C O N T E N T S

Managing Director's Message 3

Article
More on CDS 5

Briefing
Article Summary 10
Policymaking from a “macroprudential” perspective in emerging
market economies
Interpreting Currency Movements during the Crisis
Managing Public Debt and Its Financial Stability Implications
What's New 18

Reports 26
World Economic Outlook - Update
Speeches 29
Market Roundup 34
Key Macroeconomic Indicators
Domestic 51
World 53
Outstanding Government Debt 54
CCIL Indices 64
Technical Analysis 69
Primary Market Analysis 71
Statistics 76
Government Securities Market 78
Money Market 98
Foreign Exchange Market 107
Derivatives 115
Interest Rate Movement 119
Corporate Bonds 124
Milestones 128
Key Personnel 131

The tight liquidity condition of the previous
month continued in Jan'11, albeit at a little
milder scale, with RBI supporting the market
with LAF repo inflows. The average infusion in
LAF Repo window during the month was
`93,071.75crores vis-à-vis `1,21,935crore in
Dec'10. Inflation clearly continues to be the
dominant concern for all policy makers. After
some moderation between August and
November 2010, inflation rose again in
December 2010 on the back of sharp increase in
the prices of primary food articles and the
recent spurt in global oil prices. Non-food
manufacturing inflation has remained sticky,
reflecting both buoyant demand conditions
and rising costs. Real GDP in India increased
by 8.9 per cent during the first half of 2010-11,
reflecting strong domestic demand, especially
private consumption and investment, and
improving external demand. Although on a
cumulative basis, the IIP grew by 9.5 per cent
during April-November 2010, it has been
volatile in the current financial year with
growth rates ranging between 2.7 per cent and
16.6 per cent. The average daily call rate
moderated from 6.7 per cent during December
2010 to about 6.5 per cent in January 2011. At
the longer end, 10-year government security
yield, which had generally remained above 8
per cent during most of October-November
2010 on account of inflationary pressures and
persistent liquidity tightness, also softened in
MANAGING DIRECTOR'S MESSAGE
the second half of December 2010. However,
the yield on 10-year G-sec moved up again to
8.2 per cent by January 21, 2011, reflecting
both liquidity conditions and inflationary
expectations. India's Current Account deficit
(CAD) has widened significantly. Although
recent trade data suggest moderation of the
trade deficit in the latter part of the year,
overall CAD for 2010-11 is expected to be about
3.5 per cent of GDP. A CAD of this magnitude is
not desirable. On the basis of the macro-
economic issues persisting in the economy, the
RBI increased the repo rate under the liquidity
adjustment facility (LAF) by 25 basis points
from 6.25 per cent to 6.5 per cent with and the
reverse repo rate by 25 basis points from 5.25
per cent to 5.50 per cent with immediate effect.
As a fallout of liquidity situation, CCIL activity
was mixed - in Jan'11, daily outright volumes
declined marginally to ` 7497crores from
` 7541crores, daily market repo volumes
showed a decline at ` 11541crores from
`12993crores, daily Forex volume increased to
US$17.41billion from US$15.59billion and daily
CBLO volume showed a marginal increase to
`44815crores from `43784crores. The situation
is expected to improve with the RBI monetary
policy measures.
(Y. S. S. Kapdi)
 MORE ON CDS
A. V. Rajwade*
2.1 CDS spread models: some finer points
2.1.1 Term Structure of CDS spreads
In the article published in the January 2011 issue of
Rakshitra, I had referred to the relationship
between
i. Unconditional and conditional default
probabilities; and
ii. Conditional default probabilities and
CDS spreads for different maturities.
These relationships are derived once again from the
principles arbitrage free pricing, described in the
earlier article, and are elaborated below.
2.1.1.1 Relationship between conditional
and unconditional default probabilities.
We earlier defined unconditional default
probability as the probability of default before the
end of nth year, as estimated at inception. Let xi =
unconditional probability of default before the end
of the i th year, i=1,2,3……n.
With this notation, it is easy to see that the
unconditional probability of default in the 3rd
year is x3-x2. However, the conditional probability
of default in the third year brings in another factor:
namely, there should be no default in the first two
years. This probability is, by definition, (1 -x2).
Therefore the probability of default in the 3rd year,
conditional upon no default in the first two (or
y2,3) is
*Shri. A. V. Rajwade is a Forex and Management Consultant
y2,3 = (x3-x2) * (1 -x2)
More generally y(i -1),i =(x i x (i-1)) *(1 x(i-1))
(i.e. unconditional probability of default
multiplied by the probability of no default in
earlier years).
2.1.1.2 Calculating CDS spreads from
default probabilities.
Default probabilities can be combined with
recovery rates (say R) to calculate CDS spreads,
once again applying the principle of arbitrage-free
pricing. Let us assume the spread to be say “s”% p.a.
For the seller of the protection the inflow in any
year is (s * probability of survival of bond without
the occurrence of a Credit Event, before the end of
that year) -- for simplicity's sake, we assume that the
Event occurs only at the end of a year.
For year i (i= I to n), this will be s * (1 y (i-1), i)
We also need to calculate, for each year, the likely
outflows assuming a recovery rate of R. For year i,
THE CLEARING CORPORATION OF INDIA LTD.
this will be
R *(1 y(i 1),i)
It can be readily seen that given default
probabilities and recovery rates, we can now
calculate “s”, the CDS spread, by equating the
present values of the likely inflows and outflows.
2.1.1.3 Term Structure
The relationship between probabilities of default
and spreads also leads to the concept of the term
5
 structure of CDS spreads and hence their implied
forward prices.
2.1.2 “Basis”
“Basis” is the term commonly used to refer to the
difference between the model derived and actual
spreads. In active markets, this difference arises
because of demand supply imbalances as also more
fundamental factors. Some of the latter are
discussed below:
i. The funding cost of the holder of the risky
bond who is buying credit protection-and
how much it differs from the risk free rate.
To that extent, the buyer is likely to pay less
than the credit premium embedded in bond
pricing.
ii. While, in theory, the holder of the bond
would be entitled to the accrued interest at
the time of the occurrence of the Credit
Event, in practice the protection buyer may
not get it (or, more precisely, the recovery
percentage on the accrued interest), even
while it will be factored in the cash
settlement.
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iii. If the underlying risk is on a portfolio of
bonds (see paragraph 2.3 ii below), the bond
to be delivered on occurrence of the Credit
Event may well be the cheapest-to-deliver
(CTD) out of the portfolio.
iv. Perhaps the most important reason is that
the credit premium in the bond market has
generally been more than the actual
experience of default probabilities and
recovery percentages. To be sure, in
speculative markets sometimes the basis
(CDS spread-credit premium in the bond
market) is positive as well.
6
2.1.3 Risk Free Rate
Another point worth noting is that standard
pricing models use the swap rate as a proxy for risk
free rate.
2.1.4 Spread Payments
While the traditional practice was that the credit
protection buyer pays the spread quarterly in
arrears, increasingly a practice is coming into vogue
that a portion of the spread is paid upfront and
only the balance quarterly in arrears. This too is a
contributing factor to the existence of “basis” as,
should a Credit Event occur, given the spread paid
upfront, only the balance which is yet to accrue will
not be payable by the protection buyer. The actual
spread the buyer would be willing to pay therefore
may be less than the model price.
2.1.5 Some issues for conditions in India
Whatever the practices in western markets, we
obviously need to adapt them for our conditions,
in particular in two respects:
i. Our swap rate has been generally below the
G-Sec yields and we should not therefore
use the swap as a proxy for the risk free rate
to calculate spreads.
ii. It should also be noted that CDS spreads in
western markets are generally derived from
credit spreads on LIBOR-linked floating
rate bonds. (This is the reason why the
Reference Price is generally 100%: floating
rate bonds have practically no price risk
arising from interest rate fluctuations). We
do not have a LIBOR-linked floating rate
benchmark, nor many floating rate
corporate bonds. CDS spreads would
therefore need to be modeled from prices
of fixed rate bonds and hence the need to
use the full market price (marked-to-
 market for changes in risk free rate), as the
Reference Price as I have argued in the
earlier article. In fact, the model discussed
in that article is based on an “asset swap” -
swap between the cash flow of a risky bond
and a credit risk free, fixed interest rate
bond.
2.1.6 Variations
Many variations of the basic product have been
introduced in the market. Some of them are
described in the subsequent paragraphs. We also
discuss the features of another credit derivative
namely a total return swap (TRS), sometimes also
referred to as the total rate of return swap (TROR)
swap.
2.2 Dynamic credit swap (DCS) (also known
as “credit intermediation swap”)
DCS differs from the plain vanilla CDS in that it
protects the counterparty credit risk exposure
inherent in other OTC derivatives like currency,
interest rate or commodity swaps, or bought
options, hereafter referred as the underlying
derivative:
Such exposure arises from failure of the
counterparty and has two elements:
• MTM value of the underlying derivative
(which keeps changing with time), if positive
to the DCS protection buyer; and
• The potential exposure in replacement costs.
The second may be insignificant if the
underlying derivative has a liquid market, but
it can be material for complex structures in ill-
liquid markets.
This first exposure could be hedged at a fixed
(known) credit spread by buying a DCS. How
would the writer or seller of the DCS price and
hedge the swap?
In principle, the seller faces two
risks/uncertainties:
• The occurrence of a Credit Event, namely
failure of the counterparty; and
• The MTM value of the derivative when the
failure occurs.
The basic principles of pricing/hedging the first of
these risks have been discussed earlier. As for the
second, it could be hedged by entering into a
derivative contract with payoffs identical to the
underlying derivative whose credit exposure is
being hedged through the DCS - and the cost
structured in the credit spread on the DCS.
The Contingent Payment would be the MTM value
of the underlying derivative when the Credit Event
occurs - although the underlying derivative
transaction may not have matured. (The standard
ISDA Master Agreements covering interest
rate/currency derivatives give the non-defaulting
party the right to terminate the contract on
occurrence of specified events. The protection
buyer under a DCS would obviously need to make
THE CLEARING CORPORATION OF INDIA LTD.
sure that these events are identical to the Credit
Event which would trigger the Contingent
Payment under the DCS.)
Why would the protection buyer prefer to buy a
DCS rather than terminating the contract? There
may be several reasons:
• The relationship with the counterparty to the
underlying derivative could be harmed by a
cancellation, which the protection buyer may
like to avoid.
• A Credit Event allowing termination may not
have occurred, but is apprehended.
• There may be a minimum MTM when alone
7
 termination is permitted by the Agreement.
• There may be time intervals specified for
payment of MTM margins.
• The cost of buying protection may be lower
than the credit spread factored in pricing the
underlying derivative.
In fact, in order to meet the requirement of
different DCS buyers, contracts can provide for
different payoffs:
• A cap on the Contingent Payment;
• Contingent Payment to be MTM, less a fixed
amount (which the protection buyer may well
have recovered as margin when the underlying
derivative contract was entered into);
• MTM changes between margin recovery dates;
etc.
All these variations will have lower costs than a
plain vanilla DCS.
The problems of pricing/hedging DCS get more
complex when the positive MTM of the underlying
exposure is strongly correlated to the probability of
occurrence of the Credit Event or counterparty
THE CLEARING CORPORATION OF INDIA LTD.
default. To elaborate the point by using a simple
example, consider that the counterparty credit
exposure to be hedged under the DCS is that on a
forward contract under which the protection buyer
is to receive a given amount of foreign currency and
pay a fixed amount of the counterparty's domestic
currency, on maturity of the contract. The credit
exposure arises if the domestic currency falls
against the foreign currency. But this may itself
weaken the credit quality of the counterparty
because of worsening economic prospects and/or
macro-economic measures taken by the authorities
to counter the fall of the domestic currency!
8
2.3 Other variations
i. Binary or digital CDS: the payoff is fixed,
generally based on historical recovery rates;
ii. Basket CDS: the Reference Obligation is a
portfolio of bond/debt exposures. The
Contingent Payment falls due on occurrence
of the “n”th default (n can be 1 also),
whereafter the CDS gets terminated.
Sometimes, a CDS specifies that for triggering
the Contingent Payment on occurrence of the
Credit Event, any one of a number of specified
bonds could be delivered. The buyer of the
CDS would obviously deliver the cheapest to
deliver bond.
iii. Contingent default swap: Payment is triggered
only when two Events occur, the first being the
Credit Event relating to the Reference Entity,
and the second one independent of it-for
example the level of the stock market.
Obviously such swaps would be cheaper to
buy than the plain vanilla CDS with a single
Credit Event.
iv. CDS on a portfolio of bonds represented in an
Index: as the market for CDS has grown,
Credit Indices of credit spreads have been
structured (with equal weights for all CDSs in
the Index) and are accepted by the market. The
index can be used as the credit spread to buy or
sell a CDS on all the underlying bonds. Such
CDSs have two features:
a. The notional on each bond is equal; and
b. The spread payment by the buyer comes
down proportionately when a Credit
Event occurs in relation to any of the
bonds in the Index.
2.4 Derivatives on CDS: Forwards and
Options
Once a liquid market in CDS got established,
forwards and options also started getting priced
and quoted. The forward contract on CDS
commits the counterparties to enter into a CDS
contract for a specified notional, maturity and
spread at the price agreed now.
This can be arrived at from the spreads for different
maturities-buy longer maturity, sell shorter
maturity CDS (or vice versa) to arrive at the forward
price. The shorter maturity CDS will coincide with
the maturity of the forward contract, and the
longer maturity with the maturity of the CDS
underlying the forward contract.
The parameters of the call and put options will
include
(i) The notional principal;
(ii) The maturity of the option; and
(iii) The exercise price by way of spread on the
CDS.
THE CLEARING CORPORATION OF INDIA LTD.
9
 ARTICLE SUMMARY
Policymaking from a “macroprudential”
perspective in emerging market economies:
Ramon Moreno; BIS Working Papers No
336, Monetary and Economic Department,
January 2011
The landscape for financial stability in emerging
market economies (EMEs) has changed
considerably since the first half of 2009. Capital
flows are back, and given current account surpluses
and efforts to manage exchange rates, foreign
reserves are rising. This could lead to an increase in
aggregate demand with a concomitant risk of
inflation; and an increase in bank credit growth
and asset prices, increasing financial fragility.
Rapid credit growth can mean deterioration in
credit quality over time, disguised by rapid
economic growth that may prove transitory. Credit
growth could also be associated with growing risks
of spillovers or contagion, either due to common
exposure to risky sectors or networks linking
financial institutions. The risks would be amplified
by booms in the prices of leveraged assets. Risks
could materialise in the event of sudden capital
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inflow reversals. Raising interest rates is the
standard response to deal with an increase in
aggregate demand, but it could attract more capital
inflows and lead to appreciation pressures.
Furthermore, whether interest rate policy is an
appropriate instrument to deal with the financial
stability implications of bank credit growth and
asset prices is still the subject of debate.
Policymakers in EMEs have sought to limit these
risks during the extended period of expansion in
the 2000s by using what are traditionally seen as
“monetary” or “micro prudential” tools but that
are now applied with a “macroprudential”
perspective. The form of intervention can broadly
10
be classified into measures to control capital
inflows, foreign exchange market intervention and
foreign reserve accumulation, measures to
strengthen bank balance sheets and capital &
measures to maintain the quality of credit or to
influence credit growth or allocation.
Many central banks value a regime of floating
exchange rates because it reminds financial markets
of foreign exchange risk - and so creates the right
incentives for risk management. Hence such a
regime is seen as having macroprudential benefits.
But even under floating, central banks intervene in
foreign exchange markets to dampen exchange rate
volatility, or to accumulate foreign reserves.
With regards to measures to strengthen bank
balance sheets and capital, steps taken have
included limits to net open positions of financial
institutions, more stringent requirements on
foreign currency lending, rules for liquidity risks,
rules regarding currency and maturity mismatches,
capital requirements, & loan-loss provisioning
requirements.
As far as measures to maintain the quality of credit
or to influence credit growth or allocation are
concerned, loan-to-value (LTV) ceilings on
mortgage loans have been used in a number of
EMEs to limit credit risks; debt-to-income or debt
service-to-income rules, that would tend to ensure
credit flows to those with a greater ability to repay,
have also been used.
Since the mid-1980s, most direct controls on bank
lending have been dismantled because they
undermined the efficiency of financial
intermediation. Nevertheless, several countries
have used credit ceilings more recently, and China
has used window guidance, involving

consultations between the authorities and the
banks, to curtail lending. However, reserve
requirements are less costly to authorities and are
less distortionary than controls on bank lending,
although there are well-known drawbacks. Other
measures include taxes on lending & targeting
certain sectors for adjustments.
Sudden changes in capital inflows have been a
major contributor to financial instability in the
EMEs over several decades. While foreign currency
borrowing has generally been liberalised, a number
of EMEs still impose restrictions. India
traditionally has maintained restrictions that seek
to encourage FDI and limit external borrowing,
particularly short-term. However, some central
banks see disadvantages in capital controls or do
not consider them feasible. Capital controls
involve significant tradeoffs. They can help
contain financial stability risks; alternatively they
can cause distortions and impair financial
development.
A macroprudential view introduces an additional
dimension to the discussion of economic
stabilisation policies by focusing not only on
inflation, but also considering the possible effects
of capital inflows on credit, asset prices, risk-taking
behaviour and ultimately financial stability.
Supplementary instruments sometimes directly
influence the quantity of financing as well as its
cost, which may imply that they may be less
“market-friendly” as well as more effective than
interest rate policy.
Experience with crises has led to a number of
indicators or analysis that can guide policy
responses by shedding light on resilience,
imbalances and systemic risks; such as Indicators of
resilience of financial system, indicators of
ARTICLE SUMMARY
macroeconomic or financial imbalances, and
indicators of systemic risks.
Interpreting data and assessing risks in EMEs also
poses challenges. There are still difficulties in
assessing credit risk in individual financial
institutions, notably from fast-growing sectors,
such as consumer and mortgage lending, due to
incomplete default history data. Furthermore,
systemic risks are not fully understood.
Information on interbank exposures may also be
limited or not easily analysed. Deregulation and
deepening of financial markets further accentuate
these challenges. Much of the discussion regarding
the timing of macroprudential measures pertains
to how these measures should be applied over the
cycle, partly because regulatory provisions are often
procyclical. From a risk-management perspective,
supplementary tools ideally would be imposed
early and in a manner that takes into account risks
should economic conditions deteriorate.
The Basel Committee on Banking Supervision is
taking a number of steps to mitigate procyclicality.
These include assessing and dampening the
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cyclicality of minimum capital requirements,
encouraging forward-looking provisioning,
adopting a regulatory framework for capital
conservation and countercyclical buffers, and
introducing a minimum leverage ratio.
Apart from the steps taken by the Basel Committee,
procyclicality can be further countered by
supplementary macroprudential measures,
particularly when capital has been at its maximum
for an extended period and there are signs of
continued booms in credit and asset prices. Indeed,
some authorities have implemented
macroprudential measures in a way that counters
the cycle.
11
 ARTICLE SUMMARY
Supplementary tools are generally seen as
enhancing banking sector resilience to shocks, but
their perceived effectiveness in curbing credit
growth appears to vary. Partly reflecting
uncertainties about the effects of supplementary or
macroprudential instruments, the authorities
appear to behave pragmatically when applying
such tools. In particular, they appear to assess the
effectiveness of measures adopted and adjust rates
or coverage if this appears to be necessary. In some
cases, however, the settings for what are
increasingly recognised as possible
macroprudential tools are still based on
microprudential norms. It will be difficult to
change this until theoretical and empirical research
clarifies how these settings should be adjusted to
take into account macroprudential risks.
The use of macroprudential instruments raises the
question of how these instruments might be related
to interest rate policy. Both interest rates and
macroprudential instruments are ways to influence
financial conditions. Such instruments can
strengthen or weaken how the policy rate is
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ultimately reflected in the availability and cost of
financing faced by borrowers. However, as both
ultimately affect the availability and cost of
financing, they can also be viewed as substitutes.
How much interest rates and macroprudential
instruments will be used will depend in part on the
extent to which macroeconomic and financial
stability considerations coincide, and the relative
effectiveness of these instruments. Under a fixed
exchange regime, policymakers will have no
interest rate tool and would have to rely exclusively
on supplementary tools. The development or
condition of the financial system may also have a
bearing on the types of instruments used.
12
Over the medium term, the use of supplementary
and macroprudential tools raises issues of financial
development and efficiency. Many supplementary
tools have been abandoned in advanced economies
because of the heavy costs imposed on the financial
system and distortions in resource allocation. On
the other hand, recent experience showed clearly
that market discipline is not enough to guarantee
financial stability. The crisis has prompted a
reassessment of how these two competing
considerations should be balanced.
Another concern is that the focus on
supplementary tools, including capital controls,
could draw attention away from the need for sound
macroeconomic policies. A number of central
banks take the view that there is no substitute for
conservative fiscal, monetary and regulatory
policies in order to prevent fluctuations in global
capital flows from causing severe disruptions in
EMEs.
Source: www.bis.org
Interpreting Currency Movements during
the Crisis: What's the Role of Interest Rate
Differentials? - (Nicoletta Batini and
Thomas Dowling)
The financial turmoil of 2008-2010 observed very
sharp changes in the currencies of advanced and
emerging market economies against the US dollar
(USD). However, the currency movements against
the USD has been largely heterogeneous across the
world which can be explained by size of countries'
financial liabilities against the U.S., size of a
country's FX reserves and size of countries' current
account positions in line with Fratzcher (2009)
findings of a safe-haven story in which the global

nature of the slowdown led investors to believe that
negative shocks originating in the U.S. would affect
foreign markets even more acutely. However
Kohler (2010) argues that exchange rate
movements during this crisis were characterized by
both safe-heaven effects and carry trade that
resulted from interest rate differentials.
The paper tries to analyze currency movements and
its drivers during the financial crisis of 2008-2010
using an adaptation of the Uncovered Interest
Parity (UIP) condition. The paper also investigates
the relationship between exchange rate movements
and monetary policy and its heterogeneous
character during the crisis by assessing the
contribution of monetary policy news in the U.S.
to exchange rate developments in five inflation-
targeting advanced economies (Australia, Canada,
the Euro Area, New Zealand, and the United
Kingdom) and three inflation-targeting EMEs
(Brazil, Chile and Mexico) during the crisis.
Employing instantaneous forward interest rate
differentials for each country in an adapted UIP
framework, the paper decomposes exchange rate
movements into changes attributable to monetary
policy and a residual and tries to determine the
interaction between interest rates and exchanges
rates.
The paper finds that the early stages of the crisis
were marked by sharp depreciation of currencies -
worldwide against USD but then from late 2008 -
early 2009, these currencies began appreciating
near to pre-crisis level by the end of the first quarter
of 2010 as the U.S. economy slid further into
recession. The depreciation phase of the currencies
during the 2008-2010 financial and economic crisis
was largely dominated by safe-haven effects rather
than carry trade activity or other return
ARTICLE SUMMARY
considerations. This movement is attributable to
the widening between such rates, the Fed's open
commitment to prolonged easing, and the lowering
of the Fed Funds rates.
The UIP decomposition results suggest that in the
majority of countries, the initial depreciating phase
against the USD cannot be explained in terms of
changes in expected relative real interest rates. The
decomposition suggests that the depreciating phase
was the result of a portfolio shock which is in line
with the view of most commentators at the time
that saw the U.S. dollar's strength as a sign of real
panic and risk aversion. The wave of initial
depreciations came in a staged fashion likely
reflecting markets' sentiments about the strength
and sequence with which the financial and
economic crisis originating in the US would hit
individual countries. Over the period, the USD
nominal effective exchange rate strengthened
substantially as short-term capital flew out of all the
sample currencies into the USD.
By contrast, the appreciating phase of some
currencies (EUR, BRL, CLP and MXN) can be
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largely explained through changes in expected
nominal rate differentials with the Fed Funds rate.
The Fed slashed its policy rate practically to zero
(0.125 %) in Dec'08 and soon after, most central
banks moved to an emphasis on supporting
economic growth from a focus on inflation and
started cutting their policy rates rapidly. In line
with the UIP logic, the resulting downward
cumulative revisions to the nominal forward
differentials between such rates and the Fed Funds
rate sparked upward expectations of exchange rate
changes in these countries. Over this period of
appreciation, changes in the expectations of
nominal rate differentials explain 100% of changes
13
 ARTICLE SUMMARY

in the euro, the Brazilian real, and the Mexican average and/or with higher-than-average current
peso, and around 70% of the fluctuation on the account deficits have experienced significantly
Chilean peso while 30% ((Brazil, Mexico), 60% larger depreciations against the USD (averaging
(Chile) to 100% (Euro Area) of these revisions about 22.5 % between July 2008 and February
relates in the real interest rate component of the 2009).
nominal differential i.e. expectation about
Thus in advanced countries the largest daily
monetary policy factors. However, risk rather than
changes in expected exchange rates seems to have
return considerations seem to have been behind the
been dominated by changes in investors' sentiment
small appreciation of sterling, or the stronger
toward those countries' currencies against the USD
appreciations of the Canadian and New Zealand
(portfolio shocks), and hence to be risk-related. In
dollars. All these countries made clear
other words cumulative revisions to nominal
commitments to particularly low levels of policy
forward interest rate differentials for most chosen
rates ruling out revisions to nominal rate
dates are unable to explain the large appreciation /
differentials vis-à-vis the Fed Funds rate going
depreciation seen in their bilateral with the USD
forward.
over these dates. However the Fed's emergency cut
In emerging market economy countries-with the of 50 basis points in Fed Fund rates to 1.5% on
exception of Chile-the largest daily changes in October 8, 2008, however, surprised most currency
expectations in exchange rates during the crisis markets, both emerging and advanced, and seems
seem to have been driven by changes in forward responsible for large FX trading on that day.
differentials. In case of Brazil, the entire exchange
Source: www.imf.org
rate appreciation against the USD can be
rationalized through revisions to forward
differentials of which almost 30% can be ascribed
Managing Public Debt and Its Financial
THE CLEARING CORPORATION OF INDIA LTD.

to monetary policy news however in case of

Stability Implications (Udaibir S. Das,
movements of the peso seem uncorrelated to shifts
Michael Papapioannou, Guilherme Pedras,
in expectations of the monetary policy rate or in
Faisal Ahmed, and Jay Surti)
inflation expectations relative to the U.S.
Sovereign debt has traditionally received much
The results also show that the depreciation phase of
attention as a crucial component of a country's
the currencies was largely dominated by safe haven
macroeconomic and financial policy framework.
effects rather than carry trade activity or other
The recently heightened attention on sovereign risk
return considerations. However in some countries,
from policy makers and financial markets stems
the appreciation that began at the end of 2008
from the realization that how debt is managed
seems largely to reflect downward movement in the
considerably influences the soundness and
cumulative revisions to nominal forward
solvency of the overall public sector balance sheet.
differentials, suggesting carry trade. Typically,
Debt management is also perceived as an important
countries with greater financial exposure to the US
factor that underpins the credibility and
and/or with foreign reserves below a cross-country
reputation of a sovereign, and conditions the

14

stability of debt capital markets and the financial
institutions that hold public debt. The sharp
increase in debt levels in developed countries and
the recent contagion fears in Euro Area countries
through the banking systems have reinforced this
perception.
This paper explores how the debt and debt
management contribute to financial stability.
Recently studies explicitly acknowledged the role
of the proper management of domestic public debt
in promoting macroeconomic-financial stability.
An analytical model explains a financial crisis in
emerging markets as a function of the balance sheet
vulnerabilities of different sectors of the economy
to exogenous shocks and the way in which such
sector-specific vulnerabilities spill over to other
sectors. Clearly, however, unsustainable domestic
debt levels caused by factors such as expansionary
fiscal policy, under fixed-exchange rates or
exchange rate bond arrangements, can also lead to
currency crises, with large, discrete devaluations
and substantial macroeconomic dislocation.
At a strategic level, debt management plays a vital
role in securing the economic benefits of a sound
policy framework in several ways representing
optimization in the cost-risk space within the
constraints set by macroeconomic policy. The
improvement in the debt structure can be an
essential complement to fiscal consolidation in
ensuring a robust recovery in a post crisis
environment and such improvements, when
implemented opportunistically, can strengthen the
effectiveness managing public debt of counter-
cyclical macroeconomic policy going forward, at a
relatively low cost. The improvement measures
include substitution of debt denominated in
domestic currency for foreign currency or foreign
ARTICLE SUMMARY
currencylinked debt; an extension of the maturity
profile of the debt portfolio at a reasonable cost; the
assignment of maturity brackets that avoid a
bunching of refinancing need; and a widening of
the investor base through attracting foreign
investors into the domestic debt market. The task is
operationally complex and requires debt managers
to make difficult trade-offs.
In an ideal world, debt managers would be able to
issue the low-cost paper demanded by foreign
investors through a liability structure in which
their exit is negatively-or weakly- correlated with
macroeconomic risk factors or exit triggers for
other investors. If this is not possible, the low
issuance cost may come at a heavy price in terms of
riskiness of the debt sold to foreign investors.
Depending on the country and the point in the
business cycle, this could be very risky. The volume
and nature of foreign investors' presence in the
domestic debt market needs to be carefully assessed
in raising and managing public debt. In addition to
strategic improvements through a long-term plan
of action, debt managers play an important role in
THE CLEARING CORPORATION OF INDIA LTD.
stabilizing markets through tactical
decisions/interventions in the market.
The linkage between government finances and
financial stability becomes painfully apparent
during recessions triggered by a financial crisis. It is
especially apparent for banks, which typically (need
to) hold an adequate quantity of government paper
due to several reasons: to conserve on equity capital
funding cost, as the risk weight on this investment
is typically nil; to meet the regulatory and internal
risk limits on liquidity buffers; and to meet
regulatory constraints concerning asset classes
eligible for investment of regulatory capital
instruments. In an upswing, the quality of financial
15
 ARTICLE SUMMARY
institutions' exposure to the government is high, as
public bonds carry low default, extension, and
liquidity risk. While in a downswing, especially in
the case of a recession triggered by a financial sector
dislocation, maintenance of the asset quality of the
government's liabilities, although far more elusive,
is much more critical in containing adverse
developments in the real and financial sectors.
In general, the presence of a well-functioning
government debt market helps build and develop
efficient financial markets and inhibits the
sovereign's ability to conduct effective
countercyclical macroeconomic-financial policy. A
sound financial market allows a country's savings
to be channeled into investments in a more
effective way. More efficient financial markets also
allow for longer-term loans for individuals and
companies and help boost investment in a more
stable way, allowing the financial system to
promote an efficient allocation of capital and
transformation of maturities. Market participants
typically reassess the risk of public liabilities with
potentially rapid and substantial ratings
THE CLEARING CORPORATION OF INDIA LTD.
downgrades, which limit borrowing capacity
because of the narrowing of the investor base and
the increase in issuance cost. It also exacerbates
pressure on financial institutions' balance sheets,
incomes, and capital reserves, particularly where
marking to market of government securities in
financial institutions' portfolios implies
reductions in income and through an increase in
the risk weight - for banks using advanced Internal
Ratings Based (IRB) methodologies under Basel-II -
a reduction in capital. Finally, from an investors'
perspective, market pessimism can narrow the
investor base for the sovereign's issues, which may
translate into reduced liquidity of public debt.
16
Analytically, financial stability can be viewed as a
function of the level of the debt stock, the debt
profile, the investor base, the stage of development
of the capital market, and institutional factors.
Higher levels of debt trigger policies for mitigating
possible higher inflation rates and the sovereign's
credibility becomes less ensured in the eyes of
international investors, which could result in
higher volatility caused by difficulties in
refinancing government debt, which in turn could
trigger wider financial instability. The higher stock
also entails a higher probability of affecting the
prices of financial assets, correspondingly
influencing the soundness of the financial sector
balance sheet.
Debt structures relying heavily on short-term
instruments are sources of vulnerability because
short average maturities entail high rollover and
refinancing risk and adverse fiscal impact. Debt
structures that are too short or allow for bumps in
the maturity profile can potentially generate
confidence crises, fueled by investors' concerns that
the government will not have sufficient funds to
redeem maturing bonds when they fall due.
Depending on the extent of these fears, they could
translate into lower demand for the country's
instruments in auctions, thus triggering a self-
fulfilling prophecy.
The maturity of a debt structure is instrumental for
financial stability. As the short-term debt involves
higher refinancing risk which could pose a higher
risk to the financial stability of the country, a fixed-
rate and long-term bond portfolio could be the
ideal debt structure. However, fixed rate bonds pose
less risk to the government but may represent a
higher risk to the investor as longer-term debt may
represent higher value at risk (VaR) for the debt

holder. If individual investors, in search of higher
profits, increase their exposure to interest rate risk
and there is a hike in interest rates, the market as a
whole may suffer, because the unwinding of
positions by some institutions may trigger VaR
thresholds for others. Therefore debt managers
should be aware of and try to monitor this risk and
to combat this situation. During the same period,
the government increases issuance of floating rate
bonds.
As the investor base usually comprises banks,
mutual funds, pension funds, and foreign and
retail investors, the debt managers must strike the
right balance between meeting the specific needs of
each of these groups of investors and reducing the
costs to the government. They can play a
preemptive role in developing the investor base
further, by issuing instruments targeted at a
specific group of investors and by working on
increasing a specific group's participation in the
debt or in particular instruments. The inclusion of
foreign investors in the investor base can reduce
vulnerabilities associated with public debt as they
are usually less risk averse and tend to hold longer-
term instruments. However, countries with a high
concentration of foreign investors are more
susceptible to financial crises, given that such
ARTICLE SUMMARY
investors are less committed to these assets.
Other institutional aspects for financial stability
are efficient risk-free benchmark instruments, a
well defined legal framework, proper coordination
between debt management and monetary policy,
transparent communicational setup and risk
mitigation policies. The issuance of an efficient
“risk-free” yield curve can serve as a reference point
for pricing other instruments issued by financial
enterprises or corporations and thus reduces
systemic risks stemming from the financial sector.
Such benchmark instruments can serve as efficient
collateral for operations in the financial market
that reduces the transaction risk of institutions
which can use these instruments to offset credit
risk. A well-defined legal framework and proper
coordination between debt management and
monetary policy results in better signaling of
government intentions and increases transparency.
Concluding the paper suggests that the a debt
management strategy should be carefully analyzed
by debt managers and policy makers in terms of
their impact on the government's balance sheet,
THE CLEARING CORPORATION OF INDIA LTD.
macroeconomic developments, and the financial
system.
Source: www.imf.org
17
 BRIEFING

WHAT'S NEW
International • The People's Bank of China raised the reserve ratios by 50 basis points
Developments
starting January 20, the fourth increase in two months.
• The Bank of Korea raised the seven-day repurchase rate by a quarter of a
percentage point to 2.75% and announced plans to freeze utility costs and
cut food tariffs.
• Federal Reserve Chairman Ben S. Bernanke said the central bank is doing its
best to minimize the burden of regulations on smaller banks that don't pose
risks to the financial system.
• Federal Reserve policy makers said that improvements in the economy
didn't meet the threshold for scaling back their plans to purchase $600
billion in bonds.
• European Central Bank President Jean-Claude Trichet said the central bank
can't be relied on to offset government irresponsibility and called for “more
ambitious” efforts to reform fiscal rules.
• The European Central Bank threw Portugal a temporary lifeline by buying
up its bonds, as market and peer pressure mounted for Lisbon to seek an
international bailout soon.
• Brazil's central bank set reserve requirements on short dollar positions held
by local banks in its third attempt since October to stem a rally in the
currency.
• Standard & Poor's cut Japan's long-term sovereign debt rating for the first
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time since 2002, saying the country's government lacked a coherent plan to
tackle its mounting debt. It reduced the rating by one notch to AA minus -
three levels below the highest possible rating.
• Standard & Poor's and Moody's investor service warned that US will loose its
'AAA' rating if its national debt kept growing.
• China ($14.8 trillion economy) over took the US ($14.6 trillion economy) as
the world's biggest economy when measured in terms of purchasing power.
• The U.S. GDP grew at a 3.2% annual rate in the fourth quarter of 2010 as
consumer spending climbed by the most in more than four years.
• China's growth accelerated to 9.80% in the fourth quarter as industrial
production and retail sales picked up, adding pressure on policy makers to
keep raising interest rates. The economy expanded 10.30% in 2010, the
fastest pace in three years. CPI eased to 4.60% in December but rose 3.30%

18
 WHAT'S NEW

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

Developments
• As per the Office for National Statistics, British GDP fell 0.50% after
increasing 0.70% in the previous quarter.
• As per the European Union's statistics office, GDP in the euro region rose
0.30% in the third quarter instead of 0.40% reported on December 2, 2010.
Euro-area consumer prices rose 2.2% in December from a year earlier after
increasing 1.9% in November.
• German GDP jumped 3.60% in 2010, the most since data for a reunified
Germany began in 1992, after slumping 4.70% in 2009.
• The IMF raised its forecast for global economic growth this year to 4.40%.
Expansion next year is projected to reach 4.50%.
• Capital inflows, a driving force of the recovery in emerging countries, now
pose risks to global growth as they can trigger abrupt currency fluctuations
that may do lasting damage to some nations, the World Bank said. It left its
growth forecast for the world's economy this year unchanged at 3.3%, from a
revised 3.9% in 2010.
• According to the IMF, Europe has yet to allay investor “skepticism” about
the sustainability of the region's debt, and any spread of the crisis would
cloud global economic prospects.
• The Basel Committee on Banking Supervision has stated that debt securities
of banks must be capable of being written off or converted into common
stock in a crisis if they were to count towards a lender's capital before any
public money was used.

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• Prime Minister Jose Socrates said that Portugal had no plans to seek aid,
while the Bank of Portugal forecast the economy would shrink 1.3% this year
as austerity measures crushed internal demand - in sharp contrast to the
government's projection that exports would help GDP to grow 0.2%.
• European Parliament members proposed more automatic sanctions on high-
deficit nations.
• Japan plans to buy bonds issued by Europe's financial-aid funds, its finance
minister said, joining China in assisting the region as it battles against a
fund- raising crisis that prompted bailouts of Ireland and Greece.
• The U.S. trade deficit unexpectedly shrank 0.30% to $38.3 billion in
November as growing global demand and a weaker dollar help boost overseas
sales.
• China reported a less-than-forecast $13.1 billion trade surplus for December.

19
 WHAT'S NEW

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

Developments
trillion at the end of 2010 from a year earlier and domestic lending exceeded
the government's full-year target.
• Japan's current account surplus narrowed 15.7% from a year earlier to about
$11 billion in November, the first decline in three months after import
growth accelerated.
• Japan's deflation eased in December as consumer prices declined 0.4% from a
year earlier and the job market strengthened, supporting the central bank's
view that the economy may pick up this quarter.
• As per the Office for National Statistics, consumer prices in the UK rose
3.7% from a year earlier after a 3.3% increase in November.
• European inflation accelerated 2.20%, the fastest pace in more than two years
in December, led by surging energy costs.
• US President Barack Obama and Chinese President Hu Jintao vowed to work
to find common ground as the two countries announced $45 billion in
export deals.
• U.S. Treasury Secretary Timothy F. Geithner said the Obama administration
will continue to press China to allow the yuan to rise so that companies
around the world can compete fairly.
• China said that it would welcome assurances on the safety of its financial
assets in the United States.
• US Treasury secretary Timothy F Geithner said China needs to strengthen the
THE CLEARING CORPORATION OF INDIA LTD.

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

competitive disadvantage.
• The yuan exchange rate is not the main cause of the trade imbalance between
China and the US, the Chinese foreign ministry said while adding that China
was committed to proceeding with yuan exchange rate reform.
• The United States may hit the legal limit on its ability to borrow by March 31
and faces serious consequences unless the Congress acts by then to raise it,
Treasury Secretary Timothy Geithner said.
• Japan's top government spokesman said the country's fiscal situation is
“approaching the edge of a cliff”.
• China will let companies invest overseas in yuan in the latest move to expand
the currency's international role and curb dependence on the dollar.
• France, Germany, the U.S. and the U.K. need to control their spending on

20
 WHAT'S NEW

pensions and health care to keep their debt burdens stable over the long
term, Moody's Investors Service said.
• The U.K. economy faces a 20 percent chance of slipping into another
recession as rising unemployment and faster inflation weigh on growth, the
Centre for Economics and Business Research said.
• Japan's government raised its assessment of the economy for the first time
since June, as global demand encourages companies to step up output.
• As per the World Bank, higher food prices pose a major threat to the global
economy and social stability but policymakers must not over-regulate
commodity markets.
• World food prices rose to a record in December on higher sugar, grain and
oilseed costs, the United Nations said, exceeding levels reached in 2008.

Indian Economy • India's fiscal deficit during April-December 2010 was `1,71,249 crore and
represented a decline of 44.75% over the fiscal deficit of `3,09,980 crores in
April-December 2009. The fiscal deficit during accounted for 44.90% of the
budgeted estimates of `3,81,408 crore for 2010-11.
• India's export grew by 36.40% in December 2010 to $22.50 billion from
$16.49 billion in December 2009, while imports declined by 11.10% to $25.13
billion from $28.25 billion in December 2009. The trade deficit for April-
December 2010 at $82.02 billion was higher than the $80.13 billion during the
corresponding period in the previous year.
• The Index of Industrial Production (IIP) registered a growth of 2.70% in

THE CLEARING CORPORATION OF INDIA LTD.

November 2010 compared with 11.30% in November 2009. The IIP for
October was revised upwards to 11.30% from 10.80%. The IIP registered a
growth of 9.50% in April-November 2010 compared to 7.40% in the previous
year.
• The Index of Six core industries having a combined weight of 26.70% in the
IIP, registered a growth of 6.6% (provisional) in December 2010 compared to
6.20% registered in December 2009. During April-December 2010-11, six core
industries registered a growth of 5.3% (provisional) as against 4.7% during the
corresponding period of the previous year.
• India's holding of US Treasury Securities at the end of November 2010 stood
at $40.7 billion vis-à-vis $41.1 billion at the end of October 2010.
• The annual rate of inflation, based on monthly WPI, stood at 8.43% for the
month of December 2010 as compared to 7.48% (provisional) for the previous
month and 6.90% during the corresponding month of the previous year.

