Wholesale Debt Market Segment 5
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1 Wholesale Debt Market Segment 5
2 60
3 Wholesale Debt Market Segment 5 The Exchange started its trading operations in June 1994 by enabling the Wholesale Debt Market (WDM) segment of the Exchange. This segment provides a trading platform for a wide range of fixed income securities that includes central government securities, treasury bills (T-bills), state development loans (SDLs), bonds issued by public sector undertakings (PSUs), floating rate bonds (FRBs), zero coupon bonds (ZCBs), index bonds, commercial papers (CPs), certificates of deposit (CDs), corporate debentures, SLR and non-slr bonds issued by financial institutions (FIs), bonds issued by foreign institutions and units of mutual funds (MFs). To further encourage wider participation of all classes of investors, including the retail investors, the Retail Debt Market segment (RDM) was launched on January 16, This segment provides for a nation wide, anonymous, order driven, screen based trading system in government securities. In the first phase, all outstanding and newly issued central government securities were traded in the retail debt market segment. Other securities like state government securities, T-bills etc. will be added in subsequent phases. The settlement cycle is same as in the case of equity market i.e., T+2 rolling settlement cycle. Trading Mechanism The WDM trading system, known as NEAT (National Exchange for Automated Trading), is a fully automated screen based trading system that enables members across the country to trade simultaneously with enormous ease and efficiency. It supports an anonymous order driven market which operates on a price/time priority and provides tremendous flexibility to users in terms of orders with various time/price/quantity related conditions that can be placed on the system. It also provides on-line market information like total order depth, best buys and sells available, quantity traded, the high, low and last traded price for securities are available at all points of time. The WDM Trading system provides two market sub-types: continuous market and negotiated market. In the continuous market, the buyer and seller do not know each other and they put their best buy/sell orders, which are stored in order book with price/time priority. If orders match, it results into a trade. The trades in WDM segment are settled directly between the participants, who take an exposure to the settlement risk attached to any unknown counter-party. In the NEAT-WDM system, all participants can set up their counter-party exposure limits against all probable counter-parties. This enables the trading member/participant to reduce/ minimize the counter-party risk associated with the counter-party to trade. A trade does not take place if both the buy/sell participants do not invoke the counter-party exposure limit in the trading system. In the negotiated market, the trades are normally decided by the seller and the buyer outside the exchange, and reported to the Exchange through a trading member for approval. Thus, deals negotiated or structured outside the exchange are disclosed to the market through NEAT-WDM system. In negotiated market, as buyers and sellers know each other and have agreed to trade, no counter-party exposure limit needs to be invoked. 61
