Wholesale Debt Market Segment 5

Wholesale Debt Market Segment 5

60

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, 2003. 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

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 1994-95 (June-March) to Rs. 4,75,523 crore during 2005-06. The average daily trading volume increased from Rs. 30 crore to Rs. 1,755 crore during the same period. However, the financial year 2005-06 period has recorded a substantial decline compared to the financial year 2004-05. The highest recorded WDM trading volume of Rs. 13,912 crore was registered on August 25, 2003. 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 2005-06. 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 2005-06. Among the market participants, the dominance of the domestic banks reduced this year to 28.07% from 29.89% in 2004-05. 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 2004-05 to 59.78% in 2005-06. 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, 2006. 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

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 charges @ 5 paise per Rs. 1 lakh gross trade value up to Rs. 25,000 crore and @2 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, 2005. 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 2006. 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

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, 1998. 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, 2002. 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 2005-06. 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 e-mail. 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 2005-06 64

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, 2002. 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 1992. 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

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.) 1994-95 (June-March) 183 1,021 30 6,781 6.64 168 31 0.45 1995-96 304 2,991 41 11,868 3.97 1,115 207 1.74 1996-97 524 7,804 145 42,278 5.42 1,061 201 0.47 1997-98 719 16,821 385 111,263 6.61 1,390 289 0.26 1998-99 1,071 16,092 365 105,469 6.55 1,522 308 0.29 1999-00 1,057 46,987 1,035 304,216 6.47 936 218 0.07 Apr-00 207 4,978 1,709 34,183 6.87 35 8 0.02 May-00 236 4,653 1,315 32,875 7.07 20 7 0.02 Jun-00 158 2,771 698 17,445 6.30 31 10 0.06 Jul-00 176 4,275 1,089 28,311 6.62 18 6 0.02 Aug-00 175 2,682 658 16,440 6.13 112 21 0.13 Sep-00 175 3,404 857 21,419 6.29 69 13 0.06 Oct-00 203 3,910 1,137 25,019 6.40 31 11 0.04 Nov-00 222 5,519 1,451 36,285 6.57 31 8 0.02 Dec-00 217 6,092 1,593 38,222 6.27 17 6 0.02 Jan-01 221 10,095 2,554 66,400 6.58 39 14 0.02 Feb-01 225 9,080 2,873 63,212 6.96 38 12 0.02 Mar-01 243 7,011 2,032 48,771 6.96 57 15 0.03 2000-01 1,038 64,470 1,483 428,582 6.65 498 131 0.03 Apr-01 213 6,606 2,314 46,285 7.01 17 6 0.01 May-01 220 12,220 3,359 83,982 6.87 52 8 0.01 Jun-01 200 11,936 3,293 82,329 6.90 28 5 0.01 Jul-01 223 12,575 3,255 84,629 6.73 25 5 0.01 Aug-01 215 11,622 3,158 75,784 6.52 44 19 0.03 Sep-01 207 9,526 2,528 63,199 6.63 28 4 0.01 Oct-01 196 12,636 3,234 80,860 6.40 17 4 0.00 Nov-01 216 15,300 4,290 98,674 6.45 36 16 0.02 Dec-01 167 10,135 2,600 62,411 6.16 21 6 0.01 Jan-02 228 17,011 4,298 111,736 6.57 36 13 0.01 Feb-02 254 16,127 4,405 101,313 6.28 44 15 0.01 66

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-02 216 9,157 2,434 55,988 6.11 30 9 0.02 2001-02 979 144,851 3,277 947,190 6.54 378 110 0.01 Apr-02 254 12,164 3,222 77,334 6.36 32 7 0.01 May-02 206 8,662 2,130 53,246 6.15 30 10 0.02 Jun-02 237 8,875 2,179 54,477 6.14 22 7 0.01 Jul-02 230 14,996 3,619 97,725 6.52 46 16 0.02 Aug-02 232 15,483 3,855 100,226 6.47 56 16 0.02 Sep-02 251 10,439 2,845 68,269 6.54 81 21 0.03 Oct-02 265 16,587 4,246 106,142 6.40 143 41 0.04 Nov-02 260 21,052 5,509 132,222 6.28 172 35 0.03 Dec-02 245 18,807 4,891 117,383 6.24 152 36 0.03 Jan-03 253 21,335 5,175 139,718 6.55 131 32 0.02 Feb-03 229 10,728 2,912 66,974 6.24 115 24 0.04 Mar-03 276 8,650 2,391 54,986 6.36 272 55 0.10 2002-03 1,123 167,778 3,598 1,068,701 6.37 1,252 300 0.03 Apr-03 282 15,512 4,812 101,052 6.51 180 41 0.04 May-03 290 18,651 5,140 123,359 6.61 148 31 0.02 Jun-03 310 18,400 5,067 126,672 6.88 127 29 0.02 Jul-03 271 18,220 4,853 131,027 7.19 122 30 0.02 Aug-03 306 22,753 6,509 162,737 7.15 127 26 0.02 Sep-03 334 17,152 4,815 125,199 7.30 115 25 0.02 Oct-03 275 20,465 5,975 143,404 7.01 81 27 0.02 Nov-03 233 11,737 3,518 80,903 6.89 89 28 0.03 Dec-03 247 12,529 3,227 83,906 6.70 57 14 0.02 Jan-04 280 11,407 2,982 77,533 6.80 123 34 0.04 Feb-04 241 8,675 2,795 61,499 7.09 79 21 0.03 Mar-04 372 14,017 3,952 98,806 7.05 152 27 0.03 2003-04 1,078 189,518 4,477 1,316,096 6.94 1,400 332 0.03 67