21
 WHAT'S NEW

Indian Economy • The wholesale-price index rose 8.43% in December from a year earlier after a
7.48% increase in November.
• India's annual inflation rate based on consumer price index (CPI) for
industrial workers surged to 9.47% in December from 8.33% in November as
food items became costlier.
• India received FDI of $1.6 billion in November 2010, down 7% from the
$1.72 in same month last year.
• FDI inflow in the services sector dipped by 30% to $2.16 billion in April-
October this fiscal.
• Import of sensitive products increased 14% to `40,499 crore in the April-
October 2010 period and amounted to 4.6% of the country's total imports
during the period.
• Direct tax collections in the first nine months (April-December) of the
current financial year increased 19.47% to touch `2,98,958 crore, compared
with `2,50,232 crore in the corresponding period of 2009-10.
• Finance Minister, Mr Pranab Mukherjee, raised the collections targets for
direct tax by 4% to `4.47 lakh crore and for indirect tax by 7% to `3.37 lakh
crore for the current financial year.
• Finance minister Pranab Mukherjee said that India's economic growth may
have climbed back to a higher trajectory but main concerns now are inflation
and capital inflows.
• Finance minister Pranab Mukherjee said the “normal monsoons” this year
would help the agriculture sector to expand at a spectacular 6% this financial
THE CLEARING CORPORATION OF INDIA LTD.

year, up from a meager 0.2% last fiscal.

• The finance ministry said the average annual inflation during the current
fiscal will jump to 9%, which is more than double the figure of 3.8% recorded
a year ago.
• Petroleum Minister Murli Deora said that the government has indefinitely
deferred a hike in diesel rates despite soaring crude oil prices to prevent a
further increase in prices, particularly of food items.
• The Prime minister's economic panel said inflation, is likely to come down to
7% for December and decline further to 6-6.5% by the end of this fiscal as
against the earlier estimate of 5.50%.
• Chief economic advisor Kaushik Basu said that India's fast-growing economy
will have to live with a spike of up to 2% in the annual headline inflation rate,
translating into a new comfort range of 6-7% for inflation for the long-term
against last-decade's around 5%.

22
 WHAT'S NEW

Indian Economy • Crisil in its report titled “'India-Raising the Growth Bar” said that India's
domestic demand will enable it to maintain 8.4% annual growth over the next
five years. If some supply-side issues are addressed, it can sustain a 10%
growth.
• Investment bank Nomura in its India 2011 strategy note titled 'Under the
Weather', nudged down the GDP growth forecast for India to 8% for the year
to March 2012 from 8.10%.
• As per analysts with the Royal Bank of Scotland, India is not ready for 9%
growth in current circumstances and the recent decline in WPI inflation
should not be equated with decline in prices.
• Goldman Sachs said that the high deficit number supports the view that
rising current account deficit being financed by short-term capital flows
remains the biggest risk to India's growth story.
• BNP Paribas expects that 2011 is likely to be a year of two halves for India:
muted performance by the market in the first half and strong recovery in the
second half.
• IMF expects Indian economy to grow by 8.8% during the current financial
year, up from 7.4% a year ago, mainly driven by robust growth in farm sector
and pick up in consumption.
• Data released by the US Department of Commerce show that India's exports
to the US were more or less unaffected by recession.
• Marking a robust year for deal activities, mergers and acquisitions involving
Indian companies trebled to $68.3 billion in 2010 compared with the

THE CLEARING CORPORATION OF INDIA LTD.

previous year, according to global consultancy Ernst & Young.
• The government announced a 14-point menu to tame food inflation but said
it has limited leverage over vegetables and fruit.
• Concerns over rising food prices has led Standard Chartered Bank to revise its
outlook on India's inflation to 8.3% from 7%, while Citi now estimates
December inflation to touch 8.4% compared with its earlier estimate of 7.5%.
• The Prime Minister's Economic Advisory Council (PMEAC) revised upward
the March-end inflation forecast to 7% from 6.5% estimated earlier.
• Sebi has allowed stock exchanges to introduce derivatives contracts in global
indices in their equity derivatives segments.
• The government has directed all retirement funds to trade in debt
instruments on exchanges compulsorily and has set a deadline of February 28
for pension funds to report all bond purchases on BSE, NSE, or with the
FIMMDA.

23
 WHAT'S NEW
Indian Economy
Reserve Bank of India:
(Source: http://rbi.org.in)
THE CLEARING CORPORATION OF INDIA LTD.
24
• India has voluntarily asked the IMF and the World Bank to conduct a
comprehensive and in-depth analysis of the country's financial sector, Finance
Minister Pranab Mukherjee said.
• The World Bank has raised its single-country loan exposure limit for India to
$17.5 billion from $15.5 billion.
• The Budget session of Parliament will begin on February 21 and the Union
Budget for 2011-12 will be presented on February 28.
• Shri Anand Sinha took over as the Deputy Governor of the Reserve Bank of
India.
• From January 3, 2011, the Reserve Bank of India will place on its website, the
public engagement schedule of the Governor and the Deputy Governors.
• RBI has asked banks to allow only one transaction at ATM machines for one
entry of PIN (Personal Identification Number).
• Banks have been permitted to change the benchmark and methodology used
in the computation of Base Rate for a further period of six months i.e. upto
June 30, 2011.
• The deadline for adoption of security issues and risk mitigation measures
related to card not present transactions has been extended by one month upto
January 31, 2011.
• RBI notified the prudential guidelines for parallel run and prudential floor
for capital adequacy and market discipline under the New Capital Adequacy
Framework (NCAF).
• The guidelines on listing and rating requirements pertaining to non-SLR
securities would not be applicable to banks' investments in Non-Convertible
Debentures (NCDs) of maturity up to one year.
• RBI has decided to extend the scope of 'Speed Clearing' to cover all transaction
codes, other than those relating to government cheques.
• RBI has notified the modifications in the regulatory framework for core
investment companies (CICs).
• RBI issued the directions for monitoring of end use of funds.
• Banks have been directed not to issue Tier 1 or Tier 2 capital instruments with
'step-up option'.
• RBI notified the modified norms regarding opening of small accounts.
• RBI has allowed more participants in the currency futures and the exchange
traded currency options market.

Reserve Bank of India:
(Source: http://rbi.org.in)
WHAT'S NEW
• RBI has notified the revised service charge structure for cheque collection
effective from April 1, 2011.
• RBI has decided to extend the timings for Centralised Funds Management
System (CFMS).
• Central Processing Centres (CPCs)/Service branches have been directed not to
have direct interface with customers.
• UCBs have been directed to follow “Settlement Date” accounting for
recording both outright and ready forward purchase and sale transactions in
Government Securities.
• RBI released the draft guidelines on advanced measurement approach (AMA)
for calculating operational risk capital charge.
• RBI released on its website the “Discussion Paper on Presence of Foreign Banks
in India”.
• RBI released on its website the report of the sub-committee of its Central Board
of Directors under the Chairmanship of Shri Y H Malegam to study issues and
concerns in the micro finance institutions sector.
• RBI has given certain relaxations to banks in its present restructuring
guidelines in order to enable them to extend credit support to micro finance
institutions (MFIs).
• RBI has invited views/comments of all stakeholders and the public at large on
the Malegam Committee report on microfinance institutions (MFIs).
• RBI has placed on its website the report of the Working Group on information
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security, electronic banking, technology risk management, and cyber frauds.
• RBI has launched the twelfth round of its 'Order Books, Inventories and
Capacity Utilization Survey'.
• RBI has launched the 53rd round of the Industrial Outlook Survey for
reference period Jan-Mar 2011.
• The exposure of State Co-operative Banks & Central Co-operative Banks to
housing finance would henceforth be limited to 5% of their total assets.
• NBFCs have been directed to make a general provision at 0.25% of the
outstanding standard assets.
• RBI notified the modified prudential guidelines on restructuring of advances
by AIFIs.
• RBI has entered into a Supplementary Agreement under Section 21A of the
Reserve Bank of India Act, 1934 with the Government of Jammu & Kashmir.
25
 REPORTS
World Economic Outlook - Update
Global activity expanded at an annualized rate of
just over 3½ percent in the third quarter of 2010
owing to better than forecast in the October 2010
WEO, owing to stronger-than expected
consumption in the United States and Japan.
Growth in emerging and developing economies
remained robust in the third quarter, buoyed by
w e l l - e n t re n c h e d p r i v a t e d e m a n d , s t i l l
accommodative policy stances, and resurgent
capital inflows.
Activity in the advanced economies is projected to
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expand by 2½ percent during 2011-12, which is still
sluggish considering the depth of the 2009
recession and insufficient to make a significant
dent in high unemployment rates. In both 2011
and 2012, growth in emerging and developing
economies is expected to remain buoyant at 6½
percent, a modest slowdown from the 7% growth
registered last year. Developing Asia continues to
grow most rapidly, but other emerging regions are
also expected to continue their strong rebound.
Prices for both oil and non-oil commodities rose
considerably in 2010, in response to strong global
demand but also to supply shocks for selected
commodities. Upward pressure on prices is
26
expected to persist in 2011, due to continued robust
demand and a sluggish supply response to
tightening market conditions. As a result, the IMF's
baseline petroleum price projection for 2011 is now
$90 per barrel. Consumer prices in emerging
economies are projected to rise 6 percent this year,
while that for advanced economies inflation is
expected to remain at 1½ percent this year.
Downside risks arise from the possibility of
tensions in the euro area periphery spreading to the
core of Europe; the lack of progress in formulating
medium-term fiscal consolidation plans in major
advanced economies; the continued weakness of
the U.S. real estate market; high commodity prices;
and overheating and the potential for boom-bust
cycles in emerging markets. On the upside, there are
risks from stronger-than-expected business
investment rebounds in major advanced
economies. Another downside risk stems from
insufficient progress in developing medium-term
fiscal consolidation plans in large advanced
economies. In emerging economies, key risks relate
to overheating, a rapid rise of inflation pressures,
and the possibility of a hard landing. In the near
term, upside risks to growth have risen, driven by
accommodative policies, strong terms-of-trade
gains for commodity exporters, and resurgent
capital inflows.
In the advanced economies, there is a need for
continued progress to repair and reform financial
systems. In the near term, emerging signs of a
handoff from public to private demand in many
large advanced economies suggests that countries
can push forward in formulating and
implementing credible medium-term
consolidation plans. At the same time, monetary
accommodation needs to continue in the advanced
 REPORTS

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27
 REPORTS

economies. Monetary tightening should begin or
continue in emerging economies where
overheating pressures are starting to emerge.
Further, prudential measures to keep increases in
credit or asset markets from becoming excessive
should also be considered. For emerging countries,
with real effective rates close to pre-crisis levels,
allowing the currency to appreciate would help
THE CLEARING CORPORATION OF INDIA LTD.
combat overheating pressures and facilitate a
healthy rebalancing from external to domestic
demand. In other countries where the currency is
above levels consistent with medium-term
fundamentals, fiscal adjustment can help lower
interest rates and restrain domestic demand.
Source: www.imf.org

28
 SPEECHES
Dilemmas in Central Bank
Communication: Some Reflections Based
on Recent Experience; Second Business
Standard Annual Lecture delivered by Dr.
Duvvuri Subbarao, Governor, Reserve Bank
of India, at New Delhi on January 7, 2011
Dr. Subbarao begins by stating that it is standard
practice for central banks these days to indicate
the policy rates, the rationale behind the policy
action, the expected outcomes, and oftentimes to
give forward guidance on future policy actions.
While communicating policy after it is made is the
standard mode of communication, central banks
are also increasingly taking to communication
before policy action-the market does not like
unexpected news, and that surprises should be
avoided unless surprise is, in rare circumstances,
part of the strategy itself.
According to him, sometimes, communication,
instead of being a vehicle for policy, can be the
policy itself. Communication can be a potentially
powerful tool for getting feedback when the
implications and the impact of proposed policy
are uncertain. He also states that eliciting views
and feedback is now standard practice for most
policy decisions of the Reserve Bank of India
(RBI).
Yet another factor that has motivated central
banks into placing larger emphasis on
communication is their hard earned autonomy in
the years before the crisis. Central banks have
increasingly embraced more open
communication to counter the criticism that an
autonomous central bank comprising unelected
decision makers was inconsistent with a
democratic structure.
Dr. Subbarao puts forward some of the
communication dilemmas and challenges faced
by the RBI in the recent period. He states that by
the time of the second quarter review in early
November 2010, the RBI had already raised policy
interest rates five times. The central issue before
this policy review was whether it should continue
on the tightening spree or pause before resuming
tightening later on. Inside the Reserve Bank, the
view was that within the policy trajectory, it did
not matter if one paused briefly as long as the RBI
remained committed to the eventual outcome.
The dilemma then boiled down to
communicating to the market that the RBI action
should be interpreted only as a comma and not a
full stop.
Central banks have learnt that giving forward
guidance on the policy trajectory is an effective
way of managing market expectations; but the
THE CLEARING CORPORATION OF INDIA LTD.
forward guidance is typically conditional on
certain expected macroeconomic developments.
The dilemma then is how precisely is the
conditionality to be communicated, and how to
ensure that the market does not ignore the
conditionality and interpret the guidance as an
irrevocable commitment.
Dr. Subbarao pointed out the additional dilemma
in differentiating between 'neutral' & 'normal'
target policy rates. Another frequent dilemma
faced by the RBI is about how much of the
uncertainty surrounding a policy decision should
be communicated. He puts forward an example
29
 SPEECHES
for illustration. The Reserve Bank conducts a
quarterly inflation expectations survey based on a
sample of respondents, since September 2005. By
2009 there was a growing view within the Reserve
Bank that the results of the survey should be
'communicated' to the public on the principle
that, as far as possible, there should be no
information asymmetry between the public and
the RBI. The real communication dilemma
emerged over the question whether the RBI will be
able to convey the arms length relationship
between the 'Reserve Bank' and the 'Reserve Bank
Survey', and make the broader public appreciate
that the survey results are the opinion of the
respondents and not of the Reserve Bank.
According to Dr. Subbarao, communication
dilemmas arise not just in the domain of monetary
policy but also with respect to other dimensions of
the Reserve Bank's work, for instance on the
guidelines over the issuance of new banking
licenses. With respect to Basel III framework, Dr.
THE CLEARING CORPORATION OF INDIA LTD.
Subbarao feels that the communication challenge
is to educate the market on the Basel III notion of
buffers and their manner of use so that these
safeguards function the way they are intended to.
The second communication challenge comes from
the 'comply or explain' framework under which
countries have the option to deviate from certain
components of the package and explain why they
have deviated. The concern really is that the
market, known for its unfailing ruthlessness, will
penalize any deviation, and the communication
challenge for regulators is to persuade the markets
to evaluate the country's compliance based on the
explanation.
30
The Basel Committee on Banking Supervision
(BCBS) and the Financial Stability Board (FSB) are
currently engaged in devising a framework for
regulating and supervising systemically important
financial institutions (SIFIs). Under the
arrangement presently under discussion, SIFIs will
be pre-identified on the basis of some defined
criteria and subjected to graded prudential
surcharges and other safeguards. These are
intended to eliminate the moral hazard, reduce
their systemic risk potential, and should it become
inevitable, allow them to fail in an orderly
manner. The intent is to pre-identify SIFIs for the
purpose of greater supervision but not to disclose
the list as that would accentuate the moral hazard.
The dilemma is how the market might actually
respond to this deliberate non-transparency.
Dr. Subbarao continues that greater transparency
is not always better communication and white
noise often complicates understanding; and that
central banks may sometimes withhold
information for strategic reasons. However, he
argues that the RBI has, however, progressively
moved towards greater disclosure in line with
international best practices, and is among 68
central banks from around the world to have
adopted the Special Data Dissemination
Standards (SDDS) template for publication of
detailed data on foreign exchange reserves,
including some information on currency
composition, investment pattern and forward
positions.
Dr. Subbarao feels that the media has been an
effective intermediary between the Reserve Bank

and its stakeholders; however, there are ways in
which it can become even more effective. He
suggests that the media will probably be more
effective and value adding if it allows time for
digesting the news and thinks through before
'analysis and interpretation', and does some
research before coming out with 'opinion'. Also,
more stringent quality control will make the
media a more useful and effective 'news
intermediator'. The media has a responsibility also
for broad basing its reporting; and should opt for
restraint instead of sensationalism.
In his conclusion, Dr. Subbarao states that it is the
continuing endeavour of the RBI to communicate
in a clear manner so as to minimize scope for
misinterpretation; in an effective manner so that
the diverse target groups get the relevant
information and message; and also in an honest
and consistent manner such that people can link
its policies and action to past trends and future
projections.
Source: www.rbi.org.in
Centrality of banks in the financial system:
Address by Shyamala Gopinath, Deputy
Governor, RBI at the 12th FIMMDA-PDAI
Annual Conference, Udaipur, January 8,
2011.
The main focus of the Shyamala Gopinath speech
was on the emerging post-crisis regulatory
landscape for the financial sector i.e. Basel III
framework for banks, OTC derivative markets,
etc. She said that recent crisis was about the
SPEECHES
centrality of banks as the supporting lifelines of
financial markets. There is a clear recognition of
the inadequacies of the regulatory approach based
on the assumption of self-contained, well
functioning markets which ignored the risks these
markets passed on to the banking system.
She mentioned two kind of financial system i.e.
bank-based and market based financial systems.
The bank-based system highlights the positive role
of banks in leveraging informational advantage
about the firms for capital allocation and ensuring
better credit discipline. In contrast, the market-
based system highlights the growth enhancing role
of well-functioning markets in fostering greater
innovation; enhancing greater market discipline
and corporate governance. Market based systems
were supposed to reduce the problem of moral
hazard inherent in bank-based systems. However,
it is increasingly being recognized that any system
is essentially an interplay of dynamic interaction
between banks and markets and right
THE CLEARING CORPORATION OF INDIA LTD.
interpretation of this interplay would be critical
for addressing systemic stability.
The two major factors which accentuated the crisis
is banks' increasing interdependence on the
capital markets because of blurring of lines
between commercial banking and investment
banking and increased recourse to 'originate and
distribute' model of asset creation and increased
reliance on wholesale, market linked funding of
balance sheets through unregulated repo market.
There was an entire set of market microstructure
which facilitated the above transition the rating
agencies, accounting standards & legal
31
 SPEECHES
documentation practices. The end result of the
banks' increasing reliance on capital markets and
capital market intermediaries was an explosion in
the total size of financial markets. On the other
hand, as major market participants, it is the banks
which create and enhance market liquidity by
virtue of their participation without which it
would be difficult to envisage the success of
markets. Even the central counter parties (CCPs),
which guarantee market transactions and assume
counterparty risks through novation, ultimately
depend on banks to for the settlement guarantee
funds.
Now there is generally accepted consensus on
improving the quality of capital of banks and the
new Basel norms prescribe a higher portion of
pure equity. There are also proposals for a new
form of instruments - contingent capital - which
would be nothing but a convertible debt security
that would automatically convert into equity as
the institution's financial condition weakened.
THE CLEARING CORPORATION OF INDIA LTD.
This mandatory conversion feature means that the
debt security would not default and thus
bankruptcy would be avoided.
In India, banks balance sheets are relatively less
aligned with capital market both on the asset side
as well as liability side. Capital in the form of
subordinated debt and other non-equity
instruments constitutes only around 38 per cent of
total capital. Also, there are prudential limits on
banks' reliance on short-term funding markets.
The overnight unsecured market for funds is
restricted only to banks and primary dealers (PD)
and for these too there are limits on both lending
32
as well as borrowing. Inter-bank liabilities in all
forms for any bank have to be within 200 percent
of its net-worth. Access to collateralized segments
such as market repo and CBLO is contingent on
the availability of securities, which is floored by
the SLR requirements. On the asset side,
investment activities of banks are based on
following fundamental guiding principles: (i)
Nature of different credit exposures is different
and all exposures cannot be treated on par (ii)
Underlying intent and spirit of a particular
transaction is more relevant than the form (iii)
Contamination risks arising from off-balance
sheet activities need to be contained.
She admitted that it is impossible to have a
straightjacket framework for scope and nature of
banks' involvement with market-based systems
such as corporate bond market, securitization,
issuance of Irrevocable Payment Commitments by
banks to stock exchanges, issue of structured forex
derivatives by banks and Credit Default Swap
(CDS).
In her conclusion, Shyamala Gopinath said that
the migration from the conventional bank based
model to a market based model has not
diminished the importance of banks in the
financial system. In fact, with higher growth in the
financial markets, the responsibilities cast on the
banks are on the increase. She underlined seven
broad issues that need to be addressed in the
Indian context going forward: (i) How to
strengthen capital requirements for market risk
when most banks are on Standardised Approach?
(ii) How to strike a balance in regard to fee-based

revenue streams of banks? (iii) How to address
conflicts of interest in banks' lending
relationships and capital market activities? (iv)
How to strengthen the rating regime? (v) How to
address excessive collateralisation of balance
SPEECHES
sheets? (vi) How to increase the appetite for credit
risk among non-bank institutional investors? (vii)
How to encourage true market development
without the support of banks?
www.rbi.org.in
THE CLEARING CORPORATION OF INDIA LTD.
33
 MARKET ROUND-UP
MARKET OVERVIEW
Macro-economic Overview

Domestic

• Fiscal stimulus announced by the government and Pay Commission awards enabled the economy to
achieve a smart recovery on both savings and investment fronts in 2009-10. Data published by the Central
Statistical Organization shows that gross capital formation - a proxy for investment - stood at 36.5% of
GDP in 2009-10 as against 34.5% in 2008-09. Despite a decrease in household savings, a rise in public and
private corporate savings pushed the overall savings rate to 33.7% in 2009-10 from 32.2% in the year
before. According to the quick estimates, the economy grew 8% during 2009-10, higher than 7.4%
provisionally estimated earlier, driven by stronger performance in manufacturing (8.8%), financing,
insurance, real estate & business services (9.2%), transport, storage and communication (15%),
community, social and personal services (11.8%). The numbers have been revised following the change in
the wholesale price index with base year 2004-05 and also subsequent revision in the index of industrial
production. The country's per capita income also, grew by 14.5% to `46,492 in 2009-10 from `40,605 in
the year-ago period.

• RBI, in its Third Quarter Review of Monetary Policy 2010-11, retained the baseline projection of real GDP
growth at 8.5% with an upside bias. IMF too revised up its projection for the Indian economy to 8.8%
during 2011 from 7.4% a year ago following robust growth in farm sector and pick up in consumption, at
the same time, raising concerns over rising prices.

• RBI started to publish data on sectoral Sectoral Deployment of Credit - December-2010

deployment of credit for the month. Year on Year Variation Financial Year Basis
(%) Variation (%)
THE CLEARING CORPORATION OF INDIA LTD.

These data are collected on a monthly Sector

2009 2010 2009-10 2010-11
basis from select 47 scheduled
Non-Food Credit 11.5 23.1 5.9 11.6
commercial banks accounting for about
Industry 15.7 27.4 11.8 14.5
95% of the total non-food credit Services 11.5 25.0 2.4 13.8
deployed by all scheduled commercial Agriculture 20.3 21.0 2.8 1.2
banks. It shows that all major sectors,
except agriculture, recorded accelerated credit growth in December'10, both on a y-o-y and financial year
basis.

• The government's fiscal deficit in the April-December period of 2010-11 has come down by 45% to `1.71
lakh crore (drop of `15,273 crore from November'10), compared to the `3.09 lakh crore in the same period
last fiscal. Better-than-expected income from spectrum auction and a growing tax kitty are the prime
reasons for the fall in deficit figures. Besides, the government has also cut down on its expenditure further
narrowing the gap between its revenue and expenses. In absolute terms, expenditure by the government
during the three quarters rose by 11% to `7.87 lakh crore from `7.07 lakh crore in the period a year ago,

34
 which got overshadowed by impressive growth in revenues that went up by almost 50% at `5.84 lakh crore
till December as against same period last fiscal. The government collected `3.91 lakh crore in taxes during
the nine-month period, which was 73.2% of the Budgetary target for the entire fiscal. Meanwhile, non-tax
revenue in April-December'10, stood at `1.93 lakh crore, 130.4% of the Budget estimate for the entire
fiscal, primarily on account of higher realization from the auction of spectrum. Banking on healthy
growth in direct taxes collections, the finance minister raised the revenue collection target for financial
year by `20, 000 crore to `4.5 lakh crore.

• According to the data provided by the Commerce Ministry, the country's goods exports have shot up by
36.3% in December'10 to $22.50 billion, the highest in 33 months. Imports, on the contrary, fell by 10.9%
to $25.13 billion, the lowest in the last 14 months. This resulted in trade deficit narrowing to $2.63
billion, the lowest in the last three years. The reasons for the good show by exporters were market
diversification, better demand even in traditional destinations such as the US and Europe, competitive
pricing of items with help from Government incentives as well as better marketing. Oil imports in
December fell 16% to $6.93 billion where as non-oil imports, including capital goods were up 9% to $18.2
billion. The Third Quarter Review of Monetary Policy 2010-11 expressed concern over the widening
current account deficit Trend in Export and Import during 2010-11 (Amt. in USD Million)
(CAD) which is expected to Month Export
Growth
Import
Growth Trade
(%) (%) Balance
be almost 3.5% of GDP.
2009-10 178665 286985 -108320
Persistent rise in
Apr-10 17278 38.5 28022 45.0 -10744
commodity prices may pose May-10 16023 30.1 26553 32.5 -10530
further risk for both the Jun-10 19452 43.0 25831 12.2 -6379
CAD and inflation. The Jul-10 16013 11.7 26510 22.0 -10497
c o m b i n e d r i s k s f ro m Aug-10 16644 22.5 29679 32.3 -13035
inflation, the CAD and Sep-10 18023 23.2 27141 26.4 -9118
fiscal situation could Oct-10 17960 21.3 27689 9.1 -9729

THE CLEARING CORPORATION OF INDIA LTD.

contribute to an increase in Nov-10 18895 26.5 27796 12.1 -8901

u n c e r t a i n t y a b o u t Dec-10 22500 36.3 25130 -10.9 -2630

economic stability. 2010-11 162788 244351 -81563

• Output of six key infrastructure sectors expanded 6.6% in December'10, higher than an upwardly revised
growth of 3% in November, igniting expectations of a better factory output. The better performance in
infrastructure was driven by the robust crude oil (15.8%) and petroleum refinery sectors (8.3%). Finished
steel output rose more than 11%, but cement production contracted 2.2%, indicating a slack in
construction activity.

35
 Sector-wise Growth Rate (%) in Production
20.0 17.0
15.8
15.0
11.0 11.2
9.6
10.0 8.3 6.6 6.6
6.2
4.3 3.3 4.4 3.0
5.0 3.0
0.9 0.71.2
(%)

1.1
0.0

-2.2

al

ll
l
ity
il

en
ts
-5.0

ra
Co
O

ste
-3.7
uc

ve
tri
e

od

Ce
ud

O
ed
ec
Pr

sh
Cr

El
-10.0

ni
m

Fi
leu
tro

-11.6
Pe

-15.0 Sectors
Dec-10 Nov-10 Dec-09

• Direct tax collections in the first nine months (April-December) of the current financial year increased
19.47% to touch `2.99 lakh crore (69.53% of the Budgeted target), compared with `2.50 lakh crore in the
corresponding period of 2009-10. During the period under consideration, collections from corporation
tax jumped 22.07%, where as collections of personal income-tax, including securities transaction tax
(STT), residual fringe benefit tax and banking cash transaction tax increased by 10.96%. The mop-up from
STT increased 11.97% to `5,117 crore
from `4,570 crore last year. The Direct Tax Mop-Up (Amt in ` Crore)
government's direct tax collection April-Dec April-Dec
Category Growth (%)
2010 2009
figures are now expected to go up by Corporate Tax 203244 166503 22.07
an additional `20,000 crore from the Personal Income Tax* 92295 83178 10.96
budget target of `4.3 lakh crore on Securities Transaction Tax 5117 4570 11.97
the back of rising corporate income Total
THE CLEARING CORPORATION OF INDIA LTD.

298958 250232 19.47

and improved tax compliance by *includes securities transaction tax, residual fringe benefit tax and banking
cash transaction tax
salaried individuals.

• The Centre has, during April-December, achieved three-fourths of the indirect taxes collection target for
2010-11. Overall, indirect tax collections grew 42.8% during April-December'10, at `2.37 lakh crore (`1.66
lakh crore). Net indirect tax collections in December'10, grew 45.9% to `29,437 crore (`20,175 crore),
higher than the collection of `27,495 crore in previous month. While customs duty collections grew
75.7%, excise duty collection for the same month grew 29.5%. Service tax collections grew 27% in
December'10, to `5,154 crore (`4,057 crore). Boosted by higher revenue mop-up, the government has
upped indirect tax collection estimates by 7% for this fiscal, from the Budget target of `3.15 lakh crore.

36
 Indirect Tax Collections (Amt. in ` Crore)
Budget Estimate Growth Apr-Dec Apr-Dec Growth
Type of Duty Dec-09 Dec-10
(2010-11) (%) 2009 2010 (%)
Customs 115000 7391 12986 75.70 59402 99830 68.06
Excise 130471 8727 11297 29.45 69747 93281 33.74
Service 68000 4057 5154 27.04 36984 44081 19.19
Total 313471 20175 29437 45.91 166133 237192 42.77

• The government's inflation worries do not seem

to abate. Rising food prices pushed up headline Monthly Inflation Rates
Month Revised Rate (%) Provisional Rate (%)
inflation sharply to 8.43% in December'10 from
Oct-09 1.46 1.34
7.48% in November'10. Inflation rate for October
Nov-09 5.55 4.78
too was revised upwards to 9.12% from 8.58%,
Dec-09 8.10 7.31
indicating that prices have indeed been rising
Jan-10 9.44 8.56
much faster than anticipated. Inflation has been
Feb-10 10.06 9.89
shooting up due to domestic supply-side Mar-10 11.04 9.90
bottlenecks that pushed up food prices and rising Apr-10 11.23 9.59
global commodity prices. Food inflation May-10 11.14 10.16
accelerated to 13.55% from 9.41% in Jun-10 11.06 10.55
November'10, while manufacturing inflation Jul-10 10.31 9.97
cooled to 4.46% from 4.56%. Fuel inflation rose to Aug-10 8.82 8.51
11.19% in December (10.3% in November), Sep-10 8.93 8.62
forcing government to defer a hike in diesel prices Oct-10 9.12 8.58

last month.

• After five consecutive weeks of steady rise, food inflation declined to 15.52% for the week ended 8th
January'11 from 18.32% for the week ended 25th December'10 following reduced prices of pulses, wheat,

THE CLEARING CORPORATION OF INDIA LTD.

potatoes and cereals.
Weekly Food Inflation (%)
However, high onion,
24.00
vegetables, fruits, as well as
20.00
milk prices pushed
%

inflation once again up, to 16.00

17.05% for the week ended 12.00

22nd January'11 i.e. an 8.00
17-Apr-10
1-May-10

29-May-10

26-Jun-10

7-Aug-10

2-Oct-10
16-Oct-10
30-Oct-10
13-Nov-10

8-Jan-11
3-Apr-10

15-May-10

12-Jun-10

10-Jul-10
24-Jul-10

21-Aug-10
4-Sep-10
18-Sep-10

27-Nov-10
11-Dec-10
25-Dec-10

22-Jan-11

increase of 1.53 percentage

points within two weeks
(note: the rise was despite
Date
the various measures
taken by the government such as ban on exports of milk products, edible oil, pulses and non-basmati
rice). Hike in petrol prices (second time in a month) by state-owned oil companies by `2.50-2.54 per litre
on 17th January'11 also contributed to the jump in inflation rate.

37
 • RBI, in its Third Quarter Review of Monetary as well as the extent of demand side pressures. To
Policy 2010-11, revised upwards the baseline check the further rise in inflation rate, RBI
projection of WPI inflation for March'11 to 7% hiked the repo and reverse repo rate under the
from 5.5%, stating that inflation outlook will LAF, once again, by 25 bps each from 25th
be shaped by the factors which include changes January'11 (sixth hike in 2010-11).
in food price situation - both domestic and
• Industrial output nosedived to 2.7% in
global, movement in global commodity prices
November, the slowest in 18-months, pulled
down by the dismal show in manufacturing
Movement in Key Policy Rates
Reverse
sector (2.32% against 12.3% a year ago),
Effective Since Effective Since Repo Rate
Repo Rate especially consumer goods (3.1% against an
8-Dec-08 5.00 12-Jun-08 8.00 impressive 10.1% growth a year ago). IIP fell
5-Jan-09 4.00 25-Jun-08 8.50
after a robust 11.29% growth in October partly
5-Mar-09 3.50 30-Jul-08 9.00
because of the high base effect (11.3%). The
21-Apr-09 3.25 20-Oct-08 8.00
silver lining, however, is the 12.6% growth in
19-Mar-10 3.50 3-Nov-08 7.50
capital goods production, a measure of
20-Apr-10 3.75 8-Dec-08 6.50
5-Jul-10 4.00 5-Jan-09 5.50
investments taking place in the industry. This
27-Jul-10 4.50 5-Mar-09 5.00 double-digit growth is on top of the high
16-Sep-10 5.00 21-Apr-09 4.75 growth of 11% recorded the same time last year.
2-Nov-10 5.25 19-Mar-10 5.00 Consumer non-durables output declined by 6%
25-Jan-11 5.50 20-Apr-10 5.25 from a 2.3% growth during the corresponding
5-Jul-10 5.50 month previous year where as consumer
27-Jul-10 5.75 durables output expanded by a meager 4.3% in
16-Sep-10 6.00 November, from the 36.3% growth recorded a
2-Nov-10 6.25 year ago. Mining and power generation output
25-Jan-11 6.50
expanded at a rate of 5.97% and 4.6%
THE CLEARING CORPORATION OF INDIA LTD.

respectively.
Growth of Industrial Production (in per cent)
Category Nov'10 Oct'10 3 Months ago 6 Months ago Year ago
SECTORAL
General 2.70 11.29 6.90 11.30 11.30
Mining 5.97 6.50 7.00 8.70 10.70
Manufacturing 2.30 11.30 5.90 12.30 12.30
Electricity 4.60 8.80 1.00 6.40 1.80
USE-BASED
Basic goods 4.50 7.70 3.70 7.90 6.00
Capital goods 12.60 22.00 -2.60 34.30 11.00
Intermediate goods 2.40 9.50 10.00 10.20 19.40
Consumer goods -3.10 9.60 6.90 8.20 10.10
Consumer durables 4.30 31.00 26.50 23.70 36.30
Consumer non-durables -6.00 0.10 -1.20 2.40 2.30

38
International
The average crude oil prices remained steady near
$89 per barrel during the month when compared to
December'10. The first week of January'11 saw
crude oil prices easing to $88.68 per barrel from
$91.69 a barrel following strengthening of US
dollar against major international currencies and
th
rise in US oil inventories. However, by 13
January'11, crude oil prices bounced back to the
month high of `91.98 per barrel as an Alaskan
pipeline carrying about 15% of US crude output
was shut following a leak. After fluctuating in a
th
range of $91-$91.59 per barrel till 20 January'11,
various factors such as sharp rise in jobless claims
in US against a forecast for a slight drop, hike in
lenders' reserve requirements by 50 bps by China,
restoration of Alaskan pipeline led crude oil prices
to drop to $85.57 per barrel (28th January'11). Rising
by around $4 per barrel in the very next trading
session, crude prices ended the month at $89.55 a
barrel as concerns over anti-government protest in
Egypt spreading to the West Asia and disrupting
supply heightened.
The IMF, in its World Economic Outlook, raised
the forecast for global economic growth for 2010,
2011 and 2012 to 5%, 4.4% and 4.5% respectively
from the October's prediction. According to the
IMF, a bill signed into law by President Barack
Obama on 17th December'10 that extends for two
years and renews emergency jobless benefits will
help the US grow 3% in 2011, the fastest of Group
of Seven economies before slowing to 2.7% next
year. Estimates for the euro area were unchanged at
1.5% for 2011 and were cut to 1.7% in 2012. Japan is
now seen growing 1.6% and 1.8% next year. Urging
emerging countries to closely watch the rise of asset
price bubbles following increase in inflation risks,
IMF expressed concern over growth slowdown in
China and India when compared with 2010. The
fund left the forecast for China unchanged at 9.6%
and held India's growth outlook at 8.4% for 2011.
The World Bank left growth forecast for the world
economy in 2011 unchanged at 3.3%, from a
revised 3.9% in 2010, reflecting capacity constraints
in developing nations and restructuring in
developed economies, which will be followed by
faster growth of 3.6% in 2012. Rising commodity
prices seen as one of the major threats in the short
term to global growth. It expects capital inflows, a
driving force of the recovery in emerging countries,
now pose risks to global growth as they can trigger
abrupt currency fluctuations. According to the
bank, developing economies accounting for 46% of
global growth during 2010 will continue to lead,
with forecast expansion of 6% in 2011, down from
7% in 2010. China's growth could slow to 8.7% this
year from 10% in 2010 where as India will grow
8.4%, down from 9.5% last year. High-income
nations are expected to expand 2.4%, from 2.8% last
year with the Euro region growing 1.4% (1.7% in
2010) as well as U.S. by 2.8% in 2011 with strong
domestic demand growth. Expansion in Japan
could slow to 1.8% from an estimated 4.4% in 2010.
The US economy accelerated in the fourth quarter
of 2010 to 3.2% as consumer spending climbed by
THE CLEARING CORPORATION OF INDIA LTD.
the most in more than four years and on strong
exports. During 2010, the world's largest economy
expanded 2.9%, the most in five years, after
shrinking 2.6% in 2009. However, Moody's
Investors Service warned that lack of US
government action on the budget deficit increases
the likelihood of a negative outlook on the
country's top AAA credit rating. Europe's economy
expanded less than initially estimated in the third
quarter as companies trimmed spending to weather
the region's worsening debt crisis. GDP in the euro
region rose 0.3% from the second quarter instead of
nd
0.4% reported on 2 December'10. The Bank of
Japan raised its growth forecasts for the year
through March and predicted faster inflation as
39
 strength in overseas demand bolsters exports and 2010 and the key challenges for the economy is to
pushes up commodity prices. Japan's economy may ensure that anti-inflationary measures do not
expand 3.3%, raising the estimate from 2.1% in “significantly” reduce growth.
October. Ignoring the government's hope of
China overtook the US last year as the world's
economic recovery, Japan's long-tem sovereign debt
biggest economy when measured in terms of
rating was cut for the first time in nine years by
purchasing power. The size of China's economy in
Standard & Poor's as persistent deflation and
2010 was $14.8 trillion, compared with the US's
political gridlock undermine efforts to reduce a 943
$14.6 trillion, when accounting for the countries'
trillion yen ($11 trillion) debt burden. The world's
differing costs of living.
most indebted nation is now ranked at AA-, the
GDP Growth Rate (Quarter-on-Quarter) (%)
2008:Q4 2009:Q1 2009:Q2 2009:Q3 2009:Q4 2010:Q1 2010:Q2 2010:Q3 2010:Q4
US -5.40 -6.40 -0.70 2.20 5.60 3.70 1.70 2.60 3.20
EURO 16 -1.80 -2.50 -0.20 0.40 0.00 0.20 1.00 0.30 -
Japan -10.20 -11.90 2.70 0.00 0.90 1.30 1.80 4.50 -
UK -1.80 -2.50 -0.80 -0.20 0.40 0.30 1.10 0.70 -0.50
Australia -0.50 0.40 0.60 0.30 0.90 0.70 1.20 0.20 -
China 9.00 6.10 7.10 7.70 8.70 11.90 10.30 9.60 9.80

fourth-highest level, putting the country on a par
with China. The rating agency feels that the
government lacks a “coherent strategy” to address
the nation's debt. Britain's economy unexpectedly
shrank the most in more than a year in the fourth
quarter of 2010 as construction slumped and the
coldest weather in a century last month hampered
services and retailing. GDP fell 0.5% in the three
THE CLEARING CORPORATION OF INDIA LTD.
The central banks of US, Euro, Japan, Australia, UK
and New Zealand held their respective benchmark
rates unchanged during the month. However,
People's Bank of China raised lenders' reserve
requirements within three weeks of boosting
th
benchmark interest rates by 50 bps w.e.f. 20
January'11 to rein in liquidity after the nation's
foreign-exchange reserves surged by a record last

months through December (the biggest drop since
the second quarter of 2009, when it fell 0.8%) after
increasing 0.7% in the previous quarter.
China finished 2010 with a bang, its growth soaring
past forecasts and inflation slowing less than
expected. Its growth accelerated to 9.8% in the
fourth quarter (compared with a 9.6% annual gain
in the previous three months) as industrial
production and retail sales picked up. China's
economy expanded 10.3% in 2010, the fastest pace
in three years; that compared with growth of 9.2%
in 2009. As per the estimates released by the World
Bank, China's GDP growth is set to slow down this
year to 8.7% and the next to below 9% from 10% in
quarter to $2.85 trillion and new loans breached a
2010 target.
After last month's downgrade, the ECB threw
Portugal a temporary lifeline by buying up its
bonds as market and peer pressure mounted to seek
an international bailout soon. Germany, France
and other euro zone countries were also pushing
Portugal to seek an EU-IMF assistance program,
following Greece and Ireland, in a bid to prevent
contagion spreading to the much larger Spain, the
fourth biggest economy in the euro area. Joining
China in assisting the region, as it battles against a
fund- raising crisis that prompted bailouts of
Ireland and Greece, Japan decided to use its foreign-

40
 International Yield Movements
% (U S, G erm any) 3.53 1.28
3.43 1.26
1.24

% (Japan)
3.33
3.23 1.22
1.20
3.13 1.18
3.03 1.16
2.93 1.14
2.83 1.12
11

11

11

1
1

1
-1

-1

-1

-1
-1

-1

-1
n-

n-

n-

an
an

an

an

an

an

an
Ja
Ja

Ja

-J

-J

-J

-J
-J

-J

-J
3-

5-

7-

11

13

17

19

21

25

28
Date
US 10 year bond rate Germany 10 year bond rate Japan 10 year bond rate

exchange reserves to buy more than a fifth of bonds was a marked fall in the quantum of net liquidity
to be issued later in January under a special infusions, which led to some softening in money
rd
assistance program to help Ireland. market rates from 6.2% - 6.7% (3 January'11) to
5.2% - 6.0% by the second week of the month.
Money Market Review*
However, average rates climbed to 6.9% in the call
Relatively easy liquidity conditions in the banking segment towards the end of the month following
system following various policy measures taken by the turnaround in the cash position of the banks.
the RBI led short term rates to ease marginally. The The ensuing Charts display the movement of short
weighted average rates in the Call, Repo as well as term rates during January'11 and the share of each
CBLO markets declined to 6.54%, 6.25% and segment in the total trading volume of the money
6.16% respectively during January'11 from 6.72%, market respectively.
6.30% and 6.17% during the previous month. There

MOVEMENT OF SHORT TERM RATES

THE CLEARING CORPORATION OF INDIA LTD.