4 The government security trades on the WDM segment could be either outright or repo transactions. However, for non-government securities only outright transactions are allowed. For every trade, it is necessary to specify the number of settlement days and the trade type (repo or non-repo), and in the event of a repo trade, the repo term and repo rate. Market Performance Turnover The trading volume on the WDM segment has been growing rapidly. The trading volume (face value) increased from Rs. 6,781 crore during (June-March) to Rs. 4,75,523 crore during The average daily trading volume increased from Rs. 30 crore to Rs. 1,755 crore during the same period. However, the financial year period has recorded a substantial decline compared to the financial year The highest recorded WDM trading volume of Rs. 13,912 crore was registered on August 25, The business growth of the WDM segment is presented in Table 5-1 and Chart 5-1. The transactions in dated government securities account for a substantial share of transactions on the WDM segment. The details of transactions in government securities and treasury bills, outright as well as repo transactions are presented in Table 5-2. The WDM's SGL Outright Transactions as a percentage to the NDS reporting system Outright transactions was 63.67% in The security-wise and participant-wise distribution of WDM trades is presented in Table 5-3. It is observed that the market is dominated by dated government securities (including state development loan), which accounted for 72.67% of WDM trades during Among the market participants, the dominance of the domestic banks reduced this year to 28.07% from 29.89% in The share of top 'N' securities/trading members/participants in turnover in WDM segment is presented in Table 5-4. The share of top '10' securities increased from 57.51% in to 59.78% in The share of top '50' and top '100' securities accounted for 81.04% and 89.36% in the current year. Market Capitalisation Market capitalisation of the WDM segment has witnessed a constant increase indicating an increase in the number of securities available for trading on this segment. Total market capitalisation of the securities available for trading on WDM segment stood at Rs. 15,67,574 crore as on March 31, Central Government securities accounted for the largest share of the market capitalisation with 67.61%. The details of market capitalisation of WDM securities are presented in Table 5-5. Transaction Charges 62 The Exchange has specified the maximum rates of brokerage that can be levied by trading members for trades on WDM. The rate depends on the type of security and value of transactions. The rate for central government securities ranges from 5 paise to 25 paise for every Rs. 100 of transactions depending on the order value. Similarly it ranges from 5 paise to 50 paise for state government securities and institutional bonds also depending on the order value. In case of PSU, FRBs, CPs and Debentures, the brokerage rate varies between
5 10 paise and 50 paise for every Rs. 100 of transaction depending on the order value. It is 1% of the order value for debentures, securitised debt and commercial paper. A trading member is required to pay transaction 5 paise per Rs. 1 lakh gross trade value up to Rs. 25,000 crore paise per Rs. 1 lakh gross traded value above Rs. 25,000 crore subject to minimum of Rs. 10,000 per annum. Settlement Trades on WDM segment have a unique settlement date specified upfront at the time of order entry and is used as a matching parameter. The settlement of all outright secondary market transactions in government securities has been standardized to T+1 w.e.f. May 24, In case of repo transactions in government securities, first leg can be settled either on T+0 basis or T+1 basis. In the case of non-government securities, the settlement cycle can be upto T+2 and only outright transactions are allowed. The members and participants report the settlement details to the Exchange, which only monitors settlement. The actual settlement of funds and securities are effected directly