September 2016.pdf - CCIL

Briefing

Key Personnel

What's New 27

Speeches 34

Key Macroeconomic Indicators

Domestic

World

59

61

Outstanding Government Debt 62

Market Roundup

Macro-Economic Overview

Market Overview

40

50

CCIL Indices 74

Primary Market Analysis 76

Milestones 151

154

Money Market

Foreign Exchange Market

Derivatives

Interest Rate Movement

Government Securities Market

Statistics

Corporate Bonds

Benchmark Rates

78

116

123

134

137

147

105

81

C O N T E N T SC O N T E N T S

Managing Director's Message 5

Infocus

RBI ANNUAL REPORT 2015-16

Report of the Working Group on Development of Corporate Bond Market in India

7

Article Summary 22

Measuring GDP in a Digitalised Economy

The role of collateral in supporting liquidity

STATISTICS

TABLESTABLE 1 : DOMESTIC INDICATORS ......................................................................................................... 59

TABLE 2 : WORLD ECONOMIC INDICATORS ...................................................................................... 61

TABLE 3 : OUTSTANDING GOVERNMENT DEBT ............................................................................. 62

TABLE 4 : STATE DEVELOPMENT LOANS (SDLS) OUTSTANDING............................................ 70

TABLE 5 : CONSOLIDATED OUTSTANDING ....................................................................................... 71

TABLE 6 : ANALYSIS OF OUTSTANDING BONDS .............................................................................. 73

TABLE 7 : INDEX COMPOSITION .............................................................................................................. 74

TABLE 8 : INDEX PERFORMANCE ANALYSIS ..................................................................................... 75

TABLE 9 : SECURITIES & MONEY MARKET (PRIMARY) : COMPARATIVE DATA .................. 76

TABLE 10 : LIQUIDITY ANALYSIS ................................................................................................................ 77

TABLE 11 : CCIL SETTLEMENT DETAILS ................................................................................................. 78

TABLE 12 : CATEGORYWISE BUYING ACTIVITY .................................................................................. 79

TABLE 13 : CATEGORYWISE SELLING ACTIVITY ................................................................................ 79

TABLE 14 : COMPARABLE RATES (%) ......................................................................................................... 80

TABLE 15 : PROPRIETARY / CONSTITUENT SETTLEMENT ANALYSIS .......................................... 81

TABLE 16 : DEAL SIZE ANALYSIS ................................................................................................................. 82

TABLE 17 :

TABLE 20 : TENOR WISE ACTIVITY - CENTRAL GOVERNMENT DATED SECURITIES ...... 85

TABLE 21 : NETTING FACTOR - FUNDS ................................................................................................... 86

TABLE 22 : NETTING FACTOR: SECURITIES ........................................................................................... 87

TABLE 23 : LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED

DURING THE MONTH ....................................................................................................... 88

TABLE 24 : MARKET SHARE OF TOP 'N' SECURITIES ........................................................................ 92

TABLE 25 : MARKET SHARE OF MEMBERS IN OUTRIGHT SETTLEMENT ................................. 92

TABLE 26 : MARKET SHARE OF TOP FIVE MEMBERS (CATEGORYWISE) ................................... 93

TABLE 27 : TRADING PLATFORM ANALYSIS OF OUTRIGHT TRADES ........................................ 93

TABLE 29 : MARKET SHARE IN PROPRIETARY TRADES ............................................................... 94

TABLE 30 : MARKET SHARE IN CONSTITUENT TRADES ................................................................ 95

TABLE 31 : TURNOVER RATIO .................................................................................................................... 95

TABLE 32 : NET MARKET ACTIVITY IN G-SEC TRADING ................................................................ 96

GOVERNMENT SECURITIES MARKET

T+2 SETTLEMENT SUMMARY ............................................................................................... 83

TABLE 18: : T+2 TRADES - HISTORICAL SETTLEMENT SUMMARY ............................................... 83

TABLE 19 : INSTRUMENT WISE BREAKUP OF OUTRIGHT TRADES ........................................... 84

TABLE 28 : WHEN-ISSUED TRADING HISTORICAL ............................................................................. 94

TABLE 28A : WHEN-ISSUED TRADING DETAILS .................................................................................... 94

TABLE 33 : TRADING SUMMARY ................................................................................................................ 97

TABLE 34 : G-SEC TRADING ANALYSIS .................................................................................................... 98

TABLE 35 : T-BILL TRADING ANALYSIS ................................................................................................... 99

TABLE 36 : SDL TRADING ANALYSIS ........................................................................................................ 100

TABLE 37 : LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC) .................................... 101

TABLE 38 : LIQUIDITY DISTRIBUTION (G-SEC) .................................................................................... 103

TABLE 39 : MONEY MARKET VOLUMES ................................................................................................ 105

MONEY MARKET

TABLE 40 : CBLO TRADING........................................................................................................................... 105

TABLE 41 : REPO TERM ANALYSIS .............................................................................................................. 106

TABLE 42 : INSTRUMENTWISE SETTLEMENT OF REPO TRADES ................................................ 106

TABLE 43 : CROMS TRADING ACTIVITY .................................................................................................. 107

TABLE 44 : CROMS HISTORICAL SUMMARY............................................................................................ 107

TABLE 45 : TOP 5 SECURITIES - BASKET REPO ..................................................................................... 108

TABLE 46 : TOP 5 SECURITIES - SPECIAL REPO .................................................................................... 108

TABLE 47 : DEALT TRANSACTIONS ON THE NDS-CALL PLATFORM .......................................... 108

TABLE 48 : OTC DEALS REPORTED ON THE NDS-CALL SYSTEM .................................................. 109

TABLE 49 : UNCOLLATERALISED OVERNIGHT TRANSACTIONS (%) ............................................ 110

TABLE 50 : OVERNIGHT TRANSACTIONS DEALT ON NDS-CALL PLATFORM (%) .................... 111

TABLE 51 : OVERNIGHT TRANSACTIONS REPORTED ON NDS-CALL PLATFORM (%) ........... 112

TABLE 52 : CALL MARKET AND FBIL O/N MIBOR - RATES (%) ....................................................... 113

TABLE 53 : TENORWISE ANALYSIS OF TERM MONEY TRANSACTIONS ........................................ 114

TABLE 54 : NDS-CALL HISTORICAL ............................................................................................................ 115

TABLE 55 : FOREX SETTLEMENT ................................................................................................................ 116

TABLE 56 : FOREX TRADE TYPE ANALYSIS ........................................................................................... 117

TABLE 57 : FOREX DEAL SIZE ANALYSIS ................................................................................................ 117

TABLE 58 : TENORWISE FORWARD TRADES ANALYSIS ................................................................... 118

TABLE 59 : MARKET SHARE - FOREX ........................................................................................................ 118

TABLE 60 : CATEGORYWISE FOREX ACTIVITY - DEAL TYPE ........................................................ 119

TABLE 61 : NETTING FACTOR - FOREX ................................................................................................... 119

TABLE 62 : FOREX FORWARD SETTLEMENT STATISTICS ............................................................... 120

TABLE 63 : CLS SETTLEMENT ....................................................................................................................... 120

TABLE 64 : CURRENCY WISE GROSS SETTLEMENT ........................................................................... 121

TABLE 65 : TOP 5 CURRENCY PAIRS - CLS ............................................................................................. 121

TABLE 66 : TRADING DETAILS - FX CLEAR ............................................................................................ 122

TABLE 67 : INTEREST RATE SWAP TRANSACTIONS (MATCHED) ................................................. 123

TABLE 68 : INTEREST RATE SWAP (MIBOR) MARKET SHARE ........................................................ 123

TABLE 69 : INTEREST RATE SWAP (MIFOR) MARKET SHARE ........................................................ 124

TABLE 70 : TOP ‘N’ MARKET SHARE - IRS .............................................................................................. 124

TABLE 71 : IRS TRADE SUMMARY (MATCHED) ................................................................................... 124

TABLE 72 : OUTSTANDING POSITION IN IRS TRANSACTIONS ..................................................... 125

TABLE 73 : NETTING FACTOR - IRS NON-GUARANTEED SETTLEMENT ................................... 125

TABLE 74 : TRADED VOLUME FOR OTC INTERBANK FCY - INR FORWARDS ....................... 126

TABLE 75 : TRADED VOLUME FOR OTC INTERBANK FCY - INR OPTIONS ........................... 127

TABLE 76 : TRADED PRINCIPAL AMOUNT FOR OTC INTERBANK FCY - INR CROSS CURRENCY

SWAPS .................................................................................................................. 128

TABLE 77 : TRADED VOLUME FOR OTC INTERBANK FCY - FCY FORWARDS ......................... 129

TABLE 78 : TRADED VOLUME FOR OTC INTERBANK FCY - FCY OPTIONS .......................... 130

TABLE 79 : TRADED PRINCIPAL AMOUNT FOR OTC INTERBANK FCY - FCY CROSS

CURRENCY SWAPS ................................................................................................................. 130

TABLE 80 : TRADED NOTIONAL PRINCIPAL FOR OTC INTERBANK FCY - IRS .................... 131

TABLE 81 : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - INR FORWARDS ........... 132

FOREIGN EXCHANGE MARKET

DERIVATIVES

TABLE 82 : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - INR OPTIONS ............... 132

TABLE 83 : OUTSTANDING PRINCIPAL AMOUNT FOR OTC INTERBANK FCY - INR

CROSS CURRENCY SWAPS .................................................................................................... 132

TABLE 84 : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - FCY FORWARDS .......... 132

TABLE 85 : OUTSTANDING VOLUME FOR OTC INTERBANK FCY - FCY OPTIONS ............... 132

TABLE 86 : OUTSTANDING PRINCIPAL AMOUNT FOR OTC INTERBANK FCY -

FCY CROSS CURRENCY SWAPS ......................................................................................... 133

TABLE 87 : OUTSTANDING NOTIONAL PRINCIPAL FOR OTC INTERBANK FCY - IRS ........ 133

TABLE 88 : SPREAD ANALYSIS - SDL .......................................................................................................... 135

TABLE 89 : YIELD MOVEMENT .................................................................................................................... 136

TABLE 90 : PRIMARY MARKET ISSUANCE OF CORPORATE BONDS .......................................... 137

TABLE 91 : ANALYSIS OF CORPORATE BOND ISSUANCE ................................................................ 138

TABLE 92 : RATING ANALYSIS OF CORPORATE BOND ISSUANCES ........................................... 138

TABLE 93 : TOP 5 ISSUANCES .................................................................................................................... 139

TABLE 94 : SECTOR ANALYSIS ...................................................................................................................... 139

TABLE 95 : CATEGORY ANALYSIS ............................................................................................................... 139

TABLE 96 : NON-FIXED RATE BOND ISSUANCE ANALYSIS ............................................................. 139

TABLE 97 : CORPORATE BONDS TRADING DETAILS ....................................................................... 140

TABLE 98 : HISTORICAL SUMMARY ....................................................................................................... 140

TABLE 99 : TRADING ANALYSIS ............................................................................................................... 141

TABLE 100 : RATING ANALYSIS .................................................................................................................. 141

TABLE 101 : CATEGORY ANALYSIS .............................................................................................................. 142

TABLE 102 : BOND TYPE ANALYSIS ........................................................................................................... 142

TABLE 103 : SPREAD ANALYSIS ...................................................................................................................... 142

TABLE 104 : CATEGORY ANALYSIS - HISTORICAL ................................................................................... 142

TABLE 105 : RATING ANALYSIS - HISTORICAL ......................................................................................... 143

TABLE 106 : SPREAD ANALYSIS - HISTORICAL .......................................................................................... 143

TABLE 107 : TOP 25 TRADED CORPORATE BONDS .............................................................................. 144

TABLE 108 : CDs AND CPs TRADING DETAILS ........................................................................................ 145

TABLE 109 : HISTORICAL SUMMARY ...................................................................................................... 145

TABLE 110 : TENORWISE TRADING ANALYSIS CDs ................................................................................. 146

TABLE 111 :

TABLE 112 :

TABLE 113 :

TABLE 114 :

CHART 1 : ZERO COUPON YIELD CURVE .............................................................................................. 134

CHART 2 : SOVEREIGN YIELD CURVE ..................................................................................................... 134

INTEREST RATE MOVEMENT

CORPORATE BONDS

CERTIFICATE OF DEPOSIT AND COMMERCIAL PAPERS

BENCHMARK RATES

CHARTS

COMPARISON OF FBIL TERM MIBOR AND CD WEIGHTED AVERAGE RATE (%) 147

148

FBIL FC-RUPEE OPTION VOLATILITY MATRIX RATES - 25 DELTA RISK REVERSAL (%) 149

FBIL FC-RUPEE OPTION VOLATILITY MATRIX RATES - 25 DELTA STRANGLE (%) 150

FBIL FC-RUPEE OPTION VOLATILITY MATRIX RATES - AT THE MONEY (ATM) VOLS (%)

Message from MDMessage from MD

Dear Colleagues,

Financial markets in India have been able to

achieve stability for the last few quarters

with growth slowly picking up and the Indian

Rupee being relatively less volatile vis-à-vis

many emerging market currencies.

Recessionary conditions are gradually

diminishing in Brazil and Russia, but the

near-term outlook is still fragile due to

policy uncertainties and soft commodity

prices. The flow from foreign investors to

Indian markets has been positive and the

equity market has witnessed some buying

which moved benchmark indices northward.

That has been aided by stable rainfall -

almost normal with only a marginal deficit.

The normal rainfall would help in keeping a

rein on inflationary pressures. Oil prices,

which moved upward temporarily, have been

stable and remained below USD50 helping

non-oil emerging countries like India.

Last GDP data release showed a marginal

drop in growth for Q1 of 2016-17. The

inflation data (both CPI and WPI) does not

show any immediate concern for policy

makers. The global commodity price stability

has helped in keeping domestic inflation at

manageable levels. Liquidity pressure has

come down in recent months after infusion of

liquidity by Reserve Bank of India through

OMO auctions and higher Government

spending.

RBI announced new policies for deepening the

corporate bond market. These measures are

intended to aid in market development,

enhance participation, facilitate greater

market liquidity and improve communication.

Accepting many of the recommendations of the

Khan Committee to develop the corporate bond

market, RBI has decided to enhance the

aggregate limit of partial credit enhancement

provided by banks, permit brokers in corporate

bond repos, authorise the platform for repo in

corporate bonds and encourage credit supply

for large borrowers through market

mechanism. Suitable legal amendments may

have to be made in the existing legal framework

in case RBI decides to accept corporate bonds

under current LAF mechanism as collateral.

Banks are also being permitted to issue Masala

Bonds for their capital requirements and for

financing infrastructure and affordable

housing. The FPIs will be eligible to avail the

facility to trade directly in corporate bonds.

These measures are likely to be helpful for

developing the corporate bond market in India.

R. Sridharan

of the month

•

•

•

•

On September 8, 2016, CCIL conducted the 11th cycle of the Portfolio Compression

exercise in the OTC Interest Rate Swaps market. The exercise achieved a compression of

84% and a market-wide reduction of notional outstanding of 2,18,958.79 crore.

FX-SWAP Dealing System registered its highest daily volume of USD 730.00 million on

September 6, 2016.

Trades on the ASTROID (the Anonymous IRS Dealing System) recorded their highest level

of 6,700 crore on September 14, 2016.

CBLO volumes recorded their all-time high volumes of 1,16,232.60 crore on September

15, 2016.

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Against the backdrop of a global environment

characterized by weak growth and heightened

financial market volatility, the Indian economy

posted gains in 2015-16 and the underlying

conditions improved, scaling up the growth

momentum. Progress of the southwest monsoon

augurs well for agriculture and the rural economy,

while the seventh pay commission award would

provide a stimulus to consumption spending

within the targeted fiscal deficit. On the external

front, indicators of external sustainability

improved noticeably during the year and foreign

direct investment (FDI) recorded the highest

annual net inflow. On the flipside, sluggishness in

the industrial sector continues, and the capex cycle

and private investment activity remains weak.

Further, the banking sector has been dealing with

stress on account of deterioration in corporate

balance sheets and loan quality, necessitating

efforts to free up credit flows to the productive

sectors of the economy.

The modest acceleration in real GDP growth in

2015-16 was supported by private consumption.

The significant improvement in corporate

profitability, on account of saving on input costs

and sales growth, is expected to boost corporate

saving and translate into investment spending.

However, on the production side, agriculture

weathered two consecutive years of drought

conditions and posted a modest growth during the

year. Industrial output weakened during the year

and consumer non-durables posted a decline after

consecutive years of expansion, mainly on account

of contraction/deceleration in fast moving

consumer goods, reflecting the subdued state of

rural demand. The services sector witnessed a

deceleration across all constituents as new business

orders slowed and exports were impacted by weak

external demand. Notable progress was seen in the

infrastructure space, with electricity generation

recording the highest ever annual capacity addition

in the solar and wind energy segments. There was

significant improvement in the road sector in terms

of new constructions and also in the railways sector

in terms of capital investment, commissioning of

broad gauged lines and electrification of railway

tracks. Major Indian ports recorded the highest

capacity addition during the year.

The inflation conditions which eased in the first

few months of 2016 on the back of the seasonal

decline in prices of fruits and vegetables picked up

again from May 2016 as food prices firmed up

ahead of the onset of the monsoon. Monetary

conditions reflected an interplay of diverse factors

as demand for currency drove up the expansion of

reserve money and muted the money multiplier

which, in turn, moderated the rate of money

supply. Bank credit which was sluggish in the first

half of the year, picked up in the retail segment,

industry and agriculture in the second half of the

year. Timely recognition of the deterioration in

banks' balance sheets through the Reserve Bank's

asset quality review resulted in the overall stressed

assets ratio rising marginally by end-March 2016

from its level a year ago, with a rise in the gross NPA

ratio but a fall in the restructured assets ratio. In the

external sector, a faster pace of contraction in

imports relative to exports and large terms of trade

gains narrowed the current account deficit to 1.1%

of GDP, which was comfortably financed along

with sizable accretion to reserves.

Assessment: 2015-16

RBI ANNUAL REPORT 2015-16

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Prospects: 2016-17

The near-term domestic outlook appears to be

brighter than the outcome for 2015-16, despite the

weak outlook for the global economy due to the

Brexit referendum. Although a pick-up in

investment activity remains a concern,

consumption is expected to provide support to

aggregate demand and may receive a boost from the

revival of rural demand in response to the well-

distributed southwest monsoon and the seventh

pay commission's award. However, industrial

activity and export demand is likely to remain slack

in the coming months, unless the industrial

activity is supported by the recent Government

measures including 100% FDI in defence, civil

aviation, pharmaceuticals and broadcasting.

Service sector activity is likely to receive a stimulus

in public administration, defence and other

services as public expenditure on wages, salaries

and pensions translates into disposable incomes.

The central government's commitment to the fiscal

consolidation path in 2016-17 has enhanced the

credibility of fiscal policy, thus helping in

anchoring inflation expectations and improving

the business environment. The passage and

implementation of the Goods and Services Tax

(GST) Bill is expected to boost trade, investment

and growth by reducing supply chain rigidities,

encouraging scale economies, cutting down

transportation and transaction costs, as also

promoting efficiency gains.

India's external position seems viable and well-

buffered to sustain a pick-up in non-oil non-gold

imports, although the external environment

continues to pose challenges stemming from large

currency movements, a rising incidence of

protectionist measures, swift and massive

movements of capital and the amplification of

uncertainty by the Brexit vote. Although the

outlook for capital inflows is optimistic with the

recent liberalization of FDI policy, the repayment

of FCNR (B) deposits which is due under the

special swap scheme needs to be managed carefully.

Among the various structural reforms initiated, the

UDAY scheme has provided DISCOMs an

opportunity to regain financial viability. In the

banking sector, the enactment of the Insolvency

and Bankruptcy Code would help sick companies

to either wind up or turn around, and for investors

to exit. Amendments to strengthen the Debt

Recovery Tribunals for speedier resolution of

stressed assets have been passed. Efforts need to be

made to re-energise asset reconstruction companies

(ARCs) by resolving issues relating to their capital

requirements and enabling price discovery for

NPAs/security receipts so that they can be traded in

open, competitive markets that ensure liquidity. In

order to intensify structural reforms in factor

markets, particularly land and labour, initiatives

are being taken by state governments, such as

amendment of labour laws, and a transparent and

viable framework for land acquisition processes.

The National Agriculture Market (NAM), a pan-

India electronic trading platform is an important

step towards improving marketing infrastructure.

India witnessed a moderate pick-up in pace in the

second half of the year despite truncating

investment and persistent global uncertainties.

Government continued its fiscal consolidation

roadmap in 2015-16. Net exports remained muted

in the midst of suppressed global demand. Despite

this, trade deficit dwindled due to the pace of

contraction of imports surpassing that of exports,

and in part due to gains in net terms of trade. A

holistic view of the Indian economy portrays

sound macroeconomic fundamentals buttressed by

slumping inflation and narrowing twin deficits.

Economic Review

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The key challenges in the year ahead entail

stimulating private investment and rejuvenating

banking sector while maintaining macroeconomic

stability.

Aggregate demand in urban and rural areas depicts

contrary views on recent income evolution.

Improvement in urban consumption is reflected in

the concurrent surge in sales of passenger vehicles.

By contrast, rural consumption has stagnated, with

two consecutive years of deficient monsoons

having taken a toll on rural incomes. Gross fixed

capital formation remained subdued during 2015-

16. At the same time, several initiatives by the

Government, including 'Make in India', and faster

clearances of stalled projects have revived business

sentiment. Higher rate of increase in gross financial

assets relative to financial liabilities was responsible

for the spike in household net financial saving rate.

Despite two consecutive years of below par rainfall,

GVA from agriculture and allied activities posted a

modest growth in 2015-16. Notwithstanding these

setbacks, the Ministry of Agriculture has placed

food grains production for the year at 0.1% higher

than previous year, mainly due to an increase in

wheat production. At the same time, the favourable

impact of the normal monsoon this year

juxtaposed with the implementation of the seventh

pay commission's recommendations will provide a

fillip to consumption demand.

For the year as a whole, average inflation

plummeted from 5.8% in the preceding year to

4.9% in the current year. A statistical

decomposition of contribution of different

subgroups within CPI indicates that the major

contribution to disinflation emanated from the

food group mainly on account of the government's

adroit supply management policies and also from

the fall in global food prices.

Food constitutes 45.9% of CPI and contributed

50% to overall inflation in 2015-16. Keeping this

in mind, the Government took a couple of

measures to break the food inflation spiral as part

of a comprehensive and rapidly deployed food

management strategy - higher Minimum Support

Prices (MSPs) to incentivise production of pulses;

procurement of pulses with a view to creating

buffer stock; banning exports of most pulses; zero

import duty on pulses and onions; raising

minimum export prices of onions; and allowing

states to impose stock limits for certain essential

commodities such as onions, edible oils and pulses.

The implementation of the revised pay scales under

the seventh pay commission is expected to increase

headline inflation with a cumulative impact of 10

basis points by March 2017 over the baseline

scenario set out in the bi-monthly monetary policy

statement of June 2016 (which excluded the impact

of the seventh pay commission implementation).

This reflects indirect effects emerging from

augmentation in personal consumption

expenditures pushing up aggregate demand. The

full impact on CPI inflation, which mainly comes

through the direct effects of an increase in house

rent allowance when it is affected, will be realised in

a calibrated manner over ensuing months.

Domestic financial markets showed differential

responses across segments, with equity and foreign

exchange markets most affected by global

spillovers, while the debt, money and credit market

were driven by global developments. Money

market rates shifted from a softening bias in the

first half of 2015-16 and hardened in the second

half of the fiscal due to advance tax outflows and

year-end factors. However rates have softened

considerably during the current fiscal i.e. 2016-17

following easing liquidity conditions. During

Financial Markets

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2015-16, G-Sec yields exhibited slight bearish

trends following the weak rupee, sub-normal

monsoons, oversupply of securities and changing

expectations of a rate hike by the US Fed. However

the fiscal consolidation adherence of the Union

Budget 2016-17, dovish guidance by the US Fed

brought about the easing of yields in the first

quarter of 2016-17, which got further momentum

mid-June 2016 following the Brexit results, lower

inflation concerns due to normal monsoons, easy

liquidity conditions supported by OMO purchases

by the RBI. The corporate debt market has seen a

substantial increase in issuance by corporates,

while there was a decline in the secondary market

turnover. The equity market started on a subdued

note in the first half of 2015-16 affected by

domestic factors like weak monsoon, asset quality

of the banking system, sluggish investment

activity, depreciation of the rupee etc. While the

tide turned at the start of the second half following

the rate cut affected by the RBI in September, the

trend reversed at the start of 2016 following global

turbulence on fears of a China meltdown and flight

of FII capital from emerging markets. The trends

reversed after March 2016 led by increasing

investor optimism about government reforms,

good progress of monsoons and FPI buying in the

market. The rupee showed a depreciating bias

through 2015-16 due to factors like the Greek crisis,

hawkish FOMC guidance, global sell-offs,

devaluation of remnimbi and the subsequent sell-

offs in the Chinese market. During the current

fiscal, the rupee has remained largely range bound

showing a slight depreciation during the

immediate aftermath of the Brexit result. Overall,

the rupee has largely remained a better performing

currency among its peer currencies.

During fiscal 2015-16 indirect tax collections were

around 30% higher than the previous year

supported by higher excise duty collections due to

the upward duty revisions on petroleum products,

modest increase in customs collections and the

increase in service tax due to upward revision in the

service tax rates. On the other hand direct tax

collections recorded a shortfall relative to the

budget estimates. Non-tax revenues and non-debt

receipts from were higher than budgeted. The

budgeted target for GFD-GDP ratio was

maintained at 3.9% as budgeted, with the revenue

deficit at 2.5%, lower than the budgeted 2.8%.

During 2016-17, the buoyancy in tax collections is

budgeted to decline, with an increase in

d i s i n v e s t m e n t p ro c e e d s a n d re c e i p t s

communication services. Expenditure is expected

to pick up in the form up provision for

implementation of One-Rank-One-Pension

(OROP) awards and towards bank capitalization,

while a decline in major subsidies has been

estimated. While key fiscal indicators of State

Governments have deteriorated in 2015-16, the

GFD-GDP ratio for 2016-17 is budgeted to decline

due to a turnaround from a deficit mode to a

surplus mode.

The slump in commodity prices, weak global

demand and a surge in protectionist measures

across advanced and emerging economies led to a

decline in exports by 15.5% in 2015-16, panning

across all constituents and in terms of both volume

and value. Imports also declined by similar levels

led by reduction in oil prices and also gold and

non-oil non-gold imports. Invisibles behaved

diversely in 2015-16, with exports of merchandise

trade related transportation services impacted by

the global deceleration, while tourism and software

exports have remained resilient. On the other hand,

remittance inflows were affected by the sluggish

Government Finances

External Sector

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activity in the gulf region. However, due to the

sharp fall in merchandise trade deficit, current

account deficit was at 1.1% of GDP, the lowest since

2007-08. Buoyed by measures to enhance GDP, FDI

inflows surged to USD 36 billion in 2015-16, the

highest net annual inflow thus far, while net

portfolio inflows turned negative. By the end of

2015-16, India's foreign exchange reserves reached a

record level of USD 360.2 billion. Going ahead, the

external sector outlook will depend upon CAD

remaining under sustainable limits, revival in

exports and ability of the reform measures to instill

confidence among international investors.

A Monetary Policy Framework Agreement (MPFA)

was signed between the Government of India and

RBI on February 20, 2015 which steered the

conduct of monetary policy during 2015-16.

Empowered by the MPFA, RBI set out an agenda

for its monetary policy operations: entrenching a

durable disinflationary process to take consumer

price index (CPI) inflation to the targets set for

January 2016 and March 2017; improving

transmission of the policy rate to bank lending

rates by ensuring appropriate liquidity

management consistent with the monetary policy

stance; and dampening volatility of the WACR and

other money market rates around the repo rate, i.e.,

securing the first leg of monetary transmission.

RBI continued with an accommodative stance for

monetary policy through 2015-16 while keeping

focus on a gradual and durable disinflation path

that was expected to take the CPI inflation below

6% by January 2016. The policy repo rate was

reduced by 25 bps in June 2015 and 50 bps in

September 2015 as the receding inflationary

pressure emanating from benign cereal prices and

moderation in international crude oil prices

opened up space for monetary policy action. With

the target for January 2016 achieved, the focus of

monetary policy shifted to attaining the inflation

target of 5% by the end of 2016-17. Based on an

assessment that the target of 5% inflation by March

2017 was achievable, particularly when the Union

Budget 2016-17 adhered to fiscal consolidation and

announced measures to re-invigorate the rural

economy, upgrade the social and physical

infrastructure, deepen institutional reforms and

improve the environment for business, the policy

rate was reduced further by 25 bps to 6.50% in April

2016, the lowest since March 2011. The policy rate

was kept unchanged thereafter as a sharper-than-

anticipated increase in food prices has pushed up

the projected trajectory of inflation over the rest of

the year.

During 2015-16, a considerable flux in

autonomous liquidity flows necessitated a pro-

active assessment of liquidity conditions and

nimble responses through a combination of regular

facilities and fine-tuning operations in the form of

variable rate repo/reverse repo auctions. Liquidity

conditions generally remained tight during the

second half of the year due to festival related

currency requirements and advance tax outflows in

Q3, followed by balance sheet considerations and

restraint in government spending in Q4. Effective

liquidity management, however, kept the WACR

within +/- 10 bps and +/- 20 bps of the repo rate for

36% and 79% of the total number of trading days,

respectively, during 2015-16. With the institution

of the revised liquidity management framework,

the role of term repo auctions under the liquidity

adjustment facility (LAF) has become significant.

Normal 14-day and fine tuning term repos of

varying tenors ranging from 2 to 56-day accounted

Monetary Policy Operations

Disinflation

Operating Framework

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for about 90% of the average net liquidity injection

under the LAF during the year. Since July 22, 2015,

the Financial Benchmark India Private Limited

(FBIL) has started compiling the Mumbai Inter-

Bank Offer Rate (MIBOR) based on actual data of

the interbank call market transactions covering a

one hour time span from 9.00 a.m. to 10.00 a.m.

Given the market microstructure, thick trading in

the first hour usually elevates MIBOR above

WACR. The FBIL has started generating quote-

based term benchmarks, but their use in pricing of

financial products and transactions is yet to pick

up.

In April 2016, the liquidity management

framework was revised in a move to progressively

lower the average ex ante liquidity deficit to a

position closer to neutrality. RBI assured the

market of meeting the requirements of durable

liquidity and then using its fine-tuning operations

to make short-term liquidity conditions consistent

with the stated policy stance. Accordingly, in Q1 of

2016-17 RBI injected permanent liquidity through

open market operations (outright), more than

offsetting the impact of currency leakage during

the same period. For ensuring non-disruptive

FCNR(B) redemptions, RBI pro-actively injected

liquidity through open market purchase auction

on August 11, 2016. With a view to further

minimising volatility in WACR, as also easing

liquidity management for banks without

abandoning liquidity discipline, the minimum

daily maintenance of the cash reserve ratio (CRR)

was lowered from 95% of the requirement to 90%

effective April 16, 2016. Furthermore, the policy

rate corridor around the repo rate was narrowed

from +/-100 bps to +/- 50 bps.

During 2015-16, as a part of the phased

implementation of the liquidity coverage ratio

(LCR), the minimum required high quality liquid

assets (HQLA) was raised from 60% to 70% of the

total net cash outflow over the next 30 calendar

days under the stress scenario effective January 01,

2016, which correspondingly limited the capacity

of banks to use the excess statutory liquidity ratio

(SLR) securities to access collateralised liquidity

from money markets and RBI. Recognising the

scope for providing greater flexibility to banks

within the prescribed SLR, effective February 11,

2016, RBI allowed banks to reckon additional

government securities held by them up to 3% of

their NDTL within the mandatory SLR

requirement as level 1 HQLA for the purpose of

computing their LCR on top of the 5% permitted

in November 2014. On July 21, 2016, additional

headroom equivalent to 1% of NDTL was provided

within the prescribed SLR. Together, the total carve-

out from SLR available to banks stands at 11% of

their NDTL, including 2% of NDTL available

under MSF.

In response to the reduction in the policy repo rate

by 150 bps during January 15, 2015 through April

05, 2016, the median base rate of banks declined by

60 bps as against a higher decline of 92 bps in

median term deposit rates, reflecting banks'

preference to protect profitability in the wake of

deter iorat ing asset qual i ty and higher

provisioning. The weighted average lending rate

(WALR) on fresh rupee loans declined by 100 bps

(up to June 2016), significantly more than the

decline of 65 bps in WALR on outstanding rupee

loans.

As set out in the agenda for 2015-16, RBI

introduced the Marginal Cost of Funds based

Lending Rate (MCLR) system for scheduled

commercial banks (excluding RRBs), effective

Monetary Policy Transmission

Experience of the MCLR System

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April 1, 2016 whereby all new rupee loans

sanctioned and credit limits renewed would be

priced with reference to the MCLR. As expected,

the MCLR for the overnight segment, one year

segment and up to three-year segment (as on July

31, 2016) was lower by 70 bps, 25 bps and 36 bps,

respectively, than the base rate of 9.65%.

There has hardly been any transmission of a

reduction in the policy rate to the actual lending

rates charged to customers during 2016-17. While

the cost of funding by banks has declined

somewhat leading to a decline in shorter maturity

MCLR, there has been an increase in the term

premia in respect of term loans of one year and

above, thereby attenuating the transmission to

actual lending rates charged to customers.

Moreover, banks may have been loading (i) a higher

credit risk premia on their new customers in order

to attain their desired return on net worth in a

rising NPA environment; and/or (ii) a higher

strategic risk premia on their riskier loans as part of

their business strategy to reorient their lending

operations towards less risky activities. The

consequent rise in the spread is reflected in a near

unchanged WALR in respect of both outstanding

and fresh rupee loans during 2016-17 so far.

In the first bi-monthly policy statement for 2016-

17, RBI set a target for CPI inflation at 5% by

March 2017. The eventual aim is to move towards

4% CPI inflation by the end of 2017-18. To

strengthen the monetary policy framework, the

Union Budget 2016-17 announced the formal

constitution of a Monetary Policy Committee

(MPC) by amending the RBI Act, 1934, which will

be vested with the responsibility of setting the

policy rate. The amended RBI Act, which was

notified in the Gazette of India on May 14, 2016

mandates a MPC to determine the policy interest

rate to achieve the inflation target set by the

Government. MPC is a new institutional structure.

The MPC shall consist of the Governor of RBI, the

Deputy Governor-in-charge of monetary policy,

one officer of the Bank to be nominated by the

Central Board of RBI and three members to be

appointed by the Central Government. Each

member shall have one vote, and in the event of a

tie, the Governor can exercise a casting or second

vote.

In 2015-16, RBI put especial effort towards

fostering a more conducive environment for

adequate flow of credit to priority sectors, in

particular to the micro, small and medium

enterprises (MSME) sector. The committee on

Medium-Term Path on Financial Inclusion

submitted action plan for financial inclusion that

will guide the financial inclusion process going

forward. RBI has set up Financial Inclusion and

Development Department (FIDD) for seamless

implementation of its financial inclusion agenda.

Priority Sector Lending Certificates (PSLCs) will

allow the market mechanism to drive priority

sector lending by leveraging the comparative

strengths of different banks.

In view of the critical role played by regional rural

banks (RRBs) in driving the financial inclusion

agenda, priority sector lending guidelines were

revised for RRBs in December 2015 and an overall

target of 75% of the total outstanding loans to the

priority sector was set for them. RBI advised banks

to review their existing lending policies to the

micro and small enterprises (MSEs) sector and fine-

tune them by allowing for standby credit facilities

in case of term loans, additional working capital

limits, mid-term review of regular working capital

limits and timelines for credit decisions.

Agenda for 2016-17

Credit delivery and financial inclusion

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Financial Inclusion Advisory Committee (FIAC)

was reconstituted in June 2015 for preparing a

national strategy for financial inclusion which

aims at converging financial inclusion efforts of

various stakeholders and PMJDY, apart from

monitoring the progress; (ii) monitoring progress

on FIP; and (iii) monitoring progress on financial

literacy. The Government of India merged

financial inclusion fund (FIF) and financial

inclusion technology fund (FITF) to form a single

financial inclusion fund in July 2015 with a corpus

of 20 billion. The new FIF, which will be

administered by an advisory Board constituted by

the Government, will be maintained by NABARD.