6.60 Reporting Friday 7.00
6.40 6.90
CBLO and Repo

6.20 6.80
Call Rate (%)
Rates (%)

Comfortable liquidity 6.70

6.00
6.60
5.80
6.50
5.60 6.40
5.40 6.30
5.20 6.20
1 1 1 11 11 11 11 11 11 11
-1 -1 -1 n- n- n- n- n- n- n-
-Jan -Jan -Jan -Ja -Ja -Ja -Ja -Ja -Ja -Ja
3 5 7 11 13 17 19 21 25 28
Date
CBLO rate Repo rate Call rate

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

41
 SHARE IN MONEY MARKET TRADING VOLUMES
CALL VOLUME
REPO VOLUME 13.77%
17.66%

CBLO VOLUME
68.57%

The following two Tables illustrate the comparative rates across the various segments of the money
weighted average rates over a period of time and the market respectively.
comparative statistics of short term volumes and

COMPARATIVE WEIGHTED AVERAGE MONEY MARKET RATES (%)

Jan'11 Dec'10 3 Months ago 6 Months ago Year ago
CALL 6.54 6.72 6.42 5.53 3.26
REPO 6.25 6.30 6.00 5.44 3.02
CBLO 6.16 6.17 5.93 5.26 2.88

COMPARATIVE MONEY MARKET VOLUMES AND RATES

Gross Daily Average Minimum Maximum
Volumes (` Cr) Volumes (` Cr) Rate (%) Rate (%)
Jan'11 Dec'10 Jan'11 Dec'10 Jan'11 Dec'10 Jan'11 Dec'10
CALL 224958.31 253860.94 8998.33 10154.44 6.29 6.34 6.92 6.97
REPO 288642.86 324715.36 11545.71 12988.61 5.92 5.97 6.56 6.36
CBLO 1120387.20 1094590.70 44815.49 43783.63 5.28 5.28 6.50 6.29
THE CLEARING CORPORATION OF INDIA LTD.

Liquidity Adjustment Facility
Liquidity condition of the banks improved during
the month as apparent from the 24% decline in the
average cash infusion by the RBI using LAF Repo
window. It stood at `93,071.75 crore against
`1,21,934.55 crore during December'10. At the same
time, banks parked, on average, `1,548.25 crore with
the RBI using LAF Reverse Repo window during
January'11 against `2,486.82 crore during the
previous month - reduction of 38%. Actions taken
during the previous month had its effect on the total
liquidity support provided by the RBI in the first
two weeks of January'11, when it fell to `7,85,435
crore. However, banks succumbed to the cash crunch
and borrowed `10,76,000 crore in the later half of
January'11.
On the basis of an assessment of the current liquidity
situation, RBI decided to extend the following
liquidity management measures:
• The additional liquidity support to scheduled
commercial banks under the LAF to the extent
of up to 1% of their NDTL, currently set to
expire on January 28, 2011, has been extended
up to April 8, 2011.
• The second LAF will now be conducted on a
daily basis up to April 8, 2011.

42
Government Securities Market
Primary Market
The market witnessed liquidity outflows in the form
of re-issue of 9 government securities for `33,000
crore, issue of 13 SDLs for `8,361 crore and auction
of T-Bills worth `24,363 crore. As part of the `48,000
crore of OMOs announced by the RBI in
December'10, it purchased government securities
worth `17,508.51 crore during the month, summary
of which is given in the following Table.

OMOs CONDUCTED DURING THE MONTH

Date of Repurchase Paper Amount (` Crore) Cut-off Price (`) Yield (%)
05-Jan-11 7.17% G.S. 2015 8858.56 97.59 7.8211
05-Jan-11 7.99% G.S. 2017 1030.00 100.87 7.8167
05-Jan-11 6.90% G.S. 2019 112.56 93.73 7.9257
12-Jan-11 7.46% G.S. 2017 1552.28 97.17 8.0162
12-Jan-11 7.80% G.S. 2020 1733.12 97.57 8.1751
12-Jan-11 8.08% G.S. 2022 4221.99 99.35 8.1669

There was no recourse to auctions under the Market securities and the auction of the T-Bills respectively
Stabilization Scheme. The succeeding two Tables during the month.
provide the details of the primary issue of dated

DATED SECURITIES AUCTION/ISSUE

Date of Devolvement
Amount Cut-off Yield
Issue/ Paper on PDs
(` Crore) Price (`) (%)
Auction (` Crore)
04-Jan-11 8.38% SDL 2021 (Gujarat) 500.00 - 8.3800 -
04-Jan-11 8.39% SDL 2021 (Madhya Pradesh, Punjab, Tamil Nadu) 2025.00 - 8.3900 -
04-Jan-11 8.42% SDL 2021 (Jammu & Kashmir) 479.10 - 8.4200 -

THE CLEARING CORPORATION OF INDIA LTD.

07-Jan-11 7.49% G.S. 2017 4000.00 97.25 8.0536 723.50
07-Jan-11 7.80% G.S. 2020 4000.00 97.48 8.1891 1486.10
07-Jan-11 8.26% G.S. 2027 3000.00 98.10 8.4745 0.00
14-Jan-11 7.17% G.S. 2015 4000.00 96.56 8.1108 0.00
14-Jan-11 8.13% G.S. 2022 4000.00 99.66 8.1732 0.00
14-Jan-11 8.30% G.S. 2040 3000.00 97.54 8.5288 0.00
18-Jan-11 8.52% SDL 2021 (Gujarat) 500.00 - 8.5200 -
18-Jan-11 8.53% SDL 2021 (Andhra Pradesh) 1000.00 - 8.5300 -
18-Jan-11 8.54% SDL 2021 (Maharashtra) 1875.00 - 8.5400 -
18-Jan-11 8.55% SDL 2021 (Bihar, Manipur, Mizoram, Uttarakhand) 1481.52 - 8.5500 -
18-Jan-11 8.56% SDL 2021 (Uttar Pradesh) 500.00 - 8.5600 -
21-Jan-11 7.99% G.S. 2017 4000.00 99.01 8.1892 0.00
21-Jan-11 8.08% G.S. 2022 4000.00 98.75 8.2497 0.00
21-Jan-11 8.26% G.S. 2027 3000.00 97.70 8.5216 0.00

43
 T-BILL AUCTION
91 day T-Bill 182 day T-Bill 364 day T-Bill
Date Amt MSS Price YTM Amt MSS Price YTM Amt MSS Price YTM
(` Cr) (` Cr) (`) (%) (` Cr) (` Cr) (`) (%) (` Cr) (` Cr) (`) (%)
05-Jan-11 4500.00 0.00 98.26 7.1027 1500.00 0.00 96.49 7.2954 - - - -
12-Jan-11 4500.00 0.00 98.25 7.1443 - - - - 1000.00 0.00 93.04 7.5012
19-Jan-11 4502.00 0.00 98.24 7.1858 1500.50 0.00 96.42 7.4462 - - - -
25-Jan-11 5860.90 0.00 98.23 7.2274 - - - - 1000.00 0.00 92.96 7.5940
Total 19362.90 0.00 3000.50 0.00 2000.00 0.00

The Charts shown below gives the trend in the cut- Bills respectively.
off yields of the 91-day, 182-day and 364-day T-

91 DAY T-BILL CUT-OFF YIELDS

9.50
9.00
8.50
8.00
7.50
7.00
(%)

6.50
6.00
5.50
5.00
4.50
4.00
3.50
3.00
Ju 06

Ju 07
N -06

N -0 7

N -0 8

N -09

N -10
Ja 07

Ja 08
Ja 06

Ja 09

Ja 10
Ap 07

M 08

M 09

M 10

11
Au -07

Ju 08

Ju 09
Au -06

Au 09
Au 08

Au 10
Ju 10
-
r-
-

-
r-

n-

n-

n-
n-

n-
-

-
n-

n-
-
n-
g

g
ov

g
ov

g
ov

ov
n

ov
ar

ar

ar
Ap

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

THE CLEARING CORPORATION OF INDIA LTD.

10.00
9.00
8.00
7.00
(%)

6.00
5.00
4.00
3.00
Ju - 08

Ju - 09

Ju 10
Ju 06

Ju 07

Ja 07
A p 07

M 10
Ja 6

Ja 08

Ja 9

Ja 0
M 08

M 09

11
Au 0 6

N -07

Au 0 8
N -08

Au 0 9

N -10
N -06

Au -0 7

N -09

Au -1 0
-0

-0

-1
r-

r-

ar-
-

-
n-

n-

n-

n-

n-
n-

n-

n-
ar

ar
ov
ov

ov

ov

ov
g

g
g

g
n

n
Ap

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

44
Secondary Market `1,11,042 crore (January'11) from `1,27,812 crore
(December'10) - decline of 13%. Volumes settled by
The total trading volume on the NDS-OM
CCIL in January'11 can be seen from the Chart
platform fell for the fifth consecutive month to
exhibited below.

SETTLEMENT VOLUMES

11000.00
Volume ( ` Crore)

9000.00

7000.00

5000.00

3000.00

1000.00
11

11

11

11

11

11

11

11
11

11
n-

n-

n-

n-
n-

n-

n-

n-

n-
n-
Ja

Ja

Ja

-J a

-J a
-J a

-J a

-J a

-J a

-J a
3-

7-
5-

11

17

21

28
13

19

25
7 trades totaling `60 crore of “7.17% G.S. 2015”, 34 totaling `110 crore of “8.13% G.S. 2022” were
trades of “7.99% G.S. 2017” for `215 crore, 3 trades conducted in the "When Issued" Market during the
of “8.08% G.S. 2022” for `15 crore and 12 trades month.

Yield Movements After climbing to the month high of 8.24% by 17th

January'11 following comments from the RBI
10-year yields moved between 7.95% and 8.24%

THE CLEARING CORPORATION OF INDIA LTD.

governor that the country is facing a surging
during January'11 as compared to 7.89% and 8.20%
inflation, it fell to 8.12% towards the end of the
during the previous month. On heightened fears of
month. The prime reason for the downward
stringent monetary tightening by the RBI after
movement in the yields was less-than-expected
food inflation surged to 18% and disappointing G-
hawkish tone of the RBI during its third quarter
Sec auction results on 7th January'11, the yields of
review of monetary policy. The movement of 10-
benchmark securities hardened from 7.95% (3rd
year G-Sec yields is shown in the following Chart
January'11) to 8.23% by 10th January'11. However,
and the yields of different tenors prevailing on the
bond yields fell to 8.14% (13th January'11) on
last working day of the month are provided in the
speculation that RBI will temper the pace of rate
forthcoming Table.
increases as industrial output slowed in November.

45
 10-YR YIELD MOVEMENT
8.2500
8.2100
8.1700
8.1300
(%)

8.0900
8.0500
8.0100
7.9700
7.9300
11

11

11

11

11

11

11

11

11

11
11

11

11

11

11
n-

n-

n-

n-

n-

n-

n-
n-

n-

n-

n-

n-

n-

n-

n-
Ja

Ja

Ja

Ja

- Ja

- Ja

- Ja

- Ja

-Ja

-Ja

-Ja

-Ja

-Ja

-Ja
-Ja
3-

5-

7-

9-

11

13

15

17

19

21

23

25

27

29

31
Date

YIELD MOVEMENTS (%)*

Tenor Jan-11 Dec-10 3 Months ago 6 Months ago Year ago
O/N 6.9829 6.7184 7.3008 5.0331 3.2984
3 month 6.8853 6.8349 6.6861 5.7108 3.6087
6 month 7.0615 6.9723 6.8264 5.9073 3.9799
1 year 7.2692 7.2219 6.9720 6.2354 4.6369
2 year 7.5593 7.5452 7.2274 6.6873 5.7958
5 year 8.0246 7.8428 7.8214 7.4569 7.1613
10 year 8.1452 7.9131 8.1215 7.7901 7.5678
* as on the last working day of the month

The trend in the average yield spread over a period between 75.39 bps and 118.71 bps during the month,
of time, which increased marginally from 71.81- is illustrated in the following Chart.
THE CLEARING CORPORATION OF INDIA LTD.

100.73 bps during December'10 and fluctuated

1 YR - 10 YR SPREAD
350
300
250
200
(bps)

150
100
50
0
-50
Apr-05

Aug-06

Apr-08

Aug-10
Nov-09
Feb-10
Jun-05
Sep-05
Dec-05

Nov-06
Feb-07

Jul-07
Oct-07
Jan-08

Jul-08
Sep-08
Dec-08

Jun-09

Nov-10
Jan-11
Sep-09
May-06

May-10
Mar-06

May-07

Mar-09

Spread (1-10yr)

46
Foreign Exchange Market currency once again declined to `45.70 by the end
of the third week of January'11, tracking sharp sell-
The USD-INR exchange rate oscillated between
off in domestic shares on account of China's rate
`45.95 per dollar and `44.67 a dollar with an
hike, some weak numbers from corporate India,
average rate of `45.39 per dollar and standard
wholesale inflation number of 8.43% for
deviation of 30 paise during January'11. Higher
December'10 and rate hike by the RBI. After
dollar purchases to pay for costlier crude oil
fluctuating close to `45.50 per dollar, rupee
imports, speculation over record current account
weakened to the month low of `45.95 a dollar (31
st

deficit as well as on fears of slower economic growth

January'11) as mounting unrest in Egypt prompted
in Asia because of tightened monetary policies to
investors to favor the relative safety of the dollar
curb inflation, led the Indian currency to depreciate
over emerging market assets.
from `44.67 per dollar (3 January'11) to `45.44 per
rd

th
dollar by 10 January'11. However, the Indian Table (A) gives the analysis of the rupee movement
rupee climbed to `45.13 a dollar (13 January'11) in against major currencies and the exchange rate
th

anticipation that demand for emerging market prevailing on the last working day of the month
assets will improve as concern over Europe's debt over a period of time is provided in Table (B). The
crisis abates following a pledge by Japan to buy movement of the rupee against major currencies is
euro-region debt. Reversing the trend, Indian depicted in the following Chart.

TABLE (A): EXCHANGE RATE MOVEMENT

Rs. / Euro Rs./ Pound Rs./ 100 yen Rs. / Dollar
Movement (%) -5.34 -5.05 -1.91 -2.87
Average Rate 60.53 71.54 54.97 45.39
Staddev 1.42 1.28 0.45 0.30
Max 62.73 72.95 56.02 45.95
Min 58.63 69.32 54.33 44.67

THE CLEARING CORPORATION OF INDIA LTD.

TABLE (B): EXCHANGE RATE MOVEMENT
Exchange Rate Jan' 11 Dec' 10 3 Months ago 6 Months ago Year ago
Rs. / Euro 62.54 59.81 61.81 60.73 64.63
Rs./ Pound 72.95 69.29 70.93 72.54 74.78
Rs./ 100 yen 56.02 55.06 55.21 53.70 51.59
Rs. / Dollar 45.95 44.81 44.54 46.46 46.37

47
 RUPEE VIS-A-VIS MAJOR INTERNATIONAL CURRENCIES
56.00
72.00 55.00
54.00
Pound Sterling/Euro 70.00

US Dollar/Jap Yen
53.00
68.00 52.00
51.00
66.00
50.00
64.00 49.00
48.00
62.00 47.00
46.00
60.00
45.00
58.00 44.00
4- 11
5- 11
6- 11
7- 11
10 - 11

19 -11

24 -11

28 -11
11 -11
12 -11

13 -11
14 -11
17 -11
18 n-11

20 -11
21 -11

25 -11
27 -11

31 -11

11
n-

n-

n-
n-
n-

n
n
n

n
n

n
n
n

n
Ja

Ja
Ja
Ja

Ja

-J a
-J a
-J a
-J a

-J a

-J a
-J a

-J a
-J a

-J a

-J a
-J a
-J a
-J a
-J a
3-

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

The movement of 6-month and 1-month forward and 6.14% - 6.63% respectively during January'11
premia which fluctuated between 6.17% - 6.74% can be seen from the Chart given below.

FORWARD PREMIA
6.80
6.70
6.60
Rate (%)

6.50
THE CLEARING CORPORATION OF INDIA LTD.

6.40
6.30
6.20
6.10
11

11

11

11

11

11

11

11

11

11
n-

n-

n-

n-

n-

n-

n-

n-

n-

n-
Ja

Ja

Ja

-Ja

-Ja

-Ja
- Ja

- Ja

-Ja

-Ja
3-

5-

7-

11

13

17

19

21

25

28

6-month 1-month

48
The month observed sharp contrast in the FIIs'
buying behavior when they reduced the purchase of
equities and remained net sellers of USD 1.05
billion in January'11 against net purchase of USD
0.45 billion during the previous month. Where as,
the action in the equity market was off-set by large
purchases of debt by them worth USD 2.25 billion
(January'11) when compared with the net purchase
of debts of USD 0.26 billion during the previous
month. After taking into consideration both the
markets, FIIs remained net buyers of USD 1.20
billion - a jump of 69% from the previous month's
net purchase of financial instruments worth USD
0.71 billion. The trend in FII flows over a course of
time is given in the following Chart.

FII INFLOWS
7000
6250
5500
4750
4000
USD Million

3250
2500
1750
1000
250
-500
-1250
-2000
-2750
-3500
-4250
-5000
06

09

0
08
6

08

9
7

0
08

09

11
07

10
6

0
8
-0

-1
r -0

r -0
r -0

r -1
l-0

l-1
l-0

l-0
l-0
c t-

c t-

c t-
r-

n-
n-

n-
n-

n-
ct

ct
Ap

Ap

Ap

Ap

Ap
Ju

Ju
Ju

Ju

Ju
Ja
Ja

Ja

Ja

Ja
O

O
QUARTERLY MOVEMENT OF FII FLOWS (USD Million)

THE CLEARING CORPORATION OF INDIA LTD.

Quarterly Movement of FII flows
Quarter Net Investment in Equity Net Investment in Debt Total (USD Mn.)
Q1 2008-09 -3478.70 -709.80 -4188.50
Q2 2008-09 -2807.90 2003.30 -804.60
Q3 2008-09 -4015.10 739.50 -3275.60
Q4 2008-09 -1524.70 -1562.90 -3087.60
Q1 2009-10 6269.00 157.70 6426.70
Q2 2009-10 7102.40 831.50 7933.90
Q3 2009-10 4861.94 1769.13 6631.07
Q4 2009-10 4547.32 4712.56 9259.88
Q1 2010-11 2331.16 1371.28 3702.44
Q2 2010-11 11495.15 4053.23 15548.38
Q3 2010-11 10988.20 -24.91 10963.29
Jan-11 -1053.55 2251.70 1198.15

49
 With economic recovery in the rich countries
remaining fragile, FDI inflows to India dipped for
the second consecutive month, falling by about 6%
to $1.6 billion in November'10 over the same
period last year. In November'09, FDI stood at
$1.74 billion. During the first eight months of
2010-11, India received FDI inflows worth $14.03
billion, a decline of 27.4% over the corresponding
period previous year when it stood at $19.33
billion.

FOREIGN INVESTMENT INFLOWS (US $ MILLION)

2010-11 (P) 2009-10 (P)
Item
Apr. May. Jun. Jul. Aug. Sep. Oct. Nov. Apr-Nov Apr-Nov
A. Direct Investment 2179.00 2213.00 1380.00 1785.00 1330.00 2118.00 1392.00 1628.00 19002.00 24964.00
B. Portfolio Investment 3315.00 41.00 1297.00 9114.00 -440.00 10577.00 28704.00 -19811.00 32797.00 22167.00
Total (A+B) 5494.00 2254.00 2677.00 10899.00 890.00 12695.00 30096.00 -18183.00 51799.00 47131.00

India's foreign exchange reserves came close to
achieving the USD 300 billion mark by the week
st
ending 21 January'11 when it reached USD 299.40
th
billion from USD 295.03 billion (week ended 24
December'10) on account of rise in foreign currency
assets from USD 265.91 billion to USD 269.55
billion during the period under consideration.
However, for the week ending 28th January'11,
foreign exchange reserves fell marginally and stood
at USD 299.17 billion following revaluation of
non-dollar assets vis-à-vis the dollar. The following
Chart provides the trend in foreign exchange
reserves over a period of time.

FOREIGN EXCHANGE RESERVES

325000 19500
14500
300000 9500
4500
USD Million

USD Million
275000
-500
THE CLEARING CORPORATION OF INDIA LTD.

250000 -5500
-10500
225000 -15500
-20500
200000 -25500
175000 -30500
-35500
150000 -40500
Ja 06

Ja 07

Ja 08

Ja 09

Ja 10
Ju 6

Ju 8

Ju 9

Ju 10
Ju 07
Ap 07

Ap 08

Ap 09

Ap 10

11
O 08
O 06

O 07

O 09

O 10
r -0

r-0

r -0
ct-

ct-

ct-
c t-

c t-
r-

r-
n-
n-

n-

n-

n-
l-

l-

l-
l-

l-
Ap

CHANGE FOREX RESERVES (RHS)

50
 KEY MACROECONOMIC INDICATORS
TABLE 1: DOMESTIC INDICATORS
2009-10 2010-11
Change
Sr. (Latest (Latest
Item Unit/Base 1990-91 2000-01 2001-02 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09 over
No. available available
Previous
figures) figures)
Month
National Income
Gross Domestic Product at market price (at 2393671 2612847 3117372 3402716 4465360 4807222 1225554
1 ` Crore 692871 (1) 1870387 1978055 2052586 2208196
2004-05 prices) (7.5%) (QE) (9.4%) (RE) (9.60%) (9.00%) (6.70%) (7.40%)$ (8.90%)$
2 Fiscal Deficit ` Crore 44632.00 118816.00 140955.00 145072.00 123273.00 125202.00 146435.00 142793.00 94283.00 ¥ 330114.00 412307.00 171249.00
Agriculture
Triennium
Index Number of Agricultural Production
3 ending 148.40*** 167.30 178.20 140.00 141.20 139.20 146.70 167.20 173.10 161.20 150.40
(All crops)
1993-94=100
Industry
1993-94 = 284.50 297.80 297.90 347.30 317.90
4 General Index of Industrial Production 212.60* 162.60 167.00 176.60 189.00 (7.0) 204.20 (8.0%) 221.20 (8.0%) -15.20
100 (12.90%) (3.90%) (-2.30%) (13.50%) (2.7%)
Money Supply, Banking & Interest Rates
3295644 3876926 4655831 5579567 6200420
5 M3 ` Crore 265828 1313220 1498355 1719203 2000349 2253938 2729535 2.77%
(20.8%) (17.10%) (16.20%) (14.90%) (10.70%)
2594259 3075224 3732501 4486573 4945648
6 Aggregate Deposits ` Crore 192541 962618 1103360 1280853 1501931 1766628 2087670 3.04%
(23.0%) (17.90%) (16.80%) (14.80%) (10.10%)
1923192 2272603 2690513 3240399 3719885
7 Bank Credit ` Crore 116301 511434 589723 729215 835382 1141701 1496474 2.20%
(27.6%) (17.80%) (13.90%) (12.60%) (14.60%)
8 S C Banks Investment in Govt. Securities ` Crore 49998 340035 411176 523417 653244 726111 704694 771060 966516 1166237 1375704 1459961 1.51%
9 Credit - Deposit Ratio Per cent 60.40 53.39 53.81 56.87 56.23 64.63 71.68 74.13 73.90 72.08 70.97 75.22
10 Cash Reserve Ratio Per cent 15.00 8.00 5.50 4.75 4.50 5.00 5.00 6.00 7.50 5.00 5.75 6.00
11 Bank Rate Per cent 10.00 7.00 6.50 6.25 6.00 6.00 6.00 6.00 6.00 6.00 6.00 6.00
12 Inter-bank call money rate (Mumbai) Per cent 4.00 - 70.00 4.00 - 19.00 4.00 - 20.00 3.00 - 12.00 2.00 - 4.60 1.50 - 5.90 4.75 - 8.25 6.00 - 80.00 2.50 - 9.70 2.00 - 5.05 1.00 - 4.10 4.00 - 6.50
13 Base Rate û Per cent -- 11.00 -12.00 11.00 -12.00 10.75 -11.50 10.25 -11.00 10.25 -10.75 10.25 -10.75 12.25 - 12.50 12.25 - 12.75 11.50 -12.50 11.00 - 12.00 8.00 - 9.00
Inflation
14 Wholesale Prices (Monthly) ø
197.70 210.00 223.60 227.30 250.80 144.10
a. All Commodities 2004-05=100 182.70*** 155.70 161.30 166.80 175.90 189.10 (5.2%) 1.80
(3.51%) (5.74%) (6.68%) (0.31%) (9.90%) (8.43%)
b. Fuel, power, light and lubricants 2004-05=100 175.80*** 208.10 226.70 239.20 254.50 289.00 316.70 320.10 341.00 320.90 361.80 150.10 1.50
15 Wholesale Prices (Weekly) ø
283.40 194.60
a. Primary Articles 2004-05=100 - - - - - - - - - - 4.90
(13.86%) (18.44%)
361.80 151.90
b. Fuel, power, light and lubricants 2004-05=100 - - - - - - - - - - 1.20
(12.75%) (11.61%)
16 Consumer Prices-Industrial Workers 2001=100 193.00 444.00 463.00 482.00 500.30 (3.85) 519.50 (3.84) 119.00μ 127.00μ 137.00μ 148.00μ 170.00μ 185.00μ 3.00

THE CLEARING CORPORATION OF INDIA LTD.

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52

THE CLEARING CORPORATION OF INDIA LTD.

2009-10 2010-11 Change

Sr. (Latest (Latest over
Item Unit/Base 1990-91 2000-01 2001-02 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09
No. available available Previous
figures) figures) Month

Balance of Trade****
106121 140238 181368 235911 287759 278681 (- 246724
17 Value of Imports US$ Million 24073 50536 51413 60157 75,400 11.16%
(35.62%) (32.00%) (29.33%) (27.01%) (14.30%) 8.20%) (19.01%)
79594 100607 124629 155512 168704 176574 (- 164707
18 Value of Exports US$ Million 18145 44560 43827 52719 61718 17.41%
(24.41%) (25.00%) (23.88%) (23.02%) (3.40%) 4.70%) (29.50%)
19 Balance of Trade US$ Million -5927 -5976 -7587 -8693 224 -26528 -39631 -56739 -80398 -119055 -102106 -82017.00 0.42%
Foreign Exchange Inflows/Outflows &
Exchange Rate
20 Foreign Exchange Reserves****
a. Foreign Currency Assets US$ Million 2236.00 39554.00 51049.00 71890.00 107448.00 135262.00 142159.00 191924.00 294649.00 241597.00 254685.00 269282.00 3377.00
b. Gold US$ Million 3496.00 2725.00 3047.00 3534.00 4198.00 4500.00 5747.00 6784.00 9558.00 9746.00 17920.00 22470.00 346.00
c. SDRs US$ Million 102.00 2.00 10.00 4.00 2.00 5.00 3.00 2.00 18.00 1.00 5006.00 5158.00 115.00
21 INR-USD Exchange Rate Rupee 19.57 46.63 48.80 47.50 43.39 43.75 44.61 43.59 39.97 50.95 45.14 45.95 1.14
22 Net FII Investment US$ Million -- 399.00 107.00 202.00 1418.00 3838** 2262.80 6708.00 16039.80 -11356.30 30251.55 31412.26 1198.15
23 Cumulative Net Investment+ US$ Million -- 13416.00 15281.00 15804.00 25754.00 35925** 43808.50 51965.70 68005.40 56649.30 89332.60 120744.91 1198.11
Central Government Borrowings (Dated
Securities and 364 day T-bills)
24 Government Borrowings****
Gross ` Crore -- 115183 133801 151126 180891 106501 158816 227687 188205 306550 459497 447482 35000.00
Net ` Crore -- 73787 92302 104118 108581 46050 85058 146574 106895 230018 313010 320872 24154.35
25 Outstandings ` Crore 536325 674204 1127268 885498** 1018621 1181604 1434086 1706083 2033452 2353211 24154.35
26 CCIL Settlement Statistics****
a. Securities (F.V.) ` Crore 1544376** 2518322** 2692126** 2559260** 3578037** 5602602** 6254519 8986719 5929467 -10.65%
b. Forex US$ Million -- -- -- 136102** 501342** 899782** 1179688** 1776981 ** 3133664** 3758904 2988971 3487830 -3.57%
c. CBLO (F.V.) ` Crore -- -- -- 852** 76851** 976757** 2953134** 4732271 ** 8110828** 8824784 15541378 10206112 2.36%
27 Gilts Turnover Ratio# Per cent -- -- -- -- 176.17^ 87.93 61.54 74.26 102^ 111^ 123^ 110^
Source: RBI Annual Report, Bulletin, Weekly Statistics, SEBI & CCIL Percentage figures in brackets denote y-o-y growth
Notes: ^ Turnover Ratio as on January 31, 2011
Yearly figures are as in March-end (1) At 1993-94 prices
* : Base: 1980-81=100 μ: Base year 2001
*** : Base : 1981-82=100 $ : GDP for Jul-Sep 2010 (Q2 2010-11). GDP for Jul-Sep 2009 (Q2 2009-10): ` 1,108,537 Crore -
**: Figure as at March-end (8.7%)
****: Figures are cumulative for the year .+: Grand Total
Q.E : Quick Estimate ¥: Excluding acquisition cost of RBI stake in SBI (` 35,531 crores)
R.E : Revised Estimate o: GDP data till 2008-09 are calculated taking 1999-00 prices as the base.
A.E : Advance Estimate ¤: Base Rate relates to five major banks since July 1, 2010. Earlier figures relate to Benchmark Prime
B.E.: Budget Estimate Lending Rate (BPLR).
#Turnover Ratio=(Central Government Securities Volumes for 12 months/Market Capitialisation ø: Inflation data till 2009-10 are calculated taking 1993-94 as base
during the month)*100
 TABLE 2: WORLD ECONOMIC INDICATORS
Item UK USA Japan Germany South Korea China Brazil India
GDP for 2009 (USD Bn)(µ) 2189.40 14043.90 3064.86 2582.61 1424.61 30067# 3143.00 59232.00
GDP at current prices (2010 Q3) (1) 365920 3717600@ 120527675 628140 292737500 11753.60# 891.60 17093.40#
Net Exports (USD Bn) (November 2010) (2) -12.48# -51.42# 5.16 15.11 0.94 16.85# 4.22@ -11.90#
% change of GDP over last quarter** -0.50 0.78 1.10# 0.70# 0.54 - - -
GDP Implicit price deflator(2010 Q3)( 2005 = 100) 129.24 125.35@ 88.23 111.11 128.86 - - -
Industrial Production Index (2005=100) (November 2010) 90.03 98.57 92.28 109.68# 137.71 200.90# 114.32# 153.85#
Producer Price Index (2005=100) (December 2010) (9) 120.49# 118.95 102.70 108.17 119.29 115.80# 127.10# 155.80#
Narrow Money (2005=100) (November 2010) (7) 152.86 133.57 106.23 147.23(3) 120.98# 265.69@ 211.12 238.86@
Broad Money (2005=100) (November 2010) (8) 175.07 134.93 105.32 139.66(3) 158.12# 264.74@ 232.90 264.38@
Long term Interest rates (December 2010) 3.59 3.29 1.16# 2.91 4.46 - - 8.14^
Short term Interest rates (December 2010) 0.76 0.30 0.34# 1.02(b)(3) 2.80 2.75# 17.30# 7.60-8.50(6)
Exchange rate (per 1USD) (December 2010) 0.64 1.00 83.27 0.76(3) 1145.14 6.65 1.70 45.95@
Key Policy Rates ¥ (%) 0.50 0.00-0.25 0.00-0.10 1.00 2.75 5.81 10.75 5.50

Implies 2010(Q4) over 2010(Q3)

January 31, 2011

November, 2010.
Short December, 2010.

Base Rate

THE CLEARING CORPORATION OF INDIA LTD.

53
54

THE CLEARING CORPORATION OF INDIA LTD.

OUTSTANDING GOVERNMENT DEBT

TABLE 3: LIST OF OUTSTANDING GOVERNMENT DEBT
Price Expected price
Price
Change Change for a Actual
Market Change
Yield (%) Due to 100bps rise in Change for
Sr. Issue Maturity Outstanding Capitali- Yield Mod V+ (for V- (for Convexity Due to
ISIN No. Security Price (Previous Duration Modified yield due to 100 bps PV01
No. Date Date (` Crore) zation (%) Duration 100bps) 100bps) Measure Convexity
Month) Duration Duration and increase in
(` Crore) for 100bps
for 100bps Convexity yield
(%)
(%) Effect(%)
1 IN0020020213 6.57% 2011(Pvt. Placement) 24-Feb-03 24-Feb-11 17082.53 17084 100.01 6.2792 6.6361 0.07 0.06 102.7862 102.92 0.01 -0.06 0.00 -0.06 -0.07 0.00
2 IN0019989014 10% NAT BKS (NT) SPL SEC 2011 24-Mar-89 24-Mar-11 400.00 402 100.49 6.4590 6.8270 0.15 0.15 103.8382 104.15 0.04 -0.15 0.00 -0.15 -0.15 0.00
3 IN0019810020 8% 2011 27-Apr-81 27-Apr-11 1472.92 1477 100.25 6.8071 6.7738 0.24 0.23 102.0741 102.56 0.11 -0.23 0.00 -0.23 -0.24 0.00
4 IN0020000041 10.95% 2011 30-May-00 30-May-11 12000.00 12148 101.23 7.0357 7.6605 0.33 0.32 102.7235 103.39 0.21 -0.32 0.00 -0.32 -0.32 0.00
5 IN0020010057 9.39% 2011 02-Jul-01 02-Jul-11 37000.00 37278 100.75 7.5026 7.3026 0.42 0.41 101.0667 101.90 0.33 -0.41 0.00 -0.41 -0.41 0.00
6 IN0020040021 6.10% UTI Spl. Bonds 2011 23-Jul-04 23-Jul-11 362.00 360 99.37 7.4458 7.0757 0.48 0.46 99.0307 99.95 0.43 -0.46 0.00 -0.46 -0.46 0.00
7 IN0019910044 11.50% 2011 05-Aug-91 05-Aug-11 2861.36 2919 102.02 7.4092 7.4621 0.49 0.47 107.1104 108.12 0.46 -0.47 0.00 -0.47 -0.47 0.01
8 IN0019910127 12% 2011 21-Oct-91 21-Oct-11 3246.91 3350 103.18 7.3763 7.2565 0.70 0.67 105.7681 107.20 0.79 -0.67 0.00 -0.67 -0.67 0.01
9 IN0020000116 11.50% 2011(2nd Series) 24-Nov-00 24-Nov-11 11000.00 11331 103.01 7.5929 7.5372 0.79 0.76 104.3268 105.93 0.96 -0.76 0.00 -0.76 -0.76 0.01
7.47% Oil Marketing Companies GOI
10 IN0020050053 07-Mar-06 07-Mar-12 2000.00 1993 99.65 7.7990 7.7992 1.05 1.01 101.5858 103.66 1.54 -1.01 0.01 -1.00 -1.00 0.01
Special Bonds, 2012
7.44% Oil Marketing Companies GOI
11 IN0020050087 23-Mar-06 23-Mar-12 2000.00 1993 99.65 7.7514 7.5015 1.09 1.05 101.2056 103.36 1.65 -1.05 0.01 -1.04 -1.04 0.01
Special Bonds, 2012
12 IN0020020023 6.85% 2012 05-Apr-02 05-Apr-12 26000.00 25779 99.15 7.6035 7.3146 1.13 1.09 100.2422 102.45 1.75 -1.09 0.01 -1.08 -1.08 0.01
13 IN0020020056 7.40% 2012 03-May-02 03-May-12 33000.00 32956 99.87 7.4985 7.4481 1.21 1.16 100.4839 102.85 1.95 -1.16 0.01 -1.15 -1.15 0.01
14 IN0019840035 10.25% 2012 01-Jun-84 01-Jun-12 1574.13 1633 103.75 7.2390 7.3269 1.27 1.22 104.1532 106.73 2.13 -1.22 0.01 -1.21 -1.21 0.01
15 IN0020000066 11.03% 2012 18-Jul-00 18-Jul-12 13500.00 14152 104.83 7.4859 7.3575 1.39 1.34 103.8010 106.62 2.50 -1.34 0.01 -1.33 -1.33 0.01
16 IN0020020080 6.72% 2012 18-Jul-02 18-Jul-12 546.81 541 98.95 7.4882 7.3290 1.42 1.37 97.8285 100.54 2.56 -1.37 0.01 -1.35 -1.35 0.01
17 IN0020050137 7% OIL COS' GOI SPL BONDS 2012 09-Sep-05 09-Sep-12 5762.85 5696 98.83 7.7778 7.6574 1.51 1.45 100.1152 103.06 2.91 -1.45 0.01 -1.44 -1.44 0.01
18 IN0020010073 9.40% 2012 11-Sep-01 11-Sep-12 11000.00 11308 102.80 7.5151 7.4010 1.49 1.43 104.9206 107.97 2.87 -1.43 0.01 -1.42 -1.42 0.02
19 IN0019820037 9% 2013 24-May-82 24-May-13 1751.33 1806 103.11 7.5020 7.5122 2.11 2.04 102.6559 106.93 5.38 -2.04 0.03 -2.01 -2.01 0.02
20 IN0020010032 9.81% 2013 30-May-01 30-May-13 11000.00 11532 104.84 7.5016 7.5162 2.12 2.04 104.3298 108.67 5.41 -2.04 0.03 -2.01 -2.01 0.02
21 IN0019980187 12.40% 2013 (On Tap) 20-Aug-98 20-Aug-13 11983.91 13152 109.75 8.0948 7.5564 2.17 2.09 112.8862 117.70 5.89 -2.09 0.03 -2.06 -2.06 0.02
22 IN0020020122 7.27% 2013 (conv) 03-Sep-02 03-Sep-13 46000.00 45494 98.90 7.7421 7.5650 2.34 2.25 99.6078 104.20 6.53 -2.25 0.03 -2.22 -2.22 0.02
 Price Expected price
Price
Change Change for a Actual
Market Change
Yield (%) Due to 100bps rise in Change for
Sr. Issue Maturity Outstanding Capitali- Yield Mod V+ (for V- (for Convexity Due to
ISIN No. Security Price (Previous Duration Modified yield due to 100 bps PV01
No. Date Date (` Crore) zation (%) Duration 100bps) 100bps) Measure Convexity
Month) Duration Duration and increase in
(` Crore) for 100bps
for 100bps Convexity yield
(%)
(%) Effect(%)
23 IN0020030105 5.32% 2014 16-Feb-04 16-Feb-14 5000.00 4673 93.47 7.7701 7.8036 2.77 2.67 93.3725 98.49 8.89 -2.67 0.04 -2.62 -2.62 0.03
24 IN0020020221 6.72% 2014 (Pvt. Placement) 24-Feb-03 24-Feb-14 15273.60 14840 97.16 7.7762 7.8132 2.74 2.63 97.4783 102.75 8.78 -2.63 0.04 -2.59 -2.59 0.03
25 IN0020020049 7.37% 2014 16-Apr-02 16-Apr-14 42000.00 41517 98.85 7.7751 7.8147 2.86 2.75 98.2506 103.81 9.50 -2.75 0.05 -2.70 -2.70 0.03
26 IN0020090018 6.07% GS 2014 15-May-09 15-May-14 40000.00 38040 95.10 7.7806 7.8172 2.99 2.88 93.6430 99.19 10.19 -2.88 0.05 -2.82 -2.83 0.03
27 IN0019830010 10% 2014 30-May-83 30-May-14 2333.26 2453 105.14 8.1987 7.8229 2.88 2.77 103.8980 109.82 9.74 -2.77 0.05 -2.72 -2.72 0.03
28 IN0020090067 7.32% 2014 20-Oct-09 20-Oct-14 18000.00 17640 98.00 7.9456 7.7500 3.26 3.13 96.9614 103.23 12.21 -3.13 0.06 -3.07 -3.07 0.03
29 IN0019840084 10.50% 2014 29-Oct-84 29-Oct-14 1755.10 1905 108.54 7.8192 7.8547 3.15 3.03 107.8921 114.63 11.71 -3.03 0.06 -2.97 -2.97 0.03
30 IN0020080043 7.56% G.S. 2014 03-Nov-08 03-Nov-14 41000.00 40637 99.12 7.8305 7.8599 3.28 3.16 97.8170 104.19 12.41 -3.16 0.06 -3.10 -3.10 0.03
31 IN0019990137 11.83% 2014 12-Nov-99 12-Nov-14 11500.00 12840 111.65 8.1786 7.9017 3.13 3.00 110.8468 117.71 11.63 -3.00 0.06 -2.95 -2.95 0.03
32 IN0020020205 NAT BK'S(NT) SPL SEC 2015 07-Feb-03 07-Feb-15 70.00 70 100.21 7.9366 7.9562 3.39 3.26 100.7356 107.52 13.51 -3.26 0.07 -3.19 -3.19 0.03
33 IN0020000132 10.47% 2015 12-Feb-01 12-Feb-15 6430.00 7001 108.88 7.8563 7.8801 3.28 3.15 110.2537 117.43 12.96 -3.15 0.06 -3.09 -3.09 0.04
7.61% Oil Marketing Companies GOI
34 IN0020050061 07-Mar-06 07-Mar-15 1750.00 1730 98.88 7.9314 7.9480 3.49 3.36 98.5521 105.40 14.20 -3.36 0.07 -3.29 -3.29 0.03
Special Bonds, 2015
7.59% Oil Marketing Companies GOI
35 IN0020050095 23-Mar-06 23-Mar-15 1750.00 1729 98.79 7.9344 7.9495 3.54 3.40 98.0848 104.99 14.51 -3.40 0.07 -3.33 -3.33 0.03
Special Bonds, 2015
36 IN0020000033 10.79% 2015 19-May-00 19-May-15 2683.45 2925 109.00 8.2552 7.8831 3.52 3.38 107.4465 114.97 14.62 -3.38 0.07 -3.31 -3.31 0.04
37 IN0019850034 11.50% 2015 21-May-85 21-May-15 3560.50 4025 113.04 7.8668 7.8829 3.50 3.37 111.4367 119.21 14.56 -3.37 0.07 -3.30 -3.30 0.04
38 IN0020090026 6.49% 2015 08-Jun-09 08-Jun-15 40000.00 37874 94.69 7.9539 7.8158 3.81 3.67 92.1950 99.21 16.39 -3.67 0.08 -3.58 -3.59 0.04
39 IN0020100023 7.17% GOVT.STOCK 2015 14-Jun-10 14-Jun-15 53000.00 51179 96.56 8.1155 7.8520 3.78 3.64 94.0122 101.11 16.24 -3.64 0.08 -3.56 -3.56 0.04
40 IN0020000090 11.43% 2015 (Pvt. Placement) 07-Aug-00 07-Aug-15 12000.00 13587 113.22 7.8940 7.8991 3.54 3.41 114.7595 122.85 15.31 -3.41 0.08 -3.33 -3.33 0.04
41 IN0020020130 7.38% 2015 03-Sep-02 03-Sep-15 61000.00 59766 97.98 7.9109 8.4823 3.85 3.71 97.3338 104.82 17.25 -3.71 0.09 -3.62 -3.62 0.04
42 IN0020010099 9.85% 2015 16-Oct-01 16-Oct-15 10000.00 10747 107.47 7.9137 7.9083 3.82 3.67 106.3584 114.46 17.21 -3.67 0.09 -3.59 -3.59 0.04
43 IN0020060219 7.59% 2016 12-Apr-06 12-Apr-16 50000.00 49026 98.05 8.0514 8.0186 4.29 4.12 96.3003 104.57 21.25 -4.12 0.11 -4.01 -4.02 0.04
44 IN0020010016 10.71% 2016 19-Apr-01 19-Apr-16 9000.00 10005 111.17 8.0419 8.0154 4.09 3.93 109.7960 118.77 19.94 -3.93 0.10 -3.83 -3.83 0.04
45 IN0020040013 5.59% 2016 04-Jun-04 04-Jun-16 6000.00 5362 89.37 8.0747 8.0304 4.61 4.43 86.3529 94.35 23.69 -4.43 0.12 -4.31 -4.31 0.04
46 IN0019990129 12.30% 2016 (On Tap) 02-Jul-99 02-Jul-16 13129.85 15414 117.40 8.2513 8.1496 4.19 4.03 113.7116 123.25 20.86 -4.03 0.10 -3.92 -3.92 0.05

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56

THE CLEARING CORPORATION OF INDIA LTD.