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-04 285 19,075 6,067 133,478 7.00 33 11 0.01 May-04 275 13,097 3,806 91,340 6.97 27 8 0.01 Jun-04 347 11,382 3,171 82,453 7.24 56 18 0.02 Jul-04 302 9,303 2,445 66,012 7.10 55 17 0.03 Aug-04 243 9,241 2,552 63,806 6.90 68 21 0.03 Sep-04 288 12,659 3,508 87,695 6.93 103 37 0.04 Oct-04 291 8,437 2,425 55,770 6.61 79 37 0.07 Nov-04 329 5,767 1,980 45,541 7.90 134 44 0.10 Dec-04 333 10,321 2,792 72,593 7.03 154 41 0.06 Jan-05 273 8,384 2,550 61,205 7.30 131 45 0.07 Feb-05 251 10,156 3,066 73,588 7.25 133 43 0.06 Mar-05 303 6,486 2,242 53,812 8.30 305 90 0.17 2004-05 1,151 124,308 3,028 887,294 7.14 1,278 410 0.05 Apr-05 204 6,079 2,483 54,616 8.98 98 37 0.07 May-05 256 9,376 2,805 70,113 7.48 120 44 0.06 Jun-05 268 14,213 3,696 96,108 6.76 108 27 0.03 Jul-05 185 8,042 2,092 52,309 6.50 52 13 0.02 Aug-05 274 5,361 1,789 44,717 8.34 108 36 0.08 Sep-05 258 4,127 1,278 31,960 7.74 68 24 0.08 Oct-05 192 2,987 1,209 25,387 8.50 57 22 0.09 Nov-05 186 2,822 1,218 24,360 8.63 46 20 0.08 Dec-05 222 2,505 944 20,771 8.29 60 27 0.13 Jan-06 180 2,572 1,080 21,607 8.40 54 17 0.08 Feb-06 145 2,075 868 16,485 7.94 39 17 0.10 Mar-06 224 1,732 814 17,089 9.87 82 26 0.15 2005-06 897 61891 1755 475523 7.68 892 310 0.07 68

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 1 2 3 4 5 6 7 8 9 10 1994-95 (June-March) 2,947 79 2,634 5,660 0 0 0 5,660 -- 1995-96 6,813 176 2,255 9,243 739 5 744 9,988 -- 1996-97 26,891 298 10,912 38,101 162 45 207 38,308 -- 1997-98 79,564 931 17,021 97,515 4,225 1,845 6,070 103,585 -- 1998-99 78,973 860 10,586 90,419 4,741 120 4,861 95,280 -- 1999-00 278,866 2,082 10,644 291,592 1,933 363 2,296 293,888 -- Apr-00 31,538 99 1,496 33,133 30 0 30 33,163 -- May-00 30,245 93 1,073 31,411 25 0 25 31,436 -- Jun-00 15,763 9 718 16,490 65 0 65 16,555 -- Jul-00 26,119 121 1,043 27,283 125 0 125 27,408 -- Aug-00 13,590 253 1,316 15,159 470 0 470 15,629 -- Sep-00 17,410 23 2,742 20,175 135 0 135 20,310 -- Oct-00 20,690 22 2,863 23,575 115 0 115 23,690 -- Nov-00 32,496 162 2,023 34,681 50 0 50 34,731 -- Dec-00 34,596 227 2,058 36,881 75 0 75 36,956 -- Jan-01 62,246 161 2,156 64,563 145 0 145 64,708 -- Feb-01 59,273 38 2,716 62,027 50 0 50 62,077 -- Mar-01 44,132 48 2,938 47,118 315 0 315 47,433 -- 2000-01 388,098 1,256 23,142 412,496 1,600 0 1,600 414,096 -- Apr-01 42,110 292 2,888 45,290 -- -- -- 45,290 -- May-01 79,516 133 2,594 82,243 -- -- -- 82,243 -- Jun-01 78,794 55 2,344 81,193 -- -- -- 81,193 -- Jul-01 79,945 121 2,834 82,900 216 0 216 83,116 -- Aug-01 72,543 68 1,546 74,157 131 0 131 74,288 -- Sep-01 59,704 100 2,137 61,941 0 0 0 61,941 -- Oct-01 77,611 160 1,656 79,427 25 50 75 79,502 -- Nov-01 94,348 109 2,651 97,108 37 10 47 97,155 -- Dec-01 59,854 23 1,615 61,492 50 0 50 61,542 -- Jan-02 106,148 114 3,164 109,426 10 0 10 109,436 -- Feb-02 96,712 124 1,191 98,027 0 0 0 98,027 -- 69

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 1 2 3 4 5 6 7 8 9 10 Mar-02 52,816 113 863 53,792 79 0 79 53,871 -- 2001-02 900,101 1,412 25,483 926,996 548 60 608 927,604 -- Apr-02 72,359 308 1,597 74,264 195 28 223 74,487 72.75 May-02 47,694 177 2,553 50,424 255 0 255 50,679 71.13 Jun-02 49,123 134 1,699 50,956 215 30 245 51,201 80.90 Jul-02 91,317 61 2,460 93,838 43 0 43 93,881 74.94 Aug-02 93,594 129 2,933 96,656 134 109 243 96,899 74.51 Sep-02 63,979 594 1,350 65,923 75 159 234 66,157 72.91 Oct-02 100,032 234 2,537 102,803 25 144 169 102,972 78.01 Nov-02 126,158 328 2,660 129,146 150 17 167 129,313 73.38 Dec-02 111,536 148 2,449 114,133 134 44 178 114,311 73.44 Jan-03 130,558 101 4,570 135,229 100 150 250 135,479 70.79 Feb-03 61,641 89 2,987 64,717 0 0 0 64,717 82.48 Mar-03 48,593 265 3,605 52,463 65 205 270 52,733 66.96 2002-03 996,584 2,568 31,400 1,030,552 1,391 886 2,277 1,032,829 74.01 Apr-03 91,857 91 5,001 96,949 23 0 23 96,972 76.14 May-03 114,924 249 3,790 118,963 0 0 0 118,963 74.56 Jun-03 120,554 732 2,883 124,169 67 50 117 124,286 76.90 Jul-03 123,426 352 4,182 127,960 20 10 30 127,990 76.87 Aug-03 153,121 713 4,236 158,070 0 0 0 158,070 72.23 Sep-03 113,766 554 6,470 120,790 13 0 13 120,803 80.65 Oct-03 132,676 318 5,619 138,613 0 0 0 138,613 72.33 Nov-03 73,805 322 4,631 78,758 0 0 0 78,758 79.02 Dec-03 76,346 268 4,480 81,094 0 0 0 81,094 77.23 Jan-04 69,909 422 4,639 74,970 0 0 0 74,970 75.67 Feb-04 55,619 277 3,945 59,841 0 0 0 59,841 72.56 Mar-04 87,836 385 5,721 93,942 0 0 0 93,942 67.05 2003-04 1,213,839 4,683 55,597 1,274,119 123 60 183 1,274,302 74.89 Apr-04 123,050 338 5,340 128,728 27 15 42 128,770 70.90 May-04 79,292 759 8,085 88,137 28 31 59 88,196 70.40 70

