

OR

AT

ION

OF

IND

IALT

D.

98

Rates (%) Volumes (` Crore)Date

Call Repo CBLO Call Repo CBLO

1-Jan-11 6.82 4.50 6.24 2356.65 38.30 7911.70

3-Jan-11 6.73 6.32 6.23 9856.20 12740.72 57430.40

4-Jan-11 6.59 6.26 6.18 11485.41 12825.92 68794.90

5-Jan-11 6.37 6.21 6.20 10407.83 14967.74 72313.50

6-Jan-11 6.32 6.20 6.20 11447.86 13694.05 77059.95

7-Jan-11 6.34 6.20 6.21 10964.21 9928.04 73146.65

8-Jan-11 6.09 0.00 6.03 184.04 0.00 2783.30

10-Jan-11 6.30 6.22 6.20 11916.02 14692.33 67860.60

11-Jan-11 6.29 6.22 6.22 10897.58 12025.78 69253.75

12-Jan-11 6.29 6.21 6.22 12826.80 11959.02 61951.75

13-Jan-11 6.29 6.18 6.22 10916.86 10683.73 65329.30

14-Jan-11 6.36 5.92 5.28 9981.21 38320.98 21094.60

15-Jan-11 6.35 4.50 6.28 833.00 14.60 3609.20

17-Jan-11 6.66 6.23 6.24 13797.08 12395.95 60596.45

18-Jan-11 6.69 6.23 6.25 12152.72 11622.71 53713.45

19-Jan-11 6.68 6.21 6.25 10711.68 10791.94 50543.75

20-Jan-11 6.66 6.20 6.25 11254.48 10388.91 46259.60

21-Jan-11 6.67 6.14 6.26 10222.50 11513.01 39575.55

22-Jan-11 6.56 5.00 5.96 944.45 67.45 3981.45

24-Jan-11 6.62 6.23 6.25 9081.36 12053.49 44785.50

25-Jan-11 6.68 6.33 5.82 9053.68 9398.24 52891.90

27-Jan-11 6.66 6.48 6.48 10365.34 15032.07 45024.85

28-Jan-11 6.66 6.37 5.78 10599.81 30699.45 18745.00

29-Jan-11 6.83 6.25 6.63 2163.44 8.85 4458.95

31-Jan-11 6.92 6.56 6.50 10538.10 12779.58 51271.15

Average 6.54 5.81 6.17 8998.33 11545.71 44815.49

Total - - - 224958.31 288642.86 1120387.20

SD 0.22 1.33 0.26 4080.29 8664.00 25031.57

Market Share (%) 13.77 17.66 68.57

Amount Crore`

TABLE 38: INTERCATEGORYWISE CBLO LENDING

COLLATERALISED BORROWING AND LENDING OBLIGATION (CBLO)

NUMBER OF PARTICIPANTS: 211

TABLE 37: CBLO SETTLEMENT VOLUMES

TH

EC

LE

AR

ING

CO

RP

OR

AT

ION

OF

IND

IALT

D.

99

Overnight Term Total Daily AverageSettlementPeriod Trades Volume Trades Volume Trades Volume Trades Volume

2002-03 157 829 2 23 159 852 3 16

2003-04 2280 58136 780 18715 3060 76851 10 251

2004-05 22802 768294 6549 208497 29351 976790 101 3345

2005-06 54026 2391854 13437 561280 67463 2953134 229 10045

2006-07 69602 3860456 16279 871815 85881 4732271 292 16096

2007-08 93282 6699077 19995 1411751 113277 8110828 385 27588

2008-09 94344 7099527 24597 1725258 118941 8824784 414 30748

2009-10 115171 12747733 26881 2793645 142052 15541378 498 54531

Apr-10 10405 1047338 1402 123159 11807 1170497 513 50891

May-10 9117 861201 1841 153378 10958 1014579 457 42274

Jun-10 9348 657795 2559 151133 11907 808928 458 31113

Jul-10 8793 614391 2363 142262 11156 756653 429 29102

Aug-10 11444 963279 2064 166237 13508 1129515 540 45181

Sep-10 10800 1029283 2204 194843 13004 1224126 565 53223

Oct-10 12006 950854 2313 144914 14319 1095768 573 43831

Nov-10 9502 669838 1915 121229 11417 791067 476 32961

Dec-10 10627 967144 1929 127447 12556 1094591 502 43784

Jan-11 10232 970055 1927 150333 12159 1120387 486 44815

2010-11 (UptoJanuary 2011)

102274 8731178 20517 1474934 122791 10206112 499 41488

Borrower Category

Lender Category MutualFunds

Ins.Cos

PublicSectorBanks

OthersForeignBanks

PrivateSectorBanks

FIsCo-

operativeBanks

PrimaryDealers

MarketShare(%)

MarketShare (%)(PreviousMonth)

Mutual Funds 0.54 0.01 47.26 9.83 13.86 18.72 3.50 4.15 2.12 80.24 76.10

Ins. Cos 0.68 0.03 37.10 10.06 19.47 14.90 4.12 9.07 4.57 8.23 13.18

Public Sector Banks 0.13 0.00 42.04 9.44 15.28 17.45 4.06 7.55 4.04 8.07 5.82

Others 0.61 0.00 44.68 14.67 11.49 10.39 1.60 10.53 6.02 1.32 0.13

Foreign Banks 0.00 0.00 36.59 5.51 15.21 7.79 5.01 24.27 5.62 0.73 1.34

Private Sector Banks 1.76 0.00 36.69 9.68 31.37 12.50 3.54 4.45 0.00 0.51 2.95

FIs 0.00 0.00 69.26 9.25 4.97 10.49 3.92 1.73 0.39 0.46 0.00

Co-operative Banks 1.15 0.00 10.53 10.49 20.51 13.31 2.16 32.14 9.71 0.35 0.47

Primary Dealers 0.00 0.00 16.49 6.88 5.32 17.71 9.21 30.74 13.64 0.09 0.00

TABLE 39: INTERCATEGORYWISE CBLO BORROWING

TABLE 40: REPO TERM ANALYSIS percent

MARKET REPO

TH

EC

LE

AR

ING

CO

RP

OR

AT

ION

OF

IND

IALT

D.

100

Lender Category

Borrower Category PublicSectorBanks

PrivateSectorBanks

ForeignBanks

OthersCo-

operativeBanks

FIsPrimaryDealers

MutualFunds

Ins.Cos

MarketShare(%)

MarketShare (%)(PreviousMonth)

Public Sector Banks 7.41 0.41 0.59 1.29 0.08 0.69 0.03 82.84 6.67 45.78 55.62

Private Sector Banks 7.81 0.35 0.32 0.76 0.26 0.26 0.09 83.34 6.81 18.03 9.41

Foreign Banks 8.52 1.10 0.77 1.05 0.50 0.16 0.03 76.80 11.07 14.48 6.84

Others 7.73 0.50 0.41 1.97 0.38 0.43 0.06 80.11 8.41 9.85 10.84

Co-operative Banks 11.77 0.44 3.44 2.69 2.20 0.15 0.52 64.37 14.43 5.18 3.93

FIs 9.12 0.50 1.02 0.59 0.21 0.50 0.22 78.37 9.46 3.59 6.76

Primary Dealers 12.67 0.00 1.60 3.09 1.34 0.07 0.46 66.15 14.62 2.57 4.53

Mutual Funds 1.97 1.71 0.00 1.55 0.78 0.00 0.00 83.25 10.75 0.52 2.08

Ins. Cos 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 33.33 0.01 0.00

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

Period % to totaltrades

% to totalvalue

% to totaltrades

% to totalvalue

% to totaltrades

% to totalvalue

% to totaltrades

% to totalvalue

% to totaltrades

% to totalvalue

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

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

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

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

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

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

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

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

Apr-10 67.74 66.01 31.10 33.60 0.71 0.26 0.00 0.00 0.44 0.13

May-10 70.98 68.95 28.77 30.95 0.08 0.05 0.00 0.00 0.17 0.05

Jun-10 70.09 64.38 28.99 34.66 0.77 0.84 0.00 0.00 0.15 0.12

Jul-10 70.00 66.44 29.50 33.41 0.29 0.09 0.00 0.00 0.21 0.05

Aug-10 70.06 68.05 29.43 31.72 0.33 0.08 0.05 0.03 0.14 0.12

Sep-10 68.45 65.52 21.21 21.27 10.34 13.21 0.00 0.00 0.00 0.00

Oct-10 70.64 65.98 28.74 33.78 0.55 0.14 0.07 0.10 0.00 0.00

Nov-10 71.30 69.27 20.68 21.07 7.09 9.19 0.28 0.11 0.65 0.35

Dec-10 69.67 67.50 22.38 25.35 7.10 6.91 0.51 0.09 0.35 0.16

Jan-11 63.47 62.95 30.77 34.69 4.06 1.63 0.68 0.24 1.02 0.49

2010-11 (UptoJanuary 2011)

69.31 66.58 27.11 30.25 3.12 2.98 0.16 0.05 0.30 0.13

TABLE 42: INTER-CATEGORY WISE REVERSE REPO TRADES

TABLE 41: INSTRUMENT WISE SETTLEMENT VOLUMES FOR REPO TRADESAmount Crore`

TH

EC

LE

AR

ING

CO

RP

OR

AT

ION

OF

IND

IALT

D.

101

Cen. Govt. Dated Treasury Bills State GovtSettlement Period

VolumesAvg.

Volumes% Share Volumes

Avg.Volumes

% Share VolumesAvg.