Price Expected price

Price
Change Change for a Actual
Market Change
Yield (%) Due to 100bps rise in Change for
Sr. Issue Maturity Outstanding Capitali- Yield Mod V+ (for V- (for Convexity Due to
ISIN No. Security Price (Previous Duration Modified yield due to 100 bps PV01
No. Date Date (` Crore) zation (%) Duration 100bps) 100bps) Measure Convexity
Month) Duration Duration and increase in
(` Crore) for 100bps
for 100bps Convexity yield
(%)
(%) Effect(%)
47 IN0020090059 7.02% 2016 17-Aug-09 17-Aug-16 60000.00 57600 96.00 7.9237 7.8745 4.52 4.35 94.9827 103.61 23.79 -4.35 0.12 -4.23 -4.23 0.04
48 IN0020010107 8.07% 2017 15-Jan-02 15-Jan-17 49000.00 48608 99.20 8.2413 8.5423 4.83 4.63 95.0536 104.28 26.68 -4.63 0.13 -4.50 -4.50 0.05
49 IN0020020031 7.49% 2017 16-Apr-02 16-Apr-17 55000.00 53310 96.93 8.1259 7.8496 4.95 4.76 94.5156 103.95 28.50 -4.76 0.14 -4.61 -4.62 0.05
50 IN0020070010 7.99% 2017 09-Jul-07 09-Jul-17 59000.00 58569 99.27 8.1363 7.8169 5.13 4.93 94.9669 104.81 30.34 -4.93 0.15 -4.78 -4.78 0.05
51 IN0020020098 7.46% 2017 28-Aug-02 28-Aug-17 57886.80 56202 97.09 8.0366 7.8101 5.13 4.93 95.4474 105.34 31.04 -4.93 0.16 -4.78 -4.78 0.05
52 IN0020020163 6.25% 2018 02-Jan-03 02-Jan-18 16886.80 15160 89.77 8.2149 8.1141 5.62 5.39 85.5479 95.29 35.79 -5.39 0.18 -5.22 -5.22 0.05
53 IN0020080019 8.24% GOVT. STOCK 2018 22-Apr-08 22-Apr-18 50000.00 50150 100.30 8.1804 8.0057 5.47 5.26 97.3309 108.12 35.52 -5.26 0.18 -5.08 -5.08 0.05
54 IN0020010024 10.45% 2018 30-Apr-01 30-Apr-18 3716.00 4134 111.25 8.3456 8.0025 5.25 5.04 108.3057 119.80 33.51 -5.04 0.17 -4.88 -4.88 0.06
55 IN0020030063 5.69% 2018 (conv) 25-Sep-03 25-Sep-18 16130.00 13893 86.13 8.1603 8.0403 6.05 5.81 83.1667 93.42 42.24 -5.81 0.21 -5.60 -5.61 0.05
56 IN0019980286 12.60% 2018 (On Tap) 23-Nov-98 23-Nov-18 12631.88 15701 124.30 8.3054 8.0249 5.38 5.17 120.3223 133.42 35.91 -5.17 0.18 -4.99 -4.99 0.07
57 IN0020030097 5.64% 2019 02-Jan-04 02-Jan-19 10000.00 8539 85.39 8.1818 8.0567 6.33 6.08 80.7985 91.24 45.51 -6.08 0.23 -5.85 -5.86 0.05
58 IN0020080068 6.05% 2019 02-Feb-09 02-Feb-19 53000.00 46364 87.48 8.2148 8.0607 6.13 5.88 85.3431 96.00 44.25 -5.88 0.22 -5.66 -5.67 0.05
59 IN0020030048 6.05% 2019 (conv) 12-Jun-03 12-Jun-19 11000.00 9585 87.13 8.2036 8.3500 6.49 6.23 82.6682 93.64 48.63 -6.23 0.24 -5.99 -6.00 0.05
60 IN0020090042 6.90% 2019 13-Jul-09 13-Jul-19 45000.00 41477 92.17 8.2011 7.9375 6.43 6.18 87.0016 98.44 48.16 -6.18 0.24 -5.93 -5.94 0.06
61 IN0020010065 10.03% 2019 09-Aug-01 09-Aug-19 6000.00 6670 111.16 8.1849 8.0649 5.82 5.59 109.6808 122.66 42.62 -5.59 0.21 -5.38 -5.39 0.06
62 IN0020020171 6.35% 2020 02-Jan-03 02-Jan-20 61000.00 53824 88.24 8.2362 8.1011 6.76 6.49 83.1983 94.73 53.28 -6.49 0.27 -6.23 -6.23 0.06
63 IN0020000025 10.70% 2020 22-Apr-00 22-Apr-20 6000.00 6950 115.83 8.2158 8.0914 6.17 5.93 111.9754 126.07 47.82 -5.93 0.24 -5.69 -5.70 0.07
64 IN0020100015 7.80% G.S. 2020 3-May-10 3-May-20 60000.00 58660 97.77 8.1451 7.9131 6.61 6.35 93.5817 106.25 52.86 -6.35 0.26 -6.08 -6.09 0.06
65 IN0020000124 11.60% 2020 27-Dec-00 27-Dec-20 5000.00 6100 122.00 8.2973 8.1148 6.46 6.20 115.7456 131.03 52.44 -6.20 0.26 -5.94 -5.95 0.08
66 IN0020009018 11.50% GOI (IIBI) Spl Securities 2021 30-Mar-01 30-Mar-21 100.00 121 121.23 8.3563 8.2287 6.42 6.17 117.6726 133.11 53.21 -6.17 0.27 -5.90 -5.91 0.08
67 IN0020060318 7.94% G.S. 2021 24-May-06 24-May-21 49000.00 48301 98.57 8.1444 8.0532 7.10 6.83 93.4999 107.18 61.97 -6.83 0.31 -6.52 -6.53 0.07
68 IN0020010040 10.25% 2021 30-May-01 30-May-21 26213.32 29621 113.00 8.3446 8.0689 6.74 6.47 107.6007 122.47 57.27 -6.47 0.29 -6.19 -6.20 0.07
8.13% Oil Marketing Companies
69 IN0020060094 16-Oct-06 16-Oct-21 5000.00 4902 98.05 8.4069 8.2700 7.15 6.86 93.8229 107.61 63.81 -6.86 0.32 -6.54 -6.55 0.07
Government of India Special Bonds, 2021
 Price Expected price
Price
Change Change for a Actual
Market Change
Yield (%) Due to 100bps rise in Change for
Sr. Issue Maturity Outstanding Capitali- Yield Mod V+ (for V- (for Convexity Due to
ISIN No. Security Price (Previous Duration Modified yield due to 100 bps PV01
No. Date Date (` Crore) zation (%) Duration 100bps) 100bps) Measure Convexity
Month) Duration Duration and increase in
(` Crore) for 100bps
for 100bps Convexity yield
(%)
(%) Effect(%)
70 IN0020019017 9.75% GOI (IFCI) SPL SEC 2021 30-Oct-01 30-Oct-21 400.00 438 109.46 8.3936 8.2609 6.92 6.64 104.7892 119.68 60.91 -6.64 0.30 -6.34 -6.35 0.07
7.75% Oil Marketing Companies
71 IN0020060096 28-Nov-06 28-Nov-21 5000.00 4766 95.33 8.4135 8.2758 7.33 7.04 90.1699 103.79 66.35 -7.04 0.33 -6.70 -6.72 0.07
Government of India Special Bonds, 2021
72 IN0020060037 8.20% Government Stock 2022 15-Feb-07 15-Feb-22 57632.33 57632 100.00 8.1991 8.0692 7.20 6.92 96.9136 111.29 66.05 -6.92 0.33 -6.59 -6.60 0.07
73 IN0020020072 8.35% 2022 14-May-02 14-May-22 44000.00 44300 100.68 8.2532 8.1171 7.41 7.12 95.4943 110.10 68.98 -7.12 0.34 -6.77 -6.78 0.07
74 IN0020070028 8.08% Government Stock 2022 02-Aug-07 02-Aug-22 26969.41 26775 99.28 8.1778 8.0507 7.39 7.10 96.2923 110.98 70.16 -7.10 0.35 -6.75 -6.76 0.07
75 IN0020039031 5.87% 2022 (conv) 28-Aug-03 28-Aug-22 11000.00 9042 82.20 8.2896 8.1468 7.96 7.65 78.5237 91.50 78.21 -7.65 0.39 -7.26 -7.27 0.06
76 IN0020070051 8.13% 2022 21-Sep-07 21-Sep-22 33495.28 33410 99.74 8.1622 8.0299 7.52 7.22 95.5992 110.46 72.00 -7.22 0.36 -6.86 -6.88 0.07
8.15% Government of India FCI Special
77 IN0020060095 16-Oct-06 16-Oct-22 5000.00 4892 97.84 8.4406 8.3044 7.54 7.23 93.3019 107.82 72.15 -7.23 0.36 -6.87 -6.88 0.07
Bonds, 2022
78 IN0020089028 7% FERT COS GOI SPL BOND 2022 10-Dec-08 10-Dec-22 10000.00 8919 89.19 8.4592 8.3207 7.93 7.61 83.6447 97.39 77.83 -7.61 0.39 -7.22 -7.23 0.07
6.20% Fertilizer Companies’ Government of
79 IN0020089044 24-Dec-08 24-Dec-22 4000.00 3327 83.18 8.4690 8.3285 8.16 7.83 77.5662 90.72 81.32 -7.83 0.41 -7.43 -7.44 0.07
India Special Bonds, 2022
6.65% Fertilizer Companies Government of
80 IN0020089051 29-Jan-09 29-Jan-23 6000.00 5189 86.48 8.4665 8.3267 8.15 7.82 80.0739 93.62 81.13 -7.82 0.41 -7.41 -7.43 0.07
India Special Bonds, 2023
81 IN0020030014 6.30% 2023 09-Apr-03 09-Apr-23 13000.00 11025 84.81 8.3034 8.1639 8.16 7.84 80.2960 93.92 82.97 -7.84 0.41 -7.42 -7.44 0.07
82 IN0020030055 6.17% 2023 12-Jun-03 12-Jun-23 14000.00 11708 83.63 8.3121 8.1730 8.37 8.04 78.0148 91.62 86.24 -8.04 0.43 -7.61 -7.62 0.07
8.20% Oil Marketing Companies
83 IN0020089010 10-Nov-08 10-Nov-23 22000.00 21531 97.87 8.4738 8.3406 7.95 7.63 92.4734 107.72 81.34 -7.63 0.41 -7.22 -7.24 0.08
Government of India Special Bonds 2023
8.30% Fertilizer Companies GOI Special
84 IN0020079011 7-Dec-07 7-Dec-23 3890.00 3837 98.63 8.4746 8.3420 8.01 7.68 92.5767 107.95 82.16 -7.68 0.41 -7.27 -7.29 0.08
Bonds, 2023
8.01% Oil Marketing Companies
85 IN0020060052 15-Dec-06 15-Dec-23 4150.00 3999 96.36 8.4778 8.3447 8.09 7.76 90.1979 105.34 83.43 -7.76 0.42 -7.34 -7.36 0.08
Government of India Special Bonds, 2023
8.20% Oil Marketing Companies
86 IN0020060060 12-Feb-07 12-Feb-24 5000.00 4889 97.79 8.4829 8.3500 7.88 7.56 94.3361 109.73 81.81 -7.56 0.41 -7.15 -7.16 0.08
Government of India Special Bonds, 2024
8.35% SBI Rights Issue Government of India
87 IN0020079045 27-Mar-08 27-Mar-24 9996.01 9892 98.96 8.4804 8.2970 7.97 7.65 94.4327 110.04 83.21 -7.65 0.42 -7.23 -7.25 0.08
Special Bonds, 2024
88 IN0020090034 7.35% 2024 22-Jun-09 22-Jun-24 10000.00 9219 92.19 8.3271 8.1947 8.46 8.12 85.8162 100.96 91.11 -8.12 0.46 -7.67 -7.69 0.08
8.20% Oil Marketing Companies’
89 IN0020099019 15-Sep-09 15-Sep-24 10306.33 10224 99.20 8.2972 8.3638 8.18 7.85 94.6776 110.77 88.14 -7.85 0.44 -7.41 -7.43 0.08
Government of India Special Bonds, 2024

THE CLEARING CORPORATION OF INDIA LTD.

57
58

THE CLEARING CORPORATION OF INDIA LTD.

Price Expected price

Price
Change Change for a Actual
Market Change
Yield (%) Due to 100bps rise in Change for
Sr. Issue Maturity Outstanding Capitali- Yield Mod V+ (for V- (for Convexity Due to
ISIN No. Security Price (Previous Duration Modified yield due to 100 bps PV01
No. Date Date (` Crore) zation (%) Duration 100bps) 100bps) Measure Convexity
Month) Duration Duration and increase in
(` Crore) for 100bps
for 100bps Convexity yield
(%)
(%) Effect(%)
8.03% Government of India FCI Special
90 IN0020060011 15-Dec-06 15-Dec-24 5000.00 4809 96.18 8.5020 8.3727 8.41 8.07 89.7674 105.49 91.80 -8.07 0.46 -7.61 -7.63 0.08
Bonds, 2024
6.35% Oil Marketing Companies
91 IN0020089036 23-Dec-08 23-Dec-24 22000.00 18167 82.58 8.5105 8.3903 8.87 8.50 76.5453 90.74 99.41 -8.50 0.50 -8.01 -8.03 0.07
Government of India Special Bonds, 2024
7.95% Oil Marketing Companies
92 IN0020079029 18-Jan-08 18-Jan-25 11256.92 10750 95.50 8.5066 8.3768 8.52 8.18 88.3605 104.06 93.56 -8.18 0.47 -7.71 -7.73 0.08
Government of India Special Bonds 2025
8.40% Oil Marketing Companies
93 IN0020079052 28-Mar-08 28-Mar-25 9296.92 9217 99.14 8.5031 8.3751 8.28 7.94 94.3349 110.57 91.21 -7.94 0.46 -7.48 -7.50 0.08
Government of India Special Bonds, 2025
94 IN0020030071 5.97% 2025 25-Sep-03 25-Sep-25 16687.95 13338 79.92 8.3719 8.2426 9.11 8.75 75.2447 89.63 107.39 -8.75 0.54 -8.21 -8.23 0.07
95 IN0020089069 6.90% OIL MKTG COS GOI SB 2026 04-Feb-09 04-Feb-26 21942.00 19155 87.30 8.4044 8.3937 8.83 8.47 83.4442 98.85 104.15 -8.47 0.52 -7.95 -7.97 0.08
7.95% Fertilizer Companies Government of
96 IN0020079037 18-Feb-08 18-Feb-26 3610.00 3434 95.13 8.5300 8.3479 8.55 8.20 91.0734 107.31 99.20 -8.20 0.50 -7.71 -7.73 0.08
India Special Bonds, 2026
97 IN0020089077 8.00% OIL MKT COS GOI SB 2026 23-Mar-09 23-Mar-26 10000.00 9555 95.55 8.5271 8.4027 8.64 8.29 90.6878 107.04 100.59 -8.29 0.50 -7.78 -7.81 0.08
8.40% Oil Marketing Companies
98 IN0020060102 29-Mar-07 29-Mar-26 4971.00 4919 98.95 8.5224 8.3985 8.57 8.22 93.8907 110.67 99.25 -8.22 0.50 -7.72 -7.74 0.08
Government of India Special Bonds, 2026
99 IN0020010081 10.18% 2026 11-Sep-01 11-Sep-26 15000.00 17262 115.08 8.4239 8.3625 8.35 8.01 110.0279 129.14 96.67 -8.01 0.48 -7.53 -7.55 0.10
8.23% Government of India FCI Special
100 IN0020060029 12-Feb-07 12-Feb-27 6200.00 6031 97.28 8.5445 8.4236 8.74 8.38 93.1509 110.15 105.60 -8.38 0.53 -7.85 -7.88 0.08
Bonds, 2027
101 IN0020060078 8.24% Government Stock 2027 15-Feb-07 15-Feb-27 57388.55 56097 97.75 8.4987 8.3651 8.76 8.40 93.5082 110.62 105.99 -8.40 0.53 -7.87 -7.90 0.09
102 IN0020070036 8.26% Government Stock 2027 2-Aug-07 2-Aug-27 49427.33 48340 97.80 8.5104 8.3381 8.84 8.48 93.7720 111.11 109.13 -8.48 0.55 -7.94 -7.96 0.09
103 IN0020070069 8.28% 2027 21-Sep-07 21-Sep-27 1252.24 1226 97.90 8.5160 8.3980 8.97 8.60 92.7232 110.14 111.30 -8.60 0.56 -8.05 -8.08 0.09
104 IN0020020247 6.01% 2028 07-Aug-03 25-Mar-28 15000.00 11603 77.35 8.5493 8.4323 9.75 9.35 72.4912 87.41 128.59 -9.35 0.64 -8.71 -8.74 0.07
105 IN0020030022 6.13% 2028 04-Jun-03 04-Jun-28 11000.00 8613 78.30 8.5512 8.4354 9.90 9.50 72.2195 87.32 131.24 -9.50 0.66 -8.84 -8.87 0.08
106 IN0020060086 8.28% Government Stock 2032 15-Feb-07 15-Feb-32 52687.11 51511 97.77 8.5090 8.4146 9.80 9.40 92.6934 111.88 142.44 -9.40 0.71 -8.69 -8.73 0.10
107 IN0020070044 8.32% Government Stock 2032 2-Aug-07 2-Aug-32 15434.05 15122 97.98 8.5268 8.4244 9.83 9.43 93.1573 112.50 144.66 -9.43 0.72 -8.71 -8.75 0.10
108 IN0020020106 7.95% 2032 28-Aug-02 28-Aug-32 59000.00 55556 94.16 8.5459 8.3951 9.98 9.57 88.8615 107.62 147.97 -9.57 0.74 -8.83 -8.88 0.09
109 IN0020070077 8.33% 2032 21-Sep-07 21-Sep-32 1522.48 1493 98.07 8.5251 8.4235 9.97 9.56 92.0934 111.50 147.18 -9.56 0.74 -8.82 -8.87 0.10
 Price Expected price
Price
Change Change for a Actual
Market Change
Yield (%) Due to 100bps rise in Change for
Sr. Issue Maturity Outstanding Capitali- Yield Mod V+ (for V- (for Convexity Due to
ISIN No. Security Price (Previous Duration Modified yield due to 100 bps PV01
No. Date Date (` Crore) zation (%) Duration 100bps) 100bps) Measure Convexity
Month) Duration Duration and increase in
(` Crore) for 100bps
for 100bps Convexity yield
(%)
(%) Effect(%)
110 IN0020040039 7.50% 2034 10-Aug-04 10-Aug-34 60000.00 53670 89.45 8.5477 8.4509 10.34 9.91 84.4802 103.02 162.86 -9.91 0.81 -9.10 -9.15 0.09
111 IN0020050012 7.40% 2035 09-Sep-05 09-Sep-35 42000.00 37055 88.23 8.5526 8.4585 10.57 10.13 82.6170 101.19 171.18 -10.13 0.86 -9.28 -9.34 0.09
112 IN0020060045 8.33% 2036 07-Jun-06 07-Jun-36 59000.00 57365 97.23 8.5985 8.4389 10.62 10.18 89.2177 109.38 171.78 -10.18 0.86 -9.32 -9.38 0.10
113 IN0020080050 6.83% G.S. 2039 19-Jan-09 19-Jan-39 13000.00 10661 82.01 8.5282 8.4403 11.41 10.95 73.9823 92.10 200.76 -10.95 1.00 -9.94 -10.02 0.09
114 IN0020100031 8.30% G.S. 2040 2-Jul-10 2-Jul-40 29000.00 28205 97.26 8.5553 8.4620 11.13 10.67 88.3384 109.38 195.21 -10.67 0.98 -9.70 -9.77 0.10
2303861.21 2231978.18 6.11

* Weighted Average Duration of all the outstanding securities excluding the FRBs
Note: Prices in Bold are Last traded prices on January 31, 2011. Other prices are CCIL Model Prices
Duration is calculated considering January 31, 2011 as settlement date.

Duration
1 Modified Duration =
1 + Yield/2
2 V+ denotes the price due to 100 bps increase in yield; V- denotes the price due to 100 bps decrease in yield.
(V - ) + (V + ) - 2P0
3 Convexity = Where P0 denotes the current price before any change in yield.
P0 x (0.01 ) 2

4 Price Change Due to Modified Duration for 100bps (%) = Dur mod x ( 0 . 01) x 100 (A)
2
5 Price Change Due to Convexity for 100bps (%) = Convexity x ( 0 . 01) x 100 (B)
6 Expected price Change due to Duration and Convexity Effect (%) = (A) + (B)
V + - P0
7 Actual Change for 100bps (%) = x 100
P0
8 PV01 denotes the difference between the actual price and the price of the security for 1 bp change in the yield.

THE CLEARING CORPORATION OF INDIA LTD.

59
 Market
Sr. Issue Maturity Outstanding Capitali- Yield
ISIN No. Security Price
No. Date Date (` Crore) zation (%)
(` Crore)
FLOATING RATE BONDS (FRBs)
1 IN0020032028 FRB 2011 (5.99% - 364 day T-Bill) 08-Aug-03 08-Aug-11 6000.00 5968 99.47
2 IN0020032036 FRB 2012 (7.08% - 364 day T-Bill) 10-Nov-03 10-Nov-12 5000.00 5028 100.55
3 IN0020042043 FRB 2013 (6.91% - 364 day T-Bill) 09-Sep-04 10-Sep-13 4000.00 4040 101.00
4 IN0020032010 FRB 2014 (5.10% - 364 day T-Bill) 20-May-03 20-May-14 5000.00 5018 100.35
5 IN0020042027 FRB 2015 (5.66% - 364 day T-Bill) 01-Jul-04 02-Jul-15 6000.00 6047 100.79
6 IN0020042035 FRB 2015 (II) (6.36% - 364 day T-Bill) 09-Aug-04 10-Aug-15 6000.00 6108 101.80
7 IN0020042019 FRB 2016 (5.05% - 364 day T-Bills) 07-May-04 07-May-16 6000.00 6035 100.58
8 IN0020022011 FRB 2017 (7.56% - 364 day T-Bills) 02-Jul-02 02-Jul-17 3000.00 3088 102.93
9 IN0020092071 FRB 2020 (7.23% - 182 day T-Bills) 21-Dec-09 21-Dec-20 8000.00 7584 94.80
10 IN0020042050 FRB 2035 (7.17%- reset every 5 years) 25-Jan-05 25-Jan-35 350.00 341 97.43
49350.00 49256
TREASURY BILL (T-Bills)
1 IN002009Z025 364 DTB 12-Feb-10 10-Feb-11 3014.40 3009 99.83 6.17
2 IN002009Z025 364 DTB 26-Feb-10 25-Feb-11 3000.00 2987 99.56 6.38
3 IN002009Z025 364 DTB 12-Mar-10 11-Mar-11 3113.85 3092 99.31 6.55
4 IN002009Z025 364 DTB 26-Mar-10 25-Mar-11 3000.00 2971 99.04 6.70
5 IN002010Z023 364 DTB 09-Apr-10 08-Apr-11 2025.20 2000 98.76 6.83
6 IN002010Z023 364 DTB 23-Apr-10 22-Apr-11 2000.00 1967 98.37 7.46
7 IN002010Z023 364 DTB 07-May-10 06-May-11 2000.00 1964 98.20 7.05
8 IN002010Z023 364 DTB 21-May-10 20-May-11 2000.00 1958 97.91 7.14
9 IN002010Z023 364 DTB 04-Jun-10 03-Jun-11 1000.00 976 97.62 7.24
10 IN002010Z023 364 DTB 18-Jun-10 17-Jun-11 1157.00 1126 97.34 7.29
11 IN002010Z023 364 DTB 02-Jul-10 01-Jul-11 1194.00 1159 97.05 7.35
THE CLEARING CORPORATION OF INDIA LTD.

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

13 IN002010Z023 364 DTB 30-Jul-10 29-Jul-11 1000.00 965 96.48 7.45
14 IN002010Z023 364 DTB 13-Aug-10 12-Aug-11 1016.80 978 96.19 7.50
15 IN002010Z023 364 DTB 27-Aug-10 26-Aug-11 1046.30 1003 95.90 7.54
16 IN002010Z023 364 DTB 10-Sep-10 08-Sep-11 1000.00 956 95.63 7.57
17 IN002010Z023 364 DTB 24-Sep-10 23-Sep-11 1000.00 953 95.35 7.58
18 IN002010Z023 364 DTB 08-Oct-10 07-Oct-11 2042.30 1941 95.05 7.64
19 IN002010Z023 364 DTB 22-Oct-10 21-Oct-11 2000.00 1895 94.77 7.67
20 IN002010Z023 364 DTB 05-Nov-10 03-Nov-11 2000.00 1892 94.58 7.58
21 IN002010Z023 364 DTB 19-Nov-10 18-Nov-11 2000.00 1884 94.21 7.71
22 IN002010Z023 364 DTB 03-Dec-10 02-Dec-11 1000.00 939 93.93 7.74
23 IN002010Z023 364 DTB 17-Dec-10 15-Dec-11 1000.00 937 93.67 7.75
24 IN002010Z023 364 DTB 31-Dec-10 30-Dec-11 1000.00 934 93.38 7.77
25 IN002010Z023 364 DTB 14-Jan-11 13-Jan-12 1000.00 931 93.10 7.79
26 IN002010Z023 364 DTB 28-Jan-11 27-Jan-12 1000.00 928 92.83 7.81

60
 Market
Sr. Issue Maturity Outstanding Capitali- Yield
ISIN No. Security Price
No. Date Date (` Crore) zation (%)
(` Crore)
27 IN002010Y026 182 DTB 06-Aug-10 04-Feb-11 1500.00 1499 99.93 6.08
28 IN002010Y026 182 DTB 20-Aug-10 18-Feb-11 2000.00 1994 99.69 6.29
29 IN002010Y026 182 DTB 03-Sep-10 04-Mar-11 1500.00 1492 99.44 6.47
30 IN002010Y026 182 DTB 17-Sep-10 18-Mar-11 1500.00 1488 99.17 6.63
31 IN002010Y026 182 DTB 01-Oct-10 01-Apr-11 1500.00 1484 98.92 6.64
32 IN002010Y026 182 DTB 15-Oct-10 15-Apr-11 1000.00 986 98.62 6.89
33 IN002010Y026 182 DTB 29-Oct-10 29-Apr-11 2000.00 1967 98.34 7.02
34 IN002010Y026 182 DTB 12-Nov-10 13-May-11 2500.00 2451 98.06 7.09
35 IN002010Y026 182 DTB 26-Nov-10 27-May-11 2000.00 1957 97.84 6.94
36 IN002010Y026 182 DTB 10-Dec-10 10-Jun-11 1000.00 975 97.47 7.29
37 IN002010Y026 182 DTB 24-Dec-10 24-Jun-11 1000.00 972 97.19 7.32
38 IN002010Y026 182 DTB 07-Jan-11 08-Jul-11 1500.00 1454 96.91 7.38
39 IN002010Y026 182 DTB 21-Jan-11 22-Jul-11 1500.50 1448 96.52 7.66
40 IN002010X028 91 DTB 05-Nov-10 03-Feb-11 5375.00 5373 99.96 4.38
41 IN002010X028 91 DTB 12-Nov-10 11-Feb-11 7075.00 7055 99.72 9.48
42 IN002010X028 91 DTB 19-Nov-10 18-Feb-11 4500.00 4486 99.69 6.28
43 IN002010X028 91 DTB 26-Nov-10 25-Feb-11 5500.00 5476 99.56 6.38
44 IN002010X028 91 DTB 03-Dec-10 04-Mar-11 4500.00 4471 99.36 7.33
45 IN002010X028 91 DTB 10-Dec-10 11-Mar-11 4500.00 4469 99.31 6.55
46 IN002010X028 91 DTB 17-Dec-10 18-Mar-11 5000.00 4955 99.11 7.17
47 IN002010X028 91 DTB 24-Dec-10 25-Mar-11 3000.00 2971 99.04 6.65
48 IN002010X028 91 DTB 31-Dec-10 01-Apr-11 5000.00 4946 98.92 6.64
49 IN002010X028 91 DTB 07-Jan-11 08-Apr-11 4500.00 4444 98.76 6.87
50 IN002010X028 91 DTB 14-Jan-11 15-Apr-11 4500.00 4438 98.62 6.91

THE CLEARING CORPORATION OF INDIA LTD.

51 IN002010X028 91 DTB 21-Jan-11 22-Apr-11 4502.00 4434 98.49 6.91
52 IN002010X028 91 DTB 28-Jan-11 29-Apr-11 5860.90 5765 98.37 6.87
126923.25 124764.78

Note: Prices in Bold are Last traded prices on January 31, 2011. Other prices are CCIL Model Prices
Duration is calculated considering January 31, 2011 as settlement date.

61
 TABLE 4: STATE DEVELOPMENT LOANS (SDLS)
State/Union Territory No. of Bonds Outstanding (` Crore) Wtd. Avg. Coupon (%)
Andhra Pradesh 84 60182.77 7.89
Arunachal Pradesh 35 663.46 7.67
Assam 41 10332.56 7.97
Bihar 38 17077.94 7.76
Chhattisgarh 18 2506.89 7.28
Goa 36 2609.86 7.86
Gujarat 61 43262.82 7.76
Haryana 36 13236.84 7.74
Himachal Pradesh 51 8629.26 7.68
Jammu & Kashmir 56 10118.26 8.12
Jharkhand 38 7746.61 7.67
Karnataka 38 24562.97 7.69
Kerala 66 27743.32 7.83
Madhya Pradesh 51 23326.06 7.77
Maharashtra 63 66250.41 7.79
Manipur 37 1916.93 7.73
Meghalaya 44 1765.60 7.87
Mizoram 38 1185.55 7.91
Nagaland 47 2900.65 7.84
Orissa 26 6291.02 7.20
Puducherry 7 1387.43 8.36
Punjab 65 26235.90 7.82
Rajasthan 72 33981.07 7.78
Sikkim 28 1235.44 7.78
Tamil Nadu 75 49672.06 7.86
THE CLEARING CORPORATION OF INDIA LTD.

THE CLEARING CORPORATION OF INDIA LTD.

Tripura 31 1453.12 7.61
Uttar Pradesh 66 65032.71 7.99
Uttrakhand 36 7205.92 7.52
West Bengal 76 67321.18 7.88
1360 585834.62

Note: Does not include Power Bonds

62
TABLE 5: OUTSTANDING - GOVERNMENT SECURITIES, TREASURY BILLS AND STATE DEVELOPMENT LOANS
Amount ` Crore Amount ` Crore
State State
Government Treasury Government Treasury
Month Development Month Development
Securities Bills Securities Bills
Loans Loans
Apr-05 901997.98 78347.59 218075.65 Apr-08 1474383.32 139593.07 310302.66
May-05 912527.77 82165.74 218375.65 May-08 1475406.64 147979.97 307821.10
Jun-05 929979.88 90331.59 225929.72 Jun-08 1488021.91 132825.20 311085.20
Jul-05 941979.88 83796.09 228320.37 Jul-08 1502365.10 133659.95 313385.20
Aug-05 944979.88 95621.69 228320.37 Aug-08 1503865.10 134160.86 313885.20
Sep-05 957497.26 103942.30 228570.37 Sep-08 1516355.10 135751.52 315762.92
Oct-05 932367.49 105231.80 232340.93 Oct-08 1526056.63 141434.52 318774.92
Nov-05 965451.90 101083.56 232340.93 Nov-08 1548689.18 149632.01 319041.09
Dec-05 973451.90 80417.30 232715.93 Dec-08 1585092.50 145070.40 327486.09
Jan-06 983451.90 72232.94 233077.07 Jan-09 1620512.50 146566.95 338191.45
Feb-06 997121.18 67298.85 234260.04 Feb-09 1675454.50 146762.02 356629.49
Mar-06 1018621.18 70905.72 237984.24 Mar-09 1706082.83 150273.80 369290.70
Apr-06 1020121.18 67072.91 239804.87 Apr-09 1715696.03 163472.50 414068.98
May-06 1029072.84 76150.24 240104.87 May-09 1763993.85 148275.25 414563.33
Jun-06 1043942.84 76537.87 240763.49 Jun-09 1801993.85 146874.80 421563.33
Jul-06 1051942.84 84100.94 240763.49 Jul-09 1852993.85 141338.92 427513.33
Aug-06 1063882.03 92801.37 242221.82 Aug-09 1888993.85 138854.64 437472.91
Sep-06 1072882.03 95251.47 243271.82 Sep-09 1945300.18 141887.94 452223.35
Oct-06 1091856.02 93358.52 243271.82 Oct-09 1975300.18 134980.94 465742.01
Nov-06 1103856.02 99852.39 243473.15 Nov-09 2004300.18 134014.74 476964.28
Dec-06 1123116.81 96859.85 245904.37 Dec-09 2030300.18 134764.74 489096.47
Jan-07 1127268.03 102420.08 247867.61 Jan-10 2029064.40 134753.74 496442.94
Feb-07 1154702.69 108913.26 247472.70 Feb-10 2033844.94 134660.14 509676.73
Mar-07 1181603.52 115473.69 251072.27 Mar-10 2033451.94 137466.34 517405.62

THE CLEARING CORPORATION OF INDIA LTD.

Apr-07 1193903.52 119965.64 254078.59 Apr-10 2082451.94 136489.04 521551.88
May-07 1200403.52 126189.40 250533.80 May-10 2107575.72 144488.54 529259.38
Jun-07 1225403.52 145981.76 252283.80 Jun-10 2140802.69 131988.54 534974.23
Jul-07 1251403.52 151565.34 255849.38 Jul-10 2148674.69 116883.22 540925.06
Aug-07 1295914.84 156379.61 253433.89 Aug-10 2197931.41 122828.95 547425.91
Sep-07 1317484.84 147411.54 256918.33 Sep-10 2242681.41 123295.65 554535.06
Oct-07 1362127.88 159450.17 259992.07 Oct-10 2273533.10 127892.94 565736.86
Nov-07 1382506.38 146252.36 262886.53 Nov-10 2306528.10 117768.94 573111.86
Dec-07 1389507.17 126327.36 268186.53 Dec-10 2329056.86 125268.94 579026.86
Jan-08 1408888.64 126951.13 276361.79 Jan-11 2353211.21 126923.25 585834.62
Feb-08 1425466.64 123605.11 289973.52
Mar-08 1434086.40 136139.95 302724.48

Note: Data on SDLs does not include Power Bonds

63
 CCIL INDICES
TABLE 6: COMPOSITION OF CCIL BROAD INDEX
Sr. No. Security
1 8.13% G.S. 2022*
2 7.99% G.S. 2017*
3 8.08% G.S. 2022*
4 7.80% G.S. 2020*
5 7.17% G.S. 2015*
6 8.26% G.S. 2027
7 7.49% G.S. 2017
8 8.30% G.S. 2040
9 7.46% G.S. 2017
10 7.02% G.S. 2016
11 8.24% G.S. 2027
12 8.20% G.S. 2022
13 7.32% G.S. 2014
14 6.35% G.S. 2020
15 6.49% G.S. 2015
16 8.28% G.S. 2032
17 8.33% G.S. 2036
18 7.37% G.S. 2014
19 7.27% G.S. 2013
20 7.95% G.S. 2032

* COMPOSITION OF CCIL LIQUID INDEX

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

THE CLEARING CORPORATION OF INDIA LTD.

1100 1500

1050
1400
1000
1300
950
TRI
PRI

900 1200

850
1100
800
1000
750

700 900
D e c -0 3

M a y -0 4

M a y -0 5

M a y -0 6

M a y -0 7

M a y -0 8

M a y -0 9
J a n -0 5

J a n -0 6

J a n -0 7

J a n -0 8

J a n -0 9

J a n -1 0

M a y -1 0

J a n -1 1
S e p -0 4

S e p -0 5

S e p -0 6

S e p -0 7

S e p -0 9

S e p -1 0
S e p -0 8

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

64
 PRI

100
105
110
115
120
125
130
135

1000
1050

700
750
800
850
900
950
Ja n - 0 4
D ec-03
M ay-0 4
M ay-04
S ep -0 4
Sep -04
Ja n - 0 5
Jan -05

M ay-05 M ay-0 5

Sep -05 S ep -0 5

Jan -06 Ja n - 0 6

CASBI PRI
M ay-06 M ay-0 6

Sep -06
S ep -0 6

CCIL Liquidity Weight Index

Jan -07
Ja n - 0 7
M ay-07
M ay-0 7
Sep -07
S ep -0 7
Jan -08
Ja n - 0 8
M ay-08

Sep -08 M ay-0 8

Jan -09 S ep -0 8
CHART 2: MOVEMENT OF CCIL T-BILL INDEX (JAN'04 - JAN'11)

M ay-09 Ja n - 0 9

CASBI TRI
Sep -09 M ay-0 9
Jan -10
S ep -0 9
M ay-10
Ja n - 1 0
CCIL Equal Weight Index

Sep -10
M ay-1 0
Jan -11
CHART 3: MOVEMENT OF CCIL ALL SOVEREIGN BONDS INDEX (JAN'04 - JAN'11)

S ep -1 0

900
950
1000
1050
1100
1150
1200
1250
1300
1350

Ja n - 1 1
TRI

THE CLEARING CORPORATION OF INDIA LTD.

65
66
THE CLEARING CORPORATION OF INDIA LTD.

PRI TRI
PRI

1000
1075
1150
1225
1300
1375
1450

850
925

1000
1050
1100
1150

850
900
950
1000
1050

650
700
750
800
850
900
950

D ec -03
Ja n-0 7 Dec-03
Ma y-04
May-04
M ay-0 7 Sep-04 Sep-04

Upto 5 Years
Ja n-05 Jan-05
S ep-0 7

Upto 5 Years
Ma y-05 May-05

Ja n-0 8 Sep-05
Sep -05
Jan-06
Ja n -06
M a y-0 8 May-06
5-10 Years

Ma y-06
Sep-06

5-10 Years
S ep-0 8 Sep-06
Jan-07

CCIL SDL PRI

Ja n-07 May-07
Ja n-0 9
Ma y-07 Sep-07
M ay-0 9 Sep -07 Jan-08
10-15 Years

10-15 Years
Ja n -08 May-08

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

S ep-0 9
M a y-08 Sep-08
Jan-09

CCIL SDL TRI

Jan-1 0 Sep -08
May-09
Ja n -09
M a y-1 0 Sep-09
15-20 Years

15-20 Years
Ma y -09
Jan-10
S ep-1 0
CHART4B: MOVEMENT OF CCIL TENOR INDEX TRI (JAN'04 - JAN'11)

Sep -09
CHART 4A: MOVEMENT OF CCIL TENOR INDEX PRI (JAN'04 - JAN'11)

May-10
Ja n -10 Sep-10
Ja n-1 1
M a y-10 Jan-11

950
1000
1050
1100
1150
1200
1250
1300
Sep -10
20-30 Years

20-30 Years

TRI Ja n -11
 0
4
8
12
16
20
24
28

10
20
30
40
50
60
70

0
Sep-06 Jan-04

Dec-06 May-04

Sep-04
Mar-07
Jan-05
Jun-07
May-05
Sep-07
Sep-05
Nov-07 Jan-06

Feb-08 May-06

May-08 Sep-06

Jan-07
Aug-08
May-07
Nov-08
Sep-07
Feb-09
Jan-08
CCBOR 10.00 A.M.

