Wholesale Debt Market Segment 5

Size: px
Start display at page:

Download "Wholesale Debt Market Segment 5"

Transcription

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,

Wholesale Debt Market Segment 5

Wholesale Debt Market Segment 5 Wholesale Debt Market Segment 5 64 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

More information

Amount raised from Primary Market. Turnover in Secondary Market

Amount raised from Primary Market. Turnover in Secondary Market ISMR Debt Market 70 5. Debt Market Introduction 1 The debt market in India consists of mainly two categories the government securities or the g-sec markets comprising central government and state government

More information

Amount raised from Primary Market. Turnover in Secondary Market

Amount raised from Primary Market. Turnover in Secondary Market ISMR Debt Market 64 5. Debt Market Introduction The debt market in India consists of mainly two categories the government securities or the g-sec markets comprising central government and state government

More information

MUMBAI INTER-BANK OVERNIGHT RATE (MIBOR)

MUMBAI INTER-BANK OVERNIGHT RATE (MIBOR) MUMBAI INTER-BANK OVERNIGHT RATE (MIBOR) Benchmark Calculation and Methodology Golaka C Nath 1 MIBOR - A Short History FIMMDA-NSE MIBID-MIBOR Financial benchmarks refer to prices, estimates, rates, indices

More information

Post - Graduate Diploma in Security Analysis & Trading (2 nd Semester Examination)

Post - Graduate Diploma in Security Analysis & Trading (2 nd Semester Examination) Post - Graduate Diploma in Security Analysis & Trading (2 nd Semester Examination) Paper 206 FIMMDA Debt Market (Basic) Maximum Marks: 100 Time Allowed: 3 hours Roll No. Name. INSTRUCTIONS: 1. This Question

More information

Copyright 2009 by National Stock Exchange of India Ltd. (NSE) Exchange Plaza, Bandra Kurla Complex, Bandra (East), Mumbai INDIA

Copyright 2009 by National Stock Exchange of India Ltd. (NSE) Exchange Plaza, Bandra Kurla Complex, Bandra (East), Mumbai INDIA Copyright 2009 by National Stock Exchange of India Ltd. (NSE) Exchange Plaza, Bandra Kurla Complex, Bandra (East), Mumbai 400 051 INDIA All content included in this book, such as text, graphics, logos,

More information

Debt Market. Introduction

Debt Market. Introduction NATIONAL STOCK EXCHANGE OF INDIA LTD. Ind. Sec. Mkt. Rev. (2002) INDIAN SECURITIES MARKET - A REVIEW http://www.nseindia.com Debt Market Introduction The debt market in India comprises of two main segments,

More information

Negotiated Dealing System (NDS)

Negotiated Dealing System (NDS) Negotiated Dealing System (NDS) Till 2002, the Government securities market was mainly a telephone market. Buyers and sellers traded over telephone and submitted physical Subsidiary General Ledger (SGL)

More information

CCIL All Sovereign Bonds Index (CASBI) Golaka C Nath, Gaurav Yadav and Aparna Vachharajani Introduction

CCIL All Sovereign Bonds Index (CASBI) Golaka C Nath, Gaurav Yadav and Aparna Vachharajani Introduction CCIL All Sovereign Bonds Index (CASBI) Golaka C Nath, Gaurav Yadav and Aparna Vachharajani Introduction Government securities dominate the Indian bond market both in terms of outstanding stock as well

More information

FBIL. Newsletter FROM CHAIRPERSON S DESK: Section 1: New Developments. Section 2: MARKET WATCH ISSUE:1 MARCH 2019

FBIL. Newsletter FROM CHAIRPERSON S DESK: Section 1: New Developments. Section 2: MARKET WATCH ISSUE:1 MARCH 2019 ISSUE:1 MARCH 2019 FROM CHAIRPERSON S DESK: FBIL is recognized by the Reserve Bank of India as a benchmark administrator for money foreign exchange and government securities markets. In the four years

More information

Y V Reddy: Developing debt markets in India review and prospects

Y V Reddy: Developing debt markets in India review and prospects Y V Reddy: Developing debt markets in India review and prospects Remarks by Dr Y V Reddy, Governor of the Reserve Bank of India, at a meeting of Central Bank Governors of Asia, Latin America and the Caribbean,

More information

Securities Lending and Borrowing. January 2011

Securities Lending and Borrowing. January 2011 Securities Lending and Borrowing January 2011 Securities Lending and Borrowing (SLB) What is SLB? A loan of securities by a lender to a borrower for an agreed period The lender earns lending fee on securities

More information

19 th OECD Global Forum on Public Debt Management Session II: Urgent Policy Challenges for Asian Debt Managers