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 1 2 3 4 5 6 7 8 9 10 Jun-04 68,629 1,282 8,766 78,678 23 0 23 78,700 62.77 Jul-04 53,035 864 9,034 62,934 45 25 70 63,003 69.07 Aug-04 54,514 206 6,330 61,049 21 77 98 61,147 66.40 Sep-04 73,815 639 9,923 84,377 0 0 0 84,377 69.50 Oct-04 44,692 1,454 7,593 53,740 0 0 0 53,740 65.55 Nov-04 31,034 909 11,665 43,608 0 0 0 43,608 64.37 Dec-04 55,894 1,033 12,162 69,090 0 0 0 69,090 65.51 Jan-05 44,323 844 13,146 58,313 0 0 0 58,313 67.42 Feb-05 54,136 310 15,727 70,173 0 0 0 70,173 69.70 Mar-05 33,298 315 16,888 50,500 0 0 0 50,500 61.62 2004-05 715,711 8,954 124,660 849,325 144 147 292 849,617 67.36 Apr-05 30,569 27 21,748 52,343 0 0 0 52,343 58.83 May-05 50,410 916 15,921 67,248 0 0 0 67,248 67.72 Jun-05 85,381 1,178 6,208 92,767 0 0 0 92,767 71.47 Jul-05 45,085 282 4,469 49,836 0 0 0 49,836 68.14 Aug-05 25,958 898 14,733 41,590 0 0 0 41,590 61.31 Sep-05 21,037 1,173 6,923 29,133 0 0 0 29,133 58.96 Oct-05 14,424 771 8,474 23,668 0 0 0 23,668 60.89 Nov-05 15,860 725 6,844 23,429 0 0 0 23,429 60.25 Dec-05 12,791 582 5,998 19,371 0 0 0 19,371 56.91 Jan-06 13,902 289 5,808 19,999 0 0 0 19,999 62.08 Feb-06 12,216 232 3,262 15,711 0 0 0 15,711 58.64 Mar-06 10,556 321 4,830 15,707 0 0 0 15,707 54.64 2005-06 338,190 7,393 105,218 450,802 0 0 0 450,802 63.67 71

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) 1994-95 (June-March) 44.63 38.84 12.15 4.38 57.82 6.43 0.02 14.16 21.57 1995-96 65.13 19.04 9.69 6.14 23.48 7.60 1.16 30.07 37.69 1996-97 64.70 25.92 6.55 2.84 22.95 3.81 6.10 30.01 37.13 1997-98 76.14 16.96 3.64 3.26 19.75 4.30 12.06 41.24 22.65 1998-99 80.19 10.15 4.78 4.88 15.48 4.93 14.64 42.12 22.83 1999-00 92.99 3.62 1.60 1.79 18.63 4.18 19.42 42.72 15.05 Apr-00 92.64 4.38 1.23 1.75 20.25 3.82 23.14 38.68 14.11 May-00 92.36 3.27 2.02 2.35 22.21 4.41 22.41 35.84 15.13 Jun-00 90.78 4.12 3.06 2.04 24.90 5.23 22.28 29.94 17.65 Jul-00 93.13 3.68 1.12 2.07 23.38 4.73 21.23 31.71 18.95 Aug-00 87.06 8.01 2.85 2.08 23.85 4.35 22.27 26.96 22.57 Sep-00 82.02 12.80 2.72 2.46 24.68 3.66 22.32 25.52 23.82 Oct-00 83.24 11.44 2.80 2.52 22.33 4.60 24.04 27.96 21.07 Nov-00 90.14 5.57 2.66 1.63 22.94 3.62 23.79 33.98 15.67 Dec-00 91.30 5.39 2.00 1.31 23.68 3.14 21.69 38.03 13.46 Jan-01 94.20 3.25 1.27 1.28 24.66 4.99 21.55 33.08 15.72 Feb-01 93.91 4.30 1.26 0.53 23.54 4.36 22.56 34.15 15.39 Mar-01 91.23 6.02 1.73 1.02 22.51 3.40 20.04 35.35 18.70 2000-01 91.22 5.40 1.84 1.54 23.24 4.18 22.14 33.54 16.90 Apr-01 91.61 6.24 1.43 0.72 18.82 3.01 25.17 36.81 16.19 May-01 94.84 3.09 1.36 0.71 19.55 3.99 25.28 38.40 12.78 Jun-01 95.77 2.85 0.88 0.50 19.92 3.58 22.88 41.31 12.31 Jul-01 94.86 3.35 1.14 0.65 20.51 4.78 20.60 41.66 12.45 Aug-01 95.99 2.04 1.19 0.78 21.71 3.53 24.49 39.05 11.22 Sep-01 94.63 3.38 1.31 0.68 25.33 4.17 24.19 31.78 14.53 Oct-01 96.21 2.11 1.03 0.65 26.98 4.19 23.74 34.58 10.51 Nov-01 95.76 2.70 0.67 0.87 25.96 3.97 24.49 34.66 10.92 Dec-01 96.02 2.59 0.83 0.56 26.51 4.65 23.11 33.89 11.84 Jan-02 95.11 2.83 0.88 1.18 25.43 4.46 19.19 36.09 14.83 Feb-02 95.58 1.18 1.59 1.65 25.16 4.53 19.78 34.26 16.27 72