Volumes% Share

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

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

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

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

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

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

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

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

Apr-10 351613 15288 75.24 113317 4927 24.25 2403 104 0.51

May-10 344320 14347 81.47 77209 3217 18.27 1108 46 0.26

Jun-10 198486 7634 80.52 47601 1831 19.31 410 16 0.17

Jul-10 266342 10244 85.28 44156 1698 14.14 1799 69 0.58

Aug-10 299519 11981 77.04 88764 3551 22.83 485 19 0.12

Sep-10 299245 13011 82.01 64164 2790 17.59 1468 64 0.40

Oct-10 289070 11563 79.96 71248 2850 19.71 1195 48 0.33

Nov-10 195278 8137 81.67 43137 1797 18.04 703 29 0.29

Dec-10 253474 10139 78.04 70654 2826 21.75 687 27 0.21

Jan-11 209235 8369 72.52 78040 3122 27.05 1253 50 0.43

2010-11 (UptoJanuary 2011)

2706582 11002 79.22 698290 2839 20.44 11511 47 0.34

Borrower Category

Lender Category MutualFunds

ForeignBanks

PrivateSectorBanks

Ins.Cos

PrimaryDealers

PublicSectorBanks

OthersCo-

operativeBanks

FIsMarketShare(%)

MarketShare (%)(PreviousMonth)

Mutual Funds 0.00 34.89 29.33 0.00 16.98 11.44 0.00 7.36 0.00 61.13 67.23

Foreign Banks 0.00 17.75 58.80 0.00 6.31 16.40 0.00 0.73 0.00 19.27 16.93

Private Sector Banks 0.00 6.87 18.28 0.00 62.47 9.72 0.00 2.66 0.00 8.68 8.81

Ins. Cos 0.00 6.62 48.40 0.00 44.98 0.00 0.00 0.00 0.00 4.88 6.21

Primary Dealers 0.00 5.72 1.53 0.00 12.33 68.11 0.00 12.30 0.00 2.95 0.39

Public Sector Banks 0.00 24.27 45.23 0.00 10.16 6.16 0.00 14.18 0.00 2.91 0.31

Others 0.00 0.00 28.33 0.00 4.78 66.90 0.00 0.00 0.00 0.07 0.01

Co-operative Banks 0.00 0.00 0.00 0.00 55.21 0.00 0.00 44.79 0.00 0.07 0.12

FIs 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.00

TABLE 44: CROMS TRADING ACTIVITY

NUMBER OF PARTICIPANTS: 110 Amount Crore`

TABLE 43: INTER-CATEGORY WISE REPO TRADES

TH

EC

LE

AR

ING

CO

RP

OR

AT

ION

OF

IND

IALT

D.

102

Lender Category

Borrower Category PrivateSectorBanks

ForeignBanks

PrimaryDealers

PublicSectorBanks

Co-operative

Banks

MutualFunds

Ins.Cos

Others FIsMarketShare(%)

MarketShare (%)(PreviousMonth)

Private Sector Banks 4.58 32.73 0.13 3.80 0.00 51.78 6.83 0.06 0.10 34.63 16.32

Foreign Banks 2.25 12.89 0.63 2.66 0.00 80.36 1.22 0.00 0.00 26.54 37.27

Primary Dealers 27.22 6.11 1.82 1.48 0.19 52.12 11.03 0.02 0.00 19.92 35.15

Public Sector Banks 6.38 23.89 15.16 1.35 0.00 52.85 0.00 0.37 0.00 13.24 6.63

Co-operative Banks 4.06 2.48 6.39 7.26 0.55 79.25 0.00 0.00 0.00 5.68 4.62

Mutual Funds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Ins. Cos 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Others 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

CROMS Special CROMS Basket CROMS - Total Repo

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

% Shareof

CROMSin Repovolumes

3-Jan-11 35 4196.00 6.3277 28 3147.17 6.3463 63 7343.17 6.3356 95 12740.72 6.3287 57.64

4-Jan-11 39 2949.00 6.1616 31 5522.67 6.2250 70 8471.67 6.2029 105 12825.92 6.2449 66.05

5-Jan-11 36 3034.00 6.0716 29 6299.66 6.2157 65 9333.66 6.1688 101 14967.74 6.1972 62.36

6-Jan-11 31 1889.00 6.1261 33 6670.10 6.2079 64 8559.10 6.1898 95 13694.05 6.1965 62.50

7-Jan-11 22 2091.00 6.0179 31 4316.42 6.2306 53 6407.42 6.1612 85 9928.04 6.1737 64.54

10-Jan-11 20 1607.00 5.9175 43 7565.31 6.2269 63 9172.31 6.1727 102 14692.33 6.1725 62.43

11-Jan-11 26 1700.00 5.9178 34 4773.61 6.2397 60 6473.61 6.1552 100 12025.78 6.1668 53.83

12-Jan-11 33 2094.00 5.7986 30 5118.69 6.2320 63 7212.69 6.1062 99 11959.02 6.1447 60.31

13-Jan-11 32 2140.00 5.8162 23 4020.77 6.2331 55 6160.77 6.0883 89 10683.73 6.1468 57.66

14-Jan-11 45 3954.00 5.8291 119 26351.31 5.8979 164 30305.31 5.8889 207 38320.98 5.9207 79.08

17-Jan-11 33 2309.00 5.7160 31 6630.16 6.2631 64 8939.16 6.1217 92 12395.95 6.1623 72.11

18-Jan-11 27 2264.00 5.9697 25 4692.02 6.2682 52 6956.02 6.1710 76 11622.71 6.2259 59.85

19-Jan-11 43 2480.00 5.9214 25 3934.22 6.2822 68 6414.22 6.1427 97 10791.94 6.1876 59.44

20-Jan-11 40 2827.00 5.8356 20 2524.11 6.3476 60 5351.11 6.0771 89 10388.91 6.1572 51.51

21-Jan-11 42 2642.00 5.7714 21 3081.32 6.2972 63 5723.32 6.0545 94 11513.01 6.1382 49.71

24-Jan-11 26 2027.00 5.9810 36 4615.89 6.2824 62 6642.89 6.1904 86 12053.49 6.2185 55.11

25-Jan-11 25 2047.00 6.2024 26 3754.96 6.3761 51 5801.96 6.3149 76 9398.24 6.3117 61.73

27-Jan-11 22 2110.00 6.2293 41 6889.60 6.5132 63 8999.60 6.4466 103 15032.07 6.4776 59.87

28-Jan-11 25 3282.00 6.3174 102 19374.18 6.3656 127 22656.18 6.3586 173 30699.45 6.3738 73.80

31-Jan-11 37 2935.00 6.5085 32 4196.62 6.5767 69 7131.62 6.5487 100 12779.58 6.5250 55.80

Total 639 50577 760 133478.79 1399 184055.79 2064 288513.66 63.79

TABLE 46A: TOP 5 SECURITIES - BASKET REPO

TABLE 46B: TOP 5 SECURITIES - SPECIAL REPO

Amount Crore`

Amount Crore`

TABLE 45: CROMS MARKET SHARE Amount Crore`

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CROMS-Special CROMS-BasketMonth