19 th OECD Global Forum on Public Debt Management Session II: Urgent Policy Challenges for Asian Debt Managers 19 th OECD Global Forum on Public Debt Management Session II: Urgent Policy Challenges for Asian Debt Managers A Case Study of India A.K.Mitra Structure Of Presentation I. Fiscal Situation II. Financing

More information

Home >> FAQs - Display Date: 17/10/2014

Home >> FAQs - Display Date: 17/10/2014 http://www.rbi.org.in/commonman/english/scripts/faqs.aspx?id=711#23 Home >> FAQs - Display Date: 17/10/2014 Government Securities Market in India A Primer 1. What is a Government Security? 1.1 A Government

More information

TO ALL MEMBERS & OTHER INTERESTED PERSONS

TO ALL MEMBERS & OTHER INTERESTED PERSONS TO ALL MEMBERS & OTHER INTERESTED PERSONS Securities Settlement Segment Note on Valuation of Floating Rate Bonds CCIL has been examining the possibility of developing a process for valuing Floating Rate

More information

Interest Rate Futures. June, 2015

Interest Rate Futures. June, 2015 Interest Rate Futures June, 2015 Agenda Interest rate and interest rate risk Mitigation of interest rate risk Interest rate future Global perspective NSE Bond Futures Importance of NBF-II What is Interest

More information

6.1 Government of Pakistan Treasury Bills

6.1 Government of Pakistan Treasury Bills 6.1 Government of Pakistan Treasury Bills PERIODS (Million Rupees) 3 Months Treasury Bills 6 Months Treasury Bills Discount Discount Outstanding Discount Issue Allowed Discharged Paid Balance Issue Allowed

More information

Need for Treasury Market. No return from holding excess reserves for a bank. Treasury investments yield returns for the holding period.

Need for Treasury Market. No return from holding excess reserves for a bank. Treasury investments yield returns for the holding period. Treasury Markets Need for Treasury Market No return from holding excess reserves for a bank. Treasury investments yield returns for the holding period. Treasury investments provide maximum safety as they

More information

CENTRE DEBT MARKET IN INDIA KNOWLEDGE. Introduction. Which sectors are covered by the Index?

CENTRE DEBT MARKET IN INDIA KNOWLEDGE.   Introduction. Which sectors are covered by the Index? DEBT MARKET IN INDIA Introduction Indian debt markets, in the early nineties, were characterised by controls on pricing of assets, segmentation of markets and barriers to entry, low levels of liquidity,

More information

Public Debt Management

Public Debt Management Public Debt Management quarterly report january- march 2016 Government of India Ministry of finance Budget Division Department of economic affairs May 2016 www.finmin.nic.in 1 CONTENTS Section Page No.

More information

Interest Rates & Credit Derivatives

Interest Rates & Credit Derivatives Interest Rates & Credit Derivatives Ashish Ghiya Derivium Tradition (India) 25/06/14 1 Agenda Introduction to Interest Rate & Credit Derivatives Practical Uses of Derivatives Derivatives Going Wrong Practical

More information

PUBLIC DEBT MANAGEMENT QUARTERLY REPORT JANUARY-MARCH 2018

PUBLIC DEBT MANAGEMENT QUARTERLY REPORT JANUARY-MARCH 2018 PUBLIC DEBT MANAGEMENT QUARTERLY REPORT JANUARY-MARCH 2018 GOVERNMENT OF INDIA MINISTRY OF FINANCE BUDGET DIVISION DEPARTMENT OF ECONOMIC AFFAIRS JUNE 2018 www.dea.gov.in ii CONTENTS Section Page No. Introduction

More information

Operational Guidelines for Reckoning the Market Value of Collateral in Repo/Reverse Repo transactions with RBI

Operational Guidelines for Reckoning the Market Value of Collateral in Repo/Reverse Repo transactions with RBI 1 Annex I Operational Guidelines for Reckoning the Market Value of Collateral in Repo/Reverse Repo transactions with RBI 1. The guidelines mentioned hereunder will be applicable to all types of Repo/Reverse

More information

CONTENTS. Procedure and Conditions for listing of securities on WDM 7. Criteria for listing on the WDM segment 8

CONTENTS. Procedure and Conditions for listing of securities on WDM 7. Criteria for listing on the WDM segment 8 CONTENTS 1. Introduction 1 2. Exchange Operations 3 Capital Market Segment 3 Futures & Options Segment 3 Wholesale Debt Market Segment 4 3. Listing Of Securities on WDM Segment 7 Procedure and Conditions