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-02 94.68 1.54 2.03 1.75 24.23 4.61 19.43 35.84 15.89 2001-02 95.24 2.70 1.16 0.91 23.52 4.16 22.50 36.60 13.22 Apr-02 94.22 2.10 1.97 1.71 25.45 5.11 22.33 34.45 12.66 May-02 90.38 4.79 1.89 2.94 24.42 2.71 22.08 33.70 17.09 Jun-02 90.81 3.17 1.91 4.11 22.59 3.05 19.17 39.29 15.90 Jul-02 93.55 2.52 1.58 2.35 22.64 2.83 22.19 40.27 12.07 Aug-02 93.65 3.03 2.23 1.09 22.44 3.60 21.83 41.67 10.46 Sep-02 94.70 2.21 1.76 1.33 22.46 4.27 24.02 39.06 10.19 Oct-02 94.49 2.53 1.64 1.34 24.52 4.18 23.92 39.11 8.27 Nov-02 95.78 2.02 1.24 0.96 23.73 3.53 21.01 44.01 7.72 Dec-02 95.26 2.12 1.58 1.04 24.70 3.88 24.78 41.31 5.33 Jan-03 93.59 3.38 2.17 0.86 26.37 3.67 22.96 39.02 7.98 Feb-03 92.17 4.46 2.42 0.95 28.87 4.82 17.75 31.83 16.73 Mar-03 88.97 6.93 2.75 1.35 32.12 3.49 17.67 30.13 16.59 2003-03 93.62 3.02 1.87 1.49 24.81 3.77 22.03 38.77 10.62 Apr-03 91.01 4.95 2.67 1.37 32.55 3.40 18.65 35.91 9.49 May-03 93.36 3.07 2.09 1.48 32.28 3.83 18.74 36.89 8.26 Jun-03 95.80 2.32 1.11 0.77 33.59 3.58 19.03 37.08 6.72 Jul-03 94.48 3.20 1.67 0.65 33.15 5.10 17.77 37.37 6.61 Aug-03 94.53 2.60 2.15 0.72 33.34 4.97 16.34 39.09 6.26 Sep-03 91.32 5.17 2.56 0.95 36.13 5.33 15.32 37.01 6.21 Oct-03 92.74 3.92 2.40 0.94 35.78 5.81 16.38 35.86 6.17 Nov-03 91.62 5.72 1.68 0.98 40.68 5.16 14.61 33.90 5.65 Dec-03 91.31 5.34 2.24 1.11 35.49 4.25 16.00 37.65 6.61 Jan-04 90.71 5.98 1.66 1.65 35.78 4.47 17.38 34.85 7.52 Feb-04 90.89 6.42 1.78 0.91 36.32 3.93 17.28 32.54 9.93 Mar-04 89.29 5.79 2.48 2.44 36.21 3.96 16.30 33.82 9.71 2003-04 92.60 4.23 2.06 1.11 34.80 4.56 17.03 36.36 7.25 Apr-04 92.46 4.01 1.72 1.81 33.75 5.69 18.92 35.71 5.93 73

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-04 87.67 8.89 1.89 1.55 32.90 5.24 17.88 35.57 8.41 Jun-04 84.82 10.63 2.55 2.00 30.78 6.03 19.60 33.96 9.63 Jul-04 81.72 13.72 2.07 2.49 33.33 7.03 19.15 28.88 11.61 Aug-04 85.79 10.04 2.15 2.02 32.27 6.04 20.60 25.23 15.86 Sep-04 84.90 11.32 1.54 2.24 33.97 4.99 21.49 25.79 13.76 Oct-04 82.74 13.61 1.58 2.07 34.17 4.54 18.64 27.08 15.57 Nov-04 70.14 25.61 1.96 2.29 36.30 4.28 16.73 23.30 19.39 Dec-04 78.42 16.75 1.88 2.95 39.94 3.33 18.10 23.94 14.69 Jan-05 73.80 21.48 2.15 2.57 34.07 4.04 16.80 26.64 18.45 Feb-05 73.99 21.37 2.51 2.13 34.26 4.66 15.27 29.74 16.07 Mar-05 62.46 31.38 2.42 3.74 33.15 4.73 16.91 33.49 11.72 2004-05 81.69 14.07 2.01 2.23 33.96 5.14 18.50 29.89 12.51 Apr-05 56.02 39.82 1.87 2.29 31.34 4.28 17.15 31.77 15.46 May-05 73.20 22.71 1.42 2.67 31.72 4.29 23.11 28.21 12.67 Jun-05 90.06 6.46 1.86 1.62 30.05 3.72 22.71 29.07 14.45 Jul-05 86.73 8.54 2.31 2.42 30.93 2.43 26.42 25.71 14.51 Aug-05 60.06 32.95 3.40 3.59 34.44 3.81 19.56 27.82 14.37 Sep-05 69.49 21.66 4.51 4.34 35.57 5.83 18.74 31.77 8.09 Oct-05 59.85 33.38 4.21 2.56 35.34 2.66 21.77 27.15 13.08 Nov-05 68.08 28.10 2.33 1.49 29.18 4.99 21.29 29.98 14.56 Dec-05 64.38 28.88 3.31 3.43 34.37 4.4 18.84 30.9 11.49 Jan-06 65.68 26.88 3.38 4.06 29.92 3.32 24.79 22.11 19.86 Feb-06 75.51 19.79 1.13 3.57 31.84 3.71 26.57 21.17 16.71 Mar-06 63.65 28.27 5.56 2.52 35.76 4.16 22.1 20.47 17.51 2005-06 72.67 22.13 2.56 2.64 32.01 3.92 21.89 28.07 14.11 74