Volume % share Volume % share

% Share ofCROMS in Repo

Volumes

Jan-09 1315.00 0.29 700.73 0.16 0.45

Feb-09 20781.00 4.74 152.00 0.03 4.77

Mar-09 71273.00 14.35 - - 14.35

Apr-09 37440.00 9.11 34126.80 8.31 17.42

May-09 53202.74 9.88 177070.99 32.87 42.74

Jun-09 42935.00 7.61 315403.77 55.92 63.53

Jul-09 63833.00 12.13 342058.64 64.98 77.11

Aug-09 47357.00 8.47 352887.34 63.10 71.56

Sep-09 112686.00 17.51 396767.00 61.66 79.17

Oct-09 89389.00 16.58 334993.00 62.15 78.73

Nov-09 90984.00 17.56 355057.05 68.53 86.09

Dec-09 37429.00 7.30 390097.84 76.13 83.44

Jan-10 50826.00 13.98 244916.72 67.37 81.35

Feb-10 51093.00 11.73 313516.74 71.95 83.67

Mar-10 65400.00 14.23 286571.61 62.37 76.60

Apr-10 62902.00 13.46 288664.26 61.78 75.25

May-10 83746.00 19.82 234052.77 55.39 75.21

Jun-10 54802.00 22.24 102221.41 41.48 63.72

Jul-10 84693.00 27.12 134610.98 43.10 70.22

Aug-10 59133.00 15.21 167021.43 42.97 58.18

Sep-10 61581.00 16.81 183192.24 50.02 66.83

Oct-10 77271.00 21.50 154693.33 43.04 64.54

Nov-10 61062.00 25.53 90268.30 37.75 63.28

Dec-10 94339.00 29.05 123627.45 38.07 67.13

Jan-11 50577.00 17.53 133478.79 46.26 63.79

Security Trades Value Rate

9.39% G.S. 2011 99 35356.36 6.2424

7.40% G.S. 2012 72 10658.35 6.2447

6.07% G.S. 2014 25 9249.57 6.2350

7.17% G.S. 2015 42 7377.90 6.3126

6.72% G.S. 2014 17 6578.54 6.2219

Security Trades Value Rate

7.47% OMC SB 2012 21 6785.00 6.2765

8.08% G.S. 2022 81 5444.00 5.8689

8.13% G.S. 2022 105 5330.00 5.3174

7.17% G.S. 2015 49 4520.00 6.2755

7.80% G.S. 2020 62 3944.00 5.6235

Amount Crore`TABLE 47: NDS-CALL TRANSACTIONS

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CALL NOTICE Term

DateTrade Value WAR Trade Value WAR Trade Value WAR

% Sharein total

callvolumes

1-Jan-11 12 2205.00 6.87 - - - - - - 93.57

3-Jan-11 72 8788.10 6.78 - - - 3 140.00 8.53 89.16

4-Jan-11 89 9968.00 6.62 - - - 8 845.00 8.60 86.79

5-Jan-11 74 8849.00 6.39 - - - 1 20.00 10.00 85.02

6-Jan-11 95 9767.00 6.34 - - - 2 350.00 7.30 85.32

7-Jan-11 3 235.00 6.40 91 9188.50 6.35 3 210.00 10.02 85.95

8-Jan-11 - - - - - - - - - -

10-Jan-11 94 10538.40 6.32 - - - 4 160.00 8.64 88.44

11-Jan-11 81 9329.00 6.31 - - - 1 25.00 7.50 85.61

12-Jan-11 101 11245.50 6.31 - - - 3 350.00 9.13 87.67

13-Jan-11 82 9206.50 6.31 - - - 5 360.00 9.08 84.33

14-Jan-11 4 120.00 6.34 105 7845.50 6.38 4 165.00 8.71 79.80

15-Jan-11 4 595.00 6.53 - - - - - - 71.43

17-Jan-11 116 11951.00 6.69 - - - 1 45.00 9.99 86.62

18-Jan-11 101 10026.50 6.73 - - - 2 40.00 8.73 82.50

19-Jan-11 84 8759 6.72 - - - 2 65.00 8.10 81.77

20-Jan-11 98 9563.00 6.69 - - - 2 70.00 7.85 84.97

21-Jan-11 6 140.00 6.63 85 8419.00 6.71 1 20.00 8.20 83.73

22-Jan-11 4 715.00 6.70 - - - - - - 75.71

24-Jan-11 86 7300.00 6.67 - - - 3 110.00 7.75 80.38

25-Jan-11 86 7193.00 6.73 - - - 2 200.00 9.68 79.45

27-Jan-11 92 8043.00 6.71 - - - 2 110.00 7.97 77.60

28-Jan-11 5 405.00 6.40 88 7838.50 6.70 3 351.00 7.53 77.77

29-Jan-11 11 1850.00 6.94 - - - - - - 85.51

31-Jan-11 92 8494.50 6.98 - - - 2 35 7.71 80.61

Total 1492 155286.50 369 33291.50 54 3671.00

TABLE 48: NDS-CALL VOLUMES - HISTORICAL Amount Crore`

CALL MONEY MARKET

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Month NDS-CALLNDS- CALL DailyAverage Volumes

Total Call Volumes% share in total call

volumes

Sep-06 15503.95 1414.87 169360.71 9.15

Oct-06 32266.00 1466.64 339030.44 9.52

Nov-06 42539.00 1636.12 379206.39 11.22

Dec-06 70307.90 2812.32 363117.78 19.36

Jan-07 88199.35 3674.97 311261.93 28.34

Feb-07 95898.15 4359.01 285681.42 33.57

Mar-07 148204.42 6175.18 314600.65 47.11

Apr-07 212233.11 9646.96 351622.95 60.36

May-07 190944.61 7637.78 275612.98 69.28

Jun-07 189250.75 7278.88 244775.13 77.32

Jul-07 207373.70 8294.95 251851.89 82.34

Aug-07 258991.11 10359.64 341052.65 75.94

Sep-07 234377.65 10190.33 280787.87 83.47

Oct-07 219437.73 8439.91 267483.52 82.04

Nov-07 211303.75 8804.32 261994.76 80.65

Dec-07 192484.15 8020.17 226772.43 84.88

Jan-08 330291.94 13211.68 385224.27 85.74

Feb-08 277776.14 11111.05 314536.51 88.31

Mar-08 221434.00 10065.18 254471.82 87.02

Apr-08 216747.55 9423.81 260155.15 83.31

May-08 239433.00 9577.32 277010.51 86.43

Jun-08 268051.72 10722.07 314787.72 85.15

Jul-08 318357.53 12244.52 367075.98 86.73

Aug-08 280805.75 11700.24 321776.79 87.27

Sep-08 273684.65 11403.53 317404.76 86.23

Oct-08 302377.45 13744.43 348765.75 86.70

Nov-08 249184.70 10834.12 292109.10 85.31

Dec-08 253315.65 10132.63 299609.28 84.55

Jan-09 230981.50 9239.26 268808.29 85.93

Feb-09 230923.30 10496.51 281340.14 82.08

Mar-09 265820.20 11557.40 308118.22 86.27

Apr-09 190302.00 9515.10 229429.22 82.92

May-09 193419.20 8059.13 242361.47 79.81

Jun-09 226762.10 8721.62 266739.59 85.01

Jul-09 173004.50 6654.02 210482.41 82.19

Aug-09 162699.00 6779.13 193329.19 84.16

Sep-09 197524.75 8588.03 226285.08 87.29

Oct-09 155681.70 6768.77 183652.07 84.77

Nov-09 151269.55 6576.94 180494.28 83.81

Dec-09 159698.75 6387.95 187084.23 85.36

CHART 18: MARKET SHARE IN NDS-CALL LENDING

CHART 19: MARKET SHARE IN NDS-CALL BORROWING

* Figures in bracket relate to previous month

* Figures in bracket relate to previous month

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Co-operative Banks% ( %)0.47 0.44

Foreign Banks% ( %)23.28 23.53

Primary Dealers

11.16 11.39% ( %)

Private Banks% ( %)38.24 33.68

Nationalized% ( %)

Banks26.85 30.95

Co-operative Banks

3.83% ( %)4.01

Foreign Banks

10.37 8.65% ( %)

Primary Dealers

0.03% (0.01%)

Private Banks

4.7 8.8% ( %)

Nationalized Banks

81.08 ( %)% 78.52

Month NDS-CALLNDS- CALL DailyAverage Volumes

Total Call Volumes% share in total call

volumes

Jan-10 153654.30 6146.17 185074.83 83.02

Feb-10 123399.85 5609.08 157037.63 78.58

Mar-10 197675.66 8236.49 236384.41 83.62

Apr-10 166651.50 7245.72 208637.35 79.88

May-10 189791.50 7907.98 226402.54 83.83

Jun-10 167093.55 6426.68 210053.48 79.55

Jul-10 225486.35 8672.55 277247.65 81.33

Aug-10 191342.50 7653.70 231984.66 82.48

Sep-10 178831.95 7775.30 219862.48 81.34

Oct-10 207449.75 8297.99 246743.47 84.08

Nov-10 204945.40 8539.39 241982.47 84.69

Dec-10 210360.05 8414.40 253860.94 82.86

Jan-11 188578.00 7543.12 224958.31 83.83

SETTLEMENT VOLUMES

NUMBER OF PARTICIPANTS: 74

TABLE 49: FOREX SETTLEMENT VOLUMES*

Notes:

*CCIL commenced operations on November 12, 2002

#Cash and Tom settlement is with effect from February 5, 2004.

Note : Spot figures are inclusive of spot leg of swap

FOREIGN EXCHANGE MARKET

THE CLEARING CORPORATION OF INDIA LTD.

107

Cash Tom Spot Forward Total AverageSettlement

Period No ofTrades

Volume(USDMn)

Volume( Cr)`

No ofTrades

Volume(USDMn)

Volume( Cr)`

No ofTrades

Volume(USDMn)

Volume( Cr)`

No ofTrades

Volume(USDMn)

Volume( Cr)`

No ofTrades

Volume(USDMn)

Volume( Cr)`

No ofTrades

Volume(USDMn)

Volume( 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

Apr-10 1260 34521 153549 2298 49687 221187 78016 159878 712356 6918 67507 315600 88492 311594 1402692 4657 16400 73826

May-10 1441 36945 169248 2394 48432 221174 84904 179344 819164 6088 52061 241933 94827 316783 1451519 4991 16673 76396

Jun-10 1559 34630 161303 2675 51294 238873 94495 194622 906980 7325 69596 325726 106054 350142 1632882 4821 15916 74222

Jul-10 1523 33967 159093 2572 45797 214670 80848 166922 781751 6835 61502 288733 91778 308188 1444247 4370 14676 68774

Aug-10 1907 50883 236847 3122 68979 321021 77233 163916 762916 7010 62712 295892 89272 346491 1616675 4251 16500 76985

Sep-10 1560 40320 185581 2443 46437 214137 79911 164701 760517 7471 74666 350471 91385 326124 1510707 4810 17164 79511

Oct-10 1757 52524 233293 2500 57334 254739 99372 223852 995193 7323 91139 418750 110952 424849 1901976 5548 21242 95099

Nov-10 1675 47289 212297 2484 56528 253443 84473 207683 931539 8586 118431 539783 97218 429932 1937062 5401 23885 107615

Dec-10 1877 45785 206740 3187 57595 260547 84824 164369 744075 8587 75231 348394 98475 342980 1559756 4476 15590 70898

Jan-11 1692 39691 180052 2727 50042 226798 87992 165805 751380 8407 75210 348657 100818 330748 1506888 5306 17408 79310

2010-11 (UptoJanuary 2011)

16251 416557 1898003 26402 532124 2426589 852068 1791092 8165871 74550 748056 3473940 969271 3487830 15964404 4846 17439 79822

CHART 20: MONTH WISE BUSINESS GROWTH

TABLE 50: TRADE TYPE ANALYSIS percent

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Cash Tom Spot ForwardSettlement Period