More information

FIMCIR/ /45. March 1, To, ALL FIMMDA MEMBERS. VALUATION OF INVESTMENTS AS ON 31 st MARCH 2012

FIMCIR/ /45. March 1, To, ALL FIMMDA MEMBERS. VALUATION OF INVESTMENTS AS ON 31 st MARCH 2012 FIMCIR/2011-12/45 March 1, 2012 To, ALL FIMMDA MEMBERS VALUATION OF INVESTMENTS AS ON 31 st MARCH 2012 In accordance with the RBI Master Circular no. DBOD No 19/21.04.141/2011-12 dated July 1, 2011, FIMMDA

More information

METHODOLOGY FOR COMPUTATION OF BENCHMARK FORWARD PREMIA AND MIFOR CURVE SECTION 1: OVERVIEW OF THE INDIAN FX SWAP MARKET

METHODOLOGY FOR COMPUTATION OF BENCHMARK FORWARD PREMIA AND MIFOR CURVE SECTION 1: OVERVIEW OF THE INDIAN FX SWAP MARKET METHODOLOGY FOR COMPUTATION OF BENCHMARK FORWARD PREMIA AND MIFOR CURVE Golaka C Nath 1, Sahana Rajaram 2 and Manoel Pacheco 3 1.1 Introduction SECTION 1: OVERVIEW OF THE INDIAN FX SWAP MARKET Foreign

More information

Clearcorp Dealing Systems (India) Limited FACTBOOK 2017

Clearcorp Dealing Systems (India) Limited FACTBOOK 2017 Clearcorp Dealing Systems (India) Limited FACTBOOK 2017 CLEARCORP DEALING SYSTEMS (INDIA) LIMITED The Clearcorp Dealing Systems (India) Limited was set up as a 100% subsidiary of CCIL to manage the various

More information

CCIL and their impact on risk in Forex Markets

CCIL and their impact on risk in Forex Markets Developments in CCIL and their impact on risk in Forex Markets Agenda Objectives Functions Responsibilities i Achievements Way Forward Organization Initiated by RBI through a Core Committee Co opted:

More information

21st February Note On Valuation of State Government Securities & Risk Assessment for trades in such securities

21st February Note On Valuation of State Government Securities & Risk Assessment for trades in such securities 21st February 2006 Note On Valuation of State Government Securities & Risk Assessment for trades in such securities CCIL has been examining the issues relating to valuation of State government and other

More information

Constituent Deals in the Government Securities Market

Constituent Deals in the Government Securities Market Constituent Deals in the Government Securities Market Dr. Golaka C. Nath & Ms. Sahana Rajaram The Indian government securities market has witnessed reasonable growth during the past two decades after the

More information

FIMCIR/ /41. March 1, Amended as on September 23, 2013* To, ALL FIMMDA MEMBERS. VALUATION OF INVESTMENTS AS ON 31 st MARCH 2013

FIMCIR/ /41. March 1, Amended as on September 23, 2013* To, ALL FIMMDA MEMBERS. VALUATION OF INVESTMENTS AS ON 31 st MARCH 2013 FIMCIR/2012-13/41 March 1, 2013 Amended as on September 23, 2013* To, ALL FIMMDA MEMBERS VALUATION OF INVESTMENTS AS ON 31 st MARCH 2013 In accordance with the RBI Master Circular no. DBOD No. BP. BC.13/21.04.141/2012-13

More information

Indian Sovereign Yield Curve using Nelson-Siegel-Svensson Model

Indian Sovereign Yield Curve using Nelson-Siegel-Svensson Model Indian Sovereign Yield Curve using Nelson-Siegel-Svensson Model Of the three methods of valuing a Fixed Income Security Current Yield, YTM and the Coupon, the most common method followed is the Yield To

More information

Trading in India. The Status Quo. Anshuman Jaswal Senior Analyst, Celent

Trading in India. The Status Quo. Anshuman Jaswal Senior Analyst, Celent Trading in India The Status Quo Anshuman Jaswal Senior Analyst, Celent Roadmap Brief look at equity, bond and derivative markets Level of electronic trading DMA and Algorithmic trading Industry evolution

More information

Efficacy of Interest Rate Futures for Retail

Efficacy of Interest Rate Futures for Retail Efficacy of Interest Rate Futures for Retail The financial sector, corporate and even households are affected by interest rate risk. Interest rate fluctuations impact portfolios of banks, insurance companies,

More information

Monetary Policy in India

Monetary Policy in India Monetary Policy in India Deepak Mohanty Executive Director Reserve Bank of India September 16, 2013 1 I. Objective(s) An Outline II. III. IV. Policy Framework Operating Procedure Outcome V. Conclusion

More information

PRESS RELEASE. Securities issued by Hungarian residents and breakdown by holding sectors. October 2018

