statistics€¦ · statistics ble 11: c cil settlement det ails november 2004. november 2018 monthl...
TRANSCRIPT
Am
oun
tC
rore
`
Sta
tistics
TA
BL
E 1
1: C
CIL
SE
TT
LE
ME
NT
DE
TA
ILS
*Com
men
ced
oper
atio
nsfr
omN
ovem
ber 1
2,2
002,C
ash
and
Tom
settle
men
tisw
ith
effe
ctfr
omF
ebru
ary5,2
004.
**L
aunc
hed
onN
ovem
ber 5
, 2018
CC
ILM
on
thly
Ne
wsl
ett
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71
statisticsstatistics
Ma
y 2
02
0
No
oftra
des
Valu
eAv
g.Tr
ades
Avg.
Vol
No
oftra
des
Valu
eAv
g.Tr
ades
Avg.
Vol
No
oftra
des
Valu
e (U
SDM
illio
n)Av
g.Tr
ades
Avg.
Vol
(USD
Mill
ion)
No
oftra
des
Valu
eAv
g.Tr
ades
Avg.
Vol
2002
-03
1918
4310
7614
764
636
2323
284
9335
0978
3143
1002
3213
6102
1101
1496
--
--
2003
-04
2435
8515
7513
382
053
0341
886
1887
266
142
6419
3305
1750
1342
1425
2161
--
--
2004
-05
1606
8211
3422
255
038
8448
726
3116
185
167
1067
246
6327
8997
8219
7638
13-
--
-
2005
-06
1255
0986
4751
467
3215
5133
233
8687
017
611
599
4896
4911
7968
820
8450
20-
--
-
2006
-07
1371
0010
2153
656
241
8758
009
5112
560
199
1750
960
6808
1776
981
2550
7466
--
--
2007
-08
1888
4316
5385
176
566
9653
258
7893
536
182
2703
375
7074
3133
665
3181
1316
7-
--
-
2008
-09
2459
6421
6023
310
4791
9248
561
8187
856
169
2852
983
7520
3758
904
3657
1641
4-
--
-
2009
-10
3169
5629
1389
013
3212
243
5728
912
1424
0920
142
605
8839
4929
8897
138
4312
996
--
--
2010
-11
3325
4028
7095
213
4611
623
5484
282
0750
818
727
917
1150
037
4191
037
4792
1746
3-
--
-
2011
-12
4122
6634
8820
317
3214
656
5957
375
2481
620
525
858
1283
178
4642
573
5579
2018
5-
--
-
2012
-13
6580
5565
9203
227
3127
353
8314
110
8041
8828
837
385
1396
138
4830
933
6018
2082
3-
--
-
2013
-14
8203
3089
5669
933
9037
011
9279
514
4540
4631
749
331
1512
215
4743
321
6490
2035
8-
--
-
2014
-15
9779
4810
1561
6241
2642
853
1093
9115
7355
1438
154
828
1731
706
5297
790
7595
2323
6-
--
-
2015
-16
8831
6797
2854
136
6540
367
1356
2317
2492
7949
062
272
1885
129
5489
286
8056
2345
8-
--
-
2016
-17
1342
410
1687
4146
5570
7001
716
7888
2356
4763
622
8727
719
2610
662
7497
883
0227
047
--
--
2017
-18
9187
3711
3998
8138
1247
302
1989
5325
6364
9874
896
378
2174
774
6494
454
9294
2775
4-
--
-
2018
-19
8060
0493
5500
733
3138
657
2162
0727
1249
8980
410
0836
2375
821
6814
433
1019
729
246
8867
014
4515
9082
113
3811
2019
-20
9636
2213
3083
6539
8254
993
2401
0629
5760
0789
911
0772
2125
918
6987
915
9085
2986
321
8370
4014
2194
818
1503
45
Apr-2
037
578
7795
1122
1045
854
1691
825
1743
589
013
2497
6254
440
2739
3679
2369
115
839
3347
778
834
1761
99
May
-20
5588
310
1017
831
0556
121
2065
331
3099
898
314
9095
7527
239
0121
4182
2167
317
606
3644
744
838
1735
59
2020
-21 (
Upt
oM
ay 20
20)
9346
117
8968
926
7051
134
3757
156
4843
393
914
1211
1378
1679
2860
3938
2265
333
445
6992
522
836
1748
13
Settl
emen
tPe
riod
Out
right
Repo
(Firs
t + S
econ
d Le
g)Fo
rex*
TREP
**
CC
ILM
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Ne
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TABLE 12: CATEGORYWISE BUYING ACTIVITY Percent
Percent
* Call, Notice and Term Money segment.** Includes Small Finance and Payment Banks
TABLE 13: CATEGORYWISE SELLING ACTIVITY
* Call, Notice and Term Money segment.** Includes Small Finance and Payment Banks
statisticsstatistics
72
Ma
y 2
02
0
Category OutrightRepo (FundsBorrowing)
TREPBorrowing
UncollateralisedMoney Market
Borrowing*Forex IRS-MIBOR IRS-MIFOR
Co-operative Banks 3.63 0.68 0.33 1.31** 0.09 - -
Financial Institutions 0.21 0.07 4.20 - 0.00 - -
Foreign Banks 24.60 34.50 11.62 0.73 50.98 47.92 65.68
Insurance Companies 0.98 0.00 0.00 - - - -
Mutual Funds 6.24 0.00 0.96 - - - -
Others 2.73 1.53 4.90 - - - -
Primary Dealers 11.78 37.81 6.44 46.68 - 28.29 0.00
Private Sector Banks 30.17 23.29 47.51 29.78 26.85 23.50 34.32
Public Sector Banks 19.66 2.12 24.04 21.50 22.08 0.29 0.00
Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00
Category OutrightReverse
Repo (FundsLending)
TREPLending
UncollateralisedMoney Market
Lending*Forex IRS-MIBOR IRS-MIFOR
Co-operative Banks 3.73 0.21 0.60 68.73** 0.07 - -
Financial Institutions 0.59 0.02 1.77 - 0.04 - -
Foreign Banks 19.60 16.42 0.53 1.81 50.08 48.31 93.97
Insurance Companies 1.55 4.30 23.19 - - - -
Mutual Funds 15.13 75.72 66.99 - - - -
Others 6.41 0.04 6.80 - - - -
Primary Dealers 8.85 0.80 0.01 0.00 - 21.73 0.00
Private Sector Banks 27.76 2.31 0.11 15.82 27.15 27.92 6.03
Public Sector Banks 16.38 0.18 0.00 13.65 22.65 2.05 0.00
Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00
CC
ILM
on
thly
Ne
wsl
ett
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73
TA
BL
E 1
4: C
OM
PAR
AB
LE
RA
TE
SP
erce
nt
statisticsstatistics
Ma
y 2
02
0
Cal
lR
epo
TR
EP
FB
IL-
Ove
rnig
ht
MIB
OR
(10:
45 A
.M.)
FB
IL-
MR
OR
(10:
45 A
.M.)
FB
IL-
Ter
mM
IBO
R 1
4D
AY
S(1
1:45
A.M
.)
FB
IL-T
erm
MIB
OR
1M
onth
(11:
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.M.)
FB
IL-T
erm
MIB
OR
3M
onth
s(1
1:45
A.M
.)
10Y
Ben
chm
ark
(WA
Y)
91 D
TB
182
DT
B36
4 D
TB
LA
F R
epo
LA
FR
ever
seR
epo
2-M
ay-2
03.1
937
-2.5
548
--
--
--
--
-4.4
03.7
5
4-M
ay-2
04.0
557
3.3
875
3.3
184
4.4
83.5
34.8
64.9
65.2
96.0
918
--
-4.4
03.7
5
5-M
ay-2
03.9
504
3.2
483
3.2
654
4.4
93.4
84.8
24.9
35.2
66.0
829
--
-4.4
03.7
5
6-M
ay-2
03.8
810
3.3
253
3.3
390
4.4
43.4
44.8
34.9
25.2
56.0
388
3.5
202
3.5
499
3.5
799
4.4
03.7
5
8-M
ay-2
03.9
817
3.3
426
3.3
917
4.4
33.4
44.8
14.9
15.2
16.0
049
--
-4.4
03.7
5
11-M
ay-2
03.8
697
3.3
172
3.1
476
4.4
23.4
14.7
44.8
95.2
16.1
936
--
-4.4
03.7
5
12-M
ay-2
03.7
938
2.9
146
2.5
974
4.2
93.1
44.7
34.8
55.2
46.1
691
--
-4.4
03.7
5
13-M
ay-2
03.8
807
2.1
331
1.8
259
4.2
52.2
24.6
54.8
05.1
96.1
293
3.4
794
3.7
899
3.8
399
4.4
03.7
5
14-M
ay-2
03.9
210
1.9
324
2.1
127
4.3
51.9
04.6
74.7
75.2
16.0
288
--
-4.4
03.7
5
15-M
ay-2
03.9
727
2.8
032
2.9
968
4.4
62.7
44.6
94.7
95.2
16.0
639
--
-4.4
03.7
5
16-M
ay-2
02.9
393
-3.4
635
--
--
--
--
-4.4
03.7
5
18-M
ay-2
03.8
390
3.0
928
3.1
604
4.4
23.2
14.7
14.7
95.2
06.0
545
--
-4.4
03.7
5
19-M
ay-2
03.9
153
3.1
509
3.2
629
4.4
53.2
74.7
54.8
25.2
26.0
355
--
-4.4
03.7
5
20-M
ay-2
03.9
757
3.1
038
3.0
480
4.4
33.2
94.7
44.7
85.2
06.0
353
3.2
795
3.7
468
3.7
899
4.4
03.7
5
21-M
ay-2
03.9
411
2.8
637
2.7
698
4.3
52.9
14.7
24.7
65.1
76.0
401
--
-4.4
03.7
5
22-M
ay-2
03.7
055
2.4
638
2.5
345
4.3
12.2
74.5
24.5
85.0
45.9
237
--
-4.0
03.3
5
26-M
ay-2
03.6
097
2.7
220
2.7
865
4.0
72.7
74.4
04.4
44.9
65.9
714
--
-4.0
03.3
5
27-M
ay-2
03.6
086
2.8
545
2.9
546
4.0
42.9
34.3
64.4
44.9
25.9
737
3.1
939
3.3
998
3.4
099
4.0
03.3
5
28-M
ay-2
03.6
952
3.0
302
3.0
707
4.0
23.0
94.3
34.4
44.9
05.9
860
--
-4.0
03.3
5
29-M
ay-2
03.6
215
3.1
034
3.1
392
4.0
43.1
34.3
14.4
44.8
95.9
953
--
-4.0
03.3
5
30-M
ay-2
02.4
960
-3.3
346
--
--
--
--
-4.0
03.3
5
Ave
rag
e3.
7070
2.93
272.
9559
4.32
3.01
4.65
4.74
5.14
6.04
553.
3683
3.62
163.
6549
4.29
3.64
Max
4.05
573.
3875
3.46
354.
493.
534.
864.
965.
296.
1936
3.52
023.
7899
3.83
994.
403.
75
Min
2.49
601.
9324
1.82
594.
021.
904.
314.
444.
895.
9237
3.19
393.
3998
3.40
994.
003.
35
SD0.
3874
0.40
940.
4309
0.17
0.47
0.18
0.19
0.13
0.06
940.
1568
0.18
100.
1984
0.19
0.19
Dat
e
Mon
ey M
arke
t R
ates
(W
AR
)B
ench
mar
k R
ates
Au
ctio
n C
ut-
offs
Pol
icy
Rat
es
CC
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TABLE 15 : PROPRIETARY / CONSTITUENT SETTLEMENT ANALYSIS
GOVERNMENT SECURITIES MARKETSETTLEMENT ANALYSISNumber of Participants: 270
Percent
statisticsstatistics
74
Ma
y 2
02
0
Trades Value Trades Value Trades Value Trades Value
2002-03 80.54 87.54 19.46 12.46 99.58 99.81 0.42 0.19
2003-04 75.82 85.03 24.18 14.97 88.11 89.96 11.89 10.04
2004-05 75.96 81.95 24.04 18.05 81.83 86.21 18.17 13.79
2005-06 78.55 85.37 21.45 14.63 70.00 82.77 30.00 17.23
2006-07 87.78 90.06 12.22 9.94 70.67 85.01 29.33 14.99
2007-08 90.26 90.55 9.74 9.45 70.74 83.79 29.26 16.21
2008-09 89.48 88.32 10.52 11.68 72.60 87.98 27.40 12.02
2009-10 90.16 90.56 9.84 9.44 81.01 94.03 18.99 5.97
2010-11 89.23 89.92 10.77 10.08 80.58 89.37 19.42 10.63
2011-12 90.81 88.35 9.19 11.65 81.39 88.46 18.61 11.54
2012-13 89.69 87.05 10.31 12.95 90.89 92.91 9.11 7.09
2013-14 88.78 85.20 11.22 14.80 91.90 93.43 8.10 6.57
2014-15 89.88 88.50 10.12 11.50 94.15 93.04 5.85 6.96
2015-16 89.10 88.95 10.90 11.05 95.84 94.73 4.16 5.27
2016-17 87.56 87.62 12.44 12.38 95.46 94.19 4.54 5.81
2017-18 86.31 85.71 13.69 14.29 96.63 94.91 3.37 5.09
2018-19 85.71 84.28 14.29 15.72 96.13 93.30 3.87 6.70
2019-20 83.27 83.10 16.73 16.90 94.14 87.73 5.86 12.27
Apr-20 76.99 80.66 23.01 19.34 86.93 72.72 13.07 27.28
May-20 76.42 83.88 23.58 16.12 88.34 78.32 11.66 21.68
2020-21 (UptoMay 2020)
76.65 82.48 23.35 17.52 87.70 75.82 12.30 24.18
Repo
Proprietary ConstituentSettlement
Period
Outright
Proprietary Constituent
TABLE 16: DEAL SIZE ANALYSIS Percent
CC
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statisticsstatistics
Ma
y 2
02
0
TABLE 17: T+2 TRADING SUMMARY Amount Crore`
Date Trades Face Value
4-May-20 1 80
5-May-20 1 50
6-May-20 4 460
8-May-20 4 135
11-May-20 5 413
12-May-20 3 28
13-May-20 8 418
14-May-20 2 160
15-May-20 5 854
18-May-20 5 379
19-May-20 6 165
20-May-20 0 0
21-May-20 1 76
22-May-20 4 229
26-May-20 1 55
27-May-20 1 100
28-May-20 2 13
29-May-20 7 216
Total 60 3829
% 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
2010-11 6.34 0.69 64.62 37.42 18.04 20.84 3.90 7.58 7.10 33.46
2011-12 5.32 0.57 66.66 39.39 17.19 20.27 3.91 7.74 6.92 32.03
2012-13 4.21 0.45 60.06 29.98 21.30 21.23 5.09 8.66 9.33 39.68
2013-14 3.85 0.40 58.80 26.93 20.49 18.74 5.97 9.29 10.89 44.65
2014-15 2.78 0.33 61.13 29.43 21.40 20.58 5.42 8.89 9.27 40.77
2015-16 3.48 0.43 60.18 27.32 20.28 18.37 5.55 8.56 10.51 45.32
2016-17 3.43 0.42 52.33 20.81 23.71 18.83 6.66 9.07 13.87 50.86
2017-18 3.52 0.42 56.59 22.80 20.39 16.39 6.89 9.45 12.62 50.94
2018-19 3.57 0.44 59.89 25.80 18.60 15.97 6.48 9.50 11.47 48.28
2019-20 3.33 0.37 52.92 19.16 21.01 15.18 7.89 9.93 14.85 55.37
Apr-20 3.88 0.34 45.96 11.08 21.41 10.28 7.60 6.33 21.15 71.96
May-20 4.70 0.48 45.43 12.57 21.50 11.85 7.61 7.21 20.75 67.89
2020-21 (UptoMay 2020)
4.37 0.42 45.64 11.92 21.46 11.17 7.60 6.83 20.91 69.66
SettlementPeriod
< 5 Cr 5 Cr > 5 Cr <=10 Cr >10 Cr<=20 Cr > 20 Cr
TABLE 18: T+2 TRADES - HISTORICAL TRADING SUMMARY
CC
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statisticsstatistics
76
Ma
y 2
02
0
TABLE 19: INSTRUMENT WISE BREAKUP OF OUTRIGHT TRADES Amount Crore`
Value Avg. Value % Share Value Avg. Value % Share Value Avg. Value % Share
2002-03 1032185 3475 95.91 37443 126 3.48 6519 22 0.61
2003-04 1458665 4911 92.61 102299 344 6.49 14169 48 0.90
2004-05 862820 2955 76.07 246703 845 21.75 24700 85 2.18
2005-06 657213 2443 76.00 189839 706 21.95 17700 66 2.05
2006-07 883248 4723 86.46 126956 679 12.43 11332 61 1.11
2007-08 1467704 5942 88.74 171914 696 10.39 14234 58 0.86
2008-09 1955412 8321 90.52 170436 725 7.89 34385 146 1.59
2009-10 2480850 10424 85.14 363283 1526 12.47 69757 293 2.39
2010-11 2552181 10333 88.90 275095 1114 9.58 43677 177 1.52
2011-12 3099108 13021 88.85 345237 1451 9.90 43859 184 1.26
2012-13 5920929 24568 89.82 552943 2294 8.39 118159 490 1.79
2013-14 7968661 32928 88.97 833191 3443 9.30 154847 640 1.73
2014-15 9149608 38606 90.09 823470 3475 8.11 183083 773 1.80
2015-16 8557672 35509 87.96 854390 3545 8.78 316479 1313 3.25
2016-17 15198472 63064 90.07 1073461 4454 6.36 602213 2499 3.57
2017-18 9830117 40789 86.23 1006055 4175 8.83 563709 2339 4.94
2018-19 7907618 32676 84.53 938339 3877 10.03 509050 2104 5.44
2019-20 11265755 46553 84.65 1356141 5604 10.19 686469 2837 5.16
Apr-20 528736 31102 67.83 221087 13005 28.36 29688 1746 3.81
May-20 792970 44054 78.50 175422 9746 17.37 41786 2321 4.14
2020-21 (UptoMay 2020)
1321706 37763 73.85 396510 11329 22.16 71474 2042 3.99
Cen. Govt. Dated Securities Treasury Bills State Development LoansSettlementPeriod
Amount Crore`
Month Trades Face Value
2015-16 2874 202905
2016-17 4127 323487
2017-18 3349 215160
2018-19 1878 116410
2019-20 2808 202625
Apr-20 110 7175
May-20 60 3829
2020-21 (Upto May 2020) 170 11005
CC
ILM
on
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Ne
wsl
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77
statisticsstatistics
Ma
y 2
02
0
TABLE 20: TENOR WISE ACTIVITY - CENTRAL GOVERNMENT DATED SECURITIES Percent
Year 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09 2009-10 2010-11 2011-12 2012-13 2013-14 2014-15 2015-16 2016-17 2017-18 2018-19 2019-20 May-20 2020-21
2003 0.40 0.06 - - - - - - - - - - - - - - - - - -
2004 1.82 1.31 0.04 - - - - - - - - - - - - - - - - -
2005 0.44 0.79 2.40 0.09 - - - - - - - - - - - - - - - -
2006 0.32 0.49 2.01 2.04 0.20 - - - - - - - - - - - - - - -
2007 0.50 0.51 1.34 2.35 1.55 0.06 - - - - - - - - - - - - - -
2008 3.58 2.73 2.04 2.06 1.44 0.31 0.00 - - - - - - - - - - - - -
2009 2.81 3.18 5.43 2.64 2.83 11.43 4.27 0.43 - - - - - - - - - - - -
2010 5.14 4.20 10.39 12.56 2.91 6.29 3.50 3.38 0.59 - - - - - - - - - - -
2011 15.85 7.48 6.88 4.70 14.48 1.17 1.99 3.21 1.14 0.15 - - - - - - - - - -
2012 21.42 12.04 4.66 8.19 4.27 0.56 1.04 2.94 2.38 0.82 0.05 - - - - - - - - -
2013 9.21 7.53 2.13 6.48 0.59 2.99 1.92 1.57 1.29 0.12 0.08 0.05 - - - - - - - -
2014 0.44 5.51 6.04 12.79 6.12 1.49 6.75 10.24 0.82 0.12 0.07 0.34 0.05 - - - - - - -
2015 7.89 5.70 25.34 1.38 1.56 3.50 1.78 5.38 8.21 0.43 0.35 0.57 0.62 0.38 - - - - - -
2016 2.98 0.88 2.07 0.26 32.66 1.00 1.63 13.70 5.12 0.80 0.13 0.20 0.19 0.63 0.18 - - - - -
2017 17.65 25.82 16.64 22.60 17.69 47.01 5.84 1.05 6.76 1.05 4.57 4.86 0.24 0.79 0.84 0.05 - - - -
2018 0.51 6.96 3.73 1.38 0.14 0.08 42.75 0.15 0.04 6.55 1.56 1.48 0.11 0.83 0.74 0.40 0.11 - - -
2019 0.99 3.94 2.24 0.18 0.09 0.03 2.44 24.90 0.10 0.01 0.02 3.82 2.02 1.65 1.58 0.81 1.58 0.19 - -
2020 0.06 3.75 1.73 0.10 0.10 0.01 0.02 19.27 32.76 1.56 7.77 6.38 10.43 12.47 6.23 2.93 3.12 2.42 0.84 1.02
2021 2.24 0.46 0.17 14.21 3.64 0.57 3.71 4.92 0.03 53.20 8.26 0.60 0.11 0.66 1.66 1.12 1.19 1.27 3.12 3.26
2022 2.77 2.66 1.44 1.13 0.52 5.82 1.56 1.43 35.55 13.87 25.16 12.91 2.73 1.49 1.22 4.07 6.37 2.05 5.40 4.71
2023 - 2.38 1.33 0.10 0.07 0.67 2.27 0.53 0.08 0.07 0.01 26.74 26.46 8.71 7.44 3.21 4.73 3.14 4.29 4.30
2024 - - - - 0.01 0.69 1.08 1.24 0.19 17.58 12.68 0.99 23.76 19.12 2.83 2.49 1.34 11.93 11.93 12.54
2025 - - - - - 0.16 1.30 0.30 0.05 0.01 10.78 13.02 0.16 20.27 3.87 2.44 0.33 0.74 1.29 1.56
2026 2.22 0.22 0.08 0.08 0.00 0.22 0.74 0.80 0.38 0.14 21.30 15.87 2.29 7.33 34.72 9.29 3.88 6.03 6.88 7.85
2027 - - - - 0.04 0.67 2.97 2.35 2.95 1.31 0.86 7.98 6.25 1.12 0.51 29.72 2.47 1.19 2.91 3.32
2028 - 1.14 0.98 0.09 0.06 0.03 0.04 0.01 0.01 0.00 0.00 0.00 21.17 4.46 0.43 4.87 63.15 10.95 2.57 2.33
2029 - - - - - - - - - 0.00 0.00 0.00 0.00 2.97 13.50 20.05 1.87 50.42 40.03 40.76
2030 - - - - - - - - - 0.95 3.88 2.06 1.14 13.39 21.61 2.76 0.40 0.58 4.22 2.77
2031 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 12.39 6.63 0.70 1.17 1.24
2032 0.74 0.29 0.30 0.35 0.27 2.46 7.71 0.62 0.72 0.27 0.31 0.91 0.43 0.57 0.21 0.41 0.71 1.12 0.53 0.87
2033 - - - - - - - - - 0.00 0.00 0.00 0.18 0.71 0.26 0.85 0.33 4.92 10.83 9.87
2034 - - 0.59 1.69 4.18 0.02 0.75 0.86 0.03 0.00 0.01 0.01 0.01 0.40 0.57 0.74 0.31 0.27 0.36 0.62
2035 - - - 2.55 0.08 0.01 0.26 0.26 0.01 0.00 0.00 0.10 0.02 0.03 0.12 0.11 0.63 0.26 0.38 0.40
2036 - - - - 4.50 12.75 3.07 0.10 0.04 0.00 0.45 0.03 0.05 0.06 0.09 0.07 0.05 0.04 0.13 0.17
2037 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00
2038 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00
2039 - - - - - - 0.63 0.38 0.00 0.00 0.00 0.00 0.00 0.00 0.05 0.03 0.01 0.31 0.59 0.43
2040 - - - - - - - - 0.75 0.62 0.11 0.03 0.19 0.18 0.07 0.10 0.04 0.08 0.07 0.05
2041 - - - - - - - - - 0.36 1.34 0.58 0.14 0.11 0.07 0.06 0.07 0.10 0.03 0.02
2042 - - - - - - - - - - 0.25 0.41 0.45 0.23 0.11 0.10 0.06 0.11 0.34 0.24
2043 - - - - - - - - - - - 0.05 0.61 0.23 0.13 0.04 0.04 0.22 0.45 0.27
2044 - - - - - - - - - - - - 0.19 0.69 0.39 0.35 0.07 0.12 0.07 0.05
2045 - - - - - - - - - - - - - 0.52 0.34 0.16 0.09 0.08 0.05 0.04
2046 - - - - - - - - - - - - - - 0.10 0.16 0.18 0.15 0.07 0.08
2047 - - - - - - - - - - - - - - - - 0.00 0.00 0.01 0.00
2048 - - - - - - - - - - - - - - - - 0.00 0.00 0.01 0.00
2049 - - - - - - - - - - - - - - - - 0.00 0.20 0.03 0.03
2050 - - - - - - - - - - - - - - - - 0.00 0.00 0.68 0.51
2051 - - - - - - - - - - - - - - 0.06 0.21 0.03 0.08 0.18 0.14
2052 - - - - - - - - - - - - - - - - 0.00 0.00 0.01 0.00
2053 - - - - - - - - - - - - - - - - 0.00 0.00 0.01 0.00
2054 - - - - - - - - - - - - - - - - 0.00 0.00 0.01 0.00
2055 - - - - - - - - - - - - - 0.02 0.07 0.02 0.19 0.03 0.01 0.03
2056 - - - - - - - - - - - - - - - - - 0.00 0.01 0.00
2057 - - - - - - - - - - - - - - - - - 0.00 0.01 0.00
2058 - - - - - - - - - - - - - - - - - 0.00 0.01 0.00
2059 - - - - - - - - - - - - - - - - - 0.27 0.09 0.09
2060 - - - - - - - - - - - - - - - - - - 0.39 0.39
Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
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TABLE 21: NETTING FACTOR: FUNDS
Netting Factor denotes the extent of actual reduction achieved through multi-lateral offsetting of individual member fund
obligations (arising out of every trade) to a single net fund obligation. This process has significantly reduced individual
funding requirements for every member and also achieved reduction in market liquidity risk.