between participants or through Reserve Bank of India (RBI). All trades in government securities are reported to RBI-SGL through the Negotiated Dealing System (NDS) or the Order Matching of RBI, and Clearing Corporation of India Limited (CCIL) provides settlement guarantee for transactions in government securities including repos. The trades are settled on a net basis through the DvP-III system. In the DvP-III, the settlement of Securities and Funds are carried out on a net basis. For securities other than government securities and T-bills, trades are settled on a gross basis directly between participants on delivery versus payment basis. Constituent SGL Facility Subsidiary General Ledger (SGL) account is a facility provided by RBI to large banks and financial institutions to hold their investments in government securities and treasury bills in the electronic book entry form. Such institutions can settle their trades for securities held in SGL through a delivery-versus-payment (DvP) mechanism, which ensures movement of funds and securities simultaneously. As all investors in government securities do not have an access to the SGL accounting system, RBI has permitted such investors to hold their securities in physical stock certificate form. They may also open a constituent SGL account with any entity authorised by RBI for this purpose and thus avail of the DvP settlement. Such client accounts are referred to as constituent SGL accounts. For retail participants in the market, who otherwise have to hold securities in physical form and settle their transactions on a bilateral basis, the NSCCL offers constituent SGL facility. RBI has allowed NSCCL to open SGL and current accounts for this purpose. NSCCL had 60 constituent SGL accounts as at end March FIMMDA-NSE MIBID/MIBOR A reference rate in an accurate measure of the market price. In the fixed income market, it is an interest rate that the market respects and closely matches. On these lines, NSE has been 63
6 computing and disseminating the NSE Mumbai Inter-bank Bid Rate (MIBID) and NSE Mumbai Inter-bank Offer Rate (MIBOR) for the overnight money market from June 15, 1998, the 14-day MIBID/MIBOR from November 10, 1998 and the 1 month and 3 month MIBID/ MIBOR from December 1, In view of the robust methodology of computation of these rates and their extensive use by market participants, these have been co-branded with Fixed Income and Money Market Dealers Association (FIMMDA) from March 4, These are now known as FIMMDA-NSE MIBID/MIBOR. These are presented in Table 5-6. The Chart 5-2 presents overnight MIBID/MIBOR for FIMMDA-NSE MIBID/MIBOR are based on rates polled by NSE from a representative panel of 31 banks/institutions/primary dealers. Currently, quotes are polled and processed daily by the Exchange at 0940 (IST) for overnight rate and at 1130 (IST) for the 14 day, 1 month and 3 month rates. The overnight rates are disseminated daily to the market at about 0955 (IST) and the 14 day, 1 month and 3 month rates at about 1145 (IST). These are broadcast through NEAT-WDM trading system immediately on release and also disseminated through websites of NSE and FIMMDA and through . The FIMMDA-NSE MIBID/MIBOR is used as a benchmark rate for majority of deals struck for interest rate swaps, forward rate agreements, floating rate debentures and term deposits. Zero Coupon Yield Curve Keeping in mind the requirements of the banking industry, financial institutions, mutual funds, insurance companies, etc. that have substantial investment in sovereign papers, NSE disseminates a 'Zero Coupon Yield Curve' (NSE Zero Curve) to help in valuation of securities across all maturities irrespective of its liquidity in the market. This product