PRESS RELEASE. Securities issued by Hungarian residents and breakdown by holding sectors. October 2018 PRESS RELEASE 10 December 2018 Securities issued by Hungarian residents and breakdown by holding sectors October 2018 According to securities statistics, the amount outstanding of equity securities and

More information

Financial Framework in India

Financial Framework in India Financial Framework in India For Finance related courses and CSE Main Optional Paper on Finance 10x10 Learning TM 1 10x10 Learning TM 2 Laws applicable to the Financial Sector : Act = 15. Rules = 10. Regulations

More information

Interest Rate Futures Products for Indian Market. By Golaka C Nath

Interest Rate Futures Products for Indian Market. By Golaka C Nath Interest Rate Futures Products for Indian Market By Golaka C Nath Interest rate derivatives have been widely used in international markets by banks, institutions, corporate sector and common investors.

More information

The equity derivatives market: The state of the art

The equity derivatives market: The state of the art The equity derivatives market: The state of the art Susan Thomas susant@igidr.ac.in http://www.igidr.ac.in/~susant August 11, 2001 Turnover Page 1 of 19 Goals Index futures Index options Stock options

More information

Capturing Portfolio Flows Statistics Purpose for Usage Matters 1

Capturing Portfolio Flows Statistics Purpose for Usage Matters 1 Proceedings 59th ISI World Statistics Congress, 25-30 August 2013, Hong Kong (Session STS083) p.2855 Capturing Portfolio Flows Statistics Purpose for Usage Matters 1 Zeph Nhleko 2 South African Reserve

More information

Modelling the Zero Coupon Yield Curve:

Modelling the Zero Coupon Yield Curve: Modelling the Zero Coupon Yield Curve: A regression based approach February,2010 12 th Global Conference of Actuaries Srijan Sengupta Section 1: Introduction What is the zero coupon yield curve? Its importance

More information

VALUING FLOATING RATE BONDS (FRBS)

VALUING FLOATING RATE BONDS (FRBS) ARTICLE AS APPEARED IN RAKSHITRA VALUING FLOATING RATE BONDS (FRBS) A. V. Rajwade * Valuing Floating Rate Bonds (FRBs) 1. The principal features of floating rate bonds can be summarised simply: these are

More information

Solved questions on Indian capital market

Solved questions on Indian capital market Solved questions on Indian capital market 1. In private placement, issuance is done to. (2 marks) (a) more than 50 persons (b) less than 100 persons (c) less than 50 persons (d) less than 10 persons 2.

More information

PRESS RELEASE. Securities issued by Hungarian residents and breakdown by holding sectors. January 2019

PRESS RELEASE. Securities issued by Hungarian residents and breakdown by holding sectors. January 2019 7 March 2019 PRESS RELEASE Securities issued by Hungarian residents and breakdown by holding sectors January 2019 According to securities statistics, the amount outstanding of equity securities and debt

More information

GUIDELINES / CLARIFICATIONS FOR VALUATION OF INVESTMENTS

GUIDELINES / CLARIFICATIONS FOR VALUATION OF INVESTMENTS 1 ANNEXURE GUIDELINES / CLARIFICATIONS FOR VALUATION OF INVESTMENTS The market participants should ensure that the valuation of their investment portfolio is in accordance with the directions / guidelines

More information

Asset Purchase Facility. Quarterly Report 2010 Q3

Asset Purchase Facility. Quarterly Report 2010 Q3 Asset Purchase Facility Quarterly Report 21 Q3 Asset Purchase Facility The Bank of England Asset Purchase Facility Fund was established as a subsidiary of the Bank of England on 3 January 29, in order

More information

Public Debt Management

Public Debt Management Public Debt Management quarterly report JULY SEPTEMBER 2017 Government of India Ministry of finance Budget Division Department of economic affairs NOVEMBER 2017 www.finmin.nic.in I CONTENTS Section Page

More information

Efficacy of Interest Rate Futures for Corporate

Efficacy of Interest Rate Futures for Corporate Efficacy of Interest Rate Futures for Corporate The financial sector, corporate and even households are affected by interest rate risk. Interest rate fluctuations impact portfolios of banks, insurance

More information

membership in F&O segment) Clearing membership in F&O segment, CM segment and 300(Membership in WDM Trading and Clearing

membership in F&O segment) Clearing membership in F&O segment, CM segment and 300(Membership in WDM Trading and Clearing 2 8 2 Table 2-1: Eligibility Criteria for CORPORATES (Amount in ` lakh) Particulars/ Segments CM CM and F&O WDM CM and WDM CM,WDM and F&O Minimum Paid-up capital 30 30 30 30 30 Net Worth 100 100 ( in CM