Based on the recommendations of the

Implementation Group on Encouraging Greater

Retail Participation in G-Secs, the Clearing

Corporation of India Ltd. (CCIL) was advised to

enable participation of demat account holders in

NDS-OM. A Working Group set up under the aegis

of the Financial Stability and Development

Council Sub-committee (FSDC-SC) considered

several measures for strengthening participation,

improving market infrastructure and easing the

issuance process for corporate bonds. Unlisted

securities and securitised debt instruments will

shortly be added to the basket of corporate debt for

foreign portfolio investor (FPI) investments.

Covered options against underlying currency

exposures have been allowed. The limits for all

resident individuals, firms and companies to book

foreign exchange forwards and foreign currency-

Indian rupee (FCY-INR) options contracts on the

basis of declaration have been increased from US$

250,000 to US$ 1,000,000. Indian residents having

long term foreign currency (FCY) borrowings were

permitted to enter into FCY-INR swaps with

multilateral or international financial institutions

(MFIs/IFIs), in which the Government of India is a

shareholding member provided such swaps were

undertaken by the MFI/IFI concerned on a back-to-

back basis with an authorised dealer (AD)

Category-I bank in India.

In the when-issued (WI) market, scheduled

commercial banks were allowed to take short

positions, whereas all eligible entities were

permitted to take long positions. Primary dealers

(PDs) were allowed to participate in exchange

traded currency futures market. For a more broad

based participation in OTC derivatives, regulated

entities other than banks and PDs such as mutual

funds and insurance companies have been enabled

to trade in such derivatives on electronic platforms

with guaranteed settlements by the CCIL.

The Financial Benchmarks India Pvt. Ltd. (FBIL)

took over the administration of the benchmark for

the overnight inter-bank rate based on the actual

traded rates, and also started publishing the polled

term Mumbai interbank offer rate (MIBOR) for

three tenors, 14-day, one month and three

months, as well as the FBIL FC-Rupee Options

Volatility Matrix rates. The CCIL trade repository

expanded the public dissemination of data on a

gross basis in pursuit of enhanced transparency.

CCIL has also started disseminating data on short

term USD/INR interbank near maturity swaps.

Agenda for 2016-17 include changes in e-Kuber to

facilitate seamless transfer of g-secs between demat

accounts and subsidiary general ledger/gilt

accounts and operationalising electronic platforms

for repo in corporate bonds in coordination with

the Securities and Exchange Board of India (SEBI),

issuance of final guidelines on introduction of

interest rate options, review of Guidelines on

commercial paper (CP), CDS and STRIPS, as well as

introduction of money market futures.

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Management

viz.,

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Additionally, framework for authorisation of

shifting OTC derivatives on to exchanges or

electronic trading platforms will be put in place.

The scope of dissemination of OTC forex

derivative transactions by the CCIL Trade

Repository will also be expanded.

Under the Financial Markets Operations

Department (FMOD), a 56-day variable rate repo

was conducted in January 2016 to expand the ambit

of liquidity adjustment facility. Straight through

processing (STP) was introduced for fixed rate repo,

reverse repo and MSF. Under Section 25 of the

Negotiable Instruments Act, 1881, it was decided to

keep open all money market segments on the

working Saturdays from September 01, 2015.

Reverse repo and MSF are being conducted from

February 19, 2016 on all Mumbai holidays when

the real time gross settlement (RTGS) system is in

operation. From May 02, 2016, the Reserve Bank

reference rate is being computed on the basis of the

volume weighted average of the actual market

transactions that have taken place during a

randomly selected 15-minute window between

11.30 a.m. and 12.30 p.m. every weekday. To address

the volatility in the foreign exchange market,

intervention in the exchange traded currency

derivatives (ETCD) segment commenced in

September 2015.

Under the Foreign Exchange Department (FED),

the guidelines on external commercial borrowings

(ECBs) were rationalised and liberalised during

2015 -16 in tune wi th macroeconomic

developments. Resident importers were allowed to

raise trade credits in INR allowing the transfer of

currency risk to overseas lenders. To facilitate rupee

denominated borrowings/bonds from abroad, a

framework for such issuance has been put in place.

An analogous information technology based

system for monitoring import transactions is being

operationalised.

Furthermore, regulations pertaining to the

employee stock options (ESOP) scheme were

reframed in sync with the SEBI regulations (for

listed companies) and the Ministry of Corporate

Affairs' regulations (for unlisted companies). The

National Pension System (NPS) was made an

eligible investment option for non-resident

Indians (NRIs). As per the foreign direct

investment (FDI) policy amendment by the

Government, sectoral limits on foreign

investments are to be aggregates of both FDI & FPI,

foreign investment in limited liability partnership

(LLP) is permitted under the automatic route for

sectors where 100% FDI is allowed without

attendant FDI-linked performance conditionality,

foreign investment up to 100% under the

automatic route is permitted in the plantation

sector, manufacturing sector given clear definition

as to where foreign investment has been allowed,

single brand retail brick & mortar stores can

undertake sales via e-commerce, and FDI limit in

the insurance sector via automatic route has been

increased to 49%.

To encourage start-up entities, cashless sweat issue

of equity has been allowed if drafted as per SEBI

guidelines, issue of shares against legitimate

payment owed by the investee company permitted

subject to adherence to the FDI policy, having an

escrow arrangement in respect of transfer of shares

between a resident and a non-resident, as well as

start-up having an overseas subsidiary has been

permitted to open an FCY account with a bank

outside India for the purpose of crediting to it

foreign exchange earnings from operations.

Further, payments in foreign exchange arising out

of its own or its subsidiaries' sales/exports have

been allowed as a permissible credit to an Indian

start-up's exchange earners account.

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The Reserve Bank has also liberalised the approval

process for setting up liaison/branch/ project

office in India to ease doing business in the

country. Transfers between non-resident ordinary

rupee (NRO) accounts have been permitted.

Further, NRIs and persons of Indian origin (PIOs)

have been permitted to open NRO accounts jointly

with other NRIs/PIOs. Authorised dealer (AD)

banks have to obtain declarations from their clients

that remittances from their respective NRO

accounts are legitimate and not external

borrowings. Non-residents having a business

interest in India are permitted to open a repatriable

special non-resident rupee (SNRR) account with

balances commensurate with business operations.

An Indian company receiving foreign investment

under the FDI route has been permitted to open

and maintain an FCY account with an AD in India

provided it has impending FCY expenditure, which

however needs to be closed immediately after the

requirements are completed or within six months

from the date of opening of such account,

whichever is earlier.

Despite marginal pick-up in economic growth and

credit off-take, the Indian banking system

continued to battle with the challenge of rising

NPAs during 2015-16. As a supervisory action, RBI

initiated an “asset quality review” during the year

following which banks recognized stressed assets,

there by taking a hit on profitability with higher

provisioning. To foster competition in the banking

system and with an aim to take banking services to

under-served segments of the population, RBI

allowed entry of new players with the establishment

of small finance and payments banks.

To address challenges posed by the recent growth in

banking consumers following the implementation

of the Pradhan Mantri Jan-Dhan Yojana (PMJDY),

for customer services and protection RBI

operationalised the Charter of Customer Rights. It

also undertook a comprehensive review of the

Banking Ombudsman (BO) scheme. Thus, the year

witnessed a slew of policy actions in pursuance of

the three pillars envisaged by the Reserve Bank for

improving the regulation and supervision of the

financial sector, ., strengthening the banking

structure through new players; expanding financial

access; and improving the system's ability to deal

with distress.

The Financial Stability Unit (FSU) within the

Reserve Bank is responsible for macro-prudential

surveillance by conducting periodic stress tests and

other tools, dissemination of information relating

to the status of and challenges to financial stability

through the bi-annual report, namely, Financial

Stability Report (FSR). It also acts as a secretariat to

the Financial Stability and Development Council,

a sub-Committee of the apex institutional

mechanism for financial stability in the country. In

2015-16, the stress testing framework was modified

to incorporate sectoral probability of defaults and

modeling corporate sector distress. The Sub-

Committee of FSDC review various issues which

includes central know your customer registry,

International Financial Services Centre,

development of corporate bond market, peer-to-

peer (P2P) lending, regulation of credit guarantee

schemes, risks in deposit mobilization by multi-

state co-operative societies. A sub-group of FSDC

also looked into the range of issues like legal entity

identifier (LEI), a regulatory framework for NBFC-

account aggregator (AA), securitization, a single

entity undertaking multiple activities.

Regulation, Supervision and Financial

Stability

,

viz

Financial Stability Unit

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Regulation of Financial Intermediaries

Department of Banking Regulation (DBR)

regulates commercial banks and has proactively

addressed both the time and cross-sectional

dimensions of risks to preserve systemic stability. It

also focused on developing an inclusive and

competi t ive banking structure through

appropriate regulatory measures. In 2015-16, the

RBI strengthened the regulatory framework for

dealing with stressed assets, introduced the Scheme

for Sustainable Structuring of Stressed Assets and

passed Insolvency and Bankruptcy Code to

improve the framework for resolution of corporate

entities, partnership firms and individuals in a

time-bound manner. To improve recovery, it

amended many of its Acts.

As an initiative towards financial inclusion

through a bouquet of banking products, including

small credit, small savings and payments/

remittances, the Reserve Bank issued in-principle

approval for setting up of 11 payments banks and

ten small finance banks (SFBs) in September 2015

and October 2015, respectively. The first SFB

license was granted to Capital Small Finance Bank

Limited in March 2016 while the first payment

bank license was granted to Airtel Payment Bank

Ltd. in April 2016. To determine transparent

lending rates and strengthen monetary

transmission, banks were mandated to price their

credit using the marginal cost of funds based

lending rate (MCLR) as the internal benchmark.

In August 2016, RBI released guidelines for on-tap

licensing of universal banks with the objective to

encourage greater competition and innovation in

the system. In February 2016, banks were advised to

comply with the Indian Accounting Standards

converged with IFRS in the preparation of

financial statements for the accounting periods

beginning April 1, 2018. Following the

announc emen t i n th e Fo l l ow ing th e

recommendations made by the Committee to

Review Governance of Boards of Banks in India,

the Banks Board Bureau (BBB - which started

functioning from April 8, 2016) was set up by the

central government with support from the Reserve

Bank to infuse greater professionalism in the

constitution and operation of the boards of PSBs.

For 2016-17, RBI intends to finalize the policy on

prudential and implementation aspects of the

expected credit loss approach, guidelines for

computing exposure for counterparty credit risk

(CCR) arising from derivative transactions and

capital requirements for bank exposures to central

counterparties as well as margin requirements for

non-centrally cleared derivatives.

During 2015-16, steps such as early recognition of

financial distress; prompt steps for resolution and

fair recovery for lenders, risk weights assigning to

exposures to central/state government/s and

claims guaranteed by state governments; risk

weights with respect to investments in corporate

bonds by standalone primary dealers; and strategic

debt restructuring and refinancing of project loans

had been taken.

The Reserve Bank introduced the revised format for

central repository for information on large credits

(CRILC) reporting for improved data collection

from banks from the quarter ended September

2015. A new framework for fraud detection,

reporting and monitoring was rolled out in May

2015. A Central Fraud Registry for the use of banks

was operationalized on January 20, 2016. An

Expert Panel on IT Examination and Cyber

Security, set up by the RBI, is expected to provide

assistance in IT examination/cyber security

initiatives of banks, review examination reports

and suggest actionable items during 2016-17.

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Public debt management

During the year, the Reserve Bank successfully

managed the large borrowing programme of the

central government and the states in an orderly

manner in the face of multiple challenges

including reduction in HTM category of banks'

investments, reduction in SLR in an environment

of tight liquidity, increased issuances by state

governments and global uncertainties.

The central government in consultation with the

Reserve Bank designed a Sovereign Gold Bond

Scheme (SGB) as an alternative to the purchase of

metal gold. The Reserve Bank manages the scheme

on behalf of the Government and issued three

tranches of SGBs during the fiscal year 2015-16.

Further, the Government of India (Ministry of

Power) had formulated the Ujwal DISCOM

Assurance Yojana (UDAY) scheme on November

20, 2015 with the objective to improve operational

and financial efficiency of the state DISCOMs. The

Reserve Bank during 2015-16 issued UDAY bonds

for a total amount of 990 billion with a fixed

spread of 75 bps over the FIMMDA g-sec yield. In

2016-17 so far, the issuance spread ranged between

63-74 bps for 495 billion.

Gross market borrowings of 6,000 billion were

proposed in the Union Budget 2015-16 through

dated securities, of which 150 billion was

allocated for issue of SGBs. The actual gross market

borrowings through dated securities were 5850

billion and the net borrowings were 4406 billion

which funded 82% of the gross fiscal deficit as

against 89 percent in the previous year. The net

market borrowings of the central government, (i.e.,

through dated securities and T-bills) declined to

4,530 billion in 2015-16 from 4,778 billion in

2014-15.

The Reserve Bank continued with the policy of

passive consolidation of g-secs by way of

reissuances. Out of 161 securities auctioned in

2015-16, 154 securities were reissues of the existing

securities. In order to manage the maturity profile

and reduce rollover risks of the government debt in

a proactive manner, buybacks and switches were

conducted in the fourth quarter of 2015-16 for an

amount of 749 billion ( 579 billion in the

previous year). This has modulated redemption

pressures and reduced the quantum of gross

borrowing requirement for 2016-17. Reflecting the

strategy of maturity elongation, the weighted

average maturity of borrowings increased to 16.0

years in 2015-16 from 14.7 years in 2014-15.

Consequently, the weighted average maturity of

outstanding debt increased to 10.5 years in 2015-16

from 10.2 years in 2014-15. To cater to the demand

from long-term investors like insurance companies

and pension funds, a 40-year security was also

issued in 2015-16.

A Medium Term Debt Management Strategy

(MTDS) was formulated by the Reserve Bank in

consultation with the Government and placed in

the public domain on December 31, 2015. The

MTDS has been articulated for a period of three

years (2015-16 to 2017-18). It is premised on three

broad pillars: low costs, risk mitigation and market

development in line with the sound international

practices while factoring in domestic economic

and financial conditions.

The net issuance of T-bills was lower during 2015-

16 than in the previous year. The yields on T-bills

softened during the year reflecting the easing

interest rate regime. Primary Dealers (PDs)

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Debt Management of the Central Government

Debt Management Operations

Medium Term Debt Management Strategy

Treasury Bills

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individually achieved the stipulated minimum

success ratio and their aggregate share in T-bill

auctions stood at 75.4% in 2015-16, down from

77.2% during 2014-15.

The Government's WMA limits for the first and

second halves of 2015-16 were fixed at 450 billion

and 200 billion, respectively. The Government's

cash position was largely comfortable as it started

the year with a large cash balance of 1,573 billion.

Recourse to WMA was limited to 16 days in 2015-

16 vis-à-vis 61 days in the previous year (including

16 days of overdraft), reflecting relatively fewer

gaps between receipts and expenditures. The

average utilization of WMA was lower at 187

billion as compared to 236 billion in 2014-15.

Gross market borrowings of the states increased to

2,946 billion during 2015-16 through the issuance

of 298 securities as compared to 2,408 billion

mobilised through 282 securities in the previous

year. Despite increased supply, the weighted

average yield of SDLs during 2015-16 was lower at

8.28% as compared with 8.58% in the previous year,

reflecting the easing interest rate regime. However,

the weighted average spread over the comparable

central government securities increased to 50 bps

from 38 bps during the previous year on concerns

over increased supply due to UDAY bond

issuances.

Investments by states in Intermediate Treasury Bills

(ITBs) of the central government increased during

the year. The daily average investments in ITBs

increased marginally to 749 billion in 2015-16

from 731 billion in the previous year. Further,

while the outstanding amount in Auction Treasury

Bills (ATBs) continued to decline in 2015-16, the

declining trend in investments in ITBs reversed

over the same period. During 2015-16, eleven states

availed Special Drawing Facility (six states in 2014-

15), eleven states availed WMA (10 states in 2014-

15) and nine states availed Over Draft facility from

the Reserve Bank in 2015-16 (10 states in 2014-15).

The monthly average utilization of WMA and OD

by the states was higher during 2015-16 than that

during 2014-15.

Source : www.rbi.org.in

Cash Management of the Central Government

Debt Management of State Governments

Cash Management of State Governments`

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The Financial Stability and Development Council

Sub-committee (FSDC-SC) in its meeting held on

September 10, 2015 decided to constitute a

Working Group on Corporate Bonds with

representation from the Ministry of Finance,

Government of India and all the regulators with the

remit to guide the implementation of the

recommendations made by all the earlier

committees and suggest further measures that may

be taken to develop the corporate debt market. The

recommendations of the Committee released in

August 2016 are:

1. Frequent debt issuers may club all issuances

during a quarter under the same umbrella ISIN

to enhance liquidity of the issuance. These

issuers may come out with a feasible maturity

structure wherein they can stagger the

redemption amount across the year by

amortizing the repayments. Reissuances to be

exempt from Stamp Duty and review of

Corporate Governance norms for companies

with only listed debt securities.

2. SEBI to have a relook at October 2013

guidelines to clarify on day count convention,

shut period, basis for yield calculation,

calculation of coupon interest and redemption

with intervening holidays with illustrations.

3. Required notification to be issued by RBI by

August-end 2016 to allow FPIs to invest in

unlisted debt securities and pass through

securities issued by securitizations SPVs /

Special Purpose Distinct Entity (SPDE).

4. Amendments in FEMA and SEBI guidelines to

facilitate direct trading in corporate bonds by

FPIs in the OTC segment and on an electronic

platform of a recognized stock exchange, with

no involvement of brokers.

5. Amendment in RBI guidelines so that the credit

exposure of a protection buyer in credit default

swaps shall be on the protection seller.

6. Stock exchanges may operationalize market

making scheme in corporate bonds.

7. Regulated entities like banks, PDs other than

brokers to be encouraged to act as market

makers. RBI to examine members of debt

segment of exchanges to access the repo market

in corporate bonds to enable market making.

8. The Electronic Book Mechanism for private

placement of debt securities, currently

mandatory for issuances over 500 crore, may

be extended to all primary market issuances.

9. An acceptable mechanism for daily valuation

of corporate bond holdings to be developed

either by the Financial Benchmarks India Pvt.

Ltd. (FBIL) or credit rating agencies.

10. The penalty structure in place for default in

delivery of debt securities/funds for trades

subject to CCP clearing to be reviewed in order

to prescribe prudent yet reasonable penalty or

an alternative mechanism of borrowing

through corporate bond repo to be explored to

ensure settlement.

11. CRAs may be mandated to strictly adhere to the

regulatory norms with regard to timely

disclosure of defaults on the stock exchanges

and their own website and also publish credit

rating transition matrix more frequently.

12. Banks may be encouraged to submit loan

overdue information to CICs on a weekly basis

to start with.

13. A centralized database for corporate bonds

covering both primary and secondary market

segments may be established expeditiously in

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Report of the Working Group on Development of Corporate Bond Market in India

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two phases, for secondary market trades by end

August 2016 and for both primary and

secondary market by end October 2016.

14. Amendments may be carried out in the RBI

Act, 1934 to provide complete clarity on the

legal position relating to netting of OTC

derivat ive contracts . Pending these

amendments, the possibility of permitting

netting keeping in view the existing legal

provisions and banking practices may be

explored expeditiously.

15. An electronic dealing platform with CCP

facility similar to the CROMS platform in the

G-Sec market may be introduced. An electronic

dealing platform without CCP facility may also

be introduced for bonds for which CCP facility

may not be feasible.

16. FIMMDA may consult market participants to

develop a commonly acceptable market repo

agreement for execution among the market

participants by end September 2016.

17. Guidelines on Tripartite repo on corporate

bonds may also be introduced by

depositories/other entities in consultation with

SEBI by end September 2016.

18. Entities authorized as market makers in

corporate bond market, including the brokers,

may be allowed to participate in the repo

market executed on electronic platform linked

to guaranteed settlement

19. Insurance companies and EPFO may be

allowed to invest in AT-1 bonds of banks subject

to prudential limits with credit rating upto

investment grade.

20. The maximum investment ceiling of 2% of the

total portfolio of the funds in AT-1 instruments

stipulated for non-Government PFs may be

reviewed for relaxation.

21. Corporate bond index may be introduced by

the Stock Exchanges/other entities.

22. Initially the upper limit for PCE by the banking

system as a whole may be enhanced to a higher

limit with no single bank having exposure of

more than 20 per cent of the bond issue size by

end August 2016.

23. Guidelines to be issued by end-August 2016

regarding reduction of capital requirements of

banks on account of PCE in case of

improvement of base rating of project.

24. A separate regulatory framework may be

formulated for providing credit enhancement

of corporate bonds by NBFCs engaged in such

activities.

25. RBI to issue guidelines to ensure that large

corporates with borrowings from the banking

system above a cut-off level may be required to

tap the market for a portion of their working

capital and term loan needs.

26. After introduction of measures like tripartite

repo and repo on electronic dealing platform

with CCP facility, RBI may explore the

possibility for accepting corporate bonds for

LAF operations with suitable risk management

framework.

27. Legal basis may be examined expeditiously to

remove the technical obstacles for RBI to accept

corporate bonds as collateral under LAF repo as

and when the Scheme is introduced.

28. The stamp duty on debentures should be made

uniform across states and be linked to the tenor

of securities within an overall cap.

29. In order to achieve the objective behind the

Bankruptcy Code, issues such as early

notification of the rules, development of

insolvency professionals, tribunal/court

infrastructure and information utilities and

quick redressal of the transitional problems

may be addressed with priority.

Source : www.rbi.org.in

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There are increasing concerns that the digital

economy is in large part absent from our statistics.

This paper attempts to address the multitude of

measurement issues raised by digitalisation. There

is a broad convergence around the idea that one of

the manifestations of the digital economy is peer-

to -peer (P2P) or consumer- to -consumer

t r an s a c t i on s f a c i l i t a t ed by web - b a s ed

intermediaries in the corporate sector. According

to the authors, GDP, atleast conceptually, captures

all of the related transactions and value-added

created. The difference only lies on the scale of such

transactions.

The first question is whether the current tools

available to statistical offices can accurately capture

the intermediation fees charged by the new digital

intermediaries . To the extent that the

intermediaries are registered in the national

territory, their activity is likely to be captured in the

accounts as other registered entities. Where the

entities are not registered in the national territory

and, so, the transactions between households and

the intermediary are cross border, complications

may arise. To what extent statistical information

systems are able to accurately measure the scale of

market transactions in dwelling services between

households is difficult to say. For long-term

lettings, there is not likely to be a significant degree

of under-recording, unlike however, for short-term

occas iona l l e t t ings . Advent of dig i ta l

intermediaries has increased the scale of such

transactions; however there are two important

factors to consider in assessing the impact on GDP.

First, the imputation already included in the

national accounts for dwelling services, accounting

albeit for some loss in value; and second, the

intermediaries themselves provide the scope to

improve measurement via registration and records

of transactions for tax purposes.

The emergence of a wide host of intermediary

service providers is likely to have significantly

increased the scale of these activities One possible

solution provided by the intermediaries is that

their turnover will reflect the underlying activities

conducted, and additional administrative

information may also be available relating to hours

worked and sector of activity.

A third important platform of the sharing

economy relates to the intermediaries bringing

together buyers and sellers of goods. Inmost

countries, the standing assumption is that the

distribution margin is negligible or indeed zero.

For those unincorporated enterprises able to

achieve scalability there is an increased likelihood

of registering their activity for tax purposes,

especially if they cross the VAT registration

threshold and almost certainly if their customer

base expands to corporations. For all other

unincorporated enterprises, the assumption

remains that transactions for each unit are not

likely to be significant.

Crowd-funding and Peer-to-Peer lending have

emerged as not insignificant new sources of

a l t e rna t ive f inanc ing in recent yea r s .

Notwithstanding issues relating to cross-border

trade, the value-added of the intermediaries,

typically captured through explicit fees, will be at

least in theory, captured in GDP. It is important to

note, however, that whilst these fees are a return for

the liquidity transformation services provided by

the P2P intermediaries, they are not the same thing

Measuring GDP in a Digitalised Economy

Nadim Ahmad, Paul Schreyer, OECD Statistics

ARtICLE

SUMMARY

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as Financial Intermediation Services Indirectly

Measured (FISIM), because the transactions are

explicit, with the gains from the intermediation

services accruing to the creditors, and the

intermediaries are not classified as financial

intermediaries with deposits and/or loans.

There has been a long standing critique that many

services provided by households for their own

consumption could in theory be provided by a

third-party and so should be included in the

production boundary. But these have not been

included, partly on the grounds that they would

create other distortions to GDP that would render

GDP almost meaningless as a measure of economic

activity and a tool for policy making, and partly

because of the valuation difficulties.

The System of National Accounts does not provide

prescriptive guidance on when durables should or

should not be included as investment when they are

used both for own-use and also in production by

unincorporated enterprises. As such it is not clear

whether current national compilation systems use

the same qualifying criteria and, therefore, are

necessarily able to capture increased investment

that may have taken place from those individuals

choosing to benefit from the increased market

a c c e s s p rov ided by in t e rmed ia r i e s . A

reclassification of consumer durables as

investment does not affect GDP but has a direct

bearing on measures of capital, and by implication,

multi-factor productivity.

Free digital products for consumers are frequently

put forward as examples of output or consumer

welfare that goes unnoticed in GDP figures.

Because there is no explicit payment by the

consumer there is an argument that GDP is

underestimated by the value of the free services

received. But this overlooks the fact that, under the

'free' model, the consumer does indirectly pay

through the higher prices paid for advertised

products. Hence, other things being equal, overall

GDP would be equal in both cases.

The second avenue for the financing of free digital

products is collecting and commercially exploiting

the vast amounts of data generated by users of

digital products. Since there is no obvious proxy

like in the advertising model to establish the value

of the services provided for free, arriving at

measurement estimates is complicated. it is likely

that it is only when databases are sold in their

entirety that the full value of databases will be

recorded in the accounts, that too as goodwill, and

not contributing towards GDP.

Conceptual difficulties also emerge when

considering the creation of 'public goods' using

labour provided for free, and where financing is

typically only provided by donations. Assets that

have not been produced freely but are available for

free are included in the accounts and balance

sheets. Where the associated costs of production are

zero, it follows that these will not be included in the

valuation of the final asset.

With the exception of mineral exploration and

evaluation, Intellectual Property Products (IPPs)

are subject to substantial international trade. The

issue is whether the flows necessarily align with

national accounts concepts of ownership, since

taxes are paid and recorded on the basis of legal

ownership, and adjustments that relocate assets to

the territory of the economic owner actually using

them in production would result in further

imputations of somewhat incongruous cross-

border taxes. This is partly mitigated by balance of

payments income flows but not in entirety or

necessarily in the same time period. Productivity

estimates may also be affected, because the

transferred IPP may not always be captured in cross-

border international trade statistics.

ARtICLE

SUMMARY

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Digitalisation also creates significant challenges

for prices and consequently volume based measures

of GDP and productivity. With products becoming

more unique, price comparisons that control for

quality differences become more complicated.

Proxy estimates that employ comparable price

changes over comparable products may limit the

scope of potential errors on volume estimates.

Concluding, the authors point out that in many

areas that affect both GDP and productivity,

practical measurement of the effect of digitisation

remains a challenge, as conventional methods may

no longer be appropriate to measure flow of

transaction generated, and hence this reinforces the

need to complement GDP with other indicators

that capture well-being.

Source: www.oecd-ilibrary.org

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Collateral plays a vital role in ensuring the efficacy

of the financial system by supporting a substantial

range of transactions. However, collateral markets

have the potential to disrupt financial markets, not

least given that during periods of financial folly,

demand for high-quality collateral tends to

transcend the supply of such collateral. The

reduction in willingness or inability of market

participants to act as intermediaries in collateral

markets is likely to have serious repercussion for

market functioning. Keeping this in mind, this

paper offers a means to estimate how this potential

imbalance between collateral supply and demand is

likely to vary as a function of market stress.

Collateral refers to securities pledged to secure

loans and other counterparty exposures to support

a vast range of market-based transactions. By doing

so, it mitigates counterparty credit risk and

provides guaranteed liquidity to market

participants. During the 2007-2008 Great Financial

Crisis, the quantity of high-quality securities made

available for use as collateral precipitated in the

wake of perceptions of increased counterparty

credit risk and due to unanimous urge among

market participants to deleverage. Such panic

engulfing the financial world rendered it impotent

in credit transmission.

Given these developments, it is perhaps not

surprising that recent regulation has sought to

reduce some of the procyclicalities associated with

collateral. Such regulation includes a set of

numerical haircut floors for non-centrally cleared

securities financing transactions. The regulatory

minimum leverage ratio introduced under Basel III

has the prerogative to constraint credit expansion

among financial intermediaries during periods of

benign market conditions. These measures taken

together will dampen procyclicalities witnessed

during crises.

There is some evidence that, during the recent

crisis, intermediation activity of broker-dealers

reduced considerably, as falls in asset prices forced

such firms to deleverage. As market strain

intensifies, the ability and willingness of these

institutions to obtain the requisite leverage to

perform this intermediation tends to decline. This

may also include a sudden inability of market

participants to obtain the collateral they need to

manage the risks associated with their business,

including payment of initial margin on derivatives

transactions. While the aggregate supply of high-

quality collateral (i.e. the amount of high-quality

securities outstanding) is vast but only a small

percent of high-quality assets held by owners

participating in securities lending programmes are

actually available for loan. This is probably in part

due to regulatory bottlenecks on institutional

investors that prevent them from engaging in

securities lending transactions on a larger scale.

The overall approach in the paper is based on a

simple model of market participant behaviour, and

how this varies as a function of two variables,

together are used to capture the degree of stress in

financial markets; these are: i) VIX volatility index;

and ii) average credit default swap (CDS) premia on

senior unsecured debt of Global Systemically

Important Banks. A simple linear regression in the

paper suggests that a 10 basis point increase in

average dealer CDS premia is associated with a 0.20

percentage point reduction in the proportion of

beneficial owners' securities available for loan.

Using a range of global data on repo and securities

The role of collateral in supporting liquidity

Yuliya Baranova, Zijun Liu and Joseph Noss, Bank of England

ARtICLE

SUMMARY

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lending transactions, the authors' estimate that the

average length of the 'supply chain' for high-quality

collateral to be around 3.90; that is, every unit of

collateral passed between those that supply to those

that demand it passes through an average of 3.9

intermediaries.

The quantity of equity that dealers are willing to

allocate to securities financing transactions is

modelled as a decreasing function of market stress.

The intuition is that as market stress intensifies,

dealers experience losses that reduce the value of

their capital (including equity allocated to

repo/reverse repo transactions).As market stress

and hence asset volatility increases, the threat of

insolvency causes shareholders' optimal choice of

leverage to fall, reducing dealers' capacity to act as

intermediaries. Throughout, this constraint on

dealers' leverage is assumed to match that imposed

by the regulatory minimum leverage ratio. This is

assumed to be 3% (equity as a proportion of total

assets), in line with the internationally agreed

Basel III standard.

This paper identifies and quantifies a number of

procyclical behaviours of market participants that

cause their supply of, and demand for, high-quality

collateral as well as their willingness and/or ability

to act as intermediaries in the market for securities

financing transactions to decrease/increase in

response to market stress. These include increased

perceptions of counterparty risk and the likelihood

that key financial intermediaries may seek to

deleverage.

Source: www.bankofengland.co.uk

ARtICLE

SUMMARY

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WHAT'S NEW

InternationalDevelopments

• Bank of England's MPC voted for a package of measures designed to provide

additional support to growth and to achieve a sustainable return of inflation

to the 2% target comprising of: a 25 bps cut in Bank Rate to 0.25%; a new

Term Funding Scheme to reinforce the pass-through of the cut in Bank Rate;

the purchase of up to £10 billion of UK corporate bonds; and an expansion

of the asset purchase scheme for UK government bonds of £60 billion,

taking the total stock of these asset purchases to £435 billion. The last three

elements will be financed by the issuance of central bank reserves.

• Bank of England cut its growth forecast for 2017 to 0.80% and 1.80% in

2018. BoE Governor Mark Carney declared that all elements of the stimulus

can be taken further, including another rate cut.

• Reserve Bank of Australia lowered the cash rate by 25 bps to 1.50%, effective

August 3, 2016 in a bid to counter disinflation and support the labor

market.

• Reserve Bank of Australia said the outlook for the currency and China are

key uncertainties to its growth and inflation forecasts, which were otherwise

little changed.

• Reserve Bank of New Zealand reduced the Official Cash Rate by 25 bps to

2.0% and highlighted the need for further policy easing as it struggles to

head off the dangers of deflation.

• Fed Chair Janet Yellen said the case for raising interest rates had

“strengthened” but did not provide the timeline. Fed vice-chairman Stanley

Fischer said an increase was a possibility in September.

• Federal Reserve Vice Chairman Stanley Fischer signaled that a 2016 rate hike

is still under consideration as the economy is already close to meeting the

Fed's goals and growth will gain steam.

• The People's Bank of China said it will use multiple tools to keep liquidity at

reasonably ample levels and maintain reasonable credit growth in the second

half.

• The People's Bank of China said frequent reductions to lenders' reserve

requirements would add too much liquidity to the financial system, lead to

yuan depreciation expectations fuelling speculative currency trading and

also spur declines in borrowing costs.

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WHAT'S NEW

InternationalDevelopments

• The People's Bank of China said it plans to push the yuan's global use by

seeking more cooperation with other countries and improving the

infrastructure needed to support wider use of the currency.

• The People's Bank of China gave more signals about its evolving monetary

policy stance, flagging continued use of liquidity tools rather than further

cuts to interest rates or reserve ratios.

• Bank of Korea holding the seven-day repurchase rate at 1.25% deferred

further policy action until a clearer picture of the economy's path emerged.

• BOE Chief Economist Andy Haldane said monetary policy can't fully

insulate Britain from the long-term effects of Brexit.

• The minutes of the latest FOMC meeting show that officials encouraged by a

rebound in job growth believed that near-term risks to the US economy had

subsided and that an interest rate increase could soon be warranted.

• Federal Reserve Bank of San Francisco President John Williams called for

monetary and fiscal policy makers to rethink the way they operate.

• Japanese Prime Minister Shinzo Abe's cabinet approved $132 billion in

fiscal measures even as the Bank of Japan fought market speculation that it is

preparing to put the brakes on monetary stimulus for the world's third-

biggest economy.

• Real GDP in the US increased at an annual rate of 1.10% in the second

quarter of 2016 as per the second estimate vs 1.20% in the advance estimate.

In the first quarter, real GDP increased 0.80%.

• Japan's economy grew an annualized 0.20% in the April-June quarter while

posting flat growth on quarterly basis.

• Eurozone GDP growth slowed to 0.30% in the second quarter.

• UK GDP growth was confirmed at 0.60% in the second quarter from 0.40%

in the first quarter.

• China's foreign-exchange reserves declined marginally by $4.10 billion to

$3.20 trillion in July.

• China's trade surplus widened to $52.30 billion in July amid sluggish

exports reflecting tepid global demand, while deteriorating imports raise

concern domestic conditions may be weakening anew.

• The US Labor Department said its producer price index for final demand

dropped 0.40% in July.

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WHAT'S NEW

Indian Economy • The Central Government, in consultation with RBI, fixed the inflation

target for the period beginning from August 5, 2016 and ending on the

March 31, 2021, as 4% with the upper tolerance level at 6% and the lower

tolerance level at 2%. The Government also notified the statutory and

institutionalized framework for monetary policy.

• The Rajya Sabha voted to approve the constitutional amendment that will

help usher in the GST.

• The Finance Ministry said that all efforts are being made to roll out GST

from April 1, 2017, and allayed fears that it will have an impact on inflation

even if the rate is kept at 20%.

• GDP at constant (2011-12) prices in Q1 of FY17 is estimated at 29.17 lakh

crore ( 27.24 lakh crore in Q1 of FY16), showing a growth rate of 7.10%.

Quarterly GVA at Basic Price at constant (2011-2012) prices for Q1 of FY17

is estimated at 27.38 lakh crore showing a growth rate of 7.30%, as against

25.51 lakh crore in Q1 of FY16.

• India registered a fiscal deficit of 67,164 crore during July 2016, a decline

of 31.75% over the fiscal deficit of 98,408 crore in July 2015. The fiscal

deficit during April-July 2016 accounted for 73.70% of the budgeted

estimates of 5,33,904 crore for 2016-17.

• India's exports declined 6.84% in July 2016 to $21.69 billion from $23.28

billion in July 2015. Imports fell 19.03% to $29.45 billion from $36.37

billion. The overall trade deficit for April-July 2016 was estimated at

US$10.80 billion which was 63.38% lower than the deficit of US$29.49

billion during April-July 2015.