Trades Volumes Trades Volumes Trades Volumes Trades Volumes

2002-03 - - - - 74.25 70.89 25.75 29.11

2003-04 0.31 1.19 0.47 1.83 76.02 70.72 23.20 26.27

2004-05 1.88 7.77 3.47 12.53 76.42 59.24 18.23 20.46

2005-06 2.64 13.11 4.35 16.92 75.78 49.60 17.22 20.37

2006-07 2.36 13.11 4.24 17.82 79.38 49.79 14.03 19.28

2007-08 2.00 10.15 3.38 13.08 80.53 50.90 14.09 25.87

2008-09 1.87 9.53 3.17 13.27 80.65 48.29 14.32 28.91

2009-10 1.78 12.17 3.13 16.22 85.88 49.10 9.21 22.50

Apr-10 1.42 11.08 2.60 15.95 88.16 51.31 7.82 21.67

May-10 1.52 11.66 2.52 15.29 89.54 56.61 6.42 16.43

Jun-10 1.47 9.89 2.52 14.65 89.10 55.58 6.91 19.88

Jul-10 1.66 11.02 2.80 14.86 88.09 54.16 7.45 19.96

Aug-10 2.14 14.69 3.50 19.91 86.51 47.31 7.85 18.10

Sep-10 1.71 12.36 2.67 14.24 87.44 50.50 8.18 22.90

Oct-10 1.58 12.36 2.25 13.50 89.56 52.69 6.60 21.45

Nov-10 1.72 11.00 2.56 13.15 86.89 48.31 8.83 27.55

Dec-10 1.91 13.35 3.24 16.79 86.14 47.92 8.72 21.93

Jan-11 1.68 12.00 2.70 15.13 87.28 50.13 8.34 22.74

2010-11 (Upto January 2011) 1.68 11.94 2.72 15.26 87.91 51.35 7.69 21.45

0

50000

100000

150000

200000

250000

300000

350000

400000

450000

No

v-02

Jun

-03

Jan

-04

Aug

-04

Mar

-05

Oct

-05

May

-06

Dec

-06

Jul-

07

Feb

-08

Sep

-08

Ap

r-09

No

v-09

Jun

-10

Jan

-11

USD

Mn

Gross USD Vol

TABLE 51: FOREX DEAL SIZE ANALYSIS percent

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< 1 mn 1 mn > 1 mn <= 5 mn> 5 mn <= 10

mn> 10 mn <= 20

mn> 20 mn

SettlementPeriod

% tototaltrades

% 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

Apr-10 19.07 2.39 45.70 12.98 25.89 23.39 5.22 13.94 1.77 8.61 2.35 38.69

May-10 18.65 2.40 46.44 13.90 25.21 24.14 5.81 16.55 1.81 9.31 2.08 33.69

Jun-10 18.41 2.39 47.93 14.52 24.80 24.30 5.07 14.56 1.65 8.51 2.14 35.71

Jul-10 18.37 2.35 48.34 14.40 24.21 23.48 4.99 14.06 1.88 9.78 2.20 35.93

Aug-10 18.06 2.00 47.42 12.22 24.10 20.15 5.39 13.20 2.05 9.29 2.99 43.14

Sep-10 17.81 2.16 47.50 13.31 24.92 22.29 5.40 14.27 1.76 8.51 2.61 39.45

Oct-10 17.93 2.00 47.15 12.31 25.03 20.58 5.01 12.38 1.83 8.36 3.05 44.37

Nov-10 18.32 1.78 44.22 10.00 25.41 18.80 6.08 13.15 2.39 9.58 3.58 46.69

Dec-10 19.87 2.45 45.18 12.97 25.12 23.27 5.15 14.03 2.03 10.16 2.65 37.12

Jan-11 20.29 2.61 47.15 14.37 23.32 22.85 5.05 14.63 1.75 9.30 2.44 36.24

2010-11 (UptoJanuary 2011)

18.68 2.23 46.71 12.98 24.80 22.16 5.31 14.00 1.89 9.13 2.61 39.50

* Figures in bracket relate to previous month

CATEGORYWISE ANALYSIS OF FOREX TRADES

Foreign Bank53.4%

( %)52.05

CooperativeBanks 0.15%

(0.13%) FinancialInstitution

0.01% (0.02%)

Public SectorBank 28.3%

( %)28.5

Private Sector Bank% ( %)18.14 19.3

INTERCATEGORY ANALYSIS OF SETTLEMENT VOLUMES

CHART 21: CATEGORY WISE SETTLEMENT ANALYSIS

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TABLE 52: TENOR WISE FORWARD TRADES percent

< 30 Days> 30 Days &<= 90 Days

> 90 Days &<= 180 Days

> 180 Days &<= 365 Days

> 1 YearSettlement

Period % tototaltrades

% 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

Apr-10 15.34 27.89 24.89 25.79 19.62 14.48 39.17 30.41 0.98 1.43

May-10 21.73 28.35 23.21 25.82 17.79 13.88 36.43 30.25 0.84 1.70

Jun-10 20.63 31.27 33.42 31.81 15.92 12.11 28.87 23.31 1.16 1.50

Jul-10 22.74 30.96 31.37 29.51 15.99 14.70 28.88 24.02 1.02 0.81

Aug-10 19.51 27.47 27.55 29.88 17.48 13.46 34.31 28.36 1.16 0.83

Sep-10 17.31 24.80 23.77 24.48 18.34 16.82 38.59 31.40 1.99 2.49

Oct-10 26.00 40.20 20.96 17.94 20.13 18.16 31.04 22.33 1.87 1.37

Nov-10 25.63 47.95 26.38 21.97 14.83 11.48 31.92 17.72 1.23 0.87

Dec-10 18.25 24.55 23.00 20.99 16.64 17.36 40.92 35.84 1.19 1.26

Jan-11 14.74 21.92 22.68 23.07 15.87 13.74 43.87 38.83 2.84 2.44

2010-11 (UptoJanuary 2011)

20.15 31.88 25.64 24.55 17.18 14.57 35.57 27.54 1.46 1.45

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TABLE 53: INTER CATEGORY MEMBER ACTIVITY (BUY)

TABLE 54: INTER CATEGORY MEMBER ACTIVITY (SELL)

TABLE 55: CATEGORYWISE FOREX ACTIVITY Market Share (%)

CategoryForeignBanks

PublicSectorBanks

PrivateSectorBanks

CoopBanks

FinancialInst.

MarketShare(%)

MarketShare (%)(PreviousMonth)

Foreign Banks 62.28 23.16 14.56 0.00 0.01 53.39 52.02

Public Sector Banks 44.44 34.77 20.67 0.12 0.00 28.09 28.32

Private Sector Banks 44.48 33.67 21.31 0.46 0.08 18.37 19.53

Cooperative Banks 0.71 21.71 56.12 21.46 0.00 0.14 0.12

Financial Inst. 16.35 0.00 83.65 0.00 0.00 0.01 0.01

CategoryForeignBanks

PublicSectorBanks

PrivateSectorBanks

CoopBanks

FinancialInst.

MarketShare(%)

MarketShare (%)(PreviousMonth)

Foreign Banks 61.68 23.15 15.16 0.00 0.00 53.91 52.61

Public Sector Banks 43.62 34.45 21.82 0.10 0.00 28.35 28.50

Private Sector Banks 44.21 33.03 22.27 0.43 0.06 17.58 18.74

Cooperative Banks 0.19 22.49 57.48 19.84 0.00 0.14 0.13

Financial Inst. 22.64 0.00 77.36 0.00 0.00 0.02 0.02

Category CASH TOM SPOT FORWARD

Foreign Banks 65.63 61.54 46.56 57.72

Public Sector Banks 19.90 21.54 34.04 24.20

Private Sector Banks 14.20 16.69 19.24 18.03

Cooperative Banks 0.18 0.20 0.16 0.04

Financial Inst. 0.09 0.03 0.00 0.00

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TABLE 56: MARKET SHARE

*CCIL commenced operations on November 12, 2002

percent

TABLE 57: NETTING FACTOR Amount in USD Mn

*CCIL commenced operations on November 12, 2002

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

Apr-10 36.57 57.10 73.55 82.41

May-10 34.35 55.84 70.90 80.98

Jun-10 36.41 56.55 73.24 82.85

Jul-10 35.01 57.51 72.40 81.37

Aug-10 38.87 61.53 75.97 83.52

Sep-10 35.84 57.79 73.96 82.74

Oct-10 36.32 59.30 74.89 84.62

Nov-10 37.34 59.80 77.24 85.18

Dec-10 31.93 54.22 71.53 81.26

Jan-11 30.47 52.96 70.40 81.32

2010-11 (Upto January 2011) 35.54 57.62 73.87 83.10

2002-03 136102 24687 81.86

2003-04 501342 83849 83.28

2004-05 899778 94395 89.51

2005-06 1179688 115909 90.17

2006-07 1776980 171832 90.33

2007-08 3133665 239169 92.37

2008-09 3758905 209822 94.42

2009-10 2988971 177192 94.07

Apr-10 311594 15359 95.07

May-10 316783 13697.8 95.68

Jun-10 350142 16862 95.18

Jul-10 308188 15239 95.06

Aug-10 346491 16438 95.26

Sep-10 326124 16758 94.86

Oct-10 424849 27444 93.54

Nov-10 429932 20862 95.15

Dec-10 342980 17540 94.89

Jan-11 330748 15541 95.30

2010-11 (Upto January 2011) 3487830 175742 94.96

NUMBER OF PARTICIPANTS: 20

TABLE 58: CLS SETTLEMENT VOLUMES

CONTINUOUS LINKED SETTLEMENT (CLS)

Amount in USD Million

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CHART 22: USD-INR SPOT CURVE