Amount Crore`
NETTING FACTOR
Settlement Period Gross Net Netting Factor (%)
2002-03 2324017 653519 71.88
2003-04 4038385 979592 75.74
2004-05 4582506 1037355 77.36
2005-06 4460523 905062 79.71
2006-07 6275182 968185 84.57
2007-08 9646481 1596638 83.45
2008-09 10756665 1674892 84.43
2009-10 15502457 2642001 82.96
2010-11 11233653 2561298 77.20
2011-12 10996999 2191680 80.07
2012-13 17585265 3101477 82.36
2013-14 23207382 4256748 81.66
2014-15 26141572 4216733 83.87
2015-16 27433525 4352880 84.13
2016-17 42368619 6265051 85.21
2017-18 37795487 6679290 82.33
2018-19 36499037 6156934 83.13
2019-20 44378602 5481050 87.65
Apr-20 3454642 483701 86.00
May-20 4408402 573610 86.99
2020-21 (Upto May 2020) 7863044 1057311 86.55
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TABLE 22: NETTING FACTOR: SECURITIES Amount Crore`
Settlement Period Gross Net Netting Factor (%)
2004-05 4250540 2462556 42.06
2005-06 4384775 2012523 54.10
2006-07 6123933 2418739 60.50
2007-08 9536455 3776777 60.40
2008-09 10365006 3750501 63.82
2009-10 15056277 6461619 57.08
2010-11 11078385 4883399 55.92
2011-12 11011992 4139464 62.41
2012-13 17395376 6568929 62.24
2013-14 23302555 9419626 59.58
2014-15 25891676 10026109 61.28
2015-16 26977725 10438154 61.31
2016-17 40603629 15078857 62.86
2017-18 37036379 15278527 58.75
2018-19 36479848 14837404 59.33
2019-20 42885776 15281923 64.37
Apr-20 3296946 1315391 60.10
May-20 4141176 1571590 62.05
2020-21 (Upto May 2020) 7438122 2886982 61.19
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297.
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20-M
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308.
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317.
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2002
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0.88
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447.
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GS 2
030
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458.
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020
IN00
2012
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2012
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034
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2004
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1581
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488.
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2007
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880.
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214
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8
496.
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GS 2
051
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2016
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28-N
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5115
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070.
1855
000
362
78
505.
09%
GS 2
022
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2020
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340.
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000
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2
518.
20%
GS 2
022
IN00
2006
0037
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050.
1653
617
218
210
9
527.
62%
GS 2
039
IN00
2019
0024
15-S
ep-3
913
427
503
0.25
4212
830.
1638
151
320
516
0
537.
94%
GS 2
021
IN00
2006
0318
24-M
ay-2
183
7470
0.07
2612
500.
1648
555
390
179
547.
73%
GS 2
034
IN00
2015
0051
19-D
ec-3
417
915
104
0.14
8412
120.
1510
0000
184
87
558.
26%
GS 2
027
IN00
2007
0036
2-A
ug-
2712
495
530.
0961
1205
0.15
9772
71
7780
568.
79%
GS08
NO
V20
21P
IN00
1121
P01
28-
Nov-
211
1140
0.01
311
400.
14-
-11
4011
40
578.
24%
GS 2
033
IN00
2014
0052
10-N
ov-
3316
225
535
0.23
4411
240.
1499
275
115
811
2
589.
15%
GS 2
024
IN00
2011
0048
14-N
ov-
2416
421
166
0.19
1310
130.
1384
063
112
916
9
598.
33%
GS 2
036
IN00
2006
0045
7-Ju
n-3
678
4943
0.04
4410
050.
1386
000
163
126
607.
8%G
S11
AP
R20
21P
IN00
0421
P01
711
-Ap
r-21
317
000.
0229
1000
0.13
--
567
500
618.
2%G
S15
FE
B20
22P
IN00
0222
P01
915
-Feb
-22
315
100.
019
835
0.11
--
503
835
628.
28%
GS 2
027
IN00
2007
0069
21-S
ep-2
712
588
700.
0843
781
0.10
9000
11
7165
638.
97%
GS 2
030
IN00
2011
0055
5-D
ec-3
011
655
090.
0528
555
0.07
9000
01
4762
647.
06%
GS 2
046
IN00
2016
0068
10-O
ct-4
620
514
879
0.13
111
530
0.07
1000
001
7335
656.
17%
GS 2
023
IN00
2003
0055
12-J
un
-23
112
3367
0.03
7352
90.
0714
000
430
41
668.
17%
GS 2
044
IN00
2014
0078
1-D
ec-4
413
413
089
0.12
2651
00.
0697
000
198
57
678.
15%
GS11
JUN
2022
PIN
0006
22P
010
11-J
un
-22
150
00.
0029
500
0.06
--
500
500
6811
.6%
GS27
DE
C20
20P
IN00
1220
P01
227
-Dec
-20
213
850.
011
500
0.06
--
693
500
696.
01%
GS 2
028
IN00
2002
0247
25-M
ar-2
812
025
490.
0215
247
40.
0615
000
321
26
708.
30%
GS 2
040
IN00
2010
0031
2-Ju
l-40
8978
530.
0714
471
0.06
9000
01
8867
71F
RB
2031
IN00
2018
0041
7-D
ec-3
137
7869
0.07
644
00.
0611
6000
021
322
0
727.
19%
GS15
SE
P20
60P
IN00
0960
P01
415
-Sep
-60
242
00.
002
420
0.05
--
210
210
736.
13%
GS 2
028
IN00
2003
0022
4-Ju
n-2
898
1357
0.01
8739
60.
0511
000
414
25
747.
63%
GS17
JUN
2059
PIN
0006
59P
012
17-J
un
-59
1767
400.
062
320
0.04
--
396
160
758.
13%
GS 2
045
IN00
2015
0044
22-J
un
-45
108
6901
0.06
1832
00.
0498
000
064
40
767.
63%
GS 2
059
IN00
2019
0057
17-J
un
-59
122
2364
80.
212
320
0.04
8346
20
194
160
776.
90%
OM
C S
B20
26IN
0020
0890
694-
Feb
-26
3315
970.
013
312
0.04
2194
21
4810
4
786.
30%
GS 2
023
IN00
2003
0014
107
5654
0.05
1821
80.
0313
000
253
249-
Ap
r-23
Sr.
No.
Secu
rity
ISIN
Mat
uri
tyD
ate
Day
s tr
aded
(in
last
12
mon
ths)
Val
ue
trad
edin
last
12
mon
ths
(FV
inC
rore
)`
Per
cen
tsh
are
inla
st 1
2m
onth
sV
alu
e
No.
of
Tra
des
(May
-20
20)
Val
ue
for
May
- 2
020
(FV
in`
Cro
re)
Per
cen
tsh
are
in(M
ay20
20)
Ou
tsta
nd
ing
(FV
in`
Cro
re)
Tu
rnov
erR
atio
*
Ave
rage
Dai
lyT
rad
ing
Val
ue
inla
st 1
2m
onth
s (F
V in
`C
rore
)
Ave
rage
Dai
lyT
rad
ing
Val
ue
inM
ay -
202
0(F
V in
`
Cro
re)
CC
ILM
on
thly
Ne
wsl
ett
er
statisticsstatistics
82
Ma
y 2
02
0
TA
BL
E 2
3: L
IQU
IDIT
Y A
NA
LY
SIS
FO
R C
EN
TR
AL
GO
VE
RN
ME
NT
SE
CU
RIT
IES
TR
AN
SAC
TE
D D
UR
ING
TH
E M
ON
TH
(C
ontd
.)
797.
72%
GS 2
049
IN00
2019
0032
15-J
un
-49
122
2094
00.
193
195
0.02
8400
00
172
98
808.
83%
GS 2
041
IN00
2011
0063
12-D
ec-4
188
6926
0.06
1216
10.
0290
000
079
27
81F
RB
2020
IN00
2009
2071
21-D
ec-2
053
6695
0.06
414
00.
0213
000
112
670
82G
S11
DE
C20
21C
IN00
1221
C01
811
-Dec
-21
190
0.00
190
0.01
--
9090
83G
S11
JUN
2020
CIN
0006
20C
012
11-J
un
-20
190
0.00
190
0.01
--
9090
84G
S27
JUN
2020
CIN
0006
20C
020
27-J
un
-20
180
0.00
180
0.01
--
8080
857.
69%
GS 2
043
IN00
2019
0040
17-J
un
-43
9619
747
0.18
175
0.01
3700
00
206
75
867.
94%
GS24
MA
Y20
21P
IN00
0521
P01
424
-May
-21
210
700.
011
700.
01-
-53
570
87G
S17
DE
C20
22C
IN00
1222
C03
217
-Dec
-22
1934
10.
006
620.
01-
-18
31
88G
S17
JUN
2023
CIN
0006
23C
032
17-J
un
-23
2034
70.
006
620.
01-
-17
31
89G
S14
MA
Y20
20C
IN00
0520
C01
414
-May
-20
264
0.00
160
0.01
--
3260
90G
S08
NO
V20
21C
IN00
1121
C02
88-
Nov-
211
500.
001
500.
01-
-50
50
91G
S08
MA
Y20
21C
IN00
0521
C03
88-
May
-21
150
0.00
150
0.01
--
5050
92G
S08
NO
V20
20C
IN00
1120
C03
88-
Nov-
201
500.
001
500.
01-
-50
50
93G
S08
MA
Y20
20C
IN00
0520
C03
08-
May
-20
150
0.00
150
0.01
--
5050
948.
32%
GS 2
032
IN00
2007
0044
2-A
ug-
3284
4281
0.04
248
0.01
8943
40
5124
957.
72%
GS 2
055
IN00
2015
0077
26-O
ct-5
547
1986
0.02
445
0.01
1000
000
4223
96G
S24
MA
Y20
20C
IN00
0520
C02
224
-May
-20
142
0.00
142
0.01
--
4242
97G
S24
MA
Y20
21C
IN00
0521
C02
024
-May
-21
142
0.00
142
0.01
--
4242
98G
S24
NO
V20
20C
IN00
1120
C02
024
-Nov-
201
420.
001
420.
01-
-42
42
99G
S11
AP
R20
21C
IN00
0421
C01
511
-Ap
r-21
266
0.00
139
0.00
--
3339
100
GS11
OC
T20
20C
IN00
1020
C01
411
-Oct
-20
266
0.00
139
0.00
--
3339
101
GS15
FE
B20
21C
IN00
0221
C01
915
-Feb
-21
362
0.00
134
0.00
--
2134
102
GS15
AU
G20
20C
IN00
0820
C01
815
-Aug-
203
620.
001
340.
00-
-21
34
103
GS27
DE
C20
20C
IN00
1220
C02
827
-Dec
-20
280
0.00
129
0.00
--
4029
104
9.20
% G
S 2
030
IN00
2013
0053
30-S
ep-3
071
3035
0.03
425
0.00
6188
50
438
105
GS11
DE
C20
20C
IN00
1220
C01
011
-Dec
-20
120
0.00
120
0.00
--
2020
106
GS11
JUN
2021
CIN
0006
21C
010
11-J
un
-21
120
0.00
120
0.00
--
2020
107
GS11
JUN
2022
CIN
0006
22C
018
11-J
un
-22
120
0.00
120
0.00
--
2020
108
GS15
MA
R20
30C
IN00
0330
C02
615
-Mar
-30
115
0.00
115
0.00
--
1515
109
GS15
MA
R20
52C
IN00
0352
C01
215
-Mar
-52
215
0.00
215
0.00
--
88
110
GS15
MA
R20
42C
IN00
0342
C01
315
-Mar
-42
215
0.00
215
0.00
--
88
111
GS15
MA
R20
59C
IN00
0359
C01
715
-Mar
-59
215
0.00
215
0.00
--
88
112
GS15
SE
P20
34C
IN00
0934
C02
515
-Sep
-34
115
0.00
115
0.00
--
1515
113
GS15
MA
R20
35C
IN00
0335
C02
515
-Mar
-35
115
0.00
115
0.00
--
1515
114
GS15
MA
R20
37C
IN00
0337
C01
315
-Mar
-37
115
0.00
115
0.00
--
1515
115
GS15
MA
R20
55C
IN00
0355
C01
515
-Mar
-55
215
0.00
215
0.00
--
88
116
GS15
MA
R20
24C
IN00
0324
C02
915
-Mar
-24
115
0.00
115
0.00
--
1515
117
GS15
MA
R20
33C
IN00
0333
C02
015
-Mar
-33
115
0.00
115
0.00
--
1515
Sr.
No.
Secu
rity
ISIN
Mat
uri
tyD
ate
Day
s tr
aded
(in
last
12
mon
ths)
Val
ue
trad
edin
last
12
mon
ths
(FV
inC
rore
)`
Per
cen
tsh
are
inla
st 1
2m
onth
sV
alu
e
No.
of
Tra
des
(May
-20
20)
Val
ue
for
May
- 2
020
(FV
in`
Cro
re)
Per
cen
tsh
are
in(M
ay20
20)
Ou
tsta
nd
ing
(FV
in`
Cro
re)
Tu
rnov
erR
atio
*
Ave
rage
Dai
lyT
rad
ing
Val
ue
inla
st 1
2m
onth
s (F
V in
`C
rore
)
Ave
rage
Dai
lyT
rad
ing
Val
ue
inM
ay -
202
0(F
V in
`
Cro
re)
CC
ILM
on
thly
Ne
wsl
ett
er
83
statisticsstatistics
Ma
y 2
02
0
TA
BL
E 2
3: L
IQU
IDIT
Y A
NA
LY
SIS
FO
R C
EN
TR
AL
GO
VE
RN
ME
NT
SE
CU
RIT
IES
TR
AN
SAC
TE
D D
UR
ING
TH
E M
ON
TH
(Con
td.)
118
GS15
SE
P20
43C
IN00
0943
C01
815
-Sep
-43
215
0.00
215
0.00
--
88
119
GS15
SE
P20
48C
IN00
0948
C01
715
-Sep
-48
215
0.00
215
0.00
--
88
120
GS15
SE
P20
44C
IN00
0944
C01
615
-Sep
-44
215
0.00
215
0.00
--
88
121
GS15
SE
P20
28C
IN00
0928
C02
715
-Sep
-28
115
0.00
115
0.00
--
1515
122
GS15
SE
P20
52C
IN00
0952
C01
915
-Sep
-52
215
0.00
215
0.00
--
88
123
GS15
SE
P20
40C
IN00
0940
C01
415
-Sep
-40
215
0.00
215
0.00
--
88
124
GS15
MA
R20
31C
IN00
0331
C02
415
-Mar
-31
115
0.00
115
0.00
--
1515
125
GS15
MA
R20
22C
IN00
0322
C02
315
-Mar
-22
115
0.00
115
0.00
--
1515
126
GS15
MA
R20
47C
IN00
0347
C01
215
-Mar
-47
215
0.00
215
0.00
--
88
127
GS15
MA
R20
53C
IN00
0353
C01
015
-Mar
-53
215
0.00
215
0.00
--
88
128
GS15
SE
P20
45C
IN00
0945
C01
315
-Sep
-45
215
0.00
215
0.00
--
88
129
GS15
SE
P20
53C
IN00
0953
C01
715
-Sep
-53
215
0.00
215
0.00
--
88
130
GS15
SE
P20
59C
IN00
0959
C01
415
-Sep
-59
215
0.00
215
0.00
--
88
131
GS15
MA
R20
48C
IN00
0348
C01
015
-Mar
-48
215
0.00
215
0.00
--
88
132
GS15
SE
P20
36C
IN00
0936
C01
215
-Sep
-36
115
0.00
115
0.00
--
1515
133
GS15
MA
R20
40C
IN00
0340
C01
715
-Mar
-40
115
0.00
115
0.00
--
1515
134
GS15
MA
R20
45C
IN00
0345
C01
615
-Mar
-45
215
0.00
215
0.00
--
88
135
GS15
SE
P20
57C
IN00
0957
C01
815
-Sep
-57
215
0.00
215
0.00
--
88
136
GS15
MA
R20
38C
IN00
0338
C01
115
-Mar
-38
115
0.00
115
0.00
--
1515
137
GS15
SE
P20
60C
IN00
0960
C01
215
-Sep
-60
215
0.00
215
0.00
--
88
138
GS15
MA
R20
60C
IN00
0360
C01
515
-Mar
-60
215
0.00
215
0.00
--
88
139
GS15
SE
P20
22C
IN00
0922
C02
015
-Sep
-22
115
0.00
115
0.00
--
1515
140
GS15
SE
P20
46C
IN00
0946
C01
115
-Sep
-46
215
0.00
215
0.00
--
88
141
GS15
MA
R20
28C
IN00
0328
C02
015
-Mar
-28
115
0.00
115
0.00
--
1515
142
GS15
MA
R20
32C
IN00
0332
C02
215
-Mar
-32
115
0.00
115
0.00
--
1515
143
GS15
MA
R20
39C
IN00
0339
C01
915
-Mar
-39
115
0.00
115
0.00
--
1515
144
GS15
MA
R20
25C
IN00
0325
C02
615
-Mar
-25
115
0.00
115
0.00
--
1515
145
GS15
MA
R20
58C
IN00
0358
C01
915
-Mar
-58
215
0.00
215
0.00
--
88
146
GS15
SE
P20
50C
IN00
0950
C01
315
-Sep
-50
215
0.00
215
0.00
--
88
147
GS15
MA
R20
50C
IN00
0350
C01
615
-Mar
-50
215
0.00
215
0.00
--
88
148
GS15
MA
R20
36C
IN00
0336
C01
515
-Mar
-36
115
0.00
115
0.00
--
1515
149
GS15
SE
P20
23C
IN00
0923
C02
815
-Sep
-23
115
0.00
115
0.00
--
1515
150
GS15
SE
P20
58C
IN00
0958
C01
615
-Sep
-58
215
0.00
215
0.00
--
88
151
GS15
SE
P20
33C
IN00
0933
C02
715
-Sep
-33
115
0.00
115
0.00
--
1515
152
GS15
SE
P20
56C
IN00
0956
C01
015
-Sep
-56
215
0.00
215
0.00
--
88
153
GS15
MA
R20
57C
IN00
0357
C01
115
-Mar
-57
215
0.00
215
0.00
--
88
154
GS15
SE
P20
35C
IN00
0935
C02
215
-Sep
-35
115
0.00
115
0.00
--
1515
155
GS15
MA
R20
54C
IN00
0354
C01
815
-Mar
-54
215
0.00
215
0.00
--
88
156
GS15
SE
P20
39C
IN00
0939
C01
615
-Sep
-39
115
0.00
115
0.00
--
1515
Sr.
No.
Secu
rity
ISIN
Mat
uri
tyD
ate
Day
s tr
aded
(in
last
12
mon
ths)
Val
ue
trad
edin
last
12
mon
ths
(FV
inC
rore
)`
Per
cen
tsh
are
inla
st 1
2m
onth
sV
alu
e
No.
of
Tra
des
(May
-20
20)
Val
ue
for
May
- 2
020
(FV
in`
Cro
re)
Per
cen
tsh
are
in(M
ay20
20)
Ou
tsta
nd
ing
(FV
in`
Cro
re)
Tu
rnov
erR
atio
*
Ave
rage
Dai
lyT
rad
ing
Val
ue
inla
st 1
2m
onth
s (F
V in
`C
rore
)
Ave
rage
Dai
lyT
rad
ing
Val
ue
inM
ay -
202
0(F
V in
`
Cro
re)
CC
ILM
on
thly
Ne
wsl
ett
er
statisticsstatistics
84
Ma
y 2
02
0
TA
BL
E 2
3: L
IQU
IDIT
Y A
NA
LY
SIS
FO
R C
EN
TR
AL
GO
VE
RN
ME
NT
SE
CU
RIT
IES
TR
AN
SAC
TE
D D
UR
ING
TH
E M
ON
TH
(C
ontd
.)
157
GS15
SE
P20
54C
IN00
0954
C01
515
-Sep
-54
215
0.00
215
0.00
--
88
158
GS15
MA
R20
34C
IN00
0334
C02
815
-Mar
-34
115
0.00
115
0.00
--
1515
159
GS15
SE
P20
25C
IN00
0925
C02
315
-Sep
-25
115
0.00
115
0.00
--
1515
160
GS15
SE
P20
30C
IN00
0930
C02
315
-Sep
-30
115
0.00
115
0.00
--
1515
161
GS15
SE
P20
42C
IN00
0942
C01
015
-Sep
-42
215
0.00
215
0.00
--
88
162
GS15
MA
R20
49C
IN00
0349
C01
815
-Mar
-49
215
0.00
215
0.00
--
88
163
GS15
SE
P20
55C
IN00
0955
C01
215
-Sep
-55
215
0.00
215
0.00
--
88
164
GS15
MA
R20
29C
IN00
0329
C02
815
-Mar
-29
115
0.00
115
0.00
--
1515
165
GS15
MA
R20
41C
IN00
0341
C01
515
-Mar
-41
215
0.00
215
0.00
--
88
166
GS15
MA
R20
46C
IN00
0346
C01
415
-Mar
-46
215
0.00
215
0.00
--
88
167
GS15
SE
P20
37C
IN00
0937
C01
015
-Sep
-37
115
0.00
115
0.00
--
1515
168
GS15
SE
P20
38C
IN00
0938
C01
815
-Sep
-38
115
0.00
115
0.00
--
1515
169
GS15
SE
P20
32C
IN00
0932
C02
915
-Sep
-32
115
0.00
115
0.00
--
1515
170
GS15
MA
R20
44C
IN00
0344
C01
915
-Mar
-44
215
0.00
215
0.00
--
88
171
GS15
SE
P20
49C
IN00
0949
C01
515
-Sep
-49
215
0.00
215
0.00
--
88
172
GS15
MA
R20
43C
IN00
0343
C01
115
-Mar
-43
215
0.00
215
0.00
--
88
173
GS15
MA
R20
56C
IN00
0356
C01
315
-Mar
-56
215
0.00
215
0.00
--
88
174
GS15
SE
P20
41C
IN00
0941
C01
215
-Sep
-41
215
0.00
215
0.00
--
88
175
GS15
SE
P20
51C
IN00
0951
C01
115
-Sep
-51
215
0.00
215
0.00
--
88
176
GS15
SE
P20
31C
IN00
0931
C02
115
-Sep
-31
115
0.00
115
0.00
--
1515
177
GS15
MA
R20
51C
IN00
0351
C01
415
-Mar
-51
215
0.00
215
0.00
--
88
178
GS15
SE
P20
29C
IN00
0929
C02
515
-Sep
-29
115
0.00
115
0.00
--
1515
179
GS15
SE
P20
47C
IN00
0947
C01
915
-Sep
-47
215
0.00
215
0.00
--
88
180
GS15
SE
P20
20C
IN00
0920
C02
415
-Sep
-20
113
0.00
113
0.00
--
1313
181
GS17
JUN
2049
CIN
0006
49C
011
17-J
un
-49
1825
70.
002
120.
00-
-14
6
182
GS17
DE
C20
34C
IN00
1234
C03
717
-Dec
-34
1825
70.
002
120.
00-
-14
6
183
GS17
DE
C20
40C
IN00
1240
C02
617
-Dec
-40
1825
70.
002
120.
00-
-14
6
184
GS17
DE
C20
41C
IN00
1241
C02
417
-Dec
-41
1825
70.
002
120.
00-
-14
6
185
GS17
JUN
2020
CIN
0006
20C
053
17-J
un
-20
1927
20.
002
120.
00-
-14
6
186
GS17
JUN
2050
CIN
0006
50C
019
17-J
un
-50
1825
70.
002
120.
00-
-14
6
187
GS17
DE
C20
25C
IN00
1225
C03
517
-Dec
-25
1826
60.
002
120.
00-
-15
6
188
GS17
JUN
2027
CIN
0006
27C
033
17-J
un
-27
2347
10.
002
120.