• The Index of Industrial Production (IIP) grew 2.10% in June 2016 against

4.20% growth in June 2015. The IIP grew 0.60% in April-June 2016 as

against growth of 3.30% in April-June 2015.

• The eight core industries with a combined weight of 37.90% in the Index of

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• China's CPI rose 1.80% in July while producer prices fell 1.70% from a year

earlier.

• Consumer-price growth in the U.K. increased to 0.60% in July from 0.50%

in June.

• The Financial Stability Board warned that the world's biggest banks still

cannot be wound down in an orderly manner.

InternationalDevelopments

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WHAT'S NEW

Industrial Production (IIP) grew 3.20% in July 2016 as compared to growth

of 1.30% in July 2015. Cumulative growth for April-July 2016 was 4.90%, as

against 2.20% growth in April-July 2015.

• Provisional annual inflation rates based on all India general CPI Rural,

Urban and Combined for July 2016 on point to point basis are 6.66%, 5.39%

and 6.07% (6.29%, 5.26% and 5.77% in July 2015). Inflation rates (final) for

Rural, Urban and Combined for June 2016 are 4.35%, 2.94% and 3.69%

respectively.

• The annual rate of inflation, based on monthly WPI, stood at 3.55%

(provisional) for July 2016 as compared to 1.62% (provisional) for May 2016

and -4.0% during July 2015. The annual rate of inflation based on final index

was higher at 1.24% for May 2016 as compared to 0.79% reported earlier.

• The year-on-year inflation measured by monthly CPI-IW stood at 6.46% for

July 2016 as compared to 6.13% for June 2016 and 4.37% during July 2015.

• Point to point rate of inflation based on the CPI-AL and CPI-RL increased

from 5.98% and 6.07% in June 2016 to 6.69% and 6.53% in July 2016

respectively.

• India's holding of US Treasury Securities at the end of June 2016 stood at

$117.20 billion vis-à-vis $118.0 billion at the end of May 2016.

• Direct tax collections upto July 2016 indicate net revenue collections of

1.59 lakh crore, a growth of 24.01% over corresponding period in FY16 and

18.82% of the Budget Estimates of direct taxes in FY17.

• Indirect tax collections upto July 2016 indicate net revenue collections of

2,71,719crore a growth of 29.90% over the corresponding period and

34.90% of the Budget Estimates of indirect taxes.

• India's mutual fund sector hit a milestone of 15.18 lakh crore in assets

under management in July.

• S&P said supportive monetary and fiscal policies can help India achieve 8%

growth in the next three fiscals, but if reforms do not get further momentum

then its economic "outperformance" could be short-lived.

• As per S&P Indian state-run banks will need 2.50 lakh crore capital infusion

over the next three years to meet Basel-III requirements.

• Moody's Investors Service retained India's growth forecast at 7.50% for 2016

but revised upwards estimates for China to 6.60% citing strong fiscal and

monetary support.

• Moody's Investors Service said continued reforms to enhance business

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Indian Economy

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WHAT'S NEW

• Dr. Urjit R Patel has been appointed as the new Governor of RBI for a period

of three years with effect from September 4, 2016.

• The 559th meeting of the Central Board of the RBI was held on Thursday,

August 11, 2016 at Mumbai. The Board approved the transfer of surplus of

the RBI for the year 2015-16 amounting to 658.76 billion to the

Government of India.

• RBI announced measures for development of fixed income and currency

markets.

• RBI identified State Bank of India (SBI) and ICICI Bank as Domestic

Systemically Important Banks (D-SIBs) in 2016 and retained their bucketing

structure as in 2015.

• Sovereign Gold Bonds (issued on February 8, 2016 and March 29, 2016,

respectively) shall be eligible for trading on the stock exchanges from August

29, 2016 (Monday).

• RBI notified the operational guidelines for the Sovereign Gold Bonds 2016-

17 Series II.

• The issue price of the Sovereign Gold Bond 2016-17 Series II has been fixed

at 3,150/- (Rupees Three Thousand One Hundred Fifty only) per gram of

gold.

• The Sovereign Gold Bonds issued on August 05, 2016 shall be eligible for

trading from Thursday, September 01, 2016 on the stock exchanges.

• RBI notified the fixed timings for broadcasting of auction results and

allotment of GoI dated securities and T-Bills.

• RBI relaxed the eligibility conditions and other terms of participation in the

market repo transactions in government securities market.

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Reserve Bank of India:(Source:http://rbi.org.in)

environment and moderate inflation will help India achieve robust

growth but cautioned that rising contingent liability risks in the banking

sector could affect its credit quality. It expects GDP growth around 7.50%

for next two years.

• Moody's stated that RBI should continue with its policies and

communication showing commitment to achieve its inflation target.

• As per Care Ratings, the banking sector's NPAs almost doubled to 8.50%

in the first quarter driven by surging bad assets of state-run lenders.

• Goldman Sachs maintained its GDP growth forecast of 7.90% for this

fiscal.

Indian Economy

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WHAT'S NEW

• RBI clarified on the prudential norms for off-balance sheet exposures of

banks for restructuring of derivative contracts.

• RBI permitted banks to engage the services of its retired officials for assisting

in internal audit.

• RBI permitted brokers registered with SEBI and authorised as market

makers in corporate bond market to undertake repo/reverse repo contracts

in corporate debt securities.

• RBI notified the guidelines on enhancing credit supply for large borrowers

through market mechanism.

• RBI relaxed the aggregate exposure limit of banks regarding Partial Credit

Enhancement (PCE) to corporate bonds.

• RBI placed the draft circular on customer protection limiting liability of

customers in unauthorisedelectronic banking transactions for feedback.

• RBI notified on the modification in procedure for handling dishonour of

cheques.

• RBI sought comments on the draft large exposures framework.

• RBI notified on priority sector lending status for factoring transactions.

• RBI published the report of the working group on corporate bond market in

India.

• RBI released guidelines for 'on tap' licensing of universal banks in the

private sector.

• RBI notified the Master Circular on collection of direct taxes OLTAS.

• RBI issued Master Directions for exemptions from the provisions of RBI

Act, 1934.

• RBI reviewed the prudential norms for risk weights for exposures to

corporates, AFCs and NBFC-IFCs.

• RBI issued Master Directions for Non-Banking Financial Companies.

• RBI constituted a Committee on household finance.

• RBI notified on capacity building in banks and AIFIs.

• RBI notified the timeline for implementation of Indian Accounting

Standards (Ind AS) by All India Financial Institutions.

• RBI notified the revised reporting format for Financial Literacy Centres.

• RBI extended the deadline for Bharat Bill Payment Operating Units

(BBPOU) applicants to December 31st.

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Reserve Bank of India:(Source:http://rbi.org.in)

WHAT'S NEW

• RBI launched the 10th pilot round of quarterly services and infrastructure

outlook survey for Q2 FY17.

• RBI launched the 75th round of the quarterly Industrial Outlook Survey for

reference period Q2 FY17.

• RBI launched the September 2016 round of inflation expectations survey of

households.

• RBI launched the September 2016 round of Consumer Confidence Survey

(CCS).

• RBI released the summary of the electronic consultation with the Technical

Advisory Committee on Monetary Policy: August 2016.

• RBI released its Annual Report for 2015-16.

• RBI released 'Quarterly BSR-1: Outstanding Credit of Scheduled

Commercial Banks for March 2016'.

• RBI released the results of forward looking Surveys.

• RBI released data related to results of the 2015-16 round of the survey of

foreign liabilities and assets of the mutual fund companies.

• RBI released data on India's international trade in services for June 2016.

• RBI released data on overseas direct investment for July 2016.

• RBI released data on sectoral deployment of bank credit for July 2016.

• RBI released data on ECB/FCCB for July 2016.

CCIL • On September 8, 2016, CCIL conducted the 11th cycle of the

Portfolio Compression exercise in the OTC Interest Rate Swaps

market. The exercise achieved a compression of 84% and a market-

wide reduction of notional outstanding of 2,18,958.79 crore.

• FX-SWAP Dealing System registered its highest daily volume of USD

730.00 million on September 6, 2016.

• Trades on the ASTROID (the Anonymous IRS Dealing System)

recorded their highest level of 6,700 crore on September 14, 2016.

• CBLO volumes recorded their all-time high volumes of 1,16,232.60

crore on September 15, 2016.

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Speaking on evolution of Indian debt and

associated derivatives markets including product

innovation and regulator's dilemmas, Dr. Rajan

said that the recent positive attractiveness in the

debt market was primarily factored on stable and

low inflation, reluctance of public sector banks

(PSBs) to lend and latest reforms like SARFAESI

Act, Debt Recovery Tribunals and the new

Bankruptcy Code. The reluctance of full pass-

through benefits of policy rate cuts into bank

lending rates was an additional contributing factor.

The sharp rise in commercial paper outstanding in

the last two years confirms the shift in borrowing

preference of highly-rated firms and the bypassing

of banks to borrow from the CP market. The latest

reforms display the RBI's cautious liberalizing

approach in the fixed income and derivative

markets with focused objective of enhancing

growth and maintaining stability.

RBI had proceeded cautiously in last few years on

market development which helped to strengthen

macroeconomic stability and addressed concerns

related to vulnerabilities due to fragile global

financial markets. It also tried to enhance greater

participation to add liquidity in the market,

particularly in G-Sec market by providing market

access through NDS-OM and linking it to de-mat

accounts for retail participation. On other hand,

high quality corporate credits could migrate from

banks to debt markets in the competitive market

infrastructure setup. Although substantial

borrowing by many institutional players like

NBFCs from banks and speculative trading in the

fixed market generates risks, the innovative fixed

income products and derivatives can be used to

mitigate those risks and help stabilize the markets.

The interest rate future (IRF) is one of such

successful traded innovation in the recent period

which can be used by investors to gain or shed

interest exposures. However, there were some other

innovative products like Inflation Indexed Bonds

(IIBs) that did not get good market response.

Intuitively, financial innovations have two major

dimensionalities - first is a way to evade or avoid

taxes and regulations and second is risk mitigating

objective. Dr. Rajan suggested that innovative

instruments need to be designed appealing to

investor specifications along with tinkering option

to modify some feature depending on dynamics of

market responses and requirements (Sandbox

Approach), rather than creating tax or regulatory

arbitrage. He added that the regulator needs to

create the necessary infrastructure for financial

innovation. The setting up of the Financial

Benchmarks India Pvt. Limited (FBIL which is

building a series of market benchmarks) is one of

latest infrastructure development in the field of

financial innovation. Recently the RBI also relaxed

norms for institutional participation, giving

Foreign Portfolio Investors (FPIs) direct access to a

variety of markets including NDS-OM and

corporate bond trading and going forward for

other market segments. It also took a fundamental

decision to allow all participants a moderate open

position in the exchange rate market to manage the

exchange risk - which will also rectify market

imbalances, improving exchange market liquidity

and depth without imposing regulatory supports.

India as a current account deficit country depends

on foreign financing through foreign direct

investment and equity investment for its current

Dr. Raghuram Rajan at FEDAI, August 2016

Strengthening Our Debt Market

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account deficit financing. These foreign inflows

lead to deepening of debt and derivative markets

along with better price discovery and liquidity. On

the reform front, Dr. Rajan advocated giving

companies option to borrow in the currency they

want and how much they want to hedge. But given

India's weak bankruptcy system, there is moral

hazard built into unhedged foreign borrowing. In

case of rupee depreciation, severe problem may

arise when the issuance of short-term dollar or yen

denominated debt by infrastructure companies is

left unhedged. Hence the RBI encourages

companies without foreign exchange earnings to

either issue long term dollar bonds or rupee

denominated Masala bonds abroad. Dr. Rajan

advised that companies should issue Masala bonds

abroad in domestic currency which will

complement a vibrant domestic corporate bond

market.

Despite strong FDI flows to cover current account

deficit, the RBI has progressively expanded FDI

limits in government debt and also opened up

investment in state government debt with medium

term plan in process of strengthening of domestic

markets. It is liberalizing foreign inflow norms into

debt market steadily to improve the market depth

and liquidity. While he expressed his agreement

with the attractiveness of a globally issued dollar

denominated G-Sec especially in the yield-starved

world, he was against its suitability for India in

present market conditions due to associated

currency risks. Instead he suggested building out an

international quasi-sovereign rupee yield curve

which can be useful for better price discovery for

the rupee issuances.

Dr. Rajan also briefly discussed the RBI's effort to

even out the rupee yield curve. The RBI is trying to

bring more liquidity and better pricing through the

auctioning of term repo at the very short end, while

at long end, the apex bank is focused on more

illiquid securities through open market operations

so that the term curve evens out. RBI has also

initiated the process to amend the RBI Act to allow

it to conduct repos of corporate bonds with banks

and other financial institutions to bring liquidity

in the corporate debt market. Dr. Rajan advocated

for due diligence by credit rating agencies based on

qualitative and quantitative information about

corporate bank borrowings. RBI also keeps

vigilance on bank exposures to single/group large

corporations with risk concentration and is open

to imposing higher provisioning and capital

requirements for banks on such corporate lending

in the stress period. Dr. Rajan also emphasized on

greater clarification on obligations (including

guaranteed) of state governments to keep zero risk

weight without any explicit or implicit default or

restructuring of such obligations. He also touched

on the RBI's recent decisions to make lending

norms easier for banks to offer appropriate

amounts of credit enhancement, especially for

infrastructure projects.

Concluding his speech, Dr. Rajan said that as a

policy liberalizer, the RBI follows 'mini bang'

reform approach at a steady and irreversible pace to

re l a x p rud en t i a l r e gu l a t i on s w i t hou t

compromising systemic stability in the long run

instead of allowing risky routes of financing (either

through lower provisions or higher leverage or

ECBs) of infrastructure projects. It would be better

proposition for the Government to directly

subsidize such activities in case of their relevance of

national importance rather than for the RBI to

sacrifice systemic stability. A measured and well-

signaled liberalization of fixed income and

derivative markets will probably reap benefits of

deeper and more liquid markets, while minimizing

the risks associated with speculation, competition

and innovation.

Source: www.rbi.org.in

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Addressing the FICCI-IBA Annual Global Banking

Conference, Dr. Rajan discussed the challenges faced

by public sector banks in the new competitive

environment and some possible solutions for it. He

emphasized on improving the operational efficiency

of stressed assets and creating the right capital

structure, thus implying simultaneous action on two

fronts. Looking beyond stressed assets to growth,

there are interesting, profitable, and challenging

times ahead for the financial sector. Interesting as

the level of competition is going to increase

manifold, both for customers as well as for talent.

Profitable as new technologies, information, and

new techniques open up new business opportunities

and customers. Challenging as competition and

novelty constitute a particularly volatile mix in

terms of risk.

Speaking on these aspects, he said that new niche

banks are likely to begin business, resulting in

increased competition and profitability. India has

enormous project financing needs in the coming

days as several airports, railway lines, power plants,

roads and manufacturing plants are in the pipeline.

However, banks have to lower their risks of lending

by developing industry knowledge in key areas

through in-house expertise in project evaluation,

demand projections for the project's output, likely

competition, and expertise and reliability of the

promoter. They have to mitigate real risks where

possible, and share where not. The third element of

project structuring is an appropriately flexible

capital structure. Fourth, financiers need to put in a

robust system of project monitoring and appraisal,

including real-time monitoring of costs. Lastly, the

incentive structure for bankers has to be worked out

so that they evaluate, design, and monitor projects

carefully, and get rewards accordingly.

Competition among banks is increasing and ways of

delivering financial services are changing

tremendously forcing banks to discover strategies

using advantages such as convenience, information,

and trust to remain on the competitive frontier.

Authorities should ensure their actions are

institution, ownership, and technology neutral to

ensure that efficient customer-oriented solutions

emerge through competition. Further, authorities

like the central bank and the Government should,

over the medium term, reduce the differences in

regulatory treatment between public sector banks

and private sector banks, and more generally,

between banks and other financial institutions. The

differences can be mitigated if the government pays

an adequate price for mandates. However, mandates

should increasingly be paid for, and are easier to

achieve as the institutional and technological

underpinnings of financial services improve.

Among the various challenges faced by public sector

banks, the most pressing task is to clean up their

balance sheets. The other tasks include improving

governance and management, filling out the ranks

of middle management which are thinned out by

retirements, and recruiting talent with expertise in

project evaluation, risk management, and IT,

including cyber security. The Bank Board Bureau

(BBB), composed of eminent personalities with

integrity and domain experience, has taken over part

of the appointments process in public sector banks.

Over time, as the bank boards are professionalized,

executive appointment decisions should devolve

from the BBB to the boards themselves, while the

BBB should focus on appointing directors to

Interesting, Profitable, and Challenging: Banking in India Today

Dr. Raghuram Rajan, Governor, at FICCI-IBA Annual Banking Conference, August 16, 2016

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represent the government stake on the bank boards.

Management practices should be tightened as too

many loans are done without adequate due diligence

and without adequate follow up.

Banks could use the opportunity offered by

retirements to reorient hiring towards the skills they

need, and offer attractive rapid career progression

supported by strong training programs to new hires.

Public sector banks need to attract talent in

specialized areas by hiring laterally in small doses.

They should have more freedom to hire locally, and

pay wages commensurate with the local labour

market to have local information, be comfortable

with local culture, be locally accepted, and be

competitive in low-cost rural areas. The emphasis

should be on customer service and customer-centric

advice in order to recapture low-cost customer

deposits that are migrating elsewhere. Further, as

banks get cleaned up, and their boards are

strengthened, the focus should be on appropriate

structure as part of an overall rethink on strategy.

Since the performance of banks are monitored by

several authorities, it is important to streamline and

reduce the overlaps between the jurisdictions of the

authorities, and specify clear triggers where one

authority's oversight is invoked. Much of the

governance should be moved to the bank's board,

and public sector bank boards should be bound by

the rules same as of private sector bank boards. The

Department of Financial Services could move to a

program, coordinating and developmental role,

while the RBI would perform a purely regulatory

role. Lastly, Dr. Rajan urged banks to take a fresh

look at their systems, more importantly, the cyber

culture within the bank.

Source: www.rbi.org.in

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In his speech, Shri Mundra traced the reforms in the

banking industry with an emphasis on public sector

banks (PSBs).

PSBs came into existence with nationalization in the

year 1969/1980 with a banking scenario of highly

regulated credit flow, militant unionized

atmosphere (resistance to technology), stiff branch

authorization norms, loan melas, and opaque

income recognition & asset classification (IRAC)

norms. Post-reform years (after 1991) saw several far-

reaching reforms in banking industry such as

deregulation of credit processes and interest rate

structures, introduction of prudential IRAC norms,

licensing of banks in the private sector/part

divestment in PSBs, migration to CBS etc. By 2008,

banks' balance sheets were much stronger, growth

was strong and NPAs had come down from the peak

of around 12% to slightly over 2%. Two

developments followed, namely, the global financial

crisis and introduction of PPP model in

infrastructure building. Banks were enthusiastic,

rather major partners, in this newly opened field

supported by accommodative fiscal and easy

monetary policies. However, the process got plagued

by weak governance, lax underwriting, high

corporate leverage, several policy logjams. By June

2016, the gross NPAs to gross advances stood at

11.30% in case of PSBs with a net loss after tax of

20,006 crore (as of March 2016).

While some of the events were external and hence,

not in control of the banks' management, Shri

Mundra noted that the important lesson was that in

absence of strong structural and governance reforms,

consistency of the performance would always remain

susceptible to such events. He stated that the

immediate and overriding priority for PSBs is to

complete the clean-up of the banks' balance sheets

which is underway. Resultant provisioning needs,

coupled with meeting Basel III norms/migration to

IFRS and to capture due market share in growth

funding would entail recapitalisation of most of

these banks. Seeking this capital externally at this

stage may be difficult as also value eroding for the

majority owner.

Simultaneously this process has to continue to

bestow greater “governance autonomy” to these

banks. The government ownership of these banks

has resulted in crucial stability and resilience in

trying times. Immediate roadmap should, therefore,

be towards complete “managerial autonomy”. If the

Government remains the largest but not necessarily

majority shareholder, it still serves the intended

purpose. At the same time, it releases these banks

from multi-institutional oversights and overlapping

controls. There could be a reasonable apprehension

that such measures can adversely impact the

objectives of inclusive growth being attempted

through several national missions and schemes. He

however argued that advent of several new

institutions (as recently licensed by RBI), new

processes, digital advancements & competition

would ensure that these objectives are well

supported.

Shri Mundra later discussed the reform process,

beginning with the governance in banks and

followed by reforms in the area of operational risks,

customer service and technology. While noting that

`

Banking Sector Reforms: A Journey, Not a Destination

Special Address by Shri S.S.Mundra, Deputy Governor, Reserve Bank of India at India Banking Reforms Conclave 2016

organized by Governance Now in Mumbai on August 24,2016.

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the selection process has been made more objective

by actions such as setting up of BBB, and splitting

the post of CMD into a non-executive Chairman

and a CEO, he stated that going forward, BBB

should also cover selection of other Board members.

Other crucial points noted in this regard were

continuity of top management (wherein initial

appointment could be for 3 years with certain set

milestones, which if achieved, should earn

automatic extension for next 2 years) and an orderly

succession plan to ensure no abrupt changes in key

direction of the organization.

With respect to operational risks, he stressed on the

need to bring fraudsters as also errant valuers,

accountants, lawyers to book to stop them from

duping the system in future. Additionally, he

suggested a Fraud Registry and a Quick Response

Team at RBI to facilitate information sharing and

for closely tracking high-value fraud cases. He also

stated that strong centralized processing and

surveillance was needed as branches do not have the

capability to handle such areas effectively.

He further highlighted that bank boards would do

well to focus on the Governance issues with respect

to strategy and risk management. Boards should set

the “risk appetite” and ensure adherence of the same.

Further banks should put an enabling mechanism to

ensure that voice of middle/lower level functionaries

reaches the Top quickly.

Shri Mundra concluded by noting that while the

reform measures especially on governance have

achieved traction and attained a certain degree of

maturity, the need now is to accelerate this reform

process.

Source: www.rbi.org.in

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Market Roundup

Domestic Macroeconomic Development

The Union Cabinet has approved setting up of GST Council and setting up its Secretariat with its head office

at New Delhi. The Council will be headed by Finance Minister and comprises representatives of all 29 states

and two union territories. The revenue secretary would be Ex-Officio Secretary to the GST Council and

Chairman of Central Board of Excise and Customs (CBEC) would be a permanent invitee (non-voting) to all

proceedings of the GST Council. The centre will have one-third vote, states together will have a two-third vote

and any resolution would be adopted by three-fourth majority. The GST Council will decide on the rate of tax

under the new indirect taxation regime and will make recommendations to the Union and the States on the

important issues related to GST. The central GST (CGST) and Integrated GST (IGST) will be drafted on the

basis of the model GST law, while the states will draft their respective GST (SGST) laws with minor variation

incorporating state-based exemptions. The IGST law would deal with inter-state movement of goods and

services.

According to Central Statistics Organization (CSO) latest data release, Indian economy grew at 7.09% (real

GDP growth) in the Q1:2016-17 compared to 7.95% in the preceding quarter and 7.47% in the corresponding

period of the last fiscal year. However, the GVA estimate was relatively better at 7.32% in the same quarter and

also stood higher than 7.18% growth in the Q1:FY16 indicating synergized economic activity in Q1: 2016-17.

The growth seems to be driven by sharp rise in the domestic consumption (8.7%), particularly in the

government consumption expenditure - which grew at 18.8% in the same quarter. However, aggravated

contraction in the gross capital formation (-4.58%) and net exports (-93.5%) were signaling the presence of

structural bottlenecks. Manifold growth in discrepancies for the third successive quarter also undermines the

robustness of the fastest economic growth claims regardless of lagged effects of policy reforms - like 'Make in

India' programme.

Sector-wise performance shows slowdown in agricultural production at 1.8% in the same quarter compared

to 2.6% in Q1 2015-16) - largely due to sharp decline in rice production (-7.7%), coarse cereals (-9.7%) and

pulses (-4.2%) during the 'Rabi' season and their contractionary impact was offset by rise in wheat

production (8.1%) to some extent. Industrial production also registered moderation in its growth pace due to

contraction in mining & quarrying and deceleration in construction activity despite strong growth

acceleration in manufacturing production and electricity generation. The deterioration in mining output

(0.4%) was driven by decline in production of crude oil (-3.3%) and natural gas (-6.1%) - with the negative

impact counter-balanced by improvement in coal production (5.4%) and IIP mining (2.3%). Only service

sector recorded acceleration in its growth pace at 9.6% in the same quarter - mainly on account of

improvement in performance of financial services (9.4%) and public administration & defence services

(12.3%).

Macro-Economic Overview

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16Table M2: Central Government's Income - Expenditure Details ( Crore)`

Table M1: Sector - Wise Growth (Y/Y) Rates (%)

Sectors2015-16

(PE)2015-16:

Q12015-16:

Q22015-16:

Q32015-16:

Q42016-17:

Q1

Agriculture, Forestry & Fishing 1.25 2.55 2.03 -0.96 2.32 1.84

Mining & Quarrying 7.44 8.45 4.95 7.10 8.57 -0.41

Manufacturing 9.29 7.31 9.18 11.52 9.32 9.10

Electricity, Gas, Water Supply & Other Utility 6.57 3.98 7.47 5.64 9.28 9.36

Construction 3.90 5.65 0.82 4.58 4.48 1.53

Industry 7.40 6.73 6.34 8.60 7.92 6.03

Trade, Hotels, Transport, Communication &Broadcasting Services

8.96 9.96 6.68 9.20 9.85 8.15

Financial, Real Estate & Professional Services 10.27 9.31 11.93 10.48 9.08 9.37

Public Administration, Defense, & Other Services 6.62 5.95 6.87 7.19 6.40 12.28

Services 8.92 8.78 9.00 9.14 8.75 9.58

GVA at Basic Price (at 2011-12 Prices) 7.19 7.18 7.31 6.86 7.42 7.32

GDP @ 2011-12 7.56 7.47 7.58 7.24 7.95 7.09

Source: Central Statistical Office (CSO) & CCIL ResearchGVA: Gross Value Adde d, AE: Advance Estimate, PE: Provisional Estimate

According to CGA (Controller General of Accounts) data release on central government finances, total

receipts grew at 21.9% (Y/Y) to 2,63,200 crore in April - July 2016 - largely on account of strong growth in

revenue receipts (22.4%). During the same period, the tax revenue receipts registered 44.1% growth to

2,21,668 crore. On expenditure side, the total expenditure recorded a 9.3% rise to 6,56,687 crore in the

same period - largely driven by sharp rise in revenue account (13.7%) of both plan and non-plan expenditure.

The slower growth (at higher base) in total expenditure caused a slower growth (2.2%) in the fiscal deficit 2.2%

to 3,93,487 crore in the first quarter of 2016-17 - which consequently will give more leeway for social welfare

expenditure and capacity building.

`

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BE: Budget Estimate, RE: Revised Estimate, PR: Provisional Estimate

2015-16: RE 2015-16: PR 2016-17: BE April - July'16 % of Actuals to BE

Total Receipts 1250301 1240918 1444956 263200 18.22%

Revenue Receipts 1206084 1195332 1377022 255766 18.57%

Non-Debt Capital Receipts 44217 45586 67134 7434 11.07%

Total Expenditure 1785391 1773269 1978060 656687 33.20%

Plan Expenditure 477197 471081 550010 197751 35.95%

Non-plan Expenditure 1308194 1302188 1428050 458936 32.14%

Fiscal Deficit 535090 532351 533904 393487 73.70%

Revenue Deficit 341589 342684 354015 329638 93.11%

Primary Deficits 92469 90622 41234 253008 613.59%

Source: Controller General of Accounts (CGA)

Macro-Economic Overview

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Table M3: Direct & Indirect Tax Collection Details ( Crore)`

Source: CGA (www.cga.nic.in),* Includes STT, Banking Cash Transaction Tax, Fringe Benefit Tax, Wealth Tax etc.

Direct Tax Collection Indirect Tax Collection

Period CorporateTax

PersonalTax

TotalOtherTax*

CustomsDuty

CentralExciseDuty

ServiceTax

Total

Gross TaxCollection

2014-15 428925 258334 687259 11687 188016 189983 167969 545968 1244884

2015-16 454503 280311 734814 13188 210338 287151 211396 708885 1456887

Growth (%) 5.96 8.51 6.92 12.84 11.87 51.15 25.85 29.84 17.03

April - July'15 66319 61950 128269 3874 66399 58033 48535 172967 305110

April - July'16 67061 91834 158895 3868 72153 90328 61195 223676 386439

Growth (%) 1.12 48.24 23.88 -0.15 8.67 55.65 26.08 29.32 26.66

There was a continual sharp rise of 26.7% in central government's gross tax collection to 3,86,439 crore

during April - July 2016. This impressive growth was driven by robust growth in both - direct tax collection

(23.9%) to 1,58,895 crore and indirect tax collection (29.3%) to 2,23,676 crore in the same period. The

impressive growth in indirect tax collection - particularly in central excise duty (55.6%) and service tax

collection (26.1%) displays the impact of exaggerated economic activity, while on the other hand, the sharp

rise in personal tax collection (48.2%) against marginal growth in corporate tax collection (1.1%) appears as a

reflection of better collection under Income Declaration Scheme for undisclosed assets ending in

September'16.

`

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Chart M1: Central Government Tax Collection Profile ( Crore)`

0

50000

100000

150000

200000

250000

300000

350000

400000

Corporate Personal Direct Tax Custom

Duty

Excise Services Indirect

Tax

Gross Tax

April - July'15 April - July'16

Macro-Economic Overview

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India's merchandise trade (exports + imports) again reentered into a contractionary mode in July'16 at

-3.98% (M/M) after registering a modest growth (averaged around 7.6%) in the preceding two months due to

contraction in both exports (3.9%) and imports (4.03%). On yearly basis, merchandise exports recorded a

substantial decline (6.8%) to $21.69 billion in the same month compared to 1.27% growth in the preceding

month. The reversal in export growth was largely factored on an intensified-price driven decline in petroleum

products (-21.8% against -10.8%) and organic & inorganic chemicals (-3.6% against 14.4% growth). Other

contributors in the poor performance of exports were RMG of all textiles, engineering goods, and drugs &

pharmaceuticals. However the modest growth in gems & jewellery (8.8%), spices (6.2%) and machinery

(3.13%) reduced overall exports' contraction pace revealing still sluggish external demand.

India's merchandise imports also kept its contraction continuum for the 20 successive month at magnified

pace of -19.03% to $29.45 billion in the same month due to significant shrinkage in both oil and non-oil

imports. Apart from apparent price moderation in crude oil prices in the month of July'16 - which drove

petroleum product down by 28.1% to $6.82 billion, gold (with -63.7% contraction), electronic goods (-5.4%),

transport equipment (-17.8%) and organic & inorganic chemicals (-19.4%) were major negative contributors

to overall decline in the imports. Although positive signal comes from pearls, precious & semi-precious

stones (16.3% to $2.11 billion) reflecting impact of festive seasons, the overall non-oil imports shrank 15.8%

to $22.63 billion. However weak external demand, stable crude oil prices and passive domestic industrial

activity may keep imports upward-tilting range-bound in the next few months.

th

Table M4: Trend in Exports and Imports ($ Million)

Source: Ministry of Commerce / Trade Statistics

Year/Month Export Growth (%) Import Growth (%) Trade Balance

2013-14 314405 4.66 450200 -8.26 -135794

2013-14 (Revised) 310338 -1.29 448033 -0.48 -137695

2015-16 (Prov) 261137 -15.85 379596 -15.28 -118459

Feb-16 20739 -5.66 27280 -5.03 -6542

Mar-16 22719 -5.47 27790 -21.56 -5071

Apr-16 20569 -6.74 25414 -23.10 -4845

May-16 22171 -0.79 28444 -13.16 -6273

Jun-16 22572 1.27 30689 -7.33 -8116

Jul-16 21690 -6.84 29451 -19.03 -7761

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Chart M2: India's Trade Balance ($ Mn) & Exchange Rate (INR/USD)

On services trade front, India registered relatively faster growth in services imports (11.5% to $8.39 billion, a

27-month high) than services' exports (4.4% to $13.32 billion) - leading to sharp decline of 5.9% in services

trade surplus to $4.93 billion, a three-month low in June'16. Cumulatively, services imports grew 11.01% to

$23.49 billion in April - June'16, while services exports registered 5.42% growth to $39.69 billion in the same

period.

India's wholesale inflationary landscape recorded a sharp upsurge in its trajectory to a 23-month high of

3.55% in July'16 from 1.62% in the preceding month largely due to a 20-month high of 1.82% in heavy-weight

manufacturing inflation and a 31-month high of 9.38% in the primary goods inflation. The primary goods

contributed 2.62%, while manufacturing goods contributed 1.02% in the overall WPI inflation. The food

price inflation was also recorded at a 31-month high of 11.82% in the same month. Although energy prices

remained in deflationary territory, the deflationary pressure eased to -1.0% from -3.62% in the preceding

month. Any escalation in energy prices may exert additional upward pressure on WPI inflation apart from

ongoing build-up in primary goods inflation and manufacturing inflation.

-18000

-15000

-12000

-9000

-6000

-3000

0

3000

6000

9000

Jul-15

Aug-

15

Sep-1

5

Oct

-15

Nov-

15

Dec

-15

Jan-1

6

Feb

-16

Mar

-16

Apr-

16

May

-16

Jun-1

6

Jul-16

61.0

62.0

63.0

64.0

65.0

66.0

67.0

68.0

69.0Merchandise Trade Deficit Services Trade Surplus Ex. Rate

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Chart M3: Trajectory of WPI & CPI (Combined) Inflation (%)

On retail inflation front, CPI (Combined) inflation rose to a 23-month high of 6.07% in July'16 compared to

5.77% in June'16 - which was contributed by rural retail inflation with 3.59% share, while the urban retail

inflation contributed 2.48%. The consumption-wise profile shows that food and beverage prices rose by

7.96% and contributed 3.78% to the overall CPI inflation, while miscellaneous services contributed 1.08%.

The continual rise in consumer food price inflation to a 23-monthy high of 8.35% displays the supply-side

frictional pressures especially in pulses and fruits & vegetables prices despite good monsoon season. Any

serious intervention from the government in the supply-side management may ease some pressures and help

to moderate the overall CPI inflation; otherwise it would become a serious threat to inflation-targeting

objective of the monetary policy.

Table M5: Indian Inflation Environment: Inflation (Y-o-Y) Rate (%)

* P: Provisional; R: Revised for WPI; F: Final for CPI;Source: Office of the Economic Advisor & MOSPI, CFPI (C): Consumer Food Price Index (Combined),

Type Items July'16: P June'16: R/F 3 Months Ago 6 Months Ago 1 Year Ago

Primary 9.38 5.50 3.41 4.30 -3.98

Food Articles 11.82 8.18 4.70 6.46 -1.20

Fuel -1.00 -3.62 -4.83 -9.89 -11.56

Manufacturing 1.82 1.17 1.04 -1.17 -1.54

WPIInflation

Rate

WPI 3.55 1.62 0.79 -1.07 -4.00

CPI-Rural 6.66 6.29 6.17 6.48 4.35

CPI-Urban 5.39 5.26 4.68 4.81 2.94

CPI-Combined 6.07 5.77 5.47 5.69 3.69

CPIInflation

Rate

CFPI (C) 8.35 7.79 6.40 6.85 2.16

-6.0

-4.5

-3.0

-1.5

0.0

1.5

3.0

4.5

6.0

7.5

9.0

10.5

Jul-1

4

Aug-

14

Sep-1

4

Oct

-14

Nov-

14

Dec

-14

Jan-1

5

Feb

-15

Mar

-15

Apr-15

May

-15

Jun-1

5

Jul-1

5

Aug-

15

Sep-1

5

Oct

-15

Nov-

15

Dec

-15

Jan-1

6

Feb

-16

Mar

-16

Apr-16

May

-16

Jun-1

6

Jul-1

6

CPI (C) WPI

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Chart M4: India's (Region-wise) Retail Inflation Profile

A sharp convergence in the respective trajectories of WPI and CPI inflation in July'16, the third successive

month - was largely due to sharp rise in the WPI inflation compared to CPI inflation. This convergence also

displays shrinkage of supply-side constraints between both wholesale market and retail market. However, it is

not a good case of inflationary dynamics because the sharp rise in WPI inflation works as primary set of

inflationary pressure for CPI inflation given weak structural change in the supply-side except some incentives

for pulse production side. On the other hand, region-wise plot of CPI inflation recorded some divergence due

to higher rise in rural CPI inflation (0.4% monthly buildup) than urban CPI inflation (0.13%) reflecting

impact of supply-side constraints in the rural region. Any moderation in food prices may ease the overall CPI

inflation, but it is less likely due to demand-side pressures from looming festive seasons and eroding base

effect.