`

Spot Rate and Forward Premia

44.0044.3544.7045.0545.4045.7546.1046.4546.8047.1547.5047.85

05-A

pr-

10

22-A

pr-

10

10-M

ay-1

0

26-M

ay-1

0

14-J

un-1

0

30-J

un-1

0

16-J

ul-1

0

03-A

ug-1

0

20-A

ug-1

0

07-S

ep-1

0

24-S

ep-1

0

13-O

ct-1

0

29-O

ct-1

0

18-N

ov-

10

06-D

ec-1

0

23-D

ec-1

0

10-J

an-1

1

27-J

an-1

1

Spo

tR

ate

()

1.862.362.863.363.864.364.865.365.866.366.867.36

An

nua

lised

Fo

rwar

d

Pre

mia

(%)

Date

Spot Rate Annualised Forward Premia (6 mths)

Settlement Period Trades Volumes

2005-06 43774 67857.57

2006-07 138797 326641.95

2007-08 188741 681368.91

2008-09 247571 499317.93

2009-10 295258 391932.14

Apr-10 28779 30380.85

May-10 35322 36973.34

Jun-10 31627 33279.00

Jul-10 32194 34378.26

Aug-10 31734 33749.51

Sep-10 35329 40324.90

Oct-10 34757 41708.82

Nov-10 29796 36136.40

Dec-10 33450 47136.76

Jan-11 32758 44615.38

2010-11 (Upto January 2011) 325746 378683.23

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NUMBER OF PARTICIPANTS: 66

TABLE 59: FX- CLEAR TRADING VOLUMES Amount in USD Million

FOREX TRADING PLATFORM:FX-CLEAR

Spot Daily AveragePeriod

No of trades Volume No of trades Volume

2003-04 881 646.00 5 4.00

2004-05 3319 2243.00 14 9.12

2005-06 16636 11893.45 68 48.74

2006-07 46551 33262.03 190 135.76

2007-08 73941 49138.35 298 198.14

2008-09 79125 46888.87 332 197.01

2009-10 99091 53435.38 415 223.58

Apr-10 10271 5573.83 541 293.36

May-10 9057 4736.60 453 236.83

Jun-10 8736 4516.89 397 205.31

Jul-10 8248 4278.39 375 194.47

Aug-10 8474 4475.48 404 213.12

Sep-10 8823 4710.98 441 235.55

Oct-10 9324 5029.95 444 239.52

Nov-10 9413 4983.36 471 249.17

Dec-10 9578 5013.98 435 227.91

Jan-11 10062 5260.94 503 263.05

2010-11 (UptoJanuary 2011)

91986 48580.39 444 234.69

NUMBER OF PARTICIPANTS: 67

TABLE 60: INTEREST RATE SWAPS TRANSACTIONS (MATCHED) - JANUARY 2011

DERIVATIVES

Amount Crore`

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MIBOR MIFOR INBMK TotalDate

Trades Value Trades Trades Trades

3-Jan-11 145 8185 2 150 0 0 147 8335

4-Jan-11 132 9214 7 588 0 0 139 9802

5-Jan-11 208 15976 9 486 0 0 217 16462

6-Jan-11 267 19613 2 100 0 0 269 19713

7-Jan-11 190 16259 1 25 0 0 191 16284

10-Jan-11 253 21764 13 735 0 0 266 22499

11-Jan-11 219 13514 13 767 0 0 232 14281

12-Jan-11 186 15212 4 363 0 0 190 15575

13-Jan-11 163 11224 2 123 0 0 165 11347

14-Jan-11 175 11787 1 32 0 0 176 11819

17-Jan-11 193 13150 0 0 0 0 193 13150

18-Jan-11 159 11807 8 732 1 25 168 12564

19-Jan-11 186 11501 11 525 0 0 197 12026

20-Jan-11 176 10230 11 937 0 0 187 11167

21-Jan-11 198 16479 18 854 1 25 217 17358

24-Jan-11 269 21575 19 1055 0 0 288 22630

25-Jan-11 283 22427 10 775 0 0 293 23202

27-Jan-11 181 12717 17 994 0 0 198 13711

28-Jan-11 100 6525 3 109 0 0 103 6634

31-Jan-11 99 7500 4 100 0 0 103 7600

Total 3782 276659 155 9450 2 50 3939 286159

Average 189 13833 8 472 0 3 179 13007

Value Value Value

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TABLE 61 : INTEREST RATE SWAPS (MIBOR) MARKET SHAREA - JANUARY 2011percent

CHART :23 MARKET SHARE IN MIBOR SWAPS

TABLE 6 : INTEREST RATE SWAPS (MIFOR) MARKET SHARE1B - JANUARY 2011percent

CHART :24 MARKET SHARE IN MIFOR SWAPS

Foreign Banks84.08%

Private Banks7.65%

Nationalized Banks1.12%

Primary Dealers7.15%

Private Banks15.2%

Foreign Banks84.8%

Buy Sell TotalCategory

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

Foreign Banks 3066 81.07 236687.00 85.55 3000 79.32 228543.00 82.61 6066 80.20 465230.00 84.08

Nationalized Banks 67 1.77 2800.00 1.01 78 2.06 3400.00 1.23 145 1.92 6200.00 1.12

Primary Dealers 285 7.54 16266.00 5.88 342 9.04 23310.00 8.43 627 8.29 39576.00 7.15

Private Banks 364 9.62 20906.00 7.56 362 9.57 21406.00 7.74 726 9.60 42312.00 7.65

Total 3782 100.00 276659.00 100.00 3782 100.00 276659.00 100.00 7564 100.00 553318.00 100.00

Buy Sell TotalCategory

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

DealsMarketShare

NotionalAmount

MarketShare

Foreign Banks 147 94.84 8947.50 94.69 106 68.39 7078.50 74.91 253 81.61 16026.00 84.80

Nationalized Banks 0 0.00 0.00 0.00 0 0.00 0.00 0.00 0 0.00 0.00 0.00

Primary Dealers 0 0.00 0.00 0.00 0 0.00 0.00 0.00 0 0.00 0.00 0.00

Private Banks 8 5.16 502.00 5.31 49 31.61 2371.00 25.09 57 18.39 2873.00 15.20

Total 155 100.00 9449.50 100.00 155 100.00 9449.50 100.00 310 100.00 18899.00 100.00

Amount Crore`TABLE 63: IRS TRADE SUMMARY

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TABLE 62: TOP “N” MARKET SHARE

MIBOR MIFOR

Top 1 20.60 16.05

Top 5 57.71 66.16

Top 10 78.60 91.85

MIBOR MIFOR INBMKMonth

Trades Value Trades Trades

Aug-07 396 30140 35 1475 2 100

Sep-07 3730 266943 481 21092 7 250

Oct-07 2756 203909 711 32091 11 500

Nov-07 1976 141313 468 21507 - -

Dec-07 1791 135817 336 14915 2 100

Jan-08 5386 363222 853 39016 6 275

Feb-08 4713 343642 712 30781 - -

Mar-08 4683 319620 799 35141 7 325

Apr-08 3692 253937 393 17692 2 100

May-08 5159 314799 365 18004 5 200

Jun-08 5847 353056 492 21802 9 425

Jul-08 6008 383583 392 18549 9 300

Aug-08 4586 275768 347 14780 2 75

Sep-08 3792 242241 521 20962 8 450

Oct-08 3147 224822 206 8486 4 100

Nov-08 469 32064 145 6857 1 50

Dec-08 550 44234 188 10103 12 625

Jan-09 998 60260 148 7449 2 150

Feb-09 582 40111 70 3352 9 375

Mar-09 1016 71036 125 5504 2 75

Apr-09 678 43855 47 2144 2 75

May-09 1324 84029 57 2894 1 50

Jun-09 1831 116124 135 6021 - -

Jul-09 1130 69303 66 2542 7 575

Aug-09 942 65405 56 3207 2 150

Sep-09 880 76559 73 4732 - -

Oct-09 1277 101358 111 6028 1 50

Nov-09 1216 78946 44 1916 2 150

Dec-09 2233 161246 43 2410 - -

Jan-10 1827 141806 75 3666 - -

Feb-10 2158 153046 51 2267 13 850

Mar-10 2008 151301 23 1014 20 1025

Apr-10 1593 119593 63 2470 9 350

Value Value

Amount Crore`

Amount Crore`

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TABLE 64: OUTSTANDING POSITION IN IRS TRANSACTIONS

TABLE 65: NETTING FACTOR - IRS NON-GUARANTEED SETTLEMENT

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 (Upto January 2011) 41642 2529364 7091 282136 530 25560 49263 2837060

Settlement Period Gross Amount Net Amount Netting %

2009-10 13827.38 3688.21 73.33

April-10 2107.47 485.17 76.98

May-10 1879.50 412.74 78.04

June-10 3114.68 624.36 79.95

July-10 2474.48 513.13 79.26

August-10 2239.13 482.20 78.46

September-10 2038.63 470.94 76.90

October-10 1525.29 394.57 74.13

November-10 1194.44 277.44 76.77

December-10 1464.84 297.30 79.70

January-11 1405.47 307.34 78.13

2010-11 (Upto January 2011) 19443.92 4265.20 78.06

MIBOR MIFOR INBMKMonth

Trades Value Trades Trades

Jun-10 3365 260869 88 4290 20 1150

Jul-10 3592 265686 131 7506 23 1850

Aug-10 3619 251476 93 4979 4 300

Sep-10 2413 151719 77 4361 1 50

Oct-10 2411 166580 123 6347 3 250

Nov-10 1762 132504 90 5009 11 1075

Dec-10 2582 165720 72 4393 13 550

Jan-11 3782 276659 155 9450 2 50

Value Value

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CHART 26: SOVEREIGN YIELD CURVE

HIGHLIGHTS

• Zero coupon yields as on January 31, 2011 were at

higher levels in the short to medium term of the

curve as compared to the yields prevailing a year

back. The upward shift was more pronounced in

the short end. In the longer end yields however

have moved to marginally lower levels. In the last

month yields were at marginally higher levels

except at the very short end of the curve.