00-
-20
6
189
GS17
DE
C20
39C
IN00
1239
C02
817
-Dec
-39
1825
70.
002
120.
00-
-14
6
190
GS17
JUN
2056
CIN
0006
56C
016
17-J
un
-56
1825
70.
002
120.
00-
-14
6
191
GS17
DE
C20
36C
IN00
1236
C02
417
-Dec
-36
1825
70.
002
120.
00-
-14
6
192
GS17
JUN
2041
CIN
0006
41C
026
17-J
un
-41
1825
70.
002
120.
00-
-14
6
193
GS17
JUN
2055
CIN
0006
55C
018
17-J
un
-55
1825
70.
002
120.
00-
-14
6
194
GS17
DE
C20
37C
IN00
1237
C02
217
-Dec
-37
1825
70.
002
120.
00-
-14
6
195
GS17
DE
C20
56C
IN00
1256
C01
417
-Dec
-56
1825
70.
002
120.
00-
-14
6
Sr.
No.
Secu
rity
ISIN
Mat
uri
tyD
ate
Day
s tr
aded
(in
last
12
mon
ths)
Val
ue
trad
edin
last
12
mon
ths
(FV
inC
rore
)`
Per
cen
tsh
are
inla
st 1
2m
onth
sV
alu
e
No.
of
Tra
des
(May
-20
20)
Val
ue
for
May
- 2
020
(FV
in`
Cro
re)
Per
cen
tsh
are
in(M
ay20
20)
Ou
tsta
nd
ing
(FV
in`
Cro
re)
Tu
rnov
erR
atio
*
Ave
rage
Dai
lyT
rad
ing
Val
ue
inla
st 1
2m
onth
s (F
V in
`C
rore
)
Ave
rage
Dai
lyT
rad
ing
Val
ue
inM
ay -
202
0(F
V in
`
Cro
re)
CC
ILM
on
thly
Ne
wsl
ett
er
85
statisticsstatistics
Ma
y 2
02
0
TA
BL
E 2
3: L
IQU
IDIT
Y A
NA
LY
SIS
FO
R C
EN
TR
AL
GO
VE
RN
ME
NT
SE
CU
RIT
IES
TR
AN
SAC
TE
D D
UR
ING
TH
E M
ON
TH
(C
ontd
.)
196
GS17
JUN
2042
CIN
0006
42C
024
17-J
un
-42
1825
70.
002
120.
00-
-14
6
197
GS17
DE
C20
50C
IN00
1250
C01
717
-Dec
-50
1825
70.
002
120.
00-
-14
6
198
GS17
DE
C20
53C
IN00
1253
C01
117
-Dec
-53
1825
70.
002
120.
00-
-14
6
199
GS17
JUN
2021
CIN
0006
21C
044
17-J
un
-21
1826
60.
002
120.
00-
-15
6
200
GS17
JUN
2059
CIN
0006
59C
010
17-J
un
-59
1725
70.
002
120.
00-
-15
6
201
GS17
DE
C20
51C
IN00
1251
C01
517
-Dec
-51
1825
70.
002
120.
00-
-14
6
202
GS17
DE
C20
28C
IN00
1228
C03
917
-Dec
-28
1827
20.
002
120.
00-
-15
6
203
GS17
DE
C20
29C
IN00
1229
C03
717
-Dec
-29
1927
20.
002
120.
00-
-14
6
204
GS17
DE
C20
45C
IN00
1245
C01
717
-Dec
-45
1825
70.
002
120.
00-
-14
6
205
GS17
DE
C20
27C
IN00
1227
C03
117
-Dec
-27
2340
30.
002
120.
00-
-18
6
206
GS17
JUN
2044
CIN
0006
44C
012
17-J
un
-44
1825
70.
002
120.
00-
-14
6
207
GS17
DE
C20
55C
IN00
1255
C01
617
-Dec
-55
1825
70.
002
120.
00-
-14
6
208
GS17
JUN
2025
CIN
0006
25C
037
17-J
un
-25
1927
20.
002
120.
00-
-14
6
209
GS17
DE
C20
33C
IN00
1233
C03
917
-Dec
-33
1825
70.
002
120.
00-
-14
6
210
GS17
DE
C20
49C
IN00
1249
C01
917
-Dec
-49
1825
70.
002
120.
00-
-14
6
211
GS17
DE
C20
52C
IN00
1252
C01
317
-Dec
-52
1825
70.
002
120.
00-
-14
6
212
GS17
JUN
2053
CIN
0006
53C
013
17-J
un
-53
1825
70.
002
120.
00-
-14
6
213
GS17
JUN
2030
CIN
0006
30C
037
17-J
un
-30
1825
70.
002
120.
00-
-14
6
214
GS17
DE
C20
57C
IN00
1257
C01
217
-Dec
-57
1725
70.
002
120.
00-
-15
6
215
GS17
JUN
2022
CIN
0006
22C
042
17-J
un
-22
1826
60.
002
120.
00-
-15
6
216
GS17
JUN
2034
CIN
0006
34C
039
17-J
un
-34
1825
70.
002
120.
00-
-14
6
217
GS17
JUN
2026
CIN
0006
26C
035
17-J
un
-26
1927
10.
002
120.
00-
-14
6
218
GS17
JUN
2048
CIN
0006
48C
013
17-J
un
-48
1825
70.
002
120.
00-
-14
6
219
GS17
JUN
2057
CIN
0006
57C
014
17-J
un
-57
1825
70.
002
120.
00-
-14
6
220
GS17
DE
C20
23C
IN00
1223
C03
017
-Dec
-23
1827
20.
002
120.
00-
-15
6
221
GS17
JUN
2058
CIN
0006
58C
012
17-J
un
-58
1725
70.
002
120.
00-
-15
6
222
GS17
DE
C20
31C
IN00
1231
C03
317
-Dec
-31
1825
70.
002
120.
00-
-14
6
223
GS17
JUN
2047
CIN
0006
47C
015
17-J
un
-47
1825
70.
002
120.
00-
-14
6
224
GS17
JUN
2031
CIN
0006
31C
035
17-J
un
-31
1825
70.
002
120.
00-
-14
6
225
GS17
JUN
2037
CIN
0006
37C
024
17-J
un
-37
1825
70.
002
120.
00-
-14
6
226
GS17
JUN
2038
CIN
0006
38C
022
17-J
un
-38
1825
70.
002
120.
00-
-14
6
227
GS17
JUN
2043
CIN
0006
43C
014
17-J
un
-43
1825
70.
002
120.
00-
-14
6
228
GS17
JUN
2024
CIN
0006
24C
030
17-J
un
-24
1927
20.
002
120.
00-
-14
6
229
GS17
JUN
2051
CIN
0006
51C
017
17-J
un
-51
1825
70.
002
120.
00-
-14
6
230
GS17
DE
C20
44C
IN00
1244
C01
017
-Dec
-44
1825
70.
002
120.
00-
-14
6
231
GS17
DE
C20
58C
IN00
1258
C01
017
-Dec
-58
1725
70.
002
120.
00-
-15
6
232
GS17
JUN
2052
CIN
0006
52C
015
17-J
un
-52
1825
70.
002
120.
00-
-14
6
233
GS17
DE
C20
48C
IN00
1248
C01
117
-Dec
-48
1825
70.
002
120.
00-
-14
6
234
GS17
DE
C20
35C
IN00
1235
C03
417
-Dec
-35
1825
70.
002
120.
00-
-14
6
Sr.
No.
Secu
rity
ISIN
Mat
uri
tyD
ate
Day
s tr
aded
(in
last
12
mon
ths)
Val
ue
trad
edin
last
12
mon
ths
(FV
Per
cen
tsh
are
inla
st 1
2m
onth
sV
alu
e
No.
of
Tra
des
(May
-20
20)
Val
ue
for
May
- 2
020
(FV
in`
Cro
re)
Per
cen
tsh
are
in(M
ay20
20)
Ou
tsta
nd
ing
(FV
in`
Cro
re)
Tu
rnov
erR
atio
*
Ave
rage
Dai
lyT
rad
ing
Val
ue
inla
st 1
2m
onth
s (F
V in
`C
rore
)
Ave
rage
Dai
lyT
rad
ing
Val
ue
inM
ay -
202
0(F
V in
`
Cro
re)
inC
rore
)`
TA
BL
E 2
3: L
IQU
IDIT
Y A
NA
LY
SIS
FO
R C
EN
TR
AL
GO
VE
RN
ME
NT
SE
CU
RIT
IES
TR
AN
SAC
TE
D D
UR
ING
TH
E M
ON
TH
(C
ontd
.)
235
GS17
JUN
2035
CIN
0006
35C
036
17-J
un
-35
1825
70.
002
120.
00-
-14
6
236
GS17
DE
C20
38C
IN00
1238
C02
017
-Dec
-38
1825
70.
002
120.
00-
-14
6
237
GS17
JUN
2039
CIN
0006
39C
020
17-J
un
-39
1825
70.
002
120.
00-
-14
6
238
GS17
JUN
2040
CIN
0006
40C
028
17-J
un
-40
1825
70.
002
120.
00-
-14
6
239
GS17
JUN
2032
CIN
0006
32C
033
17-J
un
-32
1825
70.
002
120.
00-
-14
6
240
GS17
JUN
2054
CIN
0006
54C
011
17-J
un
-54
1825
70.
002
120.
00-
-14
6
241
GS17
DE
C20
54C
IN00
1254
C01
917
-Dec
-54
1825
70.
002
120.
00-
-14
6
242
GS17
DE
C20
42C
IN00
1242
C02
217
-Dec
-42
1825
70.
002
120.
00-
-14
6
243
GS17
DE
C20
30C
IN00
1230
C03
517
-Dec
-30
1825
70.
002
120.
00-
-14
6
244
GS17
DE
C20
43C
IN00
1243
C01
217
-Dec
-43
1825
70.
002
120.
00-
-14
6
245
GS17
JUN
2028
CIN
0006
28C
031
17-J
un
-28
1927
20.
002
120.
00-
-14
6
246
GS17
JUN
2046
CIN
0006
46C
017
17-J
un
-46
1825
70.
002
120.
00-
-14
6
247
GS17
DE
C20
32C
IN00
1232
C03
117
-Dec
-32
1825
70.
002
120.
00-
-14
6
248
GS17
DE
C20
21C
IN00
1221
C04
217
-Dec
-21
1826
60.
002
120.
00-
-15
6
249
GS17
DE
C20
46C
IN00
1246
C01
517
-Dec
-46
1825
70.
002
120.
00-
-14
6
250
GS17
JUN
2033
CIN
0006
33C
031
17-J
un
-33
1825
70.
002
120.
00-
-14
6
251
GS17
DE
C20
26C
IN00
1226
C03
317
-Dec
-26
2136
30.
002
120.
00-
-17
6
252
GS17
DE
C20
24C
IN00
1224
C03
817
-Dec
-24
2029
70.
002
120.
00-
-15
6
253
GS17
DE
C20
20C
IN00
1220
C05
117
-Dec
-20
1927
20.
002
120.
00-
-14
6
254
GS17
DE
C20
47C
IN00
1247
C01
317
-Dec
-47
1825
70.
002
120.
00-
-14
6
255
GS17
JUN
2029
CIN
0006
29C
039
17-J
un
-29
2029
70.
002
120.
00-
-15
6
256
GS17
JUN
2036
CIN
0006
36C
034
17-J
un
-36
1825
70.
002
120.
00-
-14
6
257
GS17
JUN
2045
CIN
0006
45C
019
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Sr.
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tyD
ate
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s tr
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(in
last
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Val
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Per
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(May
-20
20)
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ue
for
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(FV
in`
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Per
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are
in(M
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Ave
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ay -
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re)
CC
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TABLE 24: MARKET SHARE OF TOP 'N' SECURITIES Percent
Settlement Period Top 5 Top 10 Top 15 Top 20
2003-04 39.01 57.30 70.28 79.43
2004-05 49.97 66.31 74.56 80.36
2005-06 63.75 82.82 89.67 92.85
2006-07 74.88 88.82 92.37 94.88
2007-08 66.35 83.84 92.54 95.79
2008-09 61.07 73.89 81.92 87.35
2009-10 60.71 79.08 86.48 90.54
2010-11 71.77 88.33 93.91 96.39
2011-12 85.51 94.15 97.07 98.68
2012-13 77.59 94.68 97.63 98.70
2013-14 68.11 90.79 95.61 97.70
2014-15 79.28 91.80 96.45 97.74
2015-16 66.26 82.74 88.47 91.80
2016-17 68.59 86.20 90.49 92.79
2017-18 70.79 79.86 85.06 88.59
2018-19 81.46 87.56 90.50 92.82
2019-20 75.04 84.71 87.82 90.25
Apr-20 61.09 73.57 79.52 84.72
May-20 59.16 72.66 79.06 83.43
2020-21 (Upto May 2020) 59.57 72.27 78.49 83.11
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TABLE 25: MARKET SHARE OF MEMBERS IN OUTRIGHT SETTLEMENT Percent
TABLE 26: MARKET SHARE OF TOP FIVE MEMBERS (CATEGORYWISE) Percent
2002-03 20.17 32.59 42.33 50.14
2003-04 19.02 31.58 40.63 48.49
2004-05 21.20 35.51 46.10 54.37
2005-06 21.84 37.47 49.11 57.64
2006-07 28.93 45.34 57.08 65.89
2007-08 27.42 43.65 56.17 65.31
2008-09 28.33 45.51 57.23 65.63
2009-10 28.74 44.32 55.32 63.35
2010-11 34.01 49.31 59.66 67.17
2011-12 30.04 47.85 60.10 68.81
2012-13 31.30 48.48 59.42 67.31
2013-14 33.33 49.48 59.63 67.34
2014-15 31.06 46.52 56.59 64.50
2015-16 32.08 48.64 58.60 65.67
2016-17 30.02 45.15 54.73 62.20
2017-18 29.35 45.89 55.80 63.20
2018-19 30.65 47.00 57.78 65.68
2019-20 28.92 43.40 54.07 62.64
Apr-20 34.38 48.71 58.72 66.40
May-20 27.80 42.37 53.80 62.12
2020-21 (Upto May 2020) 30.67 45.13 55.94 63.98
Top 20Settlement Period Top 5 Top 10 Top 15
Categories CooperativeBanks
ForeignBanks
Public SectorBanks
Private SectorBanks
MutualFunds
PrimaryDealers
No of Members 50 28 12 21 27 7
2002-03 87.04 75.91 41.44 50.65 59.76 62.00
2003-04 76.72 75.48 43.88 53.33 55.47 62.96
2004-05 82.30 77.94 51.20 69.12 56.99 61.90
2005-06 75.10 77.91 53.45 71.55 56.49 56.95
2006-07 77.20 76.04 52.57 73.68 68.00 72.44
2007-08 86.70 74.99 55.29 73.01 70.20 86.20
2008-09 82.16 76.26 52.53 76.79 66.10 86.83
2009-10 72.08 79.86 47.99 79.61 64.19 82.44
2010-11 62.05 83.05 48.99 74.60 66.49 84.80
2011-12 61.15 75.91 51.48 74.43 68.01 82.38
2012-13 55.50 77.32 48.92 83.43 65.36 82.08
2013-14 55.31 81.15 45.68 86.53 65.08 85.35
2014-15 58.68 82.14 47.58 80.35 66.19 87.29
2015-16 60.56 86.10 50.22 83.16 63.90 89.18
2016-17 56.83 87.23 45.98 79.16 62.48 93.18
2017-18 58.90 80.40 59.40 80.72 56.80 91.62
2018-19 59.31 73.60 59.83 85.74 58.74 91.66
2019-20 50.53 69.99 53.73 83.96 55.53 90.49
Apr-20 51.97 72.11 72.17 78.58 55.25 91.01
May-20 50.64 67.28 74.90 79.78 54.50 87.73
2020-21 (Upto May 2020) 51.11 69.29 73.87 79.22 54.81 89.11
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TRADING ANALYSISTABLE 27: TRADING PLATFORM ANALYSIS OF OUTRIGHT TRADES* Amount Crore`
*as on trade date
TABLE 28: WHEN-ISSUED TRADING - HISTORICAL Amount Crore`
Trades % Share Value % Share Trades % Share Value % Share Trades Value
2005-06 38809 50.36 292515 56.98 38251 49.64 220890 43.02 77060 513405
2006-07 35322 25.79 368704 36.11 101641 74.21 652270 63.89 136963 1020974
2007-08 31020 16.43 453226 27.42 157823 83.57 1199919 72.58 188843 1653145
2008-09 35288 14.35 613229 28.36 210585 85.65 1548906 71.64 245873 2162135
2009-10 40736 12.87 798397 27.41 275769 87.13 2113896 72.59 316505 2912293
2010-11 42710 12.85 622558 21.73 289636 87.15 2241886 78.27 332346 2864444
2011-12 44908 10.89 731938 20.96 367495 89.11 2760795 79.04 412403 3492733
2012-13 57757 8.79 1179701 17.91 599316 91.21 5408334 82.09 657073 6588036
2013-14 57545 7.03 1501310 16.79 760964 92.97 7437982 83.21 818509 8939292
2014-15 57293 5.85 1635278 16.09 921361 94.15 8531024 83.91 978654 10166302
2015-16 60560 6.86 1891410 19.42 822803 93.14 7846591 80.58 883363 9738000
2016-17 84504 6.30 2804041 16.64 1255872 93.70 14051698 83.36 1340376 16855738
2017-18 66190 7.21 2685956 23.59 851940 92.79 8699962 76.41 918130 11385918
2018-19 54653 6.80 1865656 19.97 749493 93.20 7475388 80.03 804146 9341044
2019-20 67688 7.03 2986806 22.38 895697 92.97 10359039 77.62 963385 13345845
Apr-20 2862 7.51 218173 28.74 35226 92.49 541015 71.26 38088 759188May-20 4545 8.06 249199 24.72 51872 91.94 758705 75.28 56417 1007904
2020-21 (UptoMay 2020)
7407 7.84 467372 26.45 87098 92.16 1299720 73.55 94505 1767092
PeriodOTC NDS-OM Total
Period Trades Value
2006-07 154 1270
2007-08 169 1530
2008-09 335 3000
2009-10 320 3180
2010-11 306 2715
2011-12 391 2985
2012-13 1586 11805
2013-14 1406 11295
2014-15 1232 11265
2015-16 679 5755
2016-17 1400 13535
2017-18 966 9555
2018-19 60 705
2019-20 8 130
Apr-20 - -
May-20 8 125
2020-21 (Upto May 2020) 8 125
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TABLE 30: MARKET SHARE - CONSTITUENT TRADES* Percent
*Trade data
PercentTABLE 31: TURNOVER RATIO
TABLE 29: MARKET SHARE - PROPRIETARY TRADES* Percent
* Trade Data
Trades Value Trades Value
Co-operative Banks 7.50 3.12 8.24 3.13
Financial Institutions 0.80 0.62 0.38 0.23
Foreign Banks 15.29 16.71 16.73 22.09
Insurance Companies 1.36 1.58 0.91 0.98
Mutual Funds 8.33 15.37 6.71 6.41
Others 6.12 6.01 5.66 2.60
Primary Dealers 10.18 8.54 10.82 11.50
Private Sector Banks 22.82 23.53 22.75 25.70
Provident Funds 0.00 0.03 0.00 0.00
Public Sector Banks 13.38 15.50 14.61 19.05
CategoryBuy Sell
Current Month Previous Month 3 Months 6 Months 12 Months
1.09% 0.88% 1.37% 0.84% 1.09%
Trades Value Trades Value
Banks 0.70 0.59 0.94 0.63
Co-operative Banks 6.05 1.78 5.90 1.61
Corporates 3.58 2.62 3.84 3.07
FIIs 0.25 0.91 0.46 1.31
Insurance Companies 2.21 2.21 1.37 1.37
Mutual Funds 0.36 0.28 0.25 0.12
Finance Cos. 0.02 0.01 0.00 0.00
Others 0.29 0.17 0.25 0.08
Provident Funds 0.76 0.42 0.18 0.14
Constituent CategoryBuy Sell
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TABLE 32A: NET PROPRIETARY TRADING IN OUTRIGHT MARKET Percent
TABLE 32B: CONSTITUENT ACTIVITY IN OUTRIGHT MARKET
DateForeignBanks
MutualFunds
OthersPrimaryDealers
PrivateSectorBanks
Public SectorBanks
4-May-20 -1.11 1.88 3.85 -2.26 -0.40 -2.39
5-May-20 -2.30 1.13 1.16 -2.34 -0.19 0.58
6-May-20 0.81 1.14 32.00 -3.51 -4.37 -26.39
8-May-20 -0.41 0.86 0.92 -0.19 1.98 1.72
11-May-20 -2.90 3.70 1.08 -7.05 -7.05 12.24
12-May-20 1.83 5.31 2.93 -5.44 -13.03 6.87
13-May-20 -10.61 10.11 1.37 -0.83 -0.04 -0.37
14-May-20 -9.35 11.36 1.39 1.23 3.84 -6.39
15-May-20 -5.71 9.37 0.78 -6.70 -1.13 -2.73
18-May-20 -8.73 7.66 1.14 0.91 3.73 -5.60
19-May-20 -3.69 3.04 1.77 4.75 8.03 -10.47
20-May-20 -20.42 18.05 3.23 -4.91 5.91 -5.63
21-May-20 -0.89 15.87 1.70 -0.20 -5.54 -10.99
22-May-20 0.88 3.37 1.14 -1.77 -0.33 -7.12
26-May-20 -2.23 11.75 -0.09 -2.60 -3.89 -5.01
27-May-20 -7.31 6.25 2.07 -13.89 4.03 7.40
28-May-20 -25.21 49.49 1.74 -3.47 -23.59 -0.44
29-May-20 -4.15 0.81 4.16 -7.39 2.94 1.75
Net Activity in May-20 -5.38 8.96 4.43 -2.96 -2.18 -3.54
TradesVolume( Cr)`
% Share inTotal
OutrightVolumes
TradesVolume( Cr)`
% Share inTotal
OutrightVolumes
4-May-20 431 5032.93 10.39 452 4823.85 9.96
5-May-20 490 6311.67 13.06 471 5357.34 11.09
6-May-20 561 6529.44 7.30 539 6244.32 6.98
8-May-20 443 4297.94 6.04 602 7763.02 10.91
11-May-20 514 5405.60 7.57 360 5415.53 7.58
12-May-20 357 4522.66 7.75 293 3633.11 6.23
13-May-20 441 5151.03 9.72 484 4952.62 9.35
14-May-20 513 5493.33 8.73 562 6802.33 10.81
15-May-20 393 5419.42 14.58 280 3147.24 8.46
18-May-20 363 4890.37 12.54 368 4546.30 11.66
19-May-20 302 3973.36 7.43 425 5810.18 10.87
20-May-20 618 5853.70 11.41 330 3921.32 7.64
21-May-20 348 3606.87 7.18 344 3580.66 7.13
22-May-20 617 7158.56 10.02 551 4425.91 6.20
26-May-20 343 3866.15 7.99 300 2864.68 5.92
27-May-20 445 4216.57 9.53 360 3568.82 8.06
28-May-20 363 3709.19 5.66 335 2731.95 4.17
29-May-20 478 5157.02 11.73 389 4332.54 9.86