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 1994-95 42.84 61.05 80.46 89.81 97.16 1995-96 57.59 69.46 79.60 86.58 93.24 1996-97 32.93 48.02 65.65 78.32 90.17 1997-98 30.65 46.92 71.25 85.00 92.15 1998-99 26.81 41.89 64.30 78.24 86.66 1999-00 37.11 55.57 82.12 90.73 95.28 2000-01 42.20 58.30 80.73 89.97 95.13 2001-02 51.61 68.50 88.73 94.32 97.19 2002-03 43.10 65.15 86.91 92.74 96.13 2003-04 37.06 54.43 81.58 90.66 95.14 2004-05 43.70 57.51 71.72 80.59 89.55 2005-06 47.42 59.78 72.02 81.04 89.36 Trading Members 1994-95 51.99 73.05 95.37 100.00-1995-96 44.36 68.58 96.10 100.00-1996-97 30.02 51.27 91.57 99.96 100.00 1997-98 27.17 47.85 83.38 99.82 100.00 1998-99 29.87 50.45 86.55 99.98 100.00 1999-00 32.38 53.41 84.46 100.00-2000-01 35.17 54.25 86.82 100.00-2001-02 35.18 58.68 88.36 100.00-2002-03 31.77 53.71 85.49 100.00-2003-04 30.72 53.01 86.71 100.00-2004-05 35.75 56.84 86.74 100.00-2005-06 39.68 60.63 89.38 100.00 - Participants 1994-95 18.37 27.38 38.40 42.20-1995-96 29.66 47.15 70.49 76.32 76.58 1996-97 25.27 44.92 67.00 76.33 77.10 1997-98 23.60 38.96 65.59 77.96 80.22 1998-99 22.47 37.39 62.79 79.27 84.51 1999-00 15.54 27.87 52.51 74.76 81.32 2000-01 17.51 28.85 50.64 69.72 76.78 2001-02 17.49 29.25 50.19 69.16 76.49 2002-03 17.27 28.29 49.22 68.14 75.20 2003-04 16.66 25.96 44.25 59.87 65.17 2004-05 16.82 28.64 47.24 61.71 66.00 2005-06 17.5 30.53 53.61 65.84 67.97 75

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 20,052 121,518 49.97 16.82 1.51 15.20 16.50 Mar-95 86,175 25,675 5,867 17,129 23,334 158,181 54.48 16.23 3.71 10.83 14.75 Mar-96 125,492 30,074 13,850 8,452 29,915 207,783 60.40 14.47 6.67 4.07 14.40 Mar-97 169,830 36,211 18,891 13,460 54,380 292,772 58.01 12.37 6.45 4.60 18.57 Mar-98 196,290 35,323 23,989 17,497 70,091 343,191 57.20 10.29 6.99 5.10 20.42 Mar-99 260,002 34,994 30,516 11,292 74,666 411,470 63.19 8.50 7.42 2.74 18.15 Mar-00 319,865 39,357 39,477 15,345 79,989 494,033 64.75 7.97 7.99 3.11 16.19 Apr-00 334,429 39,153 40,111 15,249 81,409 510,351 65.53 7.67 7.86 2.99 15.95 May-00 345,393 38,591 40,411 15,562 81,935 521,892 66.18 7.39 7.74 2.98 15.70 Jun-00 349,027 38,815 41,203 15,641 81,690 526,376 66.31 7.37 7.83 2.97 15.52 Jul-00 350,380 39,729 41,261 15,661 82,061 529,092 66.22 7.51 7.80 2.96 15.51 Aug-00 349,544 38,975 42,241 15,681 83,586 530,027 65.95 7.35 7.97 2.96 15.77 Sep-00 346,284 38,499 42,411 15,710 83,777 526,681 65.75 7.31 8.05 2.98 15.91 Oct-00 351,570 39,229 43,488 15,845 84,198 534,330 65.80 7.34 8.14 2.97 15.76 Nov-00 369,594 39,084 43,519 15,785 84,997 552,979 66.84 7.07 7.87 2.85 15.37 Dec-00 378,668 39,198 43,806 16,351 85,149 563,172 67.24 6.96 7.78 2.90 15.12 Jan-01 390,132 38,168 44,093 16,991 84,494 573,878 67.98 6.65 7.68 2.96 14.72 Feb-01 397,605 37,517 44,550 17,306 84,737 581,715 68.35 6.45 7.66 2.97 14.57 Mar-01 397,228 36,365 44,624 17,725 84,894 580,836 68.39 6.26 7.68 3.05 14.62 Apr-01 424,161 36,199 45,095 18,667 85,251 609,373 69.61 5.94 7.40 3.06 13.99 May-01 438,203 36,315 46,940 18,538 85,374 625,370 70.07 5.81 7.51 2.96 13.65 Jun-01 442,290 38,865 47,302 21,056 84,917 634,430 69.71 6.13 7.46 3.32 13.38 Jul-01 461,383 39,442 47,810 22,272 83,273 654,181 70.53 6.03 7.31 3.40 12.73 Aug-01 470,148 42,719 50,711 23,041 82,835 669,455 70.23 6.38 7.57 3.44 12.37 Sep-01 474,779 42,781 50,217 23,347 87,037 678,161 70.01 6.31 7.40 3.44 12.83 Oct-01 490,781 42,343 52,367 23,652 87,776 696,920 70.42 6.08 7.51 3.39 12.59 Nov-01 512,702 43,260 53,829 23,586 87,856 721,234 71.09 6.00 7.46 3.27 12.18 Dec-01 514,171 41,823 54,771 24,266 87,467 722,497 71.17 5.79 7.58 3.36 12.11 Jan-02 529,896 41,566 57,955 24,004 88,087 741,508 71.46 5.61 7.82 3.24 11.88 Feb-02 541,401 41,130 59,675 24,366 89,520 756,092 71.61 5.44 7.89 3.22 11.84 Mar-02 542,601 39,944 61,385 23,849 89,016 756,794 71.70 5.28 8.11 3.15 11.76 Apr-02 555,394 40,716 63,106 24,218 89,079 772,513 71.89 5.27 8.17 3.13 11.54 76