CHART 25: ZERO COUPON YIELD CURVE

INTEREST RATE MOVEMENT

2.00

2.50

3.00

3.50

4.00

4.50

5.00

5.50

6.00

6.50

7.00

7.50

8.00

8.50

9.00

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30

Tenor (In years)

Zer

oC

oup

on

Rat

e(%

)

January 31, 2011 December 31, 2010 January 29, 2010

3.90

4.40

4.90

5.40

5.90

6.40

6.90

7.40

7.90

8.40

0.5 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30

Tenor

(%)

January 31, 2011 December 31, 2010 January 29, 2010

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CHART 27: TEN YEAR YIELD MOVEMENT

TABLE : YIELD MOVEMENT TEN YEAR BENCHMARK - % G.S. 2066 OF 7.80 20

Date WAY

3-Jan-11 7.9501

4-Jan-11 8.0550

5-Jan-11 8.0476

6-Jan-11 8.0897

7-Jan-11 8.1851

10-Jan-11 8.2337

11-Jan-11 8.1970

12-Jan-11 8.1911

13-Jan-11 8.1365

14-Jan-11 8.1747

17-Jan-11 8.2365

18-Jan-11 8.1950

19-Jan-11 8.1591

20-Jan-11 8.1485

21-Jan-11 8.1526

24-Jan-11 8.1987

25-Jan-11 8.1648

27-Jan-11 8.1220

28-Jan-11 8.1237

31-Jan-11 8.1452

7.30

7.50

7.70

7.90

8.10

8.30

Feb/1

0

Mar/

10

Apr/

10

May/1

0

Jun/1

0

Jul/1

0

Aug/1

0

Sep/1

0

Oct/10

Nov/1

0

Dec/1

0

Jan/1

1

(%)

10-year Yield

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CHART 28: YIELD MOVEMENT

TABLE 67: SPREAD ON STATE GOVERNMENT SECURITIES (SDLs)

Note: Spread has been calculated on the basis of deals settled through CCIL taking into account only outright deals of 5 Crore andabove. The methodology and other information on the spread can be requested from Economic Research Department, CCIL

`

State TradesTraded Volume

(` Crore)Average Spread (bps)

ANDHRA PRADESH 47 3501.60 30.59

BIHAR 22 4740.40 31.87

GOA 1 188.60 35.08

GUJARAT 47 4401.60 33.50

HARYANA 4 1600.00 32.60

JAMMU AND KASHMIR 5 592.30 30.86

JHARKHAND 1 100.00 36.28

KERALA 6 273.40 29.16

MADHYA PRADESH 7 1152.20 33.32

MAHARASTRA 101 6625.80 31.78

MANIPUR 3 507.50 31.48

PUNJAB 2 100.00 28.70

RAJASTHAN 10 407.10 28.13

TAMIL NADU 17 978.10 33.15

UTTAR PRADESH 30 3941.30 29.43

UTTARAKHAND 2 147.90 28.23

WEST BENGAL 29 2743.70 29.09

Total 334 32001.50 31.43

0.0000

0.0500

0.1000

0.1500

0.2000

0.2500

0.5 5 10 15 20 25 30

Years to Maturity

Ch

ange

inyi

eld

(bp

s)

Change (bps)

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TABLE 68: YIELD SPREADS

YTM Change in YTM(bps) Spread over 1 year(bps)Change in

spreads(bps)

Change inspreads(bps)Year

January31, 2011

December31, 2010

January29, 2010

Month toMonth

Year onYear

January31, 2011

December31, 2010

January29, 2010

Month toMonth

Year onYear

2011 7.3209 4.6979 - - - - - - -

2012 7.3691 7.4680 6.1457 -10 122 - 15 145 - -

2013 7.6912 7.6569 6.6953 3 100 32 34 200 -1 -168

2014 8.0010 7.8995 7.1441 10 86 63 58 245 5 -181

2015 8.1156 7.8517 7.3939 26 72 75 53 270 22 -195

2016 8.0606 7.8451 7.3906 22 67 69 52 269 17 -200

2017 8.1361 7.8165 7.4611 32 67 77 50 276 27 -200

2018 8.2333 7.9809 7.5534 25 68 86 66 286 20 -199

2019 8.1493 7.9070 7.7056 24 44 78 59 301 19 -223

2020 8.1451 7.9133 7.5675 23 58 78 59 287 18 -209

2021 8.3022 8.0954 7.7551 21 55 93 77 306 16 -212

2022 8.2272 8.0507 7.8020 18 43 86 73 310 13 -225

2023 8.3598 8.1851 7.9833 17 38 99 86 329 13 -229

2024 8.4027 8.2435 7.9432 16 46 103 92 325 11 -221

2025 8.4483 8.2993 8.1179 15 33 108 98 342 10 -234

2026 8.4830 8.3394 8.1628 14 32 111 102 346 10 -235

2027 8.4034 8.3371 8.2639 7 14 103 102 357 2 -253

2028 8.5403 8.3981 8.2231 14 32 117 108 353 9 -235

2032 8.6209 8.4938 8.2744 13 35 125 117 358 8 -232

2034 8.6305 8.4091 8.2587 22 37 126 109 356 17 -230

2035 8.6353 8.5311 8.2705 10 36 127 121 357 6 -231

2036 8.6385 8.5387 8.2770 10 36 127 122 358 5 -231

2039 8.6493 8.5612 8.2905 9 36 128 124 359 4 -231

2040 8.5453 8.4637 - 8 - 118 114 - 3 -

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TABLE 69: NFS-ATM SETTLEMENT VOLUMES

CCIL NFS-ATM

IDRBT has appointed CCIL as the designated Settlement Agency for Interbank settlement of ATM transactions within the

members of National Financial Switch (NFS). CCIL started the settlement of ATM transactions from August 27, 2004.

Settlement Period Transactions Volumes ( Crore)`

2004-05 262284 46.26

2005-06 5721316 611.78

2006-07 16146164 1869.79

2007-08 60117540 6068.88

2008-09 213126866 17280.63

2009-10 1132573588 42892.81

Apr-10 127662942 4188.67

May-10 135855932 4464.24

Jun-10 129015744 4126.30

Jul-10 145124482 4432.78

Aug-10 202015676 5244.58

Sep-10 216098442 5476.69

Oct-10 237634098 6299.10

Nov-10 242017454 5867.00

Dec-10 247517294 5809.00

Jan-11 251294866 6416.14

2010-11 (Upto January 2011) 1934236930 52324.50

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Primary corporate bond market issuances were

substantially higher during the month in

comparison to the previous month. During the

first month of 2011, 82 securities were issued,

compared to 33 securities during the previous

month. Compared to the previous month, Finance

Companies dominated the issuance, with a share of

60% (55%) of the total issuance. They were

followed by Infrastructure Companies 22%

(9.09%), Manufacturing Companies 10% (27%)

and Other Corporates 8% (9.09%).

The average coupon of the securities issued during

the month was 9.35% compared to 9.25% in the

previous month. The average maturity of the

securities issued during the month was 6.12 years.

While fixed income securities continued to

dominate the issuance with a share of 59%, the

share of floating rate securities and zero coupon

bonds increased significantly to 24% (9.09%) and

15% (9.09%) respectively. Tenorwise, securities of

maturity between 2 to 5 years have dominated the

issuances. The maturity wise analysis of the

securities issued during the month is given in the

table below.

Reversing the trend over the past few months,

secondary market corporate bond volumes have

improved (4%) during January'11. Average trading

volumes have improved on the NSE and FIMMDA

reporting platforms, while they have fallen in the

BSE reporting platforms. Average volumes on the

FIMMDA reporting platform increased from

1180 crore in December to 1264 crore during the

current month. Average volumes on the NSE

platform have increased to 481 crore to 385

crore in the previous month. However, volumes on

the BSE reporting platform have decreased from

176 crore previous month, to 69 crore during

January. Infrastructure Development and Finance

Company and Power Finance Corporation were

the most widely traded corporates during the

month. Average 5 year AAA spreads were higher at

119 bps in comparison to 107 bps during the

previous month. Average 10 year AAA spreads were

at 93 bps in comparison to 90 bps during the

previous month.