Total Activity in May-20 8020 90595.79 8.99 7445 83921.72 8.33
Date
Buy Side Sell Side
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TA
BL
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statisticsstatistics
92
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y 2
02
0
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Dat
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C (S
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(SD
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Tota
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CC
ILM
on
thly
Ne
wsl
ett
er
95
statisticsstatistics
Ma
y 2
02
0
TABLE 3 : LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC)7 `
Sr. No. ISINDESCNo. ofTrades
Value( Cr.)`
MarketShare (% )
DaysTraded
Days Traded with5 trades or more
per day
Days Traded withless than 5 trades
per day
1 6.45% GS 2029 19908 250478 31.60 18 18 0
2 7.57% GS 2033 5351 81215 10.25 18 18 0
3 7.26% GS 2029 3471 50991 6.43 18 18 0
4 6.18% GS 2024 2698 47889 6.04 18 18 0
5 7.32% GS 2024 1753 33177 4.19 18 18 0
6 7.27% GS 2026 2023 30239 3.81 18 18 0
7 5.79% GS 2030 2049 26586 3.35 15 15 0
8 6.84% GS 2022 522 22640 2.86 18 18 0
9 7.17% GS 2028 1201 15887 2.00 18 18 0
10 6.79% GS 2027 827 14358 1.81 18 18 0
11 6.17% GS 2021 308 10715 1.35 17 11 6
12 7.68% GS 2023 375 10658 1.34 18 16 2
13 7.37% GS 2023 391 9825 1.24 18 17 1
14 6.97% GS 2026 521 9120 1.15 18 17 1
15 7.59% GS 2026 350 8473 1.07 18 18 0
16 6.68% GS 2031 679 8112 1.02 18 18 0
17 8.24% GS 2027 398 7287 0.92 18 17 1
18 8.15% GS 2022 122 6979 0.88 16 9 7
19 7.88% GS 2030 328 6624 0.84 17 15 2
20 7.72% GS 2025 375 6546 0.83 18 18 0
21 6.79% GS 2029 445 6430 0.81 18 17 1
22 8.83% GS 2023 222 6098 0.77 18 16 2
23 6.57% GS 2033 666 5936 0.75 18 18 0
24 7.59% GS 2029 220 5549 0.70 18 14 4
25 8.15% GS 2026 86 5335 0.67 15 4 11
26 7.80% GS 2021 52 5239 0.66 15 2 13
27 7.35% GS 2024 178 5185 0.65 17 10 7
28 7.16% GS 2050 290 5168 0.65 18 17 1
29 7.16% GS 2023 134 5048 0.64 16 10 6
30 8.13% GS 2022 38 4749 0.60 8 4 4
31 7.95% GS 2032 234 4092 0.52 16 12 4
32 8.35% GS 2022 39 3839 0.48 17 1 16
33 9.23% GS 2043 43 3381 0.43 9 4 5
34 8.60% GS 2028 105 3329 0.42 15 8 7
35 8.27% GS 2020 34 3305 0.42 7 3 4
36 6.83% GS 2039 335 3215 0.41 18 16 2
37 8.40% GS 2024 117 3015 0.38 12 6 6
38 6.19% GS 2034 115 2912 0.37 1 1 0
39 7.40% GS 2035 155 2903 0.37 17 12 5
40 7.19% GS 2060 77 2890 0.36 14 7 7
41 7.00% GS 2021 99 2665 0.34 14 10 4
42 8.20% GS 2025 134 2650 0.33 11 9 2
43 8.30% GS 2042 48 2567 0.32 14 2 12
44 8.79% GS 2021 65 2238 0.28 10 4 6
45 7.61% GS 2030 183 2153 0.27 15 12 3
46 8.33% GS 2026 34 2055 0.26 10 3 7
47 8.12% GS 2020 33 1860 0.23 8 3 5
48 8.20% GS 2022 45 1714 0.22 13 4 9
49 8.08% GS 2022 26 1546 0.19 6 2 4
50 7.73% GS 2034 104 1532 0.19 13 9 4
51 8.15%GS11JUN2022P 31 1500 0.19 2 1 1
52 7.50% GS 2034 94 1450 0.18 12 10 2
CC
ILM
on
thly
Ne
wsl
ett
er
statisticsstatistics
96
Ma
y 2
02
0
TABLE 3 : LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC)7 `
53 8.26% GS 2027 51 1375 0.17 11 3 8
54 5.09% GS 2022 16 1330 0.17 5 1 4
55 9.15% GS 2024 27 1288 0.16 7 1 6
56 7.94% GS 2021 26 1250 0.16 7 2 5
57 7.62% GS 2039 18 1245 0.16 8 1 7
58 6.62% GS 2051 193 1178 0.15 18 16 2
59 8.79%GS08NOV2021P 3 1140 0.14 1 0 1
60 8.24% GS 2033 37 1090 0.14 9 3 6
61 8.33% GS 2036 44 1003 0.13 8 3 5
62 7.8%GS11APR2021P 29 1000 0.13 2 2 0
63 8.2%GS15FEB2022P 9 835 0.11 1 1 0
64 8.28% GS 2027 44 795 0.10 13 4 9
65 6.17% GS 2023 59 580 0.07 10 4 6
66 7.06% GS 2046 93 535 0.07 14 6 8
67 6.90% OMC SB 2026 24 518 0.07 3 1 2
68 11.6%GS27DEC2020P 1 500 0.06 1 0 1
69 8.30% GS 2040 13 470 0.06 7 1 6
70 FRB 2031 6 440 0.06 2 0 2
71 8.13% GS 2045 24 435 0.05 9 2 7
72 7.63% GS 2059 4 395 0.05 3 0 3
73 8.17% GS 2044 21 386 0.05 7 3 4
74 8.97% GS 2030 24 354 0.04 8 1 7
75 6.13% GS 2028 44 341 0.04 13 4 9
76 7.63%GS17JUN2059P 2 320 0.04 2 0 2
77 6.01% GS 2028 51 299 0.04 14 4 10
78 7.19%GS15SEP2060P 1 280 0.04 1 0 1
79 6.30% GS 2023 14 220 0.03 8 0 8
80 8.83% GS 2041 7 155 0.02 2 0 2
81 FRB 2020 4 140 0.02 2 0 2
82 GS11DEC2020C 2 90 0.01 2 0 2
83 GS11DEC2021C 1 90 0.01 1 0 1
84 GS11JUN2021C 2 90 0.01 2 0 2
85 GS11JUN2022C 2 90 0.01 2 0 2
86 GS11JUN2020C 1 90 0.01 1 0 1
87 GS27JUN2020C 1 80 0.01 1 0 1
88 7.94%GS24MAY2021P 1 70 0.01 1 0 1
89 GS17DEC2022C 5 62 0.01 1 1 0
90 GS17JUN2023C 5 62 0.01 1 1 0
91 7.72% GS 2049 3 60 0.01 2 0 2
92 GS14MAY2020C 1 60 0.01 1 0 1
93 GS08MAY2020C 1 50 0.01 1 0 1
94 GS08MAY2021C 1 50 0.01 1 0 1
95 GS08NOV2020C 1 50 0.01 1 0 1
96 GS08NOV2021C 1 50 0.01 1 0 1
97 7.72% GS 2055 4 45 0.01 2 0 2
98 8.32% GS 2032 1 45 0.01 1 0 1
99 GS24MAY2020C 1 42 0.01 1 0 1
100 GS24MAY2021C 1 42 0.01 1 0 1
101 GS24NOV2020C 1 42 0.01 1 0 1
102 GS11APR2021C 1 39 0.00 1 0 1
103 GS11OCT2020C 1 39 0.00 1 0 1
104 GS15AUG2020C 1 34 0.00 1 0 1
Sr. No. ISINDESCNo. ofTrades
Value( Cr.)`
MarketShare (% )
DaysTraded
Days Traded with5 trades or more
per day
Days Traded withless than 5 trades
per day
CC
ILM
on
thly
Ne
wsl
ett
er
97
statisticsstatistics
Ma
y 2
02
0
TABLE 3 : LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC)7 `
1 34 0.00 1 0 1
1 29 0.00 1 0 1
4 25 0.00 3 0 3
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
2 15 0.00 2 0 2
2 15 0.00 2 0 2
2 15 0.00 2 0 2
2 15 0.00 2 0 2
2 15 0.00 2 0 2
2 15 0.00 2 0 2
2 15 0.00 2 0 2
2 15 0.00 2 0 2
2 15 0.00 2 0 2
2 15 0.00 2 0 2
2 15 0.00 2 0 2
2 15 0.00 2 0 2
2 15 0.00 2 0 2
2 15 0.00 2 0 2
2 15 0.00 2 0 2
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
1 15 0.00 1 0 1
2 15 0.00 2 0 2
2 15 0.00 2 0 2
Sr. No. ISINDESCNo. ofTrades
Value( Cr.)`
MarketShare (% )
DaysTraded
Days Traded with5 trades or more
per day
Days Traded withless than 5 trades
per day
105 GS15FEB2021C
106 GS27DEC2020C
107 9.20% GS 2030
108 GS15MAR2022C
109 GS15MAR2023C
110 GS15MAR2024C
111 GS15MAR2025C
112 GS15MAR2028C
113 GS15MAR2029C
114 GS15MAR2030C
115 GS15MAR2031C
116 GS15MAR2032C
117 GS15MAR2033C
118 GS15MAR2034C
119 GS15MAR2035C
120 GS15MAR2036C
121 GS15MAR2037C
122 GS15MAR2038C
123 GS15MAR2039C
124 GS15MAR2040C
125 GS15MAR2041C
126 GS15MAR2042C
127 GS15MAR2043C
128 GS15MAR2044C
129 GS15MAR2045C
130 GS15MAR2046C
131 GS15MAR2047C
132 GS15MAR2048C
133 GS15MAR2049C
134 GS15MAR2050C
135 GS15MAR2051C
136 GS15MAR2052C
137 GS15MAR2053C
138 GS15MAR2054C
139 GS15MAR2055C
140 GS15SEP2022C
141 GS15SEP2023C
142 GS15SEP2025C
143 GS15SEP2028C
144 GS15SEP2029C
145 GS15SEP2030C
146 GS15SEP2031C
147 GS15SEP2032C
148 GS15SEP2033C
149 GS15SEP2034C
150 GS15SEP2035C
151 GS15SEP2036C
152 GS15SEP2037C
153 GS15SEP2038C
154 GS15SEP2039C
155 GS15SEP2040C
156 GS15SEP2041C
CC
ILM
on
thly
Ne
wsl
ett
er
statisticsstatistics
98
Ma
y 2
02
0
TABLE 3 : LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC)7 `
157 GS15SEP2042C 2 15 0.00 2 0 2
158 GS15SEP2043C 2 15 0.00 2 0 2
159 GS15SEP2044C 2 15 0.00 2 0 2
160 GS15SEP2045C 2 15 0.00 2 0 2
161 GS15SEP2046C 2 15 0.00 2 0 2
162 GS15SEP2047C 2 15 0.00 2 0 2
163 GS15SEP2048C 2 15 0.00 2 0 2
164 GS15SEP2049C 2 15 0.00 2 0 2
165 GS15SEP2050C 2 15 0.00 2 0 2
166 GS15SEP2051C 2 15 0.00 2 0 2
167 GS15SEP2052C 2 15 0.00 2 0 2
168 GS15SEP2053C 2 15 0.00 2 0 2
169 GS15SEP2054C 2 15 0.00 2 0 2
170 GS15SEP2055C 2 15 0.00 2 0 2
171 GS15SEP2020C 1 13 0.00 1 0 1
172 GS17DEC2020C 1 11 0.00 1 0 1
173 GS17DEC2021C 1 11 0.00 1 0 1
174 GS17DEC2023C 1 11 0.00 1 0 1
175 GS17DEC2024C 1 11 0.00 1 0 1
176 GS17DEC2025C 1 11 0.00 1 0 1
177 GS17DEC2026C 1 11 0.00 1 0 1
178 GS17DEC2027C 1 11 0.00 1 0 1
179 GS17DEC2028C 1 11 0.00 1 0 1
180 GS17DEC2029C 1 11 0.00 1 0 1
181 GS17DEC2030C 1 11 0.00 1 0 1
182 GS17DEC2031C 1 11 0.00 1 0 1
183 GS17DEC2032C 1 11 0.00 1 0 1
184 GS17DEC2033C 1 11 0.00 1 0 1
185 GS17DEC2034C 1 11 0.00 1 0 1
186 GS17DEC2035C 1 11 0.00 1 0 1
187 GS17DEC2036C 1 11 0.00 1 0 1
188 GS17DEC2037C 1 11 0.00 1 0 1
189 GS17DEC2038C 1 11 0.00 1 0 1
190 GS17DEC2039C 1 11 0.00 1 0 1
191 GS17DEC2040C 1 11 0.00 1 0 1
192 GS17DEC2041C 1 11 0.00 1 0 1
193 GS17DEC2042C 1 11 0.00 1 0 1
194 GS17DEC2043C 1 11 0.00 1 0 1
195 GS17DEC2044C 1 11 0.00 1 0 1
196 GS17DEC2045C 1 11 0.00 1 0 1
197 GS17DEC2046C 1 11 0.00 1 0 1
198 GS17DEC2047C 1 11 0.00 1 0 1
199 GS17DEC2048C 1 11 0.00 1 0 1
200 GS17DEC2049C 1 11 0.00 1 0 1
201 GS17DEC2050C 1 11 0.00 1 0 1
202 GS17DEC2051C 1 11 0.00 1 0 1
203 GS17DEC2052C 1 11 0.00 1 0 1
204 GS17DEC2053C 1 11 0.00 1 0 1
205 GS17DEC2054C 1 11 0.00 1 0 1
206 GS17DEC2055C 1 11 0.00 1 0 1
207 GS17DEC2056C 1 11 0.00 1 0 1
208 GS17DEC2057C 1 11 0.00 1 0 1
Sr. No. ISINDESCNo. ofTrades
Value( Cr.)`
MarketShare (% )
DaysTraded
Days Traded with5 trades or more
per day
Days Traded withless than 5 trades
per day
CC
ILM
on
thly
Ne
wsl
ett
er
99
statisticsstatistics
Ma
y 2
02
0
CC
ILM
on
thly
Ne
wsl
ett
er
statisticsstatistics
100
Ma
y 2
02
0
TABLE 3 : LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC)7 `
Sr. No. ISINDESCNo. ofTrades
Value( Cr.)`
MarketShare (% )
DaysTraded
Days Traded with5 trades or more
per day
Days Traded withless than 5 trades
per day
209 GS17DEC2058C 1 11 0.00 1 0 1
210 GS17JUN2020C 1 11 0.00 1 0 1
211 GS17JUN2021C 1 11 0.00 1 0 1
212 GS17JUN2022C 1 11 0.00 1 0 1
213 GS17JUN2024C 1 11 0.00 1 0 1
214 GS17JUN2025C 1 11 0.00 1 0 1
215 GS17JUN2026C 1 11 0.00 1 0 1
216 GS17JUN2027C 1 11 0.00 1 0 1
217 GS17JUN2028C 1 11 0.00 1 0 1
218 GS17JUN2029C 1 11 0.00 1 0 1
219 GS17JUN2030C 1 11 0.00 1 0 1
220 GS17JUN2031C 1 11 0.00 1 0 1
221 GS17JUN2032C 1 11 0.00 1 0 1
222 GS17JUN2033C 1 11 0.00 1 0 1
223 GS17JUN2034C 1 11 0.00 1 0 1
224 GS17JUN2035C 1 11 0.00 1 0 1
225 GS17JUN2036C 1 11 0.00 1 0 1
226 GS17JUN2037C 1 11 0.00 1 0 1
227 GS17JUN2038C 1 11 0.00 1 0 1
228 GS17JUN2039C 1 11 0.00 1 0 1
229 GS17JUN2040C 1 11 0.00 1 0 1
230 GS17JUN2041C 1 11 0.00 1 0 1
231 GS17JUN2042C 1 11 0.00 1 0 1
232 GS17JUN2043C 1 11 0.00 1 0 1
233 GS17JUN2044C 1 11 0.00 1 0 1
234 GS17JUN2045C 1 11 0.00 1 0 1
235 GS17JUN2046C 1 11 0.00 1 0 1
236 GS17JUN2047C 1 11 0.00 1 0 1
237 GS17JUN2048C 1 11 0.00 1 0 1
238 GS17JUN2049C 1 11 0.00 1 0 1
239 GS17JUN2050C 1 11 0.00 1 0 1
240 GS17JUN2051C 1 11 0.00 1 0 1
241 GS17JUN2052C 1 11 0.00 1 0 1
242 GS17JUN2053C 1 11 0.00 1 0 1
243 GS17JUN2054C 1 11 0.00 1 0 1
244 GS17JUN2055C 1 11 0.00 1 0 1
245 GS17JUN2056C 1 11 0.00 1 0 1
246 GS17JUN2057C 1 11 0.00 1 0 1
247 GS17JUN2058C 1 11 0.00 1 0 1
248 GS17JUN2059C 1 11 0.00 1 0 1
249 GS15MAR2056C 1 10 0.00 1 0 1
250 GS15MAR2057C 1 10 0.00 1 0 1
251 GS15MAR2058C 1 10 0.00 1 0 1
252 GS15MAR2059C 1 10 0.00 1 0 1
253 GS15MAR2060C 1 10 0.00 1 0 1
254 GS15SEP2056C 1 10 0.00 1 0 1
255 GS15SEP2057C 1 10 0.00 1 0 1
256 GS15SEP2058C 1 10 0.00 1 0 1
257 GS15SEP2059C 1 10 0.00 1 0 1
258 GS15SEP2060C 1 10 0.00 1 0 1
259 8.03% FCI SB 2024 1 9 0.00 1 0 1
260 GS15MAR2021C 1 6 0.00 1 0 1
261 GS15JUN2022C 1 5 0.00 1 0 1
262 8.20% OMC SB 2023 1 5 0.00 1 0 1
49251 792675 100.00
TABLE 38: LIQUIDITY DISTRIBUTION OF TRADES GREATER THAN 5 CRORE (G-SEC)`
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ISINDESCDays
TradedTrades
Value( Cr.)`
ISINDESCDays
TradedTrades
Value(` Cr.)
1 6.45% GS 2029 18 19908 250478 8.35% GS 2022 16 34 2804
2 7.57% GS 2033 18 5351 81215 7.80% GS 2021 13 28 1874
3 7.26% GS 2029 18 3471 50991 8.30% GS 2042 12 27 1182
4 6.18% GS 2024 18 2698 47889 8.15% GS 2026 11 28 3495
5 7.32% GS 2024 18 1753 33177 6.01% GS 2028 10 20 125
6 7.27% GS 2026 18 2023 30239 8.20% GS 2022 9 15 329
7 6.84% GS 2022 18 522 22640 8.28% GS 2027 9 20 225
8 7.17% GS 2028 18 1201 15887 6.13% GS 2028 9 17 171
9 6.79% GS 2027 18 827 14358 7.06% GS 2046 8 26 145
10 7.59% GS 2026 18 350 8473 8.26% GS 2027 8 15 265
11 6.68% GS 2031 18 679 8112 6.30% GS 2023 8 14 220
12 7.72% GS 2025 18 375 6546 7.35% GS 2024 7 14 355
13 6.57% GS 2033 18 666 5936 8.15% GS 2022 7 22 684
14 7.37% GS 2023 17 387 9700 8.60% GS 2028 7 13 269
15 6.97% GS 2026 17 517 9045 7.19% GS 2060 7 17 505
16 8.24% GS 2027 17 394 7267 8.33% GS 2026 7 16 896
17 6.79% GS 2029 17 442 6375 8.13% GS 2045 7 11 180
18 7.16% GS 2050 17 289 5163 7.62% GS 2039 7 11 811
19 7.68% GS 2023 16 371 10493 8.97% GS 2030 7 15 225
20 8.83% GS 2023 16 217 6038 6.17% GS 2021 6 19 585
21 6.83% GS 2039 16 328 3175 7.16% GS 2023 6 15 389
22 6.62% GS 2051 16 186 1143 8.40% GS 2024 6 12 635
23 5.79% GS 2030 15 2049 26586 8.79% GS 2021 6 12 708
24 7.88% GS 2030 15 323 6437 6.17% GS 2023 6 17 160
25 7.59% GS 2029 14 210 5149 8.24% GS 2033 6 12 350
26 7.95% GS 2032 12 221 3747 9.15% GS 2024 6 10 1005
27 7.40% GS 2035 12 141 2743 8.30% GS 2040 6 8 155
28 7.61% GS 2030 12 175 2048 7.40% GS 2035 5 14 160
29 6.17% GS 2021 11 289 10130 9.23% GS 2043 5 11 813
30 7.35% GS 2024 10 164 4830 8.12% GS 2020 5 10 441
31 7.16% GS 2023 10 119 4658 8.33% GS 2036 5 14 778
32 7.00% GS 2021 10 86 2465 7.94% GS 2021 5 10 990
33 7.50% GS 2034 10 92 1425 7.59% GS 2029 4 10 400
34 8.15% GS 2022 9 100 6295 7.95% GS 2032 4 13 345
35 8.20% GS 2025 9 128 2620 7.00% GS 2021 4 13 200
36 7.73% GS 2034 9 97 1482 7.73% GS 2034 4 7 50
37 8.60% GS 2028 8 92 3060 8.13% GS 2022 4 11 1053
7.19% GS 2060 7 60 2385 8.27% GS 2020 4 13 650
39 8.40% GS 2024 6 105 2380 8.17% GS 2044 4 5 115
40 7.06% GS 2046 6 67 390 8.08% GS 2022 4 9 206
41 8.15% GS 2026 4 58 1840 5.09% GS 2022 4 4 130
42 8.13% GS 2022 4 27 3696 7.61% GS 2030 3 8 105
43 9.23% GS 2043 4 32 2568 7.63% GS 2059 3 4 395
44 8.79% GS 2021 4 53 1530 9.20% GS 2030 3 4 25
45 8.20% GS 2022 4 30 1385 7.68% GS 2023 2 4 165
46 8.28% GS 2027 4 24 570 8.83% GS 2023 2 5 60
47 6.17% GS 2023 4 42 420 6.83% GS 2039 2 7 40
48 6.13% GS 2028 4 27 170 6.62% GS 2051 2 7 35
49 6.01% GS 2028 4 31 174 7.88% GS 2030 2 5 187
50 8.27% GS 2020 3 21 2655 7.50% GS 2034 2 2 25
51 8.33% GS 2026 3 18 1159 8.20% GS 2025 2 6 30
52 8.12% GS 2020 3 23 1419 6.90% OMC SB 2026 2 2 308
53 8.26% GS 2027 3 36 1110 FRB 2031 2 6 440
5 or more Trades Per Day Less than 5 Trades Per DaySr.
No.
TABLE 38: LIQUIDITY DISTRIBUTION OF TRADES GREATER THAN 5 CRORE (G-SEC)`
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ISINDESCDays
TradedTrades
Value( Cr.)`
ISINDESCDays
TradedTrades
Value(` Cr.)
54 8.24% GS 2033 3 25 740 8.83% GS 2041 2 7 155
55 8.33% GS 2036 3 30 225 FRB 2020 2 4 140
56 8.17% GS 2044 3 16 271 7.72% GS 2049 2 3 60
57 7.80% GS 2021 2 24 3365 7.72% GS 2055 2 4 45
58 8.30% GS 2042 2 21 1385 7.37% GS 2023 1 4 125
59 8.08% GS 2022 2 17 1340 6.97% GS 2026 1 4 75
60 7.94% GS 2021 2 16 260 8.24% GS 2027 1 4 20
61 8.13% GS 2045 2 13 255 6.79% GS 2029 1 3 55
62 8.35% GS 2022 1 5 1035 7.16% GS 2050 1 1 5
63 6.19% GS 2034 1 115 2912 8.32% GS 2032 1 1 45
64 5.09% GS 2022 1 12 1200 8.03% FCI SB 2024 1 1 9
65 9.15% GS 2024 1 17 283 8.20% OMC SB 2023 1 1 5
66 7.62% GS 2039 1 7 434 0 0 0 0
67 6.90% OMC SB 2026 1 22 210 0 0 0 0
68 8.30% GS 2040 1 5 315 0 0 0 0
69 8.97% GS 2030 1 9 129 0 0 0 0
Total 643 48249 756223 Total 321 709 27631
Expected Bond Days 1242 Expected Bond Days 1170
Efficiency 51.77 Efficiency 27.44
5 or more Trades Per Day Less than 5 Trades Per DaySr.
No.
Amount Crore`TABLE 39: MONEY MARKET VOLUMES
MONEY MARKET
Amount Crore`TABLE 40: TREP TRADING
*Launched on November 5, 2018.
* CBLO segment of the money market was discontinued and replaced with TREP with effect from November 5, 2018.