has been developed by using Nelson-Siegel functional form to estimate the term structure of interest rate at any given point of time and been successfully tested by using daily WDM trades data. This is being disseminated daily. The ZCYC depicts the relationship between spot interest rates in the economy and the associated term to maturity. It provides daily estimates of the term structure of interest rates using information on secondary market trades in government securities from the WDM segment. The term structure forms the basis for the valuation of all fixed income instruments. Modelled as a series of cashflows due at different points of time in the future, the underlying price of such an instrument is calculated as the net present value of the stream of cashflows. Each cashflow, in such a formulation, is discounted using the interest rate for the associated term to maturity; the appropriate rates are read off the estimated ZCYC. Once estimated, the interest rate-maturity mapping is used to compute underlying valuations even for securities that do not trade on a given day. Changes in the economy cause shifts in the term structure, changing the underlying valuations of fixed income instruments. The daily ZCYC captures these changes, and is used to track the value of portfolios of government securities on a day-to-day basis. Chart 5-3 plots the spot interest rates at different maturities for the year
7 NSE-VaR System NSE has developed a VaR system for measuring the market risk inherent in Government of India (GOI) securities. NSE-VaR system builds on the NSE database of daily yield curves (ZCYC) and provides measures of VaR using 5 alternative methods (variance-covariance, historical simulation method, weighted normal, weighted historical simulation and extreme value method). Together, these 5 methods provide a range of options for market participants to choose from. NSE-VaR system releases daily estimates of security-wise VaR at 1-day and multi-day horizons for securities traded on WDM segment of NSE and all outstanding GoI securities with effect from January 1, Participants can compute their portfolio risk as weighted average of security-wise VaRs, the weights being proportionate to the market value of a given security in their portfolio. 1-day VaR (99%) measure for GoI Securities traded on NSE-WDM on March 31, 2006 is presented in Table 5-7. GOI-Bond Index The increased activity in the government securities market in India and simultaneous emergence of mutual (gilt) funds has given rise to the need for a well defined Bond Index to measure returns in the bond market. The NSE-Government Securities Index prices components off the NSE Benchmark ZCYC, so that the movements reflect returns to an investor on account of change in interest rates. The index provides a benchmark for portfolio management by various investment managers and gilt funds. It also forms the basis for designing index funds and for derivative products such as options and futures. Some of the salient features of this index are: The index uses all Government of India bonds issued after April These were issued on the basis of an auction mechanism that imparted some amount of marketrelatedness to their pricing. Bonds issued prior to 1992 were on the basis of administered interest rates. The index uses a chain-link methodology i.e. today's values are based on the previous value times the change since the previous calculations. This gives the index the ability to add new issues and remove old issues when redeemed. Coupons and redemption payments are assumed to be re-invested back into the index in proportion to the constituent weights. The constituents are weighted by their market capitalization 65