India's industrial production grew at an accelerated rate of 2.06% (an eight-month high) in June'16 compared

to 1.11% growth in the preceding month - driven by performance improvement across all sub-sectors - mining

(4.69% against 1.41%), manufacturing (0.95% against 0.59%) and electricity generation (8.27% against

4.72%). The sector-wise contribution profile shows that the manufacturing sector contributed 0.76% to the

overall industrial production growth, while electricity generation 0.87% and remaining came from the

mining sector.

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

Jul-14

Aug-

14

Sep-1

4

Oct

-14

Nov-

14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Apr-

15

May

-15

Jun

-15

Jul-15

Aug-

15

Sep-1

5

Oct

-15

Nov-

15

Dec

-15

Jan

-16

Feb

-16

Mar

-16

Apr-

16

May

-16

Jun

-16

Jul-16

CPI (RURAL) CPI (URBAN)

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The Used-based production profile shows growth acceleration in production of basic goods (5.9%) and

intermediate goods (6.1%), and modest growth in consumer goods (2.85%) displaying intact domestic

demand. The improvement in the production of basic goods and intermediate goods for the seventh

successive month reflects more production activities in MSMEs segment, but continual contraction in

capital goods production (-16.5%) emerged as a major concern issue due to passive private investment activity

despite the RBI's policy rate cut (by 150 bps) and improvement in systemic liquidity. The performance of

eight major core-sector industries (as a group) faded with moderation in its growth pace from 5.23% in

June'16 to 3.16% in July'16 - mainly due to sharp deceleration in growth pace across all major sub-industries

except natural gas (3.3% against -4.5%) and refinery production (13.7% against 3.5%).

According to the IMF data, the global GDP growth projections for 2016 and 2017 are expected to remain

lower than its long-term average of 3.7% (1990-2007). Advanced economies are still running almost 1% below

average real growth due to weak consumption demand. Many advanced countries are struggling with private

and public sector debt overhang and impaired balance sheets of financial institutions - which are affecting

production capacity and skill-learning capacity of unemployed labor force. On supply side, the slowdown in

economic productivity and adverse demographic trends are weighing on potential growth. The economic

growth in emerging market economies are also slowing from an exceptionally fast pace of growth to modest

growth in the last decade, especially after eruption of global financial crisis (GFC). However, some large

emerging economies like China and India are growing significantly between 7% - 7.5%, while other

economies like Russia and Brazil are hostile to sharp contraction in their economic activity around 4%.

Despite a detail discussion on key global issues of low economic growth, high inequality and slow progress on

structural reforms by G-20 leaders in Hangzhou, China, the political pendulum still threatens to swing

against economic openness (post Brexit poll) and may raise risk to the concept of globalization. The global

economy could suffer from disappointing growth in absence of co-ordinated and forceful policy actions. On

Global Economic Development

Source: MOSPI & CCIL Research

Table M6: India's Industrial Production Growth Profile & Sectoral Contribution

Growth (Y/Y) Rate (%)Growth (Y/Y) Rate on

Use-Based (Goods) ClassificationSectoral Contribution (%)

in IIP Growth

Period Mining MFG Electricity IIP Basic Capital Intermediate Consumer Mining MFG Electricity

2014-15 1.45 2.30 8.43 2.81 7.13 1.60 1.78 -4.45 0.15 1.84 0.83

2015-16 2.18 2.01 5.61 2.40 3.38 1.08 2.04 3.28 0.22 1.59 0.58

Jan-16 1.54 -2.94 6.56 -1.59 1.94 -21.55 2.84 -0.10 0.16 -2.36 0.63

Feb-16 5.02 0.62 9.58 1.93 5.41 -9.34 4.87 0.60 0.51 0.50 0.91

Mar-16 0.34 -1.05 11.79 0.30 4.37 -15.32 4.25 0.64 0.04 -0.84 1.08

Apr-16 1.07 -3.66 14.56 -1.35 4.66 -25.04 2.28 -1.88 0.10 -2.93 1.50

May-16 1.41 0.59 4.72 1.11 3.78 -12.35 3.88 1.01 0.14 0.46 0.53

Jun-16 4.69 0.95 8.27 2.06 5.88 -16.47 6.07 2.85 0.45 0.76 0.87

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the policy front, the IMF has recommended four set of policy tools: first is greater public investment in

education, and trading for lower-skilled workers through vocational training, second is strengthening of

social safety net (unemployment insurance, health benefits and portable pensions), third is boost economic

fairness and fourth is global cooperation.

Global macroeconomic indicators profile shows mixed real economic activity across major global

economies. The Eurozone growth estimate for the second quarter was 1.6%, marginally lower than 1.7% in

the preceding quarter, while improvement was registered in the US (1.2% against 1.1%), the UK (2.2% against

2.1%) and Japan (0.8% against 0.1%). However among BRICS, India and China continued to grow at 7.09%

and 6.7% respectively in the second quarter, while other BRICS economies - Russia, Brazil and South Africa

were struggling with contractionary pressures in their respective growth trajectories but with bottoming out

possibility in Russia and South Africa.

Table M7: Major Global Macroeconomic Indicators (%)

Source: Respective Country Official Data Source, IMF, World Bank, OECD, M-END: Month End

The global industrial production profile also posted the same mixed pattern with contraction in the US

(-0.6%), Eurozone (-0.5%), Japan (-4.2%), Russia (-0.3%) and Brazil (-6.6%), while moderation in China

(6.0%) and South Africa (3.0%). Only India and the UK among major global economies registered

acceleration in their respective industrial production growth at 2.4% and 2.1% in July'16. On inflation front,

advanced economies in general recorded moderation except the UK - where CPI inflation rose fractionally to

0.6% in the same month from 0.5% in the preceding month. Among BRICS economies, China and South

Africa registered marginal rise to 2.09% and 6.48% respectively, while India registered sharp increase to 6.07%

compared to 5.77% in the previous month. Brazilian and Russian CPI inflation moderated slightly to 8.74%

(8.84%) and 7.2% (against 7.5%).

GDP Growth Inflation IIP Growth 10-Y Sovereign Bond YieldEconomy

(Q2:2016) (July'16) (July'16) (M-END: Aug'16)

Eurozone 1.60 0.10 -0.50 -0.06

US 1.20 0.84 -0.60 1.57

UK 2.20 0.60 2.10 0.64

Japan 0.80 -0.50 -4.20 -0.07

China 6.70 2.09 6.00 2.81

India (FY17Q1) 7.09 6.07 2.40 7.10

Russia -0.60 7.20 -0.30 8.23

Brazil -3.80 8.74 -6.60 12.11

South Africa -0.20 6.48 3.00 9.05

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Chart M5: Markit's PMI (Composite): A Measure of Economic Activity

The global manufacturing and services operating conditions (represented by JPMC PMI-Composite)

improved marginally reflecting from its PMI reading at 51.4 in July'16 compared to 51.2 in the preceding

month largely due to improvement in manufacturing activity (51.0 against 50.4) in the same period. The

improvement was also registered in new orders and employment; however backlogs remained in the

contractionary mode. Among advanced economies, the US economy also registered improvement in

operating conditions as its PMI reading grew from 51.2 to 51.8 in the preceding month, while Eurozone

operating condition improved with marginal rise from 53.1 to 53.2 in the same period. Japanese operating

conditions reentered into expansionary mode visible from its PMI reading of 50.1 after four months since

March'16. However, the Brexit outcome affected the UK operating conditions negatively as its PMI reading

fell from 52.4 in June'16 to 47.7 in July'16 showing sharp deterioration, especially in service sector.

Among BRICS economies, Russian operating conditions remained robust with its PMI reading at 53.5 in

July'16 largely driven by solid improvement in the services sector despite marginal contraction in

manufacturing activity. India also registered a three-month highest growth in its operating conditions

reflecting from its PMI reading of 52.4 in the same month compared to 51.1 in the preceding month. The

robust improvement was primarily due to noticeable improvement in services sector activity. Chinese

operating conditions also registered a 22-month high of 51.9 in its PMI reading in the same month - mainly

due to return of manufacturing activity into growth territory after 17 months. However, South Africa and

Brazil were still struggling with deterioration in their respective operating condition despite some

improvements.

July 2016

51.4

0

51.8

0

53.2

0

47.7

0 50.1

0

51.9

0

52.4

0

53.5

0

46.4

0

49.9

0

20

30

40

50

60

Global

Economy

US Eurozone UK JAPAN China India Russia Brazil South

Africa

Dotted Line No Change in Economic Activity

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The Markit's sectoral activity survey signaled acceleration in its growth pace in July'16 across all major

subsectors - consumer goods, technology, healthcare and telecom services. However consumer services and

basic metal registered deterioration in their respective activity. In Europe, sectoral growth witnessed some

moderation in industrial production activity, consumer goods and consumer services, while healthcare and

basic metal registered serious deceleration in the same month. The Asian sectoral performance remained

stagnated. However, the US sector PMI displayed a broad-based rebound in its growth pace across all major

sub-sector and consumer goods was the best performing sector in their production activity.

The three prime segments of the money market witnessed short term rates hardening moderately by 3-6 bps

during August over the previous month. Despite comfortable liquidity condition of the banking system,

rates remained at an elevated level in the middle of the month, when it came close to the policy rate -

breaching it on couple of occasions. Weighted average rate in the Repo market advanced by 6 bps to 6.46% m-

o-m, while the Call segment observed rate increasing by 5 bps to 6.41%.

Trading volume across the segments clocked smart revival with trading in CBLO soaring by 14% over July

volume. Repo market too posted m-o-m growth of 10%, followed by the Call (6%). Average trading in Repo

stood near 50,000 crore in the latter half of the month (touching an all-time high of 94,887 crore on

August 19), whereas, average CBLO volume was over 1 lakh crore during the same period.

The tables give the comparative weighted average rates over a period of time and the comparative statistics of

volume and rates across the various sub-groups of the money market.

Money Market Review

` `

`

Table M8: Comparative Weighted Average Money Market Rates (%)

Table M9: Comparative Money Market Volumes and Rates

Aug-16 Jul-16 3 Months ago 6 Months ago Year ago

CALL 6.41 6.36 6.44 6.77 7.08

REPO 6.46 6.40 6.46 6.83 7.20

CBLO 6.33 6.30 6.43 6.74 7.16

Gross Daily Average Std Minimum Maximum Market Share

Volumes(` Cr)

Volumes(` Cr)

DevRate(%)

Rate(%)

(%)

Aug-16 Jul-16 Aug-16 Jul-16 Aug-16 Jul-16 Aug-16 Jul-16 Aug-16 Jul-16 Aug-16 Jul-16

CALL 358,680.00 338,048.00 17,080.00 16,902.40 0.03 0.07 6.36 6.22 6.48 6.46 10.62 11.19

REPO 1,079,758.33 985,112.64 51,417.06 49,255.63 0.04 0.10 6.40 6.16 6.54 6.56 31.97 32.61

CBLO 1,938,951.45 1,697,821.50 92,331.02 84,891.08 0.39 0.25 4.79 5.62 6.60 6.52 57.41 56.20

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Liquidity Adjustment Facility

Government Securities Market

Primary Market

The RBI continued with its pursuit to provide

liquidity to the market through LAF Repo auctions

along with OMO purchases, on the other hand,

sucking excess liquidity via numerous LAF Reverse

Repo auctions. As far as fixed rate LAF operations

are concerned, average bank borrowings from the

RBI grew by 29% in August as compared to July

figures. On the contrary, amount absorbed from

the system dipped by almost 42% m-o-m.

Funds borrowing through MSF - a tool for banks to

borrow in distressed situation had been witnessing

sharp and contrasting movements since couple of

months. After increasing by over 50% previous

month, average MSF volume declined by 10% on

m-o-m basis.

Liquidity in the banking system was in abundance

which got channelized into highest cash

absorption by the RBI using plentiful variable rate

Reverse Repo auctions. RBI sucked amount worth

327,002 crore - 6% higher than the July amount.

RBI widened maturity profile further from 28-days

to 32-days during the month. In a stark contrast,

liquidity support by it in the form of variable rate

Repo auctions was muted with banks' borrowing

nearly halving to 37,194 crore.

16 government securities for a sum of 59,000 crore

were re-issued during August 2016. RBI auctioned

SDLs for 28,350 crore with maturities ranging

from 5 years to 20 years (Andhra Pradesh issued 20-

year SDL on August 23) and treasury bills worth

97,802 crore. After a gap of one month, RBI

resorted to the purchases of government securities

via OMOs.

The Tables below provide the details of the auctions

of G-Sec, OMOs, SDLs and treasury bills along

with its average cut-off yields during the month.

`

`

`

`

`

Table M10: Volume under LAF Reverse Repo and Reo auctions as well as the MSF

Amount Crore`

LAF Reverse Repo Vol LAF Repo Vol MSF Vol

Aug-16 Jul-16 Aug-16 Jul-16 Aug-16 Jul-16

Total Vol 117341.00 201563.00 139609.00 113173.00 10156.00 11244.00

Average Vol 4889.21 8398.46 6069.96 4715.54 423.17 468.50

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Table M :11 Details of the Auctions of the G-Secs

Date of Issue/Auction

SecurityAmount(` Crore)

Cut-off Price(`)

Yield(%)

Devolvement onPDs (` Crore)

ACU CommissionCut-off rate

(paise per `100)

05-Aug-16 7.35% G.S. 2024 3,000.00 101.04 7.1727 0.00 0.07

05-Aug-16 7.61% G.S. 2030 8,000.00 103.47 7.2062 0.00 0.11

05-Aug-16 7.73% G.S. 2034 2,000.00 103.77 7.3512 0.00 0.27

05-Aug-16 8.13% G.S. 2045 2,000.00 109.12 7.3623 0.00 0.47

12-Aug-16 7.68% G.S. 2023 3,000.00 103.30 7.0923 0.00 0.06

12-Aug-16 7.59% G.S. 2026 8,000.00 103.33 7.0971 0.00 0.09

12-Aug-16 7.50% G.S. 2034 2,000.00 103.04 7.1958 0.00 0.23

12-Aug-16 8.17% G.S. 2044 2,000.00 111.00 7.2485 0.00 0.33

19-Aug-16 7.80% G.S. 2021 3,000.00 102.85 7.0649 0.00 0.07

19-Aug-16 7.59% G.S. 2029 8,000.00 102.97 7.2255 0.00 0.11

19-Aug-16 7.73% G.S. 2034 2,000.00 104.90 7.2413 0.00 0.33

19-Aug-16 8.13% G.S. 2045 2,000.00 110.01 7.2927 0.00 0.43

26-Aug-16 7.68% G.S. 2023 2,000.00 103.22 7.1039 0.00 0.06

26-Aug-16 7.59% G.S. 2026 8,000.00 103.11 7.1273 0.00 0.11

26-Aug-16 7.50% G.S. 2034 2,000.00 102.58 7.2403 0.00 0.33

26-Aug-16 7.72% G.S. 2055 2,000.00 106.10 7.2477 0.00 0.54

Table M12: Details of OMO Purchase

Date of Repurchase SecurityAmount Accepted

(` Crore)Cut-off Price

(`)Cut-off Yield

(%)

11-Aug-16 8.12% G.S. 2020 2,368.00 103.99 7.0304

11-Aug-16 8.83% G.S. 2023 1,520.00 109.24 7.1760

11-Aug-16 8.33% G.S. 2026 3,025.00 107.12 7.3061

11-Aug-16 7.95% G.S. 2032 2,115.00 106.32 7.2755

11-Aug-16 8.33% G.S. 2036 972.00 110.54 7.3130

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Table M13: Details of SDL Auctions/Issue

* Implicit yield for SDL reissued

Date of Issue/Auction

SecurityAmount(` Crore)

Cut-off Price(`)

Yield(%)

Under-subscription

08-Aug-16 7.50% Odisha SDL 2021 500.00 - 7.50 0.00

08-Aug-16 7.52% Punjab SDL 2021 800.00 - 7.52 0.00

08-Aug-16 7.58% Rajasthan SDL 2026 500.00 - 7.58 0.00

08-Aug-16 7.60% Gujarat SDL 2026 1,300.00 - 7.60 0.00

08-Aug-16 7.61% Kerala SDL 2026 1,500.00 - 7.61 0.00

08-Aug-16 7.62% Madhya Pradesh SDL 2026 1,500.00 - 7.62 0.00

08-Aug-16 7.62% Tamil Nadu SDL 2026 1,875.00 - 7.62 0.00

08-Aug-16 7.62% Telangana SDL 2026 1,500.00 - 7.62 0.00

08-Aug-16 7.63% Andhra Pradesh SDL 2026 1,000.00 - 7.63 0.00

08-Aug-16 7.63% Uttar Pradesh SDL 2026 2,000.00 - 7.63 0.00

08-Aug-16 7.63% West Bengal SDL 2026 1,000.00 - 7.63 0.00

08-Aug-16 7.69% Manipur SDL 2026 100.00 - 7.69 0.00

23-Aug-16 7.49% Punjab SDL 2021 400.00 - 7.49 0.00

23-Aug-16 7.56% Gujarat SDL 2026 1,300.00 - 7.56 0.00

23-Aug-16 7.57% Goa SDL 2026 70.00 - 7.57 0.00

23-Aug-16 7.57% Haryana SDL 2026 1,000.00 - 7.57 0.00

23-Aug-16 7.57% Jammu & Kashmir SDL 2026 400.00 - 7.57 0.00

23-Aug-16 7.57% Madhya Pradesh SDL 2026 1,000.00 - 7.57 0.00

23-Aug-16 7.57% Manipur SDL 2026 100.00 - 7.57 0.00

23-Aug-16 7.57% Nagaland SDL 2026 75.00 - 7.57 0.00

23-Aug-16 7.57% Odisha SDL 2026 500.00 - 7.57 0.00

23-Aug-16 7.57% Rajasthan SDL 2026 500.00 - 7.57 0.00

23-Aug-16 7.57% Tripura SDL 2026 230.00 - 7.57 0.00

23-Aug-16 7.58% Maharashtra SDL 2026 2,500.00 - 7.58 0.00

23-Aug-16 7.58% Tamil Nadu SDL 2026 1,500.00 - 7.58 0.00

23-Aug-16 7.58% Uttar Pradesh SDL 2026 2,000.00 - 7.58 0.00

23-Aug-16 7.58% West Bengal SDL 2026 500.00 - 7.58 0.00

23-Aug-16 7.59% Kerala SDL 2026 2,300.00 - 7.59 0.00

23-Aug-16 7.62% Andhra Pradesh SDL 2036 400.00 - 7.62 0.00

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Secondary Market

Yield Movement

Despite clocking m-o-m decline of 9% and 5%

respectively, number of trade and volume in the

outright market were quite impressive. In absolute

terms, total number of trades stood at 154,964 in

August as against 170,404 in July. Amount traded in

the market was 1,974,956 crore vis-à-vis 2,079,649

crore during the previous month. Ample liquidity in

the banking system along with lower credit off-take led

banks turn to this market for investment.

Like trading, even average volume settled by CCIL

decreased marginally by 12% to 93,483 crore as

compared to 105,725 crore in July 2016.

10-year benchmark yield which began to ease since

February 2016 continued with its southward journey

during August as well, coming closer to its lowest level

of September 2009. Profit booking by bond traders saw

yields hardening by 7 bps to 7.20% at the beginning of

the month before it fell to the month's lowest of 7.08%

by August 11, 2016. The system is awash with liquidity

and at a time when credit growth is still sub-10%, banks

are finding it comfortable to invest in bonds to earn a

percentage point more than what they would have

earned if they just parked their money with the central

bank. The easy money stance adopted by the global

regulators and the decision to postpone interest rate

hike by the US Federal Reserve is luring foreign

investors to emerging markets assets giving higher

return.

Bond rally was halted with surging inflation that

weakened the outlook for interest-rate cuts. Urjit Patel's

selection as the next governor of the Reserve Bank of

India prompted market participants to tone down their

bets on lower interest rates. Dr. Patel, who engineered

the monetary policy framework with an explicit

inflation target, is being perceived as biased towards

higher interest rates to keep a tight check on inflation.

By August 23, average yields had reached 7.16% before

stabilizing around 7.13% at the end of the month.

Measures announced by the RBI to improve the

corporate bonds market by enhancing liquidity and

bolster demand for government securities added

positivity in the market.

The yields of different tenors on the last working day of

the month and the spread analysis of various tenors

over a period of time are illustrated in the tables below.

` `

`

`

Table M15: Average T-Bills Cut-Off Yields (%)

Table M14: Details of T-Bills Auctions

91 day T-Bill 182 day T-Bill 364 day T-BillDate Amt

(` Cr)Price(`)

YTM(%)

Amt(` Cr)

Price(`)

YTM(%)

Amt(` Cr)

Price(`)

YTM(%)

03-Aug-16 16370 98.39 6.5634 - - - 6000 93.75 6.6850

10-Aug-16 12000 98.39 6.5634 7000 96.79 6.6511 - - -

16-Aug-16 8300 98.39 6.5634 - - - 6000 93.76 6.6736

24-Aug-16 15101 98.39 6.5634 6000 96.78 6.6725 - - -

31-Aug-16 15030 98.39 6.5634 - 0.00 0.0000 6000 93.76 6.6736

Total 66801 13000 18000

Aug-16 Jul-16 3 Months ago 6 Months ago Year ago

91-day T-Bill 6.5634 6.5738 6.8536 7.3521 7.3937

182-day T-Bill 6.6618 6.7047 6.9406 7.2738 7.5002

364-day T-Bill 6.6774 6.7764 6.9538 7.2758 7.5592

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Foreign Exchange Market

The movement of rupee against all the major

international currencies can be regarded as

somewhat stable during August - it appreciated

marginally against GBP and Japanese Yen while

weakening moderately against the Euro and the

USD. The month began with the rupee depreciating

by 20 paise to 66.94 per dollar by August 04,

probably on account of RBI intervention to mop up

the inflow of dollars in the domestic markets by

FIIs. However, interest rate cut and bond purchases

by the Bank of England in an attempt to stimulate

the economy along with the rising optimism about

policy reforms in the country back home after the

Rajya Sabha approval for bringing in the Goods and

Services Act brought cheers to the market.

Assurance from the RBI Governor to provide ample

liquidity through OMOs and spot interventions or

deliveries of forward purchases in the wake of the

expected pressure in FCNR (B) redemptions pushed

Indian currency higher to 66.74 on August 10.

The period of rupee appreciation was cut short as

expectations of hike in Fed fund rate this year griped

the market sentiments yet again with fading

anticipation of repo rate cut in the near future by

the RBI following sharp increase in inflation.

Dollar strengthened globally after the release of

positive housing data in the US showing new

residential sales data for July bettering estimates

leading to weakness in rupee - touching 67/dollar

mark by the third week of the month. It ended the

month on a positive note tracking improvement in

the Stock market amid speculation payment of past

dues to government staff will stoke sales of cars and

appliances.

The tables depicted below give the analysis of the

rupee movement and the exchange rate prevailing

on the last working day of the month over a period

of time.

`

`

Table M16: Yield Movements (%)*

* on the last working day of the month

Table M17: Spread Analysis

Tenor Aug-16 Jul-16 3 Months ago 6 Months ago Year ago

O/N 6.5400 6.5900 6.5400 6.9600 7.1800

3 month 6.5471 6.5381 6.8141 7.2074 7.3977

6 month 6.6089 6.6754 6.9148 7.3099 7.4612

1 year 6.7122 6.8186 6.9855 7.2974 7.4820

2 year 6.8533 6.8727 7.1333 7.4081 7.7335

5 year 7.0551 7.0967 7.4922 7.7839 7.9392

10 year 7.1274 7.1747 7.4682 7.6589 7.7788

G-Sec Spread (bps)Period

Aug-16 Jul-16 3 Months 6 Months 1 Year

1 - 5 Years 34 28 51 49 46

1 - 10 Years 45 48 62 60 43

5 - 10 Years 11 20 11 12 -3

10 - 30 Years 9 9 24 37 8

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FIIs trimmed their purchases of Indian assets during

August as comments from US Federal Reserve Vice-

Chairman and later by US Federal Reserve Chair

Janet Yellen strengthened expectations of an increase

in interest rates in the country in the coming

months. Net buying of Indian equities by FIIs was at

$1.36 billion vis-à-vis $1.88 billion in July - a decline

of 28%. They resumed selling of debt instruments to

take net sell off for the month at $0.39 billion

against the net purchase of $1.02 billion. In the

calendar year 2016, out of 8 months 5 months have

witnessed net selling of debt by them. Taking both

the markets into consideration, net buying of assets

by FIIs plunged by $1.93 billion to $0.96 billion - a

m-o-m decline of 67%.

Table M20: Movement of Forward Premia over a Period of Time (Monthly Average) (Percent)

Table M19: Exchange Rate Movement

Table M18: Exchange Rate Movement

The subsequent table displays the movement of 1-month, 3-month and 6-month forward premia over a

period of time which remained showed contrary movement as compared to previous month.

Exchange Rate Aug-16 Jul-16 3 Months ago 6 Months ago Year ago

` / Euro 74.62 74.27 74.79 75.08 74.50

` / Pound 87.69 88.30 98.65 95.20 102.31

` / 100 yen 64.89 64.69 60.40 60.78 54.75

` / Dollar 66.98 67.03 67.20 68.62 66.31

Aug-16 Jul-16 3 Months ago 6 Months ago Year ago

1-month 6.12 6.04 6.43 6.53 6.76

3-month 6.16 6.13 6.44 6.71 6.80

6-month 5.93 6.00 6.39 6.55 6.80

` / Euro ` / Pound ` / 100 yen ` / Dollar

Movement (%) -0.14 0.85 0.29 -0.36

Average Rate 75.00 87.80 66.06 66.94

Stdev 0.62 0.76 0.68 0.15

Max 76.04 89.07 67.03 67.19

Min 74.06 86.34 64.89 66.74

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Active RBI intervention in the foreign exchange

market to cap appreciation of the rupee in the wake

of strong capital inflows in the equity market and

to provide buffer for the September FCNR (B)

redemptions led to the accumulation of foreign

exchange reserves to swell by $2.27 billion at the

end of September 02 from $365.50 billion at the

end of July. Till week ended August 19,

accumulation of reserves had touched an all-time

high of $367.17 billion before declining marginally

to $366.78 billion in the following week.

Nevertheless, reserves touched a new peak of

$367.77 billion during the week ended September

02 - only on the back of healthy rise in foreign

currency assets throughout the period.

CHART M7: FOREIGN EXCHANGE RESERVES

Table M21: Movement of FII Flows Amount in USD Million

Quarter Net Investment in Equity Net Investment in Debt Total

2008-09 -11826.40 470.10 -11356.30

2009-10 22780.66 7470.89 30251.55

2010-11 24294.73 7931.30 32226.03

2011-12 9011.66 8451.76 17463.42

2012-13 25832.61 5214.43 31047.04

2013-14 13441.79 -4565.98 8875.81

2014-15 18372.41 27334.75 45707.16

2015-16 -2008.42 -514.45 -2522.87

Q1 2016-17 2202.40 -611.35 1591.05

Jul-16 1877.52 1019.68 2897.20

Aug-16 1356.80 -392.70 964.10

225,000

240,000

255,000

270,000

285,000

300,000

315,000

330,000

345,000

360,000

Jul-1

1

Jan-

12

Jul-1

2

Jan-1

3

Jul-1

3

Jan-1

4

Jul-1

4

Jan-

15

Jul-1

5

Jan-

16

Jul-1

6

USD

Mil

lion

-15,000

-10,000

-5,000

0

5,000

10,000

15,000U

SDM

illi

on

Change in Reserves Foreign Exchnage

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Table M22: Trends in Scheduled Commercial Banks' Business ( Cr.)`

Table M23: Key Banking Rates and Ratios (%)

Banking Sector

The growth rate of non-food credit of banks

extended its decline to 9.27% (y-o-y) in the

fortnight ended August 19. Outstanding non-food

credit in the banking system stood at 71.72 lakh

crore as compared to 65.64 lakh crore in the same

fortnight last year. The rate of growth in deposits

mirrored the non-food credit movement and

depleted to a y-o-y growth of mere 8.56% to 97.26

lakh crore. RBI's report on the “Deployment of

Gross Bank Credit by Major Sectors” shows that the

share of housing in total non-food credit is on the

rise and has a share of 12% at the end of July 2016

and the second highest contributor. Banks are

disbursing more home loans in the absence of

demand from the corporate sector.

`

`

`

Aug-16 Jul-16 3 Months ago 6 Months ago Year ago

Money Stock 12110260 12043490 11901380 11580770 10999870

Aggregate Deposits 9726260 9674050 9542990 9351250 8959700

Non-food Credit 7172090 7163160 7142330 7064960 6563570

Investment in G-Secs 2821280 2804490 2711450 2715330 2681650

Aug-16 Jul-16

Credit-Deposit Ratio 74.80 75.13

Investment-Deposit Ratio 29.03 29.02

Base Rate 9.30 - 9.70 9.30 - 9.70

Term Deposit Rate >1 Year 7.00 - 7.50 7.00 - 7.50

Savings Deposit Rate 4.00 4.00

Macro-Economic Overview

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Key Macroeconomic IndicatorsTABLE 1 : DOMESTIC INDICATORS

¤

ø

†

Item Unit/Base 1990-91 2000-01 2006-07 2007-08 2008-09 2009-10 2010-11 2011-12 2012-13 2013-14 2014-15 2015-16

2016-17(Latest

availablefigures)

Changeover

PreviousMonth

Sr.No.

National Income

1Gross Domestic Product at current(% at constant 2011-12) prices

` Crore 692871 (1) 18703873117372(9.60%)

3402716(9.00%)

4416350(6.70%)

4790847(8.50%)

5282386(10.30%)

8736039(6.60%)

9951344(5.60%)

11272764(6.60%)

12488205(7.20%)

13576086(7.60%)$

3505453(7.10%)$

2 Fiscal Deficit ` Crore 44632.00 118816.00 142793.00 94283.00 ¥ 330114.00 412307.00 369043.00 509731.00 489890 508149 501880 532351 393487 67164

Industry

3 General Index of Industrial Production 2004-05=100 212.60* 162.60284.50

(12.90%)297.80

(3.90%)297.90

(-2.30%)347.30

(13.50%)401.20

(7.30%)186.40

(-3.50%)192.30

(2.50%)193.20

(-0.10%)198.20

(2.10%)198.70

(0.10%)183.00

(2.10%)1.30

4 Core Infrastructure Industries 2004-05=100 - -127.41

(9.55%)130.07

(2.09%)134.73

(3.58%)145.80

(8.22%)155.22

(6.47%)159.93

(3.03%)171.10

(6.98%)175.42

(2.53%)177.80

(-0.10%)188.00

(6.40%)173.70

(3.20%)-6.70

Money Supply, Banking & Interest Rates

5 M3 ` Crore 265828 13132203295644(20.8%)

3876926(17.10%)

4655831(16.20%)

5579567(14.90%)

6491756(16.00%)

7344070(13.00%)

8359280(13.60%)

9513050(13.50%)

10565990(11.30%)

11633540(10.30%)

12110260(4.20%)

66770

6 Aggregate Deposits ` Crore 192541 9626182594259(23.0%)

3075224(17.90%)

3732501(16.80%)

4486573(14.80%)

5204703(15.80%)

5903660(13.40%)

6751420(14.30%)

7739390(14.60%)

8585640(11.40%)

9378650(9.90%)

9726260(4.30%)

52210

7 Bank Credit ` Crore 116301 5114341923192(27.6%)

2272603(17.80%)

2690513(13.90%)

3240399(12.60%)

3938659(21.40%)

4611630(17.00%)

5262830(14.10%)

6013090(14.30%)

6564680(9.50%)

7277650(11.30%)

7275600(0.40%)

7930

8 S C Banks Investment in Govt. Securities ` Crore 49998 340035 771060 966516 1166237 1375704 1495467 1733700 2003460 2219760 2502850 2638400 2821280 16790

9 Credit - Deposit Ratio Per cent 60.40 53.39 74.13 73.90 72.08 70.97 75.68 78.11 77.95 77.69 76.46 77.60 74.80

10 Bank Rate Per cent 10.00 7.00 6.00 6.00 6.00 6.00 6.00 9.50 8.50 9.00 8.50 7.00 7.00

11 Cash Reserve Ratio Per cent 15.00 8.00 6.00 7.50 5.00 5.75 6.00 4.75 4.00 4.00 4.00 4.00 4.00

12 Repo Rate Per cent - - 7.75 7.75 5.00 5.00 6.75 8.50 7.50 8.00 7.50 6.50 6.50

13 Inter-bank call money rate (Mumbai) Per cent 4.00 - 70.00 4.00 - 19.00 6.00 - 80.00 2.50 - 9.70 2.00 - 5.05 1.00 - 4.10 3.71 - 9.01 5.88 - 13.14 7.34 - 13.69 6.96 - 11.28 7.19 - 11.21 6.49 - 9.36 6.16 - 6.79

14 Base Rate Per cent -- 11.00 -12.00 12.25 - 12.50 12.25 - 12.75 11.50 -12.50 11.00 - 12.00 8.25 - 9.50 10.00 - 10.75 9.70 - 10.25 10.00 - 10.25 10.00 - 10.25 9.30 - 9.70 9.30 - 9.70

Inflation

15 Wholesale Prices (Monthly)

a. All Commodities 2004-05=100 182.70*** 155.70210.00

(5.74%)223.60

(6.68%)227.30

(0.31%)250.80

(9.90%)148.00

(8.98%)159.80

(6.89%)170.60

(5.96%)179.80

(5.70%)176.10

(-2.33%)174.60

(-0.85%)183.90

(3.55%)1.90

b. Fuel, power, light and lubricants 2004-05=100 175.80*** 208.10 320.10 341.00 320.90 361.80 158.20 174.00 195.90 213.10 187.30 172.40 187.90 1.40

16 Consumer Price Index - New 2012=100 - - - - - - -115.50

(8.96%)127.50

(10.39%)138.10

(8.31%)120.10

(5.17%)126.00

(4.83%)131.10

(6.07%)1.00

17 Consumer Prices-Industrial Workers 2001=100 193.00 444.00 127.00µ 137.00µ 148.00µ 170.00µ 185.00µ 201.00µ 224.00 239.00 254.00 268.00 280.00 3.00

Balance of Trade****

18 Value of Imports US$ Million 24073 50536181368

(29.33%)235911

(27.01%)287759

(14.30%)278681

(-8.20%)350695

(21.61%)488640

(32.15%)491487.22

(0.44%)450949.04

(-8.11%)447548.33

(-0.59%)379596.17(-15.28%)

113996.75(-16.33%)

29451

19 Value of Exports US$ Million 18145 44560124629

(23.88%)155512

(23.02%)168704(3.40%)

176574(-4.70%)

245868(37.55%)

303719(20.94%)

300570.58(-1.76%)

312355.45(3.98%)

310533.87(-1.23%)

261136.80(-15.85%)

87001.34(-3.62%)

21690

20 Balance of Trade US$ Million -5927 -5976 -56739 -80398 -119055 -102106 -104826.68 -184921.69 -190916.64 -138593.59 -137014.46 -118459.37 -26995.41 -7761

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TABLE 1 : DOMESTIC INDICATORS

Source: RBI Annual Report, Bulletin, Weekly Statistics, SEBI & CCILNotes:Yearly figures are as on March-end* : Base: 1980-81=100*** : Base : 1981-82=100**: Figure as at March-end****: Figures are cumulative for the yearQ.E : Quick EstimateR.E : Revised EstimateA.E : Advance EstimateB.E.: Budget Estimate#Turnover Ratio=(Central Government Securities Volumes for 12 months/MarketCapitialisation during the month)*100

Percentage figures in brackets denote y-o-y growth^ Turnover Ratio as on August 31, 2016(1) At 1993-94 prices

¥: Excluding acquisition cost of RBI stake in SBI ( 35,531 crores)

$: GDP for FY2015-16. GVA at Basic Price for Jan-Mar (Q4) of 2015-16: 31,27,229 Crore(7.40%). GVA for Jan-Mar (Q4) of 2014-15: 28,81,832 Crore - (6.20%).