More information

Debt Valuation Policy. March 2017

Debt Valuation Policy. March 2017 Debt Valuation Policy March 2017 1 History Sheet Date Particulars Approved By Signature Nov 2005 Incorporation of Policy Version 1.0 Sep 2006 Incorporation of Policy Version 2.0 Nov 2007 Incorporation

More information

7. Foreign Investments in India

7. Foreign Investments in India 81 7. 7.1 Introduction Since 1992, Foreign Institutional Investors (FIIs) have been allowed to invest in all traded securities on the primary and secondary markets, including shares, debentures and warrants

More information

ESTIMATION OF A BENCHMARK CERTIFICATE OF DEPOSIT (CD) CURVE

ESTIMATION OF A BENCHMARK CERTIFICATE OF DEPOSIT (CD) CURVE 1.1. Introduction: Certificate of Deposits are issued by Banks for raising short term finance from the market. As the banks have generally higher ratings (specifically short term rating because of availability

More information

Dear All, Re: VALUATION OF INVESTMENTS AS ON 31st MARCH 2014 REVISED

Dear All, Re: VALUATION OF INVESTMENTS AS ON 31st MARCH 2014 REVISED FIMCIR/2013-14/50 March 28, 2014 To ALL FIMMDA MEMBERS Dear All, Re: VALUATION OF INVESTMENTS AS ON 31st MARCH 2014 REVISED The guidelines applicable for valuation as on 31st March 2014 were issued vide

More information

TREASURY MANAGEMENT

TREASURY MANAGEMENT TREASURY MANAGEMENT 1. Fund management has been the primary activity of treasury, but treasury is also responsible for Risk Management & plays an active part in ALM. 2. D-mat accounts are maintained by

More information

IFLR India Awards "Team of the Year" in the Indian Investment Banks category. Primary and Secondary Issuance Process

IFLR India Awards Team of the Year in the Indian Investment Banks category. Primary and Secondary Issuance Process IFLR India Awards 2011 - "Team of the Year" in the Indian Investment Banks category Primary and Secondary Issuance Process May 2012 Table of Contents Section 1 Section 2 Capital Markets Overview Trends

More information

Table of contents. Introduction 3. Abbreviations and Terms Scope of the Handbook General Principles Management Control...

Table of contents. Introduction 3. Abbreviations and Terms Scope of the Handbook General Principles Management Control... Table of contents Introduction 3 Abbreviations and Terms..4 1. Scope of the Handbook..5 2. General Principles...7 3. Management Control...8 4. Dealing Procedures and Principles.12 5. Market Terminology

More information

FIXED INCOME UPDATE 1

FIXED INCOME UPDATE 1 1 FIXED INCOME UPDATE Abstract Rates are headed down on lower inflation Inflation is likely to hit the RBI s disinflationary path Bond yields may further fall on continuation of rate cuts Macro conditions

More information

PRESS RELEASE. Securities issued by Hungarian residents and breakdown by holding sectors. April 2016

PRESS RELEASE. Securities issued by Hungarian residents and breakdown by holding sectors. April 2016 10 June 2016 PRESS RELEASE Securities issued by Hungarian residents and breakdown by holding sectors April 2016 According to securities statistics data, the amount outstanding of equity securities and

More information

CANARA ROBECO DYNAMIC BOND FUND JULY 2018

CANARA ROBECO DYNAMIC BOND FUND JULY 2018 CANARA ROBECO DYNAMIC BOND FUND JULY 2018 Canara Robeco Dynamic Bond Fund An open ended dynamic debt scheme investing across duration This product is suitable for investors who are seeking* Income/ Capital

More information

Kotak Mahindra Mutual Fund

Kotak Mahindra Mutual Fund Kotak Mahindra Mutual Fund 36-38A, Nariman Bhavan, 227, Nariman Point, Mumbai - 400 021 KEY INFORMATION MEMORANDUM & APPLICATION FORMS CONTINUOUS OFFER: Unit of all s available at prices related to Applicable

More information

Weekly Statistical Bulletin Key Monetary and Financial Indicators

Weekly Statistical Bulletin Key Monetary and Financial Indicators 1 / CBK Statistical Bulletin Weekly Statistical Bulletin Key Monetary and Financial Indicators Central Bank of Kenya July 14, 2017 The money market was fairy tight during the week ending July 12, 2017,

More information

Axis Corporate Debt Fund. (An open ended debt scheme predominantly investing in AA+ and above rated corporate bonds)

Axis Corporate Debt Fund. (An open ended debt scheme predominantly investing in AA+ and above rated corporate bonds) Axis Corporate Debt Fund (An open ended debt scheme predominantly investing in AA+ and above rated corporate bonds) Macro economic indicators are showing signs of stability Indicator Current* Outlook Inflation