` `

` `

` `

TABLE 70: PRIMARY MARKET ISSUANCE - JANUARY'11

CORPORATE BONDS

Maturity Bucket No. Fixed FloatingZero

Coupon

Avg. FixedCoupon

(%)

Max.Coupon

(%)

Min.Coupon

(%)

FloatingBenchmark

Remarks

<=1 year 6 4 2 10.31 11.50 9.74

> 1 year -<=2 years 10 5 5 9.61 10.25 8.00Index and Equity

Linked

> 2 years -<=5 years 25 13 12 8.67 11.00 6.00Nifty, Equity and

Gold Linked

>5 years -<=10 years 13 11 1 1 9.99 12.00 8.90 INCMTBMK

>10 years-<=15 years 18 12 1 5 9.05 11.00 8.00

> 15 years 8 3 1 4 9.53 10.25 9.15

Amount Crore`

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TABLE 71: HISTORICAL CORPORATE BONDS TRADING DETAILS

Month FIMMDA NSE BSE Cumulative

Feb-08 2875.30 2067.34 1127.97 6070.61

Mar-08 3081.26 1384.83 1580.40 6046.49

Apr-08 3643.84 2768.29 2735.47 9147.60

May-08 3679.90 2192.63 4063.39 9935.92

Jun-08 2881.50 3281.99 3390.00 9553.49

Jul-08 2909.68 2095.06 1705.68 6710.42

Aug-08 2202.09 787.87 1160.67 4150.63

Sep-08 4372.59 2557.43 2603.21 9533.23

Oct-08 2652.20 2523.26 2482.20 7657.66

Nov-08 2065.88 1863.70 1556.86 5486.44

Dec-08 12121.62 8148.69 5817.62 26087.93

Jan-09 12200.42 7779.45 6415.54 26395.41

Feb-09 4365.25 7428.14 2669.97 14463.36

Mar-09 6406.78 7405.30 2894.17 16706.25

Apr-09 11692.45 16992.64 2681.50 31366.60

May-09 7072.22 10687.97 2762.10 20522.29

Jun-09 7065.72 8635.81 3138.79 18840.32

Jul-09 10357.91 12477.27 4573.00 27408.18

Aug-09 7134.71 13462.60 4566.05 25163.36

Sep-09 8748.29 14393.47 6336.69 29478.45

Oct-09 10115.98 12903.84 7281.77 30301.59

Nov-09 9351.03 16923.95 6058.86 32333.84

Dec-09 20372.56 7032.66 3151.12 30556.34

Jan-10 32494.07 15164.08 4656.82 52314.97

Feb-10 25925.07 9742.13 4062.10 39729.30

Mar-10 42663.91 16320.63 5156.85 66276.25

Apr-10 43312.30 19075.45 3946.07 66333.82

May-10 44629.85 21438.35 5774.11 71842.31

Jun-10 36731.18 12512.45 4291.70 53535.33

Jul-10 46687.43 11492.40 4806.18 62986.01

Aug-10 35883.51 11862.27 1919.52 49665.30

Sep-10 36990.52 11656.39 3601.23 52248.14

Oct-10 35496.11 11273.34 1102.38 47871.83

Nov-10 26203.44 9593.19 2737.17 38533.80

Dec-10 23609.15 7704.10 3524.10 34837.35

Jan-11 25284.64 9615.70 1377.09 36277.43

TABLE 72: CORPORATE BONDS TRADING DETAILS Amount Crore`

TABLE :73 SPREAD ANALYSIS

Note: Spread over comparable G-secDeals apparently viewed as duplicate deals have been excluded.

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FIMMDA NSE BSE TotalDate

Trades Volume Trades Volume Trades Volume Trades Volume

3-Jan-11 54 1382.02 8 200.00 1 5.00 63 1587.02

4-Jan-11 74 1264.52 13 387.70 1 2.30 88 1654.52

5-Jan-11 83 1169.68 11 780.00 15 62.45 109 2012.13

6-Jan-11 114 2398.77 41 1170.40 23 33.63 178 3602.80

7-Jan-11 69 849.70 6 105.00 11 107.40 86 1062.10

10-Jan-11 105 1546.78 26 551.80 13 19.40 144 2117.98

11-Jan-11 120 1070.47 18 346.00 13 28.48 151 1444.95

12-Jan-11 80 686.43 11 237.50 9 20.55 100 944.48

13-Jan-11 116 1236.80 27 593.50 19 58.91 162 1889.21

14-Jan-11 101 996.75 14 365.00 8 4.92 123 1366.67

17-Jan-11 83 1062.70 19 480.00 11 85.80 113 1628.50

18-Jan-11 94 865.28 12 310.00 20 91.30 126 1266.58

19-Jan-11 84 1160.75 16 510.00 10 17.32 110 1688.07

20-Jan-11 133 1683.10 21 1029.10 4 5.10 158 2717.30

21-Jan-11 87 1320.01 7 463.90 17 280.10 111 2064.01

24-Jan-11 88 856.16 10 269.00 13 242.84 111 1368.00

25-Jan-11 103 2040.40 11 306.00 5 205.60 119 2552.00

27-Jan-11 87 1201.82 13 660.00 10 71.68 110 1933.50

28-Jan-11 96 887.74 21 380.60 7 28.17 124 1296.51

31-Jan-11 134 1604.76 24 470.20 9 6.15 167 2081.11

Total 1905 25284.64 329 9615.70 219 1377.09 2453 36277.43

Average 95 1264.23 16 480.79 11 68.85 123 1813.87

Maturity Buckets Average Spread (bps)

<=1 year 238.84

> 1 year -<=2 years 218.16

> 2 years -<=3 years 120.98

>3 years -<=5 years 152.99

>5 years-<=7 years 152.84

> 7 years 104.98

TABLE 74: TOP 25 TRADED BONDS

THE CLEARING CORPORATION OF INDIA LTD.

127

Source for Corporate Bonds:www.fimmda.orgwww.nseindia.comwww.bseindia.comwww.nsdl.co.in

Note: Deals apparently viewed as duplicate deals have been excluded.Yields have been taken from source.

No. Security Description Rating Category Maturity Coupon (%) TradesVolume(` Cr.)

Yield (%)

1 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED AAA Finance 26-May-11 6.22 20 1542.00 9.4471

2 SIDBI AAA Finance 30-Mar-13 6.60 13 925.00 7.1992

3 NATIONAL HOUSING BANK AAA Finance 15-Jul-13 7.00 6 850.00 7.5566

4 STATE BANK OF INDIA AAA Finance 4-Oct-21 Floating Rate 46 794.00 8.9737

5 INFRASTRUCTURE DEVELOPMENT FINANCE COMPANY LIMITED AA+ Finance 4-Mar-11 Zero Coupon 15 778.20 9.6367

6 INDIAN OVERSEAS BANK AA+ Finance 31-Dec-20 8.95 18 770.00 8.9447

7 POWER FINANCE CORPORATION LIMITED AAA Finance 15-Jul-12 7.10 14 657.00 9.1237

8 NATIONAL BANK FOR AGRICULTURE & RURAL DEVELOPMENT AAA Finance 19-Jan-14 9.48 3 650.00 9.4759

9 BANK OF INDIA AAA Finance 31-Jul-21 Floating Rate 95 634.30 9.1815

10 UNION BANK OF INDIA AAA Finance 16-Oct-21 Floating Rate 10 628.80 9.0342

11 NATIONAL BANK FOR AGRICULTURE & RURAL DEVELOPMENT AAA Finance 12-Feb-13 8.90 17 550.00 9.0077

12 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED AAA Finance 12-Feb-11 8.95 4 500.00 9.3100

13 POWER FINANCE CORPORATION LIMITED AAA Finance 15-Sep-12 7.89 7 465.00 9.1755

14 POWER FINANCE CORPORATION LIMITED AAA Finance 20-Nov-19 Floating Rate 6 450.00 9.1760

15 NATIONAL BANK OF AGRICULTURE AND RURAL DEVELOPMENT AAA Finance 19-Jan-14 9.48 2 450.00 9.4800

16 POWER FINANCE CORPORATION LIMTED AAA Finance 15-Jan-21 8.99 20 425.50 8.9977

17 NATIONAL HOUSING BANK AAA Finance 26-Mar-13 6.25 13 425.00 6.6670

18 NATIONAL HOUSING BANK AAA Finance 8-Mar-13 7.10 4 400.00 7.5683

19 ICICI HOME FINANCE COMPANY LIMITED AAA(SO) Finance 29-Mar-11 7.68 15 388.00 8.2386

20 INFOTEL BROADBAND SERVICES LIMITED - Others 15-Sep-20 8.95 8 370.00 9.3334

21 EXIM BANK AAA Finance 26-Dec-12 9.25 12 357.00 8.8850

22 SIDBI - Finance 19-Mar-13 6.50 10 325.00 6.6588

23 POWER GRID CORPORATION OF INDIA AAA Infrastructure 21-Oct-19 8.84 12 318.00 8.8679

24 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED AAA Finance 18-Jan-12 9.55 7 316.00 9.6107

25 NATIONAL HOUSING BANK AAA Finance 27-Jan-13 6.4 6 315.00 6.5784

• April 30, 2001- CCIL was incorporated as the

country's first clearing house for the

Government Securities and inter-bank foreign

exchange transactions.

• February 15, 2002 - CCIL commenced its

securities settlement operations (but only

trades below 200 million was to be

necessarily settled by CCIL).

• April 10, 2002 - CCIL extended the facility of

guaranteed settlement of G-sec trade to its

members.

• October 17, 2002 - Launched Quarterly

Publication “Rakshitra” containing articles in

relevant operational areas as also detailed

statistics and analysis of settlement

information.

• October 25, 2002 - Started publication of

“Weekly Market Update” containing weekly

statistics and analysis of settlement

information and important market

developments.

• November 8, 2002 - CCIL commenced

guaranteed settlement of Forex (Spot &

Forwards) transactions.

• January 20, 2003 - CCIL launched

Collateralized Borrowing and Lending

Obligations (CBLO).

• April 1, 2003 - All trades in the securities

settlement got routed through CCIL.

• June 4, 2003 - Set up a wholly owned

Subsidiary Company Clearcorp Dealing

Systems (India) Ltd. to manage dealing

platforms in Money and Currency Markets.

• July 19, 2003 - Operationalised Anonymous

Auction System to facilitate Buy Back of

Government Securities by Government of

India.

• August 7, 2003 - FX-CLEAR, the forex dealing

platform was launched.