Number of Participants: 245
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ValueDaily Average
ValueValue
Daily AverageValue
ValueDaily Average
Value
2009-10 2522703 8914 6072829 21308 15541378 54531
2010-11 2945901 10020 4099284 13943 12259745 41700
2011-12 4084692 14085 3755892 12907 11155428 38335
2012-13 4814032 16658 5402765 18695 12028040 41620
2013-14 4507273 15383 7228127 24585 17526192 59613
2014-15 3740742 12989 7875244 27440 16764597 58413
2015-16 3799481 13717 8621665 31125 17833528 64381
2016-17 4242821 15714 11835001 43833 22952833 85010
2017-18 3871780 14556 12780289 48046 28330758 106507
2018-19 5002364 18596 13566142 50432 32592056 121160
2019-20 4173933 15633 14799713 55430 40142194 150345
Apr-20 221561 11661 1262119 66427 3347778 176199
May-20 230360 10970 1568456 74688 3644744 173559
2020-21 (Upto May 2020) 451921 11298 2830575 70764 6992522 174813
Period
Uncollateralised Call, Noticeand Term Money Market
Market Repo CBLO/TREP
Trades Value Trades Value
2018-19* 88670 14451590 821 133811
2019-20 218370 40142194 818 150345
Apr-20 15839 3347778 834 176199
May-20 17606 3644744 838 173559
2020-21 (Upto May 2020)
Settlement PeriodTotal Daily Average
33445 6992522 836 174813
MARKET REPOTABLE 41: REPO TERM ANALYSIS Percent
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% 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
2010-11 68.51 65.99 27.94 31.12 2.96 2.68 0.27 0.08 0.32 0.13
2011-12 67.46 65.94 26.27 28.53 5.17 5.24 0.39 0.11 0.72 0.18
2012-13 69.06 67.82 27.13 27.75 3.49 4.16 0.14 0.21 0.18 0.05
2013-14 66.29 65.24 27.73 28.34 5.60 6.17 0.16 0.18 0.23 0.07
2014-15 67.08 65.76 27.56 28.22 5.08 5.63 0.25 0.37 0.03 0.02
2015-16 71.79 70.30 23.89 25.40 4.24 4.21 0.06 0.08 0.02 0.02
2016-17 70.48 67.25 24.29 26.22 4.67 5.36 0.39 0.79 0.16 0.39
2017-18 71.27 68.06 21.27 23.76 6.15 6.92 0.41 0.65 0.90 0.61
2018-19 71.09 68.11 25.61 27.98 2.45 2.82 0.28 0.44 0.58 0.65
2019-20 72.12 71.17 24.14 24.20 3.16 3.26 0.27 0.63 0.31 0.74
Apr-20 65.00 63.62 18.18 17.42 16.29 18.13 0.06 0.12 0.47 0.71
May-20 72.93 72.79 21.05 21.23 5.94 5.79 0.01 0.02 0.07 0.17
2020-21 (UptoMay 2020)
69.36 68.70 19.76 19.53 10.61 11.29 0.03 0.06 0.25 0.41
SettlementPeriod
O/N 2-3 days 4-7 days 8-14 days >14 days
TABLE 42: INSTRUMENTWISE SETTLEMENT OF REPO TRADES Amount Crore`
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Value Avg. Value % Share Value Avg. Value % Share Value Avg. Value % Share
2002-03 403971 1360 86.28 64238 216 13.72 20 0 0.00
2003-04 874438 2974 92.71 59222 201 6.28 9530 32 1.01
2004-05 1262149 4322 81.02 286955 983 18.42 8803 30 0.57
2005-06 1369411 4674 80.81 277687 948 16.39 47411 162 2.80
2006-07 2126634 7233 83.19 379165 1290 14.83 50677 172 1.98
2007-08 3569960 12102 90.41 323984 1098 8.20 54807 186 1.39
2008-09 3475348 12109 84.88 583335 2033 14.25 35603 124 0.87
2009-10 5233295 18362 86.18 812537 2851 13.38 26996 95 0.44
2010-11 3253965 11068 79.38 832632 2832 20.31 12688 43 0.31
2011-12 2186877 7515 58.10 1554121 5341 41.29 22878 79 0.61
2012-13 2918337 10098 54.02 2413144 8350 44.66 71282 247 1.32
2013-14 3364069 11442 46.54 3832478 13036 53.02 31580 107 0.44
2014-15 4471896 15582 56.78 3259007 11355 41.38 144343 503 1.83
2015-16 6230697 22493 72.27 2248204 8116 26.08 142765 515 1.66
2016-17 9499803 35184 80.27 1802788 6677 15.23 532410 1972 4.50
2017-18 9131782 34330 71.45 2684898 10094 21.01 963609 3623 7.54
2018-19 9212117 34246 67.91 2513999 9346 18.53 1840027 6840 13.56
2019-20 10447710 39130 70.59 1412792 5291 9.55 2939209 11008 19.86
Apr-20 846414 44548 67.06 178966 9419 14.18 236738 12460 18.76
May-20 1176940 56045 75.04 93312 4443 5.95 298204 14200 19.01
2020-21 (UptoMay 2020)
2023354 50584 71.48 272278 6807 9.62 534942 13374 18.90
SettlementPeriod
Cen. Govt. Dated Treasury Bills State Govt
TABLE 43: CROMS TRADING ACTIVITYNumber of Participants: 157 Amount Crore`
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Trades Value WAR Trades Value WAR Trades Value WAR Trades Value WAR
4-May-20 342 42208 3.3103 141 34326 3.4779 483 76534 3.3854 505 81007 3.3875 94.48
5-May-20 337 41841 3.0986 148 31399 3.4183 485 73240 3.2357 509 78409 3.2483 93.41
6-May-20 327 39730 3.2132 143 30079 3.4545 470 69809 3.3172 491 74009 3.3253 94.32
8-May-20 345 41109 3.2005 181 40829 3.4639 526 81938 3.3317 550 86478 3.3426 94.75
11-May-20 417 46220 3.2777 124 32876 3.3506 541 79096 3.3080 565 83445 3.3172 94.79
12-May-20 403 43153 2.9647 175 38138 2.8736 578 81291 2.9220 601 85903 2.9146 94.63
13-May-20 400 41562 2.1682 150 36695 2.0522 550 78257 2.1138 575 83140 2.1331 94.13
14-May-20 399 42474 1.8248 186 42293 2.0246 585 84767 1.9245 614 90250 1.9324 93.92
15-May-20 368 36541 2.4628 183 40846 3.0700 551 77387 2.7833 584 83004 2.8032 93.23
18-May-20 387 41582 2.9013 185 44055 3.2443 572 85637 3.0777 605 91327 3.0928 93.77
19-May-20 371 39667 2.9770 185 39174 3.3038 556 78841 3.1394 590 84599 3.1509 93.19
20-May-20 399 37261 2.9838 204 41878 3.1789 603 79139 3.0870 636 84873 3.1038 93.24
21-May-20 359 37198 2.7677 229 54086 2.9062 588 91284 2.8497 620 96677 2.8637 94.42
22-May-20 382 39301 2.3681 175 42848 2.5461 557 82149 2.4609 593 89472 2.4638 91.82
26-May-20 376 36159 2.4964 255 61821 2.8412 631 97980 2.7139 663 103647 2.7220 94.53
27-May-20 325 35720 2.7082 187 42508 2.9644 512 78228 2.8474 545 83890 2.8545 93.25
28-May-20 295 38921 2.9037 218 53734 3.1093 513 92655 3.0229 546 98621 3.0302 93.95
29-May-20 343 39990 2.9901 181 43881 3.1962 524 83871 3.0979 556 89704 3.1034 93.50
Total 6575 720637 3250 751465 9825 1472102 10348 1568456 93.86
Repo % Share ofCROMSin Repovolumes
Date
CROMS Special CROMS Basket CROMS - Total
TABLE 45: TOP 5 SECURITIES - BASKET REPO
TABLE 46: TOP 5 SECURITIES - SPECIAL REPO
Amount Crore`
Amount Crore`
TABLE 44: CROMS HISTORICAL SUMMARY Amount Crore`
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Trades Value% Share in
RepoTrades Value
% Share inRepo
Trades Total ValueDaily
AverageValue
% Sharein Repo
2008-09 957 93369 9.05 26 853 0.08 983 94222 2298 9.14
2009-10 5336 742575 12.23 9888 3543468 58.38 15224 4286042 17933 70.61
2010-11 8718 810326 19.78 10181 2016259 49.21 18899 2826585 11398 68.98
2011-12 12757 1333933 35.45 9519 1233105 32.77 22276 2567038 10652 68.23
2012-13 18732 1936643 35.85 18543 2927336 54.19 37275 4863979 19692 90.05
2013-14 13780 1287231 17.81 28540 5238049 72.48 42320 6525279 26418 90.29
2014-15 15120 1362280 17.30 36319 5954619 75.61 51439 7316899 30743 92.91
2015-16 29770 2872304 33.31 35142 5280959 61.25 64912 8153264 33691 94.57
2016-17 46594 4156364 35.12 33543 6924118 58.51 80137 11080482 45599 93.62
2017-18 66806 5282083 41.33 28926 6794253 53.16 95732 12076336 49493 94.49
2018-19 61462 4828031 35.59 42081 7664438 56.50 103543 12492469 51199 92.09
2019-20 75747 6385083 43.14 37688 6787195 45.86 113435 13172278 53985 89.00
Apr-20 5250 588209 46.60 2836 586653 46.48 8086 1174862 69110 93.09
May-20 6575 720637 45.95 3250 751465 47.91 9825 1472102 81783 93.86
2020-21 (UptoMay 2020)
11825 1308846 46.24 6086 1338118 47.27 17911 2646964 75628 93.51
CROMS-SPECIAL CROMS-BASKET CROMS
Period
Security Trades Value Rate
6.45% GS 2029 116 48951 3.0871
6.17% GS 2021 150 41185 3.0555
7.00% GS 2021 126 35194 3.0000
7.32% GS 2024 105 33364 2.8578
7.94% GS 2021 98 30414 2.8553
Security Trades Value Rate
6.45% GS 2029 664 102729 1.9331
7.32% GS 2024 234 58347 3.1064
6.18% GS 2024 293 47359 2.3318
8.83% GS 2023 77 26410 3.0911
7.27% GS 2026 181 25255 2.7608
TABLE 47: DEALT TRANSACTIONS ON THE NDS-CALL PLATFORM
CALL MONEY MARKET
Amount Crore`
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Trade Value WAR Trade Value WAR Trade Value WAR Trade Value
2-May-20 2 100 4.2500 - - - - - - 2 100
4-May-20 62 7748 4.4672 1 25 4.7500 9 660 5.0443 72 8433
5-May-20 45 6019 4.4144 - - - 6 525 4.7638 51 6544
6-May-20 36 3896 4.3587 3 700 4.4714 1 50 4.9000 40 4646
8-May-20 52 5653 4.3071 1 50 4.7500 5 475 5.1368 58 6178
11-May-20 26 1863 4.3890 1 25 4.7500 9 705 5.4773 36 2593
12-May-20 26 1664 4.2395 - - - 4 250 5.0000 30 1914
13-May-20 45 4744 4.1706 - - - 3 250 4.5500 48 4994
14-May-20 45 4964 4.2741 - - - 5 375 5.5600 50 5339
15-May-20 46 4963 4.3382 3 800 4.5906 7 895 4.8570 56 6658
16-May-20 - - - - - - - - - - -
18-May-20 40 3952 4.3545 2 40 4.4313 1 100 5.0000 43 4092
19-May-20 47 4428 4.3268 - - - 3 225 4.8889 50 4653
20-May-20 54 5362 4.3003 - - - 5 510 4.8176 59 5872
21-May-20 47 5016 4.2754 - - - 2 135 5.5056 49 5151
22-May-20 51 5294 4.0649 - - - - - - 51 5294
26-May-20 52 5296 3.9424 1 25 4.3500 4 260 4.2981 57 5581
27-May-20 55 6276 3.9012 - - - 4 375 4.3333 59 6651
28-May-20 66 9279 3.9553 - - - 6 470 4.6362 72 9749
29-May-20 46 5399 3.8834 2 60 4.1667 3 350 4.6643 51 5809
30-May-20 2 37 3.9581 - - - - - - 2 37
Total 845 91952 4.2007 14 1725 4.5296 77 6610 4.9244 936 100287
TotalDate
CALL NOTICE Term
TABLE 48: OTC DEALS REPORTED ON THE NDS-CALL PLATFORM Amount Crore`
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Trade Value WAR Trade Value WAR Trade Value WAR Trade Value
2-May-20 66 995 3.0876 6 17 2.9596 - - - 72 1012
4-May-20 335 7740 3.6438 42 556 3.5679 19 747 4.7591 396 9043
5-May-20 323 7337 3.5697 21 398 4.3773 15 472 4.7451 359 8206
6-May-20 314 6634 3.6004 44 621 3.5364 3 59 4.4542 361 7314
8-May-20 328 6374 3.6931 12 87 3.7704 20 446 4.6082 360 6907
11-May-20 331 6674 3.7248 41 374 3.8497 14 438 4.4557 386 7485
12-May-20 323 6269 3.6755 16 73 3.5481 12 442 4.5670 351 6784
13-May-20 318 5904 3.6477 19 140 3.6243 16 466 4.4039 353 6510
14-May-20 347 6449 3.6491 22 151 3.7155 6 135 4.3378 375 6735
15-May-20 366 6783 3.6112 5 35 3.9286 8 126 4.6004 379 6944
16-May-20 60 927 2.9393 4 10 2.6978 3 30 6.8833 67 968
18-May-20 357 7671 3.5734 42 395 3.8492 10 186 4.6827 409 8252
19-May-20 342 6907 3.6515 20 145 3.9240 16 655 4.6311 378 7707
20-May-20 335 6319 3.7004 24 453 3.3661 9 369 4.6910 368 7141
21-May-20 326 6404 3.6792 26 230 3.7563 5 153 4.4722 357 6787
22-May-20 358 6208 3.3990 3 26 3.6147 4 181 4.1401 365 6415
26-May-20 329 5933 3.3127 51 648 3.3478 24 640 4.1615 404 7221
27-May-20 316 5676 3.2852 24 114 3.1566 8 386 4.2097 348 6177
28-May-20 348 5780 3.2775 7 85 3.2149 11 185 4.1146 366 6050
29-May-20 369 6092 3.3005 10 69 3.1208 7 223 4.1695 386 6384
30-May-20 47 580 2.4027 1 20 3.0000 - - - 48 600
Total 6238 119657 3.5477 440 4648 3.6327 210 6338 4.5047 6888 130642
TotalDate
CALL NOTICE Term
TABLE 49: UNCOLLATERALISED OVERNIGHT TRANSACTIONS Percent
TABLE 50: OVERNIGHT TRANSACTIONS DEALT ON NDS-CALL PLATFORM Percent
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Trades Value Trades Value Trades Value TradesValue( Cr.)`
04-May-20 4.48 21 64 22 65 30 68 397 15488
05-May-20 4.49 14 50 15 50 23 54 368 13356
06-May-20 4.44 13 48 17 51 27 54 350 10530
08-May-20 4.43 14 52 17 55 29 58 380 12027
11-May-20 4.42 12 47 15 52 24 56 357 8536
12-May-20 4.29 18 49 19 49 24 53 349 7933
13-May-20 4.25 15 48 18 52 33 70 363 10648
14-May-20 4.35 13 46 17 53 22 56 392 11413
15-May-20 4.46 7 35 8 36 15 51 412 11746
18-May-20 4.42 10 40 12 43 19 50 397 11623
19-May-20 4.45 12 44 13 46 16 49 389 11335
20-May-20 4.43 13 47 15 49 19 54 389 11681
21-May-20 4.35 8 26 14 48 18 52 373 11420
22-May-20 4.31 0 0 3 7 6 22 409 11502
26-May-20 4.07 17 55 18 56 22 59 381 11229
27-May-20 4.04 17 56 23 59 24 60 371 11952
28-May-20 4.02 19 66 25 70 26 70 414 15059
29-May-20 4.04 13 48 17 52 20 53 415 11491
TotalTRADEDATE
FBIL O/NMIBOR
Rate
Within +/-10 bps ofFBIL O/N MIBOR
Within +/-15 bps ofFBIL O/N MIBOR
Within +/-25 bps ofFBIL O/N MIBOR
Trades Value Trades Value Trades Value TradesValue( Cr.)`
04-May-20 4.48 95 100 95 100 97 100 62 7748
05-May-20 4.49 78 82 78 82 80 82 45 6019
06-May-20 4.44 69 80 69 80 69 80 36 3896
08-May-20 4.43 67 73 67 73 67 73 52 5653
11-May-20 4.42 73 93 77 95 85 96 26 1863
12-May-20 4.29 73 82 73 82 81 91 26 1664
13-May-20 4.25 58 68 58 68 93 99 45 4744
14-May-20 4.35 60 67 71 78 71 78 45 4964
15-May-20 4.46 41 61 41 61 74 79 46 4963
18-May-20 4.42 70 83 73 84 73 84 40 3952
19-May-20 4.45 68 74 68 74 68 74 47 4428
20-May-20 4.43 61 67 65 68 67 73 54 5362
21-May-20 4.35 34 27 64 69 64 69 47 5016
22-May-20 4.31 0 0 16 14 31 39 51 5294
26-May-20 4.07 79 78 79 78 79 78 52 5296
27-May-20 4.04 75 75 75 75 75 75 55 6276
28-May-20 4.02 88 87 89 88 89 88 66 9279
29-May-20 4.04 70 70 70 70 70 70 46 5399
TRADEDATE
FBILO/N
MIBORRate
Within +/-10 bps ofFBIL O/N MIBOR
Within +/-15 bps ofFBIL O/N MIBOR
Within +/-25 bps ofFBIL O/N MIBOR
Total
TABLE 51: OVERNIGHT TRANSACTIONS REPORTED ON NDS-CALL PLATFORM Percent
TABLE 52: CALL MARKET AND FBIL O/N MIBOR - RATES Percent
CC
ILM
on
thly
Ne
wsl
ett
er
111
statisticsstatistics
Ma
y 2
02
0
Trades Value Trades Value Trades Value TradesValue( Cr.)`
04-May-20 4.48 7 29 8 30 17 37 335 7740
05-May-20 4.49 6 24 6 25 15 31 323 7337
06-May-20 4.44 6 28 11 33 22 38 314 6634
08-May-20 4.43 6 34 9 38 23 45 328 6374
11-May-20 4.42 7 34 11 40 19 45 331 6674
12-May-20 4.29 14 40 15 40 19 43 323 6269
13-May-20 4.25 9 33 12 40 25 46 318 5904
14-May-20 4.35 6 29 10 34 16 40 347 6449
15-May-20 4.46 3 16 4 18 7 31 366 6783
18-May-20 4.42 4 18 5 22 13 32 357 7671
19-May-20 4.45 4 25 6 29 9 32 342 6907
20-May-20 4.43 5 29 7 34 11 38 335 6319
21-May-20 4.35 5 24 7 33 11 39 326 6404
22-May-20 4.31 0 0 1 1 2 8 358 6208
26-May-20 4.07 7 34 8 36 13 43 329 5933
27-May-20 4.04 7 35 14 42 15 43 316 5676
28-May-20 4.02 6 32 13 41 14 42 348 5780
29-May-20 4.04 6 28 11 36 13 37 369 6092
TotalTRADEDATE
FBILO/N
MIBORRate
Within +/-10 bps ofFBIL O/N MIBOR
Within +/-15 bps ofFBIL O/N MIBOR
Within +/-25 bps ofFBIL O/N MIBOR
All Trades Trades Upto4 PM
04-May-20 4.48 4.06 4.47 4.47 3.64
05-May-20 4.49 3.95 4.41 4.41 3.57
06-May-20 4.44 3.88 4.36 4.36 3.60
08-May-20 4.43 3.98 4.31 4.31 3.69
11-May-20 4.42 3.87 4.39 4.39 3.72
12-May-20 4.29 3.79 4.24 4.24 3.68
13-May-20 4.25 3.88 4.17 4.17 3.65
14-May-20 4.35 3.92 4.27 4.27 3.65
15-May-20 4.46 3.97 4.34 4.34 3.61
18-May-20 4.42 3.84 4.35 4.35 3.57
19-May-20 4.45 3.92 4.33 4.33 3.65
20-May-20 4.43 3.98 4.30 4.30 3.70
21-May-20 4.35 3.94 4.28 4.28 3.68
22-May-20 4.31 3.71 4.06 4.06 3.40
26-May-20 4.07 3.61 3.94 3.94 3.31
27-May-20 4.04 3.61 3.90 3.90 3.29
28-May-20 4.02 3.70 3.96 3.96 3.28
29-May-20 4.04 3.62 3.88 3.88 3.30
TRADE DATEFBIL O/N
MIBOR RateUncollateralised O/N
Call (WAR)
NDS-CALL Platform (WAR)Trades Reported on NDS-
CALL Platform (WAR)
TA
BL
E:
53T
EN
OR
WIS
E A
NA
LY
SIS
OF
TE
RM
MO
NE
Y T
RA
NSA
CT
ION
SA
mo
un
tC
rore
`
CC
ILM
on
thly
Ne
wsl
ett
er
statisticsstatistics
112
Ma
y 2
02
0
Trad
esVa
lues
Trad
esVa
lues
Trad
esVa
lues
Trad
esVa
lues
Trad
esVa
lues
Trad
esVa
lues
Trad
esVa
lues
Trad
esVa
lues
2006
-07
7545
0474
5209
1989
552
1347
440
873
2327
1625
514
784
2007
-08
249
1393
720
910
332
4918
3224
010
250
2716
2546
1701
2313
3284
341
008
2008
-09
222
1388
718
711
679
9241
9431
315
801
3415
4351
1846
2965
992
849
608
2009
-10
162
8727
6339
426
755
8733
2215
1298
3216
1068
5522
433
2517
6
2010
-11
291
1614
684
6220
2714
9377
3617
631
240
1346
4422
3656
931
370
2011
-12
467
3478
916
211
218
4731
4314
894
675
8524
1003
2910
5788
260
761
2012
-13
997
8155
527
322
081
117
8572
243
1567
316
1294
2712
3737
2977
1710
1333
89
2013
-14
639
4068
124
411
765
8649
1424
112
961
3016
8541
3458
5626
4313
3778
107
2014
-15
758
2904
110
849
1313
660
4021
211
018
4228
1047
2256
4523
5613
4858
432
2015
-16
1142
4386
816
146
7879
4029
142
6927
3224
5352
3297
3418
8516
4267
136
2016
-17
1919
8312
723
710
543
9155
0912
379
1739
2710
2926
1533
2152
2471
1145
74
2017
-18
1941
7509
526
515
637
8855
5414
211
776
6157
6667
4937
3414
7525
9812
0239
2018
-19
1858
6567
630
715
062
145
9049
9949
4444
3138
2294
820
676
2495
9949
1
2019
-20
2488
8423
022
210
382
8238
6164
3965
2399
819
1627
551
829
0310
5581
Apr
-20
297
1140
919
814
1112
802
35-
-1
50-
-33
013
588
May
-20
251
1122
818
975
724
09
485
110
--
110
287
1294
8
2020
-21 (
Upt
oM
ay 2
020)
548
2263
737
1789
1815
2011
520
110
150
110
617
2653
6
Tota
l18
0-27
0 D
ays
270
Day
s an
d M
ore
Perio
dLe
ss T
han
30 D
ays
30-6
0 D
ays
60-9
0 D
ays
90-1
20 D
ays
120-
180
Day
s
TA
BL
E54
: ND
S-C
AL
L H
IST
OR
ICA
LA
mo
un
tC
rore
`
*Tra
de
rep
ort
ing
on
ND
S-C
AL
L b
ecam
e m
and
ated
fro
m N
ove
mb
er 2
012.
**D
ata
fro
m S
epte
mb
er 1
8, 2
006.
CC
ILM
on
thly
Ne
wsl
ett
er
113
statisticsstatistics
Ma
y 2
02
0
Trad
esVa
lue
Trad
esVa
lue
Trad
esVa
lue
Trad
esVa
lue
Trad
esVa
lue
Trad
esVa
lue
Trad
esVa
lue
Dea
ltRe
porte
dRe
cipr
ocal
Tota
lD
aily
Aver
age
2006
-07*
*68
5350
7998
4432
7735
154
272
3516
130
326
7365
5437
5048
3508
93.4
21.
005.
5822
0997
814
258
2007
-08
3140
227
7853
110
895
1635
9726
413
1290
151
2011
735
150
2825
061
120
9675
98.3
50.
930.
7135
1392
512
034
2008
-09
3574
231
7913
412
511
077
4533
2079
716
7235
157
557
4062
632
5748
814
211
350
97.5
90.
641.
7737
1709
112
952
2009
-1024
530
2124
356
8674
5447
3523
877
1784
9118
470
2935
621
6670
310
376
0298
.05
1.10
0.85
2522
703
8852
2010
-1126
401
2450
742
9083
3673
5249
514
2516
837
976
328
3413
225
7658
411
687
6495
.12
1.92
2.96
2945
901
1002
0
2011
-1234
031
3483
245
117
1197
054
4921
071
1972
449
9577
939
929
3600
095
137
1237
196
.75
0.59
2.66
4084
692
1403
7
2012
-1337
174
4124
785
129
1427
329
554
3524
4910
212
2033
858
407
6706
645
3564
123
215
694
90.9
47.
771.
2948
1403
216
658
2013
-1438
231
3617
702
130
1230
565
715
8753
3522
429
7750
396
025
1044
4945
8906
235
515
609
78.8
319
.07
2.09
4507
273
1533
1
2014
-1533
462
2557
815
117
8912
7039
011
7539
924
540
9527
851
625
1041
3037
8483
936
313
188
67.5
831
.06
1.36
3740
742
1303
4
2015
-1633
445
2535
754
121
9154
8505
312
4736
930
745
0311
026
894
1186
0838
1001
742
813
657
66.5
532
.74
0.71
3799
481
1371
7
2016
-1730
447
2553
972
113
9459
9786
816
7638
836
262
0982
1908
212
8394
4249
442
476
1573
960
.10
39.4
50.
4542
4282
115
714
2017
-1827
849
2474
817
105
9304
9389
113
9517
535
352
4565
1745
112
1805
3887
443
458
1461
163
.68
35.9
00.
4338
7178
014
556
2018
-1939
887
3855
046
148
1433
195
111
1145
963
354
4260
297
4834
213
5295
5049
351
503
1877
176
.35
22.7
00.
9650
0236
418
596
2019
-20
2699
527
6335
710
110
350
1047
1514
0848
739
252
7562
1119
413
1772
4183
038
494
1566
766
.06
33.6
70.
2741
7393
315
633
Apr-2
010
0011
4250
5360
1359
0610
7345
311
5650
260
069
0822
2194
364
1169
451
.42
48.3
10.
2722
1561
1166
1
May
-20
936
1002
8745
4776
6888
1306
4232
862
210
078
2423
0929
373
1099
743
.43
56.5
70.