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-02 554,137 40,333 64,065 24,745 89,410 772,690 71.72 5.22 8.29 3.20 11.57 Jun-02 562,242 39,759 66,649 25,188 89,098 782,936 71.81 5.08 8.51 3.22 11.38 Jul-02 586,790 39,643 66,718 26,065 87,604 806,821 72.73 4.91 8.27 3.23 10.86 Aug-02 601,410 39,872 66,424 26,580 86,493 820,779 73.27 4.86 8.09 3.24 10.54 Sep-02 602,201 40,003 67,074 27,101 86,264 822,643 73.20 4.86 8.15 3.29 10.50 Oct-02 617,840 40,127 68,589 27,797 86,276 840,629 73.50 4.77 8.16 3.31 10.26 Nov-02 636,392 39,902 69,500 28,377 65,280 839,451 75.81 4.75 8.28 3.38 7.78 Dec-02 655,148 39,431 70,368 30,852 65,058 860,857 76.10 4.58 8.17 3.58 7.57 Jan-03 662,766 39,588 70,932 34,934 65,210 873,430 75.88 4.53 8.12 4.00 7.47 Feb-03 659,078 38,404 71,115 36,156 63,226 867,979 75.93 4.42 8.19 4.17 7.29 Mar-03 658,002 38,383 72,094 34,919 61,084 864,481 76.12 4.44 8.34 4.04 7.06 Apr-03 684,912 39,661 72,295 32,880 62,163 891,912 76.79 4.45 8.11 3.69 6.96 May-03 710,420 42,015 70,214 32,147 62,110 916,905 77.48 4.58 7.66 3.51 6.77 Jun-03 743,561 42,165 71,846 32,809 63,514 953,895 77.95 4.42 7.53 3.44 6.66 Jul-03 783,875 42,478 71,950 32,515 63,859 994,677 78.81 4.27 7.23 3.27 6.42 Aug-03 798,850 44,945 74,674 36,520 65,140 1,020,129 78.31 4.41 7.32 3.58 6.38 Sep-03 807,001 44,439 76,353 40,255 61,990 1,030,038 78.35 4.31 7.41 3.91 6.02 Oct-03 956,295 44,544 77,037 40,703 61,092 1,179,671 81.06 3.78 6.53 3.45 5.18 Nov-03 954,259 44,486 77,154 36,507 60,223 1,172,629 81.38 3.79 6.58 3.11 5.14 Dec-03 959,903 46,436 77,292 32,639 62,656 1,178,926 81.42 3.94 6.56 2.77 5.31 Jan-04 967,351 46,121 78,305 32,232 68,060 1,192,070 81.15 3.87 6.57 2.70 5.71 Feb-04 968,155 49,224 79,036 32,229 71,507 1,200,151 80.67 4.10 6.59 2.69 5.95 Mar-04 959,302 56,832 79,340 32,692 87,698 1,215,864 78.90 4.67 6.53 2.69 7.21 Apr-04 972,543 54,001 76,391 40,556 68,703 1,212,194 80.23 4.45 6.30 3.35 5.67 May-04 969,036 61,591 77,105 48,825 71,634 1,228,191 78.90 5.01 6.28 3.98 5.83 Jun-04 990,244 66,080 77,589 56,155 79,209 1,269,276 78.02 5.21 6.11 4.42 6.24 Jul-04 985,695 67,400 179,858 59,462 80,684 1,373,099 71.79 4.91 13.10 4.33 5.87 Aug-04 975,712 67,763 185,864 59,894 81,510 1,370,744 71.18 4.94 13.56 4.37 5.95 Sep-04 997,163 67,606 185,359 60,608 83,292 1,394,027 71.53 4.85 13.30 4.35 5.97 Oct-04 987,454 68,546 183,771 63,755 84,207 1,387,733 71.16 4.94 13.24 4.59 6.07 Nov-04 981,238 67,667 183,462 60,897 83,464 1,376,727 71.27 4.92 13.33 4.42 6.06 77

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-04 996,341 67,940 214,519 62,083 86,623 1,427,506 69.80 4.76 15.03 4.35 6.06 Jan-05 1,002,006 67,813 214,898 63,679 86,240 1,434,635 69.84 4.73 14.98 4.44 6.01 Feb-05 1,010,936 67,255 223,395 69,660 89,493 1,460,739 69.21 4.60 15.29 4.77 6.13 Mar-05 1,006,107 68,398 223,208 73,502 90,519 1,461,734 68.83 4.68 15.27 5.03 6.19 Apr-05 1,003,339 67,934 223,513 78,624 90,983 1,464,393 68.52 4.64 15.26 5.37 6.21 May-05 1,010,569 72,388 216,585 82,378 90,512 1,472,432 68.63 4.92 14.71 5.59 6.15 Jun-05 1,014,558 74,699 224,475 90,679 90,814 1,495,225 67.85 5.00 15.01 6.06 6.08 Jul-05 1,025,814 75,701 224,402 84,249 93,657 1,503,823 68.21 5.03 14.92 5.60 6.24 Aug-05 1,036,004 76,248 224,717 87,372 93,559 1,517,900 68.25 5.02 14.80 5.76 6.17 Sep-05 1,020,612 76,190 233,134 102,280 94,862 1,527,078 66.83 4.99 15.27 6.70 6.21 Oct-05 1,020,975 78,117 233,038 103,352 94,755 1,530,237 66.72 5.10 15.23 6.75 6.20 Nov-05 1,044,287 78,182 235,991 98,400 97,444 1,554,304 67.19 5.03 15.18 6.33 6.27 Dec-05 1,051,521 78,721 236,282 81,843 100,981 1,549,348 67.87 5.08 15.25 5.28 6.52 Jan-06 1,058,461 84,207 236,843 72,107 103,561 1,555,179 68.06 5.41 15.23 4.64 6.66 Feb-06 1,058,681 83,573 240,427 67,257 103,510 1,553,448 68.15 5.38 15.48 4.33 6.66 Mar-06 1,059,789 88,716 241,927 70,186 106,956 1,567,574 67.61 5.66 15.43 4.48 6.82 78