8 Table 5-1: Business Growth of WDM Segment Month/Year All Trades Retail Trade No. of Number Average Trading Average Number Trading Share in Active of Daily Volume Trade o f Volume Total Securities Trades Trading (Rs. cr.) Size Trades (Rs. cr.) Trading Volume (Rs. cr.) Volume (%) (Rs. cr.) (June-March) 183 1, , , , , , , , , , , ,071 16, , , ,057 46,987 1, , Apr ,978 1,709 34, May ,653 1,315 32, Jun , , Jul ,275 1,089 28, Aug , , Sep , , Oct ,910 1,137 25, Nov ,519 1,451 36, Dec ,092 1,593 38, Jan ,095 2,554 66, Feb ,080 2,873 63, Mar ,011 2,032 48, ,038 64,470 1, , Apr ,606 2,314 46, May ,220 3,359 83, Jun ,936 3,293 82, Jul ,575 3,255 84, Aug ,622 3,158 75, Sep ,526 2,528 63, Oct ,636 3,234 80, Nov ,300 4,290 98, Dec ,135 2,600 62, Jan ,011 4, , Feb ,127 4, ,
9 Table 5-1: Business Growth of WDM Segment Month/Year All Trades Retail Trade No. of Number Average Trading Average Number Trading Share in Active of Daily Volume Trade o f Volume Total Securities Trades Trading (Rs. cr.) Size Trades (Rs. cr.) Trading Volume (Rs. cr.) Volume (%) (Rs. cr.) Mar ,157 2,434 55, ,851 3, , Apr ,164 3,222 77, May ,662 2,130 53, Jun ,875 2,179 54, Jul ,996 3,619 97, Aug ,483 3, , Sep ,439 2,845 68, Oct ,587 4, , Nov ,052 5, , Dec ,807 4, , Jan ,335 5, , Feb ,728 2,912 66, Mar ,650 2,391 54, , ,778 3,598 1,068, , Apr ,512 4, , May ,651 5, , Jun ,400 5, , Jul ,220 4, , Aug ,753 6, , Sep ,152 4, , Oct ,465 5, , Nov ,737 3,518 80, Dec ,529 3,227 83, Jan ,407 2,982 77, Feb ,675 2,795 61, Mar ,017 3,952 98, , ,518 4,477 1,316, ,
10 Table 5-1: Business Growth of WDM Segment Month/Year All Trades Retail Trade No. of Number Average Trading Average Number Trading Share in Active of Daily Volume Trade o f Volume Total Securities Trades Trading (Rs. cr.) Size Trades (Rs. cr.) Trading Volume (Rs. cr.) Volume (%) (Rs. cr.) Apr ,075 6, , May ,097 3,806 91, Jun ,382 3,171 82, Jul ,303 2,445 66, Aug ,241 2,552 63, Sep ,659 3,508 87, Oct ,437 2,425 55, Nov ,767 1,980 45, Dec ,321 2,792 72, Jan ,384 2,550 61, Feb ,156 3,066 73, Mar ,486 2,242 53, , ,308 3, , , Apr ,079 2,483 54, May ,376 2,805 70, Jun ,213 3,696 96, Jul ,042 2,092 52, Aug ,361 1,789 44, Sep ,127 1,278 31, Oct ,987 1,209 25, Nov ,822 1,218 24, Dec , , Jan ,572 1,080 21, Feb , , Mar , ,
11 Table 5-2: WDM Transactions in Government Securities (Rs. crore) Month /Year Outright Transactions Repo Transactions Total (5+8) % Share in Dated State Treasury Total Dated Treasury Total SGL Outright Securities Government Bills (2+3+4) Securities Bills (6+7) Transactions Securities (June-March) 2, ,634 5, , , ,255 9, , , ,912 38, , , ,021 97,515 4,225 1,845 6, , , ,586 90,419 4, ,861 95, ,866 2,082 10, ,592 1, , , Apr-00 31, ,496 33, , May-00 30, ,073 31, , Jun-00 15, , , Jul-00 26, ,043 27, , Aug-00 13, ,316 15, , Sep-00 17, ,742 20, , Oct-00 20, ,863 23, , Nov-00 32, ,023 34, , Dec-00 34, ,058 36, , Jan-01 62, ,156 64, , Feb-01 59, ,716 62, , Mar-01 44, ,938 47, , ,098 1,256 23, ,496 1, , , Apr-01 42, ,888 45, , May-01 79, ,594 82, , Jun-01 78, ,344 81, , Jul-01 79, ,834 82, , Aug-01 72, ,546 74, , Sep-01 59, ,137 61, , Oct-01 77, ,656 79, , Nov-01 94, ,651 97, , Dec-01 59, ,615 61, , Jan , , , , Feb-02 96, ,191 98, ,
12 Table 5-2: WDM Transactions in Government Securities (Rs. crore) Month /Year Outright Transactions Repo Transactions Total (5+8) % Share in Dated State Treasury Total Dated Treasury Total SGL Outright Securities Government Bills (2+3+4) Securities Bills (6+7) Transactions Securities Mar-02 52, , , ,101 1,412 25, , , Apr-02 72, ,597 74, , May-02 47, ,553 50, , Jun-02 49, ,699 50, , Jul-02 91, ,460 93, , Aug-02 93, ,933 96, , Sep-02 63, ,350 65, , Oct , , , , Nov , , , , Dec , , , , Jan , , , , Feb-03 61, ,987 64, , Mar-03 48, ,605 52, , ,584 2,568 31,400 1,030,552 1, ,277 1,032, Apr-03 91, ,001 96, , May , , , , Jun , , , , Jul , , , , Aug , , , , Sep , , , , Oct , , , , Nov-03 73, ,631 78, , Dec-03 76, ,480 81, , Jan-04 69, ,639 74, , Feb-04 55, ,945 59, , Mar-04 87, ,721 93, , ,213,839 4,683 55,597 1,274, ,274, Apr , , , , May-04 79, ,085 88, ,