May-09
May-08
CHART 7: MOVEMENT OF CCIL MIBOR (JAN'06 - JAN'11)
CHART 6: MOVEMENT OF CCIL CCBOR (JAN'04 - JAN'11)

CCIL MIBOR (10.00 A.M.)

Jul-09 Sep-08

Oct-09 Jan-09

Jan-10 May-09

Sep-09
Apr-10
Jan-10
Jul-10
May-10
Oct-10
Sep-10
Jan-11
Jan-11

THE CLEARING CORPORATION OF INDIA LTD.

67
 TABLE 7: PERFORMANCE OF CCIL INDICES AS AT END OF JANUARY 2011
CCIL Indices One Month Three Months Six Months Year
Bond Index Broad TRI -0.3445 0.5747 1.2615 3.0517
Bond Index Broad PRI -1.0664 -0.6964 -1.4763 -2.9610
Bond Index Liquid TRI -0.5914 0.7867 1.0632 3.1171
Bond Index Liquid PRI -1.2951 -0.5873 -1.8714 -2.8663
CASBI TRI -0.3333 0.5890 1.1227 3.0536
CASBI PRI -1.0543 -0.6808 -1.6752 -2.9941
Tenor Index (upto 5 yrs) TRI 0.1658 0.5214 0.8944 2.7354
Tenor Index (upto 5 yrs) PRI -0.3794 -0.7513 -1.9409 -3.2574
Ten or Index (5 - 10 yrs) TRI -0.5121 0.6684 1.0121 2.8593
Tenor Index (5 - 10 yrs) PRI -1.3009 -0.5613 -1.7907 -3.1427
Tenor Index (10 - 15 yrs) TRI -0.4926 0.6538 1.3907 3.0299
Tenor Index (10 - 15 yrs) PRI -1.3250 -0.6037 -1.3712 -3.1312
Tenor Index (15 - 20 yrs) TRI -0.2877 0.7980 1.9268 4.2898
Tenor Index (15 - 20 yrs) PRI -1.0397 -0.4684 -0.7385 -1.6339
Tenor Index (20 - 30 yrs) TRI -0.4812 0.3222 0.8712 3.1799
Tenor Index (20 - 30 yrs) PRI -1.3303 -1.1326 -2.2022 -3.1882
CCIL Liquidity Weight T -Bill Index 0.3648 1.0636 1.9274 3.0991
CCIL Equal Weight T-Bill Index 0.3311 1.0123 1.6931 2.4867
CCIL SDL Index TRI -0.4384 0.8785 1.9252 5.2398
CCIL SDL Index PRI -1.2377 -0.9167 -1.6287 -1.7698
THE CLEARING CORPORATION OF INDIA LTD.

THE CLEARING CORPORATION OF INDIA LTD.

68
 (%) (%)
1-
1-
N N

6.25
6.45
6.65
6.85
7.05
7.25
7.45

5.90
6.15
6.40
6.65
6.90
ov ov
-1
-1
0 0
8-
8-
N N
ov ov
-1
-1
0 15 0
15 -N
-N ov
ov -1
-1 0
22 0 22
-N -N
ov ov
-1 -1
29 0 29 0
-N -N
ov ov
-1 -1
0 0
6-

RepoRate
6- D
D ec
ec

CallRate
-1 -1
0 13 0
13
-D -D
ec ec
-1 -1

Mean
20 0 20 0

Mean
-D -D
ec ec
-1 -1
27 0 27 0
-D -D

1SD+
ec ec
-1 -1
0 0
1SD+

3- 3-
Ja Ja
n- n-
TECHNICAL ANALYSIS

11 11

1SD-
10 10
-J a -J a
1SD-

n- n-
11 11
17 17
-J a -J a
n- n-
CHART 8: CALL RATE MOVEMENT - (NOV'10 TO JAN'11)

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

24 24
-J a -J a
n- n-
11 11
31 31
-J a -J a
n- n-
11 11

THE CLEARING CORPORATION OF INDIA LTD.

69
70
THE CLEARING CORPORATION OF INDIA LTD.

Exchange Rate (Rs./US$) (%)

(%)
1-
N 1-
ov 1- N

5.20
5.40
5.60
5.80
6.00
6.20
6.40
6.60

44.00
44.50
45.00
45.50
46.00
-1 ov
0 ov -1
0

7.8500
7.9000
7.9500
8.0000
8.0500
8.1000
8.1500
8.2000
8.2500
8-
N -1
0 8-
ov 8-
N N
-1 ov
15 0 ov -1
-N -1
0 15 0
ov 15 -N
-N
-1 ov ov
22 0 -1 -1
-N 22 0 22 0
ov -N -N
-1 ov ov
29 0 -1 -1
-N 29 0 29 0
ov -N -N
-1 ov ov
0 -1 -1
6- 0 0
D 6-
D 6-
ec D

USD
-1 ec
0 -1 ec

Yield
13 0 -1
0
CBLORate

-D 13
-D 13
ec
-1 ec -D
0 -1 ec
20 0 -1
-D 20
-D 20 0

Average
Mean
ec ec -D
-1
Mean

0 -1 ec
27 27 0 -1
-D -D 27 0
ec ec -D
-1 -1
0 0 ec
-1

1SD+
1SD+
3-
Ja
3-
Ja
0
1SD+

n- n- 3-
11 11 Ja
10 n-
10 -Ja 11
-J a 10
n- n-

1SD-
11

1SD-
11 -J a
n-
1SD-

17 17 11
-J a -Ja
n- n- 17
11 11 -J a
24 n-
24 -Ja 11
CHART 10: CBLO RATE MOVEMENT - (NOV'10 TO JAN'11)

-J a n- 24
n- 11
CHART 11: 10-YEAR YIELD MOVEMENT - (NOV'10 TO JAN'11)

11 -J a

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

31 n-
31 -Ja 11
-J a n- 31
n- 11 -J a
11 n-
11
 PRIMARY MARKET ANALYSIS

The prevailing tight liquidity Tenorwise Share in G-Sec Outstanding

conditions and expectations of a 34.00
29.65
further rate hike has resulted in a
tightening of yields in the 35 20.94
primary market especially so at 30
15.41
the shorter end of the curve. 25
However despite these tight 20
(%)
15
conditions, the auctions have
10
been conducted successfully with 5
a lower devolvement in 0
< 5 years >=5 years < >=10 years >=20 years
comparison to the previous year.
10 years < 20 years
RBI has modulated the
borrowing through treasury bills of January 2011 were ` 126,923 crore. Of the total
and government securities in line with the treasury bills outstanding, 91-day bills had a share
prevailing liquidity conditions. Taking into of 50.28%, followed by 364 day bills with a share of
account the need for fiscal consolidation and the 33.57% and finally 182-day bills with 16.15%.
strong buoyancy in tax and non-tax revenue, the
Issuance
indicative calendar for the issuance of dated
securities during the second half of 2010-11 was During 2010-11, the government has maintained
scaled down by `10,000 crore for the month of the momentum of borrowing from the market as in
December'10. The government has completed 98% the previous fiscal. Total issuance of dated
of its total budgeted borrowing for the fiscal as of securities was ` 417,000 crore till January'11 as
January'11. against ` 410,000 crore during the same period in
2009-10. The total number of issues was 109.

THE CLEARING CORPORATION OF INDIA LTD.

Outstanding Analysis
Despite the tight liquidity conditions, these
The total outstanding in the government securities auctions were largely successful. However in
market at the end of January was ` 23,53,211 crore. comparison to the earlier 4 months when there was
The weighted average maturity of
the securities outstanding was 9.70 Primary Auction Devolvements
years. The weighted average 2500 2209.60
coupon of the outstanding
2000 1728.60
securities was 7.80%. The 1386.00
` Crore

1500
outstanding securities are mostly
1000
concentrated up till the 10 year 448.45
500
maturity, with more than 60% of
the outstanding securities having a 0
0

0
0

10
0

1
10

maturity of less than 10 years.

-1
r-1

-1
1
l-1

1
1

-1
g-

n-
n-

p-
ay

ct

ov

ec
Ju
Ap

Au

Ja
Ju

Se

O
M

The outstanding treasury bills as Months

71
 no devolvement, January witnessed devolvement to
Tenorwise share in Issuances
the tune of ` 2,210 crore. The total devolvements 11.11
till the end of January'11 were ` 5,772.65 crore. Jan'11 44.44
33.33
11.11

The borrowing of the central government through 17.24

Oct'10-Dec'10 41.38
central government securities during the current 24.14
17.24
fiscal is given in the following table. 20.59 (%)
July'10-Sept'10 32.35
32.35
Borrowing - Government Securities 14.71
18.92
35.14
Apr'10-June'10 37.84
Notified Amounts
Month 8.11
(` Crore)
Apr-10 49000
May-10 52000 < 5 years >=5 years < 10 years

Jun-10 50000 >=10 years < 20 years >=20 years

Jul-10 50000
Aug-10 49000 auctions. In comparison to January'10, cut-off
Sep-10 34000 yields have hardened to 5.88% (3.44%) for 91-day T-
Oct-10 44000 bills, 6.19% (3.86%) in case of 182-T-Bills and
Nov-10 33000 6.27% (4.32%) for 364 day T-Bills. In comparison
Dec-10 23000 to the previous month, the notifying amounts have
Jan-11 33000 been increased from ` 2000 crore to ` 4000 crore in
Total 417000 case of 91-day T-Bills and for 182-day T-bills, the
In comparison to a weighted average maturity of amounts increased from to `1000 crore to ` 1500
11.18 years during the corresponding period of the crore January'11. Notified amounts remained
previous year, the weighted average maturity of the unchanged in case of 364-day T-Bills.
borrowing during this fiscal till January was 11.56 Treasury Bill - Borrowing
years. Similarly, the weighted average yields were
THE CLEARING CORPORATION OF INDIA LTD.

also slightly higher at 7.89% as against 7.22% Notified Amounts ( ` Crore)

Month
during the previous fiscal. The issuance during this 91-day 182-day 364-day
fiscal has been mainly in the medium tenor Apr-10 28000 4000 4000
securities i.e. between of residual maturity between May-10 28000 4000 4000
5 to 20 years. However, the tenor of the issuances Jun-10 10000 2000 3000
has varied and in January they were between 5 to 20 Jul-10 8000 3000 2000
years. Aug-10 28000 3000 2000
Sep-10 10000 4500 2000
Treasury Bills
Oct-10 16000 4000 4000
Treasury bill borrowings during the year till January Nov-10 16000 4000 4000
were ` 207,001 crore in 91-day T-bills, ` 33,800 crore Dec-10 14000 2000 3000
in case of 182 day T-Bills and ` 30,482 crore in 364- Jan-11 16000 3000 2000
day T-Bills. In comparison to dated securities, T-
Bill cut-offs have hardened substantially in the

72
Treasury bill cut-off yields have continuously
moved higher during the year, with the sharpest
increase being in case of the 91-day security. Cut-off
yields have moved by almost 300 bps as of
January'11 in comparison to the start of the fiscal.
The bid-to-cover ratio in the primary auctions
which edged lower after August'10, has seen an
upward movement after November. Except for 91-
day T-Bills, bid-to-cover ratio has moved lower
during January'11.

Cut-off Yields - Treasury Bills State Development Loans

Average Cut-off Yields (%) State government borrowings have moderated
Month
91-day 182-day 364-day
during this fiscal as compared to the previous
Apr-10 4.1436 4.6373 5.0725
fiscal. SDL borrowings were ` 82,964 crore during
May-10 4.3898 4.7635 4.9233
the current fiscal till December, compared with `
Jun-10 5.2912 5.3112 5.4895
1,08,913 crore during the comparative period of
Jul-10 5.5612 5.8621 5.9944
2009-10. The average monthly borrowing was at
Aug-10 6.1495 6.4053 6.4800
Sep-10 6.1412 6.4587 6.5882
around ` 8,000 crore. The weighted average coupon
Oct-10 6.6463 6.9406 6.9711 of the SDL securities issued during the year was
Nov-10 6.8225 7.1985 7.1376 higher at 8.37% as compared to 8.04% during the
Dec-10 7.1443 7.3169 7.3663 corresponding period of the previous year.
Jan-11 7.1650 7.3708 7.5940 SDL Borrowing
Month SDL Borrowing (` Crore)
Bid to Cover Ratio
Apr-10 10400
The bid-to-cover ratio reflects the market interest in May-10 7708
the auctions and a higher ratio indicates a better Jun-10 5715

response to the auction being conducted. Jul-10 8319

Aug-10 7921
Average Bid-to-Cover Ratio Sep-10 9800
Dated Oct-10 11202
Month 91-day 182-day 364 day

THE CLEARING CORPORATION OF INDIA LTD.

Securities Nov-10 7375
Apr-10 2.60 3.10 3.31 3.37
Dec-10 6165
May-10 2.27 2.54 2.82 4.10
Jan-11 8360
Jun-10 2.31 3.61 3.52 2.91
Jul-10 2.36 3.61 2.44 4.26
Aug-10 2.13 2.14 2.22 2.91
Sep-10 2.44 3.11 2.84 3.07
Oct-10 2.04 2.24 2.20 2.46
Nov-10 2.15 2.85 2.34 2.75
Dec-10 2.30 2.83 3.80 4.27
Jan-11 1.94 2.96 2.95 3.76

73
 TABLE 8: SECURITIES & MONEY MARKET (PRIMARY): COMPARATIVE DATA
2010-11 2009-10 2009-10
(upto January 2011) (upto January 2010)
Dated Securities

GOI Borrowing
Total no of Issues (including reissues) 109 105 108
Gross Amount Borrowed Excluding MSS (F.V ` Crore) 417000.00 410000.00 418000.00
Weighted Average Maturity (years) 11.56 11.18 11.17
Weighted Average Yield (%) 7.89 7.22 7.23

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

Private Placements on RBI (F.V ` Crore) - - -
Redemption (F.V ` Crore) 126609.61 130492.21 146487.02
Net Borrowings(F.V ` Crore) 320871.99 308876.68 313010.12
364-Day T-Bill Borrowing (F.V ` Crore) 30481.60 29368.89 41497.14
Total Borrowing (F.V ` Crore) 447481.60 439368.89 459497.14
Budgeted Borrowing (F.V ` Crore) 457143.06 491044.25 451093.25
% Completed of Total Borrowing 97.89 89.48 101.86

Borrowing Under MSS

Total Outstanding (F.V. ` Crore) 0.00 7737.00 2737.00
MSS Ceiling (F.V. ` Crore) 50000.00 50000.00 50000.00
Outstanding as percent of Ceiling (%) 0.00 15.47 5.47

Purchases Under OMO

Dated Securities purchased under OMO 22 47 47
Amount of OMO dated securities purchased (F.V. ` Crore) 67246.28 57486.83 57486.83

Buybacks
Auctions (F.V. ` Crore) 11261.79 - 9113.50
NDS-OM (F.V. ` Crore) 505.00 - 500.00

Cash Management Bill

Amount (F.V Rs Crore) 12000.00 - -
THE CLEARING CORPORATION OF INDIA LTD.

Weighted Average Cut -off (%) 3.90 - -

91 Day Treasury Bills

Amount (F.V ` Crore) 207001.09 258002.50 301503.00
Weighted Average Cut -off (%) 5.88 3.44 3.56

182 Day Treasury Bills

Amount (F.V ` Crore) 33800.50 34375.00 42875.00
Weighted Average Cut -off (%) 6.19 3.86 4.01

364 Day Treasury Bill

Amount (F.V ` Crore) 30481.60 29368.89 41497.14
Weighted Average Cut -off (%) 6.27 4.32 4.53

Benchmark Rates
Bank Rate(% p.a)(Effective Date) 6.00 (29-04-03) 6.00 (29-04-03) 6.00 (29-04-03)
CRR Rate (% p.a.)(Effective Date) 6.00 (24-04-10) 5.00 (17-01-09) 5.75 (27-02-10)
Reverse Repo Rate(%)(Effective Date) 5.50 (25-01-11) 3.25 (21-04-09) 3.50 (19-03-10)
Repo Rate (%) (Effective Date) 6.50 (25-01-11) 4.75 (21-04-09) 5.00 (19-03-10)
Call Money Range(%) 3.71 - 8.06 1.68 - 4.36 1.68 - 4.91

74
TABLE 9: AUCTION SUMMARY - 2010-11 Amount ` Crore
Normal Auction
Month
Dated Securities CMB 91-Day T-Bills 182-Day T-Bills 364-Day T-Bills
April-10 49000 0 28000 4000 4025
May-10 52000 12000 28000 4000 4000
June-10 50000 0 11500 2000 3351
July-10 50000 0 10354 3300 2000
August-10 49000 0 33425 3500 2063
September-10 34000 0 13500 4500 2000
October-10 44000 0 18409 3000 4042
November-10 33000 0 22450 4500 4000
December-10 23000 0 22000 2000 3000
January-11 33000 0 19363 3001 2000
2010-11 417000 12000 207001 33801 30482
Note: No MSS auctions during the year.

CHART 13: PRIMARY ACTIVITY IN GOVERNMENT SECURITIES MARKET

90000

70000

50000
(Amount ` Crore)

30000

10000

-10000

Oct-10
Oct-06

Oct-07

Oct-08

Oct-09

Jan-11
Jan-08
Jan-07

Jan-09

Jan-10
Apr-06

Apr-08

Jul-10
Jul-06

Apr-07

Jul-07

Jul-08

Apr-09

Jul-09

Apr-10
-30000

-50000
-70000

-90000

Borrowing Redemption

THE CLEARING CORPORATION OF INDIA LTD.

CHART 14: RBI PURCHASE/SALE OF USD
15000

10000

5000
(Amount in USD Million)

0
Dec-07

Mar-09

Aug-09
Apr-06

Sep-06

Feb-07

Jul-07

May-08

Oct-08

Jan-10

Jun-10

Nov-10

-5000

-10000

-15000

-20000

Month
-25000
Purchase Sale

75
76
THE CLEARING CORPORATION OF INDIA LTD.

STATISTICS
TABLE 10: CCIL SETTLEMENT VOLUMES Amount ` Crore
Outright Repo Forex* CBLO**
Settlement Volume Avg. Vol
Period No of Avg. No of Avg. No of Avg. No of Avg.
Volume Avg. Vol Volume Avg. Vol (USD (USD Volume Avg. Vol
trades Trades trades Trades trades Trades trades Trades
Million) Million)
2002-03 191843 1076147 646 3623 11672 468229 39 1577 100232 136102 1101 1496 159 852 3 16
2003-04 243585 1575133 820 5303 20927 943189 71 3208 330517 501342 1425 2161 3060 76851 10 262
2004-05 160682 1134222 550 3884 24364 1557907 83 5335 466327 899782 1976 3813 29351 976790 101 3345
2005-06 125509 864751 467 3215 25673 1694509 88 5803 489649 1179688 2084 5020 67463 2953134 229 10045
2006-07 137100 1021536 562 4187 29008 2556501 99 8755 606808 1776981 2550 7466 85881 4732271 292 16096
2007-08 188843 1653851 765 6696 26612 3948751 91 13523 757074 3133665 3181 13167 113277 8110828 385 27588
2008-09 245964 2160233 1047 9192 24280 4094286 85 14266 837520 3758904 3657 16414 118941 8824784 414 30748
2009-10 316956 2913890 1332 12243 28651 6072829 101 21308 883949 2988971 3843 12996 142052 15541378 498 54531
Apr-10 26566 269331 1398 14175 2257 467332 98 20319 88492 311594 4657 16400 11807 1170497 513 50891
May-10 45586 418093 2279 20905 2357 422637 98 17610 94827 316783 4991 16673 10958 1014579 457 42274
Jun-10 38869 348132 1767 15824 1956 246496 75 9481 106054 350142 4821 15916 11907 808928 458 31113
Jul-10 24697 231917 1176 11044 2390 312297 92 12011 91778 308188 4370 14676 11156 756653 429 29102
Aug-10 31101 282295 1481 13443 2134 388768 85 15551 89272 346491 4251 16500 13508 1129515 540 45181
Sep-10 28977 250498 1449 12525 2244 364877 98 15864 91385 326124 4810 17164 13004 1224126 565 53223
Oct-10 26422 229363 1258 10922 2742 361513 110 14461 110952 424849 5548 21242 14319 1095768 573 43831
Nov-10 20877 167619 1044 8381 2157 239118 90 9963 97218 429932 5401 23885 11417 791067 476 32961
Dec-10 21323 165897 969 7541 2565 324815 103 12993 98475 342980 4476 15590 12556 1094591 502 43784
Jan-11 18741 149941 937 7497 2067 288528 83 11541 100818 330748 5306 17408 12159 1120387 486 44815
2010-11 (Upto
283159 2513085 1375 12199 22869 3416382 93 13888 969271 3487830 4846 17439 122791 10206112 499 41488
January 2011)

*Commenced operations from November 12, 2002, Cash and Tom settlement is with effect from February 5, 2004.
** Commenced operations from January 20, 2003.
TABLE 11: CATEGORYWISE BUYING ACTIVITY Market Share (%)
CBLO NDS-Call
Category Outright Reverse Repo Forex IRS-MIBOR IRS-MIFOR
Lending Lending
Co-operative Banks 2.52 0.07 0.35 3.83 0.14 - -
Financial Institutions 0.35 0.03 0.46 - 0.01 - -
Foreign Banks 35.93 19.27 0.73 10.37 53.39 85.55 94.69
Insurance Companies 1.19 4.88 8.23 - - - -
Mutual Funds 6.27 61.13 80.24 - - - -
Other Corporates 3.33 0.07 1.32 - - - -
Primary Dealers 15.55 2.95 0.09 0.03 - 5.88 0.00
Private Sector Banks 10.84 8.68 0.51 4.70 18.37 7.56 5.31
Public Sector Banks 24.01 2.91 8.07 81.08 28.09 1.01 0.00

TABLE 12: CATEGORYWISE SELLING ACTIVITY Market Share (%)

CBLO NDS-Call
Category Outright Repo Forex IRS-MIBOR IRS-MIFOR
Borrowing Borrowing
Co-operative Banks 2.42 5.68 5.18 0.47 0.14 - -
Financial Institutions 0.15 0.00 3.59 - 0.02 - -
Foreign Banks 35.66 26.54 14.48 23.28 53.91 82.61 74.91
Insurance Companies 1.52 0.00 0.01 - - - -
Mutual Funds 6.00 0.00 0.52 - - - -
Other Corporates 0.24 0.00 9.85 - - - -
Primary Dealers 23.53 19.92 2.57 11.16 - 8.43 0.00
Private Sector Banks 11.03 34.63 18.03 38.24 17.58 7.74 25.09
Public Sector Banks 19.45 13.24 45.78 26.85 28.35 1.23 0.00

THE CLEARING CORPORATION OF INDIA LTD.

77
 GOVERNMENT SECURITIES MARKET
SETTLEMENT ANALYSIS
NUMBER OF PARTICIPANTS: 165
TABLE 13: SETTLEMENT VOLUMES: TRADE TYPE percent
Outright Repo
Settlement Period Proprietary Constituent Proprietary Constituent
Trades Volume Trades Volume Trades Volume Trades Volume
2002-03 80.54 87.54 19.46 12.46 99.58 99.81 0.42 0.19
2003-04 75.82 85.03 24.18 14.97 88.11 89.96 11.89 10.04
2004-05 75.96 81.95 24.04 18.05 81.83 86.21 18.17 13.79
2005-06 78.55 85.37 21.45 14.63 70.00 82.77 30.00 17.23
2006-07 87.78 90.06 12.22 9.94 70.67 85.01 29.33 14.99
2007-08 90.26 90.55 9.74 9.45 70.74 83.79 29.26 16.21
2008-09 89.48 88.32 10.52 11.68 72.60 87.98 27.40 12.02
2009-10 90.16 90.56 9.84 9.44 81.01 94.03 18.99 5.97
Apr-10 90.94 91.42 9.06 8.58 83.52 92.06 16.48 7.94
May-10 92.34 92.54 7.66 7.46 82.73 91.34 17.27 8.66
Jun-10 91.83 92.81 8.17 7.19 75.82 84.99 24.18 15.01
Jul-10 88.35 89.42 11.65 10.58 79.54 89.21 20.46 10.79
Aug-10 89.67 91.32 10.33 8.68 80.41 91.16 19.59 8.84
Sep-10 89.61 90.53 10.39 9.47 78.70 89.75 21.30 10.25
Oct-10 89.67 88.37 10.33 11.63 83.33 91.26 16.67 8.74
Nov-10 89.05 87.26 10.95 12.74 78.26 85.94 21.74 14.06
Dec-10 87.44 86.40 12.56 13.60 80.12 87.84 19.88 12.16
Jan-11 86.05 84.62 13.95 15.38 77.46 87.30 22.54 12.70
2010-11 (Upto January 2011) 89.94 90.22 10.06 9.78 80.15 89.53 19.85 10.47

CHART 15: BUSINESS GROWTH

THE CLEARING CORPORATION OF INDIA LTD.

700000

600000

500000
Volumes (F.V. ` Crore)

400000

300000

200000

100000

0
Oct-07

Oct-08
Oct-06

Oct-09
Mar-04
Apr-03

Nov-03

Nov-04
Mar-05

Nov-05
Mar-06

Feb-07

Feb-08

Feb-09

Sep-10
Feb-10

Jan-11
Jul-03

Jul-04

Jul-05

Jun-09
Jul-06

Jun-07

Jun-08

Jun-10

Outright Repo

78
TABLE 14: DEAL SIZE ANALYSIS percent
< 5 Cr 5 Cr > 5 Cr <=10 Cr >10 Cr<=20 Cr > 20 Cr
Settlement
Period % to total % to total % to total % to total % to total % to total % to total % to total % to total % to total
trades value trades value trades value trades value trades value
2002-03 10.22 1.64 75.71 67.68 10.88 19.23 2.30 6.80 0.89 4.65
2003-04 12.23 1.72 68.92 53.29 11.98 18.40 2.54 6.51 4.33 20.09
2004-05 14.24 1.75 67.12 47.55 9.72 13.59 2.98 7.02 5.93 30.09
2005-06 15.26 1.78 67.75 49.17 8.05 11.49 2.68 6.36 6.26 31.20
2006-07 8.30 0.93 71.38 47.90 12.50 16.67 2.59 5.76 5.23 28.75
2007-08 5.30 0.51 60.70 34.66 23.17 26.40 3.47 6.62 7.36 31.81
2008-09 5.69 0.56 64.57 36.76 20.60 23.40 2.89 5.52 6.26 33.76
2009-10 5.35 0.54 65.32 35.53 18.16 19.71 3.31 6.03 7.86 38.20
Apr-10 4.84 0.52 64.31 31.72 17.62 17.32 3.95 6.52 9.28 43.92
May-10 3.45 0.43 65.25 35.57 19.32 21.05 4.35 8.05 7.63 34.89
Jun-10 4.15 0.49 64.12 35.79 20.13 22.44 4.47 8.48 7.14 32.80
Jul-10 6.21 0.62 60.57 32.25 19.46 20.68 4.58 8.25 9.19 38.20
Aug-10 5.90 0.62 62.27 34.30 19.38 21.30 4.27 7.94 8.19 35.83
Sep-10 5.03 0.61 65.43 37.85 18.05 20.82 3.97 7.72 7.52 33.00
Oct-10 5.73 0.60 66.58 38.35 16.91 19.43 3.54 6.81 7.24 34.81
Nov-10 6.08 0.70 66.23 41.24 17.84 22.16 3.71 7.72 6.15 28.18
Dec-10 7.48 0.83 65.01 41.78 18.97 24.30 3.36 7.14 5.19 25.96
Jan-11 9.78 1.10 64.25 40.16 16.66 20.74 3.46 7.13 5.85 30.88
2010-11 (Upto
5.48 0.60 64.40 36.28 18.62 20.94 4.04 7.67 7.45 34.51
January 2011)

INSTRUMENTWISE SETTLEMENT VOLUME

TABLE 15: INSTRUMENT WISE BREAKUP OF OUTRIGHT TRADES Amount ` Crore
Cen. Govt. Dated Securities Treasury Bills State Govt
Settlement Period Avg. Avg. Avg.
Volumes % Share Volumes % Share Volumes % Share
Volumes Volumes Volumes
2002-03 1032185 3475 95.91 37443 126 3.48 6519 22 0.61
2003-04 1458665 4911 92.61 102299 344 6.49 14169 48 0.90

THE CLEARING CORPORATION OF INDIA LTD.

2004-05 862820 2955 76.07 246703 845 21.75 24699.7 85 2.18
2005-06 657213 2443 76.00 189839 706 21.95 17699.85 66 2.05
2006-07 883248 4723 86.46 126956 679 12.43 11332 61 1.11
2007-08 1467704 5942 88.74 171914 696 10.39 14234 58 0.86
2008-09 1955412 8321 90.52 170436 725 7.89 34385 146 1.59
2009-10 2480850 10424 85.14 363283 1526 12.47 69757 293 2.39
Apr-10 208456 10971 77.40 53671 2825 19.93 7204 379 2.67
May-10 371385 18569 88.83 41322 2066 9.88 5387 269 1.29
Jun-10 315391 14336 90.60 27214 1237 7.82 5526 251 1.59
Jul-10 207742 9892 89.58 22106 1053 9.53 2069 99 0.89
Aug-10 259473 12356 91.92 20207 962 7.16 2616 125 0.93
Sep-10 231393 11570 92.37 16456 823 6.57 2649 132 1.06
Oct-10 211665 10079 92.28 15642 745 6.82 2055 98 0.90
Nov-10 151253 7563 90.24 13730 687 8.19 2636 132 1.57
Dec-10 151380 6881 91.25 12668 576 7.64 1848 84 1.11
Jan-11 130205 6510 86.84 16120 806 10.75 3616 181 2.41
2010-11 (Upto
2238343 10866 89.07 239136 1161 9.52 35606 173 1.42
January 2011)

79
80

THE CLEARING CORPORATION OF INDIA LTD.

TENOR WISE ACTIVITY

TABLE 16: TENOR WISE SETTLEMENT VOLUME OF CENTRAL GOVERNMENT DATED SECURITIES Amount ` Crore

2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09 2009 - 10 2010-11

Year
Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent Volumes Percent
2003 4143 0.40 908 0.06 - - - - - - - - - - - - - -
2004 18834 1.82 19121 1.31 355 0.04 - - - - - - - - - - - -
2005 4516 0.44 11515 0.79 20670 2.40 588 0.09 - - - - - - - - - -
2006 3348 0.32 7140 0.49 17333 2.01 13402 2.04 1788 0.20 - - - - - - - -
2007 5208 0.50 7447 0.51 11540 1.34 15475 2.35 13696 1.55 945 0.06 - - - - - -
2008 36997 3.58 39792 2.73 17615 2.04 13516 2.06 12721 1.44 4554 0.31 34 0.00 - - - -
2009 28970 2.81 46326 3.18 46812 5.43 17366 2.64 25016 2.83 167818 11.43 83527 4.27 10558 0.43 - -
2010 53051 5.14 61320 4.20 89679 10.39 82553 12.56 25661 2.91 92287 6.29 68353 3.50 83959 3.38 15050 0.67
2011 163569 15.85 109046 7.48 59344 6.88 30881 4.70 127894 14.48 17120 1.17 38961 1.99 79534 3.21 27166 1.21
2012 221073 21.42 175576 12.04 40247 4.66 53845 8.19 37727 4.27 8167 0.56 20281 1.04 72980 2.94 56966 2.55
2013 95092 9.21 109775 7.53 18371 2.13 42571 6.48 5172 0.59 43855 2.99 37453 1.92 38992 1.57 31385 1.40
2014 4574 0.44 80334 5.51 52120 6.04 84073 12.79 54025 6.12 21868 1.49 131967 6.75 253953 10.24 20466 0.91
2015 81468 7.89 83088 5.70 218628 25.34 9080 1.38 13742 1.56 51311 3.50 34802 1.78 133507 5.38 186397 8.33
2016 30709 2.98 12883 0.88 17828 2.07 1712 0.26 288462 32.66 14681 1.00 31885 1.63 339902 13.70 130585 5.83
2017 182150 17.65 376651 25.82 143535 16.64 148515 22.60 156276 17.69 689901 47.01 114152 5.84 25934 1.05 149780 6.69
2018 5281 0.51 101501 6.96 32204 3.73 9091 1.38 1267 0.14 1241 0.08 835919 42.75 3800 0.15 837 0.04
2019 10225 0.99 57441 3.94 19353 2.24 1164 0.18 791 0.09 469 0.03 47632 2.44 617767 24.90 2249 0.10
2020 650 0.06 54650 3.75 14944 1.73 642 0.10 841 0.10 132 0.01 412 0.02 478059 19.27 825845 36.90
2021 23115 2.24 6658 0.46 1488 0.17 93406 14.21 32137 3.64 8326 0.57 72525 3.71 121981 4.92 605 0.03
2022 28641 2.77 38731 2.66 12404 1.44 7409 1.13 4609 0.52 85432 5.82 30575 1.56 35552 1.43 680384 30.40
2023 - - 34674 2.38 11484 1.33 682 0.10 653 0.07 9856 0.67 44389 2.27 13195 0.53 2031 0.09
2024 - - - - - - - - 61 0.01 10058 0.69 21144 1.08 30845 1.24 4488 0.20
2025 - - - - - - - - - - 2419 0.16 25405 1.30 7333 0.30 93 0.00
2026 22939 2.22 3245 0.22 717 0.08 501 0.08 38 0.00 3265 0.22 14453 0.74 19750 0.80 8851 0.40
2027 - - - - - - - - 380 0.04 9849 0.67 58074 2.97 58354 2.35 59794 2.67
2028 - - 16592 1.14 8430 0.98 577 0.09 572 0.06 479 0.03 719 0.04 160 0.01 150 0.01
2032 7632 0.74 4251 0.29 2588 0.30 2306 0.35 2373 0.27 36162 2.46 150727 7.71 15321 0.62 17861 0.80
2034 - - - - 5132 0.59 11113 1.69 36895 4.18 246 0.02 14692 0.75 21224 0.86 748 0.03
2035 - - - - - - 16746 2.55 739 0.08 123 0.01 5011 0.26 6328 0.26 117 0.01
2036 - - - - - - - - 39712 4.50 187143 12.75 60008 3.07 2487 0.10 508 0.02
2039 - - - - - - - - - - - - 12314 0.63 9377 0.38 72 0.00
2040 - - - - - - - - - - - - - - - - 15913 0.71
Total 1032185 100.00 1458665 100.00 862820 100.00 657213 100.00 883248 100.00 1467704 100.00 1955412 100.00 2480850 100.00 2238343 100.00
CHART 16: TENORWISE ANALYSIS - JANUARY 2011

60

Market Share (%) 50 48

40

30

20 15 14
12
10
5
2
1 1 1
0
2020

2015

2012

2011
2022

2017

2027

2040

2013
Tenor

CHART 17: CATEGORY WISE ANALYSIS OF OUTRIGHT TRADES - NDS AND NDS - OM
Cooperative Banks
2.47% (2.47%)
FIs & Ins.Cos
Public Sector 1.6% (2.68%)
Banks
20.81% (20.62%)
Foreign Banks
35.79% (29.99%)
Private Sector
Banks
11.85% (13.64%)

Mutual Funds
Primary Dealers 6.14% (8.84%)

THE CLEARING CORPORATION OF INDIA LTD.

19.54% (21.36%)
Others
1.79% (0.0.47%)
* Figures in bracket relate to previous month
TABLE 17: INTER-CATEGORY WISE NDS REPORTED OUTRIGHT TRADES - CENTRAL GOVERNMENT SECURITIES (BUY)
SELLER
Market
BUYER Public Private Co- Market
Foreign Primary Mutual Ins. Share (%)
Sector Sector Others operative FIs Share
Banks Dealers Funds Cos (Previous
Banks Banks Banks (%)
Month)
Foreign Banks 54.59 13.80 19.44 8.48 0.06 2.79 0.53 0.30 0.00 54.79 47.70
Public Sector Banks 59.41 5.62 14.07 8.49 1.77 2.65 5.21 2.79 0.00 11.01 10.56
Primary Dealers 57.44 13.56 6.80 13.46 2.54 3.49 0.99 1.71 0.00 10.53 14.10
Private Sector Banks 27.50 8.02 34.28 15.53 5.15 1.35 1.84 6.34 0.00 9.45 13.88
Others 7.93 0.67 60.44 23.63 0.11 1.69 3.86 1.66 0.00 5.82 1.73
Mutual Funds 43.89 5.49 31.82 14.96 0.00 1.83 1.83 0.19 0.00 5.29 5.58
Ins. Cos 76.44 7.87 5.36 0.09 0.10 3.37 0.00 6.75 0.00 1.72 3.78
Co-operative Banks 8.07 1.81 19.16 27.16 0.00 1.95 4.17 37.68 0.00 1.39 2.66
FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

81
 TABLE 18: INTER-CATEGORY WISE NDS REPORTED OUTRIGHT TRADES -
CENTRAL GOVERNMENT SECURITIES (SELL)
BUYER
Market
SELLER Private Public Co- Market
Foreign Primary Mutual Ins. Share (%)
Sector Sector operative Others FIs Share
Banks Dealers Funds Cos (Previous
Banks Banks Banks (%)
Month)
Foreign Banks 60.66 12.27 5.27 13.27 4.71 0.23 2.67 0.94 0.00 49.31 44.60
Primary Dealers 49.05 3.30 14.91 7.13 7.76 1.23 0.43 16.19 0.00 21.72 21.42
Private Sector Banks 42.19 12.88 13.32 8.49 7.20 3.44 0.01 12.48 0.00 11.01 19.38
Public Sector Banks 69.65 13.15 6.98 5.70 2.68 0.23 1.25 0.36 0.00 10.86 6.75
Mutual Funds 58.91 14.17 4.89 11.23 3.73 1.04 2.24 3.79 0.00 2.60 2.59
Co-operative Banks 8.27 9.00 29.95 15.36 0.50 26.26 5.81 4.84 0.00 2.00 2.58
Ins. Cos 19.08 6.87 11.45 37.66 6.36 3.82 0.00 14.76 0.00 1.52 2.46
Others 3.25 27.03 49.21 19.67 0.00 0.00 0.18 0.67 0.00 0.99 0.22
FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

TABLE 19: INTER-CATEGORY WISE NDS REPORTED OUTRIGHT TRADES - TREASURY BILLS (BUY)
SELLER
Market
BUYER Public Private Co- Market
Foreign Mutual Primary Ins. Share (%)
Sector Sector operative Others FIs Share
Banks Funds Dealers Cos (Previous
Banks Banks Banks (%)
Month)
Foreign Banks 16.60 17.80 3.67 17.48 44.44 0.00 0.00 0.00 0.00 45.87 61.57
Public Sector Banks 43.47 17.86 0.00 2.42 34.48 1.73 0.05 0.00 0.00 22.67 18.54
Mutual Funds 38.99 35.58 0.00 10.49 14.94 0.00 0.00 0.00 0.00 12.67 4.24
Private Sector Banks 18.48 26.28 0.00 13.55 41.70 0.00 0.00 0.00 0.00 9.94 4.07
Primary Dealers 83.92 8.65 2.71 4.72 0.00 0.00 0.00 0.00 0.00 7.23 10.43
Ins. Cos 27.89 41.83 13.94 0.00 16.34 0.00 0.00 0.00 0.00 1.41 0.85
Co-operative Banks 0.00 0.00 0.00 40.70 41.72 0.00 17.57 0.00 0.00 0.19 0.23
THE CLEARING CORPORATION OF INDIA LTD.

Others 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.03 0.06
FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

TABLE 20: INTER-CATEGORY WISE NDS REPORTED OUTRIGHT TRADES - TREASURY BILLS (SELL)
BUYER
Market
SELLER Public Private Co- Market
Primary Foreign Mutual Ins. Share (%)
Sector Sector operative Others FIs Share
Dealers Banks Funds Cos (Previous
Banks Banks Banks (%)
Month)
Primary Dealers 0.00 58.95 22.60 11.98 5.47 0.66 0.23 0.10 0.00 34.58 35.24
Foreign Banks 19.76 24.80 32.09 5.98 16.09 1.28 0.00 0.00 0.00 30.70 43.91
Public Sector Banks 3.05 39.74 19.71 12.71 21.94 2.86 0.00 0.00 0.00 20.55 7.88
Private Sector Banks 2.92 68.76 4.71 11.55 11.39 0.00 0.67 0.00 0.00 11.66 10.45
Mutual Funds 9.43 81.13 0.00 0.00 0.00 9.43 0.00 0.00 0.00 2.08 0.28
Ins. Cos 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.39 2.12
Co-operative Banks 0.00 0.00 23.41 0.00 0.00 0.00 76.59 0.00 0.00 0.04 0.11
Others 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

82
NETTING FACTOR
Netting Factor denotes the extent of actual reduction achieved through multi-lateral offsetting of individual member
fund obligations (arising out of every trade) to a single net fund obligation. This process has significantly reduced
individual funding requirements for every member and also achieved reduction in market liquidity risk.

TABLE 21: NETTING FACTOR: FUNDS Amount ` Crore

Settlement Period Gross Net Netting Factor (%)
2002-03 2324017 653519 71.88
2003-04 4038385 979592 75.74
2004-05 4582506 1037355 77.36
2005-06 4460523 905062 79.71
2006-07 6275182 968185 84.57
2007-08 9646481 1596638 83.45
2008-09 10756665 1674892 84.43
2009-10 15502457 2642001 82.96
Apr-10 1218304 274818 77.44
May-10 1297530 238542 81.62
Jun-10 867348 181848 79.03
Jul-10 855256 187639 78.06
Aug-10 1086028 224703 79.31
Sep-10 1002951 228126 77.25
Oct-10 949147 239009 74.82
Nov-10 658074 147733 77.55
Dec-10 817397 187093 77.11
Jan-11 735064 213344 70.98
2010-11 (Upto January 2011) 9487098 2122855 77.62

TABLE 22: NETTING FACTOR: SECURITIES Amount ` Crore

Settlement Period Gross Net Netting Factor(%)

2004-05 4250540 2462555.71 42.06

THE CLEARING CORPORATION OF INDIA LTD.