`

`

`

o: GDP data till 2008-09 are calculated taking 1999-00 prices as the base whereas, till 2010-11, GDP data are calculated at market price (at 2004-05 prices).¤: Base Rate relates to five major banks since July 1, 2010. Earlier figures relate toBenchmark Prime Lending Rate (BPLR).ø: Inflation data till 2009-10 are calculated taking 1993-94 as base†: IIP data till 2010 - 2011 are calculated taking 1993-94 as base

Sr.No.

Item Unit/Base 1990-91 2000-01 2006-07 2007-08 2008-09 2009-10 2010-11 2011-12 2012-13 2013-14 2014-15 2015-16

2016-17(Latest

availablefigures)

Changeover

PreviousMonth

Foreign Exchange Inflows/Outflows & Exchange Rate

21 Foreign Exchange Reserves****

a. Foreign Currency Assets US$ Million 2236.00 39554.00 191924.00 294649.00 241597.00 254685.00 282037.00 260068.70 259725.90 276406.00 316238.30 332146.70 342237.60 1193.90

b. Gold US$ Million 3496.00 2725.00 6784.00 9558.00 9746.00 17920.00 23790.00 27023.10 26292.30 20978.00 19837.00 19325.40 21642.70 1066.30

c. SDRs US$ Million 102.00 2.00 2.00 18.00 1.00 5006.00 4671.00 4469.30 4327.60 4458.20 4004.80 1488.00 1488.60 3.80

22 Net FII Investment US$ Million -- 399.00 6708.00 16039.80 -11356.30 30251.55 32226.03 17463.42 31047.06 8875.81 45707.16 -2522.87 5452.35 964.10

23 Cumulative Net Investment+ US$ Million -- 13416.00 51965.70 68005.40 56649.30 89332.60 121558.70 140481.70 171528.69 180404.50 226110.60 223588.60 229041.30 964.10

Central Government Borrowings (Dated Securities and 364 day T-bills)

24 Government Borrowings****

Gross ` Crore -- 115183 227687 188205 306550 459497 479482 600409 558000 563973 592000 585000 299000 59000.00

Net ` Crore -- 73787 146574 106895 230018 313010 323661 473952 467384 458374 443422 403107 192162 20906.74

25 Outstandings (Dated Securities) ` Crore 1181604 1434086 1706083 2033452 2349966 2782985 3244536 3697910 4162571 4566630 4758792 20906.74

26 CCIL Settlement Statistics****

a. Securities (F.V.) ` Crore 6134096 9547387 10348089 15056299 11078460 11013019 17396220 23410745 25891675 26977819 16580190 0.57%

b. Forex US$ Million -- -- 1776981 3133664 3758904 2988971 4191037 4642573 4830933 4743321 5297790 5489286 2639509 7.20%

c. CBLO (F.V.) ` Crore -- -- 4732271 8110828 8824784 15541378 12259745 11155428 12028040 17526192 16764597 17833529 8263294 12.99%

27 Gilts Turnover Ratio# Per cent -- -- 0.40 0.69 0.94 0.69 0.71 0.72 1.92 1.02 1.60^ 1.94^ 3.81^

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@ Figures Refer to next period

# Figures Refer to previous period

USA: Fed Funds Rate, UK: Official bank rate, Main refinancing operations (fixed rate), Japan: Uncollateralised Overnight rate, Germany: Main refinancing rate, South Korea:

Base Rate, China: One year Lending rate, India: Repo Rate

&: Germany

^:

Respective countries central bank.

¥:

July 2016

Source:

TABLE 2: WORLD ECONOMIC INDICATORS

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Item UK USA Japan Euro South Korea China India

Gross Domestic Product (%): 2016 Q2 0.60 1.10 0.20 0.30 0.80 1.80 7.09#

Fiscal Deficit: 2015 (% of GDP) -4.40 -2.50 -6.00 -2.10 -3.00 -2.30 -3.90

Exports: July 2016 £ 43.80 bn $186.30 bn ¥ 5316.35 bn @ € 167.20 bn€ $ 40.10 bn @ $190.59 bn @ $ 21.50 bn @

Imports: July 2016 £ 48.30 bn $225.8 bn ¥ 5335.06 bn @ € 142.00 bn€ $ 34.80 bn @ $138.54 bn @ $ 29.20 bn @

Current Account (Q1 2016) -£ 32.60 bn -$ 119.9 bn @ ¥ 1938.2 bn^ € 31.50 bn ^€ $ 8.71 bn ^ $ 59.4 bn @ -$ 0.3 bn#

Inflation (August 2016) 0.60 1.10 -0.40# 0.20 0.4@ 1.30 5.05

Industrial Production (%) ( July 2016) 2.10 -1.1@ -4.20 -0.50 1.60 6.3 @ -2.40

US Treasury Securities Holding (USD Billion)( July 2016) 209.90 - 1154.60 96.8 (&) 85.90 1218.80 123.70

Exchange rate (per 1USD) ( Aug 31, 2016) 0.7627 1.00 103.191 0.8970 1115.700 6.6787 66.9813

10-yr Bond Yield (%) (August 31, 2016) 0.64 1.58 -0.06 -0.065 (&) 1.48 2.81 7.13

Key Policy Rates ∞ (%) 0.25 0.25-0.50 -0.10 0.00 1.25 4.35 6.50

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TABLE 3: OUTSTANDING GOVERNMENT DEBT

OUTSTANDING GOVERNMENT DEBT

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

Price(`)

Yield(%)

Yield (%)(PreviousMonth)

DurationMod

DurationV+ (for100bps)

V- (for100bps)

Convexity

PriceChangeDue to

ModifiedDurationfor 100bps

(%)

PriceChangeDue to

Convexityfor

100bps(%)

Expectedprice Changefor a 100bpsrise in yield

due toDuration and

ConvexityEffect(%)

ActualChange

for100pbsincreasein yield

PV01

Dated Securities

1 IN0020010107 8.07% 2017 15-Jan-02 15-Jan-17 66964.80 67244.65 100.42 6.86% 6.81% 0.3750 0.3626 101.0572 101.7988 0.2673 -0.3626 0.0013 -0.3612 -0.3643 0.0037

2 IN0020020031 7.49% 2017 16-Apr-02 16-Apr-17 58000.00 58227.71 100.39 6.82% 6.81% 0.6098 0.5897 102.5754 103.7923 0.6410 -0.5897 0.0032 -0.5865 -0.5865 0.0061

3 IN0020120021 8.07% 2017 3-Jul-12 3-Jul-17 50000.00 50495.00 100.99 6.82% 6.82% 0.8224 0.7953 101.4597 103.0863 1.0257 -0.7953 0.0051 -0.7901 -0.7902 0.0081

4 IN0020070010 7.99% 2017 9-Jul-07 9-Jul-17 71000.00 71673.74 100.95 6.82% 6.83% 0.8392 0.8116 101.2578 102.9147 1.0597 -0.8116 0.0053 -0.8063 -0.8063 0.0083

5 IN0020020098 7.46% 2017 28-Aug-02 28-Aug-17 57886.80 58245.82 100.62 6.80% 6.84% 0.9765 0.9444 99.7178 101.6192 1.3567 -0.9444 0.0068 -0.9376 -0.9377 0.0095

6 IN0020020163 6.25% 2018 2-Jan-03 2-Jan-18 16886.80 16782.10 99.38 6.73% 6.92% 1.2937 1.2516 99.1415 101.6545 2.2055 -1.2516 0.0110 -1.2406 -1.2406 0.0126

7 IN0020110014 7.83% G.S. 2018 11-Apr-11 11-Apr-18 73000.00 74080.33 101.48 6.84% 6.87% 1.5048 1.4550 102.9978 106.0392 2.9296 -1.4550 0.0146 -1.4404 -1.4405 0.0152

8 IN0020080019 8.24% GOVT. STOCK 2018 22-Apr-08 22-Apr-18 75000.00 76522.50 102.03 6.90% 6.89% 1.5304 1.4793 103.4228 106.5285 3.0168 -1.4793 0.0151 -1.4643 -1.4644 0.0155

9 IN0020010024 10.45% 2018 30-Apr-01 30-Apr-18 3716.00 3923.01 105.57 6.84% 6.90% 1.5276 1.4771 107.4595 110.6815 3.0309 -1.4771 0.0152 -1.4619 -1.4621 0.0161

10 IN0020030063 5.69% 2018 (conv) 25-Sep-03 25-Sep-18 16130.00 15787.00 97.87 6.81% 6.92% 1.9329 1.8693 98.4708 102.2219 4.5747 -1.8693 0.0229 -1.8464 -1.8466 0.0188

11 IN0019980286 12.60% 2018 (On Tap) 23-Nov-98 23-Nov-18 12631.88 14093.85 111.57 6.90% 6.96% 1.9697 1.9040 112.8073 117.1858 4.8520 -1.9040 0.0243 -1.8797 -1.8800 0.0219

12 IN0020030097 5.64% 2019 2-Jan-04 2-Jan-19 10000.00 9740.00 97.40 6.86% 6.98% 2.2033 2.1302 96.2424 100.4314 5.7434 -2.1302 0.0287 -2.1015 -2.1018 0.0209

13 IN0020080068 6.05% 2019 2-Feb-09 2-Feb-19 53000.00 52020.08 98.15 6.89% 6.96% 2.2781 2.2022 96.4795 100.8239 6.0997 -2.2022 0.0305 -2.1717 -2.1720 0.0217

14 IN0020130038 7.28% GS 2019 3-Jun-13 3-Jun-19 53000.00 53517.86 100.98 6.88% 6.90% 2.5085 2.4251 100.2827 105.2665 7.4300 -2.4251 0.0371 -2.3879 -2.3884 0.0249

15 IN0020030048 6.05% 2019 (conv) 12-Jun-03 12-Jun-19 11000.00 10753.60 97.76 6.94% 6.91% 2.5685 2.4823 96.6492 101.5687 7.6924 -2.4823 0.0385 -2.4439 -2.4443 0.0246

16 IN0020090042 6.90% 2019 13-Jul-09 13-Jul-19 45000.00 44976.06 99.95 6.92% 6.96% 2.6301 2.5422 98.3240 103.4525 8.0547 -2.5422 0.0403 -2.5019 -2.5024 0.0256

17 IN0020010065 10.03% 2019 9-Aug-01 9-Aug-19 6000.00 6482.22 108.04 6.96% 6.91% 2.6204 2.5323 105.9149 111.4173 8.0987 -2.5323 0.0405 -2.4918 -2.4923 0.0275

18 IN0020020171 6.35% 2020 2-Jan-03 2-Jan-20 61000.00 59941.41 98.26 6.94% 6.99% 3.0285 2.9270 96.4331 102.2468 10.5324 -2.9270 0.0527 -2.8743 -2.8751 0.0291

19 IN0020110071 8.19% G.S. 2020 16-Jan-12 16-Jan-20 74000.00 76653.12 103.59 7.20% 7.26% 2.9894 2.8856 101.6491 107.6880 10.3782 -2.8856 0.0519 -2.8337 -2.8344 0.0302

20 IN0020000025 10.70% 2020 22-Apr-00 22-Apr-20 6000.00 6708.08 111.80 6.97% 7.06% 3.0444 2.9418 112.2684 119.0722 11.1706 -2.9418 0.0559 -2.8860 -2.8868 0.0340

21 IN0020100015 7.80% G.S. 2020 3-May-10 3-May-20 75000.00 76940.40 102.59 6.98% 7.03% 3.1950 3.0872 101.9388 108.4313 11.9524 -3.0872 0.0598 -3.0274 -3.0283 0.0324

22 IN0020140029 8.27% G.S. 2020 9-Jun-14 9-Jun-20 73000.00 76136.01 104.30 6.95% 6.99% 3.2743 3.1643 102.8629 109.5832 12.5028 -3.1643 0.0625 -3.1018 -3.1028 0.0336

62

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September 2016

TABLE 3: OUTSTANDING GOVERNMENT DEBT (Contd.)

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

Price(`)

Yield(%)

Yield (%)(PreviousMonth)

DurationMod

DurationV+ (for100bps)

V- (for100bps)

Convexity

PriceChangeDue to

ModifiedDurationfor 100bps

(%)

PriceChangeDue to

Convexityfor

100bps(%)

Expectedprice Changefor a 100bpsrise in yield

due toDuration and

ConvexityEffect(%)

ActualChange

for100pbsincreasein yield

PV01

23 IN0020120054 8.12% Govt Stock 2020 10-Dec-12 10-Dec-20 76000.00 79068.73 104.04 7.01% 7.05% 3.6513 3.5277 102.1890 109.6593 15.4812 -3.5277 0.0774 -3.4503 -3.4516 0.0373

24 IN0020000124 11.60% 2020 27-Dec-00 27-Dec-20 5000.00 5842.47 116.85 7.01% 7.10% 3.5308 3.4112 114.9109 123.0243 14.8479 -3.4112 0.0742 -3.3370 -3.3382 0.0405

25 IN0020110022 7.80% G.S. 2021 11-Apr-11 11-Apr-21 66000.00 68011.68 103.05 7.01% 7.05% 3.8629 3.7321 102.1925 110.1123 17.4867 -3.7321 0.0874 -3.6446 -3.6462 0.0396

26 IN0020060318 7.94% G.S. 2021 24-May-06 24-May-21 49000.00 50857.91 103.79 6.98% 7.15% 3.9737 3.8397 101.9379 110.0746 18.3686 -3.8397 0.0918 -3.7479 -3.7495 0.0407

27 IN0020010040 10.25% 2021 30-May-01 30-May-21 26213.32 29503.25 112.55 7.09% 7.08% 3.8502 3.7185 110.9321 119.4967 17.5996 -3.7185 0.0880 -3.6305 -3.6320 0.0428

28 IN0020110030 8.79% G.S. 2021 8-Nov-11 8-Nov-21 83000.00 89131.63 107.39 7.06% 7.15% 4.2093 4.0657 105.7577 114.7167 20.8963 -4.0657 0.1045 -3.9612 -3.9633 0.0448

29 IN0020060037 8.20% Government Stock 2022 15-Feb-07 15-Feb-22 57632.33 60456.31 104.90 7.10% 7.16% 4.5205 4.3655 100.7686 109.9621 23.5033 -4.3655 0.1175 -4.2480 -4.2503 0.0459

30 IN0020020072 8.35% 2022 14-May-02 14-May-22 77000.00 81229.50 105.49 7.16% 7.24% 4.5818 4.4235 103.3067 112.8627 24.6790 -4.4235 0.1234 -4.3001 -4.3027 0.0477

31 IN0020120013 8.15% 2022 11-Jun-12 11-Jun-22 83000.00 86901.00 104.70 7.14% 7.17% 4.6742 4.5131 101.8155 111.4330 25.4954 -4.5131 0.1275 -4.3856 -4.3883 0.0480

32 IN0020070028 8.08% Government Stock 2022 2-Aug-07 2-Aug-22 68969.41 72226.28 104.72 7.09% 7.17% 4.8234 4.6583 100.5817 110.4029 26.8871 -4.6583 0.1344 -4.5239 -4.5267 0.0491

33 IN0020039031 5.87% 2022 (conv) 28-Aug-03 28-Aug-22 11000.00 10357.11 94.16 7.08% 7.15% 5.1059 4.9313 89.6782 98.9737 29.2522 -4.9313 0.1463 -4.7850 -4.7882 0.0464

34 IN0020070051 8.13% 2022 21-Sep-07 21-Sep-22 70495.28 73843.81 104.75 7.15% 7.18% 4.7705 4.6058 103.4942 113.4806 27.0786 -4.6058 0.1354 -4.4704 -4.4734 0.0499

35 IN0020030014 6.30% 2023 9-Apr-03 9-Apr-23 13000.00 12572.60 96.71 6.93% 7.17% 5.3494 5.1703 94.2129 104.4765 33.2514 -5.1703 0.1663 -5.0040 -5.0080 0.0513

36 IN0020130012 7.16% GOVT STOCK 2023 20-May-13 20-May-23 77000.00 77284.75 100.37 7.09% 7.14% 5.3509 5.1678 97.2360 107.8236 33.4344 -5.1678 0.1672 -5.0006 -5.0046 0.0529

37 IN0020030055 6.17% 2023 12-Jun-03 12-Jun-23 14000.00 13443.85 96.03 6.91% 7.07% 5.5418 5.3567 92.3163 102.7557 35.2708 -5.3567 0.1764 -5.1804 -5.1847 0.0521

38 IN0020130061 8.83% G.S. 223 25-Nov-13 25-Nov-23 83000.00 90844.16 109.45 7.13% 7.24% 5.4717 5.2833 106.0706 117.8921 35.8520 -5.2833 0.1793 -5.1040 -5.1085 0.0590

39 IN0020150010 7.68% GS 2023 27-Apr-15 15-Dec-23 88132.01 91084.79 103.35 7.08% 7.17% 5.6617 5.4681 99.4045 110.8922 37.7259 -5.4681 0.1886 -5.2795 -5.2843 0.0574

40 IN0020090034 7.35% 2024 22-Jun-09 22-Jun-24 83168.02 84360.73 101.43 7.11% 7.18% 6.0141 5.8078 97.0637 109.0190 42.5790 -5.8078 0.2129 -5.5949 -5.6007 0.0597

41 IN0020140045 8.40% GS 2024 28-Jul-14 28-Jul-24 90000.00 96651.81 107.39 7.16% 7.26% 5.9744 5.7680 102.1228 114.6099 42.3138 -5.7680 0.2116 -5.5564 -5.5622 0.0624

42 IN0020110048 9.15% G.S. 2024 14-Nov-11 14-Nov-24 92000.00 102948.00 111.90 7.20% 7.38% 5.9431 5.7366 108.2603 121.4216 43.0649 -5.7366 0.2153 -5.5212 -5.5272 0.0657

43 IN0020150036 7.72% GS 2025 25-May-15 25-May-25 86000.00 89257.16 103.79 7.13% 7.22% 6.4360 6.2146 99.5040 112.6727 49.8406 -6.2146 0.2492 -5.9654 -5.9728 0.0657

44 IN0020120047 8.20% G.S. 2025 24-Sep-12 24-Sep-25 90000.00 96176.97 106.86 7.16% 7.33% 6.4480 6.2253 103.8171 117.5818 51.2315 -6.2253 0.2562 -5.9691 -5.9769 0.0687

63

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TABLE 3: OUTSTANDING GOVERNMENT DEBT (Contd.)

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

Price(`)

Yield(%)

Yield (%)(PreviousMonth)

DurationMod

DurationV+ (for100bps)

V- (for100bps)

Convexity

PriceChangeDue to

ModifiedDurationfor 100bps

(%)

PriceChangeDue to

Convexityfor

100bps(%)

Expectedprice Changefor a 100bpsrise in yield

due toDuration and

ConvexityEffect(%)

ActualChange

for100pbsincreasein yield

PV01

45 IN0020030071 5.97% 2025 25-Sep-03 25-Sep-25 16687.95 15387.67 92.21 7.15% 7.35% 6.8485 6.6121 88.7680 101.3181 55.7790 -6.6121 0.2789 -6.3332 -6.3418 0.0626

46 IN0020150093 7.59% GS 2026 11-Jan-16 11-Jan-26 95000.00 98128.64 103.29 7.10% 7.17% 6.8477 6.6129 97.7117 111.5282 56.2733 -6.6129 0.2814 -6.3316 -6.3404 0.0690

47 IN0020120039 8.33% G.S. 2026 9-Jul-12 9-Jul-26 90000.00 97380.00 108.20 7.15% 7.35% 6.9654 6.7249 102.3376 117.0701 59.1954 -6.7249 0.2960 -6.4289 -6.4386 0.0735

48 IN0020010081 10.18% 2026 11-Sep-01 11-Sep-26 15000.00 18231.64 121.54 7.14% 7.27% 6.6024 6.3749 118.6116 134.7408 55.8846 -6.3749 0.2794 -6.0955 -6.1047 0.0805

49 IN0020140060 8.15% G S 2026 24-Nov-14 24-Nov-26 86489.21 92451.00 106.89 7.18% 7.32% 7.1039 6.8575 101.9156 116.8971 62.3284 -6.8575 0.3116 -6.5459 -6.5564 0.0748

50 IN0020060078 8.24% Government Stock 2027 15-Feb-07 15-Feb-27 93388.55 100330.31 107.43 7.21% 7.36% 7.3099 7.0553 100.5118 115.7440 65.1980 -7.0553 0.3260 -6.7294 -6.7406 0.0760

51 IN0020070036 8.26% Government Stock 2027 2-Aug-07 2-Aug-27 73427.33 78656.02 107.12 7.30% 7.45% 7.4868 7.2231 100.3382 115.9325 69.0455 -7.2231 0.3452 -6.8779 -6.8902 0.0778

52 IN0020070069 8.28% 2027 21-Sep-07 21-Sep-27 89252.24 96465.34 108.08 7.21% 7.38% 7.3531 7.0973 104.1776 120.0661 68.5832 -7.0973 0.3429 -6.7544 -6.7668 0.0793

53 IN0020020247 6.01% 2028 7-Aug-03 25-Mar-28 15000.00 13923.72 92.82 6.92% 7.16% 8.1408 7.8685 88.2788 103.3236 81.4911 -7.8685 0.4075 -7.4611 -7.4766 0.0750

54 IN0020140011 8.60% GS 2028 2-Jun-14 2-Jun-28 84000.00 92985.98 110.70 7.23% 7.40% 7.6997 7.4310 104.8252 121.6215 75.0919 -7.4310 0.3755 -7.0556 -7.0697 0.0838

55 IN0020030022 6.13% 2028 4-Jun-03 4-Jun-28 11000.00 10362.99 94.21 6.85% 7.16% 8.3111 8.0357 88.3729 103.7801 84.2625 -8.0357 0.4213 -7.6144 -7.6307 0.0768

56 IN0020150069 7.59% GS 2029 19-Oct-15 20-Mar-29 80000.00 83042.48 103.80 7.13% 7.27% 8.1314 7.8517 99.1974 116.0643 84.7985 -7.8517 0.4240 -7.4277 -7.4448 0.0841

57 IN0020150028 7.88% GS 2030 11-May-15 19-Mar-30 89000.00 94787.40 106.50 7.12% 7.27% 8.4504 8.1598 101.5399 119.5397 93.2440 -8.1598 0.4662 -7.6936 -7.7135 0.0897

58 IN0020160019 7.61% GS 2030 9-May-16 9-May-30 40000.00 41878.24 104.70 7.07% 7.23% 8.6653 8.3696 98.5789 116.5416 96.8312 -8.3696 0.4842 -7.8854 -7.9063 0.0895

59 IN0020130053 9.20% GOVT. STOCK 2030 30-Sep-13 30-Sep-30 61884.55 72403.75 117.00 7.25% 7.46% 8.3543 8.0620 111.6281 131.1599 93.1143 -8.0620 0.4656 -7.5964 -7.6167 0.0974

60 IN0020110055 8.97% G.S. 2030 5-Dec-11 5-Dec-30 90000.00 103092.62 114.55 7.31% 7.43% 8.5650 8.2630 107.5635 126.8934 96.5495 -8.2630 0.4827 -7.7803 -7.8016 0.0963

61 IN0020060086 8.28% Government Stock 2032 15-Feb-07 15-Feb-32 90687.11 99093.81 109.27 7.27% 7.43% 9.2501 8.9256 100.4157 120.0416 111.9655 -8.9256 0.5598 -8.3658 -8.3924 0.0978

62 IN0020070044 8.32% Government Stock 2032 2-Aug-07 2-Aug-32 89434.05 97930.28 109.50 7.30% 7.40% 9.3568 9.0273 100.8098 120.7583 115.6510 -9.0273 0.5783 -8.4490 -8.4771 0.0994

63 IN0020020106 7.95% 2032 28-Aug-02 28-Aug-32 89000.00 94562.50 106.25 7.28% 7.36% 9.5220 9.1874 97.1289 116.7221 118.7895 -9.1874 0.5939 -8.5935 -8.6226 0.0976

64 IN0020070077 8.33% 2032 21-Sep-07 21-Sep-32 1522.48 1669.66 109.67 7.30% 7.47% 9.1463 8.8243 103.9571 124.0241 113.7634 -8.8243 0.5688 -8.2555 -8.2833 0.1000

65 IN0020140052 8.24% G.S 2033 10-Nov-14 10-Nov-33 87000.00 95313.02 109.56 7.26% 7.41% 9.6130 9.2764 102.3463 123.2122 126.0382 -9.2764 0.6302 -8.6462 -8.6789 0.1039

64

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September 2016

TABLE 3: OUTSTANDING GOVERNMENT DEBT (Contd.)

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

Price(`)

Yield(%)

Yield (%)(PreviousMonth)

DurationMod

DurationV+ (for100bps)

V- (for100bps)

Convexity

PriceChangeDue to

ModifiedDurationfor 100bps

(%)

PriceChangeDue to

Convexityfor

100bps(%)

Expectedprice Changefor a 100bpsrise in yield

due toDuration and

ConvexityEffect(%)

ActualChange

for100pbsincreasein yield

PV01

66 IN0020040039 7.50% 2034 10-Aug-04 10-Aug-34 80000.00 82357.20 102.95 7.20% 7.32% 10.2173 9.8621 93.8539 114.3196 140.0123 -9.8621 0.7001 -9.1620 -9.1998 0.1019

67 IN0020150051 7.73% GS 2034 12-Oct-15 19-Dec-34 40000.00 42176.80 105.44 7.19% 7.35% 10.1572 9.8048 97.1901 118.2482 140.7150 -9.8048 0.7036 -9.1012 -9.1397 0.1048

68 IN0020050012 7.40% 2035 9-Sep-05 9-Sep-35 52000.00 53057.52 102.03 7.20% 7.30% 10.2309 9.8753 95.8548 116.7890 146.5122 -9.8753 0.7326 -9.1427 -9.1842 0.1042

69 IN0020060045 8.33% 2036 7-Jun-06 7-Jun-36 86000.00 95589.00 111.15 7.26% 7.46% 10.3246 9.9631 102.6010 125.2293 149.4014 -9.9631 0.7470 -9.2161 -9.2593 0.1126

70 IN0020080050 6.83% G.S. 2039 19-Jan-09 19-Jan-39 13000.00 12691.98 97.63 7.04% 7.28% 11.5603 11.1672 88.2852 110.3847 188.2990 -11.1672 0.9415 -10.2257 -10.2869 0.1098

71 IN0020100031 8.30% G.S. 2040 2-Jul-10 2-Jul-40 90000.00 100412.55 111.57 7.27% 7.44% 11.2440 10.8497 101.6291 126.2685 184.5963 -10.8497 0.9230 -9.9267 -9.9884 0.1224

72 IN0020110063 8.83% G.S. 2041 12-Dec-11 12-Dec-41 90000.00 106020.00 117.80 7.28% 7.44% 11.3262 10.9285 107.6964 134.0213 191.4045 -10.9285 0.9570 -9.9715 -10.0380 0.1307

73 IN0020120062 8.30% GOVT STOCK 2042 31-Dec-12 31-Dec-42 90000.00 100881.00 112.09 7.26% 7.44% 11.6714 11.2625 101.7679 127.4945 204.0769 -11.2625 1.0204 -10.2421 -10.3156 0.1277

74 IN0020130079 9.23% Govt Stock 2043 23-Dec-13 23-Dec-43 79472.28 97817.10 123.08 7.27% 7.44% 11.5991 11.1922 112.0153 140.1382 204.4260 -11.1922 1.0221 -10.1701 -10.2450 0.1396

75 IN0020140078 8.17% G.S. 2044 1-Dec-14 1-Dec-44 84000.00 93008.16 110.72 7.27% 7.40% 11.9107 11.4930 100.9198 127.0216 217.6442 -11.4930 1.0882 -10.4048 -10.4875 0.1295

76 IN0020150044 8.13% G.S. 2045 22-Jun-15 22-Jun-45 69000.00 76289.71 110.56 7.25% 7.38% 12.0625 11.6405 100.2064 126.4977 223.3011 -11.6405 1.1165 -10.5240 -10.6102 0.1304

77 IN0020150077 7.72% GS 2055 26-Oct-15 26-Oct-55 19000.00 20216.00 106.40 7.23% 7.36% 13.0249 12.5707 96.7552 124.4704 284.9257 -12.5707 1.4246 -11.1461 -11.2819 0.1369

4538072.41 4821593.12 6.4259

65

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TABLE 3: OUTSTANDING GOVERNMENT DEBT (Contd.)

Special Securities

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

Price(`)

Yield(%)

Yield(%)

(PreviousMonth)

DurationMod

DurationV+ (for100bps)

V- (for100bps)

Convexity

PriceChangeDue to

ModifiedDurationfor 100bps

(%)

PriceChangeDue to

Convexityfor

100bps(%)

Expectedprice Changefor a 100bpsrise in yield

due toDuration and

ConvexityEffect(%)

ActualChange

for100pbsincreasein yield

PV01

1 IN0020009018 11.50% GOI (IIBI) Spl Securities 2021 30-Mar-01 30-Mar-21 100.00 116.08 116.08 7.30% 7.42% 3.6135 3.4861 116.7568 125.1880 15.8992 -3.4861 0.0795 -3.4066 -3.4080 0.0421

2 IN00201090168.01% Postal Life Insurance Government of IndiaSpecial Security 2021

31-Mar-11 31-Mar-21 4000.00 4106.15 102.65 7.32% 7.43% 3.8130 3.6785 102.1813 109.9822 17.0893 -3.6785 0.0854 -3.5930 -3.5945 0.0390

3 IN00200600948.13% Oil Marketing Companies Government ofIndia Special Bonds, 2021

16-Oct-06 16-Oct-21 5000.00 5164.85 103.30 7.34% 7.46% 4.1892 4.0409 102.1342 110.7312 20.6125 -4.0409 0.1031 -3.9378 -3.9398 0.0430

4 IN0020019017 9.75% GOI (IFCI) SPL SEC 2021 30-Oct-01 30-Oct-21 400.00 440.75 110.19 7.34% 7.46% 4.1146 3.9690 109.0474 118.0564 20.1722 -3.9690 0.1009 -3.8681 -3.8700 0.0450

5 IN00200601287.75% Oil Marketing Companies Government ofIndia Special Bonds, 2021

28-Nov-06 28-Nov-21 5000.00 5085.41 101.71 7.35% 7.47% 4.3348 4.1812 99.4641 108.1393 21.7871 -4.1812 0.1089 -4.0723 -4.0744 0.0433

6 IN0020119015 PLI GoISpl. Floating Rate Bonds 2022 30-Mar-12 30-Mar-22 7000.00 6983.92 99.77 - - - - - - - - - - - -

7 IN0020060110 8.15% Government of India FCI Special Bonds, 2022 16-Oct-06 16-Oct-22 5000.00 5185.97 103.72 7.38% 7.51% 4.8292 4.6573 101.9252 111.8753 27.5927 -4.6573 0.1380 -4.5194 -4.5224 0.0497

8 IN0020089028 7% FERT COS GOI SPL BOND 2022 10-Dec-08 10-Dec-22 6071.51 5951.98 98.03 7.39% 7.52% 5.0954 4.9137 94.8394 104.6330 29.9733 -4.9137 0.1499 -4.7639 -4.7672 0.0489

9 IN00200890446.20% Fertilizer Companies’ Government of IndiaSpecial Bonds, 2022

24-Dec-08 24-Dec-22 491.41 462.07 94.03 7.40% 7.52% 5.2239 5.0376 90.5174 100.1124 31.0961 -5.0376 0.1555 -4.8821 -4.8857 0.0479

10 IN00200890516.65% Fertilizer Companies Government of IndiaSpecial Bonds, 2023

29-Jan-09 29-Jan-23 1710.93 1646.37 96.23 7.40% 7.53% 5.2697 5.0818 92.0297 101.8750 31.6642 -5.0818 0.1583 -4.9234 -4.9271 0.0492

11 IN0020120070 8.20% PLI GoISpl Sec. 2023 28-Mar-13 28-Mar-23 6893.68 7177.75 104.12 7.40% 7.52% 5.0770 4.8959 102.4774 113.0195 30.7753 -4.8959 0.1539 -4.7421 -4.7457 0.0527

12 IN00201090248.08% Postal Life Insurance Government of IndiaSpecial Security 2023

31-Mar-11 31-Mar-23 3000.00 3104.59 103.49 7.40% 7.53% 5.0951 4.9133 101.7643 112.2721 30.9345 -4.9133 0.1547 -4.7587 -4.7623 0.0525

13 IN00200890108.20% Oil Marketing Companies Government ofIndia Special Bonds 2023

10-Nov-08 10-Nov-23 22000.00 22941.05 104.28 7.42% 7.55% 5.4845 5.2883 101.3225 112.6261 35.8220 -5.2883 0.1791 -5.1092 -5.1137 0.0565

14 IN0020079011 8.30% Fertilizer Companies GOI Special Bonds, 2023 7-Dec-07 7-Dec-23 3880.00 4068.55 104.86 7.42% 7.55% 5.5479 5.3495 101.2515 112.6849 36.5199 -5.3495 0.1826 -5.1669 -5.1715 0.0571

15 IN00200600528.01% Oil Marketing Companies Government ofIndia Special Bonds, 2023

15-Dec-06 15-Dec-23 4150.00 4285.08 103.25 7.42% 7.55% 5.6038 5.4033 99.4439 110.7925 37.0743 -5.4033 0.1854 -5.2179 -5.2226 0.0567

16 IN00200600608.20% Oil Marketing Companies Government ofIndia Special Bonds, 2024

12-Feb-07 12-Feb-24 5000.00 5217.43 104.35 7.43% 7.56% 5.7395 5.5340 99.1583 110.7634 38.6021 -5.5340 0.1930 -5.3409 -5.3459 0.0580

17 IN00200790458.35% SBI Rights Issue Government of India SpecialBonds, 2024

27-Mar-08 27-Mar-24 9996.01 10523.20 105.27 7.43% 7.56% 5.6272 5.4257 103.1214 114.9412 38.3240 -5.4257 0.1916 -5.2341 -5.2391 0.0590

18 IN00200990198.20% Oil Marketing Companies’ Government ofIndia Special Bonds, 2024

15-Sep-09 15-Sep-24 10306.33 10774.52 104.54 7.44% 7.58% 5.8826 5.6717 102.3806 114.6781 42.1596 -5.6717 0.2108 -5.4609 -5.4667 0.0614

66

CCIL Monthly Newsletter

ou

tsta

nd

ing

go

vern

men

t d

ebt

September 2016

Modified Duration =Yield/21

Duration

+

0.01 )2x (P0

2P0( )V +( -+=

V - )Convexity

100 (A))01.0((%)100bpsforDurationModifiedtoDueChangePrice modx= Dur

100 (B))01.0(Convexity(%)100bpsforConvexitytoDueChangePrice 2=

Expected price Change due to Duration and Convexity Effect (%) = (A) + (B)

100(%)100bpsforChangeActual0

0-=

+

P

PV

V+ denotes the price due to 100 bps increase in yield; V- denotes the price due to 100 bps decrease in yield.

Where denotes the current price before any change in yield.

1

2

3

5

6

7

8 PV01 denotes the difference between the actual price and the price of the security for 1 bp change in the yield.

4

P0

x

x x

x

Note: Prices in Bold are Last traded prices on , 2016. Other prices are CCIL Model Prices.Duration is calculated considering as settlement date.

August 31August 31, 2016

TABLE 3: OUTSTANDING GOVERNMENT DEBT (Contd.)