0023
0360
1097
0
2020
-21 (
Upt
oM
ay 20
20)
1936
2145
3648
5363
1279
423
7987
320
5950
260
014
732
4531
2336
811
328
47.3
552
.52
0.13
4519
2111
298
Tota
l Valu
e of C
all,
Not
ice a
nd T
erm
Mon
ey as
per
RBI
Aver
age
Aver
age
Tota
lAv
erag
eTo
tal
% S
hare
in N
DS-
CALL
Perio
d
Dea
ltRe
porte
d
Tota
lTo
tal
Reci
proc
alTo
tal N
DS-
CALL
TA
BL
E 5
5: F
OR
EX
SE
TT
LE
ME
NT
*
FO
RE
IGN
EX
CH
AN
GE
MA
RK
ET
FO
RE
X S
ET
TL
EM
EN
T
Nu
mb
er o
fP
arti
cip
ants
: 79
CC
ILM
on
thly
Ne
wsl
ett
er
statisticsstatistics
114
Ma
y 2
02
0
Trad
esVa
lue(U
SD M
n)Va
lue(
Cr)
`Tr
ades
Value
(USD
Mn)
Value
(Cr
)`
Trad
esVa
lue(U
SD M
n)Va
lue(
Cr)
`Tr
ades
Value
(USD
Mn)
Value
(Cr
)`
Trad
esVa
lue(U
SD M
n)Va
lue(
Cr)
`Tr
ades
Value
(USD Mn)
Value
(Cr
)`
2002
-03-
--
--
-74
423
9648
346
2370
2580
939
619
1956
6510
0232
1361
0265
8035
1101
1496
7231
2003
-0410
3659
5126
861
1555
9150
4133
525
1258
3545
4116
2764
476
668
1317
0062
2691
3305
1750
1342
2318
531
1425
2161
9994
2004
-0587
4769
882
3123
1116
178
1127
5050
4325
3563
8253
3015
2389
936
8502
018
4133
8358
6346
6327
8997
8040
4243
519
7638
1317
129
2005
-0612
946
1546
2668
6160
2130
719
9621
8855
8537
1059
5850
8925
9424
084
337
2403
5210
7368
948
9649
1179
688
5239
674
2084
5020
2229
6
2006
-0714
292
2330
1010
5041
325
708
3165
8514
2701
848
1702
8847
4039
9376
585
106
3426
4615
5188
360
6808
1776
981
8023
078
2550
7466
3371
0
2007
-0815
118
3180
5512
7946
625
598
4099
7916
5280
260
9676
1595
080
6426
403
1066
8381
0551
3368
161
7570
7431
3366
512
7268
3231
8113
167
5347
4
2008
-0915
633
3582
4416
5169
526
536
4987
6722
9903
667
5439
1815
114
8263
760
1199
1210
8677
847
2299
883
7520
3758
904
1693
7489
3657
1641
473
963
2009
-1015
733
3639
0417
1971
427
643
4848
4822
9513
775
9149
1467
601
6951
459
8142
467
2619
3245
177
8839
4929
8897
114
2114
8638
4312
996
6178
9
2010-
1119
778
5081
3123
1173
932
118
6511
0029
6460
310
0725
821
1906
196
5012
290
883
9127
4542
3368
811
5003
741
9103
719
1601
5347
9217
463
7983
4
2011-
1222
838
5486
4426
2411
234
391
6910
4333
0472
011
1536
423
2636
811
1418
5611
0585
1076
517
5128
924
1283
178
4642
573
2219
9612
5579
2018
596
520
2012-
1323
375
6105
5933
1678
737
349
8239
1044
7747
812
1686
022
7608
512
3746
6211
8554
1120
379
5948
085
1396
138
4830
933
2611
7013
6018
2082
311
2573
2013-
1426
115
7011
1142
2584
639
467
8573
6651
5120
213
4304
921
9883
313
2436
5010
3584
9860
1158
2524
715
1221
547
4332
128
4459
4664
9020
358
1220
86
2014-
1529
188
8377
3651
1434
043
168
9889
2860
4101
215
6071
825
3979
015
5196
9198
632
9313
3758
6872
717
3170
652
9779
032
5437
7075
9523
236
1427
36
2015-
1629
214
8434
1655
1211
243
890
1015
607
6634
573
1708
058
2613
073
1711
3232
1039
6710
1719
066
6577
718
8512
954
8928
635
9256
9480
5623
458
1535
29
2016-
1734
026
1046
478
7008
460
4889
512
4493
483
3921
717
4207
428
5749
619
1754
5810
1111
1126
070
7702
460
1926
106
6274
978
4222
5595
8302
2704
718
2007
2017-
1830
993
9364
0260
3567
849
271
1235
303
7965
989
1995
325
3200
910
2063
8692
9918
511
2183
974
7270
721
7477
464
9445
442
1130
6692
9427
754
1799
70
2018-
1932
488
9321
8465
1107
452
055
1188
412
8292
587
2193
499
3513
505
2453
7324
9777
911
8033
281
3800
423
7582
168
1443
347
4789
8810
197
2924
620
3772
2019-
2034
785
9984
2770
7499
054
383
1262
165
8940
196
1935
194
3333
363
2361
0405
1015
5613
9396
299
6069
621
2591
869
8791
549
5862
8790
8529
863
2119
07
Apr-2
022
5664
281
4894
2229
1876
600
5838
8048
301
1206
8391
8991
9069
1411
7510
3859
562
544
4027
3930
3088
736
7923
691
1782
87M
ay-20
2219
6465
248
9105
2970
8318
062
8889
6284
114
5737
1101
849
7242
9655
271
4654
7527
239
0121
2934
498
4182
2167
316
3028
2020
-21(U
ptoM
ay20
20)
4475
1289
3397
8527
5888
1597
7912
1276
911
1142
2664
2020
2084
016
311
2377
2817
5324
913
7816
7928
6059
6538
539
3822
653
1704
40
Cash
Tom
Spot
Forw
ardTo
tal
Settle
ment
Perio
d
Avera
ge
TABLE 56: FOREX TRADE TYPE ANALYSIS Percent
CC
ILM
on
thly
Ne
wsl
ett
er
115
statisticsstatistics
Ma
y 2
02
0
Trades Value Trades Value Trades Value Trades Value
2002-03 - - - - 74.25 70.89 25.75 29.11
2003-04 0.31 1.19 0.47 1.83 76.02 70.72 23.20 26.27
2004-05 1.88 7.77 3.47 12.53 76.42 59.24 18.23 20.46
2005-06 2.64 13.11 4.35 16.92 75.78 49.60 17.22 20.37
2006-07 2.36 13.11 4.24 17.82 79.38 49.79 14.03 19.28
2007-08 2.00 10.15 3.38 13.08 80.53 50.90 14.09 25.87
2008-09 1.87 9.53 3.17 13.27 80.65 48.29 14.32 28.91
2009-10 1.78 12.17 3.13 16.22 85.88 49.10 9.21 22.50
2010-11 1.72 12.12 2.79 15.54 87.58 50.56 7.90 21.78
2011-12 1.78 11.82 2.68 14.88 86.92 50.11 8.62 23.19
2012-13 1.67 12.64 2.68 17.05 87.16 47.11 8.49 23.19
2013-14 1.73 14.78 2.61 18.08 88.81 46.36 6.85 20.79
2014-15 1.69 15.81 2.49 18.67 90.13 47.94 5.70 17.58
2015-16 1.55 15.36 2.33 18.50 90.61 47.60 5.52 18.53
2016-17 1.77 16.68 2.54 19.84 90.45 45.54 5.25 17.95
2017-18 1.43 14.42 2.27 19.02 91.75 49.29 4.56 17.27
2018-19 1.37 13.68 2.19 17.44 92.33 51.56 4.12 17.32
2019-20 1.64 14.29 2.56 18.06 91.03 47.70 4.78 19.95
Apr-20 3.61 15.96 4.67 19.02 77.23 29.97 14.50 35.05
May-20 2.95 16.57 3.95 21.32 83.49 37.36 9.62 24.75
2020-21 (Upto May 2020) 3.25 16.26 4.27 20.15 80.65 33.60 11.84 29.98
ForwardSettlement Period
Cash Tom Spot
TABLE 57: FOREX DEAL SIZE ANALYSIS Percent
CC
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on
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116
Ma
y 2
02
0
% tototal
trades
% tototalvalue
% tototal
trades
% tototalvalue
% tototal
trades
% tototalvalue
% tototal
trades
% tototalvalue
% tototal
trades
% tototalvalue
% tototal
trades
% tototalvalue
2002-03 21.93 7.23 52.61 38.74 24.53 46.47 0.70 4.42 0.19 2.25 0.04 0.89
2003-04 20.74 6.07 49.79 32.82 28.02 50.16 1.07 6.12 0.30 3.18 0.08 1.65
2004-05 21.26 4.77 44.14 22.88 31.22 47.19 1.94 8.70 0.97 8.21 0.47 8.25
2005-06 20.32 3.66 42.70 17.72 31.55 40.18 2.77 10.27 1.58 11.18 1.08 16.99
2006-07 21.57 3.29 39.00 13.32 32.03 34.85 3.68 11.50 1.95 11.41 1.77 25.64
2007-08 16.67 1.81 33.75 8.15 36.19 29.18 8.62 19.93 2.13 8.78 2.63 32.15
2008-09 17.00 1.64 32.19 7.17 35.41 25.85 10.31 22.22 2.16 8.20 2.93 34.92
2009-10 20.10 2.55 44.55 13.18 25.18 23.58 5.90 16.56 1.93 9.78 2.33 34.35
2010-11 18.75 2.21 46.50 12.76 24.77 21.89 5.31 13.81 1.92 9.18 2.75 40.15
2011-12 17.05 2.00 48.47 13.40 22.93 20.98 6.47 17.23 2.13 10.24 2.95 36.16
2012-13 23.80 2.79 46.36 13.40 18.86 17.81 6.25 17.54 1.96 9.88 2.77 38.57
2013-14 27.88 3.63 46.12 14.70 16.68 16.87 4.85 14.94 1.70 9.37 2.78 40.47
2014-15 28.91 4.07 45.66 14.93 16.77 17.27 4.23 13.38 1.61 9.16 2.82 41.19
2015-16 33.13 5.03 42.61 14.63 16.25 17.33 3.06 10.01 1.40 8.30 3.55 44.70
2016-17 34.55 4.78 39.86 12.23 12.25 9.10 0.55 1.22 0.81 3.67 11.98 68.99
2017-18 30.71 4.69 46.14 15.45 13.83 12.75 1.78 5.54 1.14 6.38 6.40 55.18
2018-19 26.69 4.04 51.33 17.89 14.63 15.53 3.08 10.36 1.63 10.06 2.64 42.12
2019-20 27.93 3.58 50.43 15.34 12.51 12.34 3.91 11.50 1.88 10.09 3.35 47.15
Apr-20 16.44 0.87 45.84 7.12 18.06 9.45 6.96 10.42 3.79 10.09 8.90 62.06
May-20 17.57 1.22 51.96 10.03 16.32 10.25 5.04 9.35 2.66 8.90 6.45 60.25
2020-21 (UptoMay 2020)
17.06 1.04 49.19 8.55 17.11 9.84 5.91 9.89 3.17 9.50 7.56 61.17
> 5 mn<= 10 mn
> 10 mn<= 20 mn > 20 mn
SettlementPeriod
< 1 mn 1 mn > 1 mn <= 5 mn
TABLE 58: TENORWISE FORWARD TRADES ANALYSIS Percent
CC
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117
statisticsstatistics
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02
0
% tototal
trades
% tototalvalue
% tototal
trades
% tototalvalue
% tototal
trades
% tototalvalue
% tototal
trades
% tototalvalue
% tototal
trades
% tototal
value
2002-03 13.54 16.07 23.35 22.90 26.49 22.35 35.66 37.25 0.96 1.43
2003-04 17.19 22.50 23.97 24.84 22.80 20.24 35.34 31.77 0.70 0.65
2004-05 15.66 20.00 23.79 24.10 19.88 17.86 38.51 36.26 2.16 1.78
2005-06 17.99 22.84 21.79 24.18 17.55 15.18 40.52 36.16 2.15 1.64
2006-07 19.70 25.61 23.78 25.06 19.06 17.21 35.67 30.48 1.79 1.64
2007-08 16.41 31.47 26.83 25.83 22.63 17.22 32.70 24.46 1.44 1.02
2008-09 14.41 23.62 23.82 23.41 21.08 18.59 38.80 31.98 1.90 2.39
2009-10 14.36 20.88 22.08 20.57 18.47 15.06 43.59 41.57 1.50 1.92
2010-11 19.63 30.54 24.96 23.91 17.15 14.99 36.63 28.91 1.64 1.65
2011-12 18.49 22.62 22.99 22.75 16.91 15.79 39.61 36.86 2.00 1.98
2012-13 14.42 17.65 19.43 19.07 14.25 13.49 49.36 47.10 2.54 2.69
2013-14 14.45 21.18 21.39 20.57 16.88 13.91 45.00 41.81 2.29 2.53
2014-15 14.76 22.18 19.89 20.74 17.22 14.77 45.92 40.22 2.22 2.10
2015-16 15.85 23.40 18.62 21.88 14.23 11.94 48.11 40.06 3.18 2.73
2016-17 17.07 25.96 22.69 26.05 16.14 14.68 39.50 29.31 4.59 3.99
2017-18 15.01 25.79 20.87 25.35 17.70 16.04 42.64 30.05 3.78 2.77
2018-19 17.90 26.88 24.15 28.27 15.75 14.27 36.49 26.74 5.72 3.84
2019-20 16.53 25.13 25.59 30.56 16.34 14.63 34.84 25.28 6.70 4.40
Apr-20 11.10 19.36 27.17 32.29 22.77 24.24 36.49 22.79 2.47 1.32
May-20 8.93 21.73 15.87 21.04 13.62 12.89 58.70 41.28 2.89 3.05
2020-21 (UptoMay 2020)
10.14 20.32 22.15 27.72 18.71 19.63 46.35 30.30 2.65 2.02
< 30 Days> 30 Days & <= 90
Days> 90 Days & <=
180 Days> 180 Days & <=
365 Days> 1 Year
SettlementPeriod
TABLE 59: MARKET SHARE - FOREX Percent
TABLE 60: CATEGORYWISE FOREX ACTIVITY - DEAL TYPE
Market Share (%)
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Category CASH TOM SPOT FORWARD
Foreign Banks 41.24 49.07 53.70 53.23
Public Sector Banks 28.02 22.80 20.20 21.47
Private Sector Banks 30.63 28.10 26.01 25.11
Cooperative Banks 0.05 0.03 0.09 0.14
Financial Institutions 0.06 0.00 0.00 0.05
Top 'n' Players Top 5 Top 10 Top 15 Top 20
2002-03 33.65 57.73 72.42 83.30
2003-04 30.53 54.83 69.59 79.45
2004-05 29.00 49.45 63.61 73.61
2005-06 30.59 52.45 68.38 78.89
2006-07 31.15 50.93 65.08 73.69
2007-08 39.66 61.31 76.24 84.55
2008-09 39.65 62.30 76.97 85.71
2009-10 33.13 55.14 71.31 81.51
2010-11 34.94 57.30 73.56 82.97
2011-12 31.01 54.09 70.57 80.23
2012-13 31.53 52.64 68.22 78.40
2013-14 28.35 49.26 64.60 75.27
2014-15 29.05 49.51 64.62 74.95
2015-16 29.29 49.46 63.40 73.98
2016-17 30.16 50.82 65.10 75.09
2017-18 33.21 55.62 69.87 79.60
2018-19 32.30 53.36 68.34 78.74
2019-20 31.44 53.36 69.51 80.50
Apr-20 37.03 60.74 77.08 86.73
May-20 33.97 57.76 75.76 85.29
2020-21 (Upto May 2020) 35.53 59.27 76.43 86.02
TABLE 61: NETTING FACTOR - FOREX Amount in USD Million
CC
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statisticsstatistics
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0
Settlement Period Gross Net Netting Factor (%)
2002-03 136102 24687 81.86
2003-04 501342 83849 83.28
2004-05 899778 94395 89.51
2005-06 1179688 115909.17 90.17
2006-07 1776980 171832.17 90.33
2007-08 3133665 239169 92.37
2008-09 3758905 209822 94.42
2009-10 2988971 177192 94.07
2010-11 4191037 212265 94.94
2011-12 4642573 214730 95.37
2012-13 4830933 222469.56 95.39
2013-14 4743321 255080 94.62
2014-15 5297790 280097 94.71
2015-16 5489286 250784 95.43
2016-17 6274978 294883 95.30
2017-18 6494454 267809 95.88
2018-19 6814433 279060 95.90
2019-20 6987917 320967 95.41
Apr-20 402739 21954 94.55
May-20 390121 23944 93.86
2020-21 (Upto May 2020) 792860 45897 94.21
TABLE 62: FOREX FORWARD SETTLEMENT
Number of Participants: 77FOREX FORWARD SETTLEMENT
Amount in USD Million
* Commenced operation from December 1, 2009 # Mandate by RBI for CCP Clearing of Forward trades w.e.f. June, 2014
CC
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120
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0
Trades Volume Trades Volume
2009-10* 4965 29671 6969 41092
2010-11 11528 61293 28868 150505
2011-12 17200 100791 40760 240384
2012-13 20419 122937 50146 287697
2013-14 16861 89517 46640 254982
2014-15# 50536 415534 101372 914979
2015-16 42507 371034 94770 964070
2016-17 48614 409249 108787 1170618
2017-18 41941 395562 94192 1118572
2018-19 42380 445703 99571 1241299
2019-20 43957 485869 102201 1390268
Apr-20 38225 411845 3321 66621
May-20 34233 387073 3221 70929
2020-21 6542 137549
Oustanding AcceptedSettlement Period
TABLE 63: CLS SETTLEMENT
CONTINUOUS LINKED SETTLEMENT (CLS)
Number of Participants: 30Amount in USD Million
TABLE 64: CURRENCY WISE GROSS SETTLEMENT
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Settlement Period Trades Gross Value Net Value Netting Factor (%)
2005-06 43788 67858 10143 85.05
2006-07 138797 327380 33493 89.77
2007-08 188741 681369 51428 92.45
2008-09 247571 499318 53726 89.24
2009-10 295258 391932 52239 86.67
2010-11 394315 469873 60605 87.10
2011-12 441933 647151 76881 88.12
2012-13 570308 724121 55305 92.36
2013-14 594816 629830 54870 91.29
2014-15 571559 592450 51981 91.23
2015-16 682758 585336 61339 89.52
2016-17 707297 635489 65894 89.63
2017-18 874952 846446 94993 88.78
2018-19 905686 836487 82458 90.14
2019-20 844748 776548 76735 90.12
Apr-20 19196 24189 4714 80.51
May-20 21342 22007 4194 80.94
2020-21 (Upto May 2020) 40538 46196 8908 80.72
CurrencyCurrencywise Gross
Value (In millions)MTM Rates
Gross Volume in USD
(In millions)
USDINR 390121.21 1.00000 390121.21
US DOLLAR 11811.65 1.0000 11811.65
EURO 4178.39 1.1090 4633.84
GREAT BRITAIN POUNDS 1875.87 1.2328 2312.57
JAPANESE YEN 119994.23 0.0093 1118.31
SWISS FRANC 758.48 1.0384 787.63
AUSTRALIAN DOLLAR 998.99 0.6640 663.33
CANADIAN DOLLAR 458.06 0.7260 332.53
SINGAPORE DOLLAR 239.98 0.7072 169.72
NEW ZEALAND DOLLAR 216.07 0.6204 134.05
SOUTH AFRICAN RAND 1145.35 0.0572 65.51
NORWEGIAN KRONE 363.84 0.1024 37.24
SWEDISH KRONA 230.58 0.1052 24.25
HONG KONG DOLLAR 101.36 0.1290 13.07
DANISH KRONE 15.60 0.1488 2.32
Total 412227.22
TABLE 65: TOP 5 CURRENCY PAIRS - CLS
FOREX TRADING PLATFORM: FX-CLEAR
Number of Participants: 70
TABLE 66: TRADING DETAILS Amount in USD Million
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02
0
Sr. No. Currency Pair Gross Value (USD Million) Share (%)
1 EUR/USD 9923.52 44.87
2 GBP/USD 4552.90 20.59
3 USD/JPY 2191.21 9.91
4 USD/CHF 1897.65 8.58
5 AUD/USD 1282.28 5.80
Others 2267.86 10.25
22115.42 100.00
Trades Value Trades Value
2003-04 881 646 5 4
2004-05 3329 2250 13 9
2005-06 16636 11893 67 48
2006-07 46553 33264 190 136
2007-08 73943 49139 297 197
2008-09 79125 46889 330 195
2009-10 99090 53435 415 224
2010-11 111023 58577 448 236
2011-12 124664 65197 522 273
2012-13 171398 87689 708 362
2013-14 223396 113580 919 467
2014-15 335515 188421 1416 795
2015-16 453563 246902 1882 1024
2016-17 557267 316581 2312 1314
2017-18 664286 441203 2756 1831
2018-19 544497 354278 2250 1464
2019-20 430714 267091 1780 1104
Apr-20 4417 2690 260 158
May-20 6014 3430 334 191
2020-21 (Upto May 2020) 10431 6120 298 175
PeriodSpot Daily Average
DERIVATIVES
Number of Participants:
INTERBANK INTEREST RATE DERIVATIVES
67
Amount Crore`
Amount Crore and Share in %`
TABLE : INTEREST RATE SWAP TRANSACTIONS (MATCHED)67
TABLE : INTEREST RATE SWAP (MIBOR) MARKET SHARE -68 2020MAYC
CIL
Mo
nth
ly N
ew
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r
123
statisticsstatistics
Ma
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0
Trades Value Trades Value Trades Value
4-May-20 62 4535 2 400 64 4935
5-May-20 64 8510 5 1175 69 9685
6-May-20 71 6760 5 900 76 7660
8-May-20 37 1325 5 475 42 1800
11-May-20 66 4145 2 465 68 4610
12-May-20 43 2775 4 590 47 3365
13-May-20 68 6450 6 400 74 6850
14-May-20 82 4125 18 1375 100 5500
15-May-20 37 2075 10 575 47 2650
18-May-20 103 6475 15 1150 118 7625
19-May-20 91 11250 10 1080 101 12330
20-May-20 75 5600 8 985 83 6585
21-May-20 91 6200 7 1430 98 7630
22-May-20 132 7230 2 365 134 7595
26-May-20 70 4325 8 2125 78 6450
27-May-20 50 4020 3 325 53 4345
28-May-20 83 4740 4 405 87 5145
29-May-20 102 4785 4 465 106 5250
Total 1327 95325 118 14685 1445 110010
Average 74 5296 7 816 80 6112
DateMIBOR MIFOR Total
DealsMarketShare
NotionalAmount
MarketShare
DealsMarketShare
NotionalAmount
MarketShare
DealsMarketShare
NotionalAmount
MarketShare
Foreign Banks 579 43.63 46055 48.31 666 50.19 45680 47.92 1245 46.91 91735 48.12
Nationalized Banks 62 4.67 1950 2.05 11 0.83 280 0.29 73 2.75 2230 1.17
Primary Dealers 325 24.49 20710 21.73 340 25.62 26965 28.29 665 25.06 47675 25.01
Private Banks 361 27.20 26610 27.92 310 23.36 22400 23.50 671 25.28 49010 25.71
Total 1327 100.00 95325 100.00 1327 100.00 95325 100.00 2654 100.00 190650 100.00
Category
Buy Sell Total
TABLE 70: TOP ‘N’ MARKET SHARE - IRS
TABLE 71: IRS TRADE SUMMARY (MATCHED) Amount Crore`
Percent
TABLE : INTEREST RATE SWAP (MIFOR) MARKET SHARE -69 MAY 2020
Amount Crore and Share in %`
MIBOR MIFOR
Top 1 17.76 17.89
Top 5 60.49 61.68
Top 10 83.24 89.98
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DealsMarketShare
NotionalAmount
MarketShare
DealsMarketShare
NotionalAmount
MarketShare
DealsMarketShare
NotionalAmount
MarketShare
Foreign Banks 108 91.53 13800 93.97 70 59.32 9645 65.68 178 75.42 23445 79.83
Nationalized Banks 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Primary Dealers 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00
Private Banks 10 8.47 885 6.03 48 40.68 5040 34.32 58 24.58 5925 20.17
Total 118 100.00 14685 100.00 118 100.00 14685 100.00 236 100.00 29370 100.00
Category
Buy Sell Total
Trades Value Trades Value
2007-08 79495 4728077 18139 647609
2008-09 40912 2644846 4799 223663
2009-10 20352 1452058 1050 53867
2010-11 33057 2359722 1291 74911
2011-12 33642 2451048 2101 109973
2012-13 22713 2021607 1252 75435
2013-14 25514 2296732 1437 79780
2014-15 21153 2029225 1932 119779
2015-16 20746 2132920 1372 99340
2016-17 21036 1923460 2120 125436
2017-18 41494 3380770 2107 111195
2018-19 69952 5861645 2773 170933
2019-20 48738 3918110 4033 288587
Apr-20 1314 122675 87 10595
May-20 1327 95325 118 14685
2020-21 (Upto May 2020) 2641 218000 205 25280
MIBOR MIFORPeriod
Number of Participants: 44
TABLE 72: OUTSTANDING POSITION IN IRS TRANSACTIONS Amount Crore`
TABLE 73: NETTING FACTOR - IRS NON-GUARANTEED SETTLEMENT Amount Crore`
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0
TradesNotional
SumTrades
NotionalSum
TradesNotional
SumTrades
NotionalSum
2007-08 61665 3655595 16528 611566 368 13690 78561 4280852
2008-09 23732 1394018 11803 468045 461 18715 35996 1880778
2009-10 29853 1748787 8201 326852 450 20385 38504 2096024
2010-11 43197 2645709 6357 270080 542 26910 50096 2942699
2011-12 27613 1975121 6402 296491 520 25910 34535 2297521
2012-13 20958 1554242 6017 294937 489 24845 27464 1874024
2013-14 17782 1447259 5566 276349 445 22420 23793 1746028
2014-15 17279 1495595 6222 326724 387 19320 23888 1841640
2015-16 16858 1368453 6171 349766 272 13585 23301 1731804
2016-17 19901 1417357 6452 368613 161 8460 26514 1794430
2017-18 35414 2521244 7098 390259 138 7135 42650 2918638
2018-19 47343 3169566 8139 461281 77 4635 55559 3635482
2019-20 54603 3134039 10637 657371 47 2560 65287 3793970
2020-21 (UptoMay 2020)
53424 2866359 10526 665906 39 2060 63989 3534325
Period
MIBOR MIFOR INBMK Total
Settlement Period Gross Amount Net Amount Netting %
2009-10 13827 3688 73.33
2010-11 22794 5250 76.97
2011-12 28328 7735 72.69
2012-13 23797 6732 71.71
2013-14 19667 6947 64.67
2014-15 16361 6073 62.88
2015-16 7374 2442 66.89
2016-17 5682 2110 62.87
2017-18 5440 1905 64.99
2018-19 4602 1655 64.04
2019-20 6866 2617 61.89
Apr-20 761 224 70.51
May-20 990 357 63.93
2020-21 (Upto May 2020) 1751 582 66.79
TABLE 74: GUARANTEED SETTLEMENT - IRS Amount Crore`
TABLE 75: GUARANTEED SETTLEMENT - IRS - SUMMARY STATISTICS (MIBOR) Amount Crore`
GUARANTEED SETTLEMENT -
Number of Participants:
INTERBANK IRS DERIVATIVES (MIBOR)
40
The data includes trades accepted for guaranteed settlement on a given trade date (both trades dealt on ASTROID and bilaterally).