13 Table 5-2: WDM Transactions in Government Securities (Rs. crore) Month /Year Outright Transactions Repo Transactions Total (5+8) % Share in Dated State Treasury Total Dated Treasury Total SGL Outright Securities Government Bills (2+3+4) Securities Bills (6+7) Transactions Securities Jun-04 68,629 1,282 8,766 78, , Jul-04 53, ,034 62, , Aug-04 54, ,330 61, , Sep-04 73, ,923 84, , Oct-04 44,692 1,454 7,593 53, , Nov-04 31, ,665 43, , Dec-04 55,894 1,033 12,162 69, , Jan-05 44, ,146 58, , Feb-05 54, ,727 70, , Mar-05 33, ,888 50, , ,711 8, , , , Apr-05 30, ,748 52, , May-05 50, ,921 67, , Jun-05 85,381 1,178 6,208 92, , Jul-05 45, ,469 49, , Aug-05 25, ,733 41, , Sep-05 21,037 1,173 6,923 29, , Oct-05 14, ,474 23, , Nov-05 15, ,844 23, , Dec-05 12, ,998 19, , Jan-06 13, ,808 19, , Feb-06 12, ,262 15, , Mar-06 10, ,830 15, , ,190 7, , , ,
14 Table 5-3: Security-wise and Participant-wise Distribution of WDM Trades (In per cent) Month & Year Security-wise Distribution Participant-wise Distribution Government T-Bills PSU Others Trading FIs/MFs/ Primary Indian Foreign Securities /Inst. Members Corporates Dealers Banks Banks Bonds (Non-Participant Trades) (June-March) Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
15 Table 5-3: Security-wise and Participant-wise Distribution of WDM Trades (In per cent) Month & Year Security-wise Distribution Participant-wise Distribution Government T-Bills PSU Others Trading FIs/MFs/ Primary Indian Foreign Securities /Inst. Members Corporates Dealers Banks Banks Bonds (Non-Participant Trades) Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
16 Table 5-3: Security-wise and Participant-wise Distribution of WDM Trades (In per cent) Month & Year Security-wise Distribution Participant-wise Distribution Government T-Bills PSU Others Trading FIs/MFs/ Primary Indian Foreign Securities /Inst. Members Corporates Dealers Banks Banks Bonds (Non-Participant Trades) May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
17 Table 5-4: Share of Top 'N' Securities/Trading Members/ Participants in Turnover in WDM Segment Year In Percent Top 5 Top 10 Top 25 Top 50 Top 100 Securities Trading Members Participants
18 Table 5-5: Market Capitalisation of WDM Securities (In Rs. crore) (In per cent) Month/Year Govt. PSU State T-bills Others Total Govt. PSU State T-bills Others securities bonds loans securities bonds loans Jun-94 60,719 20,439 1,833 18,476 20, , Mar-95 86,175 25,675 5,867 17,129 23, , Mar ,492 30,074 13,850 8,452 29, , Mar ,830 36,211 18,891 13,460 54, , Mar ,290 35,323 23,989 17,497 70, , Mar ,002 34,994 30,516 11,292 74, , Mar ,865 39,357 39,477 15,345 79, , Apr ,429 39,153 40,111 15,249 81, , May ,393 38,591 40,411 15,562 81, , Jun ,027 38,815 41,203 15,641 81, , Jul ,380 39,729 41,261 15,661 82, , Aug ,544 38,975 42,241 15,681 83, , Sep ,284 38,499 42,411 15,710 83, , Oct ,570 39,229 43,488 15,845 84, , Nov ,594 39,084 43,519 15,785 84, , Dec ,668 39,198 43,806 16,351 85, , Jan ,132 38,168 44,093 16,991 84, , Feb ,605 37,517 44,550 17,306 84, , Mar ,228 36,365 44,624 17,725 84, , Apr ,161 36,199 45,095 18,667 85, , May ,203 36,315 46,940 18,538 85, , Jun ,290 38,865 47,302 21,056 84, , Jul ,383 39,442 47,810 22,272 83, , Aug ,148 42,719 50,711 23,041 82, , Sep ,779 42,781 50,217 23,347 87, , Oct ,781 42,343 52,367 23,652 87, , Nov ,702 43,260 53,829 23,586 87, , Dec ,171 41,823 54,771 24,266 87, , Jan ,896 41,566 57,955 24,004 88, , Feb ,401 41,130 59,675 24,366 89, , Mar ,601 39,944 61,385 23,849 89, , Apr ,394 40,716 63,106 24,218 89, ,