• October 18, 2003 - Electronic movement of

Member Margins / Collaterals facilitated

through “Value Free Transfer Module” of

NDS.

• February 5, 2004 - CCIL commenced

guaranteed settlement of Cash and Tom deals

from spot date.

• March 5, 2004 - Non-NDS Members

commence CBLO operations.

• April 2, 2004 - CCIL switched to Delivery

versus Payment III mode of settlement and

hence began netting of securities.

• June 15, 2004 - Operationalised “Straight

Through Processing” arrangement for

settlement of foreign exchange trades done on

Fx Clear.

• August 2004 - “Rakshitra” was made a

monthly newsletter.

• August 27, 2004 - Started clearing and

settlement of ATM transactions of National

Financial Switch operated by Institute for

Development and Research in Banking

Technology (IDRBT).

• October 14, 2004 - Govt. Securities Lending

and Borrowing Scheme was operationalised.

• January 2005 - CCIL received regulatory

approval for commencement of cross

currency deals through CLS Bank by availing

the third party services of ABN AMRO Bank

as the settlement bank.

• January 31, 2005 - CCIL released its Sovereign

Bond Indices, CCIL BROAD GILTS INDEX,

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consisting of top 20 traded securities and

CCIL LIQUID GILTS INDEX, consisting of

the 5 most liquid bonds, to track the

movement of the government securities

market.

• February 7, 2005 - CCIL started releasing

comparative intra day money market rates of

Call, Repo and CBLO markets on its website.

• April 6, 2005 - Commenced settlement of

cross currency transactions through CLS.

• May 2, 2005 - CCIL released its T-Bill index

consisting of two T-bill indices CCIL

EQUAL WEIGHT T-bills INDEX and CCIL

LIQUIDITY WEIGHT T-bills INDEX. The

CCIL T-bills indices are instruments that

would capture the market movement in the

short term maturity segment.

• June 29, 2005 - The Forex segment recorded

the highest netting factor of 97.15%.

• August 1, 2005 - Launching of NDS Order

Matching System (NDS-OM).

• August 16, 2005 - CBLOi ((Internet Trading

System for Non-NDS Members) commenced

operations.

• March 20, 2006 - CCIL has launched

Overnight Collateralised Benchmark

Reference Rates for Indian market, namely

CCIL Collateralised Benchmark Bid Rate

(CCBID) and CCIL Collateral ised

Benchmark Offer Rate (CCBOR). The rates

are disseminated at 10:10 A.M. from Monday

to Friday. The historical data is available in

CCIL website (http: //www.ccilindia.com)

from January 2004.

• July 31, 2006 - Version 2 of the NDS-OM

trading platform launched, enabling trading

in Treasury Bills and trading in the When

Issued market.

• July 2006 - CCIL receives ISO/IEC 27001:

2005 certification for securing its information

assets.

• August 2006 - Electronic Receipt and

Confirmation System (ERCS) launched to

enable CCIL members to submit their

deposits and withdrawal request through the

electronic media.

• September 4, 2006 - CCIL released its CCIL

ALL SOVEREIGN BOND INDICES

(CASBI), which would reflect the broad

movement of the market. The base date of the

index is January 1, 2004.

• September 4, 2006 - CCIL launched its

eNotice System available to all members for

sending their collateral notices in electronics

form.

• September 11, 2006 - Launch of Intraday

Securities Withdrawal in CBLO segment.

• September 18, 2006 - NDS - CALL, and

electronic screen-based quote driven dealing

system for all Call, Notice and Term Money

operations was launched. The system

facilitates negotiation between counterparties

and monitors counterparty exposure limits, as

also adherence to regulatory limits.

• January 3, 2007 - NDS Auction module went

live to facilitate bidding in primary Treasury

Bill auctions.

• January 16, 2007 - Euroclear and The Clearing

Corporation of India Limited (CCIL) signed a

Memorandum of Understanding (MOU)

regarding post-trade processing collaboration.

• January 25, 2007 - CCIL launched the CCIL

MIBOR (CCIL Mumbai Inter-Bank Offer

Rate) /MIBID (CCIL Mumbai Inter-Bank Bid

Rate) based on Dealt Quotes from NDS-Call.

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• March 5, 2007 - The 'eNotice System' extended

to Non-NDS Associate Members.

• May 21, 2007 - Version 3.0 of NDS-OM

launched on May 21, 2007 enabling odd lot

trading on the NDS-OM platform, trading of

new securities in the when issued market and

trading of CSGL entities on this platform.

• July 03, 2007 - CCIL started releasing the daily

Spot reference rates on the CCIL website.

• August 30, 2007 - CCIL's reporting platform

for the transaction in OTC interest rate

derivatives (Interest Rate Swaps and Forward

Rate Agreements (IRS/FRA) became

operational.

• September 10, 2007 - Version 2.0 of NDS-CALL

electronic screen-based quote driven dealing

system for Call, Notice & Term money was

launched. The enhancements include User

hierarchy with multiple user levels with pre set

role privileges and risk mitigation measures

such as assigning Single Order Limit and

set t ing up of exposure l imits for

Counterparties at various levels.

• November 12, 2007 - The Depository Trust &

Clearing Corporation (DTCC) and The

Clearing Corporation of India Limited (CCIL)

have signed a Memorandum of Understanding

(MOU) aimed at promoting closer

collaboration between the two market

infrastructure organizations.

• November 27, 2008 - CCIL commenced Non-

Guaranteed Settlement of OTC Trades in

Rupee Derivatives.

• January 1, 2009 - CCIL launched the CCIL

Certification Programme.

• January 27, 2009 - Clearcorp launched

'Clearcorp Repo Order Matching System'

(CROMS), a STP enabled electronic

anonymous order matching platform to

facilitate dealing in market repos in

government securities. CROMS facilitates

dealing in two kinds of Repos viz. Basket Repos

and Special Repos for T+0 and T+1 settlement

tenors.

• February 11, 2009 - CCIL became the first

organization to be granted authorisation by the

Reserve Bank of India under “The Payment &

Settlement Systems Act- 2007”.

• May 11, 2009 - Version 2 of NDS Auction

module went live to facilitate bidding in

primary Dated Securities auctions.

• June 1, 2009- The CCIL SDL Index was

launched to track the market for SDLs through

a representative index.

• June 1, 2009 - The CCIL Tenor Index was

launched to capture the tenor wise movement

across the term structure.

• December 1, 2009 - CCIL commenced the

settlement of forex forward trades with

guarantee from the trade date.

• May 31, 2010 - Launch of FX-SWAP Dealing

System an anonymous order driven matching

system which offers guaranteed settlement of

forward trades from the point of trade.

• August 11, 2010 - CCIL started settlement of

'India-Pay Mobile Payment Service - India Pay

Switch' file on a Non Guaranteed basis.

• September 4-9, 2010 - CCIL successfully

conducted “Live Operations” of all business its

applications from DR Pune datacenter

validating its infrastructure capabilities and

different disaster scenarios.TH

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KEY PERSONNEL/HODs

Sr.No.

Person Designation and Department Phone No.

1 Dr. R.H. Patil Chairman 66639202

2 Mr. Yeshwant Kapdi Managing Director 66639201

3 Mr. Ravi Rajan Executive Vice President 66639241

4 Mr. Bala Jothi Chief Technology Officer 66639261

5 Mrs. Indirani Rao Chief Forex Officer 66639301

6 Mr. O.N. Ravi Company Secretary & Corporate Development Officer 66639341

7 Mr. S. Roy Chief Risk Officer 66639321

8 Mr. Deepak Chande Senior Vice President , Finance & Accounts 66639352

9 Dr. Golaka C. Nath Senior Vice President, Economic Research & Surveillance, Membership 66639391

10 Mr. Pradeep. K. Naik Senior Vice President , Operations (Fixed Income & Money Market) Dept. 66639231

11 Mr. Kamal Singhania Vice President , Forex 66639361

12 Mr. Praveen Mata Vice President , Information Technology Department 66639285

13 Mr. P.S. Sundareswaran Vice President , HRD and Admin 66639302

14 Mr. R. Natarajan Asst. Vice President, Derivatives 66639315

15 Mr. K. Biju Asst. Vice President, Product Development Department 66639365

16 Mr. Pradyumna S. Odak Asst. Vice President , Membership 66639242

17 Mr. Santosh Bhalerao Asst. Vice President , Information Technology Department 66639442

18 Mr. Amol Pradhan Jr. Vice President, Funds and Collateral. Mgmt 66639247

19 Mr. Bijesh Muthirakkal Jr. Vice President, Information Technology Department 66639434

20 Mr. Rajesh Salunkhe Jr. Vice President , Product Development Department 66639248

21 Mr. N. Venkatraman Jr. Vice President, CBLO and Securities Settl ement 66639215

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DISCLAIMER: This Newsletter contains information relating to the operations of The Clearing Corporation of India Ltd. (CCIL), its Members

and The Reserve Bank of India. While CCIL has taken every care to ensure that the information and/or data provided are accurate and complete,

CCIL does not warrant or make any representation as to the accuracy and completeness of the same. Accordingly, CCIL assumes no responsibility

for any errors and omissions in any section or sub-section of this Newsletter.

The views expressed in the articles by the authors are their own and CCIL does not accept any responsibility. CCIL shall not be liable to any

member or any other person for any direct consequential or other damages arising out of the use of this Newsletter.

Valuable feedback & suggestions are welcome at res_sur@ccilindia.co.in

Published by the Research Department, CCIL

Previous Issues

Rakshitra Vol I No. I (Jul - Sep ‘02)

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Rakshitra Vol IX No. VI (January ‘11)