More information

PRESS RELEASE. Securities issued by Hungarian residents and breakdown by holding sectors. October 2017

PRESS RELEASE. Securities issued by Hungarian residents and breakdown by holding sectors. October 2017 11 December 2017 PRESS RELEASE Securities issued by Hungarian residents and breakdown by holding sectors October 2017 According to securities statistics, the amount outstanding of equity securities and

More information

Spheria Australian Smaller Companies Fund

Spheria Australian Smaller Companies Fund 29-Jun-18 $ 2.7686 $ 2.7603 $ 2.7520 28-Jun-18 $ 2.7764 $ 2.7681 $ 2.7598 27-Jun-18 $ 2.7804 $ 2.7721 $ 2.7638 26-Jun-18 $ 2.7857 $ 2.7774 $ 2.7690 25-Jun-18 $ 2.7931 $ 2.7848 $ 2.7764 22-Jun-18 $ 2.7771

More information

Seminar on Central Statutory Audit of Banks. Issues in Treasury Operations and Regulatory Requirements thereof. D h a n a n j a y J.

Seminar on Central Statutory Audit of Banks. Issues in Treasury Operations and Regulatory Requirements thereof. D h a n a n j a y J. Seminar on Central Statutory Audit of Banks Issues in Treasury Operations and Regulatory Requirements thereof Organi sed & Hosted by SIRC of ICAI D h a n a n j a y J. G o k h a l e P a r t n e r M / s.

More information

January 27, 2012 THE CBK WEEKLY BULLETIN

January 27, 2012 THE CBK WEEKLY BULLETIN January 27, 2012 Highlights for the Week THE CBK WEEKLY BULLETIN The money market liquidity was tight during the week ending January 25, 2012. The Central Bank mopped Ksh 0.6 billion in the repo market

More information

FIMCIR/ /60. March 17, To, ALL FIMMDA MEMBERS, VALUATION OF INVESTMENTS AS ON 31 ST MARCH 2008

FIMCIR/ /60. March 17, To, ALL FIMMDA MEMBERS, VALUATION OF INVESTMENTS AS ON 31 ST MARCH 2008 FIMCIR/2007-08/60 March 17, 2008 To, ALL FIMMDA MEMBERS, VALUATION OF INVESTMENTS AS ON 31 ST MARCH 2008 In accordance with the RBI Master Circular no. DBOD No BP.BC.15/21.04.141/2007-08 dated July 2,

More information

CBK Weekly Statistical Bulletin of Key Monetary and Financial Indicators

CBK Weekly Statistical Bulletin of Key Monetary and Financial Indicators JANUARY 13, 2017 Highlights The money market was relatively tight during the week ending January 11, 2017. The average interbank rate was stable at 7.54 percent in the week ending January 11, 2017 compared

More information

भ रत य रजवर ब क RESERVE BANK OF INDIA RBI/ /117 FMOD.MAOG.No.116/ / November 10, 2016

भ रत य रजवर ब क RESERVE BANK OF INDIA   RBI/ /117 FMOD.MAOG.No.116/ / November 10, 2016 भ रत य रजवर ब क RESERVE BANK OF INDIA www.rbi.org.in RBI/2016-17/117 FMOD.MAOG.No.116/01.01.001/2016-17 November 10, 2016 All Scheduled Commercial Banks (Excluding Regional Rural Banks), Scheduled Urban

More information

Guidelines on investments by banks in Non-SLR Debt Securities

Guidelines on investments by banks in Non-SLR Debt Securities Guidelines on investments by banks in Non-SLR Debt Securities ANNEX Coverage 1. These guidelines cover banks investments in Non-SLR debt instruments / securities issued by corporates, banks, FIs and State

More information

Figure 5.1: 6-month Yields Auction cut-off Repo rate percent Sep-03

Figure 5.1: 6-month Yields Auction cut-off Repo rate percent Sep-03 5 Money Market Third Quarterly Report for FY4 After the reversal of the December 23 upsurge in short-term rates, the market entered a period of relative stability. While it continued to expect a modest

More information

Theviewsexpresedinthesepapersandpresentationsarethoseoftheauthor(s)only,and

Theviewsexpresedinthesepapersandpresentationsarethoseoftheauthor(s)only,and Theviewsexpresedinthesepapersandpresentationsarethoseoftheauthor(s)only,and thepresenceofthem,oroflinkstothem,ontheimfwebsitedoesnotimplythattheimf,its ExecutiveBoard,oritsmanagementendorsesorsharestheviewsexpresedinthepapersor