19 Table 5-5: Market Capitalisation of WDM Securities (In Rs. crore) (In per cent) Month/Year Govt. PSU State T-bills Others Total Govt. PSU State T-bills Others securities bonds loans securities bonds loans May ,137 40,333 64,065 24,745 89, , Jun ,242 39,759 66,649 25,188 89, , Jul ,790 39,643 66,718 26,065 87, , Aug ,410 39,872 66,424 26,580 86, , Sep ,201 40,003 67,074 27,101 86, , Oct ,840 40,127 68,589 27,797 86, , Nov ,392 39,902 69,500 28,377 65, , Dec ,148 39,431 70,368 30,852 65, , Jan ,766 39,588 70,932 34,934 65, , Feb ,078 38,404 71,115 36,156 63, , Mar ,002 38,383 72,094 34,919 61, , Apr ,912 39,661 72,295 32,880 62, , May ,420 42,015 70,214 32,147 62, , Jun ,561 42,165 71,846 32,809 63, , Jul ,875 42,478 71,950 32,515 63, , Aug ,850 44,945 74,674 36,520 65,140 1,020, Sep ,001 44,439 76,353 40,255 61,990 1,030, Oct ,295 44,544 77,037 40,703 61,092 1,179, Nov ,259 44,486 77,154 36,507 60,223 1,172, Dec ,903 46,436 77,292 32,639 62,656 1,178, Jan ,351 46,121 78,305 32,232 68,060 1,192, Feb ,155 49,224 79,036 32,229 71,507 1,200, Mar ,302 56,832 79,340 32,692 87,698 1,215, Apr ,543 54,001 76,391 40,556 68,703 1,212, May ,036 61,591 77,105 48,825 71,634 1,228, Jun ,244 66,080 77,589 56,155 79,209 1,269, Jul ,695 67, ,858 59,462 80,684 1,373, Aug ,712 67, ,864 59,894 81,510 1,370, Sep ,163 67, ,359 60,608 83,292 1,394, Oct ,454 68, ,771 63,755 84,207 1,387, Nov ,238 67, ,462 60,897 83,464 1,376,
20 Table 5-5: Market Capitalisation of WDM Securities (In Rs. crore) (In per cent) Month/Year Govt. PSU State T-bills Others Total Govt. PSU State T-bills Others securities bonds loans securities bonds loans Dec ,341 67, ,519 62,083 86,623 1,427, Jan-05 1,002,006 67, ,898 63,679 86,240 1,434, Feb-05 1,010,936 67, ,395 69,660 89,493 1,460, Mar-05 1,006,107 68, ,208 73,502 90,519 1,461, Apr-05 1,003,339 67, ,513 78,624 90,983 1,464, May-05 1,010,569 72, ,585 82,378 90,512 1,472, Jun-05 1,014,558 74, ,475 90,679 90,814 1,495, Jul-05 1,025,814 75, ,402 84,249 93,657 1,503, Aug-05 1,036,004 76, ,717 87,372 93,559 1,517, Sep-05 1,020,612 76, , ,280 94,862 1,527, Oct-05 1,020,975 78, , ,352 94,755 1,530, Nov-05 1,044,287 78, ,991 98,400 97,444 1,554, Dec-05 1,051,521 78, ,282 81, ,981 1,549, Jan-06 1,058,461 84, ,843 72, ,561 1,555, Feb-06 1,058,681 83, ,427 67, ,510 1,553, Mar-06 1,059,789 88, ,927 70, ,956 1,567,
21 Table 5-6: FIMMDA NSE MIBID/MIBOR Rates Month/Date OVERNIGHT 14 DAY 1 MONTH RATE 3 MONTH RATE AT 9.40 a.m.* AT a.m.** AT a.m.*** AT a.m.*** MIBID MIBOR MIBID MIBOR MIBID MIBOR MIBID MIBOR 29-Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
22 Table 5-6: FIMMDA NSE MIBID/MIBOR Rates Month/Date OVERNIGHT 14 DAY 1 MONTH RATE 3 MONTH RATE AT 9.40 a.m.* AT a.m.** AT a.m.*** AT a.m.*** MIBID MIBOR MIBID MIBOR MIBID MIBOR MIBID MIBOR 31-Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Note: * Overnight : Disseminated since June 15, ** 14 Day : Disseminated since November 10, *** 1 month : Disseminated since December 1, *** 3 month : Disseminated Since December 1,
23 Tale 5-7: 1-day Value-at-Risk (99%) for Government of India Securities Traded as on March 31, 2006 Security Security Issue Normal Weighted Historical Weighted EVT Clean Type Name Name Normal Simulation Historical Price Simulation (off NSE- ZCYC) GS CG % GS CG % GS CG % GS CG % GS CG % GS CG % GS CG % GS CG % GS CG % GS CG % GS CG % GS CG % GS CG % GS CG % GS CG % GS CG % TB 364D TB 364D TB 91D Chart 5-1: Business Growth of WDM Segment 81
24 Chart 5-2: Overnight MIBID/MIBOR Rates, Figure 5-3 : Zero Coupon Yield Curve,
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