2005-06 4384775 2012523 54.10
2006-07 6123933 2418739 60.50
2007-08 9536455 3776777 60.40
2008-09 10365006 3750501 63.82
2009-10 15056277 6461619 57.08
Apr-10 1202038 587054 51.16
May-10 1264737 556812 55.97
Jun-10 845358 358843 57.55
Jul-10 836700 365791 56.28
Aug-10 1068795 436446 59.16
Sep-10 990688 431846 56.41
Oct-10 941055 411879 56.23
Nov-10 653665 281427 56.95
Dec-10 809590 340888 57.89
Jan-11 732048 342264 53.25
2010-11 (Upto January 2011) 9344675 4113249 55.98

Note: DvP III was introduced since April 2, 2004.

83
84

THE CLEARING CORPORATION OF INDIA LTD.

TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH
Average Average
Volume Daily Daily
Percent No. of Volume for Percent Market
Days traded settled in Trading Trading
Sr. Maturity share in last Trades January - share in Capitalizati Turnover
Security (in last 12 last 12 Value in last Value in
No. Date 12 months (January, 2011 (FV in (January on (FV in ` Ratio*
months) months (FV 12 months January -
volume 2011) ` Crore) 2011) Crore)
in ` Crore) (FV in ` 2011 (FV in
Crore) ` Crore)
1 8.08% G.S. 2022 02-Aug-22 108 116350 4.62 4851 32308 24.77 26774.83 434.55 1077.31 1615.40
2 8.13% G.S. 2022 21-Sep-22 149 283004 11.24 4361 30344 23.26 33409.67 847.07 1899.36 1444.95
3 7.17% G.S. 2015 14-Jun-15 158 140279 5.57 1866 15140 11.61 51178.76 274.10 887.84 720.95
4 7.80% G.S. 2020 03-May-20 190 754613 29.98 1834 13592 10.42 58659.96 1286.42 3971.65 679.60
5 7.99% G.S. 2017 09-Jul-17 101 104958 4.17 1042 9313 7.14 58568.95 179.20 1039.19 465.65
6 7.49% G.S. 2017 16-Apr-17 61 12510 0.50 809 7887 6.05 53310.18 23.47 205.08 394.35
7 8.26% G.S. 2027 02-Aug-27 202 56381 2.24 1562 6430 4.93 48339.93 116.63 279.11 321.50
8 FRB 2020 21-Dec-20 81 10638 0.42 251 5775 4.43 7584.00 140.27 131.33 360.94
9 8.30% G.S. 2040 02-Jul-40 135 15913 0.63 338 3031 2.32 28204.82 56.42 117.87 144.33
10 7.40% G.S. 2012 03-May-12 214 51117 2.03 98 1517 1.16 32956.04 155.11 238.86 79.84
11 7.27% G.S. 2013 03-Sep-13 198 34452 1.37 114 1273 0.98 45494.00 75.73 174.00 79.56
12 7.46% G.S. 2017 28-Aug-17 148 32024 1.27 38 891 0.68 56201.53 56.98 216.38 148.50
13 6.90% OMC SB 2026 04-Feb-26 108 7126 0.28 92 519 0.40 19155.37 37.20 65.98 37.07
14 9.39% G.S. 2011 02-Jul-11 131 15865 0.63 17 393 0.30 37277.50 42.56 121.11 35.73
15 11.50% G.S. 2011 05-Aug-11 31 1235 0.05 14 300 0.23 2919.25 42.31 39.84 42.86
16 6.35% G.S. 2020 02-Jan-20 168 191730 7.62 29 205 0.16 53824.18 356.22 1141.25 17.08
17 6.85% G.S. 2012 05-Apr-12 114 11702 0.46 11 205 0.16 25778.87 45.39 102.65 51.25
18 7.02% G.S. 2016 17-Aug-16 194 211446 8.40 5 205 0.16 57600.08 367.09 1089.93 68.33
19 8.24% G.S. 2027 15-Feb-27 166 9726 0.39 47 155 0.12 56097.31 17.34 58.59 9.12
20 11.50% G.S. 2015 21-May-15 33 194 0.01 3 74 0.06 4024.64 4.82 5.88 37.00
21 8.20% G.S. 2022 15-Feb-22 179 281614 11.19 9 63 0.05 57632.33 488.64 1573.26 10.50
22 6.72% G.S. 2014 24-Feb-14 32 4382 0.17 1 60 0.05 14839.73 29.53 136.94 60.00
23 10.25% G.S. 2012 01-Jun-12 24 397 0.02 2 60 0.05 1633.16 24.31 16.54 30.00
24 7.47% OMC SB 2012 07-Mar-12 14 400 0.02 3 60 0.05 1992.94 20.07 28.57 30.00
25 8.28% G.S. 2032 15-Feb-32 162 12554 0.50 20 51 0.04 51511.40 24.37 77.49 6.38
 Average Average
Volume Daily Daily
Percent No. of Volume for Percent Market
Days traded settled in Trading Trading
Sr. Maturity share in last Trades January - share in Capitalizati Turnover
Security (in last 12 last 12 Value in last Value in
No. Date 12 months (January, 2011 (FV in (January on (FV in ` Ratio*
months) months (FV 12 months January -
volume 2011) ` Crore) 2011) Crore)
in ` Crore) (FV in ` 2011 (FV in
Crore) ` Crore)
26 12.32% G.S. 2011 29-Jan-11 20 3396 0.13 2 50 0.04 - - 169.80 50.00
27 7.38% G.S. 2015 03-Sep-15 109 38065 1.51 5 50 0.04 59766.47 63.69 349.22 12.50
28 12.00% G.S. 2011 21-Oct-11 16 473 0.02 5 49 0.04 3350.16 14.12 29.56 9.80
29 7.95% G.S. 2032 28-Aug-32 77 815 0.03 39 39 0.03 55555.70 1.47 10.58 3.00
30 8.20% OMC SB 2024 15-Sep-24 141 4723 0.19 14 36 0.03 10223.88 46.20 33.50 3.60
31 12.40% G.S. 2013 20-Aug-13 38 236 0.01 5 35 0.03 13152.34 1.79 6.21 8.75
32 6.35% OMC SB 2024 23-Dec-24 76 2690 0.11 6 32 0.02 18166.50 14.81 35.39 6.40
33 7.32% G.S. 2014 20-Oct-14 114 16282 0.65 5 25 0.02 17640.00 92.30 142.82 8.33
34 11.83% G.S. 2014 12-Nov-14 32 419 0.02 7 25 0.02 12839.75 3.26 13.09 5.00
35 6.05% G.S. 2019 12-Jun-19 44 242 0.01 8 24 0.02 9584.73 2.52 5.50 4.80
36 10.50% G.S. 2014 29-Oct-14 9 50 0.00 2 23 0.02 1904.98 2.62 5.56 11.50
37 8.07% G.S. 2017 15-Jan-17 64 831 0.03 11 18 0.01 48608.00 1.71 12.98 2.57
38 8.30% FERT SB 2023 07-Dec-23 24 30 0.00 11 16 0.01 3836.73 0.78 1.25 2.29
39 10.25% G.S. 2021 30-May-21 65 523 0.02 4 15 0.01 29621.05 1.77 8.05 3.75
40 11.50% G.S. 2011 24-Nov-11 22 1847 0.07 2 15 0.01 11331.49 16.30 83.95 7.50
41 6.05% G.S. 2019 02-Feb-19 32 444 0.02 6 14 0.01 46364.40 0.96 13.88 3.50
42 8.33% G.S. 2036 07-Jun-36 69 560 0.02 11 14 0.01 57365.05 0.98 8.12 1.75
43 6.90% G.S. 2019 13-Jul-19 113 12239 0.49 5 13 0.01 41477.22 29.51 108.31 3.25
44 8.24% G.S. 2018 22-Apr-18 26 341 0.01 7 12 0.01 50150.00 0.68 13.12 4.00
45 8.20% OMC SB 2023 10-Nov-23 75 1962 0.08 5 11 0.01 21530.68 9.11 26.16 3.67
46 8.35% SBI SB 2024 27-Mar-24 19 372 0.01 2 10 0.01 9891.94 3.76 19.58 5.00
47 7.44% OMC SB 2012 23-Mar-12 13 283 0.01 1 10 0.01 1992.99 14.20 21.77 10.00
48 7.95% FERT SB 2026 18-Feb-26 37 282 0.01 3 9 0.01 3434.08 8.21 7.62 4.50
49 7.94% G.S. 2021 24-May-21 47 384 0.02 11 8 0.01 48300.82 0.80 8.17 1.14
50 6.49% G.S. 2015 08-Jun-15 111 11416 0.45 1 5 0.00 37874.33 30.14 102.85 5.00
51 9.40% G.S. 2012 11-Sep-12 52 5072 0.20 1 5 0.00 11308.00 44.85 97.54 5.00

THE CLEARING CORPORATION OF INDIA LTD.

85
86

THE CLEARING CORPORATION OF INDIA LTD.

Average Average
Volume Daily Daily
Percent No. of Volume for Percent Market
Days traded settled in Trading Trading
Sr. Maturity share in last Trades January - share in Capitalizati Turnover
Security (in last 12 last 12 Value in last Value in
No. Date 12 months (January, 2011 (FV in (January on (FV in ` Ratio*
months) months (FV 12 months January -
volume 2011) ` Crore) 2011) Crore)
in ` Crore) (FV in ` 2011 (FV in
Crore) ` Crore)
52 7.5% G.S. 2034 10-Aug-34 143 944 0.04 6 4 0.00 53669.86 1.76 6.60 2.00
53 8.35% G.S. 2022 14-May-22 17 77 0.00 3 3 0.00 44299.80 0.17 4.53 1.50
54 6.25% G.S. 2018 02-Jan-18 46 319 0.01 7 2 0.00 15159.78 2.10 6.93 0.29
55 8.03% FCI SB 2024 15-Dec-24 5 63 0.00 3 2 0.00 4809.06 1.31 12.60 2.00
56 10.70% G.S. 2020 22-Apr-20 14 3 0.00 5 1 0.00 6949.62 0.04 0.21 0.20
57 11.43% G.S. 2015 07-Aug-15 21 207 0.01 4 1 0.00 13586.51 1.52 9.86 0.25
58 8.32% G.S. 2032 02-Aug-32 105 5266 0.21 2 1 0.00 15121.76 34.82 50.15 1.00
59 5.64% G.S. 2019 02-Jan-19 27 48 0.00 1 1 0.00 8538.50 0.56 1.78 1.00
60 8.15% FCI SB 2022 16-Oct-22 22 52 0.00 2 1 0.00 4892.20 1.06 2.36 0.50
61 6.01% G.S. 2028 25-Mar-28 55 118 0.00 2 1 0.00 11602.61 1.02 2.15 0.50
62 10.00% G.S. 2014 30-May-14 11 139 0.01 2 0 0.00 2453.19 5.67 12.64 0.00
63 12.60% G.S. 2018 23-Nov-18 8 52 0.00 3 0 0.00 15701.43 0.33 6.50 0.00
64 10.45% G.S. 2018 30-Apr-18 13 164 0.01 1 0 0.00 4134.05 3.97 12.62 0.00
65 10.79% G.S. 2015 19-May-15 3 5 0.00 1 0 0.00 2924.96 0.17 1.67 0.00
66 10.95% G.S. 2011 30-May-11 26 1869 0.07 1 0 0.00 12147.97 15.39 71.88 0.00
67 11.60% G.S. 2020 27-Dec-20 6 1 0.00 2 0 0.00 6100.00 0.02 0.17 0.00
68 12.30% G.S. 2016 02-Jul-16 18 151 0.01 3 0 0.00 15414.44 0.98 8.39 0.00
69 8.23% FCI SB 2027 12-Feb-27 9 9 0.00 2 0 0.00 6031.11 0.15 1.00 0.00
70 8.40% OMC SB 2026 29-Mar-26 27 487 0.02 2 0 0.00 4918.79 9.90 18.04 0.00
71 8.40% OMC SB 2025 28-Mar-25 8 2 0.00 1 0 0.00 9217.10 0.02 0.25 0.00
Other securities traded
during the past 12
72 42897 1.70
months but not traded
during the month
Total 2517460 17649 130431 100.00

*Turnover Ratio has been calculated as 12 months cumulative trading value as a percentage of market capitalization of respective security. Note: Prices used for calculating Market
Capitalization are Weighted Average prices as on January 31, 2011. In case of non availability Weighted Average prices, CCIL Model prices as on January 31, 2011 are used.
TABLE 24: TURNOVER RATIO OF CENTRAL GOVERNMENT SECURITIES Amount ` Crore
Cen. Govt. Dated 12 Month G-Sec
Month Market Capitialisation Turnover Ratio(%)
Securities Volume
Apr-03 110290 1097202 870354 126.06
May-03 139912 1196652 884296 135.32
Jun-03 145734 1294358 902447 143.43
Jul-03 148576 1351570 951641 142.03
Aug-03 187278 1438727 971426 148.10
Sep-03 125325 1494771 994508 150.30
Oct-03 171400 1557205 1005834 154.82
Nov-03 86233 1505350 1002288 150.19
Dec-03 87274 1467722 1004124 146.17
Jan-04 81917 1405180 1002211 140.21
Feb-04 66543 1341833 1003259 133.75
Mar-04 108183 1350482 1004393 134.46
Apr-04 143620 1491995 1034562 144.22
May-04 94430 1446513 1017708 142.13
Jun-04 86607 1387386 1005959 137.92
Jul-04 64462 1303272 977016 133.39
Aug-04 64224 1180218 976774 120.83
Sep-04 86987 1141880 973696 117.27
Oct-04 55872 1026352 960159 106.89
Nov-04 38485 978604 948161 103.21
Dec-04 65817 957147 975989 98.07
Jan-05 54626 929856 976889 95.19
Feb-05 64234 927548 988793 93.81
Mar-05 43455 862820 981306 87.93
Apr-05 42905 762105 963618 79.09

THE CLEARING CORPORATION OF INDIA LTD.

May-05 58362 726037 984205 73.77
Jun-05 101123 740552 1011329 73.23
Jul-05 56641 732731 1021712 71.72
Aug-05 65079 733587 1021995 71.78
Sep-05 77657 724256 1001115 72.34
Oct-05 43581 711965 1004636 70.87
Nov-05 49241 722721 1038494 69.59
Dec-05 45208 702112 1047826 67.01
Jan-06 47703 695188 1046315 66.44
Feb-06 35808 666762 1052002 63.38
Mar-06 33905 657213 1068008 61.54
Apr-06 55089 669397 1069470 62.59
May-06 54161 665195 1063822 62.53
Jun-06 34866 598938 1049720 57.06
Jul-06 34676 576973 1049776 54.96
Aug-06 89446 601341 1079013 55.73

87
 Cen. Govt. Dated 12 Month G-Sec
Month Market Capitialisation Turnover Ratio(%)
Securities Volume
Sep-06 134614 658298 1102636 59.70
Oct-06 63939 678657 1125373 60.31
Nov-06 158397 787813 1109312 71.02
Dec-06 78497 821101 1161197 70.71
Jan-07 74000 847399 1149828 73.70
Feb-07 60113 871704 1168370 74.61
Mar-07 45449 883248 1189326 74.26
Apr-07 68354 896513 1188531 75.43
May-07 68222 910574 1198425 75.98
Jun-07 92811 968519 1219959 79.39
Jul-07 204550 1138394 1270011 89.64
Aug-07 104680 1153627 1302665 88.56
Sep-07 85029 1104041 1323589 83.41
Oct-07 89923 1130025 1370857 82.43
Nov-07 67776 1039404 1388051 74.88
Dec-07 117893 1078800 1404825 76.79
Jan-08 295325 1300125 1445073 89.97
Feb-08 182597 1422608 1454517 97.81
Mar-08 90544 1467704 1441311 101.83
Apr-08 98286 1497636 1471828 101.75
May-08 129032 1558446 1464561 106.41
Jun-08 101475 1567109 1412037 110.98
Jul-08 83793 1446352 1395509 103.64
Aug-08 111093 1452765 1420737 102.25
Sep-08 153971 1521708 1448033 105.09
THE CLEARING CORPORATION OF INDIA LTD.

Oct-08 132519 1564304 1554434 100.63

Nov-08 174174 1670702 1601267 104.34
Dec-08 352329 1905138 1797057 106.01
Jan-09 294708 1904521 1755683 108.48
Feb-09 163975 1885899 1777507 106.10
Mar-09 160058 1955412 1763360 110.89
Apr-09 237356 2094483 1831108 114.38
May-09 224389 2189840 1841701 118.90
Jun-09 215004 2303369 1865534 123.47
Jul-09 270989 2490566 1908859 130.47
Aug-09 146426 2525899 1900471 132.91
Sep-09 249130 2621058 1955774 134.02
Oct-09 191754 2680293 1969015 136.12
Nov-09 263678 2769797 2012133 137.65
Dec-09 211647 2629115 2015842 130.42
Jan-10 191363 2525771 2015085 125.34

88
 Cen. Govt. Dated 12 Month G-Sec
Month Market Capitialisation Turnover Ratio(%)
Securities Volume
Feb-10 149846 2511642 2005496 125.24
Mar-10 129266 2480850 2017871 122.94
Apr-10 208456 2451949 2053001 119.43
May-10 371385 2598945 2101580 123.67
Jun-10 315391 2699332 2123662 127.11
Jul-10 207742 2636084 2115872 124.59
Aug-10 259473 2749131 2150393 127.84
Sep-10 231393 2731394 2204437 123.90
Oct-10 211665 2751305 2214033 124.27
Nov-10 151253 2638880 2252314 117.16
Dec-10 151380 2578613 2272579 113.47
Jan-11 130205 2517455 2281235 110.35

MARKET SHARE
TABLE 25: 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
Apr-10 81.47 90.93 96.21 98.47
May-10 84.98 93.63 96.19 97.64

THE CLEARING CORPORATION OF INDIA LTD.

Jun-10 90.61 95.43 97.18 98.12
Jul-10 87.59 93.54 96.46 98.04
Aug-10 86.03 93.57 96.60 98.39
Sep-10 88.53 95.18 97.62 98.65
Oct-10 87.44 95.05 98.01 98.99
Nov-10 87.98 97.24 99.06 99.59
Dec-10 84.56 95.95 98.36 99.18
Jan-11 77.20 96.09 98.68 99.33
2010-11 (Upto January 2011) 70.97 87.89 93.65 96.17

89
 TABLE 26: MARKET SHARE OF MEMBERS IN OUTRIGHT SETTLEMENT percent

Settlement Period Top 5 Top 10 Top 15 Top 20

2002-03 20.17 32.59 42.33 50.14

2003-04 19.02 31.58 40.63 48.49
2004-05 21.20 35.51 46.10 54.37
2005-06 21.84 37.47 49.11 57.64
2006-07 28.93 45.34 57.08 65.89
2007-08 27.42 43.65 56.17 65.31
2008-09 28.33 45.51 57.23 65.63
2009-10 28.74 44.32 55.32 63.35
Apr-10 31.60 46.79 58.20 65.39
May-10 30.92 45.68 56.28 64.94
Jun-10 37.42 53.34 63.10 69.16
Jul-10 35.66 52.97 63.84 70.84
Aug-10 36.99 53.27 62.81 69.37
Sep-10 37.39 51.92 61.62 69.00
Oct-10 37.54 52.91 63.66 71.19
Nov-10 31.66 46.07 56.56 64.88
Dec-10 30.47 44.18 54.92 63.00
Jan-11 32.06 45.95 55.62 63.73
2010-11 (Upto January 2011) 34.35 49.61 59.96 67.39

TABLE 27: MARKET SHARE OF TOP FIVE (CATEGORY WISE) percent

Cooperative Foreign Public Sector Private Mutual Primary
Categories
Banks Banks Banks Sector Banks Funds Dealers
No of Members 33 28 26 20 26 8
2002-03 87.04 75.91 41.44 50.65 59.76 62.00
2003-04 76.72 75.48 43.88 53.33 55.47 62.96
2004-05 82.30 77.94 51.20 69.12 56.99 61.90
THE CLEARING CORPORATION OF INDIA LTD.

2005-06 75.10 77.91 53.45 71.55 56.49 56.95

2006-07 77.20 76.04 52.57 73.68 68.00 72.44
2007-08 86.70 74.99 55.29 73.01 70.20 86.20
2008-09 82.16 76.26 52.53 76.79 66.10 86.83
2009-10 72.08 79.86 47.99 79.61 64.19 82.44
Apr-10 65.04 77.39 45.36 83.67 69.82 84.69
May-10 64.11 82.01 44.60 79.07 73.56 85.76
Jun-10 70.30 83.35 44.67 81.71 58.00 87.17
Jul-10 56.91 85.15 54.81 75.10 73.44 86.78
Aug-10 62.88 83.75 55.26 75.16 59.90 83.51
Sep-10 62.74 83.65 64.51 57.01 61.62 83.28
Oct-10 60.60 86.72 54.41 70.18 68.15 84.92
Nov-10 68.12 82.42 46.32 67.76 62.02 84.56
Dec-10 55.73 81.40 45.52 72.18 63.24 86.67
Jan-11 53.79 82.73 45.45 61.87 61.15 79.55
2010-11 (Upto January 2011) 63.16 83.09 49.11 75.16 66.41 84.94

90
TRADING ANALYSIS
TABLE 28: G-SEC TRADING VOLUMES Amount ` Crore
NDS-OM NDS
Period
Trades Volumes % share Trades Volumes % share
2005-06 38238 220805 56.36 29197 170937 43.64
2006-07 101091 643740 72.95 26943 238753 27.05
2007-08 155259 1160554 79.10 22753 306591 20.90
2008-09 207011 1475799 75.45 27750 480276 24.55
2009-10 268766 1965066 79.35 30249 511269 20.65
Apr-10 23717 177710 80.33 2126 43505 19.67
May-10 40777 315508 84.52 3534 57768 15.48
Jun-10 33856 268398 86.37 3010 42354 13.63
Jul-10 19917 164289 80.95 2889 38668 19.05
Aug-10 27899 225330 84.91 3152 40049 15.09
Sep-10 24598 191856 83.06 2857 39116 16.94
Oct-10 22068 164120 82.16 2392 35628 17.84
Nov-10 18103 128945 84.96 1936 22832 15.04
Dec-10 17549 123270 83.82 2227 23799 16.18
Jan-11 15769 106936 80.63 2222 25685 19.37
2010-11 (Upto January 2011) 244253 1866363 83.48 26345 369404 16.52

TABLE 29: WHEN ISSUED TRADING DETAILS Amount ` Crore

Security Description Maturity Date Trades Value

7.17% G.S. 2015 14-Jun-15 7 60.00
7.99% G.S. 2017 09-Jul-17 34 215.00
8.08% G.S. 2022 02-Aug-22 3 15.00
8.13% G.S. 2022 21-Sep-22 12 110.00

THE CLEARING CORPORATION OF INDIA LTD.

Total 56 400.00

91
92

THE CLEARING CORPORATION OF INDIA LTD.

TABLE 30: TRADING DETAILS Amount ` Crore

Central Government SDL T-Bills Total Repo CBLO Forex*

Date
Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value
1-Jan-11 1 38.30 121 7911.70
3-Jan-11 460 3330.17 5 12.97 22 796.57 487 4139.71 95 12740.72 607 57430.40 3655 16309.17
4-Jan-11 980 8187.73 26 204.29 16 447.82 1022 8839.84 105 12825.92 754 68794.90 3358 11834.40
5-Jan-11 821 6400.26 49 478.66 15 291.57 885 7170.49 101 14967.74 698 72313.50 3382 10648.16
6-Jan-11 749 5617.43 39 262.10 49 1500.25 837 7379.78 95 13694.05 702 77059.95 4662 12924.74
7-Jan-11 767 5916.25 13 28.00 10 410.29 790 6354.54 85 9928.04 677 73146.65 5123 13750.10
8-Jan-11 70 2783.30
10-Jan-11 894 6923.68 22 73.02 36 1280.79 952 8277.49 102 14692.33 609 67860.60 5214 14486.20
11-Jan-11 936 6784.59 25 43.89 30 756.50 991 7584.98 100 12025.78 626 69253.75 5108 13304.95
12-Jan-11 846 7299.88 22 37.45 39 636.04 907 7973.37 99 11959.02 583 61951.75 5081 14554.20
13-Jan-11 1239 9509.07 34 90.57 62 2425.29 1335 12024.93 89 10683.73 587 65329.30 4903 14497.99
14-Jan-11 890 9118.81 11 24.32 37 1416.83 938 10559.96 207 38320.98 454 21094.60 4595 12706.01
15-Jan-11 1 14.60 77 3609.20
17-Jan-11 667 4400.89 19 44.15 15 1101.01 701 5546.05 92 12395.95 585 60596.45
18-Jan-11 825 5609.80 38 540.16 16 335.34 879 6485.30 76 11622.71 556 53713.45 9530 22137.04
19-Jan-11 762 4855.24 84 533.66 12 194.25 858 5583.15 97 10791.94 534 50543.75 4840 13163.89
20-Jan-11 845 5770.79 39 181.00 49 1279.22 933 7231.01 89 10388.91 553 46259.60 4370 14252.03
21-Jan-11 718 5829.87 28 148.25 19 228.51 765 6206.63 94 11513.01 481 39575.55 4604 13218.65
22-Jan-11 2 67.45 83 3981.45
24-Jan-11 804 5639.44 41 340.27 21 804.64 866 6784.35 86 12053.49 545 44785.50 5312 13883.35
25-Jan-11 1330 8860.34 22 87.39 12 381.20 1364 9328.93 76 9398.24 646 52891.90 5454 14533.07
27-Jan-11 1447 9107.90 20 9.04 34 905.13 1501 10022.07 103 15032.07 538 45024.85 3902 11199.51
28-Jan-11 1318 8352.50 34 125.05 30 782.68 1382 9260.23 173 30699.45 418 18745.00 5027 13736.50
29-Jan-11 1 9 89 4458.95
31-Jan-11 693 5106.35 32 132.73 18 546.56 743 5785.64 100 12780 566 51271.15 12698 79607.64
Total 17991 132620.99 603 3396.97 542 16520.49 19136 152538.45 2069 288642.86 12159 1120387.20 100818 330747.60
Average 900 6631.05 30 169.85 27 826.02 957 7626.92 86 12026.79 486 44815.49 5306 17407.77
Market
94.02 86.94 3.15 2.23 2.83 10.83
Share (%)

*Forex in USD Million

 TABLE 31: G-SEC TRADING ANALYSIS Amount ` Crore

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

Date No. of Market No. of Market No. of Market No. of
Trades Value Trades Value Trades Value Trades Value
Securities Share (%) Securities Share (%) Securities Share (%) Securities
3-Jan-11 77 17 569.67 17.11 383 10 2760.50 82.89 12 6 255.00 7.66 460 20 3330.17
4-Jan-11 125 18 1580.85 19.31 855 16 6606.87 80.69 52 9 1337.00 16.33 980 22 8187.73
5-Jan-11 83 19 859.40 13.43 738 14 5540.86 86.57 18 6 590.00 9.22 821 23 6400.26
6-Jan-11 101 17 933.50 16.62 648 11 4683.92 83.38 24 9 685.00 12.19 749 20 5617.43
7-Jan-11 115 19 1521.31 25.71 652 11 4394.94 74.29 19 9 595.00 10.06 767 22 5916.25
10-Jan-11 147 15 1868.84 26.99 747 13 5054.84 73.01 38 9 1480.00 21.38 894 19 6923.68
11-Jan-11 111 27 1295.98 19.10 825 15 5488.60 80.90 38 11 1163.00 17.14 936 30 6784.59
12-Jan-11 124 24 2481.66 34.00 722 11 4818.22 66.00 44 14 2220.22 30.41 846 26 7299.88
13-Jan-11 140 24 2244.29 23.60 1099 12 7264.78 76.40 62 14 1972.50 20.74 1239 25 9509.07
14-Jan-11 126 21 3767.93 41.32 764 13 5350.88 58.68 44 10 2385.00 26.15 890 25 9118.81
17-Jan-11 105 16 585.92 13.31 562 9 3814.97 86.69 11 6 130.00 2.95 667 17 4400.89
18-Jan-11 135 20 634.45 11.31 690 13 4975.35 88.69 15 9 229.00 4.08 825 25 5609.80
19-Jan-11 107 14 609.36 12.55 655 11 4245.88 87.45 15 7 295.00 6.08 762 17 4855.24
20-Jan-11 82 16 527.69 9.14 763 13 5243.10 90.86 22 7 440.00 7.62 845 17 5770.79
21-Jan-11 128 27 1812.36 31.09 590 10 4017.50 68.91 40 14 1035.00 17.75 718 27 5829.87
24-Jan-11 156 21 1523.64 27.02 648 11 4115.80 72.98 32 10 980.00 17.38 804 22 5639.44
25-Jan-11 87 16 534.63 6.03 1243 15 8325.71 93.97 33 7 445.00 5.02 1330 21 8860.34
27-Jan-11 113 22 921.25 10.11 1334 15 8186.65 89.89 31 11 567.67 6.23 1447 24 9107.90
28-Jan-11 96 19 591.24 7.08 1222 15 7761.25 92.92 28 6 490.00 5.87 1318 25 8352.50
31-Jan-11 64 25 820.60 16.07 629 12 4285.75 83.93 29 9 770.00 15.08 693 29 5106.35
Total 2222 25684.58 15769 106936.37 607 18064.39 17991 132620.99
Average 111 20 1284.23 788 13 5346.82 30 9 903.22 900 23 6631.05
Percent
Market 19.37 80.63 13.62
Share

THE CLEARING CORPORATION OF INDIA LTD.

93
94

THE CLEARING CORPORATION OF INDIA LTD.

TABLE 32: T-BILL TRADING VOLUME ANALYSIS Amount ` Crore

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

Date No. of Market No. of Market No. of Market No. of
Trades Value Trades Value Trades Value Trades Value
Securities Share (%) Securities Share (%) Securities Share (%) Securities
3-Jan-11 13 7 561.54 70.49 9 3 235.03 29.51 4 3 193.00 24.23 22 7 796.57
4-Jan-11 3 2 158.50 35.39 13 4 289.32 64.61 1 1 100.00 22.33 16 5 447.82
5-Jan-11 11 7 221.57 75.99 4 4 70.00 24.01 3 2 100.00 34.30 15 10 291.57
6-Jan-11 47 11 1474.25 98.27 2 2 26.00 1.73 10 5 290.00 19.33 49 11 1500.25
7-Jan-11 9 7 400.29 97.56 1 1 10.00 2.44 6 4 390.00 95.05 10 7 410.29
10-Jan-11 24 13 1030.75 80.48 12 5 250.04 19.52 8 7 435.55 34.01 36 14 1280.79
11-Jan-11 18 12 496.50 65.63 12 7 260.00 34.37 10 8 215.00 28.42 30 15 756.50
12-Jan-11 18 12 179.29 28.19 21 6 456.75 71.81 5 5 90.00 14.15 39 13 636.04
13-Jan-11 51 10 2180.29 89.90 11 6 245.00 10.10 16 7 420.00 17.32 62 16 2425.29
14-Jan-11 26 10 981.83 69.30 11 4 435.00 30.70 14 6 606.52 42.81 37 11 1416.83
17-Jan-11 10 8 1031.01 93.64 5 4 70.00 6.36 9 7 1021.01 92.73 15 10 1101.01
18-Jan-11 4 3 130.34 38.87 12 6 205.00 61.13 2 2 130.00 38.77 16 7 335.34
19-Jan-11 7 4 89.25 45.95 5 3 105.00 54.05 2 2 15.00 7.72 12 7 194.25
20-Jan-11 35 7 1138.14 88.97 14 7 141.08 11.03 8 3 200.00 15.63 49 9 1279.22
21-Jan-11 8 5 73.51 32.17 11 6 155.00 67.83 5 4 65.00 28.45 19 9 228.51
24-Jan-11 11 9 624.64 77.63 10 5 180.00 22.37 7 6 604.55 75.13 21 11 804.64
25-Jan-11 7 5 301.20 79.01 5 4 80.00 20.99 4 4 201.20 52.78 12 6 381.20
27-Jan-11 33 8 895.13 98.89 1 1 10.00 1.10 10 5 385.00 42.54 34 9 905.13
28-Jan-11 24 6 657.68 84.03 6 2 125.00 15.97 16 4 585.00 74.74 30 7 782.68
31-Jan-11 12 9 406.56 74.38 6 4 140.00 25.61 5 5 294.45 53.87 18 10 546.56
Total 371 13032.24 171 3488.22 145 6341.27 542 16520.49
Average 19 8 651.61 9 4 174.41 7 5 317.06 27 10 826.02
Percent Market
78.89 21.11 38.38
Share
TABLE 33: NET MARKET SHARE IN G-SEC TRADING percent
Primary Private Sector Public Sector
Date Foreign Banks Mutual Funds Others
Dealers Banks Banks
3-Jan-11 -18.37 -1.05 0.34 -1.14 4.17 16.05
4-Jan-11 -7.45 -2.02 -0.16 -6.16 -1.88 17.67
5-Jan-11 8.00 -7.15 -1.61 -5.24 2.57 3.44
6-Jan-11 -29.19 -3.47 7.88 3.56 0.82 20.40
7-Jan-11 -6.14 3.89 0.67 -10.15 -0.25 11.99
10-Jan-11 0.22 1.99 1.63 -11.23 0.31 7.07
11-Jan-11 -0.37 -3.83 0.06 -2.34 -3.75 10.24
12-Jan-11 9.76 0.82 -0.84 -12.71 2.85 0.12
13-Jan-11 10.46 -0.42 -2.12 -3.85 1.67 -5.75
14-Jan-11 3.29 -2.69 1.10 -6.10 -1.15 5.55
17-Jan-11 -10.05 0.34 5.99 -9.15 3.97 8.90
18-Jan-11 5.03 -1.07 2.76 -13.02 0.08 6.23
19-Jan-11 -8.00 1.24 2.33 -2.31 -3.09 9.84
20-Jan-11 2.14 5.80 -0.83 -2.73 1.07 -5.45
21-Jan-11 -19.26 4.59 9.05 -7.64 -2.26 15.53
24-Jan-11 -16.11 -2.81 4.17 -2.12 5.63 11.23
25-Jan-11 9.44 0.58 -1.51 2.17 0.93 -11.60
27-Jan-11 7.26 -6.00 -0.38 -2.47 -3.80 5.40
28-Jan-11 3.14 0.00 0.75 -5.10 1.35 -0.15
31-Jan-11 -20.49 -0.22 12.89 -3.37 1.75 9.44
Net Activity in Jan-11 -1.85 -0.77 1.61 -5.02 0.32 5.72

TABLE 34: LIQUIDITY OF BONDS TRADED IN JANUARY 2011

(TRADES GREATER THAN ` 5 CRORE)

THE CLEARING CORPORATION OF INDIA LTD.

Days Traded Days Traded
Sr. No. of Value Market Days
ISINDESC with 5 trades or with less than 5
No. Trades (` Cr.) Share (%) Traded
more per day trades per day
1 8.13% G.S. 2022 4678 32660 24.77 20 20 0
2 8.08% G.S. 2022 4703 31778 24.11 19 19 0
3 7.17% G.S. 2015 1897 15701 11.91 20 20 0
4 7.80% G.S. 2020 1804 13502 10.24 20 20 0
5 7.99% G.S. 2017 1137 10207 7.74 19 18 1
6 7.49% G.S. 2017 808 8023 6.09 19 18 1
7 FRB 2020 252 5795 4.40 17 14 3
8 8.26% G.S. 2027 835 5747 4.36 19 19 0
9 8.30% G.S. 2040 192 2108 1.60 19 16 3
10 7.40% G.S. 2012 94 1540 1.17 18 8 10
11 7.27% G.S. 2013 113 1315 1.00 17 8 9
12 7.46% G.S. 2017 22 805 0.61 4 2 2
13 6.90% OMC SB 2026 37 469 0.36 7 3 4

95
 Days Traded Days Traded
Sr. No. of Value Market Days
ISINDESC with 5 trades or with less than 5
No. Trades (` Cr.) Share (%) Traded
more per day trades per day
14 9.39% G.S. 2011 8 380 0.29 5 0 5
15 11.50% G.S. 2011 14 300 0.23 7 1 6
16 6.85% G.S. 2012 11 246 0.19 4 1 3
17 7.02% G.S. 2016 5 205 0.16 3 0 3
18 6.35% G.S. 2020 16 195 0.15 7 1 6
19 8.24% G.S. 2027 5 106 0.08 5 0 5
20 11.50% G.S. 2015 2 74 0.06 1 0 1
21 10.25% G.S. 2012 1 60 0.05 1 0 1
22 6.72% G.S. 2014 1 60 0.05 1 0 1
23 7.47% OMC SB 2012 3 60 0.05 2 0 2
24 12.32% G.S. 2011 2 50 0.04 1 0 1
25 7.38% G.S. 2015 2 50 0.04 1 0 1
26 8.20% G.S. 2022 3 45 0.03 2 0 2
27 12.00% G.S. 2011 3 45 0.03 3 0 3
28 8.28% G.S. 2032 8 40 0.03 3 0 3
29 12.40% G.S. 2013 3 35 0.03 2 0 2
30 6.35% OMC SB 2024 3 25 0.02 3 0 3
31 7.32% G.S. 2014 5 25 0.02 3 0 3
32 8.20% OMC SB 2024 3 25 0.02 3 0 3
33 10.50% G.S. 2014 1 23 0.02 1 0 1
34 10.25% G.S. 2021 1 15 0.01 1 0 1
35 11.50% G.S. 2011 2 15 0.01 2 0 2
36 11.83% G.S. 2014 2 15 0.01 2 0 2
37 8.24% G.S. 2018 3 15 0.01 2 0 2
38 6.90% G.S. 2019 1 10 0.01 1 0 1
THE CLEARING CORPORATION OF INDIA LTD.

39 7.44% OMC SB 2012 1 10 0.01 1 0 1

40 8.07% G.S. 2017 2 10 0.01 1 0 1
41 8.35% SBI SB 2024 2 10 0.01 2 0 2
42 8.30% FERT SB 2023 1 6 0.00 1 0 1
43 6.05% G.S. 2019 1 5 0.00 1 0 1
44 7.94% G.S. 2021 1 5 0.00 1 0 1
45 7.95% FERT SB 2026 1 5 0.00 1 0 1
46 8.20% OMC SB 2023 1 5 0.00 1 0 1
47 9.40% G.S. 2012 1 5 0.00 1 0 1
Total 16691 131829 100.00

96
TABLE 35: LIQUIDITY DISTRIBUTION IN JANUARY 2011
(TRADES GREATER THAN ` 5 CRORE)
5 or more Trades Per Day Less than 5 Trades Per Day
Sr.
No. Days No. of Value Days No. of Value
ISINDESC ISINDESC
Traded Trades (` Cr.) Traded Trades (` Cr.)
1 8.13% G.S. 2022 20 4678 32660.00 7.40% G.S. 2012 10 19 395.00
2 7.17% G.S. 2015 20 1897 15700.83 7.27% G.S. 2013 9 20 355.00
3 7.80% G.S. 2020 20 1804 13502.30 11.50% G.S. 2011 6 9 195.00
4 8.08% G.S. 2022 19 4703 31778.30 6.35% G.S. 2020 6 11 170.00
5 8.26% G.S. 2027 19 835 5747.42 9.39% G.S. 2011 5 8 380.00
6 7.99% G.S. 2017 18 1133 10156.75 8.24% G.S. 2027 5 5 106.03
7 7.49% G.S. 2017 18 805 7997.50 6.90% OMC SB 2026 4 6 45.00
8 8.30% G.S. 2040 16 187 2069.74 8.30% G.S. 2040 3 5 38.60
9 FRB 2020 14 245 5700.00 FRB 2020 3 7 95.00
10 7.40% G.S. 2012 8 75 1145.00 6.85% G.S. 2012 3 5 191.00
11 7.27% G.S. 2013 8 93 960.00 7.02% G.S. 2016 3 5 205.00
12 6.90% OMC SB 2026 3 31 423.59 12.00% G.S. 2011 3 3 44.50
13 7.46% G.S. 2017 2 18 580.00 8.28% G.S. 2032 3 8 40.00
14 11.50% G.S. 2011 1 5 105.00 6.35% OMC SB 2024 3 3 25.00
15 6.85% G.S. 2012 1 6 55.00 7.32% G.S. 2014 3 5 25.00
16 6.35% G.S. 2020 1 5 25.00 8.20% OMC SB 2024 3 3 25.00
17 7.46% G.S. 2017 2 4 225.00
18 7.47% OMC SB 2012 2 3 60.00
19 Total 188 16520 128606.43 8.20% G.S. 2022 2 3 45.00
20 Expected Bond Days 320 12.40% G.S. 2013 2 3 35.00
21 Efficiency 58.75 11.50% G.S. 2011 2 2 15.00
22 11.83% G.S. 2014 2 2 15.00
23 8.24% G.S. 2018 2 3 15.00
24 8.35% SBI SB 2024 2 2 10.00
25 7.99% G.S. 2017 1 4 50.00
26 7.49% G.S. 2017 1 3 25.00
27 11.50% G.S. 2015 1 2 73.60

THE CLEARING CORPORATION OF INDIA LTD.