More information

Repo Market and Market Repo Rate as a Collateralized Benchmark Rate 1

Repo Market and Market Repo Rate as a Collateralized Benchmark Rate 1 Repo Market and Market Repo Rate as a Collateralized Benchmark Rate 1 Golaka C Nath 2 1. Introduction 2. Repo Market Structure Collateralized markets have grown significantly over the years and surpassed

More information

FIMCIR/ /46. March 31, 2015 ALL FIMMDA MEMBERS. Dear All, Re: VALUATION OF INVESTMENTS AS ON 31 st MARCH 2015

FIMCIR/ /46. March 31, 2015 ALL FIMMDA MEMBERS. Dear All, Re: VALUATION OF INVESTMENTS AS ON 31 st MARCH 2015 FIMCIR/2015-16/46 March 31, 2015 To ALL FIMMDA MEMBERS Dear All, Re: VALUATION OF INVESTMENTS AS ON 31 st MARCH 2015 In accordance with the RBI Master Circular No. DBOD No BP.BC.20/21.04.141/2014-15, dated

More information

Development of Economy and Financial Markets of Kazakhstan

Development of Economy and Financial Markets of Kazakhstan Development of Economy and Financial Markets of Kazakhstan National Bank of Kazakhstan Macroeconomic development GDP, real growth, % 116 112 18 14 1 113,5 11,7 216,7223,8226,5 19,8 19,8 19,3 19,619,7 199,

More information

QUESTION 2. QUESTION 3 Which one of the following is most indicative of a flexible short-term financial policy?

QUESTION 2. QUESTION 3 Which one of the following is most indicative of a flexible short-term financial policy? QUESTION 1 Compute the cash cycle based on the following information: Average Collection Period = 47 Accounts Payable Period = 40 Average Age of Inventory = 55 QUESTION 2 Jan 41,700 July 39,182 Feb 18,921

More information

DESIGNING AN UNBIASED REFERENCE RATE 1

DESIGNING AN UNBIASED REFERENCE RATE 1 DESIGNING AN UNBIASED REFERENCE RATE 1 Golaka C Nath 2 Introduction: using polling. Companies like Thomson Reuters are globally discontinuing benchmark calculation Reference Rates are benchmarks for the

More information

Review of Registered Charites Compliance Rates with Annual Reporting Requirements 2016

Review of Registered Charites Compliance Rates with Annual Reporting Requirements 2016 Review of Registered Charites Compliance Rates with Annual Reporting Requirements 2016 October 2017 The Charities Regulator, in accordance with the provisions of section 14 of the Charities Act 2009, carried

More information

FBIL - Certificates of Deposit (FBIL - CD) Benchmark

FBIL - Certificates of Deposit (FBIL - CD) Benchmark FBIL - Certificates of Deposit (FBIL - CD) Benchmark Methodology Document 22 nd November, 2017 Version 2 FBIL Certificates of Deposit Curve (FBIL - CD) Benchmark will be computed on daily basis as per

More information

Debt Market Review: October 2018

Debt Market Review: October 2018 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Debt Market Review: October 2018 Contact: Kavita Chacko Senior Economist kavita.chacko@careratings.com 91-22-67543687 Dr. Rucha Ranadive Economist rucha.ranadive@careratings.com

More information

RBI/ /109 DBOD No BP.BC. 8 / / July 1, 2013

RBI/ /109 DBOD No BP.BC. 8 / / July 1, 2013 RBI/2012-13/109 DBOD No BP.BC. 8 /21.04.141/2013-14 July 1, 2013 All Commercial Banks (excluding Regional Rural Banks) Dear Sir, Master Circular Prudential norms for Classification, Valuation and Operation

More information

Introduction to Bond Markets

Introduction to Bond Markets Wisconsin School of Business December 10, 2014 Bonds A bond is a financial security that promises to pay a fixed (known) income stream in the future Issued by governments, state agencies (municipal bonds),

More information

CBK Weekly Statistical Bulletin of Key Monetary and Financial Indicators

CBK Weekly Statistical Bulletin of Key Monetary and Financial Indicators MARCH 17, 2017 Highlights The money market was relatively liquid during the week ending March 15, 2017, largely supported by net redemption of government securities. The average interbank rate declined

More information

Contract Specifications of Crude Oil CRUDEOIL

Contract Specifications of Crude Oil CRUDEOIL Contract Specifications of Crude Oil Annexure 1 Symbol CRUDEOIL Description Contract Listing Contract Start Day Last Trading Day Trading CRUDEOILMMMYY Contracts are available as per the Contract Launch

More information

THE CBK WEEKLY BULLETIN

THE CBK WEEKLY BULLETIN December 30, 20 THE CBK WEEKLY BULLETIN Highlights for the Week Overall 12-month inflation eased from 19.7 percent in November 20 to 18.9 percent in December 20, while annual average inflation rose from