CC
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Trade Date Trades Value
04-May-20 39 2400
05-May-20 53 7655
06-May-20 51 2655
08-May-20 31 1200
11-May-20 51 3295
12-May-20 27 1875
13-May-20 39 2650
14-May-20 52 2600
15-May-20 29 1725
18-May-20 73 5600
19-May-20 67 8925
20-May-20 65 5240
21-May-20 64 3120
22-May-20 87 3605
26-May-20 57 3450
27-May-20 41 2400
28-May-20 78 3650
29-May-20 74 3710
Total 978 65755
Month Trades Value Avg. Trades Avg. Value
2017-18 30346 2420315 126 10043
2018-19 56218 4659605 232 19255
2019-20 34690 2761500 143 11411
Apr-20 902 85325 53 5019
May-20 978 65755 54 3653
2020-21 (Upto May 2020) 1880 151080 54 4317
TABLE : TRADED VOLUME FOR OTC INTERBANK FCY - INR FORWARDS FOR THE MONTH OF76 MAY 2020
FOREX DERIVATIVES
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase Currency
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TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(USD in
Mio)
04-May-20 146 3,312.63
05-May-20 152 2,736.47
06-May-20 209 4,364.26 1 225.00
08-May-20 211 5,811.20 5 0.91 5 0.58
11-May-20 191 3,989.55 1 200.00 0 -
12-May-20 146 2,511.30 1 0.06
13-May-20 187 3,305.27 1 100.00 3 0.32 1 0.25
14-May-20 155 2,909.09
15-May-20 120 2,238.14
18-May-20 110 3,063.03 1 0.10
19-May-20 183 4,799.04 1 0.10
20-May-20 190 4,228.11 1 275.00 1 0.05 6 0.24
21-May-20 153 3,245.23
22-May-20 259 6,045.78 5 0.66 1 0.03
26-May-20 200 4,241.81 1 275.00
27-May-20 242 6,809.47 2 575.00
28-May-20 203 3,815.86 3 0.38
29-May-20 194 5,203.72 2 0.12 2 0.07
Total 3251 72629.96 7 1650.00 21 2.66 10 0.97 6 0.24 0 0.00
OTHERS *
Date
USD / INR EUR / INR GBP / INR AUD / INRJPY / INR
TABLE 7 : TRADED VOLUME FOR OTC INTERBANK FCY - INR OPTIONS FOR THE MONTH OF7 MAY 2020
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes in Base Currency
TABLE 7 : TRADED PRINCIPAL AMOUNT FOR OTC INTERBANK FCY -INR CROSS CURRENCY SWAPS FOR THE MONTH OF
8MAY 2020
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes in Base CurrencyC
CIL
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TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(USD in
Mio)
04-May-20 7 141.27
05-May-20 9 104.00
06-May-20 4 110.20
08-May-20 1 10.00
11-May-20 8 55.00
12-May-20 2 20.00
13-May-20 8 140.00
14-May-20 12 130.00
15-May-20 28 435.30
18-May-20 11 100.59
19-May-20 8 83.70
20-May-20 2 10.00
21-May-20 21 96.87
22-May-20 24 221.00
26-May-20 3 28.00
27-May-20 4 48.20
28-May-20 7 77.80
29-May-20 18 146.60
Total 177 1958.53
Date
OTHERS *USD / INR
Trades
Amountsin Mio,
BaseCurrency
Trades
Amountsin Mio,
BaseCurrency
Trades
Amountsin Mio,
BaseCurrency
Trades
Amountsin Mio,
BaseCurrency
Trades
Amountsin Mio,
BaseCurrency
TradesAmountsin Mio,
USD
04-May-20 1 1.01
08-May-20 1 1.06
19-May-20 1 25.00
20-May-20 2 13.70
28-May-20 3 60.00
Total 8 100.77
OTHERS *
Date
USD / INR
TABLE : TRADED VOLUME FOR OTC INTERBANK FCY - FCY FORWARDS FOR THE MONTH OF79 MAY 2020
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase Currency
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TradesVolume
(inMillion)
TradesVolume
(inMillion)
TradesVolume
(inMillion)
TradesVolume
(inMillion)
TradesVolume
(inMillion)
TradesVolume(USD inMillion)
01-May-20 - 3 1.54
04-May-20 117 254.87 37 79.99 14 51.71 20 111.02 5 5.00 74 276.43
05-May-20 149 275.86 35 53.91 6 17.10 34 156.52 1 2.83 43 37.60
06-May-20 142 165.11 34 93.18 32 60.69 41 181.81 4 5.60 88 113.99
07-May-20 6 80.68 5 125.91 1 12.00 2 9.56
08-May-20 113 172.59 23 70.80 17 59.09 20 51.62 5 16.16 54 715.10
11-May-20 114 296.03 33 107.89 11 9.69 25 120.07 9 47.75 58 120.67
12-May-20 136 254.20 32 58.20 15 273.69 22 69.59 15 83.53 33 90.38
13-May-20 75 103.19 34 164.31 15 9.13 52 210.17 21 126.67 75 90.43
14-May-20 108 439.80 38 83.87 15 54.12 28 152.50 17 91.05 73 178.54
15-May-20 101 76.76 21 33.51 11 21.85 45 148.94 23 112.20 60 137.10
18-May-20 109 1,016.24 28 56.66 26 817.97 33 120.43 33 158.31 109 653.94
19-May-20 122 252.60 49 62.51 11 37.36 23 42.24 34 158.03 69 151.97
20-May-20 184 282.74 22 69.96 25 83.96 28 188.48 9 34.98 127 375.96
21-May-20 150 456.71 28 59.53 15 47.13 30 60.09 9 103.54 107 161.74
22-May-20 311 968.59 44 224.11 38 105.78 32 98.22 10 14.13 101 360.03
25-May-20 1 6.70
26-May-20 179 714.38 71 243.60 36 177.93 53 290.23 18 81.08 151 473.32
27-May-20 285 576.34 70 273.65 40 156.85 85 459.68 44 196.35 205 369.52
28-May-20 244 381.65 54 130.60 33 341.61 78 730.73 45 270.97 168 277.29
29-May-20 302 352.97 60 185.46 33 123.25 39 294.05 14 43.60 92 173.30
Total 2947 7121.3 718 2177.64 393.00 2448.91 690.00 3505.11 316.00 1551.79 1692.00 4768.43
OTHERS *
Date
USD / SGDEUR / USD GBP / USD USD / JPY AUD / USD
---------
- -
------ -- - -
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase Currency
TABLE TRADED VOLUME FOR OTC INTERBANK FCY - FCY OPTIONS FOR THE MONTH O80: F MAY 2020
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes in Base Currency
TABLE : TRADED PRINCIPAL AMOUNT FOR OTC INTERBANK FCY - FCYCROSS CURRENCY SWAPS FOR THE MONTH OF
81MAY 2020
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TradesVolume
(inMillion)
TradesVolume
(inMillion)
TradesVolume
(inMillion)
TradesVolume
(inMillion)
TradesVolume
(inMillion)
TradesVolume(USD inMillion)
4-May-20 2 205.49
11-May-20 2 234.12
Total 4 439.61
Others *
Date
USD-CAD
TradesVolume
(inMillion)
TradesVolume
(inMillion)
TradesVolume
(inMillion)
TradesVolume
(inMillion)
TradesVolume
(inMillion)
TradesVolume(USD inMillion)
04-May-20 3 52.50 4 50.00
13-May-20 7 46.00 6 36.00
14-May-20 2 5.00
18-May-20 1 10.00
19-May-20 3 30.00 1 10.00
21-May-20 3 30.00 6 114.00
22-May-20 3 30.00
26-May-20 3 90.00 3 60.00
27-May-20 3 14.00 1 5.00
28-May-20 3 30.00
29-May-20 13 59.82
Total 38 329.82 13 236.50 8 70.00 6 36.00
OTHERS *
Date
EUR / USD AUD / USD GBP / USD USD / JPY
-- - -
--
--
- -
- -
- - - -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
- -
TABLE : TRADED NOTIONAL PRINCIPAL FOR OTC INTERBANK FCY - IRS FOR THE MONTH OF82 MAY 2020
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase CurrencyMost of the FCY/IRS trades are with overseas counterparties and hence the reporting is single sided by the domestic counterparty.CCIL shall not be liable for errors committed by the reporting party in the absence of matching of primary economic parameters.
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Trades
Notional inMillion,
BaseCurrency
Trades
Notional inMillion,
BaseCurrency
Trades
Notional inMillion,
BaseCurrency
Trades
Notional inMillion,
BaseCurrency
Trades
Notional inMillion,
BaseCurrency
Trades
Notionalin
Million,USD
01-May-20 1 25.00
04-May-20 3 679.98
05-May-20 2 34.98
06-May-20 9 445.00
07-May-20 4 59.40
08-May-20 1 25.00
11-May-20 2 100.00
12-May-20 7 2,205.08 2 10.00
13-May-20 37 3,040.90
14-May-20 16 827.71 1 6.55
15-May-20 12 390.35
18-May-20 9 161.61
19-May-20 3 80.00
20-May-20 25 479.19
21-May-20 10 399.57
22-May-20 20 911.83
26-May-20 4 179.79
27-May-20 7 442.36
28-May-20 7 261.20 1 2.50
29-May-20 2 51.62
Total 181 10800.57 2 9.05 2 10.00
Date
USD EUR SGD OTHERS *
- - - -
- - - -
- - - -
- - - -
- - - -
- - - -
- - - -
- -
- -
- - - -
- - - -
- - - -
- - - -
- - - -
- - - -
- - - -
- - - -
- - - -
- -
- - - -
TABLE : OUTSTANDING PRINCIPAL AMOUNT FOR OTC INTERBANK FCY - INRCROSS CURRENCY SWAPS AS AT END
85MAY 2020
TABLE : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - INR FORWARDS AS AT END83 MAY 2020
TABLE : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - INR OPTIONS AS AT END84 MAY 2020
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currencies, in terms of Outstanding Notional Principal, represented with respect to volumes in Base Currency.
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currencies, in terms of Outstanding Notional Principal, represented with respect to volumes in Base Currency.
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currencies, in terms of Outstanding Notional Principal, represented with respect to volumes in Base Currency.
TABLE : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - FCY OPTIONS AS AT END87 MAY 2020
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currencies, in terms of Outstanding Notional Principal, represented with respect to volumes in Base Currency.
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currencies, in terms of Outstanding Notional Principal, represented with respect to volumes in Base Currency.
TABLE 8 : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - FCY FORWARDS AS AT END6 MAY 2020
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TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(USD in
Mio)
May-20 35956 399,359.07 449 56,477.97 455 182.40 195 67.45 2 78.57 99 8.33
OTHERS *GBP / INR CAD / INREUR / INR
Month
USD / INR JPY / INR
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(USD in
Mio)
May-20 2623 20,298.21 11 36,742.59 98 200.98 8 31.69
OTHERS *EUR / INR GBP / INR
Month
USD / INR JPY / INR
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(USD in
Mio)
May-20 1301 24,835.16 33 101,406.18 134 721.00 9 431.73 1 7.53 1 2.64
Month
OTHERS *USD-INR JPY-INR EUR-INR SGD-INR GBP-INR
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(USD in
Mio)
May-20 15816 18,588.67 5814 9,964.46 2752 8,327.56 762 3,380.54 1675 4,185.16 3541 7,765.35
Month
OTHERS *AUD/USDUSD / JPY USD / CHFEUR / USD GBP / USD
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(USD in
Mio)
May-20 359 1,833.64 102 1,485.40 72 643.56 29 513.50
OTHERS *
Month
EUR / USD GBP / USD USD / JPY AUD / USD
TABLE : OUTSTANDING NOTIONAL PRINCIPAL FOR OTC INTERBANK FCY - IRS AS AT END OF89 MAY 2020
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase Currency for each instrumentMost of the FCY/IRS trades are with overseas counterparties and hence the reporting is single sided by the domestic counterparty.CCIL shall not be liable for errors committed by the reporting party in the absence of matching of primary economic parameters.
TABLE 8 : OUTSTANDING PRINCIPAL AMOUNT FOR OTC INTERBANK FCY -FCY CROSS CURRENCY SWAPS AS AT END
8MAY 2020
* OTHERS includes all the other currency pairs wherein base amount is depicted in USD equivalentTop 5 Currency pairs, in terms of average daily volumes traded during the month, represented with respect to volumes inBase Currency
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Trades
Amountsin Mio,
BaseCurrency
Trades
Amountsin Mio,
BaseCurrency
Trades
Amounts inMio,Base
Currency
Trades
Amountsin Mio,
BaseCurrency
Trades
Amounts inMio,Base
Currency
TradesAmountsin Mio,
USD
May-20 9231 223679.50 132 348883.62 296 2734.38 198 924.06 3 57.50 80 69.61
OTHERS *USD JPY SGDGBPEUR
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesVolume(in Mio)
TradesAmounts inMio, USD
May-20 184 5,658.64 371 4,631.99 68 1,520.94 25 1,389.63 41 343.18 17 603.00
OTHERS *
Month
USD-JPY EUR-USD USD-SGD AUD-USD GBP-USD
Month
HIGHLIGHTS
• Zero coupon yields as on May 29, 2020 have
moved to lower levels across the curve as
compared to the yields prevailing a year back. The
downward shift is more pronounced in the short
end of the curve. In the last one month also, yields
have moved to significantly lower levels across the
curve
INTEREST RATE MOVEMENT
Chart 2: Sovereign Yield Curve
Chart 1: Zero Coupon Yield Curve
May 29, 2020 April 30, 2020 May 31, 2019
Sovereign Yield Curve
May 29, 2020 April 30, 2020 May 31, 2019
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Tenor (In years)
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
1 6 11 16 21 26 31 36 41
Zer
o C
oup
onR
ate
(%)
3.00
3.50
4.00
4.50
5.00
5.50
6.00
6.50
7.00
7.50
8.00
1M 0.25 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 30.5 31.5 32.5 33.5 34.5 35.5 36.5 37.5 38.5 39.5
(%)
Tenor
TABLE 90: SPREAD ANALYSIS - SDL
Note: Spread has been calculated on the basis of deals settled through CCIL taking into account only outright deals of 5 Crore andabove. The methodology andother information on the spread can be requested from Economic Research Department, CCIL
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State TradesTraded Value
( Crore)`Average Spread (bps)
ANDHRA PRADESH 119 1978 50
ARUNACHAL PRADESH 2 25 55
ASSAM 11 155 40
BIHAR 22 235 44
CHHATTISGARH 24 631 44
GOA 1 5 36
GUJARAT 233 2869 48
HARYANA 91 1534 59
HIMACHAL PRADESH 4 133 40
JAMMU & KASHMIR 11 305 38
JHARKHAND 62 657 47
KARNATAKA 181 2714 46
KERALA 141 1848 41
MADHYA PRADESH 49 647 52
MAHARASHTRA 411 5570 44
MEGHALAYA 1 5 60
ODISHA 23 805 43
PUNJAB 38 335 36
RAJASTHAN 142 2777 38
SIKKIM 2 10 37
TAMIL NADU 297 4601 34
TELANGANA 67 670 36
UTTAR PRADESH 111 1545 45
UTTARAKHAND 7 60 41
WEST BENGAL 161 1378 49
Total 2211 31492 44
TA
BL
E 9
1: Y
IEL
D M
OV
EM
EN
TP
erce
nt
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136
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02
0
May
29,
2020
Apr
il 30
,20
20M
arch
31,
2020
Feb
ruar
y28
, 202
0Ja
nuar
y31
, 202
0D
ecem
ber
31, 2
019
Nov
embe
r29
, 201
9O
ctob
er31
, 201
9Se
ptem
ber
30, 2
019
Aug
ust
30, 2
019
July
31,
2019
June
28,
2019
May
31,
2019
Mnt
h to
Mnt
hY
ear
onY
ear
2020
--
--
-5.
5902
5.39
635.
4750
5.67
695.
7809
5.99
176.
2721
6.38
33
2021
3.74
683.
9232
5.02
835.
3709
5.53
065.
5570
5.53
925.
4925
5.75
125.
7826
6.01
666.
2929
6.42
28-1
8-2
68
2022
4.39
554.
4651
5.15
515.
6041
6.09
456.
2487
5.86
155.
9368
5.98
386.
0823
6.21
216.
5847
6.68
01-7
-228
2023
4.96
974.
7107
5.60
065.
6729
6.20
096.
3464
6.01
736.
0448
6.70
776.
1465
6.25
416.
6545
6.74
2026
-177
2024
5.08
765.
2151
5.57
425.
8743
6.34
866.
4591
6.18
836.
2287
6.36
836.
2682
6.30
246.
7674
6.84
92-1
3-1
76
2025
5.41
955.
7426
6.16
416.
2098
6.58
366.
6920
6.46
566.
5028
7.10
646.
5204
6.58
146.
9146
7.03
23-3
2-1
61
2026
5.65
355.
8004
6.28
996.
2608
6.59
976.
6407
6.45
266.
4686
6.70
726.
4400
6.52
866.
9138
7.00
97-1
5-1
36
2027
5.91
266.
1556
6.49
356.
4756
6.82
286.
8876
6.74
106.
8119
6.89
266.
6459
6.71
867.
0305
7.19
05-2
4-1
28
2028
6.04
606.
3089
6.51
216.
5512
6.81
936.
8675
6.73
316.
7515
6.82
666.
6742
6.62
457.
0109
7.19
46-2
6-1
15
2029
5.99
526.
1214
6.10
776.
3790
6.58
816.
5491
6.63
196.
6586
6.70
116.
5688
6.36
876.
8814
7.05
51-1
3-1
06
2030
5.76
286.
4818
6.65
686.
6310
6.95
136.
9026
6.95
496.
9670
6.97
046.
8188
6.78
457.
0262
7.26
83-7
2-1
51
2031
6.17
236.
4822
6.55
376.
6679
6.91
936.
9278
6.91
566.
9167
6.93
266.
8334
6.76
837.
0397
7.25
96-3
1-1
09
2032
6.33
096.
6680
6.74
986.
7799
7.08
937.
0374
7.06
597.
0619
7.06
016.
9030
6.78
307.
0458
7.29
62-3
4-9
7
2033
6.27
616.
5337
6.69
096.
7056
7.01
466.
9871
7.01
406.
9990
7.01
316.
9089
6.77
927.
0236
7.25
28-2
6-9
8
2034
6.40
556.
6202
6.76
386.
8087
7.10
147.
0206
7.07
947.
0101
7.06
586.
9134
6.82
537.
0771
7.30
27-2
1-9
0
2035
6.40
306.
6583
6.73
616.
7995
7.09
187.
0425
7.09
327.
0898
7.08
106.
9288
6.83
107.
0709
7.30
53-2
6-9
0
2036
6.51
956.
6903
6.85
936.
8559
7.12
007.
0563
7.09
747.
1435
7.20
066.
9399
6.83
867.
1346
7.33
70-1
7-8
2
2039
6.45
226.
6889
6.70
906.
8231
7.09
437.
1035
7.12
327.
0733
7.11
946.
9916
6.85
427.
0388
7.31
66-2
4-8
6
2040
6.63
616.
7228
6.84
076.
8258
7.12
117.
1111
7.18
137.
1918
7.24
156.
8977
6.85
127.
0892
7.35
77-9
-72
2041
6.65
656.
7465
6.88
656.
8275
7.15
787.
1650
7.20
597.
0958
7.24
917.
0441
6.85
047.
0936
7.45
66-9
-80
2042
6.66
796.
7640
6.79
006.
8289
7.21
007.
1558
7.17
407.
2148
7.16
357.
0352
6.84
007.
0958
7.37
41-1
0-7
1
2043
6.69
756.
7718
6.77
376.
9342
7.10
607.
1236
7.15
427.
1085
7.17
097.
0581
6.69
347.
0970
7.40
00-7
-70
2044
6.68
706.
7616
6.76
886.
8412
7.16
007.
1324
7.17
007.
1184
7.23
226.
9254
6.86
627.
1077
7.35
46-7
-67
2045
6.66
666.
7893
6.76
666.
8184
7.15
557.
1212
7.17
007.
1217
7.27
097.
0146
6.85
277.
0969
7.35
83-1
2-6
9
2046
6.59
226.
8063
6.76
066.
7960
7.07
147.
0888
7.08
827.
0863
7.15
237.
0115
6.84
757.
0948
7.34
93-2
1-7
6
2049
6.63
286.
8501
6.74
836.
8037
7.08
557.
1105
7.18
137.
1666
7.19
867.
0336
6.83
527.
0872
7.30
00-2
2-
2050
6.58
266.
9229
--
--
--
--
--
--
-
2051
6.48
966.
6213
6.63
436.
7237
7.19
767.
2195
7.18
617.
1346
7.14
026.
9005
6.75
677.