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

Price(`)

Yield(%)

Yield(%)

(PreviousMonth)

DurationMod

DurationV+ (for100bps)

V- (for100bps)

Convexity

PriceChangeDue to

ModifiedDurationfor 100bps

(%)

PriceChangeDue to

Convexityfor

100bps(%)

Expectedprice Changefor a 100bpsrise in yield

due toDuration and

ConvexityEffect(%)

ActualChange

for100pbsincreasein yield

PV01

19 IN002004B019 GOI IDBI SPECIAL SECURITY 2024 29-Sep-04 29-Sep-24 9000.00 4972.71 55.25 - - - - - - - - - - - -

20 IN0020060011 8.03% Government of India FCI Special Bonds, 2024 15-Dec-06 15-Dec-24 5000.00 5178.07 103.56 7.44% 7.59% 6.1554 5.9345 99.2209 111.7247 45.3094 -5.9345 0.2265 -5.7080 -5.7144 0.0624

21 IN00200890366.35% Oil Marketing Companies Government ofIndia Special Bonds, 2024

23-Dec-08 23-Dec-24 22000.00 20514.24 93.25 7.45% 7.60% 6.4347 6.2035 88.7919 100.5207 48.2892 -6.2035 0.2414 -5.9621 -5.9690 0.0586

22 IN00200790297.95% Oil Marketing Companies Government ofIndia Special Bonds 2025

18-Jan-08 18-Jan-25 11256.92 11602.58 103.07 7.45% 7.59% 6.2578 6.0331 97.9589 110.5213 46.5226 -6.0331 0.2326 -5.8005 -5.8071 0.0627

23 IN00200790528.40% Oil Marketing Companies Government ofIndia Special Bonds, 2025

28-Mar-08 28-Mar-25 9296.92 9850.37 105.95 7.45% 7.59% 6.1506 5.9298 103.2533 116.2542 46.4021 -5.9298 0.2320 -5.6978 -5.7045 0.0649

24 IN0020089069 6.90% OIL MKTG COS GOI SB 2026 4-Feb-09 4-Feb-26 21942.00 21332.01 97.22 7.31% 7.63% 7.0111 6.7638 91.3843 104.6213 58.2204 -6.7638 0.2911 -6.4727 -6.4819 0.0661

25 IN00200790377.95% Fertilizer Companies Government of IndiaSpecial Bonds, 2026

18-Feb-08 18-Feb-26 3550.87 3664.99 103.21 7.47% 7.62% 6.8564 6.6095 96.9216 110.6189 56.3437 -6.6095 0.2817 -6.3278 -6.3367 0.0684

26 IN0020089077 8.00% OIL MKT COS GOI SB 2026 23-Mar-09 23-Mar-26 10000.00 10419.41 104.19 7.38% 7.62% 6.6997 6.4613 101.0149 114.9494 55.5587 -6.4613 0.2778 -6.1835 -6.1924 0.0695

27 IN00200601028.40% Oil Marketing Companies Government ofIndia Special Bonds, 2026

29-Mar-07 29-Mar-26 4971.00 5285.40 106.32 7.46% 7.61% 6.6424 6.4035 103.1056 117.1929 54.8594 -6.4035 0.2743 -6.1292 -6.1379 0.0703

28 IN0020060029 8.23% Government of India FCI Special Bonds, 2027 12-Feb-07 12-Feb-27 6200.00 6531.55 105.35 7.48% 7.64% 7.2700 7.0078 98.6773 113.5235 64.5366 -7.0078 0.3227 -6.6851 -6.6962 0.0741

203217.59 202587.06 5.4675

67

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government debt

Se

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20

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TABLE 3: OUTSTANDING GOVERNMENT DEBT (Contd.)

TREASURY BILLS (DTB)

FLOATING RATE & INFLATION INDEX BONDS

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

Price(`)

1 IN0020022011 FRB 2017 (8.15% - 364 day T-Bills) 2-Jul-02 2-Jul-17 3000.00 3007.94 100.26

2 IN0020092071 FRB 2020 (7.23% - 182 day T-Bills) 21-Dec-09 21-Dec-20 13000.00 12752.59 98.10

3 IN0020130046 1.44% IIGS 2023 5-Jun-13 5-Jun-23 1152.06 1091.07 94.71

4 IN0020042050 FRB 2035 (7.64%- reset every 5 years) 25-Jan-05 25-Jan-35 350.00 354.13 101.18

17502.06 17205.74

1 IN002015Z121 364 DTB 4-Sep-15 1-Sep-16 5002.00 5001.11 99.98

2 IN002015Z139 364 DTB 18-Sep-15 16-Sep-16 5004.50 4990.44 99.72

3 IN002015Z147 364 DTB 1-Oct-15 29-Sep-16 5003.00 4976.16 99.46

4 IN002015Z154 364 DTB 16-Oct-15 13-Oct-16 6000.00 5955.31 99.26

5 IN002015Z162 364 DTB 30-Oct-15 27-Oct-16 6000.00 5939.58 98.99

6 IN002015Z170 364 DTB 13-Nov-15 11-Nov-16 6000.00 5921.48 98.69

7 IN002015Z188 364 DTB 27-Nov-15 24-Nov-16 6003.00 5914.13 98.52

8 IN002015Z196 364 DTB 11-Dec-15 8-Dec-16 6014.70 5908.92 98.24

9 IN002015Z204 364 DTB 25-Dec-15 26-Dec-16 6006.00 5878.93 97.88

10 IN002015Z212 364 DTB 8-Jan-16 5-Jan-17 6010.00 5875.13 97.76

11 IN002015Z220 364 DTB 22-Jan-16 19-Jan-17 6000.00 5843.71 97.40

12 IN002015Z238 364 DTB 5-Feb-16 2-Feb-17 6000.00 5834.87 97.25

13 IN002015Z246 364 DTB 18-Feb-16 16-Feb-17 6000.00 5819.95 97.00

14 IN002015Z253 364 DTB 4-Mar-16 2-Mar-17 6000.00 5805.06 96.75

15 IN002015Z261 364 DTB 18-Mar-16 16-Mar-17 6000.00 5787.02 96.45

16 IN002015Z279 364 DTB 31-Mar-16 30-Mar-17 6002.00 5780.13 96.30

17 IN002016Z012 364 DTB 15-Apr-16 12-Apr-17 6000.00 5763.51 96.06

18 IN002016Z020 364 DTB 29-Apr-16 27-Apr-17 6002.00 5747.67 95.76

19 IN002016Z038 364 DTB 13-May-16 11-May-17 6000.00 5734.05 95.57

20 IN002016Z046 364 DTB 27-May-16 25-May-17 6000.00 5721.67 95.36

21 IN002016Z053 364 DTB 10-Jun-16 8-Jun-17 6000.15 5706.37 95.10

22 IN002016Z061 364 DTB 24-Jun-16 22-Jun-17 8517.00 8081.19 94.88

23 IN002016Z079 364 DTB 8-Jul-16 6-Jul-17 6000.10 5672.37 94.54

24 IN002016Z087 364 DTB 22-Jul-16 20-Jul-17 6000.00 5657.68 94.29

25 IN002016Z095 364 DTB 5-Aug-16 3-Aug-17 6000.17 5643.26 94.05

26 IN002016Z103 364 DTB 19-Aug-16 17-Aug-17 6000.00 5634.88 93.91

27 IN002015Y264 182 DTB 11-Mar-16 8-Sep-16 10001.50 9989.26 99.88

28 IN002015Y272 182 DTB 25-Mar-16 26-Sep-16 6569.15 6539.10 99.54

68

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government debt

Se

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20

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TABLE 3: OUTSTANDING GOVERNMENT DEBT (Concld.)

Note: Traded Prices are as on August 31, 2016. CCIL Model Prices are as on August 31, 2016.

Duration is calculated considering August 31, 2016, as settlement date.

Sr.No.

ISIN No. SecurityIssueDate

MaturityDate

Outstanding(` Crore)

MarketCapitali-zation

(` Crore)

Price(`)

29 IN002016Y015 182 DTB 7-Apr-16 6-Oct-16 6005.00 5966.91 99.37

30 IN002016Y023 182 DTB 22-Apr-16 20-Oct-16 6000.00 5948.09 99.13

31 IN002016Y031 182 DTB 6-May-16 3-Nov-16 6010.00 5943.04 98.89

32 IN002016Y049 182 DTB 20-May-16 17-Nov-16 6010.00 5928.55 98.64

33 IN002016Y056 182 DTB 3-Jun-16 1-Dec-16 10000.00 9839.08 98.39

34 IN002016Y064 182 DTB 17-Jun-16 15-Dec-16 6000.00 5887.33 98.12

35 IN002016Y072 182 DTB 30-Jun-16 29-Dec-16 6000.00 5872.57 97.88

36 IN002016Y080 182 DTB 15-Jul-16 12-Jan-17 7000.00 6830.50 97.58

37 IN002016Y098 182 DTB 29-Jul-16 26-Jan-17 6000.00 5842.33 97.37

38 IN002016Y106 182 DTB 12-Aug-16 9-Feb-17 7000.00 6801.98 97.17

39 IN002016Y114 182 DTB 26-Aug-16 23-Feb-17 6000.00 5814.97 96.92

40 IN002016X090 91 DTB 3-Jun-16 1-Sep-16 18000.00 17996.80 99.98

41 IN002016X108 91 DTB 10-Jun-16 8-Sep-16 19901.00 19876.64 99.88

42 IN002016X116 91 DTB 17-Jun-16 15-Sep-16 14211.00 14176.20 99.76

43 IN002016X124 91 DTB 24-Jun-16 22-Sep-16 14004.00 13952.68 99.63

44 IN002016X132 91 DTB 30-Jun-16 29-Sep-16 19101.00 18994.84 99.44

45 IN002016X140 91 DTB 8-Jul-16 6-Oct-16 12202.51 12126.37 99.38

46 IN002016X157 91 DTB 15-Jul-16 13-Oct-16 14900.00 14789.22 99.26

47 IN002016X165 91 DTB 22-Jul-16 20-Oct-16 15700.00 15564.18 99.13

48 IN002016X173 91 DTB 29-Jul-16 27-Oct-16 12200.00 12079.56 99.01

49 IN002016X181 91 DTB 5-Aug-16 3-Nov-16 16370.00 16187.85 98.89

50 IN002016X199 91 DTB 12-Aug-16 10-Nov-16 12000.00 11851.48 98.76

51 IN002016X207 91 DTB 19-Aug-16 17-Nov-16 8300.00 8187.22 98.64

IN002016X215 91 DTB 26-Aug-16 24-Nov-16 15101.25 14877.7062 98.52

436151.02 428458.99

69

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government debt

Se

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20

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TABLE 4: STATE DEVELOPMENT LOANS (SDLS) - OUTSTANDING

No. of Bonds Outstanding (` Crore)Sr.No.

State/Union TerritoryNo. %Share Value %Share

Wtd. Avg.Coupon (%)

Wtd. Avg.Maturity (yrs.)

1 Andhra Pradesh 137 6.17 148964.98 8.35 8.52 5.97

2 Arunachal Pradesh 23 1.04 1386.89 0.08 8.49 5.70

3 Assam 21 0.95 13196.56 0.74 8.39 5.56

4 Bihar 55 2.48 49738.48 2.79 8.56 6.72

5 Chhattisgarh 30 1.35 15422.44 0.86 8.45 7.88

6 Goa 51 2.30 6959.00 0.39 8.45 6.22

7 Gujarat 108 4.87 126477.07 7.09 8.41 6.02

8 Haryana 105 4.73 93468.85 5.24 8.44 7.01

9 Himachal Pradesh 65 2.93 16860.36 0.95 8.45 4.96

10 Jammu & Kashmir 71 3.20 23336.32 1.31 8.54 5.70

11 Jharkhand 53 2.39 28900.13 1.62 8.46 7.29

12 Karnataka 55 2.48 82532.84 4.63 8.58 6.32

13 Kerala 114 5.14 92445.71 5.18 8.49 6.44

14 Madhya Pradesh 55 2.48 58040.26 3.25 8.44 6.53

15 Maharashtra 120 5.41 188492.46 10.57 8.45 6.18

16 Manipur 35 1.58 3494.63 0.20 8.34 5.88

17 Meghalaya 53 2.39 3601.87 0.20 8.38 6.03

18 Mizoram 37 1.67 2086.33 0.12 8.44 5.15

19 Nagaland 51 2.30 5366.01 0.30 8.47 5.64

20 Odisha 14 0.63 10328.03 0.58 7.98 6.54

21 Puducherry 25 1.13 4042.44 0.23 8.59 5.44

22 Punjab 169 7.62 87233.26 4.89 8.46 6.20

23 Rajastan 172 7.75 144470.89 8.10 8.40 6.22

24 Sikkim 23 1.04 2435.35 0.14 8.18 6.01

25 Tamil Nadu 144 6.49 162823.53 9.13 8.39 6.50

26 Telangana 30 1.35 31050.00 1.74 8.21 9.05

27 Tripura 28 1.26 3692.94 0.21 8.43 6.45

28 Uttar Pradesh 199 8.97 191908.99 10.76 8.41 6.93

29 Uttaranchal 42 1.89 16382.75 0.92 8.53 6.68

30 West Bengal 134 6.04 167978.23 9.42 8.52 5.77

2219 100.00 1783117.59 100.00 8.14 6.53

70

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TABLE :5 OUTSTANDING - GOVERNMENT SECURITIES, TREASURY BILLS AND STATE DEVELOPMENT LOANSAmount Crore`

outstanding

government debt

Se

pte

mb

er

20

16

MonthGovernmentSecurities

SpecialSecurities

FloatingRate Bonds

TreasuryBills#

State DevelopmentLoans*

Total

Apr-06 931868.00 50903.69 46350.00 67072.91 239804.87 1335999.46

May-06 940819.00 50903.69 46350.00 76150.24 240104.87 1354327.79

Jun-06 955689.00 50903.69 46350.00 76537.87 240763.49 1370244.04

Jul-06 963689.00 50903.69 46350.00 84100.94 240763.49 1385807.12

Aug-06 970380.00 56152.47 46350.00 92801.37 242221.82 1407905.65

Sep-06 979380.00 56152.47 46350.00 95251.47 243271.82 1420405.75

Oct-06 988354.00 66152.47 46350.00 93358.52 243271.82 1437486.80

Nov-06 1002354.00 71152.47 44350.00 99852.39 243473.15 1461182.00

Dec-06 1011354.00 76413.26 44350.00 96859.85 245904.37 1474881.48

Jan-07 1020354.00 71564.48 44350.00 102420.08 247867.61 1486556.16

Feb-07 1028354.00 90999.14 44350.00 108913.26 247472.70 1520089.10

Mar-07 1058997.00 87256.88 44350.00 115473.69 251072.27 1557149.85

Apr-07 1071297.00 87256.88 44350.00 119965.64 254078.59 1576948.11

May-07 1077797.00 87256.88 44350.00 126189.40 250533.80 1586127.08

Jun-07 1102797.00 87256.88 44350.00 145981.76 252283.80 1632669.44

Jul-07 1128797.00 87256.88 44350.00 151565.34 255849.38 1667818.61

Aug-07 1169627.00 90937.41 44350.00 156379.61 253433.89 1714727.92

Sep-07 1191897.00 90237.41 44350.00 147411.54 256918.33 1730814.28

Oct-07 1236540.00 90237.41 44350.00 159450.17 259992.07 1790569.65

Nov-07 1256919.00 90237.41 44350.00 146252.36 262886.53 1800645.30

Dec-07 1263919.00 90238.20 44350.00 126327.36 268186.53 1793021.09

Jan-08 1273966.00 98369.64 44350.00 126951.13 276361.79 1819998.56

Feb-08 1288612.00 100655.10 44350.00 123605.11 289973.52 1847195.72

Mar-08 1288085.00 119948.03 44350.00 136139.95 302724.48 1891247.46

Apr-08 1319085.00 119948.03 44350.00 139593.07 310302.66 1933278.75

May-08 1320109.00 119948.03 44350.00 147979.97 307821.10 1940208.09

Jun-08 1332724.00 119948.03 44350.00 132825.20 311085.20 1940932.42

Jul-08 1347067.00 119948.03 44350.00 133659.95 313385.20 1958410.17

Aug-08 1348567.00 119948.03 44350.00 134160.86 313885.20 1960911.08

Sep-08 1361057.00 119948.03 44350.00 135751.52 315762.92 1976869.47

Oct-08 1371057.00 119649.56 44350.00 141434.52 318774.92 1995266.01

Nov-08 1371690.00 141649.56 44350.00 149632.01 319041.09 2026362.66

Dec-08 1374093.00 177649.56 44350.00 145070.40 327486.09 2068649.05

Jan-09 1403513.00 183649.56 44350.00 146566.95 338191.45 2116270.96

Feb-09 1421512.96 205591.56 44350.00 146762.02 356629.49 2174846.03

Mar-09 1468512.67 202220.17 44350.00 150273.80 369290.70 2234647.33

Apr-09 1478125.85 202220.17 44350.00 163472.50 414068.98 2302237.50

May-09 1526423.69 202220.17 44350.00 148275.25 414563.33 2335832.44

Jun-09 1564423.69 202220.17 44350.00 146874.80 421563.33 2379431.98

Jul-09 1615423.69 202220.17 44350.00 141338.92 427513.33 2430846.11

Aug-09 1651423.69 202220.17 44350.00 138854.64 437472.91 2474321.41

Sep-09 1697423.69 212526.50 44350.00 141887.94 452223.35 2548411.48

Oct-09 1727423.69 212526.50 44350.00 134980.94 465742.01 2585023.14

Nov-09 1756423.69 212526.50 44350.00 134014.74 476964.28 2624279.21

Dec-09 1783423.69 212526.50 43350.00 134764.74 489096.47 2663161.40

Jan-10 1779887.91 211826.50 46350.00 134753.74 496442.94 2669261.09

71

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TABLE :5 OUTSTANDING - GOVERNMENT SECURITIES, TREASURY BILLS AND STATE DEVELOPMENT LOANS

Amount Crore`

outstanding

government debt

Se

pte

mb

er

20

16

MonthGovernmentSecurities

SpecialSecurities

FloatingRate Bonds

TreasuryBills#

State DevelopmentLoans*

Total

Feb-10 1787887.91 208607.03 46350.00 134660.14 509676.73 2687181.82

Mar-10 1787887.91 208214.03 46350.00 137466.34 517405.62 2697323.90

Apr-10 1833887.91 208214.03 49350.00 136489.04 521551.88 2749492.86

May-10 1859011.69 208214.03 49350.00 144488.54 529259.38 2790323.64

Jun-10 1892238.66 208214.03 49350.00 131988.54 534974.23 2816765.47

Jul-10 1900110.16 208214.03 49350.00 116883.22 540925.06 2815482.48

Aug-10 1949367.38 208214.03 49350.00 122828.95 547425.91 2877186.27

Sep-10 1994117.38 208214.03 49350.00 123295.65 554535.06 2929512.12

Oct-10 2024969.09 208214.03 49350.00 127892.94 565736.86 2976162.92

Nov-10 2057964.09 208214.03 49350.00 117768.94 573111.86 3006408.92

Dec-10 2080492.84 208214.03 49350.00 125268.94 579026.86 3042352.67

Jan-11 2104647.19 208214.03 49350.00 126923.25 585834.62 3074969.09

Feb-11 2107564.66 208214.03 49350.00 127687.35 597643.35 3090459.39

Mar-11 2107564.66 209051.05 49350.00 141326.90 605803.69 3113096.30

Apr-11 2142091.74 209051.05 49350.00 169973.45 614026.69 3184492.93

May-11 2178091.74 209051.05 49350.00 201219.95 617839.16 3255551.90

Jun-11 2214091.74 209051.05 49350.00 221862.40 626839.16 3321194.35

Jul-11 2240091.74 202656.76 49350.00 245126.77 635951.08 3373176.35

Aug-11 2282230.38 202656.76 43350.00 258813.67 647703.99 3434754.79

Sep-11 2304230.38 202656.76 43350.00 221271.87 658253.99 3429762.99

Oct-11 2343983.47 202656.76 43350.00 224245.69 669335.66 3483571.58

Nov-11 2377983.47 202656.76 46350.00 230366.87 680524.30 3537881.40

Dec-11 2428983.47 202656.76 48350.00 212864.67 693052.62 3585907.52

Jan-12 2483983.47 202656.76 48350.00 232689.60 709031.96 3676711.78

Feb-12 2532978.47 202656.76 48350.00 271336.87 723972.96 3779295.05

Mar-12 2544978.47 205656.76 48350.00 267019.92 742411.75 3808416.90

Apr-12 2583978.47 205656.76 48350.00 302223.35 746077.40 3886285.98

May-12 2613978.47 205656.76 48350.00 308155.15 757649.21 3933789.59

Jun-12 2668404.34 205656.76 48350.00 328967.43 765210.46 4016588.98

Jul-12 2719362.53 205656.76 48350.00 333413.61 780870.46 4087653.35

Aug-12 2794362.53 205656.76 48350.00 325173.76 791136.56 4164679.60

Sep-12 2829362.53 199893.91 48350.00 329499.27 808196.56 4215302.26

Oct-12 2868362.53 199893.91 48350.00 320097.07 828003.91 4264707.42

Nov-12 2933362.53 199893.91 43350.00 314675.75 842018.24 4333300.43

Dec-12 2969362.53 199893.91 43350.00 315530.69 852097.55 4380234.67

Jan-13 2981362.53 199893.91 43350.00 331630.52 868306.68 4424543.64

Feb-13 3017362.53 199823.91 43350.00 311164.52 874104.53 4445805.48

Mar-13 3017362.53 206717.59 43350.00 299764.15 889068.62 4456262.89

Apr-13 3062362.52 206717.59 43350.00 316620.40 897231.62 4526282.11

May-13 3121611.19 206717.59 43350.00 319429.14 900318.79 4591426.71

Jun-13 3167611.19 206717.59 45350.00 328052.31 904967.16 4652698.24

Jul-13 3227611.19 206717.59 45350.00 361888.95 908057.54 4749625.26

Aug-13 3291627.29 206717.59 45350.00 420017.27 919077.00 4882789.14

Sep-13 3283627.29 206717.59 43350.00 400722.16 933469.55 4867886.59

Oct-13 3328627.29 206717.59 44350.00 356220.45 954502.92 4890418.25

Nov-13 3404627.29 206717.59 45350.00 348625.62 969237.80 4974558.30

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TABLE 6 : ANALYSIS OF OUTSTANDING BONDS Percent

TABLE :5 OUTSTANDING - GOVERNMENT SECURITIES, TREASURY BILLS AND STATE DEVELOPMENT LOANS

*Includes FRBs and Special Securities

Amount Crore`

*Does not include Power Bonds # Includes MSS Issuances

MonthGovernment

SecuritiesSpecial

SecuritiesFloating

Rate BondsTreasury

Bills#State Development

Loans*Total

Dec-13 3449627.28 206717.59 45850.00 358896.37 998590.40 5059681.64

Jan-14 3493627.28 206717.59 45850.00 343238.70 1020094.04 5109527.61

Feb-14 3483764.39 206717.59 45850.00 343036.55 1038785.87 5118154.40

Mar-14 3468236.43 206717.59 45850.00 339134.30 1057035.87 5116974.19

Apr-14 3495485.22 206717.59 45850.00 364793.80 1063844.10 5176690.70

May-14 3543123.39 206717.59 40850.00 373360.45 1074358.48 5238409.91

Jun-14 3596123.39 206717.59 40850.00 386995.57 1084968.48 5315655.03

Jul-14 3654123.39 206717.59 40850.00 413356.74 1101018.48 5416066.20

Aug-14 3714123.39 206717.59 40850.00 401959.40 1113063.82 5476714.20

Sep-14 3731318.45 206717.59 40850.00 391262.56 1130968.82 5501117.41

Oct-14 3766966.52 206717.59 40850.00 386682.36 1154068.82 5555285.28

Nov-14 3783927.61 206717.59 40850.00 407548.31 1171929.89 5610973.39

Dec-14 3828927.61 206717.59 40850.00 397446.97 1191799.31 5665741.48

Jan-15 3897927.61 206717.59 40850.00 386132.22 1226927.11 5758554.52

Feb-15 3919664.49 206717.59 40850.00 373485.28 1251117.41 5791834.77

Mar-15 3918503.66 203217.59 40850.00 363703.53 1273077.79 5799352.56

Apr-15 3982503.66 203217.59 40850.00 380142.11 1289517.79 5896231.14

May-15 4027605.12 203217.59 40850.00 385665.71 1307332.04 5964670.45

Jun-15 4026428.24 203217.59 40850.00 412876.47 1320986.39 6004358.69

Jul-15 4099428.24 203217.59 34850.00 414403.06 1343186.39 6095085.28

Aug-15 4148223.94 203217.59 28850.00 405357.66 1353987.87 6139637.06

Sep-15 4144575.20 203217.59 28850.00 417949.47 1371627.31 6166219.57

Oct-15 4212137.41 203217.59 28850.00 394818.15 1391236.57 6230259.72

Nov-15 4257137.41 203217.59 28850.00 406545.15 1423961.57 6319711.72

Dec-15 4287137.42 203217.59 28850.00 425648.25 1451235.75 6396089.01

Jan-16 4357137.41 203217.59 28850.00 408600.78 1485222.78 6483028.56

Feb-16 4338958.43 203217.59 25648.72 377224.03 1520468.58 6465517.35

Mar-16 4339909.95 203217.59 23502.06 364692.43 1639387.93 6570709.95

Apr-16 4356295.52 203217.59 23502.06 382408.30 1653167.93 6618591.39

May-16 4416295.52 203217.59 17502.06 404511.25 1666107.95 6707634.36

Jun-16 4470295.52 203217.59 17502.06 431323.55 1736975.92 6859314.63

Jul

Aug

-

-

16

16

4517165.67

4538072.41

203217.59

203217.59

17502.06

17502.06

429712.51

436151.03

1757917.59

1783117.59

6925515.41

6978060.66

Market Share in Outstanding Change Annualized ChangePeriod

G-Sec* T-Bill SDLs G-Sec* T-Bill SDLs G-Sec* T-Bill SDLs

2005-06 76.73 5.34 17.93 - - - 14.18 6.34 10.00

2006-07 76.32 7.46 16.22 16.00 62.86 5.50 15.13 32.82 7.63

2007-08 76.57 7.27 16.16 21.37 17.90 20.57 17.23 27.50 11.90

2008-09 76.66 6.75 16.59 18.97 10.38 21.99 17.67 22.89 14.40

2009-10 75.64 5.11 19.25 19.19 -8.52 40.11 17.98 15.73 19.21

2010-11 75.88 4.56 19.56 15.57 2.81 17.08 17.57 13.44 18.85

2011-12 73.38 7.04 19.58 18.43 88.94 22.55 17.69 22.12 19.38

2012-13 73.18 6.76 20.05 16.58 12.26 19.75 17.72 21.03 19.61

2013-14 72.64 6.66 20.70 13.97 13.13 18.52 17.29 20.11 19.49

2014-15 71.88 6.28 21.84 11.87 7.24 19.63 16.68 18.74 19.54

2015-16 69.61 5.56 24.83 9.71 0.27 27.98 16.02 16.90 20.37

2016-17 (Upto Aug 2016) 68.20 6.25 25.55 8.64 7.60 31.69 15.81 18.09 20.51

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TABLE 7: INDEX COMPOSITION

CCIL Indices

CCIL Indices

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No. Liquid Index Broad Index CASBI Index SDL Index

1 7.59% G.S. 2026 7.59% G.S. 2026 7.83% G.S. 2018 7.69% Uttar Pradesh SDL 2026

2 7.59% G.S. 2029 7.59% G.S. 2029 7.28% G.S. 2019 7.88% Andhra Pradesh SDL 2026

3 7.88% G.S. 2030 7.88% G.S. 2030 6.90% G.S. 2019 7.69% Kerala SDL 2026

4 7.68% G.S. 2023 7.68% G.S. 2023 6.35% G.S 2020 8% Punjab SDL 2026

5 7.61% G.S. 2030 7.61% G.S. 2030 8.27% G.S. 2020 8.76% Madhya Pradesh SDL 2026

6 7.72% G.S. 2025 7.80% G.S. 2021 7.69% Tamilnadu SDL 2026

7 8.27% G.S. 2020 8.08% G.S. 2022 7.69% Maharashtra SDL 2026

8 7.35% G.S. 2024 7.16% G.S. 2023 7.69% West Bengal SDL 2026

9 7.80% G.S. 2021 7.68% G.S. 2023 7.69% Gujarat SDL 2026

10 7.28% G.S. 2019 7.35% G.S. 2024 7.98% Haryana SDL 2026

11 8.40% G.S. 2024 8.40% G.S. 2024 8.6% Bihar 2026

12 6.35% G.S 2020 7.72% G.S. 2025 8.67% Karnataka SDL 2026

13 8.12% G.S. 2020 7.59% G.S. 2026 8.07% Rajasthan SDL 2026

14 7.16% G.S. 2023 8.28% G.S. 2027 7.69% Telangana SDL 2026

15 8.08% G.S. 2022 8.60% G.S. 2028

16 7.83% G.S.2018 7.59% G.S. 2029

17 8.60% G.S. 2028 7.88% G.S. 2030

18 7.73% G.S. 2034 7.61% G.S. 2030

19 8.17% G.S. 2044 8.32% G.S. 2032

20 8.13% G.S. 2045 8.24% G.S. 2033

21 7.73% G.S. 2034

22 7.40% G.S. 2035

23 8.33% G.S. 2036

24 6.83% G.S. 2039

25 8.30% G.S. 2040

26 8.83% G.S. 2041

27 8.30% G.S. 2042

28 9.23% G.S. 2043

29 8.17% G.S. 2044

30 8.13% G.S. 2045

31 7.72% G.S. 2055

74

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TABLE 8: INDEX PERFORMANCE ANALYSIS Percent

CC

IL In

dic

es

September 2016

Indices

TRIBond Index Broad

PRI

TRIBond Index Liquid

PRI

TRICASBI

PRI

TRITenor Index(upto 5 yrs)

PRI

TRITenor Index(5 -10 yrs)

PRI

TRITenor Index(10-15 yrs)

PRI

TRITenor Index(15-20 yrs)

PRI

TRITenor Index(20-30 yrs)

PRI

LiquidityWeight

T-Bill IndexEqualWeight

TRISDL Index

PRI

2007-08 2008-09 2009-10 2010-11 2011-12 2012-13 2013-14 2014-15 2015-16 2016-17 ( Aug-16)

YearlyReturn(%)

AnnualizedReturn

(%)

YearlyReturn(%)

AnnualizedReturn

(%)

YearlyReturn(%)

AnnualizedReturn

(%)

YearlyReturn(%)

AnnualizedReturn

(%)

YearlyReturn(%)

AnnualizedReturn

(%)

YearlyReturn(%)

AnnualizedReturn

(%)

YearlyReturn(%)

AnnualizedReturn

(%)

YearlyReturn(%)

AnnualizedReturn

(%)

YearlyReturn(%)

AnnualizedReturn

(%)

YearlyReturn(%)

AnnualizedReturn

(%)

8.7180 3.2022 14.6533 5.3970 4.9645 5.3248 5.9700 5.4167 5.3764 5.4117 12.5434 6.1813 1.8420 5.7391 17.9715 6.7967 7.5897 6.8625 12.7204 7.1685

0.3991 -4.8476 6.0812 -2.7559 -2.6056 -2.7308 -1.7544 -2.5920 -2.4471 -2.5739 3.9053 -1.8744 -6.1462 -2.3102 9.4740 -1.2935 -0.2737 -1.2089 4.4844 -0.9103

7.1601 2.7858 14.9089 5.1035 3.5974 4.8510 6.1285 5.0326 5.4325 5.0825 10.4908 5.6701 0.1164 5.1011 17.1786 6.1456 7.4502 6.2537 13.2048 6.6252

-0.6675 -4.7100 6.4797 -2.5703 -3.4510 -2.7176 -1.6508 -2.5660 -2.8086 -2.5963 3.4935 -1.9378 -7.8284 -2.5434 8.1415 -1.6173 -0.6877 -1.5402 4.9292 -1.1886

8.1171 2.1661 12.8054 4.2105 3.6406 4.1153 5.7445 4.3465 4.5829 4.3760 12.6371 5.2631 2.0880 4.9412 18.0029 6.0663 7.2960 6.1683 14.3364 6.6476

0.1014 -5.1539 5.0777 -3.1906 -2.6286 -3.0971 -6.0047 -3.5179 -2.0714 -3.3383 4.1990 -2.5285 -5.9231 -2.8734 9.4904 -1.8096 -0.1996 -1.6765 6.4401 -1.2230

9.4409 5.2012 10.8208 6.3018 6.4825 6.3319 3.7700 5.9621 5.3423 5.8844 9.7659 6.3088 5.7791 6.2557 11.0039 6.6789 9.1140 6.8797 10.4547 7.0136

0.2960 -3.9336 2.2316 -2.7310 -1.6107 -2.5452 -3.7924 -2.7244 -1.9219 -2.6244 1.5978 -2.1641 -2.2476 -2.1724 3.1155 -1.7031 1.1600 -1.4677 2.4565 -1.3241

9.0038 3.7253 12.9198 5.5023 3.7670 5.2111 5.6621 5.2754 5.0409 5.2460 11.8483 5.9599 2.0363 5.5609 15.9285 6.4638 8.6360 6.6431 13.0760 6.9509

0.4789 -4.4961 4.3543 -2.7882 -3.8358 -2.9636 -2.1813 -2.8522 -2.9799 -2.8682 3.4177 -2.1891 -5.9413 -2.5709 7.0973 -1.7293 0.3633 -1.5566 4.6693 -1.2584

7.8955 2.2961 14.0161 4.5395 4.2731 4.4950 6.8577 4.8293 4.7686 4.8217 13.0467 5.7052 0.6273 5.1861 18.9252 6.3666 7.6530 6.4732 14.2640 6.9334

-0.4663 -4.8335 5.5223 -2.8470 -3.4844 -2.9535 -1.3084 -2.7202 -3.4109 -2.8068 4.3128 -2.0404 -7.6428 -2.6156 10.3908 -1.4994 -0.2331 -1.3945 6.1038 -0.9623

8.1429 1.9977 10.3660 3.6190 3.4365 3.5886 7.8264 4.1836 4.7491 4.2541 13.1055 5.2024 -0.0401 4.6660 22.1676 6.1476 7.1293 6.2291 16.3552 6.8302

0.0010 -5.3562 4.5897 -3.4457 -4.4711 -3.6174 -0.5746 -3.1885 -3.3698 -3.2112 4.3310 -2.4008 -8.1866 -2.9954 12.7647 -1.6587 -1.1418 -1.6157 7.7336 -1.0460

7.2250 1.0100 16.1688 3.8746 2.5755 3.6570 7.4008 4.1837 4.5261 4.2264 14.1608 5.2861 -0.7621 4.6651 22.6906 6.1880 6.3691 6.2031 18.0327 6.9359

-1.0090 -6.4735 7.1305 -3.8985 -5.3463 -4.1413 -1.0681 -3.7082 -3.9139 -3.7339 5.2615 -2.7736 -8.7343 -3.3868 13.9646 -1.9252 -1.2247 -1.8670 9.2623 -1.1749

10.1806 8.1339 10.9553 8.6952 5.0149 8.0772 6.6233 7.8689 10.0279 8.1376 11.7266 8.5028 11.0666 8.7579 11.5784 9.0082 10.1342 9.1018 9.6661 9.1055

10.3857 8.1088 11.7960 8.8411 5.2582 8.2396 5.8004 7.8894 9.5957 8.1019 12.2183 8.5167 10.8000 8.7440 12.0361 9.0367 10.5240 9.1602 10.1150 9.1805

7.5452 7.5452 8.2904 7.9172 9.6032 8.4763 7.2877 8.1779 3.1958 7.1626 12.5981 8.0499 2.5543 7.2472 18.9297 8.6423 8.5516 8.6322 11.9732 8.8974

-0.7103 -0.7103 -0.1136 -0.4124 1.5256 0.2295 -1.1795 -0.1247 -5.2726 -1.1761 3.5978 -0.3961 -6.1907 -1.2453 8.8717 -0.0340 0.3361 0.0071 4.0853 0.3264

75

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TABLE 9: SECURITIES & MONEY MARKET (PRIMARY): COMPARATIVE DATA

Primary Market Analysis

primary market

analysis

Se

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20

16

2016-17 2015-16 2015-16

(upto August 2016) (upto August 2015)

Dated Securities

GOI Borrowing

Total no of Issues (including reissues) 80 81 161Gross Amount Borrowed Excluding MSS (F.V ` Crore) 299000.00 309000.00 585000.00Weighted Average Maturity (years) 14.36 15.67 16.04Weighted Average Yield (%) 7.49 7.94 7.89

Devolvements on PDs (F.V ` Crore) 0.00 4863.34 10999.14Private Placements on RBI (F.V ` Crore) - - -Redemption (F.V ` Crore) 106837.54 91279.71 181892.67Net Borrowings(F.V ` Crore) 192162.46 217720.29 403107.33

Total Borrowing (F.V ` Crore) 299000.00 309000.00 585000.00Budgeted Borrowing (F.V ` Crore) 600000.00 600000.00 600000.00% Completed of Total Borrowing 49.83 51.50 97.50

Borrowing Under MSS

Total Outstanding (F.V. ` Crore) 0.00 0.00 0.00MSS Ceiling (F.V. ` Crore) 30000.00 50000.00 50000.00Outstanding as percent of Ceiling (%) 0.00 0.00 0.00

Purchases Under OMO

Dated Securities purchased under OMO 39 - 28Amount of OMO dated securities purchased (F.V. ` Crore) 90013.00 - 71410.01

Sale Under OMO

Dated Securities sold under OMO - 2 2Amount of OMO dated securities sold (F.V. ` Crore) - 8270.00 8270.00

Buybacks

Auctions (F.V. ` Crore) - - 37526.43NDS-OM (F.V. ` Crore) - - -

SDL

Total no of Issues 102 100 298

Gross Amount Borrowed (F.V ` Crore) 104755.00 91433.20 294560.32Weighted Average Coupon (%) 7.85 8.23 8.28

Cash Management Bill

Amount (F.V ` Crore) - - -Weighted Average Cut-off (%) - - -

91 Day Treasury Bills

Amount (F.V ` Crore) 316960.84 295935.75 686666.51Weighted Average Cut -off (%) 6.72 7.69 7.43

182 Day Treasury Bills

Amount (F.V ` Crore) 72025.00 69049.72 162188.61Weighted Average Cut -off (%) 6.83 7.71 7.45

364 Day Treasury Bill

Amount (F.V ` Crore) 68519.52 60988.00 154033.20Weighted Average Cut-off (%) 6.84 7.73 7.44

Benchmark Rates

Bank Rate(% p.a)(Effective Date) 7.00 (05-04-16) 8.25 (02-06-15) 7.00 (05-04-16)CRR Rate (% p.a.)(Effective Date) 4.00 (09-02-13) 4.00 (09-02-13) 4.00 (09-02-13)Reverse Repo Rate(%)(Effective Date) 6.00 (05-04-16) 6.25 (02-06-15) 6.00 (05-04-16)Repo Rate (%) (Effective Date) 6.50 (05-04-16) 7.25 (02-06-15) 6.50 (05-04-16)Call Money Range(%) 6.16 - 6.79 6.84 - 7.78 6.49 - 9.36

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TABLE 10: LIQUIDITY ANALYSIS

Amount Crore`

primary market

analysis

Se

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mb

er

20

16

Financial Year

Government Securities* Gross Borrowing Redemption Net Borrowing Outstanding Coupon Payment

2006-07 195028.99 53295.84 141733.15 1190603.88

2007-08 194049.85 47937.53 146112.33 1452383.03

2008-09 277000.00 57697.89 219302.11 1715082.84

2009-10 428306.33 100937.22 327369.11 2042451.94

2010-11 437000.00 114323.25 322676.75 2365965.71

2011-12 510000.00 83975.48 426024.52 2798985.23

2012-13 558000.00 90615.94 467384.06 3267430.12 231643.31

2013-14 563973.04 105598.84 458374.20 3720804.01 282190.43

2014-15 592000.00 148578.22 443421.78 4162571.24 351519.03

2015-16 585000.00 181892.67 403107.33 4566629.59 354153.61

2016-17 (Upto Aug 2016) 299000.00 106837.54 192162.46 4758792.05 163058.86

* including Special Securities and FRBs

State Development Loans**

2006-07 20824.57 6550.85 14273.72 251072.27

2007-08 67778.59 11554.52 56224.07 302724.48

2008-09 118137.66 14371.33 103766.32 369290.70

2009-10 131121.69 16238.42 114883.27 517405.62

2010-11 104039.26 15641.19 88398.07 605803.69

2011-12 158632.30 21989.24 136643.06 742411.75

2012-13 177278.62 30621.75 146656.87 889068.62 46507.38

2013-14 200003.82 32036.56 167967.25 1057035.87 73200.33

2014-15 249418.51 33376.59 216041.92 1273077.79 91361.80

2015-16 401490.43 35180.29 366310.14 1639387.93 111656.63

2016-17 (Upto Aug 2016) 154222.97 10493.31 143729.66 1783117.59 52594.15

** excluding Power Bonds

Treasury Bills

2006-07 220035.70 174367.69 45668.00 115473.69

2007-08 314495.65 347650.93 -33155.28 136139.95

2008-09 360912.12 329084.95 31827.17 150273.80

2009-10 385875.14 399148.80 -13273.66 137466.34

2010-11 355765.09 343438.33 12326.76 141326.90

2011-12 723813.16 498620.14 225193.02 267019.92

2012-13 802830.39 770087.16 32743.23 299764.15

2013-14 961759.11 815192.96 146566.15 339134.30

2014-15 977125.85 950758.62 26367.23 363703.53

2015-16 1002888.32 993695.17 9193.15 364692.43

2016-17 (Upto Aug 2016) 457505.36 365019.11 92486.25 436151.03

77

CCIL Monthly Newsletter

statis

tic

s

*Commenced operations from November 12, 2002, Cash and Tom settlement is with effect from February 5, 2004.