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 11.30 a.m.** AT 11.30 a.m.*** AT 11.30 a.m.*** MIBID MIBOR MIBID MIBOR MIBID MIBOR MIBID MIBOR 29-Jun-98 6.81 7.12 - - - - - - 31-Jul-98 3.25 4.18 - - - - - - 31-Aug-98 8.59 8.88 - - - - - - 30-Sep-98 8.18 8.38 - - - - - - 30-Oct-98 8.63 8.81 - - - - - - 30-Nov-98 8.00 8.06 8.44 9.06 - - - - 31-Dec-98 - - 8.87 9.45 9.45 10.24 10.43 11.28 30-Jan-99 8.33 8.51 8.80 9.34 9.32 10.04 10.40 11.08 27-Feb-99 9.12 9.27 9.23 9.82 9.87 10.46 10.94 11.45 31-Mar-99 10.87 12.97 9.09 10.06 9.44 10.35 10.30 11.20 29-Apr-99 8.25 8.45 8.25 9.01 8.93 9.72 9.83 10.63 31-May-99 8.04 8.19 8.44 8.93 9.01 9.78 9.80 10.72 30-Jun-99 - - 8.48 9.11 9.11 9.84 9.89 10.68 31-Jul-99 8.18 8.31 8.36 8.86 8.79 9.37 9.36 10.09 31-Aug-99 9.93 10.09 9.24 9.83 9.46 10.11 9.86 10.57 30-Sep-99 - - 9.11 9.64 9.57 10.20 10.06 10.70 30-Oct-99 8.10 8.26 8.82 9.62 9.45 10.17 10.31 11.08 30-Nov-99 7.95 8.04 8.40 9.02 9.08 9.75 10.05 10.70 31-Dec-99 7.07 7.57 8.61 9.27 9.12 9.89 9.76 10.53 31-Jan-00 8.09 8.19 8.33 8.85 8.78 9.32 9.60 10.31 29-Feb-00 8.99 9.10 8.76 9.66 8.98 9.80 9.38 10.24 31-Mar-00 14.10 16.52 9.98 10.93 9.90 10.82 9.96 10.96 29-Apr-00 6.96 7.06 7.35 8.11 8.03 8.68 8.78 9.47 31-May-00 6.92 7.02 7.76 8.66 8.25 9.12 8.92 9.64 30-Jun-00 - - 9.80 11.25 9.71 10.92 9.78 11.13 31-Jul-00 8.20 8.33 9.14 10.11 9.62 10.49 10.28 11.11 31-Aug-00 13.94 14.31 13.02 14.33 12.54 13.61 11.58 12.67 30-Sep-00 10.10 10.28 10.29 11.23 10.55 11.49 10.75 11.76 31-Oct-00 8.10 8.26 8.77 9.48 9.34 10.16 9.89 10.73 30-Nov-00 7.98 8.06 8.68 9.33 9.12 9.82 9.73 10.54 29-Dec-00 8.24 8.46 9.21 9.96 9.49 10.20 9.85 10.64 31-Jan-01 9.66 9.85 9.41 10.05 9.63 10.28 10.00 10.57 28-Feb-01 7.71 7.84 8.11 8.80 8.67 9.38 9.40 10.10 31-Mar-01 10.22 12.18 9.03 9.89 9.08 9.86 9.26 10.25 30-Apr-01 7.25 7.39 7.55 8.33 8.15 8.83 8.83 9.54 31-May-01 6.79 6.95 7.40 8.04 7.89 8.57 8.41 9.08 29-Jun-01 7.20 7.34 7.25 7.85 7.69 8.41 8.16 8.87 31-Jul-01 6.91 7.04 7.29 7.88 7.58 8.17 7.99 8.66 31-Aug-01 6.92 7.03 7.01 7.40 7.34 7.82 7.82 8.32 28-Sep-01 7.77 8.21 7.52 8.14 8.07 8.70 8.33 8.98 31-Oct-01 8.47 8.77 7.15 7.72 7.39 8.03 7.61 8.37 29-Nov-01 6.42 6.59 6.74 7.23 7.26 7.80 7.77 8.32 31-Dec-01 7.80 8.11 7.42 8.04 7.63 8.26 7.88 8.57 31-Jan-02 6.51 6.64 6.89 7.40 7.15 7.73 7.73 8.41 28-Feb-02 6.94 7.16 6.84 7.33 7.23 7.78 7.79 8.37 30-Mar-02 7.44 11.09 7.41 8.06 7.39 8.05 7.63 8.29 30-Apr-02 6.45 6.61 6.58 7.13 7.01 7.63 7.53 8.19 31-May-02 6.01 6.16 6.64 7.29 7.17 7.79 7.48 8.24 28-Jun-02 4.99 5.35 6.04 6.56 6.35 6.98 6.80 7.50 31-Jul-02 5.65 5.75 5.80 6.16 6.01 6.42 6.35 6.84 79