28 10.25% G.S. 2012 1 1 60.00
29 6.72% G.S. 2014 1 1 60.00
30 12.32% G.S. 2011 1 2 50.00
31 7.38% G.S. 2015 1 2 50.00
32 10.50% G.S. 2014 1 1 23.02
33 10.25% G.S. 2021 1 1 15.00
34 6.90% G.S. 2019 1 1 10.00
35 7.44% OMC SB 2012 1 1 10.00
36 8.07% G.S. 2017 1 2 10.00
37 8.30% FERT SB 2023 1 1 6.00
38 6.05% G.S. 2019 1 1 5.00
39 7.94% G.S. 2021 1 1 5.00
40 7.95% FERT SB 2026 1 1 5.00
41 8.20% OMC SB 2023 1 1 5.00
42 9.40% G.S. 2012 1 1 5.00
Total 106 171 3222.75
Expected Bond Days 840
Efficiency 12.62

97
 MONEY MARKET
TABLE 36: COMPARABLE WEIGHTED AVERAGE MONEY MARKET RATES AND DAILY VOLUMES
Rates (%) Volumes (` Crore)
Date
Call Repo CBLO Call Repo CBLO
1-Jan-11 6.82 4.50 6.24 2356.65 38.30 7911.70
3-Jan-11 6.73 6.32 6.23 9856.20 12740.72 57430.40
4-Jan-11 6.59 6.26 6.18 11485.41 12825.92 68794.90
5-Jan-11 6.37 6.21 6.20 10407.83 14967.74 72313.50
6-Jan-11 6.32 6.20 6.20 11447.86 13694.05 77059.95
7-Jan-11 6.34 6.20 6.21 10964.21 9928.04 73146.65
8-Jan-11 6.09 0.00 6.03 184.04 0.00 2783.30
10-Jan-11 6.30 6.22 6.20 11916.02 14692.33 67860.60
11-Jan-11 6.29 6.22 6.22 10897.58 12025.78 69253.75
12-Jan-11 6.29 6.21 6.22 12826.80 11959.02 61951.75
13-Jan-11 6.29 6.18 6.22 10916.86 10683.73 65329.30
14-Jan-11 6.36 5.92 5.28 9981.21 38320.98 21094.60
15-Jan-11 6.35 4.50 6.28 833.00 14.60 3609.20
17-Jan-11 6.66 6.23 6.24 13797.08 12395.95 60596.45
18-Jan-11 6.69 6.23 6.25 12152.72 11622.71 53713.45
19-Jan-11 6.68 6.21 6.25 10711.68 10791.94 50543.75
20-Jan-11 6.66 6.20 6.25 11254.48 10388.91 46259.60
21-Jan-11 6.67 6.14 6.26 10222.50 11513.01 39575.55
22-Jan-11 6.56 5.00 5.96 944.45 67.45 3981.45
24-Jan-11 6.62 6.23 6.25 9081.36 12053.49 44785.50
25-Jan-11 6.68 6.33 5.82 9053.68 9398.24 52891.90
27-Jan-11 6.66 6.48 6.48 10365.34 15032.07 45024.85
28-Jan-11 6.66 6.37 5.78 10599.81 30699.45 18745.00
THE CLEARING CORPORATION OF INDIA LTD.

29-Jan-11 6.83 6.25 6.63 2163.44 8.85 4458.95

31-Jan-11 6.92 6.56 6.50 10538.10 12779.58 51271.15
Average 6.54 5.81 6.17 8998.33 11545.71 44815.49
Total - - - 224958.31 288642.86 1120387.20
SD 0.22 1.33 0.26 4080.29 8664.00 25031.57
Market Share (%) 13.77 17.66 68.57

98
COLLATERALISED BORROWING AND LENDING OBLIGATION (CBLO)
NUMBER OF PARTICIPANTS: 211

TABLE 37: CBLO SETTLEMENT VOLUMES Amount ` Crore

Settlement Overnight Term Total Daily Average

Period Trades Volume Trades Volume Trades Volume Trades Volume
2002-03 157 829 2 23 159 852 3 16
2003-04 2280 58136 780 18715 3060 76851 10 251
2004-05 22802 768294 6549 208497 29351 976790 101 3345
2005-06 54026 2391854 13437 561280 67463 2953134 229 10045
2006-07 69602 3860456 16279 871815 85881 4732271 292 16096
2007-08 93282 6699077 19995 1411751 113277 8110828 385 27588
2008-09 94344 7099527 24597 1725258 118941 8824784 414 30748
2009-10 115171 12747733 26881 2793645 142052 15541378 498 54531
Apr-10 10405 1047338 1402 123159 11807 1170497 513 50891
May-10 9117 861201 1841 153378 10958 1014579 457 42274
Jun-10 9348 657795 2559 151133 11907 808928 458 31113
Jul-10 8793 614391 2363 142262 11156 756653 429 29102
Aug-10 11444 963279 2064 166237 13508 1129515 540 45181
Sep-10 10800 1029283 2204 194843 13004 1224126 565 53223
Oct-10 12006 950854 2313 144914 14319 1095768 573 43831
Nov-10 9502 669838 1915 121229 11417 791067 476 32961
Dec-10 10627 967144 1929 127447 12556 1094591 502 43784
Jan-11 10232 970055 1927 150333 12159 1120387 486 44815
2010-11 (Upto
102274 8731178 20517 1474934 122791 10206112 499 41488
January 2011)

TABLE 38: INTERCATEGORYWISE CBLO LENDING

THE CLEARING CORPORATION OF INDIA LTD.

Borrower Category
Market
Lender Category Public Private Co- Market
Mutual Ins. Foreign Primary Share (%)
Sector Others Sector FIs operative Share
Funds Cos Banks Dealers (Previous
Banks Banks Banks (%)
Month)
Mutual Funds 0.54 0.01 47.26 9.83 13.86 18.72 3.50 4.15 2.12 80.24 76.10
Ins. Cos 0.68 0.03 37.10 10.06 19.47 14.90 4.12 9.07 4.57 8.23 13.18
Public Sector Banks 0.13 0.00 42.04 9.44 15.28 17.45 4.06 7.55 4.04 8.07 5.82
Others 0.61 0.00 44.68 14.67 11.49 10.39 1.60 10.53 6.02 1.32 0.13
Foreign Banks 0.00 0.00 36.59 5.51 15.21 7.79 5.01 24.27 5.62 0.73 1.34
Private Sector Banks 1.76 0.00 36.69 9.68 31.37 12.50 3.54 4.45 0.00 0.51 2.95
FIs 0.00 0.00 69.26 9.25 4.97 10.49 3.92 1.73 0.39 0.46 0.00
Co-operative Banks 1.15 0.00 10.53 10.49 20.51 13.31 2.16 32.14 9.71 0.35 0.47
Primary Dealers 0.00 0.00 16.49 6.88 5.32 17.71 9.21 30.74 13.64 0.09 0.00

99
 TABLE 39: INTERCATEGORYWISE CBLO BORROWING
Lender Category
Market
Borrower Category Public Private Co- Market
Foreign Primary Mutual Ins. Share (%)
Sector Sector Others operative FIs Share
Banks Dealers Funds Cos (Previous
Banks Banks Banks (%)
Month)
Public Sector Banks 7.41 0.41 0.59 1.29 0.08 0.69 0.03 82.84 6.67 45.78 55.62
Private Sector Banks 7.81 0.35 0.32 0.76 0.26 0.26 0.09 83.34 6.81 18.03 9.41
Foreign Banks 8.52 1.10 0.77 1.05 0.50 0.16 0.03 76.80 11.07 14.48 6.84
Others 7.73 0.50 0.41 1.97 0.38 0.43 0.06 80.11 8.41 9.85 10.84
Co-operative Banks 11.77 0.44 3.44 2.69 2.20 0.15 0.52 64.37 14.43 5.18 3.93
FIs 9.12 0.50 1.02 0.59 0.21 0.50 0.22 78.37 9.46 3.59 6.76
Primary Dealers 12.67 0.00 1.60 3.09 1.34 0.07 0.46 66.15 14.62 2.57 4.53
Mutual Funds 1.97 1.71 0.00 1.55 0.78 0.00 0.00 83.25 10.75 0.52 2.08
Ins. Cos 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.67 33.33 0.01 0.00

MARKET REPO
TABLE 40: REPO TERM ANALYSIS percent
O/N 2-3 days 4-7 days 8-14 days >14 days
Settlement
Period % to total % to total % to total % to total % to total % to total % to total % to total % to total % to total
trades value trades value trades value trades value trades value
2002-03 50.05 50.15 30.96 31.01 15.46 15.95 2.26 1.78 1.27 1.11
2003-04 53.00 52.29 32.68 32.94 13.63 14.37 0.58 0.34 0.11 0.06
2004-05 68.29 69.29 26.30 24.23 5.30 6.35 0.09 0.11 0.02 0.02
2005-06 70.93 72.06 25.73 25.11 3.06 2.71 0.19 0.08 0.08 0.04
2006-07 73.68 75.19 21.58 21.06 4.32 3.57 0.12 0.07 0.31 0.11
2007-08 74.00 73.97 22.86 23.25 2.80 2.69 0.03 0.01 0.30 0.09
2008-09 68.24 68.69 27.17 27.04 4.35 4.17 0.07 0.03 0.17 0.07
2009-10 70.42 69.51 23.07 24.25 6.23 6.00 0.19 0.23 0.09 0.02
THE CLEARING CORPORATION OF INDIA LTD.

Apr-10 67.74 66.01 31.10 33.60 0.71 0.26 0.00 0.00 0.44 0.13
May-10 70.98 68.95 28.77 30.95 0.08 0.05 0.00 0.00 0.17 0.05
Jun-10 70.09 64.38 28.99 34.66 0.77 0.84 0.00 0.00 0.15 0.12
Jul-10 70.00 66.44 29.50 33.41 0.29 0.09 0.00 0.00 0.21 0.05
Aug-10 70.06 68.05 29.43 31.72 0.33 0.08 0.05 0.03 0.14 0.12
Sep-10 68.45 65.52 21.21 21.27 10.34 13.21 0.00 0.00 0.00 0.00
Oct-10 70.64 65.98 28.74 33.78 0.55 0.14 0.07 0.10 0.00 0.00
Nov-10 71.30 69.27 20.68 21.07 7.09 9.19 0.28 0.11 0.65 0.35
Dec-10 69.67 67.50 22.38 25.35 7.10 6.91 0.51 0.09 0.35 0.16
Jan-11 63.47 62.95 30.77 34.69 4.06 1.63 0.68 0.24 1.02 0.49
2010-11 (Upto
69.31 66.58 27.11 30.25 3.12 2.98 0.16 0.05 0.30 0.13
January 2011)

100
TABLE 41: INSTRUMENT WISE SETTLEMENT VOLUMES FOR REPO TRADES
Amount ` Crore

Cen. Govt. Dated Treasury Bills State Govt

Settlement Period Avg. Avg. Avg.
Volumes % Share Volumes % Share Volumes % Share
Volumes Volumes Volumes
2002-03 403971 1360 86.28 64238 216 13.72 20 0 0.00
2003-04 874438 2974 92.71 59222 201 6.28 9530 32 1.01
2004-05 1262149 4322 81.02 286955 983 18.42 8803 30 0.57
2005-06 1369411 4674 80.81 277687 948 16.39 47411 162 2.80
2006-07 2126634 7233 83.19 379165 1290 14.83 50677 172 1.98
2007-08 3569960 12102 90.41 323984 1098 8.20 54807 186 1.39
2008-09 3475348 12109 84.88 583335 2033 14.25 35603 124 0.87
2009-10 5233295 18362 86.18 812537 2851 13.38 26996 95 0.44
Apr-10 351613 15288 75.24 113317 4927 24.25 2403 104 0.51
May-10 344320 14347 81.47 77209 3217 18.27 1108 46 0.26
Jun-10 198486 7634 80.52 47601 1831 19.31 410 16 0.17
Jul-10 266342 10244 85.28 44156 1698 14.14 1799 69 0.58
Aug-10 299519 11981 77.04 88764 3551 22.83 485 19 0.12
Sep-10 299245 13011 82.01 64164 2790 17.59 1468 64 0.40
Oct-10 289070 11563 79.96 71248 2850 19.71 1195 48 0.33
Nov-10 195278 8137 81.67 43137 1797 18.04 703 29 0.29
Dec-10 253474 10139 78.04 70654 2826 21.75 687 27 0.21
Jan-11 209235 8369 72.52 78040 3122 27.05 1253 50 0.43
2010-11 (Upto
2706582 11002 79.22 698290 2839 20.44 11511 47 0.34
January 2011)

TABLE 42: INTER-CATEGORY WISE REVERSE REPO TRADES

Borrower Category
Market

THE CLEARING CORPORATION OF INDIA LTD.

Lender Category Private Public Co- Market
Mutual Foreign Ins. Primary Share (%)
Sector Sector Others operative FIs Share
Funds Banks Cos Dealers (Previous
Banks Banks Banks (%)
Month)
Mutual Funds 0.00 34.89 29.33 0.00 16.98 11.44 0.00 7.36 0.00 61.13 67.23
Foreign Banks 0.00 17.75 58.80 0.00 6.31 16.40 0.00 0.73 0.00 19.27 16.93
Private Sector Banks 0.00 6.87 18.28 0.00 62.47 9.72 0.00 2.66 0.00 8.68 8.81
Ins. Cos 0.00 6.62 48.40 0.00 44.98 0.00 0.00 0.00 0.00 4.88 6.21
Primary Dealers 0.00 5.72 1.53 0.00 12.33 68.11 0.00 12.30 0.00 2.95 0.39
Public Sector Banks 0.00 24.27 45.23 0.00 10.16 6.16 0.00 14.18 0.00 2.91 0.31
Others 0.00 0.00 28.33 0.00 4.78 66.90 0.00 0.00 0.00 0.07 0.01
Co-operative Banks 0.00 0.00 0.00 0.00 55.21 0.00 0.00 44.79 0.00 0.07 0.12
FIs 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.00

101
 TABLE 43: INTER-CATEGORY WISE REPO TRADES
Lender Category
Market
Borrower Category Private Public Co- Market
Foreign Primary Mutual Ins. Share (%)
Sector Sector operative Others FIs Share
Banks Dealers Funds Cos (Previous
Banks Banks Banks (%)
Month)
Private Sector Banks 4.58 32.73 0.13 3.80 0.00 51.78 6.83 0.06 0.10 34.63 16.32
Foreign Banks 2.25 12.89 0.63 2.66 0.00 80.36 1.22 0.00 0.00 26.54 37.27
Primary Dealers 27.22 6.11 1.82 1.48 0.19 52.12 11.03 0.02 0.00 19.92 35.15
Public Sector Banks 6.38 23.89 15.16 1.35 0.00 52.85 0.00 0.37 0.00 13.24 6.63
Co-operative Banks 4.06 2.48 6.39 7.26 0.55 79.25 0.00 0.00 0.00 5.68 4.62
Mutual Funds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Ins. Cos 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Others 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
FIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

TABLE 44: CROMS TRADING ACTIVITY

NUMBER OF PARTICIPANTS: 110 Amount ` Crore

CROMS Special CROMS Basket CROMS - Total Repo % Share

of
Date CROMS
Trades Value WAR Trades Value WAR Trades Value WAR Trades Value WAR in Repo
volumes
3-Jan-11 35 4196.00 6.3277 28 3147.17 6.3463 63 7343.17 6.3356 95 12740.72 6.3287 57.64
4-Jan-11 39 2949.00 6.1616 31 5522.67 6.2250 70 8471.67 6.2029 105 12825.92 6.2449 66.05
5-Jan-11 36 3034.00 6.0716 29 6299.66 6.2157 65 9333.66 6.1688 101 14967.74 6.1972 62.36
6-Jan-11 31 1889.00 6.1261 33 6670.10 6.2079 64 8559.10 6.1898 95 13694.05 6.1965 62.50
7-Jan-11 22 2091.00 6.0179 31 4316.42 6.2306 53 6407.42 6.1612 85 9928.04 6.1737 64.54
10-Jan-11 20 1607.00 5.9175 43 7565.31 6.2269 63 9172.31 6.1727 102 14692.33 6.1725 62.43
11-Jan-11 26 1700.00 5.9178 34 4773.61 6.2397 60 6473.61 6.1552 100 12025.78 6.1668 53.83
THE CLEARING CORPORATION OF INDIA LTD.

12-Jan-11 33 2094.00 5.7986 30 5118.69 6.2320 63 7212.69 6.1062 99 11959.02 6.1447 60.31
13-Jan-11 32 2140.00 5.8162 23 4020.77 6.2331 55 6160.77 6.0883 89 10683.73 6.1468 57.66
14-Jan-11 45 3954.00 5.8291 119 26351.31 5.8979 164 30305.31 5.8889 207 38320.98 5.9207 79.08
17-Jan-11 33 2309.00 5.7160 31 6630.16 6.2631 64 8939.16 6.1217 92 12395.95 6.1623 72.11
18-Jan-11 27 2264.00 5.9697 25 4692.02 6.2682 52 6956.02 6.1710 76 11622.71 6.2259 59.85
19-Jan-11 43 2480.00 5.9214 25 3934.22 6.2822 68 6414.22 6.1427 97 10791.94 6.1876 59.44
20-Jan-11 40 2827.00 5.8356 20 2524.11 6.3476 60 5351.11 6.0771 89 10388.91 6.1572 51.51
21-Jan-11 42 2642.00 5.7714 21 3081.32 6.2972 63 5723.32 6.0545 94 11513.01 6.1382 49.71
24-Jan-11 26 2027.00 5.9810 36 4615.89 6.2824 62 6642.89 6.1904 86 12053.49 6.2185 55.11
25-Jan-11 25 2047.00 6.2024 26 3754.96 6.3761 51 5801.96 6.3149 76 9398.24 6.3117 61.73
27-Jan-11 22 2110.00 6.2293 41 6889.60 6.5132 63 8999.60 6.4466 103 15032.07 6.4776 59.87
28-Jan-11 25 3282.00 6.3174 102 19374.18 6.3656 127 22656.18 6.3586 173 30699.45 6.3738 73.80
31-Jan-11 37 2935.00 6.5085 32 4196.62 6.5767 69 7131.62 6.5487 100 12779.58 6.5250 55.80
Total 639 50577 760 133478.79 1399 184055.79 2064 288513.66 63.79

102
TABLE 45: CROMS MARKET SHARE Amount ` Crore
CROMS-Special CROMS-Basket % Share of
Month CROMS in Repo
Volume % share Volume % share Volumes
Jan-09 1315.00 0.29 700.73 0.16 0.45
Feb-09 20781.00 4.74 152.00 0.03 4.77
Mar-09 71273.00 14.35 - - 14.35
Apr-09 37440.00 9.11 34126.80 8.31 17.42
May-09 53202.74 9.88 177070.99 32.87 42.74
Jun-09 42935.00 7.61 315403.77 55.92 63.53
Jul-09 63833.00 12.13 342058.64 64.98 77.11
Aug-09 47357.00 8.47 352887.34 63.10 71.56
Sep-09 112686.00 17.51 396767.00 61.66 79.17
Oct-09 89389.00 16.58 334993.00 62.15 78.73
Nov-09 90984.00 17.56 355057.05 68.53 86.09
Dec-09 37429.00 7.30 390097.84 76.13 83.44
Jan-10 50826.00 13.98 244916.72 67.37 81.35
Feb-10 51093.00 11.73 313516.74 71.95 83.67
Mar-10 65400.00 14.23 286571.61 62.37 76.60
Apr-10 62902.00 13.46 288664.26 61.78 75.25
May-10 83746.00 19.82 234052.77 55.39 75.21
Jun-10 54802.00 22.24 102221.41 41.48 63.72
Jul-10 84693.00 27.12 134610.98 43.10 70.22
Aug-10 59133.00 15.21 167021.43 42.97 58.18
Sep-10 61581.00 16.81 183192.24 50.02 66.83
Oct-10 77271.00 21.50 154693.33 43.04 64.54
Nov-10 61062.00 25.53 90268.30 37.75 63.28
Dec-10 94339.00 29.05 123627.45 38.07 67.13

THE CLEARING CORPORATION OF INDIA LTD.

Jan-11 50577.00 17.53 133478.79 46.26 63.79

TABLE 46A: TOP 5 SECURITIES - BASKET REPO Amount ` Crore

Security Trades Value Rate
9.39% G.S. 2011 99 35356.36 6.2424
7.40% G.S. 2012 72 10658.35 6.2447
6.07% G.S. 2014 25 9249.57 6.2350
7.17% G.S. 2015 42 7377.90 6.3126
6.72% G.S. 2014 17 6578.54 6.2219

TABLE 46B: TOP 5 SECURITIES - SPECIAL REPO Amount ` Crore

Security Trades Value Rate
7.47% OMC SB 2012 21 6785.00 6.2765
8.08% G.S. 2022 81 5444.00 5.8689
8.13% G.S. 2022 105 5330.00 5.3174
7.17% G.S. 2015 49 4520.00 6.2755
7.80% G.S. 2020 62 3944.00 5.6235

103
 TABLE 47: NDS-CALL TRANSACTIONS Amount ` Crore

CALL NOTICE Term % Share

in total
Date
Trade Value WAR Trade Value WAR Trade Value WAR call
volumes
1-Jan-11 12 2205.00 6.87 - - - - - - 93.57
3-Jan-11 72 8788.10 6.78 - - - 3 140.00 8.53 89.16
4-Jan-11 89 9968.00 6.62 - - - 8 845.00 8.60 86.79
5-Jan-11 74 8849.00 6.39 - - - 1 20.00 10.00 85.02
6-Jan-11 95 9767.00 6.34 - - - 2 350.00 7.30 85.32
7-Jan-11 3 235.00 6.40 91 9188.50 6.35 3 210.00 10.02 85.95
8-Jan-11 - - - - - - - - - -
10-Jan-11 94 10538.40 6.32 - - - 4 160.00 8.64 88.44
11-Jan-11 81 9329.00 6.31 - - - 1 25.00 7.50 85.61
12-Jan-11 101 11245.50 6.31 - - - 3 350.00 9.13 87.67
13-Jan-11 82 9206.50 6.31 - - - 5 360.00 9.08 84.33
14-Jan-11 4 120.00 6.34 105 7845.50 6.38 4 165.00 8.71 79.80
15-Jan-11 4 595.00 6.53 - - - - - - 71.43
17-Jan-11 116 11951.00 6.69 - - - 1 45.00 9.99 86.62
18-Jan-11 101 10026.50 6.73 - - - 2 40.00 8.73 82.50
19-Jan-11 84 8759 6.72 - - - 2 65.00 8.10 81.77
20-Jan-11 98 9563.00 6.69 - - - 2 70.00 7.85 84.97
21-Jan-11 6 140.00 6.63 85 8419.00 6.71 1 20.00 8.20 83.73
22-Jan-11 4 715.00 6.70 - - - - - - 75.71
24-Jan-11 86 7300.00 6.67 - - - 3 110.00 7.75 80.38
25-Jan-11 86 7193.00 6.73 - - - 2 200.00 9.68 79.45
27-Jan-11 92 8043.00 6.71 - - - 2 110.00 7.97 77.60
28-Jan-11 5 405.00 6.40 88 7838.50 6.70 3 351.00 7.53 77.77
29-Jan-11 11 1850.00 6.94 - - - - - - 85.51
THE CLEARING CORPORATION OF INDIA LTD.

31-Jan-11 92 8494.50 6.98 - - - 2 35 7.71 80.61

Total 1492 155286.50 369 33291.50 54 3671.00

104
CALL MONEY MARKET
TABLE 48: NDS-CALL VOLUMES - HISTORICAL Amount ` Crore
NDS- CALL Daily % share in total call
Month NDS-CALL Total Call Volumes
Average Volumes volumes
Sep-06 15503.95 1414.87 169360.71 9.15
Oct-06 32266.00 1466.64 339030.44 9.52
Nov-06 42539.00 1636.12 379206.39 11.22
Dec-06 70307.90 2812.32 363117.78 19.36
Jan-07 88199.35 3674.97 311261.93 28.34
Feb-07 95898.15 4359.01 285681.42 33.57
Mar-07 148204.42 6175.18 314600.65 47.11
Apr-07 212233.11 9646.96 351622.95 60.36
May-07 190944.61 7637.78 275612.98 69.28
Jun-07 189250.75 7278.88 244775.13 77.32
Jul-07 207373.70 8294.95 251851.89 82.34
Aug-07 258991.11 10359.64 341052.65 75.94
Sep-07 234377.65 10190.33 280787.87 83.47
Oct-07 219437.73 8439.91 267483.52 82.04
Nov-07 211303.75 8804.32 261994.76 80.65
Dec-07 192484.15 8020.17 226772.43 84.88
Jan-08 330291.94 13211.68 385224.27 85.74
Feb-08 277776.14 11111.05 314536.51 88.31
Mar-08 221434.00 10065.18 254471.82 87.02
Apr-08 216747.55 9423.81 260155.15 83.31
May-08 239433.00 9577.32 277010.51 86.43
Jun-08 268051.72 10722.07 314787.72 85.15
Jul-08 318357.53 12244.52 367075.98 86.73
Aug-08 280805.75 11700.24 321776.79 87.27

THE CLEARING CORPORATION OF INDIA LTD.

Sep-08 273684.65 11403.53 317404.76 86.23
Oct-08 302377.45 13744.43 348765.75 86.70
Nov-08 249184.70 10834.12 292109.10 85.31
Dec-08 253315.65 10132.63 299609.28 84.55
Jan-09 230981.50 9239.26 268808.29 85.93
Feb-09 230923.30 10496.51 281340.14 82.08
Mar-09 265820.20 11557.40 308118.22 86.27
Apr-09 190302.00 9515.10 229429.22 82.92
May-09 193419.20 8059.13 242361.47 79.81
Jun-09 226762.10 8721.62 266739.59 85.01
Jul-09 173004.50 6654.02 210482.41 82.19
Aug-09 162699.00 6779.13 193329.19 84.16
Sep-09 197524.75 8588.03 226285.08 87.29
Oct-09 155681.70 6768.77 183652.07 84.77
Nov-09 151269.55 6576.94 180494.28 83.81
Dec-09 159698.75 6387.95 187084.23 85.36

105
 NDS- CALL Daily % share in total call
Month NDS-CALL Total Call Volumes
Average Volumes volumes
Jan-10 153654.30 6146.17 185074.83 83.02
Feb-10 123399.85 5609.08 157037.63 78.58
Mar-10 197675.66 8236.49 236384.41 83.62
Apr-10 166651.50 7245.72 208637.35 79.88
May-10 189791.50 7907.98 226402.54 83.83
Jun-10 167093.55 6426.68 210053.48 79.55
Jul-10 225486.35 8672.55 277247.65 81.33
Aug-10 191342.50 7653.70 231984.66 82.48
Sep-10 178831.95 7775.30 219862.48 81.34
Oct-10 207449.75 8297.99 246743.47 84.08
Nov-10 204945.40 8539.39 241982.47 84.69
Dec-10 210360.05 8414.40 253860.94 82.86
Jan-11 188578.00 7543.12 224958.31 83.83

CHART 18: MARKET SHARE IN NDS-CALL LENDING

Co-operative Banks
Private Banks 3.83% (4.01%)
4.7% (8.8%)
Foreign Banks
10.37% (8.65%)

Nationalized Banks
81.08% (78.52%) Primary Dealers
0.03% (0.01%)
THE CLEARING CORPORATION OF INDIA LTD.

* Figures in bracket relate to previous month

CHART 19: MARKET SHARE IN NDS-CALL BORROWING

Primary Dealers Co-operative Banks

11.16% (11.39%) 0.47% (0.44%)

Foreign Banks
23.28% (23.53%)

Private Banks
38.24% (33.68%)

Nationalized Banks
26.85% (30.95%)

* Figures in bracket relate to previous month

106
 FOREIGN EXCHANGE MARKET

SETTLEMENT VOLUMES
NUMBER OF PARTICIPANTS: 74
TABLE 49: FOREX SETTLEMENT VOLUMES*
Cash Tom Spot Forward Total Average
Settlement Volume Volume Volume Volume Volume Volume
Period No of Volume No of Volume No of Volume No of Volume No of Volume No of Volume
(USD (USD (USD (USD (USD (USD
Trades (` Cr) Trades (` Cr) Trades (` Cr) Trades (` Cr) Trades (` Cr) Trades (` Cr)
Mn) Mn) Mn) Mn) Mn) Mn)
2002-03 - - - - - - 74423 96483 462370 25809 39619 195665 100232 136102 658035 1101 1496 7231
2003-04 1036 5951 26861 1555 9150 41335 251258 354541 1627644 76668 131700 622691 330517 501342 2318531 1425 2161 9994
2004-05 8747 69882 312311 16178 112750 504325 356382 533015 2389936 85020 184133 835863 466327 899780 4042435 1976 3813 17129
2005-06 12946 154626 686160 21307 199621 885585 371059 585089 2594240 84337 240352 1073689 489649 1179688 5239674 2084 5020 22296
2006-07 14292 233010 1050413 25708 316585 1427018 481702 884740 3993765 85106 342646 1551883 606808 1776981 8023078 2550 7466 33710
2007-08 15118 318055 1279466 25598 409979 1652802 609676 1595080 6426403 106683 810551 3368161 757074 3133665 12726832 3181 13167 53474
2008-09 15633 358244 1651695 26536 498767 2299036 675439 1815114 8263760 119912 1086778 4722998 837520 3758904 16937489 3657 16414 73963
2009-10 15733 363904 1719714 27643 484848 2295137 759149 1467601 6951459 81424 672619 3245177 883949 2988971 14211486 3843 12996 61789
Apr-10 1260 34521 153549 2298 49687 221187 78016 159878 712356 6918 67507 315600 88492 311594 1402692 4657 16400 73826
May-10 1441 36945 169248 2394 48432 221174 84904 179344 819164 6088 52061 241933 94827 316783 1451519 4991 16673 76396
Jun-10 1559 34630 161303 2675 51294 238873 94495 194622 906980 7325 69596 325726 106054 350142 1632882 4821 15916 74222
Jul-10 1523 33967 159093 2572 45797 214670 80848 166922 781751 6835 61502 288733 91778 308188 1444247 4370 14676 68774
Aug-10 1907 50883 236847 3122 68979 321021 77233 163916 762916 7010 62712 295892 89272 346491 1616675 4251 16500 76985
Sep-10 1560 40320 185581 2443 46437 214137 79911 164701 760517 7471 74666 350471 91385 326124 1510707 4810 17164 79511
Oct-10 1757 52524 233293 2500 57334 254739 99372 223852 995193 7323 91139 418750 110952 424849 1901976 5548 21242 95099
Nov-10 1675 47289 212297 2484 56528 253443 84473 207683 931539 8586 118431 539783 97218 429932 1937062 5401 23885 107615
Dec-10 1877 45785 206740 3187 57595 260547 84824 164369 744075 8587 75231 348394 98475 342980 1559756 4476 15590 70898
Jan-11 1692 39691 180052 2727 50042 226798 87992 165805 751380 8407 75210 348657 100818 330748 1506888 5306 17408 79310
2010-11 (Upto
16251 416557 1898003 26402 532124 2426589 852068 1791092 8165871 74550 748056 3473940 969271 3487830 15964404 4846 17439 79822
January 2011)
Notes:
*CCIL commenced operations on November 12, 2002
#Cash and Tom settlement is with effect from February 5, 2004.
Note : Spot figures are inclusive of spot leg of swap

THE CLEARING CORPORATION OF INDIA LTD.

107
 CHART 20: MONTH WISE BUSINESS GROWTH
450000

400000
350000

300000
USD Mn

250000
200000

150000

100000
50000

Oct-05

Dec-06
May-06

Feb-08

Sep-08
Nov-02

Mar-05

Apr-09

Nov-09

Jan-11
Jan-04

Aug-04

Jul-07
Jun-03

Jun-10
Gross USD Vol

TABLE 50: TRADE TYPE ANALYSIS percent

Cash Tom Spot Forward

Settlement Period
Trades Volumes Trades Volumes Trades Volumes Trades Volumes
2002-03 - - - - 74.25 70.89 25.75 29.11
2003-04 0.31 1.19 0.47 1.83 76.02 70.72 23.20 26.27
2004-05 1.88 7.77 3.47 12.53 76.42 59.24 18.23 20.46
2005-06 2.64 13.11 4.35 16.92 75.78 49.60 17.22 20.37
2006-07 2.36 13.11 4.24 17.82 79.38 49.79 14.03 19.28
2007-08 2.00 10.15 3.38 13.08 80.53 50.90 14.09 25.87
2008-09 1.87 9.53 3.17 13.27 80.65 48.29 14.32 28.91
THE CLEARING CORPORATION OF INDIA LTD.

2009-10 1.78 12.17 3.13 16.22 85.88 49.10 9.21 22.50

Apr-10 1.42 11.08 2.60 15.95 88.16 51.31 7.82 21.67
May-10 1.52 11.66 2.52 15.29 89.54 56.61 6.42 16.43
Jun-10 1.47 9.89 2.52 14.65 89.10 55.58 6.91 19.88
Jul-10 1.66 11.02 2.80 14.86 88.09 54.16 7.45 19.96
Aug-10 2.14 14.69 3.50 19.91 86.51 47.31 7.85 18.10
Sep-10 1.71 12.36 2.67 14.24 87.44 50.50 8.18 22.90
Oct-10 1.58 12.36 2.25 13.50 89.56 52.69 6.60 21.45
Nov-10 1.72 11.00 2.56 13.15 86.89 48.31 8.83 27.55
Dec-10 1.91 13.35 3.24 16.79 86.14 47.92 8.72 21.93
Jan-11 1.68 12.00 2.70 15.13 87.28 50.13 8.34 22.74
2010-11 (Upto January 2011) 1.68 11.94 2.72 15.26 87.91 51.35 7.69 21.45

108
TABLE 51: FOREX DEAL SIZE ANALYSIS percent
> 5 mn <= 10 > 10 mn <= 20
< 1 mn 1 mn > 1 mn <= 5 mn > 20 mn
mn mn
Settlement
Period % to % to % to % to % to % to % to % to % to % to % to % to
total total total total total total total total total total total total
trades value trades value trades value trades value trades value trades value
2002-03 21.93 7.23 52.61 38.74 24.53 46.47 0.70 4.42 0.19 2.25 0.04 0.89
2003-04 20.74 6.07 49.79 32.82 28.02 50.16 1.07 6.12 0.30 3.18 0.08 1.65
2004-05 21.26 4.77 44.14 22.88 31.22 47.19 1.94 8.70 0.97 8.21 0.47 8.25
2005-06 20.32 3.66 42.70 17.72 31.55 40.18 2.77 10.27 1.58 11.18 1.08 16.99
2006-07 21.57 3.29 39.00 13.32 32.03 34.85 3.68 11.50 1.95 11.41 1.77 25.64
2007-08 16.67 1.81 33.75 8.15 36.19 29.18 8.62 19.93 2.13 8.78 2.63 32.15
2008-09 17.00 1.64 32.19 7.17 35.41 25.85 10.31 22.22 2.16 8.20 2.93 34.92
2009-10 20.10 2.55 44.55 13.18 25.18 23.58 5.90 16.56 1.93 9.78 2.33 34.35
Apr-10 19.07 2.39 45.70 12.98 25.89 23.39 5.22 13.94 1.77 8.61 2.35 38.69
May-10 18.65 2.40 46.44 13.90 25.21 24.14 5.81 16.55 1.81 9.31 2.08 33.69
Jun-10 18.41 2.39 47.93 14.52 24.80 24.30 5.07 14.56 1.65 8.51 2.14 35.71
Jul-10 18.37 2.35 48.34 14.40 24.21 23.48 4.99 14.06 1.88 9.78 2.20 35.93
Aug-10 18.06 2.00 47.42 12.22 24.10 20.15 5.39 13.20 2.05 9.29 2.99 43.14
Sep-10 17.81 2.16 47.50 13.31 24.92 22.29 5.40 14.27 1.76 8.51 2.61 39.45
Oct-10 17.93 2.00 47.15 12.31 25.03 20.58 5.01 12.38 1.83 8.36 3.05 44.37
Nov-10 18.32 1.78 44.22 10.00 25.41 18.80 6.08 13.15 2.39 9.58 3.58 46.69
Dec-10 19.87 2.45 45.18 12.97 25.12 23.27 5.15 14.03 2.03 10.16 2.65 37.12
Jan-11 20.29 2.61 47.15 14.37 23.32 22.85 5.05 14.63 1.75 9.30 2.44 36.24
2010-11 (Upto
18.68 2.23 46.71 12.98 24.80 22.16 5.31 14.00 1.89 9.13 2.61 39.50
January 2011)

THE CLEARING CORPORATION OF INDIA LTD.

109
 TABLE 52: TENOR WISE FORWARD TRADES percent
> 30 Days & > 90 Days & > 180 Days &
< 30 Days > 1 Year
<= 90 Days <= 180 Days <= 365 Days
Settlement
Period % to % to % to % to % to % to % to % to % to % to
total total total total total total total total total total
trades value trades value trades value trades value trades value
2002-03 13.54 16.07 23.35 22.90 26.49 22.35 35.66 37.25 0.96 1.43
2003-04 17.19 22.50 23.97 24.84 22.80 20.24 35.34 31.77 0.70 0.65
2004-05 15.66 20.00 23.79 24.10 19.88 17.86 38.51 36.26 2.16 1.78
2005-06 17.99 22.84 21.79 24.18 17.55 15.18 40.52 36.16 2.15 1.64
2006-07 19.70 25.61 23.78 25.06 19.06 17.21 35.67 30.48 1.79 1.64
2007-08 16.41 31.47 26.83 25.83 22.63 17.22 32.70 24.46 1.44 1.02
2008-09 14.41 23.62 23.82 23.41 21.08 18.59 38.80 31.98 1.90 2.39
2009-10 14.36 20.88 22.08 20.57 18.47 15.06 43.59 41.57 1.50 1.92
Apr-10 15.34 27.89 24.89 25.79 19.62 14.48 39.17 30.41 0.98 1.43
May-10 21.73 28.35 23.21 25.82 17.79 13.88 36.43 30.25 0.84 1.70
Jun-10 20.63 31.27 33.42 31.81 15.92 12.11 28.87 23.31 1.16 1.50
Jul-10 22.74 30.96 31.37 29.51 15.99 14.70 28.88 24.02 1.02 0.81
Aug-10 19.51 27.47 27.55 29.88 17.48 13.46 34.31 28.36 1.16 0.83
Sep-10 17.31 24.80 23.77 24.48 18.34 16.82 38.59 31.40 1.99 2.49
Oct-10 26.00 40.20 20.96 17.94 20.13 18.16 31.04 22.33 1.87 1.37
Nov-10 25.63 47.95 26.38 21.97 14.83 11.48 31.92 17.72 1.23 0.87
Dec-10 18.25 24.55 23.00 20.99 16.64 17.36 40.92 35.84 1.19 1.26
Jan-11 14.74 21.92 22.68 23.07 15.87 13.74 43.87 38.83 2.84 2.44
2010-11 (Upto
20.15 31.88 25.64 24.55 17.18 14.57 35.57 27.54 1.46 1.45
January 2011)

INTERCATEGORY ANALYSIS OF SETTLEMENT VOLUMES

CHART 21: CATEGORY WISE SETTLEMENT ANALYSIS
THE CLEARING CORPORATION OF INDIA LTD.

CATEGORYWISE ANALYSIS OF FOREX TRADES

Cooperative
Private Sector Bank Banks 0.15%
18.14% (19.3%) (0.13%) Financial
Institution
0.01% (0.02%)

Public Sector Foreign Bank

Bank 28.3% 53.4%
(28.5%) (52.05%)

* Figures in bracket relate to previous month

110
TABLE 53: INTER CATEGORY MEMBER ACTIVITY (BUY)
Market
Public Private Market
Foreign Coop Financial Share (%)
Category Sector Sector Share
Banks Banks Inst. (Previous
Banks Banks (%)
Month)
Foreign Banks 62.28 23.16 14.56 0.00 0.01 53.39 52.02
Public Sector Banks 44.44 34.77 20.67 0.12 0.00 28.09 28.32
Private Sector Banks 44.48 33.67 21.31 0.46 0.08 18.37 19.53
Cooperative Banks 0.71 21.71 56.12 21.46 0.00 0.14 0.12
Financial Inst. 16.35 0.00 83.65 0.00 0.00 0.01 0.01

TABLE 54: INTER CATEGORY MEMBER ACTIVITY (SELL)

Market
Public Private Market
Foreign Coop Financial Share (%)
Category Sector Sector Share
Banks Banks Inst. (Previous
Banks Banks (%)
Month)
Foreign Banks 61.68 23.15 15.16 0.00 0.00 53.91 52.61
Public Sector Banks 43.62 34.45 21.82 0.10 0.00 28.35 28.50
Private Sector Banks 44.21 33.03 22.27 0.43 0.06 17.58 18.74
Cooperative Banks 0.19 22.49 57.48 19.84 0.00 0.14 0.13
Financial Inst. 22.64 0.00 77.36 0.00 0.00 0.02 0.02

TABLE 55: CATEGORYWISE FOREX ACTIVITY Market Share (%)

Category CASH TOM SPOT FORWARD

Foreign Banks 65.63 61.54 46.56 57.72
Public Sector Banks 19.90 21.54 34.04 24.20
Private Sector Banks 14.20 16.69 19.24 18.03
Cooperative Banks 0.18 0.20 0.16 0.04

THE CLEARING CORPORATION OF INDIA LTD.

Financial Inst. 0.09 0.03 0.00 0.00

111
 TABLE 56: MARKET SHARE percent
Top 'n' Players Top 5 Top 10 Top 15 Top 20
2002-03 33.65 57.73 72.42 83.30
2003-04 30.53 54.83 69.59 79.45
2004-05 29.00 49.45 63.61 73.61
2005-06 30.59 52.45 68.38 78.89
2006-07 31.15 50.93 65.08 73.69
2007-08 39.66 61.31 76.24 84.55
2008-09 39.65 62.30 76.97 85.71
2009-10 33.13 55.14 71.31 81.51
Apr-10 36.57 57.10 73.55 82.41
May-10 34.35 55.84 70.90 80.98
Jun-10 36.41 56.55 73.24 82.85
Jul-10 35.01 57.51 72.40 81.37
Aug-10 38.87 61.53 75.97 83.52
Sep-10 35.84 57.79 73.96 82.74
Oct-10 36.32 59.30 74.89 84.62
Nov-10 37.34 59.80 77.24 85.18
Dec-10 31.93 54.22 71.53 81.26
Jan-11 30.47 52.96 70.40 81.32
2010-11 (Upto January 2011) 35.54 57.62 73.87 83.10
*CCIL commenced operations on November 12, 2002

TABLE 57: NETTING FACTOR Amount in USD Mn

2002-03 136102 24687 81.86
2003-04 501342 83849 83.28
2004-05 899778 94395 89.51
2005-06 1179688 115909 90.17
THE CLEARING CORPORATION OF INDIA LTD.