** Commenced operations from January 20, 2003.

Amount Crore`

Statistics

September 2016

TABLE 11: CCIL SETTLEMENT DETAILS

Outright Repo (First + Second Leg) Forex* CBLO**Settlement

Period Trades ValueAvg.

TradesAvg.Vol

Trades ValueAvg.

TradesAvg.Vol

TradesValue(USD

Million)

Avg.Trades

Avg. Vol(USD

Million)Trades Value

Avg.Trades

Avg.Vol

2002-03 191843 1076147 646 3623 23284 933509 78 3143 100232 136102 1101 1496 159 852 3 16

2003-04 243585 1575133 820 5303 41886 1887266 142 6419 330517 501342 1425 2161 3060 76851 10 262

2004-05 160682 1134222 550 3884 48726 3116185 167 10672 466327 899782 1976 3813 29351 976790 101 3345

2005-06 125509 864751 467 3215 51332 3386870 176 11599 489649 1179688 2084 5020 67463 2953134 229 10045

2006-07 137100 1021536 562 4187 58009 5112560 199 17509 606808 1776981 2550 7466 85881 4732271 292 16096

2007-08 188843 1653851 765 6696 53258 7893536 182 27033 757074 3133665 3181 13167 113277 8110828 385 27588

2008-09 245964 2160233 1047 9192 48561 8187856 169 28529 837520 3758904 3657 16414 118941 8824784 414 30748

2009-10 316956 2913890 1332 12243 57289 12142409 201 42605 883949 2988971 3843 12996 142052 15541378 498 54531

2010-11 332540 2870952 1346 11623 54842 8207508 187 27917 1150037 4191037 4792 17463 145383 12259745 495 41700

2011-12 412266 3488203 1732 14656 59573 7524816 205 25858 1283178 4642573 5579 20185 143949 11155428 495 38335

2012-13 658055 6592032 2731 27353 83141 10804188 288 37385 1396138 4830933 6018 20823 156099 12028040 538 41476

2013-14 820330 8956699 3390 37011 92795 14454046 317 49331 1512215 4743321 6490 20358 177918 17526192 605 59613

2014-15 977948 10156162 4126 42853 109391 15735514 381 54828 1731706 5297790 7595 23236 207241 16764597 722 58413

2015-16 883167 9728541 3665 40367 135623 17249279 490 62272 1885129 5489286 8056 23458 215151 17833529 777 64381

Apr-16 93171 1147680 5823 71730 10297 1323961 542 69682 146930 526607 9183 32913 14029 1222747 738 64355

May-16 82043 905382 3729 41154 14404 1884905 626 81952 171419 565364 8163 26922 17696 1621758 769 70511

Jun-16 94861 1123884 4312 51086 15672 1996670 653 83195 175473 576182 7976 26190 19250 1727229 802 71968

Jul-16 172945 2114509 8647 105725 14169 1972741 616 85771 142234 468812 7486 24674 18805 1733233 818 75358

Aug-16 155504 1963147 7405 93483 15594 2147312 678 93361 145081 502544 6909 23931 19962 1958326 868 85145

2016-17 (UptoAugust 2016)

598524 7254601 5926 71828 70136 9325589 626 83264 781137 2639509 7890 26662 89742 8263294 801 73779

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TABLE 12: CATEGORYWISE BUYING ACTIVITY

Percent

* Call, Notice and Term Money segment.

TABLE 13: CATEGORYWISE SELLING ACTIVITY

Percent

* Call, Notice and Term Money segment.

Category OutrightReverse Repo

(Funds Lending)CBLO

LendingUncollateralised Money

Market Lending*Forex

IRS-MIBOR

IRS-MIFOR

Co-operative Banks 5.04 1.61 6.97 42.78 0.16 - -

Financial Institutions 0.33 0.03 3.14 - 0.00 - -

Foreign Banks 25.57 32.48 3.37 5.47 38.55 73.25 80.60

Insurance Companies 1.19 2.85 8.46 - - - -

Mutual Funds 8.14 19.35 50.29 - - - -

Others 1.37 0.00 9.68 - - - -

Primary Dealers 17.00 3.39 0.05 0.01 - 12.93 0.00

Private Sector Banks 13.85 13.59 4.92 15.02 25.67 13.50 19.40

Public Sector Banks 27.51 26.69 13.11 36.72 35.62 0.32 0.00

Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00

Category Outright RepoCBLO

BorrowingUncollateralised Money

Market Borrowing*Forex

IRS-MIBOR

IRS-MIFOR

Co-operative Banks 4.88 0.22 0.86 0.81 0.16 - -

Financial Institutions 0.29 0.00 6.06 - 0.00 - -

Foreign Banks 26.75 20.50 8.69 11.33 39.06 63.85 83.17

Insurance Companies 0.98 0.08 0.18 - - - -

Mutual Funds 7.29 0.00 20.44 - - - -

Others 0.75 3.85 10.78 - - - -

Primary Dealers 18.40 32.88 3.94 29.95 - 20.65 0.00

Private Sector Banks 14.21 28.09 21.21 38.03 26.06 15.37 16.83

Public Sector Banks 26.46 14.36 27.83 19.88 34.72 0.12 0.00

Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00

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TABLE 14: COMPARABLE RATES Percent

September 2016

Money Market Rates (WAR) Benchmark Rates Auction Cut-offs Policy Rates

DateCall Repo CBLO

FBIL-OvernightMIBOR(10:45A.M.)

FBIL-TermMIBOR 14

DAYS(11:45A.M.)

FBIL-TermMIBOR 1

Month(11:45A.M.)

FBIL-TermMIBOR 3Months(11:45A.M.)

CCBOR(10:00A.M.)

10YBenchmark

(WAY)91 DTB

182DTB

364DTB

LAFRepo

LAFReverseRepo

1-Aug-16 6.3723 6.4426 6.3649 6.50 6.79 6.85 6.95 6.4606 7.1303 - - - 6.50 6.00

2-Aug-16 6.3805 6.4458 6.3608 6.50 6.77 6.85 6.93 6.4002 7.1633 - - - 6.50 6.00

3-Aug-16 6.3949 6.4385 6.3813 6.50 6.75 6.84 6.91 6.4041 7.1980 6.5634 - 6.6850 6.50 6.00

4-Aug-16 6.4067 6.4264 6.4089 6.50 6.76 6.84 6.92 6.3906 7.1748 - - - 6.50 6.00

5-Aug-16 6.3872 6.4345 5.7327 6.48 6.77 6.80 6.92 5.6134 7.1573 - - - 6.50 6.00

6-Aug-16 6.1690 - 6.5744 - - - - - - - - - 6.50 6.00

8-Aug-16 6.4492 6.4657 6.4874 6.57 6.80 6.81 6.93 6.4677 7.1789 - - - 6.50 6.00

9-Aug-16 6.4761 6.4976 6.5971 6.60 6.80 6.83 6.92 6.5093 7.1337 - - - 6.50 6.00

10-Aug-16 6.4595 6.5233 6.5469 6.60 6.80 6.84 6.92 6.5485 7.0921 6.5634 6.6511 - 6.50 6.00

11-Aug-16 6.4533 6.5434 6.4882 6.65 6.81 6.84 6.90 6.5575 7.0818 - - - 6.50 6.00

12-Aug-16 6.4270 6.5017 6.4212 6.59 6.81 6.83 6.90 6.4755 7.0924 - - - 6.50 6.00

16-Aug-16 6.4218 6.4873 6.4608 6.50 6.81 6.83 6.90 6.4659 7.1003 6.5634 - 6.6736 6.50 6.00

18-Aug-16 6.3605 6.4664 6.3310 6.50 6.78 6.84 6.91 6.4631 7.1218 - - - 6.50 6.00

19-Aug-16 6.3969 6.3998 4.7857 6.49 6.79 6.83 6.91 5.4471 7.1300 - - - 6.50 6.00

20-Aug-16 6.3650 - 6.2856 - - - - - - - - - 6.50 6.00

22-Aug-16 6.3918 6.4577 6.4282 6.51 6.78 6.85 6.91 6.4629 7.1477 - - - 6.50 6.00

23-Aug-16 6.4109 6.4480 6.4642 6.51 6.79 6.84 6.91 6.4607 7.1624 - - - 6.50 6.00

24-Aug-16 6.4537 6.4522 6.4876 6.50 6.80 6.85 6.90 6.4844 7.1440 6.5634 6.6725 - 6.50 6.00

25-Aug-16 6.4177 6.4347 6.4418 6.51 6.77 6.84 6.92 6.4511 7.1183 - - - 6.50 6.00

26-Aug-16 6.3779 6.4191 6.4415 6.50 6.77 6.85 6.94 6.4285 7.1224 - - - 6.50 6.00

29-Aug-16 6.3952 6.4414 6.4713 6.50 6.78 6.82 6.94 6.4589 7.1526 - - - 6.50 6.00

30-Aug-16 6.3890 6.4603 6.4777 6.50 6.76 6.83 6.94 6.4594 7.1242 - - - 6.50 6.00

31-Aug-16 6.3918 6.4398 6.3496 6.54 6.74 6.83 6.91 6.4649 7.1274 6.5634 - 6.6736 6.50 6.00

Average 6.3977 6.4584 6.3386 6.53 6.78 6.84 6.92 6.3750 7.1359 6.5634 6.6618 6.6774 6.50 6.00

Max 6.4761 6.5434 6.5971 6.65 6.81 6.85 6.95 6.5575 7.1980 6.5634 6.6725 6.6850 6.50 6.00

Min 6.1690 6.3998 4.7857 6.48 6.74 6.80 6.90 5.4471 7.0818 6.5634 6.6511 6.6736 6.50 6.00

SD 0.0593 0.0350 0.3769 0.05 0.02 0.01 0.01 0.2850 0.0305 0.0000 0.0151 0.0066 0.00 0.00

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TABLE 15 : PROPRIETARY / CONSTITUENT SETTLEMENT ANALYSIS

GOVERNMENT SECURITIES MARKETSETTLEMENT ANALYSIS

Number of Participants: 202

Percent

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Repo (1 Leg)st

Outright

Proprietary Constituent Proprietary ConstituentSettlement

Period

Trades Value Trades Value Trades Value Trades Value

2002-03 80.54 87.54 19.46 12.46 99.58 99.81 0.42 0.19

2003-04 75.82 85.03 24.18 14.97 88.11 89.96 11.89 10.04

2004-05 75.96 81.95 24.04 18.05 81.83 86.21 18.17 13.79

2005-06 78.55 85.37 21.45 14.63 70.00 82.77 30.00 17.23

2006-07 87.78 90.06 12.22 9.94 70.67 85.01 29.33 14.99

2007-08 90.26 90.55 9.74 9.45 70.74 83.79 29.26 16.21

2008-09 89.48 88.32 10.52 11.68 72.60 87.98 27.40 12.02

2009-10 90.16 90.56 9.84 9.44 81.01 94.03 18.99 5.97

2010-11 89.23 89.92 10.77 10.08 80.58 89.37 19.42 10.63

2011-12 90.81 88.35 9.19 11.65 81.39 88.46 18.61 11.54

2012-13 89.69 87.05 10.31 12.95 90.89 92.91 9.11 7.09

2013-14 88.78 85.20 11.22 14.80 91.90 93.43 8.10 6.57

2014-15 89.88 88.50 10.12 11.50 94.15 93.04 5.85 6.96

2015-16 89.10 88.95 10.90 11.05 95.84 94.73 4.16 5.27

Apr-16 87.18 86.78 12.82 13.22 95.41 92.35 4.59 7.65

May-16 87.39 87.19 12.61 12.81 95.38 92.88 4.62 7.12

Jun-16 87.10 86.31 12.90 13.69 95.53 93.20 4.47 6.80

Jul-16 88.11 88.96 11.89 11.04 96.11 93.68 3.89 6.32

Aug-16 88.51 88.23 11.49 11.77 96.20 95.26 3.80 4.74

2016-17 (UptoAugust 2016)

87.81 87.79 12.19 12.21 95.75 93.59 4.25 6.41

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TABLE 16: DEAL SIZE ANALYSIS Percent

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< 5 Cr 5 Cr > 5 Cr <=10 Cr >10 Cr<=20 Cr > 20 CrSettlement

Period% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

2002-03 10.22 1.64 75.71 67.68 10.88 19.23 2.30 6.80 0.89 4.65

2003-04 12.23 1.72 68.92 53.29 11.98 18.40 2.54 6.51 4.33 20.09

2004-05 14.24 1.75 67.12 47.55 9.72 13.59 2.98 7.02 5.93 30.09

2005-06 15.26 1.78 67.75 49.17 8.05 11.49 2.68 6.36 6.26 31.20

2006-07 8.30 0.93 71.38 47.90 12.50 16.67 2.59 5.76 5.23 28.75

2007-08 5.30 0.51 60.70 34.66 23.17 26.40 3.47 6.62 7.36 31.81

2008-09 5.69 0.56 64.57 36.76 20.60 23.40 2.89 5.52 6.26 33.76

2009-10 5.35 0.54 65.32 35.53 18.16 19.71 3.31 6.03 7.86 38.20

2010-11 6.34 0.69 64.62 37.42 18.04 20.84 3.90 7.58 7.10 33.46

2011-12 5.32 0.57 66.66 39.39 17.19 20.27 3.91 7.74 6.92 32.03

2012-13 4.21 0.45 60.06 29.98 21.30 21.23 5.09 8.66 9.33 39.68

2013-14 3.85 0.40 58.80 26.93 20.49 18.74 5.97 9.29 10.89 44.65

2014-15 2.78 0.33 61.13 29.43 21.40 20.58 5.42 8.89 9.27 40.77

2015-16 3.48 0.43 60.18 27.32 20.28 18.37 5.55 8.56 10.51 45.32

Apr-16 2.91 0.38 54.77 22.23 23.64 19.17 6.17 8.59 12.50 49.63

May-16 3.67 0.47 60.20 27.28 20.67 18.68 4.99 7.70 10.47 45.87

Jun-16 3.50 0.43 55.44 23.40 22.72 19.13 6.36 9.18 11.98 47.87

Jul-16 3.17 0.43 50.88 20.81 25.49 20.83 6.89 9.71 13.57 48.23

Aug-16 3.03 0.38 51.52 20.41 24.62 19.49 6.52 8.82 14.31 50.91

2016-17 (UptoAugust 2016)

3.21 0.41 53.65 22.13 23.88 19.67 6.34 8.96 12.92 48.82

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TABLE 18: T+2 TRADES - HISTORICAL SETTLEMENT SUMMARY Amount Crore`

TABLE 17: T+2 SETTLEMENT SUMMARY Amount Crore`

As confirmed on trade date

Date Trades Face Value

1-Aug-16 8 1228

2-Aug-16 23 1705

3-Aug-16 7 208

4-Aug-16 17 1155

5-Aug-16 15 1509

8-Aug-16 8 430

9-Aug-16 18 1756

10-Aug-16 17 2277

11-Aug-16 7 300

12-Aug-16 9 1453

16-Aug-16 5 435

18-Aug-16 13 383

19-Aug-16 8 683

22-Aug-16 13 685

23-Aug-16 13 1217

24-Aug-16 7 1281

25-Aug-16 6 575

26-Aug-16 10 431

29-Aug-16 7 730

30-Aug-16 18 1610

31-Aug-16 8 1007

Total 237 21058

Month Trades Face Value

2015-16 2139 124016

Apr-16 208 14058

May-16 196 11095

Jun-16 259 15822

Jul-16 236 19431

Aug-16 237 21058

2016-17 (Upto August 2016) 1136 81465

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TABLE 19: INSTRUMENT WISE BREAKUP OF OUTRIGHT TRADES

Amount Crore`

Cen. Govt. Dated Securities Treasury Bills State Development LoansSettlement

Period ValueAvg.Value

% Share ValueAvg.Value

% Share ValueAvg.Value

% Share

2002-03 1032185 3475 95.91 37443 126 3.48 6519 22 0.61

2003-04 1458665 4911 92.61 102299 344 6.49 14169 48 0.90

2004-05 862820 2955 76.07 246703 845 21.75 24700 85 2.18

2005-06 657213 2443 76.00 189839 706 21.95 17700 66 2.05

2006-07 883248 4723 86.46 126956 679 12.43 11332 61 1.11

2007-08 1467704 5942 88.74 171914 696 10.39 14234 58 0.86

2008-09 1955412 8321 90.52 170436 725 7.89 34385 146 1.59

2009-10 2480850 10424 85.14 363283 1526 12.47 69757 293 2.39

2010-11 2552181 10333 88.90 275095 1114 9.58 43677 177 1.52

2011-12 3099108 13021 88.85 345237 1451 9.90 43859 184 1.26

2012-13 5920929 24568 89.82 552943 2294 8.39 118159 490 1.79

2013-14 7968661 32928 88.97 833191 3443 9.30 154847 640 1.73

2014-15 9149608 38606 90.09 823470 3475 8.11 183083 773 1.80

2015-16 8557672 35509 87.96 854390 3545 8.78 316479 1313 3.25

Apr-16 1031370 64461 89.87 83673 5230 7.29 32636 2040 2.84

May-16 813233 36965 89.82 57151 2598 6.31 34997 1591 3.87

Jun-16 983212 44691 87.48 95031 4320 8.46 45641 2075 4.06

Jul-16 1962723 98136 92.82 93145 4657 4.41 58641 2932 2.77

Aug-16 1819612 86648 92.69 81368 3875 4.14 62167 2960 3.17

2016-17 (UptoAugust 2016)

6610151 65447 91.12 410368 4063 5.66 234083 2318 3.23

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TABLE 20: TENOR WISE ACTIVITY - CENTRAL GOVERNMENT DATED SECURITIES Percent

Year 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09 2009-10 2010-11 2011-12 2012-13 2013-14 2014-15 2015-16 Aug-16 2016-17

2003 0.40 0.06 - - - - - - - - - - - - - -

2004 1.82 1.31 0.04 - - - - - - - - - - - - -

2005 0.44 0.79 2.40 0.09 - - - - - - - - - - - -

2006 0.32 0.49 2.01 2.04 0.20 - - - - - - - - - - -

2007 0.50 0.51 1.34 2.35 1.55 0.06 - - - - - - - - - -

2008 3.58 2.73 2.04 2.06 1.44 0.31 0.00 - - - - - - - - -

2009 2.81 3.18 5.43 2.64 2.83 11.43 4.27 0.43 - - - - - - - -

2010 5.14 4.20 10.39 12.56 2.91 6.29 3.50 3.38 0.59 - - - - - - -

2011 15.85 7.48 6.88 4.70 14.48 1.17 1.99 3.21 1.14 0.15 - - - - - -

2012 21.42 12.04 4.66 8.19 4.27 0.56 1.04 2.94 2.38 0.82 0.05 - - - - -

2013 9.21 7.53 2.13 6.48 0.59 2.99 1.92 1.57 1.29 0.12 0.08 0.05 - - - -

2014 0.44 5.51 6.04 12.79 6.12 1.49 6.75 10.24 0.82 0.12 0.07 0.34 0.05 - - -

2015 7.89 5.70 25.34 1.38 1.56 3.50 1.78 5.38 8.21 0.43 0.35 0.57 0.62 0.38 - -

2016 2.98 0.88 2.07 0.26 32.66 1.00 1.63 13.70 5.12 0.80 0.13 0.20 0.19 0.63 0.09 0.41

2017 17.65 25.82 16.64 22.60 17.69 47.01 5.84 1.05 6.76 1.05 4.57 4.86 0.24 0.79 0.90 1.30

2018 0.51 6.96 3.73 1.38 0.14 0.08 42.75 0.15 0.04 6.55 1.56 1.48 0.11 0.83 0.53 0.91

2019 0.99 3.94 2.24 0.18 0.09 0.03 2.44 24.90 0.10 0.01 0.02 3.82 2.02 1.65 1.07 2.02

2020 0.06 3.75 1.73 0.10 0.10 0.01 0.02 19.27 32.76 1.56 7.77 6.38 10.43 12.47 4.75 8.33

2021 2.24 0.46 0.17 14.21 3.64 0.57 3.71 4.92 0.03 53.20 8.26 0.60 0.11 0.66 1.58 2.02

2022 2.77 2.66 1.44 1.13 0.52 5.82 1.56 1.43 35.55 13.87 25.16 12.91 2.73 1.49 0.46 1.22

2023 - 2.38 1.33 0.10 0.07 0.67 2.27 0.53 0.08 0.07 0.01 26.74 26.46 8.71 6.88 8.48

2024 - - - - 0.01 0.69 1.08 1.24 0.19 17.58 12.68 0.99 23.76 19.12 1.75 3.49

2025 - - - - - 0.16 1.30 0.30 0.05 0.01 10.78 13.02 0.16 20.27 4.40 5.53

2026 2.22 0.22 0.08 0.08 0.00 0.22 0.74 0.80 0.38 0.14 21.30 15.87 2.29 7.33 29.58 24.40

2027 - - - - 0.04 0.67 2.97 2.35 2.95 1.31 0.86 7.98 6.25 1.12 0.29 0.61

2028 - 1.14 0.98 0.09 0.06 0.03 0.04 0.01 0.01 0.00 0.00 0.00 21.17 4.46 0.38 0.35

2029 - - - - - - - - - 0.00 0.00 0.00 0.00 2.97 21.98 17.43

2030 - - - - - - - - - 0.95 3.88 2.06 1.14 13.39 23.20 21.04

2031 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 0.00

2032 0.74 0.29 0.30 0.35 0.27 2.46 7.71 0.62 0.72 0.27 0.31 0.91 0.43 0.57 0.15 0.23

2033 - - - - - - - - - 0.00 0.00 0.00 0.18 0.71 0.17 0.15

2034 - - 0.59 1.69 4.18 0.02 0.75 0.86 0.03 0.00 0.01 0.01 0.01 0.40 0.44 0.54

2035 - - - 2.55 0.08 0.01 0.26 0.26 0.01 0.00 0.00 0.10 0.02 0.03 0.09 0.11

2036 - - - - 4.50 12.75 3.07 0.10 0.04 0.00 0.45 0.03 0.05 0.06 0.04 0.13

2037 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 0.00

2038 - - - - - - - - - 0.00 0.00 0.00 0.00 0.00 0.00 0.00

2039 - - - - - - 0.63 0.38 0.00 0.00 0.00 0.00 0.00 0.00 0.11 0.05

2040 - - - - - - - - 0.75 0.62 0.11 0.03 0.19 0.18 0.06 0.09

2041 - - - - - - - - - 0.36 1.34 0.58 0.14 0.11 0.04 0.05

2042 - - - - - - - - - - 0.25 0.41 0.45 0.23 0.03 0.08

2043 - - - - - - - - - - 0.05 0.61 0.23 0.07 0.11

2044 - - - - - - - - - - - - 0.19 0.69 0.39 0.41

2045 - - - - - - - - - - - - - 0.52 0.50 0.42

2055 - - - - - - - - - - - - - 0.02 0.06 0.10

Total 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00

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TABLE 21: NETTING FACTOR: FUNDS

Netting Factor denotes the extent of actual reduction achieved through multi-lateral offsetting of individual member fund

obligations (arising out of every trade) to a single net fund obligation. This process has significantly reduced individual

funding requirements for every member and also achieved reduction in market liquidity risk.

Amount Crore`

NETTING FACTOR

Settlement Period Gross Net Netting Factor (%)

2002-03 2324017 653519 71.88

2003-04 4038385 979592 75.74

2004-05 4582506 1037355 77.36

2005-06 4460523 905062 79.71

2006-07 6275182 968185 84.57

2007-08 9646481 1596638 83.45

2008-09 10756665 1674892 84.43

2009-10 15502457 2642001 82.96

2010-11 11233653 2561298 77.20

2011-12 10996999 2191680 80.07

2012-13 17585265 3101477 82.36

2013-14 23207382 4256748 81.66

2014-15 26141572 4216733 83.87

2015-16 27433525 4352880 84.13

Apr-16 2526936 335746 86.71

May-16 2855684 392078 86.27

Jun-16 3179982 496910 84.37

Jul-16 4381799 531170 87.88

Aug-16 4299624 526654 87.75

2016-17 (Upto August 2016) 17244025 2282558 86.76

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TABLE 22: NETTING FACTOR: SECURITIES Amount Crore`

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Settlement Period Gross Net Netting Factor (%)

2004-05 4250540 2462556 42.06

2005-06 4384775 2012523 54.10

2006-07 6123933 2418739 60.50

2007-08 9536455 3776777 60.40

2008-09 10365006 3750501 63.82

2009-10 15056277 6461619 57.08

2010-11 11078385 4883399 55.92

2011-12 11011992 4139464 62.41

2012-13 17395376 6568929 62.24

2013-14 23302555 9419626 59.58

2014-15 25891676 10026109 61.28

2015-16 26977725 10438154 61.31

Apr-16 2471641 959576 61.18

May-16 2790287 1091745 60.87

Jun-16 3120554 1238317 60.32

Jul-16 4251970 1446559 65.98

Aug-16 4110460 1353667 67.07

2016-17 (Upto August 2016) 16744911 6089864 63.63

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TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH

September 2016

Sr.No.

SecurityMaturity

Date

Daystraded(in last

12months)

Valuetraded inlast 12months(FV in

` Crore)

Percentshare inlast 12monthsValue

No. ofTrades

(August,2016)

Value forAugust -

2016(FV in

` Crore)

Percentshare in(August2016)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily

TradingValue inlast 12months(FV in

` Crore)

AverageDaily

TradingValue inAugust -

2016 (FV in` Crore)

1 7.59% G.S. 2026 11-Jan-26 155 1900129 16.62 43737 531130 29.19 95000 559 12259 25292

2 7.59% G.S. 2029 20-Mar-29 209 1406302 12.30 33976 399983 21.98 80000 500 6729 19047

3 7.88% G.S. 2030 19-Mar-30 240 1924658 16.84 21086 218945 12.03 89000 246 8019 10426

4 7.61% G.S. 2030 09-May-30 80 388380 3.40 17401 201190 11.06 40000 503 4855 9580

5 7.68% G.S. 2023 15-Dec-23 240 895506 7.83 8581 106086 5.83 88132 120 3731 5052

6 7.72% G.S. 2025 25-May-25 240 1527057 13.36 7176 77595 4.26 86000 90 6363 3695

7 8.27% G.S. 2020 09-Jun-20 240 830212 7.26 2984 57417 3.16 73000 79 3459 2734

8 7.80% G.S. 2021 11-Apr-21 228 146906 1.29 1229 25510 1.40 66000 39 644 1215

9 7.35% G.S. 2024 22-Jun-24 239 293513 2.57 1810 22061 1.21 83168 27 1228 1051

10 7.28% G.S. 2019 03-Jun-19 240 180373 1.58 664 15723 0.86 53000 30 752 749

11 8.12% G.S. 2020 10-Dec-20 240 149874 1.31 577 14680 0.81 76000 19 624 699

12 7.16% G.S. 2023 20-May-23 238 94524 0.83 767 12623 0.69 77000 16 397 601

13 6.35% G.S. 2020 02-Jan-20 237 131447 1.15 541 10008 0.55 61000 16 555 477

14 8.40% G.S. 2024 28-Jul-24 240 241846 2.12 442 9122 0.50 90000 10 1008 434

15 8.13% G.S. 2045 22-Jun-45 240 61855 0.54 718 9093 0.50 69000 13 258 433

16 7.83% G.S.2018 11-Apr-18 229 82310 0.72 333 8557 0.47 73000 12 359 407

17 8.17% G.S. 2044 01-Dec-44 232 55951 0.49 661 7060 0.39 84000 8 241 336

18 8.60% G.S. 2028 02-Jun-28 225 57599 0.50 462 6510 0.36 84000 8 256 310

19 8.08% G.S. 2022 02-Aug-22 227 81953 0.72 270 6504 0.36 68969 9 361 310

20 8.83% G.S. 2023 25-Nov-23 231 54663 0.48 161 5945 0.33 83000 7 237 283

21 8.15% G.S. 2026 24-Nov-26 230 60748 0.53 520 5654 0.31 86489 7 264 269

22 7.73% G.S. 2034 19-Dec-34 211 57552 0.50 638 5236 0.29 40000 13 273 249

23 7.99% G.S. 2017 09-Jul-17 104 18419 0.16 23 4437 0.24 71000 6 177 493

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TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH (Contd.)

September 2016

Sr.No.

SecurityMaturity

Date

Daystraded(in last

12months)

Valuetraded inlast 12months(FV in

` Crore)

Percentshare inlast 12monthsValue

No. ofTrades

(August,2016)

Value forAugust -

2016(FV in

` Crore)

Percentshare in(August2016)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily

TradingValue inlast 12months(FV in

` Crore)

AverageDaily

TradingValue inAugust -

2016 (FV in` Crore)

24 7.46% G.S. 2017 28-Aug-17 96 10367 0.09 39 4221 0.23 57887 7 108 352

25 8.07% G.S. 2017 15-Jan-17 147 32220 0.28 97 3541 0.19 66965 5 219 197

26 8.28% G.S. 2027 21-Sep-27 208 45300 0.40 257 3315 0.18 89252 4 218 174

27 8.24% G.S. 2033 10-Nov-33 227 46518 0.41 307 3179 0.17 87000 4 205 159

28 8.79% G.S. 2021 08-Nov-21 185 28490 0.25 91 3106 0.17 83000 4 154 163

29 7.49% G.S. 2017 16-Apr-17 171 31941 0.28 88 2927 0.16 58000 5 187 209

30 6.90% G.S. 2019 13-Jul-19 178 28099 0.25 165 2887 0.16 45000 6 158 137

31 7.50% G.S. 2034 10-Aug-34 147 11948 0.10 523 2787 0.15 80000 3 81 139

32 7.80% G.S. 2020 03-May-20 226 54057 0.47 135 2628 0.14 75000 4 239 138

33 8.20% G.S. 2025 24-Sep-25 147 16834 0.15 171 2554 0.14 90000 3 115 128

34 6.83% G.S. 2039 19-Jan-39 72 3292 0.03 704 1985 0.11 13000 15 46 99

35 8.19% G.S. 2020 16-Jan-20 115 15488 0.14 75 1736 0.10 74000 2 135 91

36 7.02% G.S. 2016 17-Aug-16 204 49936 0.44 55 1675 0.09 - - 245 279

37 9.20% G.S. 2030 30-Sep-30 217 29564 0.26 181 1601 0.09 61885 3 136 84

38 7.40% G.S. 2035 09-Sep-35 177 9371 0.08 534 1559 0.09 52000 3 53 78

39 8.07% G.S. 2017 (JUL) 03-Jul-17 167 41708 0.36 45 1308 0.07 50000 3 250 93

40 9.23% G.S. 2043 23-Dec-43 208 15752 0.14 108 1305 0.07 79472 2 76 73

41 8.32% G.S. 2032 02-Aug-32 172 14361 0.13 120 1292 0.07 89434 1 83 68

42 8.26% G.S. 2027 02-Aug-27 165 12405 0.11 97 1201 0.07 73427 2 75 71

43 8.33% G.S. 2026 09-Jul-26 118 10841 0.09 112 1118 0.06 90000 1 92 102

44 8.30% G.S. 2040 02-Jul-40 146 13785 0.12 99 1070 0.06 90000 1 94 67

45 7.72% G.S. 2055 26-Oct-55 90 7980 0.07 151 1035 0.06 19000 5 89 54

46 7.95% G.S. 2032 28-Aug-32 209 15762 0.14 138 911 0.05 89000 1 75 54

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TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH (Contd.)

CCIL Monthly Newsletter September 2016

Sr.No.