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--
--
--
--
--
--
-
Cha
nge
in Y
TM
(bps
)Y
ear
YT
M
CORPORATE BONDSPRIMARY ISSUANCE ANALYSIS
TABLE 92: ANALYSIS OF CORPORATE BOND ISSUANCE
TABLE 93: TOP 5 ISSUANCES
TABLE 95: CATEGORY ANALYSIS
TABLE 94: SECTOR ANALYSIS
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Type Sector No. Amount ( Cr.)` Avg. Tenor Max. Tenor Min Tenor
PSU Finance 2 2763.00 3.97 4.94 3.00
PVT Finance 30 9535.00 3.28 10.00 0.96
PVT Infrastructure 15 2546.13 7.20 24.99 0.25
PVT Manufacturing 9 3436.00 4.22 7.17 2.99
PVT Others 6 1115.00 6.70 14.93 1.04
Company No.Amount( Cr.)`
Avg.Tenor
Max.Tenor
MinTenor
% Share
NATIONAL HOUSING BANK 1 2263.00 3.00 3.00 3.00 11.67
AXIS FINANCE LIMITED 1 1300.00 3.00 3.00 3.00 6.70
INDIABULLS HOUSING FINANCE LIMITED 1 1030.00 3.00 3.00 3.00 5.31
FULLERTON INDIA CREDIT COMPANY LIMITED 1 1000.00 2.99 2.99 2.99 5.16
TATA MOTORS LIMITED 1 1000.00 3.00 3.00 3.00 5.16
Sector No. Amount ( Cr.)` Avg. Tenor Max. Tenor Min Tenor
Finance 32 12298.00 3.32 10.00 0.96
Infrastructure 15 2546.13 7.20 24.99 0.25
Manufacturing 9 3436.00 4.22 7.17 2.99
Others 6 1115.00 6.70 14.93 1.04
Type No. Amount ( Cr.)` Avg. Tenor Max. Tenor Min Tenor
PSU 2 2763.00 3.97 4.94 3.00
PVT 60 16632.13 4.74 24.99 0.25
VARIABLE/ZERO COUPON BONDS
TABLE 9 :6 TENORWISE ISSUANCE ANALYSIS
Source: FIMMDA
TABLE 97: PRIMARY MARKET CATEGORY ANALYSIS - HISTORICAL Amount ( Cr)`
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Tenor Buckets No. Amount ( Cr.)`
<=1 year 1 200
> 1 year -<=2 years 3 1470
> 2 years -<=5 years 44 16879
>5 years -<=10 years 7 423
>10 years-<=15 years 2 45
>15 years 5 378
Finance Infrastructure Manufacturing Oil Others Total
2017-18 252217 207711 21996 2284 48847 533055
2018-19 234753 153080 14951 1164 38081 442029
2019-20 110633 96004 5585 433 21937 234593
Apr-20 11855 7802 2500 - 586 22742
May-20 12298 2546 3436 - 1115 19395
2020-21 (Upto May 2020) 24153 10348 5936 0 1701 42138
YearCategories
Amount ( Cr)`TABLE 98: RATING ANALYSIS - HISTORICAL
AAA AA A A1 BBB BB B C NA
2017-18 257033 105780 19643 - 5527 2341 773 28 141931
2018-19 247660 92257 10190 800 6586 2049 200 150 82138
2019-20 102100 51454 12026 0 4048 831 477 0 63657
Apr-20 15330 3645 107 - 28 180 - - 3452
May-20 8758 8605 795 - 5 - - - 1232
2020-21 (UptoMay 2020) 24088 12250 902 - 33 180 - - 4684
YearRatings
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SECONDARY MARKET ANALYSIS
Amount Crore`TABLE 99: CORPORATE BONDS TRADING DETAILS
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TABLE 100: HISTORICAL SUMMARY Amount Crore`
Since April 1, 2014 all Corporate Bond deals are being reported only on the exchanges
Date Trades Value
4-May-20 179 5153
5-May-20 232 6188
6-May-20 212 6068
8-May-20 260 9005
11-May-20 268 10589
12-May-20 265 11755
13-May-20 259 10136
14-May-20 191 19243
15-May-20 167 5067
18-May-20 220 6733
19-May-20 186 6525
20-May-20 178 10443
21-May-20 230 7546
22-May-20 251 12439
26-May-20 197 5690
27-May-20 214 8702
28-May-20 245 9567
29-May-20 203 6878
Total 3957 157728
Average 220 8763
Period
Trades Value Trades Value
2008-09 - 86327 - 367
2009-10 - 209163 - 879
2010-11 12219 190001 49 769
2011-12 18313 240106 77 1009
2012-13 29583 292918 123 1215
2013-14 69518 972156 287 4017
2014-15 72364 1013504 305 4276
2015-16 63701 905333 264 3757
2016-17 72416 1124988 300 4668
2017-18 50631 1350033 210 5602
2018-19 37813 1090407 156 4506
2019-20 43619 1555518 180 6401
Apr-20 3562 165679 210 9746
May-20 3957 157728 220 8763
2020-21 (Upto May 2020) 7519 323407 215 9240
AverageTotal
TABLE 101: CATEGORYWISE TRADING ANALYSIS
TABLE 102: RATING ANALYSIS
TABLE 103: CATEGORY ANALYSIS
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CATEGORY Rating Trades Value ( Crore)` Avg. Tenor Avg. Spread (bps)
FINANCE AAA 1690 63906 4.25 177
FINANCE AA 227 5571 9.29 498
FINANCE A 63 1575 4.06 640
FINANCE BBB 2 52 1.06 1586
FINANCE NA 246 9047 5.01 228
INFRASTRUCTURE AAA 858 33697 5.24 152
INFRASTRUCTURE AA 58 2709 2.76 454
INFRASTRUCTURE A 8 388 2.92 814
INFRASTRUCTURE BBB 10 751 8.87 1751
INFRASTRUCTURE NA 177 7262 5.67 306
MANUFACTURING AAA 150 16002 2.70 220
MANUFACTURING AA 48 1518 5.84 405
MANUFACTURING NA 9 678 2.60 308
OIL AAA 52 2068 3.84 102
OIL NA 27 3931 4.20 152
OTHERS AAA 61 3058 4.66 158
OTHERS AA 9 243 2.23 414
OTHERS BB 1 7 1.33 1333
OTHERS NA 33 1136 2.82 622
Rating Trades Value ( Crore)` Avg. Tenor Avg. Spread (bps)
AAA 2,811 118731 4.49 169
AA 342 10040 7.49 474
A 71 1963 3.89 665
BBB 12 802 6.64 1704
BB 1 7 1.33 1333
NA 492 22054 4.92 293
Category Trades Value ( Crore)` Avg. Tenor Avg. Spread (bps)
FINANCE 2,228 80151 4.96 496
INFRASTRUCTURE 1,111 44806 5.15 515
MANUFACTURING 207 18197 3.79 379
OIL 79 5999 3.91 391
OTHERS 104 4444 3.77 377
TABLE 104: BOND TYPE ANALYSIS
TABLE 105: AAA SPREAD ANALYSIS
TABLE :106 CATEGORY ANALYSIS - HISTORICAL Amount Crore`
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Maturity Buckets Average Spread (bps)
<=1 year 193
> 1 year -<=2 years 245
> 2 years -<=3 years 189
>3 years -<=5 years 184
>5 years-<=7 years 134
> 7 years 94
Type of Bond Trades Value ( Crore)` Avg. Tenor Avg. Spread (bps)
FIXED 3,613 149068 5.04 229
ZERO COUPON 60 2277 1.34 367
Floating - - - -
NA 56 2253 2.67 588
Finance Infrastructure Manufacturing Oil Others Total
2008-09 102644 17543 7468 4952 13222 145828
2009-10 232669 50546 25739 18186 75017 402157
2010-11 394887 75663 26536 16916 84602 598604
2011-12 344743 99947 8781 13948 124560 591979
2012-13 334871 131421 38073 7613 224370 736348
2013-14 580267 188209 42594 17945 143141 972156
2014-15 536550 248001 41028 15605 172320 1013504
2015-16 548616 259910 41691 4182 50933 905333
2016-17 719406 255995 39124 7515 102948 1124988
2017-18 916753 273880 76597 3144 79660 1350033
2018-19 729650 209064 60659 4806 86228 1090407
2019-20 910018 382241 57756 43268 162234 1555518
Apr-20 107214 31328 9338 2861 14938 165679
May-20 80151 44806 18197 5999 8574 157728
2020-21 (Upto May 2020) 187365 76134 27535 8860 23512 323407
YearCategories
TABLE :107 RATING ANALYSIS - HISTORICAL Amount Crore`
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AAA AA A1 A2 A BBB BB B C D P1 NA
2008-09 107549 13465 - - 2463 70 - - - - 9 22273
2009-10 294268 36550 5 - 12034 15 16 - - - 25 59244
2010-11 379542 107514 139 - 8068 260 38 216 - - 8510 94317
2011-12 410152 44643 1637 - 3814 451 64 - - - - 131217
2012-13 410581 80864 5736 - 7859 564 2966 124 - - 201 227453
2013-14 696917 130830 3273 - 20241 2994 186 2 - - 50 117664
2014-15 716087 129597 3555 600 35012 1389 3746 108 48 - - 123362
2015-16 576773 151808 1835 - 33276 1856 942 174 - - - 138669
2016-17 578952 123929 1034 - 18746 1096 384 135 - - - 400712
2017-18 833499 222659 7178 295 30716 4300 896 430 - - - 250058
2018-19 820650 172568 711.5 0 28459 2199 1513 301 281 17 0 63707
2019-20 927674 111075 0 0 10927 2028 1378 144 14 81 0 502198
Apr-20 99363 21196 - - 3473 125 - - - - - 41522
May-20 118731 10040 - - 1963 802 7 - - - - 26184
2020-21 (UptoMay 2020)
218094 31237 - - 5436 927 7 - - - - 67706
YearRatings
TABLE : SPREAD ANALYSIS108 - HISTORICAL (AVERAGE) basis points
AAA AA A1 A2 A BBB BB B C D P1 NA
2011-12 119 189 248 - 202 185 227 - - - - 205
2012-13 98 161 231 - 220 308 262 182 - - 193 181
2013-14 85 140 275 - 163 291 254 - - - 189 176
2014-15 46 123 179 141 149 351 83 138 566 - - 148
2015-16 62 164 205 - 237 593 710 281 - - - 167
2016-17 73 221 240 - 343 720 1042 1699 - - - 170
2017-18 74 171 177 825 352 500 957 1052 - - - 135
2018-19 105 183 199 - 232 460 602 885 687 656 - 256
2019-20 114 282 - - 391 1135 659 1185 781 807 - 220
Apr-20 243 236 - - 217 198 - - - - - 229
May-20 169 474 - - 665 1704 1333 - - - - 293
2020-21 (UptoMay 2020)
201 341 - - 476 1516 1333 - - - - 251
YearRatings
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CERTIFICATES OF DEPOSIT AND COMMERCIAL PAPERS ANDREPO IN CORPORATE BONDS, CP, CD
TABLE 1 :10 CPs, CDs and Repo in Corporate Bonds, CPs and CDs -TRADING DETAILS Amount Crore`
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Trades Value Trades Value Trades Value
4-May-20 28 4663 29 3810 6 1555
5-May-20 42 2900 30 2756 5 1280
6-May-20 32 1735 37 2201 5 1280
8-May-20 15 702 19 1960 6 1480
11-May-20 8 255 15 632 8 1505
12-May-20 13 425 14 1329 6 1305
13-May-20 24 1315 9 600 6 1305
14-May-20 12 735 18 685 6 1305
15-May-20 16 670 17 945 6 1305
18-May-20 9 440 7 1165 6 780
19-May-20 7 450 25 1429 7 1280
20-May-20 9 905 13 893 5 525
21-May-20 9 820 21 2115 5 525
22-May-20 21 1542 14 1580 5 525
26-May-20 8 745 15 1620 9 2130
27-May-20 24 1612 15 837 8 1355
28-May-20 7 350 14 1175 7 1255
29-May-20 48 3724 27 1619 7 1255
Total 332 23988 339 27350 113 21950
Average 18 1333 19 1519 6 1219
DateCDs CPs Total
TABLE 111: HISTORICAL SUMMARY - CDs, CPs and REPO IN CORPORATE BOND, CPs and CDs Amount Crore`
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TABLE 112: CERTIFICATE OF DEPOSIT - TENORWISE TRADING ANALYSIS
Residual Maturity (Months) Trades Traded Amount ( Crore)` WAY (%)
1 97 11441 3.7577
2 45 2648 3.7752
3 52 3242 3.7031
4 14 810 4.0555
5 6 305 4.5422
6 4 375 4.1999
7 8 370 4.6817
8 23 795 4.1372
9 34 1694 4.4929
10 23 1061 5.0343
11 8 357 4.8992
12 18 890 4.2456
Total 332 23988 3.9495
Trades ValueAverage
ValueWeighted avg
yield (%)Trades Value
AverageValue
Trades ValueAverage
Value
2012-13 39624 1833097 13283 8.8774 10831 586796 4252 33 723 5
2013-14 34228 1698860 7020 8.9368 9223 553702 2288 25 1962 8
2014-15 28958 1560787 6586 8.5662 11687 741289 3128 64 2015 9
2015-16 22454 1272810 5281 7.6574 14531 904256 3741 177 8378 32
2016-17 16018 979117 4063 6.6882 15866 1147138 4760 657 16799 70
2017-18 11365 879428 3649 6.4802 17144 1288702 5347 1207 23014 95
2018-19 14729 1128276 4662 7.1063 19480 1499836 6199 1821 119850 495
2019-20 12797 927912 3834 6.0796 10048 940212 3885 1179 149336 617
Apr-20 462 31854 1874 4.8455 445 41602 2447 37 12265 721
May-20 332 23988 1333 3.9495 339 27350 1519 113 21950 1219
2020-21 (Upto May 2020) 794 55841 1595 4.4606 784 68952 1970 150 34215 978
Period
CDs CPsRepo in Corporate Bonds, CPs
and CDs
TABLE 113: COMPARISON OF FBIL TERM MIBOR AND FBIL CD CURVE
BENCHMARK RATES
Percent
CC
ILM
on
thly
Ne
wsl
ett
er
statisticsstatistics
146
Ma
y 2
02
0
FBIL TermMIBOR
CD WARRates
Spread inBps
FBIL TermMIBOR
CD WARRates
Spread inBps
FBIL TermMIBOR
CD WARRates
Spread inBps
04-May-20 4.86 4.01 85.45 4.96 4.02 93.55 5.29 4.53 76.02
05-May-20 4.82 3.85 96.76 4.93 4.02 90.99 5.26 4.58 68.03
06-May-20 4.83 3.76 107.46 4.92 3.83 109.37 5.25 4.15 109.76
08-May-20 4.81 3.76 105.46 4.91 4.23 67.56 5.21 4.16 104.57
11-May-20 4.74 3.71 103.49 4.89 4.18 70.59 5.21 4.18 103.14
12-May-20 4.73 3.63 109.66 4.85 4.11 73.76 5.24 4.15 109.43
13-May-20 4.65 3.39 125.51 4.80 4.13 66.94 5.19 3.68 151.43
14-May-20 4.67 2.34 232.58 4.77 3.91 86.47 5.21 3.65 156.22
15-May-20 4.69 2.31 237.66 4.79 3.87 91.55 5.21 3.57 163.59
18-May-20 4.71 2.74 196.99 4.79 3.94 85.48 5.20 3.58 161.91
19-May-20 4.75 2.82 193.43 4.82 4.01 80.92 5.22 3.56 165.54
20-May-20 4.74 3.10 163.70 4.78 3.75 103.39 5.20 3.50 170.02
21-May-20 4.72 3.16 155.57 4.76 3.81 95.26 5.17 3.47 169.79
22-May-20 4.52 2.99 152.86 4.58 3.63 94.55 5.04 3.49 155.00
26-May-20 4.40 3.23 117.21 4.44 3.60 83.76 4.96 3.51 144.57
27-May-20 4.36 3.36 99.87 4.44 3.74 70.42 4.92 3.69 122.76
28-May-20 4.33 3.44 88.79 4.44 3.82 62.23 4.90 3.77 113.27
29-May-20 4.31 3.63 67.56 4.44 4.02 41.56 4.89 3.76 113.33
Date
14 Days 1 Month 3 Month
Per
cen
tT
AB
LE
114
: F
BIL
CD
CU
RV
E v
s F
BIL
TB
ILL
CU
RV
E
CC
ILM
on
thly
Ne
wsl
ett
er
147
statisticsstatistics
Ma
y 2
02
0
FBIL
CD Rate
FBIL
TB Rate
Spre
adin
Bps
FBIL
CD Rate
FBIL
TB R
ate
Spre
adin
Bps
FBIL
CD R
ate
FBIL
TB R
ate
Spre
adin
Bps
FBIL
CD R
ate
FBIL
TB R
ate
Spre
adin
Bps
FBIL
CD R
ate
FBIL
TB R
ate
Spre
adin
Bps
FBIL
CD R
ate
FBIL
TB R
ate
Spre
adin
Bps
FBIL
CD Rate
FBIL
TB Rate
Spre
adin
Bps
04-M
ay-2
04.0
13.1
288
.494.0
245
3.51
51.65
4.08
3.51
56.58
4.53
3.53
99.84
4.90
3.52
137.8
85.1
53.6
415
0.68
4.75
3.63
111.9
0
05-M
ay-2
03.8
52.9
490
.974.0
201
3.33
69.00
4.01
3.45
56.58
4.58
3.58
99.84
5.05
3.59
145.4
35.1
53.7
114
3.94
4.81
3.70
111.9
0
06-M
ay-2
03.7
63.0
075
.543.8
263
3.48
34.64
3.70
3.50
19.92
4.15
3.53
62.08
4.76
3.49
127.1
95.0
13.5
814
3.13
4.65
3.53
111.9
0
08-M
ay-2
03.7
63.0
075
.544.2
344
3.43
80.73
3.91
3.46
44.69
4.16
3.51
65.54
4.78
3.51
127.1
95.0
33.6
014
3.13
4.67
3.55
111.9
0
11-M
ay-2
03.7
12.9
575
.544.1
841
3.38
80.73
3.96
3.51
44.69
4.18
3.52
65.54
4.87
3.60
127.1
95.0
83.6
514
3.13
4.79
3.67
111.9
0
12-M
ay-2
03.6
32.8
875
.544.1
124
3.31
80.73
3.93
3.49
44.69
4.15
3.49
65.54
4.78
3.51
127.1
95.0
53.6
214
3.13
4.53
3.64
89.00
13-M
ay-2
03.3
92.9
049
.874.1
306
3.32
80.73
3.92
3.48
44.69
3.68
3.45
22.21
4.31
3.71
60.12
4.58
3.55
103.3
64.6
33.7
489
.00
14-M
ay-2
02.3
42.8
6-5
1.15
3.905
33.2
862
.253.7
63.3
442
.393.6
53.4
322
.214.2
93.6
960
.124.5
63.5
310
3.36
4.61
3.72
89.00
15-M
ay-2
02.3
12.8
2-5
1.15
3.874
53.2
562
.253.4
23.3
38.6
33.5
73.3
522
.214.2
73.6
760
.124.5
53.5
110
3.36
4.60
3.71
89.00
18-M
ay-2
02.7
43.2
5-5
1.15
3.935
23.3
162
.253.3
63.2
88.6
33.5
83.3
622
.214.2
43.6
460
.124.5
33.4
910
3.36
4.59
3.70
89.00
19-M
ay-2
02.8
23.3
3-5
1.15
4.010
83.3
962
.253.4
43.3
58.6
33.5
63.3
422
.214.1
83.5
860
.124.4
93.4
510
3.36
4.56
3.67
89.00
20-M
ay-2
03.1
02.8
822
.803.7
461
3.12
62.25
3.36
3.27
8.63
3.50
3.25
24.81
4.28
3.68
60.12
4.58
3.55
103.3
64.6
63.7
789
.00
21-M
ay-2
03.1
62.9
422
.803.8
074
3.18
62.25
3.31
3.22
8.63
3.47
3.22
24.81
4.25
3.65
60.12
4.53
3.50
103.3
64.5
93.7
089
.00
22-M
ay-2
02.9
92.7
622
.803.6
345
3.01
62.25
3.33
2.99
34.14
3.49
2.98
51.24
3.86
3.38
47.39
3.73
3.23
50.43
4.31
3.42
89.00
26-M
ay-2
03.2
33.0
022
.803.6
024
2.98
62.25
3.34
3.00
34.14
3.51
3.00
51.24
3.87
3.40
47.39
3.94
3.44
50.43
4.33
3.44
89.00
27-M
ay-2
03.3
63.1
322
.803.7
358
3.11
62.25
3.10
3.05
5.29
3.69
3.18
51.24
3.86
3.39
47.39
3.71
3.41
29.95
4.29
3.40
89.00
28-M
ay-2
03.4
43.2
122
.803.8
177
3.20
62.25
3.18
3.13
5.29
3.77
3.25
51.24
3.86
3.39
47.39
3.71
3.41
29.95
4.30
3.41
89.00
29-M
ay-2
03.6
33.0
558
.504.0
244
3.13
88.95
3.40
3.09
30.93
3.76
3.24
51.24
3.88
3.41
47.39
3.94
3.41
52.18
3.99
3.41
58.10
6 Mon
ths
9 Mon
ths
12 M
onth
s
Date
14 D
ays
1 Mon
th2 M
onth
s3 M
onth
s
Per
cen
tT
AB
LE
115
: FB
IL F
C-R
UP
EE
OP
TIO
N V
OL
AT
ILIT
Y M
AT
RIX
RA
TE
S -
AT
TH
E M
ON
EY
(A
TM
) V
OL
S
CC
ILM
on
thly
Ne
wsl
ett
er
statisticsstatistics
148
Ma
y 2
02
0
BID
ATM
Vols
ASK
ATM
Vols
MID
ATM
Vols
BID
ATM
Vols
ASK
ATM
Vols
MID
ATM
Vols
BID
ATM
Vols
ASK
ATM
Vols
MID
ATM
Vols
BID
ATM
Vols
ASK
ATM
Vols
MID
ATM
Vols
BID
ATM
Vols
ASK
ATM
Vols
MID
ATM
Vols
4-M
ay-2
07.
068.
507.
787.
668.
297.
987.
517.
957.
737.
197.
637.
416.
867.
217.
04
5-M
ay-2
07.
068.
457.
767.
317.
837.
577.
287.
687.
487.
117.
527.
326.
797.
237.
01
6-M
ay-2
06.
698.
477.
587.
057.
827.
447.
057.
747.
406.
917.
427.
176.
737.
246.
99
8-M
ay-2
06.
768.
457.
617.
017.
807.
417.
117.
697.
406.
917.
377.
146.
687.
116.
90
11-M
ay-2
06.
638.
437.
537.
057.
687.
377.
037.
587.
316.
827.
277.
056.
657.
066.
86
12-M
ay-2
06.
628.
047.
336.
967.
537.
256.
887.
447.
166.
787.
227.
006.
576.
996.
78
13-M
ay-2
06.
447.
927.
186.
687.
317.
006.
737.
267.
006.
707.
136.
926.
526.
906.
71
14-M
ay-2
06.
567.
797.
186.
677.
327.
006.
697.
246.
976.
667.
126.
896.
466.
816.
64
15-M
ay-2
06.
097.
636.
866.
497.
286.
896.
517.
116.
816.
486.
976.
736.
256.
636.
44
18-M
ay-2
06.
117.
856.
986.
717.
287.
006.
537.
146.
846.
516.
976.
746.
276.
686.
48
19-M
ay-2
06.
337.
356.
846.
507.
106.
806.
507.
046.
776.
316.
816.
566.
096.
606.
35
20-M
ay-2
06.
157.
566.
866.
507.
076.
796.
516.
976.
746.
306.
766.
536.
116.
566.
34
21-M
ay-2
05.
877.
186.
536.
357.
016.
686.
426.
936.
686.
266.
796.
536.
116.
526.
32
22-M
ay-2
05.
916.
986.
456.
387.
016.
706.
416.
906.
666.
286.
756.
526.
126.
606.
36
26-M
ay-2
06.
097.
436.
766.
356.
926.
646.
386.
946.
666.
316.
776.
546.
136.
536.
33
27-M
ay-2
05.
896.
996.
446.
206.
726.
466.
266.
716.
496.
206.
726.
466.
126.
566.
34
28-M
ay-2
05.
606.
696.
155.
956.
406.
186.
176.
586.
386.
146.
606.
376.
086.
516.
30
29-M
ay-2
05.
336.
355.
845.
626.
225.
925.
996.
436.
215.
996.
436.
216.
006.
426.
21
12 M
ON
TH
DATE
1 WEE
K1 M
ON
TH3 M
ON
TH6 M
ON
TH
TABLE 116: FBIL FC-RUPEE OPTION VOLATILITY MATRIX RATES - 25 DELTA RISK REVERSAL
Risk Reversal is the spread between the put and call vol for 25 delta25 delta is the market standard for out of the money option strike
Percent
TABLE 117: FBIL FC-RUPEE OPTION VOLATILITY MATRIX RATES - 25 DELTA STRANGLE
Strangle is the spread between the 25 delta vol and ATM vol25 delta is the market standard for out of the money option strike
Percent
CC
ILM
on
thly
Ne
wsl
ett
er
149
statisticsstatistics
Ma
y 2
02
0
1 WEEK 1 MONTH 3 MONTHS 6 MONTHS 12 MONTHS
4-May-20 1.11 1.06 1.00 0.92 0.91
5-May-20 1.07 1.04 0.97 0.90 0.89
6-May-20 1.11 1.02 0.96 0.91 0.89
8-May-20 1.10 1.03 0.97 0.91 0.89
11-May-20 1.11 1.02 0.97 0.90 0.88
12-May-20 1.11 1.02 0.97 0.91 0.86
13-May-20 1.09 1.02 0.97 0.90 0.84
14-May-20 1.07 1.00 0.94 0.89 0.83
15-May-20 1.04 0.99 0.93 0.89 0.82
18-May-20 1.03 0.99 0.93 0.88 0.82
19-May-20 0.95 0.92 0.86 0.87 0.80
20-May-20 0.93 0.90 0.84 0.88 0.80
21-May-20 0.93 0.90 0.84 0.88 0.79
22-May-20 0.93 0.90 0.84 0.88 0.79
26-May-20 0.93 0.90 0.83 0.89 0.79
27-May-20 0.92 0.90 0.83 0.89 0.79
28-May-20 0.87 0.78 0.80 0.84 0.80
29-May-20 0.73 0.74 0.80 0.80 0.80
DATE25 DELTA RR
1 WEEK 1 MONTH 3 MONTHS 6 MONTHS 12 MONTHS
4-May-20 0.20 0.20 0.28 0.38 0.44
5-May-20 0.20 0.20 0.27 0.37 0.45
6-May-20 0.20 0.20 0.28 0.37 0.43
8-May-20 0.19 0.20 0.28 0.37 0.42
11-May-20 0.18 0.20 0.28 0.37 0.41
12-May-20 0.18 0.20 0.28 0.37 0.41
13-May-20 0.18 0.20 0.28 0.37 0.41
14-May-20 0.18 0.20 0.28 0.37 0.41
15-May-20 0.18 0.20 0.28 0.37 0.42
18-May-20 0.18 0.20 0.28 0.37 0.42
19-May-20 0.18 0.20 0.28 0.37 0.41
20-May-20 0.18 0.20 0.27 0.37 0.42
21-May-20 0.18 0.20 0.28 0.37 0.41
22-May-20 0.18 0.20 0.28 0.37 0.42
26-May-20 0.18 0.20 0.28 0.37 0.42
27-May-20 0.18 0.20 0.28 0.37 0.42
28-May-20 0.18 0.18 0.26 0.35 0.38
29-May-20 0.16 0.16 0.23 0.31 0.35
DATE25 DELTA STR