More information

Liquidity Challenges and Solutions

Liquidity Challenges and Solutions Global Banking Symposium 2006 Liquidity Challenges and Solutions Margaret Yao TSS Liquidity & Investment Product Solutions June 7, 2006 Treasury & Securities Services A powerful global franchise: Transaction,

More information

Kotak Mahindra Mutual Fund

Kotak Mahindra Mutual Fund Kotak Mahindra Mutual Fund 36-38A, Nariman Bhavan 227, Nariman Point Mumbai - 400 021 KEY INFORMATION MEMORANDUM & APPLICATION FORMS CONTINUOUS OFFER: Unit of all s available at prices related to Applicable

More information

CAIIB Risk Management Module C TREASURY MANAGEMENT

CAIIB Risk Management Module C TREASURY MANAGEMENT CAIIB Risk Management Module C TREASURY MANAGEMENT It is necessary to understand and appreciate the three distinct roles Treasury is expected to play: a. Liquidity Management: Treasury is responsible for

More information

Actuarial Society of India

Actuarial Society of India Actuarial Society of India EXAMINATIONS June 005 CT1 Financial Mathematics Indicative Solution Question 1 a. Rate of interest over and above the rate of inflation is called real rate of interest. b. Real

More information

Key IRS Interest Rates After PPA

Key IRS Interest Rates After PPA Key IRS Interest After PPA (updated upon release of figures in IRS Notice usually by the end of the first full business week of the month) Below are Tables I, II, and III showing official interest rates

More information

Key IRS Interest Rates After PPA

Key IRS Interest Rates After PPA Key IRS Rates - After PPA - thru 2011 Page 1 of 10 Key IRS Interest Rates After PPA (updated upon release of figures in IRS Notice usually by the end of the first full business week of the month) Below

More information

Methodology of Calculation of the Benchmark Certificate of Deposit Curve

Methodology of Calculation of the Benchmark Certificate of Deposit Curve Methodology of Calculation of the Benchmark Certificate of Deposit Curve FBIL CD Curve (CDCURVE) will be computed on daily basis as per the following methodology: CDCURVE Computation Methodology 1. For

More information

September 1, Inflation

September 1, Inflation 1 / CBK Statistical Bulletin Central Bank of Kenya September 1, 2017 Overall inflation increased to 8.0 percent in August 2017 from 7.5 percent in July 2017, largely on account of increases in prices of

More information

Financial & Business Highlights For the Year Ended June 30, 2017

Financial & Business Highlights For the Year Ended June 30, 2017 Financial & Business Highlights For the Year Ended June, 17 17 16 15 14 13 12 Profit and Loss Account Operating Revenue 858 590 648 415 172 174 Investment gains net 5 162 909 825 322 516 Other 262 146

More information

STCI Primary Dealer Ltd

STCI Primary Dealer Ltd Impact of SLR cut on G-Sec appetite December 30, 2010 Meghna Patel meghna@stcipd.com 022 66202229 The financial year 2010-11 has been a year of steady transformations for the bond market. Transformations

More information

Debt Management and Sustainability: Strengthening Liability Management

Debt Management and Sustainability: Strengthening Liability Management Debt Management and Sustainability: Strengthening Liability Management Sri Lankan Perspective 27 February 2018 Colombo, Sri Lanka C J P Siriwardana Deputy Governor 2 Overview 1. Evolution of Public Debt

More information

Introduction. ISMR Derivatives Market Derivatives Market

Introduction. ISMR Derivatives Market Derivatives Market ISMR Derivatives Market 90 6. Derivatives Market Introduction The emergence and growth of the market for derivative instruments can be traced back to the willingness of riskaverse economic agents to guard

More information

Executive Summary. July 17, 2015

Executive Summary. July 17, 2015 Executive Summary July 17, 2015 The Revenue Estimating Conference adopted interest rates for use in the state budgeting process. The adopted interest rates take into consideration current benchmark rates

More information

Government Securities Management

Government Securities Management Directorate of Government Debt Securities Directorate General of Debt Management Ministry of Finance of The Republic of Indonesia Government Securities Management December 8, 2014 OUTLINE 1. Government

More information

HSBC Mutual Fund - Snapshot of Valuation Policy - Annexure A. Sr. No Type of Instrument Basis of Valuation

HSBC Mutual Fund - Snapshot of Valuation Policy - Annexure A. Sr. No Type of Instrument Basis of Valuation HSBC Mutual Fund - Snapshot of Valuation Policy - Annexure A Sr. No Type of Instrument Basis of Valuation 1 EQUITY 1.1 Listed Equity To be valued at the last quoted closing price on NSE (primary exchange

More information