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 11.30 a.m.** AT 11.30 a.m.*** AT 11.30 a.m.*** MIBID MIBOR MIBID MIBOR MIBID MIBOR MIBID MIBOR 31-Aug-02 5.67 5.75 5.73 6.02 5.98 6.34 6.37 6.81 28-Sep-02 5.70 5.77 5.73 6.07 5.91 6.32 6.28 6.81 31-Oct-02 5.45 5.53 5.50 5.71 5.65 5.87 5.85 6.23 30-Nov-02 5.21 5.39 5.45 5.65 5.59 5.82 5.77 6.10 31-Dec-02 5.59 5.71 5.50 5.69 5.60 5.90 5.80 6.21 31-Jan-03 6.02 6.20 5.60 5.97 5.67 6.04 5.82 6.30 28-Feb-03 6.29 6.52 5.62 5.92 5.66 6.13 5.73 6.27 31-Mar-03 6.69 7.13 5.66 6.30 5.83 6.37 5.73 6.36 30-Apr-03 4.61 4.88 5.00 5.32 5.18 5.51 5.33 5.76 31-May-03 4.78 4.96 4.93 5.26 5.03 5.36 5.19 5.60 30-Jun-03 4.76 4.99 4.91 5.14 4.96 5.30 5.14 5.52 31-Jul-03 4.83 5.00 4.97 5.13 5.01 5.23 5.06 5.39 31-Aug-03 4.37 4.50 4.50 4.66 4.53 4.73 4.69 4.94 30-Sep-03 4.45 4.59 4.41 4.63 4.49 4.73 4.64 4.94 31-Oct-03 4.42 4.53 4.69 4.96 4.73 5.02 4.82 5.21 30-Nov-03 4.25 4.48 4.47 4.62 4.54 4.70 4.66 4.93 31-Dec-03 4.31 4.50 4.45 4.62 4.50 4.72 4.66 4.91 31-Jan-04 4.27 4.49 4.47 4.67 4.57 4.77 4.70 5.00 29-Feb-04 4.29 4.47 4.45 4.63 4.56 4.72 4.72 5.00 31-Mar-04 4.30 4.51 4.44 4.68 4.57 4.82 4.73 5.05 30-Apr-04 4.11 4.46 4.37 4.55 4.45 4.65 4.59 4.90 31-May-04 4.27 4.50 4.35 4.55 4.44 4.64 4.56 4.83 29-Jun-04 4.24 4.49 4.33 4.51 4.41 4.62 4.55 4.83 31-Jul-04 4.22 4.49 4.37 4.56 4.46 4.67 4.62 4.89 31-Aug-04 4.25 4.46 4.44 4.65 4.53 4.76 4.67 4.94 29-Sep-04 4.45 4.59 4.50 4.69 4.58 4.81 4.74 5.03 30-Oct-04 4.68 4.84 4.78 5.03 4.85 5.11 5.00 5.31 30-Nov-04 4.74 4.85 4.99 5.30 5.05 5.39 5.16 5.57 31-Dec-04 5.54 5.78 5.22 5.49 5.20 5.48 5.38 5.68 31-Jan-05 4.69 4.80 4.87 5.13 5.00 5.30 5.35 5.70 28-Feb-05 4.66 4.77 4.87 5.25 5.01 5.51 5.44 6.10 31-Mar-05 4.77 4.92 5.06 5.46 5.23 5.63 5.62 6.11 30-Apr-05 4.90 5.04 5.13 5.33 5.28 5.55 5.56 5.98 31-May-05 4.97 5.06 5.14 5.33 5.27 5.51 5.49 5.93 30-Jun-05 5.51 5.69 5.32 5.46 5.39 5.63 5.6 5.94 30-Jul-05 4.80 5.02 5.05 5.27 5.22 5.50 5.54 6.02 31-Aug-05 4.97 5.05 5.20 5.36 5.32 5.51 5.66 5.96 30-Sep-05 5.03 5.14 5.32 5.53 5.46 5.73 5.71 6.06 31-Oct-05 5.26 5.33 5.35 5.47 5.48 5.65 5.85 6.10 30-Nov-05 5.32 5.43 5.56 5.82 5.68 5.98 5.98 6.30 31-Dec-05 6.83 7.03 6.25 6.76 6.20 6.78 6.27 6.88 31-Jan-06 7.35 7.56 6.92 7.42 7.08 7.53 7.08 7.62 28-Feb-06 6.61 6.73 6.80 7.15 6.92 7.31 7.2 7.65 31-Mar-06 6.60 6.81 7.30 7.91 7.63 8.24 7.86 8.48 Note: * Overnight : Disseminated since June 15, 1998. ** 14 Day : Disseminated since November 10, 1998. *** 1 month : Disseminated since December 1, 1998. *** 3 month : Disseminated Since December 1, 1998. 80

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 CG2006 11.68% 0.5560 0.5380 0.7690 0.4620 0.6610 105.7340 GS CG2008 11.40% 0.7180 0.7710 0.9400 0.5850 0.8230 109.4650 GS CG2008 12.00% 0.7000 0.7420 0.9770 0.5890 0.8180 109.5840 GS CG2009 11.99% 0.7390 0.7880 0.9360 0.5400 0.8030 113.0640 GS CG2009 6.65% 0.7630 0.8110 0.9630 0.7160 0.8330 98.7700 GS CG2009 6.96% 0.7610 0.8100 0.9600 0.5580 0.8320 99.6060 GS CG2009 7.33% 0.7560 0.8070 0.9520 0.5470 0.8270 100.5950 GS CG2010 6.20% 0.8230 0.8010 0.9580 0.5170 0.8370 96.6470 GS CG2010 7.55% 0.8350 0.7800 0.9650 0.4570 0.8150 101.0800 GS CG2011 9.39% 0.9290 0.6950 0.9290 0.5780 0.7930 108.7730 GS CG2012 6.85% 1.0740 0.6520 1.0310 0.5020 0.8060 97.2830 GS CG2014 7.37% 1.3380 0.6120 1.1770 1.1190 0.9160 98.8950 GS CG2017 8.07% 1.6390 0.7960 1.4910 0.6830 1.1150 102.7940 GS CG2021 10.25% 1.9520 1.0530 1.9300 0.7590 1.5100 121.6260 GS CG2022 8.35% 2.1720 1.2060 2.2840 0.8410 1.7300 104.7140 GS CG2035 7.40% 3.8250 2.5890 4.9340 2.1530 3.5520 93.5530 TB 364D 101106 0.4260 0.3890 0.5760 0.2490 0.5150 96.0180 TB 364D 140406 0.0410 0.0320 0.0530 0.0380 0.0480 99.7500 TB 91D 190506 0.1300 0.1050 0.1710 0.1310 0.1550 99.1280 Chart 5-1: Business Growth of WDM Segment 81

Chart 5-2: Overnight MIBID/MIBOR Rates, 2005-06 Figure 5-3 : Zero Coupon Yield Curve, 2005-06 82