2006-07 1776980 171832 90.33

2007-08 3133665 239169 92.37
2008-09 3758905 209822 94.42
2009-10 2988971 177192 94.07
Apr-10 311594 15359 95.07
May-10 316783 13697.8 95.68
Jun-10 350142 16862 95.18
Jul-10 308188 15239 95.06
Aug-10 346491 16438 95.26
Sep-10 326124 16758 94.86
Oct-10 424849 27444 93.54
Nov-10 429932 20862 95.15
Dec-10 342980 17540 94.89
Jan-11 330748 15541 95.30
2010-11 (Upto January 2011) 3487830 175742 94.96
*CCIL commenced operations on November 12, 2002

112
CHART 22: USD-INR SPOT CURVE

Spot Rate and Forward Premia

47.85 7.36
47.50 6.86
47.15 6.36
46.80 5.86

Annualised Forward
Spot Rate ( ` )

46.45 5.36

Premia (%)
46.10 4.86
45.75 4.36
45.40 3.86
45.05 3.36
44.70 2.86
44.35 2.36
44.00 1.86

13-Oct-10
29-Oct-10

06-Dec-10
23-Dec-10
22-Apr-10
10-May-10
26-May-10

07-Sep-10
24-Sep-10
05-Apr-10

18-Nov-10

10-Jan-11
03-Aug-10
20-Aug-10

27-Jan-11
30-Jun-10
14-Jun-10

16-Jul-10

Date
Spot Rate Annualised Forward Premia (6 mths)

CONTINUOUS LINKED SETTLEMENT (CLS)

NUMBER OF PARTICIPANTS: 20
TABLE 58: CLS SETTLEMENT VOLUMES Amount in USD Million

Settlement Period Trades Volumes

2005-06 43774 67857.57
2006-07 138797 326641.95
2007-08 188741 681368.91
2008-09 247571 499317.93

THE CLEARING CORPORATION OF INDIA LTD.

2009-10 295258 391932.14
Apr-10 28779 30380.85
May-10 35322 36973.34
Jun-10 31627 33279.00
Jul-10 32194 34378.26
Aug-10 31734 33749.51
Sep-10 35329 40324.90
Oct-10 34757 41708.82
Nov-10 29796 36136.40
Dec-10 33450 47136.76
Jan-11 32758 44615.38
2010-11 (Upto January 2011) 325746 378683.23

113
 FOREX TRADING PLATFORM:FX-CLEAR
NUMBER OF PARTICIPANTS: 66
TABLE 59: FX- CLEAR TRADING VOLUMES Amount in USD Million

Spot Daily Average

Period
No of trades Volume No of trades Volume
2003-04 881 646.00 5 4.00
2004-05 3319 2243.00 14 9.12
2005-06 16636 11893.45 68 48.74
2006-07 46551 33262.03 190 135.76
2007-08 73941 49138.35 298 198.14
2008-09 79125 46888.87 332 197.01
2009-10 99091 53435.38 415 223.58
Apr-10 10271 5573.83 541 293.36
May-10 9057 4736.60 453 236.83
Jun-10 8736 4516.89 397 205.31
Jul-10 8248 4278.39 375 194.47
Aug-10 8474 4475.48 404 213.12
Sep-10 8823 4710.98 441 235.55
Oct-10 9324 5029.95 444 239.52
Nov-10 9413 4983.36 471 249.17
Dec-10 9578 5013.98 435 227.91
Jan-11 10062 5260.94 503 263.05
2010-11 (Upto
91986 48580.39 444 234.69
January 2011)
THE CLEARING CORPORATION OF INDIA LTD.

114
 DERIVATIVES

NUMBER OF PARTICIPANTS: 67

TABLE 60: INTEREST RATE SWAPS TRANSACTIONS (MATCHED) - JANUARY 2011

Amount ` Crore

MIBOR MIFOR INBMK Total

Date
Trades Value Trades Value Trades Value Trades Value

3-Jan-11 145 8185 2 150 0 0 147 8335

4-Jan-11 132 9214 7 588 0 0 139 9802
5-Jan-11 208 15976 9 486 0 0 217 16462
6-Jan-11 267 19613 2 100 0 0 269 19713
7-Jan-11 190 16259 1 25 0 0 191 16284
10-Jan-11 253 21764 13 735 0 0 266 22499
11-Jan-11 219 13514 13 767 0 0 232 14281
12-Jan-11 186 15212 4 363 0 0 190 15575
13-Jan-11 163 11224 2 123 0 0 165 11347
14-Jan-11 175 11787 1 32 0 0 176 11819
17-Jan-11 193 13150 0 0 0 0 193 13150
18-Jan-11 159 11807 8 732 1 25 168 12564
19-Jan-11 186 11501 11 525 0 0 197 12026
20-Jan-11 176 10230 11 937 0 0 187 11167
21-Jan-11 198 16479 18 854 1 25 217 17358
24-Jan-11 269 21575 19 1055 0 0 288 22630
25-Jan-11 283 22427 10 775 0 0 293 23202
27-Jan-11 181 12717 17 994 0 0 198 13711
28-Jan-11 100 6525 3 109 0 0 103 6634

THE CLEARING CORPORATION OF INDIA LTD.

31-Jan-11 99 7500 4 100 0 0 103 7600
Total 3782 276659 155 9450 2 50 3939 286159
Average 189 13833 8 472 0 3 179 13007

115
 TABLE 61A: INTEREST RATE SWAPS (MIBOR) MARKET SHARE - JANUARY 2011
percent
Buy Sell Total
Category Market Notional Market Market Notional Market Market Notional Market
Deals Deals Deals
Share Amount Share Share Amount Share Share Amount Share
Foreign Banks 3066 81.07 236687.00 85.55 3000 79.32 228543.00 82.61 6066 80.20 465230.00 84.08
Nationalized Banks 67 1.77 2800.00 1.01 78 2.06 3400.00 1.23 145 1.92 6200.00 1.12
Primary Dealers 285 7.54 16266.00 5.88 342 9.04 23310.00 8.43 627 8.29 39576.00 7.15
Private Banks 364 9.62 20906.00 7.56 362 9.57 21406.00 7.74 726 9.60 42312.00 7.65
Total 3782 100.00 276659.00 100.00 3782 100.00 276659.00 100.00 7564 100.00 553318.00 100.00

CHART 23: MARKET SHARE IN MIBOR SWAPS

Primary Dealers Private Banks
7.15% 7.65%

Nationalized Banks
1.12%

Foreign Banks
84.08%

TABLE 61B: INTEREST RATE SWAPS (MIFOR) MARKET SHARE - JANUARY 2011
percent
Buy Sell Total
Category Market Notional Market Market Notional Market Market Notional Market
Deals Deals Deals
Share Amount Share Share Amount Share Share Amount Share
Foreign Banks 147 94.84 8947.50 94.69 106 68.39 7078.50 74.91 253 81.61 16026.00 84.80
Nationalized Banks 0 0.00 0.00 0.00 0 0.00 0.00 0.00 0 0.00 0.00 0.00
THE CLEARING CORPORATION OF INDIA LTD.

Primary Dealers 0 0.00 0.00 0.00 0 0.00 0.00 0.00 0 0.00 0.00 0.00
Private Banks 8 5.16 502.00 5.31 49 31.61 2371.00 25.09 57 18.39 2873.00 15.20
Total 155 100.00 9449.50 100.00 155 100.00 9449.50 100.00 310 100.00 18899.00 100.00

CHART 24: MARKET SHARE IN MIFOR SWAPS

Private Banks
15.2%

Foreign Banks
84.8%

116
TABLE 62: TOP “N” MARKET SHARE
MIBOR MIFOR
Top 1 20.60 16.05
Top 5 57.71 66.16
Top 10 78.60 91.85

TABLE 63: IRS TRADE SUMMARY Amount ` Crore

MIBOR MIFOR INBMK

Month
Trades Value Trades Value Trades Value
Aug-07 396 30140 35 1475 2 100
Sep-07 3730 266943 481 21092 7 250
Oct-07 2756 203909 711 32091 11 500
Nov-07 1976 141313 468 21507 - -
Dec-07 1791 135817 336 14915 2 100
Jan-08 5386 363222 853 39016 6 275
Feb-08 4713 343642 712 30781 - -
Mar-08 4683 319620 799 35141 7 325
Apr-08 3692 253937 393 17692 2 100
May-08 5159 314799 365 18004 5 200
Jun-08 5847 353056 492 21802 9 425
Jul-08 6008 383583 392 18549 9 300
Aug-08 4586 275768 347 14780 2 75
Sep-08 3792 242241 521 20962 8 450
Oct-08 3147 224822 206 8486 4 100
Nov-08 469 32064 145 6857 1 50
Dec-08 550 44234 188 10103 12 625

THE CLEARING CORPORATION OF INDIA LTD.

Jan-09 998 60260 148 7449 2 150
Feb-09 582 40111 70 3352 9 375
Mar-09 1016 71036 125 5504 2 75
Apr-09 678 43855 47 2144 2 75
May-09 1324 84029 57 2894 1 50
Jun-09 1831 116124 135 6021 - -
Jul-09 1130 69303 66 2542 7 575
Aug-09 942 65405 56 3207 2 150
Sep-09 880 76559 73 4732 - -
Oct-09 1277 101358 111 6028 1 50
Nov-09 1216 78946 44 1916 2 150
Dec-09 2233 161246 43 2410 - -
Jan-10 1827 141806 75 3666 - -
Feb-10 2158 153046 51 2267 13 850
Mar-10 2008 151301 23 1014 20 1025
Apr-10 1593 119593 63 2470 9 350

117
 MIBOR MIFOR INBMK
Month
Trades Value Trades Value Trades Value
Jun-10 3365 260869 88 4290 20 1150
Jul-10 3592 265686 131 7506 23 1850
Aug-10 3619 251476 93 4979 4 300
Sep-10 2413 151719 77 4361 1 50
Oct-10 2411 166580 123 6347 3 250
Nov-10 1762 132504 90 5009 11 1075
Dec-10 2582 165720 72 4393 13 550
Jan-11 3782 276659 155 9450 2 50

TABLE 64: OUTSTANDING POSITION IN IRS TRANSACTIONS Amount ` Crore

MIBOR MIFOR INBMK Total
Period Notional Notional Notional Notional
Trades Trades Trades Trades
Sum Sum Sum Sum
2007-08 61665 3655595 16528 611566 368 13690 78561 4280852
2008-09 23732 1394018 11803 468045 461 18715 35996 1880778
2009-10 29853 1748787 8201 326852 450 20385 38504 2096024
2010-11 (Upto January 2011) 41642 2529364 7091 282136 530 25560 49263 2837060

TABLE 65: NETTING FACTOR - IRS NON-GUARANTEED SETTLEMENT Amount ` Crore

Settlement Period Gross Amount Net Amount Netting %

2009-10 13827.38 3688.21 73.33
April-10 2107.47 485.17 76.98
May-10 1879.50 412.74 78.04
June-10 3114.68 624.36 79.95
THE CLEARING CORPORATION OF INDIA LTD.

July-10 2474.48 513.13 79.26

August-10 2239.13 482.20 78.46
September-10 2038.63 470.94 76.90
October-10 1525.29 394.57 74.13
November-10 1194.44 277.44 76.77
December-10 1464.84 297.30 79.70
January-11 1405.47 307.34 78.13
2010-11 (Upto January 2011) 19443.92 4265.20 78.06

118
 INTEREST RATE MOVEMENT
HIGHLIGHTS back. The upward shift was more pronounced in
the short end. In the longer end yields however
• Zero coupon yields as on January 31, 2011 were at
have moved to marginally lower levels. In the last
higher levels in the short to medium term of the
month yields were at marginally higher levels
curve as compared to the yields prevailing a year
except at the very short end of the curve.

CHART 25: ZERO COUPON YIELD CURVE

9.00
8.50
8.00
7.50
Zero Coupon Rate (%)

7.00
6.50
6.00
5.50
5.00
4.50
4.00
3.50
3.00
2.50
2.00
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30
Tenor (In years)
January 31, 2011 December 31, 2010 January 29, 2010

CHART 26: SOVEREIGN YIELD CURVE

8.40

THE CLEARING CORPORATION OF INDIA LTD.

7.90
7.40
6.90
6.40
(%)

5.90
5.40
4.90
4.40
3.90
0.5 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
Tenor
January 31, 2011 December 31, 2010 January 29, 2010

119
 TABLE 66: YIELD MOVEMENT OF TEN YEAR BENCHMARK - 7.80% G.S. 2020
Date WAY
3-Jan-11 7.9501
4-Jan-11 8.0550
5-Jan-11 8.0476
6-Jan-11 8.0897
7-Jan-11 8.1851
10-Jan-11 8.2337
11-Jan-11 8.1970
12-Jan-11 8.1911
13-Jan-11 8.1365
14-Jan-11 8.1747
17-Jan-11 8.2365
18-Jan-11 8.1950
19-Jan-11 8.1591
20-Jan-11 8.1485
21-Jan-11 8.1526
24-Jan-11 8.1987
25-Jan-11 8.1648
27-Jan-11 8.1220
28-Jan-11 8.1237
31-Jan-11 8.1452

CHART 27: TEN YEAR YIELD MOVEMENT

8.30
THE CLEARING CORPORATION OF INDIA LTD.

8.10

7.90
(%)

7.70

7.50

7.30
May/10

Jun/10

Oct/10

Dec/10
Feb/10

Mar/10

Jul/10

Nov/10

Jan/11
Sep/10
Aug/10
Apr/10

10-year Yield

120
TABLE 67: SPREAD ON STATE GOVERNMENT SECURITIES (SDLs)
Traded Volume
State Trades Average Spread (bps)
(` Crore)
ANDHRA PRADESH 47 3501.60 30.59
BIHAR 22 4740.40 31.87
GOA 1 188.60 35.08
GUJARAT 47 4401.60 33.50
HARYANA 4 1600.00 32.60
JAMMU AND KASHMIR 5 592.30 30.86
JHARKHAND 1 100.00 36.28
KERALA 6 273.40 29.16
MADHYA PRADESH 7 1152.20 33.32
MAHARASTRA 101 6625.80 31.78
MANIPUR 3 507.50 31.48
PUNJAB 2 100.00 28.70
RAJASTHAN 10 407.10 28.13
TAMIL NADU 17 978.10 33.15
UTTAR PRADESH 30 3941.30 29.43
UTTARAKHAND 2 147.90 28.23
WEST BENGAL 29 2743.70 29.09
Total 334 32001.50 31.43

Note: Spread has been calculated on the basis of deals settled through CCIL taking into account only outright deals of `5 Crore and
above. The methodology and other information on the spread can be requested from Economic Research Department, CCIL

CHART 28: YIELD MOVEMENT

0.2500

THE CLEARING CORPORATION OF INDIA LTD.

0.2000
Change in yield (bps)

0.1500

0.1000

0.0500

0.0000
0.5 5 10 15 20 25 30
Years to Maturity

Change (bps)

121
 TABLE 68: YIELD SPREADS
Change in Change in
YTM Change in YTM(bps) Spread over 1 year(bps) spreads spreads
Year (bps) (bps)
January December January Month to Year on January December January Month to Year on
31, 2011 31, 2010 29, 2010 Month Year 31, 2011 31, 2010 29, 2010 Month Year
2011 7.3209 4.6979 - - - - - - -
2012 7.3691 7.4680 6.1457 -10 122 - 15 145 - -
2013 7.6912 7.6569 6.6953 3 100 32 34 200 -1 -168
2014 8.0010 7.8995 7.1441 10 86 63 58 245 5 -181
2015 8.1156 7.8517 7.3939 26 72 75 53 270 22 -195
2016 8.0606 7.8451 7.3906 22 67 69 52 269 17 -200
2017 8.1361 7.8165 7.4611 32 67 77 50 276 27 -200
2018 8.2333 7.9809 7.5534 25 68 86 66 286 20 -199
2019 8.1493 7.9070 7.7056 24 44 78 59 301 19 -223
2020 8.1451 7.9133 7.5675 23 58 78 59 287 18 -209
2021 8.3022 8.0954 7.7551 21 55 93 77 306 16 -212
2022 8.2272 8.0507 7.8020 18 43 86 73 310 13 -225
2023 8.3598 8.1851 7.9833 17 38 99 86 329 13 -229
2024 8.4027 8.2435 7.9432 16 46 103 92 325 11 -221
2025 8.4483 8.2993 8.1179 15 33 108 98 342 10 -234
2026 8.4830 8.3394 8.1628 14 32 111 102 346 10 -235
2027 8.4034 8.3371 8.2639 7 14 103 102 357 2 -253
2028 8.5403 8.3981 8.2231 14 32 117 108 353 9 -235
2032 8.6209 8.4938 8.2744 13 35 125 117 358 8 -232
2034 8.6305 8.4091 8.2587 22 37 126 109 356 17 -230
2035 8.6353 8.5311 8.2705 10 36 127 121 357 6 -231
2036 8.6385 8.5387 8.2770 10 36 127 122 358 5 -231
2039 8.6493 8.5612 8.2905 9 36 128 124 359 4 -231
THE CLEARING CORPORATION OF INDIA LTD.

2040 8.5453 8.4637 - 8 - 118 114 - 3 -

THE CLEARING CORPORATION OF INDIA LTD.

Note: Weighted Average yield of most liquid security for each tenor is considered.

122
CCIL NFS-ATM

IDRBT has appointed CCIL as the designated Settlement Agency for Interbank settlement of ATM transactions within the
members of National Financial Switch (NFS). CCIL started the settlement of ATM transactions from August 27, 2004.

TABLE 69: NFS-ATM SETTLEMENT VOLUMES

Settlement Period Transactions Volumes (` Crore)
2004-05 262284 46.26
2005-06 5721316 611.78
2006-07 16146164 1869.79
2007-08 60117540 6068.88
2008-09 213126866 17280.63
2009-10 1132573588 42892.81
Apr-10 127662942 4188.67
May-10 135855932 4464.24
Jun-10 129015744 4126.30
Jul-10 145124482 4432.78
Aug-10 202015676 5244.58
Sep-10 216098442 5476.69
Oct-10 237634098 6299.10
Nov-10 242017454 5867.00
Dec-10 247517294 5809.00
Jan-11 251294866 6416.14
2010-11 (Upto January 2011) 1934236930 52324.50

THE CLEARING CORPORATION OF INDIA LTD.

123
 CORPORATE BONDS
Primary corporate bond market issuances were
substantially higher during the month in
comparison to the previous month. During the
first month of 2011, 82 securities were issued,
compared to 33 securities during the previous
month. Compared to the previous month, Finance
Companies dominated the issuance, with a share of
60% (55%) of the total issuance. They were
followed by Infrastructure Companies 22%
(9.09%), Manufacturing Companies 10% (27%)
and Other Corporates 8% (9.09%).
The average coupon of the securities issued during
the month was 9.35% compared to 9.25% in the
previous month. The average maturity of the
securities issued during the month was 6.12 years.
While fixed income securities continued to
dominate the issuance with a share of 59%, the
share of floating rate securities and zero coupon
bonds increased significantly to 24% (9.09%) and
15% (9.09%) respectively. Tenorwise, securities of
maturity between 2 to 5 years have dominated the
issuances. The maturity wise analysis of the
securities issued during the month is given in the
THE CLEARING CORPORATION OF INDIA LTD.
Reversing the trend over the past few months,
secondary market corporate bond volumes have
improved (4%) during January'11. Average trading
volumes have improved on the NSE and FIMMDA
reporting platforms, while they have fallen in the
BSE reporting platforms. Average volumes on the
FIMMDA reporting platform increased from
` 1180 crore in December to ` 1264 crore during the
current month. Average volumes on the NSE
platform have increased to ` 481 crore to ` 385
crore in the previous month. However, volumes on
the BSE reporting platform have decreased from
` 176 crore previous month, to ` 69 crore during
January. Infrastructure Development and Finance
Company and Power Finance Corporation were
the most widely traded corporates during the
month. Average 5 year AAA spreads were higher at
119 bps in comparison to 107 bps during the
previous month. Average 10 year AAA spreads were
at 93 bps in comparison to 90 bps during the
previous month.

table below.

TABLE 70: PRIMARY MARKET ISSUANCE - JANUARY'11

Avg. Fixed Max. Min.
Zero Floating
Maturity Bucket No. Fixed Floating Coupon Coupon Coupon Remarks
Coupon Benchmark
(%) (%) (%)
<=1 year 6 4 2 10.31 11.50 9.74
Index and Equity
> 1 year -<=2 years 10 5 5 9.61 10.25 8.00
Linked
Nifty, Equity and
> 2 years -<=5 years 25 13 12 8.67 11.00 6.00
Gold Linked
>5 years -<=10 years 13 11 1 1 9.99 12.00 8.90 INCMTBMK
>10 years-<=15 years 18 12 1 5 9.05 11.00 8.00
> 15 years 8 3 1 4 9.53 10.25 9.15

124
TABLE 71: HISTORICAL CORPORATE BONDS TRADING DETAILS Amount ` Crore

Month FIMMDA NSE BSE Cumulative

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

THE CLEARING CORPORATION OF INDIA LTD.

Mar-10 42663.91 16320.63 5156.85 66276.25
Apr-10 43312.30 19075.45 3946.07 66333.82
May-10 44629.85 21438.35 5774.11 71842.31
Jun-10 36731.18 12512.45 4291.70 53535.33
Jul-10 46687.43 11492.40 4806.18 62986.01
Aug-10 35883.51 11862.27 1919.52 49665.30
Sep-10 36990.52 11656.39 3601.23 52248.14
Oct-10 35496.11 11273.34 1102.38 47871.83
Nov-10 26203.44 9593.19 2737.17 38533.80
Dec-10 23609.15 7704.10 3524.10 34837.35
Jan-11 25284.64 9615.70 1377.09 36277.43

125
 TABLE 72: CORPORATE BONDS TRADING DETAILS Amount ` Crore
FIMMDA NSE BSE Total
Date
Trades Volume Trades Volume Trades Volume Trades Volume
3-Jan-11 54 1382.02 8 200.00 1 5.00 63 1587.02
4-Jan-11 74 1264.52 13 387.70 1 2.30 88 1654.52
5-Jan-11 83 1169.68 11 780.00 15 62.45 109 2012.13
6-Jan-11 114 2398.77 41 1170.40 23 33.63 178 3602.80
7-Jan-11 69 849.70 6 105.00 11 107.40 86 1062.10
10-Jan-11 105 1546.78 26 551.80 13 19.40 144 2117.98
11-Jan-11 120 1070.47 18 346.00 13 28.48 151 1444.95
12-Jan-11 80 686.43 11 237.50 9 20.55 100 944.48
13-Jan-11 116 1236.80 27 593.50 19 58.91 162 1889.21
14-Jan-11 101 996.75 14 365.00 8 4.92 123 1366.67
17-Jan-11 83 1062.70 19 480.00 11 85.80 113 1628.50
18-Jan-11 94 865.28 12 310.00 20 91.30 126 1266.58
19-Jan-11 84 1160.75 16 510.00 10 17.32 110 1688.07
20-Jan-11 133 1683.10 21 1029.10 4 5.10 158 2717.30
21-Jan-11 87 1320.01 7 463.90 17 280.10 111 2064.01
24-Jan-11 88 856.16 10 269.00 13 242.84 111 1368.00
25-Jan-11 103 2040.40 11 306.00 5 205.60 119 2552.00
27-Jan-11 87 1201.82 13 660.00 10 71.68 110 1933.50
28-Jan-11 96 887.74 21 380.60 7 28.17 124 1296.51
31-Jan-11 134 1604.76 24 470.20 9 6.15 167 2081.11
Total 1905 25284.64 329 9615.70 219 1377.09 2453 36277.43
Average 95 1264.23 16 480.79 11 68.85 123 1813.87

TABLE 73: SPREAD ANALYSIS

THE CLEARING CORPORATION OF INDIA LTD.

Maturity Buckets Average Spread (bps)

<=1 year 238.84
> 1 year -<=2 years 218.16
> 2 years -<=3 years 120.98
>3 years -<=5 years 152.99
>5 years-<=7 years 152.84
> 7 years 104.98

Note: Spread over comparable G-sec

Deals apparently viewed as duplicate deals have been excluded.

126
 TABLE 74: TOP 25 TRADED BONDS
Volume
No. Security Description Rating Category Maturity Coupon (%) Trades Yield (%)
(` Cr.)
1 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED AAA Finance 26-May-11 6.22 20 1542.00 9.4471
2 SIDBI AAA Finance 30-Mar-13 6.60 13 925.00 7.1992
3 NATIONAL HOUSING BANK AAA Finance 15-Jul-13 7.00 6 850.00 7.5566
4 STATE BANK OF INDIA AAA Finance 4-Oct-21 Floating Rate 46 794.00 8.9737
5 INFRASTRUCTURE DEVELOPMENT FINANCE COMPANY LIMITED AA+ Finance 4-Mar-11 Zero Coupon 15 778.20 9.6367
6 INDIAN OVERSEAS BANK AA+ Finance 31-Dec-20 8.95 18 770.00 8.9447
7 POWER FINANCE CORPORATION LIMITED AAA Finance 15-Jul-12 7.10 14 657.00 9.1237
8 NATIONAL BANK FOR AGRICULTURE & RURAL DEVELOPMENT AAA Finance 19-Jan-14 9.48 3 650.00 9.4759
9 BANK OF INDIA AAA Finance 31-Jul-21 Floating Rate 95 634.30 9.1815
10 UNION BANK OF INDIA AAA Finance 16-Oct-21 Floating Rate 10 628.80 9.0342
11 NATIONAL BANK FOR AGRICULTURE & RURAL DEVELOPMENT AAA Finance 12-Feb-13 8.90 17 550.00 9.0077
12 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED AAA Finance 12-Feb-11 8.95 4 500.00 9.3100
13 POWER FINANCE CORPORATION LIMITED AAA Finance 15-Sep-12 7.89 7 465.00 9.1755
14 POWER FINANCE CORPORATION LIMITED AAA Finance 20-Nov-19 Floating Rate 6 450.00 9.1760
15 NATIONAL BANK OF AGRICULTURE AND RURAL DEVELOPMENT AAA Finance 19-Jan-14 9.48 2 450.00 9.4800
16 POWER FINANCE CORPORATION LIMTED AAA Finance 15-Jan-21 8.99 20 425.50 8.9977
17 NATIONAL HOUSING BANK AAA Finance 26-Mar-13 6.25 13 425.00 6.6670
18 NATIONAL HOUSING BANK AAA Finance 8-Mar-13 7.10 4 400.00 7.5683
19 ICICI HOME FINANCE COMPANY LIMITED AAA(SO) Finance 29-Mar-11 7.68 15 388.00 8.2386
20 INFOTEL BROADBAND SERVICES LIMITED - Others 15-Sep-20 8.95 8 370.00 9.3334
21 EXIM BANK AAA Finance 26-Dec-12 9.25 12 357.00 8.8850
22 SIDBI - Finance 19-Mar-13 6.50 10 325.00 6.6588
23 POWER GRID CORPORATION OF INDIA AAA Infrastructure 21-Oct-19 8.84 12 318.00 8.8679
24 HOUSING DEVELOPMENT FINANCE CORPORATION LIMITED AAA Finance 18-Jan-12 9.55 7 316.00 9.6107
25 NATIONAL HOUSING BANK AAA Finance 27-Jan-13 6.4 6 315.00 6.5784
Note: Deals apparently viewed as duplicate deals have been excluded.
Yields have been taken from source.
Source for Corporate Bonds:
www.fimmda.org
www.nseindia.com
www.bseindia.com
www.nsdl.co.in

THE CLEARING CORPORATION OF INDIA LTD.

127
 MILESTONES
• April 30, 2001- CCIL was incorporated as the
country's first clearing house for the
Government Securities and inter-bank foreign
exchange transactions.
• February 15, 2002 - CCIL commenced its
securities settlement operations (but only
trades below ` 200 million was to be
necessarily settled by CCIL).
• April 10, 2002 - CCIL extended the facility of
guaranteed settlement of G-sec trade to its
members.
• October 17, 2002 - Launched Quarterly
Publication “Rakshitra” containing articles in
relevant operational areas as also detailed
statistics and analysis of settlement
information.
• October 25, 2002 - Started publication of
“Weekly Market Update” containing weekly
statistics and analysis of settlement
information and important market
developments.
• November 8, 2002 - CCIL commenced
THE CLEARING CORPORATION OF INDIA LTD.
India.
• August 7, 2003 - FX-CLEAR, the forex dealing
platform was launched.
• October 18, 2003 - Electronic movement of
Member Margins / Collaterals facilitated
through “Value Free Transfer Module” of
NDS.
• February 5, 2004 - CCIL commenced
guaranteed settlement of Cash and Tom deals
from spot date.
• March 5, 2004 - Non-NDS Members
commence CBLO operations.
• April 2, 2004 - CCIL switched to Delivery
versus Payment III mode of settlement and
hence began netting of securities.
• June 15, 2004 - Operationalised “Straight
Through Processing” arrangement for
settlement of foreign exchange trades done on
Fx Clear.
• August 2004 - “Rakshitra” was made a
monthly newsletter.

guaranteed settlement of Forex (Spot & • August 27, 2004 - Started clearing and
Forwards) transactions. settlement of ATM transactions of National
Financial Switch operated by Institute for
• January 20, 2003 - CCIL launched
Development and Research in Banking
Collateralized Borrowing and Lending
Technology (IDRBT).
Obligations (CBLO).
• October 14, 2004 - Govt. Securities Lending
• April 1, 2003 - All trades in the securities
and Borrowing Scheme was operationalised.
settlement got routed through CCIL.
• January 2005 - CCIL received regulatory
• June 4, 2003 - Set up a wholly owned
approval for commencement of cross
Subsidiary Company Clearcorp Dealing
currency deals through CLS Bank by availing
Systems (India) Ltd. to manage dealing
the third party services of ABN AMRO Bank
platforms in Money and Currency Markets.
as the settlement bank.
• July 19, 2003 - Operationalised Anonymous
• January 31, 2005 - CCIL released its Sovereign
Auction System to facilitate Buy Back of
Bond Indices, CCIL BROAD GILTS INDEX,
Government Securities by Government of

128
 consisting of top 20 traded securities and
CCIL LIQUID GILTS INDEX, consisting of
the 5 most liquid bonds, to track the
movement of the government securities
market.
• February 7, 2005 - CCIL started releasing
comparative intra day money market rates of
Call, Repo and CBLO markets on its website.
• April 6, 2005 - Commenced settlement of
cross currency transactions through CLS.
• May 2, 2005 - CCIL released its T-Bill index
consisting of two T-bill indices CCIL
EQUAL WEIGHT T-bills INDEX and CCIL
LIQUIDITY WEIGHT T-bills INDEX. The
CCIL T-bills indices are instruments that
would capture the market movement in the
short term maturity segment.
• June 29, 2005 - The Forex segment recorded
the highest netting factor of 97.15%.
• August 1, 2005 - Launching of NDS Order
Matching System (NDS-OM).
• August 16, 2005 - CBLOi ((Internet Trading
System for Non-NDS Members) commenced
operations.
• March 20, 2006 - CCIL has launched
Overnight Collateralised Benchmark
Reference Rates for Indian market, namely
CCIL Collateralised Benchmark Bid Rate
(CCBID) and CCIL Collateralised
Benchmark Offer Rate (CCBOR). The rates
are disseminated at 10:10 A.M. from Monday
to Friday. The historical data is available in
CCIL website (http: //www.ccilindia.com)
from January 2004.
• July 31, 2006 - Version 2 of the NDS-OM
trading platform launched, enabling trading
in Treasury Bills and trading in the When
Issued market.
• July 2006 - CCIL receives ISO/IEC 27001:
2005 certification for securing its information
assets.
• August 2006 - Electronic Receipt and
Confirmation System (ERCS) launched to
enable CCIL members to submit their
deposits and withdrawal request through the
electronic media.
• September 4, 2006 - CCIL released its CCIL
ALL SOVEREIGN BOND INDICES
(CASBI), which would reflect the broad
movement of the market. The base date of the
index is January 1, 2004.
• September 4, 2006 - CCIL launched its
eNotice System available to all members for
sending their collateral notices in electronics
form.
• September 11, 2006 - Launch of Intraday
Securities Withdrawal in CBLO segment.
• September 18, 2006 - NDS - CALL, and
electronic screen-based quote driven dealing
system for all Call, Notice and Term Money
operations was launched. The system
facilitates negotiation between counterparties
and monitors counterparty exposure limits, as
THE CLEARING CORPORATION OF INDIA LTD.
also adherence to regulatory limits.
• January 3, 2007 - NDS Auction module went
live to facilitate bidding in primary Treasury
Bill auctions.
• January 16, 2007 - Euroclear and The Clearing
Corporation of India Limited (CCIL) signed a
Memorandum of Understanding (MOU)
regarding post-trade processing collaboration.
• January 25, 2007 - CCIL launched the CCIL
MIBOR (CCIL Mumbai Inter-Bank Offer
Rate) /MIBID (CCIL Mumbai Inter-Bank Bid
Rate) based on Dealt Quotes from NDS-Call.
129
 • March 5, 2007 - The 'eNotice System' extended
to Non-NDS Associate Members.
• May 21, 2007 - Version 3.0 of NDS-OM
launched on May 21, 2007 enabling odd lot
trading on the NDS-OM platform, trading of
new securities in the when issued market and
trading of CSGL entities on this platform.
• July 03, 2007 - CCIL started releasing the daily
Spot reference rates on the CCIL website.
• August 30, 2007 - CCIL's reporting platform
for the transaction in OTC interest rate
derivatives (Interest Rate Swaps and Forward
Rate Agreements (IRS/FRA) became
operational.
• September 10, 2007 - Version 2.0 of NDS-CALL
electronic screen-based quote driven dealing
system for Call, Notice & Term money was
launched. The enhancements include User
hierarchy with multiple user levels with pre set
role privileges and risk mitigation measures
such as assigning Single Order Limit and
setting up of exposure limits for
Counterparties at various levels.
• November 12, 2007 - The Depository Trust &
Clearing Corporation (DTCC) and The
THE CLEARING CORPORATION OF INDIA LTD.
Clearing Corporation of India Limited (CCIL)
have signed a Memorandum of Understanding
(MOU) aimed at promoting closer
collaboration between the two market
infrastructure organizations.
• November 27, 2008 - CCIL commenced Non-
Guaranteed Settlement of OTC Trades in
Rupee Derivatives.
• January 1, 2009 - CCIL launched the CCIL
Certification Programme.
• January 27, 2009 - Clearcorp launched
130
'Clearcorp Repo Order Matching System'
(CROMS), a STP enabled electronic
anonymous order matching platform to
facilitate dealing in market repos in
government securities. CROMS facilitates
dealing in two kinds of Repos viz. Basket Repos
and Special Repos for T+0 and T+1 settlement
tenors.
• February 11, 2009 - CCIL became the first
organization to be granted authorisation by the
Reserve Bank of India under “The Payment &
Settlement Systems Act- 2007”.
• May 11, 2009 - Version 2 of NDS Auction
module went live to facilitate bidding in
primary Dated Securities auctions.
• June 1, 2009- The CCIL SDL Index was
launched to track the market for SDLs through
a representative index.
• June 1, 2009 - The CCIL Tenor Index was
launched to capture the tenor wise movement
across the term structure.
• December 1, 2009 - CCIL commenced the
settlement of forex forward trades with
guarantee from the trade date.
• May 31, 2010 - Launch of FX-SWAP Dealing
System an anonymous order driven matching
system which offers guaranteed settlement of
forward trades from the point of trade.
• August 11, 2010 - CCIL started settlement of
'India-Pay Mobile Payment Service - India Pay
Switch' file on a Non Guaranteed basis.
• September 4-9, 2010 - CCIL successfully
conducted “Live Operations” of all business its
applications from DR Pune datacenter
validating its infrastructure capabilities and
different disaster scenarios.
 KEY PERSONNEL/HODs
Sr.
Person Designation and Department Phone No.
No.
1 Dr. R.H. Patil Chairman 66639202

2 Mr. Yeshwant Kapdi Managing Director 66639201

3 Mr. Ravi Rajan Executive Vice President 66639241

4 Mr. Bala Jothi Chief Technology Officer 66639261

5 Mrs. Indirani Rao Chief Forex Officer 66639301

6 Mr. O.N. Ravi Company Secretary & Corporate Development Officer 66639341

7 Mr. S. Roy Chief Risk Officer 66639321

8 Mr. Deepak Chande Senior Vice President , Finance & Accounts 66639352

9 Dr. Golaka C. Nath Senior Vice President, Economic Research & Surveillance, Membership 66639391

10 Mr. Pradeep. K. Naik Senior Vice President , Operations (Fixed Income & Money Market) Dept. 66639231

11 Mr. Kamal Singhania Vice President , Forex 66639361

12 Mr. Praveen Mata Vice President , Information Technology Department 66639285

13 Mr. P.S. Sundareswaran Vice President , HRD and Admin 66639302

14 Mr. R. Natarajan Asst. Vice President, Derivatives 66639315

15 Mr. K. Biju Asst. Vice President, Product Development Department 66639365

16 Mr. Pradyumna S. Odak Asst. Vice President , Membership 66639242

THE CLEARING CORPORATION OF INDIA LTD.

17 Mr. Santosh Bhalerao Asst. Vice President , Information Technology Department 66639442

18 Mr. Amol Pradhan Jr. Vice President, Funds and Collateral. Mgmt 66639247

19 Mr. Bijesh Muthirakkal Jr. Vice President, Information Technology Department 66639434

20 Mr. Rajesh Salunkhe Jr. Vice President, Product Development Department 66639248

21 Mr. N. Venkatraman Jr. Vice President, CBLO and Securities Settl ement 66639215

131
Published by the Research Department, CCIL
Previous Issues
Rakshitra Vol I No. I (Jul - Sep ‘02)
Rakshitra Vol I No. II (Oct - Dec ‘02)
Rakshitra Vol I No. III (Jan - Mar ‘03)
Rakshitra Vol II No. I (Apr - Jun ‘03)
Rakshitra Vol II No. II (Jul - Sep ‘03)
Rakshitra Vol II No. III (Oct - Dec ‘03)
Rakshitra Vol II No. IV (Jan - Mar ‘04)
Rakshitra Vol III No. I (Apr - Jun ‘04)
Rakshitra Vol III No. II (August ‘04)
Rakshitra Vol III No. III (September ‘04)
Rakshitra Vol III No. IV (October ‘04)
Rakshitra Vol III No. V (November ‘04)
Rakshitra Vol III No. VI (December ‘04)
Rakshitra Vol III No. VII (January ‘05)
Rakshitra Vol III No. VIII (February ‘05)
Rakshitra Vol III No. IX (March ‘05)
Rakshitra Vol III No. X (April ‘05)
Rakshitra Vol III No. XI (May ‘05)
Rakshitra Vol III No. XII (June ‘05)
Rakshitra Vol III No. I (July ‘05)
Rakshitra Vol III No. II (August ‘05)
Rakshitra Vol IV No. III (September ‘05)
Rakshitra Vol IV No. IV (October ‘05)
Rakshitra Vol IV No. V (November ‘05)
Rakshitra Vol IV No. VI (December ‘05)
Rakshitra Vol IV No. XI (May ‘06)
Rakshitra Vol IV No. XII (June ‘06)
Rakshitra Vol V No. I (July ‘06)
Rakshitra Vol V No. II (August ‘06)
Rakshitra Vol V No. III (September ‘06)
Rakshitra Vol V No. IV (October ‘06)
Rakshitra Vol V No. V (November ‘06)
Rakshitra Vol V No. VI (December ‘06)
Rakshitra Vol V No. VII (January ‘07)
Rakshitra Vol V No. VIII (February ‘07)
Rakshitra Vol V No. IX (March ‘07)
Rakshitra Vol V No. X (April '07)
Rakshitra Vol V No. XI (May '07)
Rakshitra Vol V No. XII (June '07)
Rakshitra Vol VI No. I (July '07)
Rakshitra Vol VI No. II (August '07)
Rakshitra Vol VI No. III (September '07)
Rakshitra Vol VI No. IV (October '07)
Rakshitra Vol VI No. V (November '07)
Rakshitra Vol VI No. VI (December '07)
Rakshitra Vol VI No. VII (January '08)
Rakshitra Vol VI No. VIII (February '08)
Rakshitra Vol VI No. IX (March '08)
Rakshitra Vol VI No. X (April '08)
Rakshitra Vol VI No. XI (May '08)
Rakshitra Vol VII No. IV (October '08)
Rakshitra Vol VII No. V (November ‘08)
Rakshitra Vol VII No. VI (December ‘08)
Rakshitra Vol VII No. VII (January ‘09)
Rakshitra Vol VII No. VIII (February ‘09)
Rakshitra Vol VII No. IX (March ‘09)
Rakshitra Vol VII No. X (April ‘09)
Rakshitra Vol VII No. XI (May ‘09)
Rakshitra Vol VII No. XII (June ‘09)
Rakshitra Vol VIII No. I (July ‘09)
Rakshitra Vol VIII No. II (August ‘09)
Rakshitra Vol VIII No. III (September ‘09)
Rakshitra Vol VIII No. IV (October ‘09)
Rakshitra Vol VIII No. V (November ‘09)
Rakshitra Vol VIII No. VI (December ‘09)
Rakshitra Vol VIII No. VII (January ‘10)
Rakshitra Vol VIII No. VIII (February ‘10)
Rakshitra Vol VIII No. IX (March ‘10)
Rakshitra Vol VIII No. X (April ‘10)
Rakshitra Vol VIII No. XI (May ‘10)
Rakshitra Vol VIII No. XII (June‘10)
Rakshitra Vol IX No. I (July‘10)
Rakshitra Vol IX No. II (August ‘10)

Rakshitra Vol IV No. VII (January ‘06) Rakshitra Vol VI No. XII (June '08) Rakshitra Vol IX No. III (September ‘10)
Rakshitra Vol IV No. VIII (February ‘06) Rakshitra Vol VII No. I (July '08) Rakshitra Vol IX No. IV (October ‘10)
Rakshitra Vol IV No. IX (March ‘06) Rakshitra Vol VII No. II (August '08) Rakshitra Vol IX No. V (November ‘10)
Rakshitra Vol IV No. X (April ‘06) Rakshitra Vol VII No. III (September '08) Rakshitra Vol IX No. VI (January ‘11)

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