SecurityMaturity

Date

Daystraded(in last

12months)

Valuetraded inlast 12months(FV in

` Crore)

Percentshare inlast 12monthsValue

No. ofTrades

(August,2016)

Value forAugust -

2016(FV in

` Crore)

Percentshare in(August2016)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily

TradingValue inlast 12months(FV in

` Crore)

AverageDaily

TradingValue inAugust -

2016 (FV in` Crore)

47 8.15% G.S. 2022 11-Jun-22 106 8871 0.08 39 865 0.05 83000 1 84 62

48 8.24% G.S. 2027 15-Feb-27 211 29184 0.26 114 844 0.05 93389 1 138 44

49 8.83% G.S. 2041 12-Dec-41 130 6741 0.06 49 711 0.04 90000 1 52 55

50 8.33% G.S. 2036 07-Jun-36 130 11861 0.10 89 707 0.04 86000 1 91 51

51 6.05% G.S. 2019 02-Feb-19 152 23741 0.21 37 666 0.04 53000 1 156 56

52 9.15% G.S. 2024 14-Nov-24 90 10354 0.09 29 611 0.03 92000 1 115 56

53 8.30% G.S. 2042 31-Dec-42 178 17070 0.15 64 506 0.03 90000 1 96 51

54 8.97% G.S. 2030 05-Dec-30 90 3033 0.03 29 474 0.03 90000 1 34 47

55 8.35% G.S. 2022 14-May-22 175 24062 0.21 17 468 0.03 77000 1 137 67

56 5.69% G.S. 2018 25-Sep-18 87 9815 0.09 15 455 0.03 16130 3 113 65

57 8.28% G.S. 2032 15-Feb-32 127 6876 0.06 69 440 0.02 90687 0 54 28

58 6.17% G.S. 2023 12-Jun-23 69 1307 0.01 146 426 0.02 14000 3 19 28

59 8.24% G.S. 2018 22-Apr-18 60 6245 0.05 15 397 0.02 75000 1 104 66

60 6.90% OMC SB 2026 04-Feb-26 60 3076 0.03 34 395 0.02 21942 2 51 79

61 8.13% G.S. 2022 21-Sep-22 155 23811 0.21 23 356 0.02 70495 1 154 51

62 6.01% G.S. 2028 25-Mar-28 83 995 0.01 123 261 0.01 15000 2 12 17

63 6.30% G.S. 2023 09-Apr-23 52 564 0.00 70 175 0.01 13000 1 11 13

64 6.13% G.S. 2028 04-Jun-28 41 378 0.00 87 157 0.01 11000 1 9 20

65 8.20% G.S. 2022 15-Feb-22 103 9961 0.09 20 151 0.01 57632 0 97 15

66 6.25% G.S. 2018 02-Jan-18 63 2754 0.02 16 120 0.01 16887 1 44 20

67 6.05% G.S. 2019 12-Jun-19 65 1369 0.01 17 117 0.01 11000 1 21 12

68 10.45% G.S. 2018 30-Apr-18 4 126 0.00 1 100 0.01 3716 3 32 100

69 8.33% G.S. 2032 21-Sep-32 10 515 0.00 2 65 0.00 1522 4 52 65

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TABLE 23: LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSACTED DURING THE MONTH (Contd.)

*Turnover Ratio has been calculated as trading value as a percentage of of respective security.outstanding

September 2016

Sr.No.

SecurityMaturity

Date

Daystraded(in last

12months)

Valuetraded inlast 12months(FV in

` Crore)

Percentshare inlast 12monthsValue

No. ofTrades

(August,2016)

Value forAugust -

2016(FV in

` Crore)

Percentshare in(August2016)

Outstanding(FV in

` Crore)

TurnoverRatio*

AverageDaily

TradingValue inlast 12months(FV in

` Crore)

AverageDaily

TradingValue inAugust -

2016 (FV in` Crore)

70 7.94% G.S. 2021 24-May-21 48 780 0.01 10 53 0.00 49000 0 16 9

71 10.25% G.S. 2021 30-May-21 40 406 0.00 7 27 0.00 26213 0 10 7

72 5.64% G.S. 2019 02-Jan-19 24 889 0.01 3 15 0.00 10000 0 37 8

73 8.00% OMC SB 2026 23-Mar-26 17 119 0.00 2 10 0.00 10000 0 7 5

74 12.60% G.S. 2018 23-Nov-18 35 13442 0.12 2 9 0.00 12632 0 384 9

75 10.03% G.S. 2019 09-Aug-19 12 164 0.00 3 6 0.00 6000 0 14 3

76 8.35% SBI SB 2024 27-Mar-24 6 70 0.00 1 5 0.00 9996 0 12 5

77 8.30% FERT SB 2023 07-Dec-23 23 138 0.00 2 5 0.00 3880 0 6 3

78 10.18% G.S. 2026 11-Sep-26 17 137 0.00 2 2 0.00 15000 0 8 2

79 7% FERT SB 2022 10-Dec-22 15 785 0.01 2 2 0.00 6072 0 52 1

80 7.95% OMC SB 2025 18-Jan-25 7 14 0.00 1 1 0.00 11257 0 2 1

81 8.15% FCI SB 2022 16-Oct-22 30 157 0.00 2 1 0.00 5000 0 5 1

82 8.23% FCI SB 2027 12-Feb-27 15 168 0.00 1 0 0.00 6200 0 11 0

83Other Securities Traded DuringThe Past 12 Months But NotTraded During The Month

22203 0.19

Total 11429977 100.00 150192 1819613 100.00

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TABLE 24: MARKET SHARE OF TOP 'N' SECURITIES Percent

TABLE 25: MARKET SHARE OF MEMBERS IN OUTRIGHT SETTLEMENT Percent

Settlement Period Top 5 Top 10 Top 15 Top 20

2003-04 39.01 57.30 70.28 79.43

2004-05 49.97 66.31 74.56 80.36

2005-06 63.75 82.82 89.67 92.85

2006-07 74.88 88.82 92.37 94.88

2007-08 66.35 83.84 92.54 95.79

2008-09 61.07 73.89 81.92 87.35

2009-10 60.71 79.08 86.48 90.54

2010-11 71.77 88.33 93.91 96.39

2011-12 85.51 94.15 97.07 98.68

2012-13 77.59 94.68 97.63 98.70

2013-14 68.11 90.79 95.61 97.70

2014-15 79.28 91.80 96.45 97.74

2015-16 66.26 82.74 88.47 91.80

Apr-16 66.05 82.34 87.92 91.38

May-16 65.11 80.17 86.12 90.14

Jun-16 69.58 83.30 89.53 92.28

Jul-16 72.90 89.70 93.34 95.44

Aug-16 80.09 90.99 94.04 95.94

2016-17 (UptoAugust 2016)

69.51 86.32 90.95 93.29

Settlement Period Top 5 Top 10 Top 15 Top 20

2002-03 20.17 32.59 42.33 50.14

2003-04 19.02 31.58 40.63 48.49

2004-05 21.20 35.51 46.10 54.37

2005-06 21.84 37.47 49.11 57.64

2006-07 28.93 45.34 57.08 65.89

2007-08 27.42 43.65 56.17 65.31

2008-09 28.33 45.51 57.23 65.63

2009-10 28.74 44.32 55.32 63.35

2010-11 34.01 49.31 59.66 67.17

2011-12 30.04 47.85 60.10 68.81

2012-13 31.30 48.48 59.42 67.31

2013-14 33.33 49.48 59.63 67.34

2014-15 31.06 46.52 56.59 64.50

2015-16 32.08 48.64 58.60 65.67

Apr-16 33.00 47.55 56.88 64.27

May-16 35.33 48.65 58.19 65.84

Jun-16 28.06 46.74 56.32 63.50

Jul-16 32.26 46.46 56.56 63.48

Aug-16 31.50 47.95 56.96 64.34

2016-17 (UptoAugust 2016)

31.90 47.35 56.88 64.13

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TABLE 26: MARKET SHARE OF TOP FIVE MEMBERS (CATEGORYWISE) Percent

TRADING ANALYSIS

TABLE 27: TRADING PLATFORM ANALYSIS OF OUTRIGHT TRADES Amount Crore`

CategoriesCooperative

BanksForeignBanks

Public SectorBanks

Private SectorBanks

MutualFunds

PrimaryDealers

No ofMembers

54 36 27 20 27 7

2002-03 87.04 75.91 41.44 50.65 59.76 62.00

2003-04 76.72 75.48 43.88 53.33 55.47 62.96

2004-05 82.30 77.94 51.20 69.12 56.99 61.90

2005-06 75.10 77.91 53.45 71.55 56.49 56.95

2006-07 77.20 76.04 52.57 73.68 68.00 72.44

2007-08 86.70 74.99 55.29 73.01 70.20 86.20

2008-09 82.16 76.26 52.53 76.79 66.10 86.83

2009-10 72.08 79.86 47.99 79.61 64.19 82.44

2010-11 62.05 83.05 48.99 74.60 66.49 84.80

2011-12 61.15 75.91 51.48 74.43 68.01 82.38

2012-13 55.50 77.32 48.92 83.43 65.36 82.08

2013-14 55.31 81.15 45.68 86.53 65.08 85.35

2014-15 58.68 82.14 47.58 80.35 66.19 87.29

2015-16 60.56 86.10 50.22 83.16 63.90 89.18

Apr-16 56.03 86.43 43.78 77.02 64.46 90.79

May-16 49.10 89.62 45.68 79.36 66.51 88.58

Jun-16 51.53 87.47 51.09 79.92 61.42 90.77

Jul-16 57.37 87.94 46.97 78.22 63.16 93.51

Aug-16 61.55 91.65 51.17 86.86 72.15 97.61

2016-17 (UptoAugust 2016)

56.94 88.90 48.11 80.60 65.81 93.44

OTC NDS-OM TotalPeriod

Trades % Share Value % Share Trades % Share Value % Share Trades Value

2005-06 38809 50.36 292515 56.98 38251 49.64 220890 43.02 77060 513405

2006-07 35322 25.79 368704 36.11 101641 74.21 652270 63.89 136963 1020974

2007-08 31020 16.43 453226 27.42 157823 83.57 1199919 72.58 188843 1653145

2008-09 35288 14.35 613229 28.36 210585 85.65 1548906 71.64 245873 2162135

2009-10 40736 12.87 798397 27.41 275769 87.13 2113896 72.59 316505 2912293

2010-11 42710 12.85 622558 21.73 289636 87.15 2241886 78.27 332346 2864444

2011-12 44908 10.89 731938 20.96 367495 89.11 2760795 79.04 412403 3492733

2012-13 57757 8.79 1179701 17.91 599316 91.21 5408334 82.09 657073 6588036

2013-14 57545 7.03 1501310 16.79 760964 92.97 7437982 83.21 818509 8939292

2014-15 57293 5.85 1635278 16.09 921361 94.15 8531024 83.91 978654 10166302

2015-16 60560 6.86 1891410 19.42 822803 93.14 7846591 80.58 883363 9738000

Apr-16 5459 5.71 215622 18.48 90180 94.29 951109 81.52 95639 1166731

May-16 5818 7.54 187443 21.86 71371 92.46 670028 78.14 77189 857471

Jun-16 6679 6.59 223994 18.60 94738 93.41 979979 81.40 101417 1203973

Jul-16 9007 5.29 237828 11.44 161397 94.71 1841820 88.56 170404 2079648

Aug-16 8347 5.39 264665 13.40 146617 94.61 1710290 86.60 154964 1974956

2016-17 (UptoAugust 2016)

35310 5.89 1129553 15.51 564303 94.11 6153226 84.49 599613 7282779

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TABLE 28A: WHEN-ISSUED TRADING DETAILS Amount Crore`

TABLE 28: WHEN-ISSUED TRADING - HISTORICAL Amount Crore`

TABLE 29: MARKET SHARE - PROPRIETARY TRADES*Percent

* Trade Data

Security Description Maturity Date Trades Value

7.59% G.S. 2026 11-Jan-26 47 605

6.97% G.S. 2026 06-Sep-26 29 245

7.59% G.S. 2029 20-Mar-29 1 10

7.61% G.S. 2030 09-May-30 32 290

8.13% G.S. 2045 22-Jun-45 1 10

Total 110 1160

Period Trades Value

2006-07 154 1270

2007-08 169 1530

2008-09 335 3000

2009-10 320 3180

2010-11 306 2715

2011-12 391 2985

2012-13 1586 11805

2013-14 1406 11295

2014-15 1232 11265

2015-16 679 5755

Apr-16 166 1345

May-16 112 990

Jun-16 188 1890

Jul-16 61 555

Aug-16 110 1160

2016-17 (Upto August 2016) 637 5940

Buy SellCategory

Trades Value Trades Value

Co-operative Banks 8.43 4.67 8.46 4.56

Financial Institutions 0.35 0.32 0.21 0.28

Foreign Banks 25.40 25.01 21.81 26.38

Insurance Companies 1.09 1.16 0.94 0.96

Mutual Funds 5.04 8.19 5.71 7.19

Others 1.22 0.89 1.19 0.74

Primary Dealers 15.88 16.81 18.99 18.31

Private Sector Banks 8.95 9.55 9.67 9.96

Provident Funds 0.02 0.08 0.00 0.00

Public Sector Banks 27.26 26.94 27.20 26.00

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TABLE 30: MARKET SHARE - CONSTITUENT TRADES*Percent

*Trade data

Percent

TABLE 31: TURNOVER RATIO

Buy SellConstituent Category

Trades Value Trades Value

Banks 0.31 0.37 0.25 0.31

Co-operative Banks 2.32 0.95 1.96 0.77

Corporates 2.34 3.35 2.87 3.33

FIIs 0.10 0.65 0.09 0.60

Insurance Companies 0.46 0.52 0.33 0.30

Mutual Funds 0.04 0.04 0.03 0.04

Finance Cos. 0.00 0.01 0.00 0.00

Others 0.20 0.23 0.19 0.17

Provident Funds 0.59 0.23 0.11 0.10

Current Month Previous Month 3 Months 6 Months 12 Months

3.81% 4.26% 1.56% 1.52% 1.70%

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TABLE 32: NET MARKET ACTIVITY IN G-SEC TRADING

Percent

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DateForeignBanks

MutualFunds

OthersPrimaryDealers

PrivateSector Banks

Public SectorBanks

1-Aug-16 0.48 1.21 1.71 -0.92 -2.79 0.31

2-Aug-16 -5.44 0.50 1.44 -1.90 -2.45 7.84

3-Aug-16 -0.73 -1.15 0.05 -2.73 1.45 3.11

4-Aug-16 -0.29 0.01 -0.34 1.66 -7.79 6.74

5-Aug-16 0.61 0.84 0.00 -2.16 1.80 -1.10

8-Aug-16 0.86 -0.41 1.11 1.62 0.61 -3.79

9-Aug-16 4.21 1.16 -1.74 1.97 3.09 -8.70

10-Aug-16 -2.40 0.58 0.66 -0.42 -0.98 2.55

11-Aug-16 -3.38 1.36 0.03 -1.18 3.99 -0.82

12-Aug-16 -2.98 -1.54 4.19 -4.08 0.63 3.79

16-Aug-16 0.08 -0.02 2.44 0.14 -5.91 3.28

18-Aug-16 -1.41 -0.88 1.72 -2.99 -5.36 8.92

19-Aug-16 -2.64 -0.60 -0.05 -1.28 6.39 -1.83

22-Aug-16 -6.98 -1.09 1.44 -2.65 -6.34 15.62

23-Aug-16 1.83 -1.55 -0.01 -0.16 -1.52 1.41

24-Aug-16 3.15 -1.07 -0.90 1.11 0.77 -3.06

25-Aug-16 -0.34 -0.20 0.42 -0.91 3.70 -2.68

26-Aug-16 -1.66 1.76 1.96 -3.08 6.86 -5.84

29-Aug-16 0.93 1.31 -1.58 4.03 2.91 -7.59

30-Aug-16 0.40 -1.05 0.20 -0.58 0.30 0.73

31-Aug-16 2.36 -2.19 -0.06 0.65 0.80 -1.56

Net Activity in Aug-16 -0.49 -0.06 0.45 -0.57 0.09 0.57

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TABLE 33: TRADING SUMMARY

Amount Crore`

*Amount in USD Million

September 2016

Central Government SDL T-Bills Total Repo CBLO Forex*Date

Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value

1-Aug-16 10164 116007 249 6036 69 4518 10482 126561 304 40405 911 83344 7249 23987

2-Aug-16 6213 73396 196 4212 72 3061 6481 80670 368 43049 890 81281 4791 20786

3-Aug-16 6999 79248 133 2020 118 9835 7250 91103 354 43920 885 75798 7375 25494

4-Aug-16 6883 88450 179 3833 103 4905 7165 97189 357 42832 813 70897 5896 23748

5-Aug-16 8276 104767 146 3171 35 961 8457 108900 498 66623 742 55003 8575 26729

6-Aug-16 0 0 155 9411 - -

8-Aug-16 6513 73202 175 2793 70 2352 6758 78346 353 48018 896 88335 6173 19760

9-Aug-16 12202 150065 261 4111 82 2018 12545 156194 360 48672 943 88568 6680 19586

10-Aug-16 10408 126487 358 7855 134 7414 10900 141756 343 43652 931 86733 6508 19543

11-Aug-16 7877 96241 264 4221 67 2598 8208 103060 380 47403 945 94445 7308 19996

12-Aug-16 5110 68126 128 1405 67 2723 5305 72253 372 52641 1066 115381 8741 23808

16-Aug-16 4746 59923 102 1649 79 7027 4927 68599 362 55652 1010 110486 6753 19733

18-Aug-16 5618 71974 122 1546 84 5841 5824 79362 359 55840 974 101654 5714 18381

19-Aug-16 7979 103314 173 1300 47 1882 8199 106496 602 94887 854 66202 7126 21345

20-Aug-16 0 0 170 9964 - -

22-Aug-16 6594 85737 104 1035 69 3585 6767 90357 356 48996 975 102939 5892 19122

23-Aug-16 6193 72209 157 2408 36 1753 6386 76370 345 50857 1000 105225 6833 19569

24-Aug-16 8093 94024 205 3231 130 12594 8428 109850 353 51775 944 106341 6357 19550

25-Aug-16 6371 79133 125 1534 48 757 6544 81424 346 45881 947 102672 6745 19681

26-Aug-16 4443 50298 165 2783 41 1872 4649 54952 335 43977 925 100850 6625 19538

29-Aug-16 5734 62977 137 1130 72 2593 5943 66701 348 48640 961 96049 5887 18225

30-Aug-16 7553 94730 283 4491 58 1846 7894 101067 367 53412 995 105503 6256 21248

31-Aug-16 5475 70180 239 3332 138 10235 5852 83748 360 52626 1030 101245 11597 82714

Total 149444 1820490 3901 64097 1619 90369 154964 1974956 7822 1079758 19962 1958326 145081 502544

Average 7116 86690 186 3052 77 4303 7379 94046 340 46946.01 868 85145 6909 23931

MarketShare (%)

96.44 92.18 2.52 3.25 1.04 4.58

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TABLE 34: G-SEC TRADING ANALYSIS

Amount Crore`

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CCIL Monthly Newsletter September 2016

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

DateTrades

No. ofSecurities

ValueMarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

1-Aug-16 449 53 9854 8.49 9715 54 106154 91.51 49 19 2295 1.98 10164 64 116007

2-Aug-16 316 42 6623 9.02 5897 52 66773 90.98 29 17 1195 1.63 6213 58 73396

3-Aug-16 225 39 7220 9.11 6774 56 72028 90.89 38 16 1700 2.15 6999 58 79248

4-Aug-16 254 36 14014 15.84 6629 44 74436 84.16 35 15 1510 1.71 6883 49 88450

5-Aug-16 360 46 15234 14.54 7916 48 89534 85.46 48 16 3229 3.08 8276 52 104767

8-Aug-16 170 45 6246 8.53 6343 44 66956 91.47 33 17 1700 2.32 6513 53 73202

9-Aug-16 449 40 7346 4.90 11753 53 142719 95.10 36 15 1939 1.29 12202 57 150065

10-Aug-16 474 47 10007 7.91 9934 57 116480 92.09 47 17 1775 1.40 10408 58 126487

11-Aug-16 386 43 5380 5.59 7491 51 90861 94.41 38 18 1745 1.81 7877 53 96241

12-Aug-16 295 43 9431 13.84 4815 56 58694 86.16 28 16 2230 3.27 5110 58 68126

16-Aug-16 183 41 5524 9.22 4563 54 54399 90.78 27 11 1687 2.82 4746 59 59923

18-Aug-16 190 36 4391 6.10 5428 43 67583 93.90 43 17 1860 2.58 5618 49 71974

19-Aug-16 198 37 11525 11.16 7781 46 91789 88.84 30 13 1870 1.81 7979 53 103314

22-Aug-16 205 36 6887 8.03 6389 47 78850 91.97 36 15 1552 1.81 6594 51 85737

23-Aug-16 134 34 4679 6.48 6059 41 67530 93.52 25 11 1935 2.68 6193 45 72209

24-Aug-16 227 41 7781 8.28 7866 47 86244 91.72 35 15 1710 1.82 8093 53 94024

25-Aug-16 192 34 5898 7.45 6179 46 73235 92.55 36 12 1545 1.95 6371 50 79133

26-Aug-16 217 33 6476 12.87 4226 46 43822 87.13 30 13 1300 2.58 4443 50 50298

29-Aug-16 165 37 4262 6.65 5569 42 58715 91.56 34 10 1150 1.79 5734 47 62977

30-Aug-16 301 38 9072 9.26 7252 43 85658 87.41 59 17 3265 3.33 7553 47 94730

31-Aug-16 236 42 6723 9.28 5239 46 63458 87.59 39 15 2270 3.13 5475 50 70180

Total 5626 164575 143818 1655915 775 39461 149444 1820490

Average 268 40 7837 6848 48 78853 37 15 1879 7116 53 86690

PercentMarket Share

9.04 90.96 2.17

98

TABLE 35: T-BILL TRADING ANALYSIS

Amount Crore`

CCIL Monthly Newsletter

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September 2016

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

DateTrades

No. ofSecurities

ValueMarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

1-Aug-16 26 13 2916 64.53 43 17 1602 35.47 8 5 1604 35.50 69 26 4518

2-Aug-16 27 13 1830 59.78 45 16 1231 40.22 4 2 675 22.05 72 24 3061

3-Aug-16 67 13 8217 83.56 51 12 1617 16.44 3 3 660 6.71 118 20 9835

4-Aug-16 46 22 3246 66.17 57 20 1659 33.83 2 2 250 5.10 103 29 4905

5-Aug-16 9 7 121 12.57 26 9 840 87.43 0 0 0 0.00 35 14 961

8-Aug-16 14 13 328 13.93 56 19 2024 86.07 0 0 0 0.00 70 25 2352

9-Aug-16 18 11 179 8.85 64 19 1839 91.15 3 2 115 5.70 82 24 2018

10-Aug-16 63 22 5668 76.45 71 20 1746 23.55 7 5 590 7.96 134 29 7414

11-Aug-16 37 19 1932 74.37 30 12 666 25.63 3 2 325 12.51 67 23 2598

12-Aug-16 18 15 1137 41.78 49 11 1585 58.22 2 2 325 11.94 67 18 2723

16-Aug-16 36 11 6119 87.08 43 14 908 12.92 2 2 730 10.39 79 18 7027

18-Aug-16 37 21 4083 69.91 47 17 1758 30.09 3 3 955 16.35 84 27 5841

19-Aug-16 21 14 1097 58.28 26 7 785 41.72 3 2 600 31.88 47 15 1882

22-Aug-16 25 14 1374 38.33 44 11 2211 61.67 10 4 845 23.57 69 17 3585

23-Aug-16 13 8 542 30.90 23 11 1211 69.10 1 1 5 0.29 36 18 1753

24-Aug-16 77 16 9881 78.46 53 22 2713 21.54 3 3 693 5.50 130 29 12594

25-Aug-16 27 13 385 50.82 21 12 372 49.17 1 1 50 6.60 48 19 757

26-Aug-16 23 11 1297 69.29 18 14 575 30.71 3 3 350 18.70 41 24 1872

29-Aug-16 24 13 691 23.87 48 12 1902 65.76 2 2 300 10.37 72 21 2593

30-Aug-16 15 12 346 17.12 43 13 1500 74.26 1 1 174 8.63 58 20 1846

31-Aug-16 84 15 8556 80.52 54 18 1680 15.81 4 4 390 3.67 138 23 10235

Total 707 59943 912 30426 65 9636 1619 90369

Average 34 14 2854 43 15 1449 3 2 459 77 22 4303

PercentMarket Share

66.33 33.67 10.66

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TABLE 36: SDL TRADING ANALYSIS

Amount Crore`

September 2016

OTC (SDLs) NDS-OM (SDLs) Brokered Deals (SDLs) Total (SDLs)

DateTrades

No. ofSecurities

ValueMarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

MarketShare(%)

TradesNo. of

SecuritiesValue

1-Aug-16 108 57 2214 36.68 141 51 3822 63.32 8 7 243 4.03 249 95 6036

2-Aug-16 92 61 2318 55.03 104 26 1894 44.97 6 5 67 1.60 196 78 4212

3-Aug-16 61 33 1357 67.15 72 35 664 32.85 10 7 314 15.57 133 60 2020

4-Aug-16 96 44 2597 67.75 83 25 1236 32.25 18 13 710 18.52 179 71 3833

5-Aug-16 69 31 2047 64.55 77 29 1124 35.45 13 8 343 10.83 146 53 3171

8-Aug-16 89 35 2131 76.30 86 43 662 23.70 10 8 174 6.23 175 74 2793

9-Aug-16 113 56 1940 47.19 148 51 2171 52.81 13 11 375 9.12 261 95 4111

10-Aug-16 152 64 4682 59.60 206 53 3173 40.40 18 14 430 5.47 358 100 7855

11-Aug-16 118 52 2763 65.46 146 40 1458 34.54 15 12 350 8.29 264 80 4221

12-Aug-16 63 36 928 66.03 65 38 477 33.97 6 4 180 12.81 128 62 1405

16-Aug-16 50 32 1239 75.13 52 26 410 24.87 4 4 55 3.33 102 48 1649

18-Aug-16 74 49 1069 69.12 48 22 477 30.88 3 2 40 2.59 122 68 1546

19-Aug-16 93 48 772 59.40 80 35 528 40.60 11 8 157 12.05 173 74 1300

22-Aug-16 55 31 569 54.99 49 25 466 45.01 4 3 76 7.34 104 49 1035

23-Aug-16 117 48 2023 84.01 40 25 385 15.99 10 8 145 6.02 157 64 2408

24-Aug-16 130 43 2557 79.15 75 30 674 20.85 18 8 583 18.05 205 69 3231

25-Aug-16 58 30 796 51.90 67 31 738 48.10 12 10 241 15.71 125 57 1534

26-Aug-16 106 58 1808 64.97 59 24 975 35.03 13 9 195 7.01 165 73 2783

29-Aug-16 71 37 744 58.34 66 29 386 30.29 12 10 145 11.37 137 65 1130

30-Aug-16 166 78 3477 60.84 117 56 1013 17.73 36 31 1225 21.43 283 125 4491

31-Aug-16 133 69 2116 53.12 106 54 1216 30.52 20 15 652 16.36 239 105 3332

Total 2014 40148 1887 23949 260 6700 3901 64097

Average 96 47 1912 90 36 1140 12 9 319 186 75 3052

PercentMarket Share

62.64 37.36 10.45

100

TABLE 3 : LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC)7 `

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Sr.No.

ISINDESC TradesValue(` Cr.)

MarketShare(% )

DaysTraded

Days Tradedwith 5 trades ormore per day

Days Traded withless than 5 trades

per day

1 7.59% G.S. 2026 43871 537644 29.62 21 21 0

2 7.59% G.S. 2029 32862 389652 21.47 21 21 0

3 7.88% G.S. 2030 20650 215469 11.87 21 21 0

4 7.61% G.S. 2030 17484 203982 11.24 21 21 0

5 7.68% G.S. 2023 8611 106702 5.88 21 21 0

6 7.72% G.S. 2025 7063 75588 4.16 21 21 0

7 8.27% G.S. 2020 3110 62410 3.44 21 21 0

8 7.80% G.S. 2021 1138 25008 1.38 21 21 0

9 7.35% G.S. 2024 1765 22473 1.24 21 21 0

10 7.28% G.S. 2019 664 15950 0.88 21 20 1

11 8.12% G.S. 2020 613 15263 0.84 21 21 0

12 7.16% G.S. 2023 573 12538 0.69 21 20 1

13 6.35% G.S. 2020 502 10023 0.55 21 21 0

14 8.40% G.S. 2024 424 9268 0.51 21 20 1

15 8.13% G.S. 2045 703 9050 0.50 21 21 0

16 7.83% G.S.2018 336 9042 0.50 21 18 3

17 8.17% G.S. 2044 668 7432 0.41 21 21 0

18 8.08% G.S. 2022 252 6396 0.35 21 17 4

19 8.60% G.S. 2028 441 6366 0.35 21 21 0

20 8.83% G.S. 2023 158 6088 0.34 21 14 7

21 8.15% G.S. 2026 506 5706 0.31 21 19 2

22 7.73% G.S. 2034 512 4880 0.27 21 18 3

23 7.46% G.S. 2017 31 4200 0.23 10 2 8

24 6.90% G.S. 2019 211 3880 0.21 21 14 7

25 7.99% G.S. 2017 20 3850 0.21 6 2 4

26 8.07% G.S. 2017 90 3565 0.20 16 7 9

27 8.79% G.S. 2021 94 3365 0.19 17 7 10

28 8.28% G.S. 2027 235 3215 0.18 19 17 2

29 8.24% G.S. 2033 270 3080 0.17 20 18 2

30 7.49% G.S. 2017 86 2927 0.16 14 6 8

31 7.80% G.S. 2020 127 2840 0.16 17 13 4

32 8.20% G.S. 2025 130 2358 0.13 17 10 7

33 7.50% G.S. 2034 213 1986 0.11 18 14 4

34 8.19% G.S. 2020 83 1875 0.10 20 7 13

35 9.20% G.S. 2030 167 1623 0.09 17 11 6

36 7.02% G.S. 2016 49 1505 0.08 5 3 2

37 9.23% G.S. 2043 102 1260 0.07 18 9 9

38 8.26% G.S. 2027 45 1138 0.06 9 5 4

39 8.32% G.S. 2032 74 1110 0.06 14 7 7

40 8.30% G.S. 2040 86 1056 0.06 15 7 8

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TABLE 3 : LIQUIDITY OF TRADES GREATER THAN 5 CRORE (G-SEC)7 `

Sr.No.

ISINDESC TradesValue(` Cr.)

MarketShare(% )

DaysTraded

Days Tradedwith 5 trades ormore per day

Days Traded withless than 5 trades

per day

41 6.83% G.S. 2039 143 953 0.05 17 11

42 6.05% G.S. 2019 43 930 0.05 12 3 9

43 7.40% G.S. 2035 166 920 0.05 20 11 9

44 8.33% G.S. 2026 85 859 0.05 10 5 5

45 8.24% G.S. 2027 76 806 0.04 16 6 10

46 8.15% G.S. 2022 32 747 0.04 14 2 12

47 7.95% G.S. 2032 64 735 0.04 15 4 11

48 8.83% G.S. 2041 44 707 0.04 13 4 9

49 8.33% G.S. 2036 64 655 0.04 13 5 8

50 7.72% G.S. 2055 94 645 0.04 17 8 9

51 9.15% G.S. 2024 24 545 0.03 10 2 8

52 8.30% G.S. 2042 50 525 0.03 9 4 5

53 8.07% G.S. 2017 (JUL) 28 505 0.03 10 2 8

54 8.35% G.S. 2022 14 468 0.03 5 1 4

55 5.69% G.S. 2018 15 455 0.03 7 0 7

56 8.97% G.S. 2030 23 455 0.03 7 3 4

57 6.90% OMC SB 2026 33 395 0.02 5 2 3

58 8.24% G.S. 2018 10 380 0.02 5 0 5

59 8.28% G.S. 2032 23 380 0.02 11 1 10

60 8.13% G.S. 2022 12 285 0.02 4 1 3

61 6.17% G.S. 2023 40 240 0.01 11 3 8

62 6.30% G.S. 2023 27 150 0.01 8 2 6

63 8.20% G.S. 2022 11 120 0.01 6 0 6

64 6.25% G.S. 2018 9 115 0.01 4 0 4

65 10.45% G.S. 2018 1 100 0.01 1 0 1

66 6.05% G.S. 2019 10 100 0.01 5 0 5

67 6.01% G.S. 2028 13 80 0.00 7 0 7

68 10.25% G.S. 2021 5 75 0.00 3 0 3

69 8.33% G.S. 2032 2 65 0.00 1 0 1

70 6.13% G.S. 2028 9 50 0.00 3 1 2

71 7.94% G.S. 2021 4 40 0.00 3 0 3

72 5.64% G.S. 2019 4 25 0.00 3 0 3

73 8.00% OMC SB 2026 2 12 0.00 2 0 2

74 8.35% SBI SB 2024 1 5 0.00 1 0 1

146200 1815288 100.00

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TABLE 38: LIQUIDITY DISTRIBUTION (G-SEC)

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5 or more Trades Per Day Less than 5 Trades Per DaySr.No. ISINDESC

DaysTraded

TradesValue(` Cr.)

ISINDESCDaysTraded

TradesValue(` Cr.)

1 7.59% G.S. 2026 21 43871 537644 8.19% G.S. 2020 13 31 580

2 7.59% G.S. 2029 21 32862 389652 8.15% G.S. 2022 12 19 347

3 7.88% G.S. 2030 21 20650 215469 7.95% G.S. 2032 11 22 385

4 7.61% G.S. 2030 21 17484 203982 8.79% G.S. 2021 10 30 1110

5 7.68% G.S. 2023 21 8611 106702 8.24% G.S. 2027 10 21 257

6 7.72% G.S. 2025 21 7063 75588 8.28% G.S. 2032 10 17 335

7 8.27% G.S. 2020 21 3110 62410 7.40% G.S. 2035 9 16 95

8 7.80% G.S. 2021 21 1138 25008 9.23% G.S. 2043 9 20 340

9 7.35% G.S. 2024 21 1765 22473 7.72% G.S. 2055 9 23 150

10 8.12% G.S. 2020 21 613 15263 8.07% G.S. 2017 9 25 1070

11 6.35% G.S. 2020 21 502 10023 8.83% G.S. 2041 9 16 457

12 8.13% G.S. 2045 21 703 9050 6.05% G.S. 2019 9 18 360

13 8.17% G.S. 2044 21 668 7432 8.30% G.S. 2040 8 12 202

14 8.60% G.S. 2028 21 441 6366 7.49% G.S. 2017 8 19 750

15 7.28% G.S. 2019 20 662 15940 8.33% G.S. 2036 8 22 235

16 7.16% G.S. 2023 20 570 12513 6.17% G.S. 2023 8 17 100

17 8.40% G.S. 2024 20 423 9243 7.46% G.S. 2017 8 19 270

18 8.15% G.S. 2026 19 501 5681 9.15% G.S. 2024 8 11 275

19 7.83% G.S.2018 18 330 8890 8.07% G.S. 2017 (JUL) 8 15 285

20 7.73% G.S. 2034 18 505 4770 8.83% G.S. 2023 7 17 245

21 8.24% G.S. 2033 18 265 3040 6.90% G.S. 2019 7 21 500

22 8.08% G.S. 2022 17 244 6106 8.20% G.S. 2025 7 17 175

23 8.28% G.S. 2027 17 227 3165 8.32% G.S. 2032 7 13 375

24 8.83% G.S. 2023 14 141 5843 5.69% G.S. 2018 7 15 455

25 6.90% G.S. 2019 14 190 3380 6.01% G.S. 2028 7 13 80

26 7.50% G.S. 2034 14 206 1921 9.20% G.S. 2030 6 16 128

27 7.80% G.S. 2020 13 119 2755 6.83% G.S. 2039 6 17 105

28 9.20% G.S. 2030 11 151 1495 6.30% G.S. 2023 6 12 65

29 6.83% G.S. 2039 11 126 848 8.20% G.S. 2022 6 11 120

30 7.40% G.S. 2035 11 150 825 8.33% G.S. 2026 5 7 60

31 8.20% G.S. 2025 10 113 2183 8.30% G.S. 2042 5 13 260

32 9.23% G.S. 2043 9 82 920 8.24% G.S. 2018 5 10 380

33 7.72% G.S. 2055 8 71 495 6.05% G.S. 2019 5 10 100

34 8.07% G.S. 2017 7 65 2495 8.08% G.S. 2022 4 8 290

35 8.79% G.S. 2021 7 64 2255 7.50% G.S. 2034 4 7 65

36 8.19% G.S. 2020 7 52 1295 7.80% G.S. 2020 4 8 85

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TABLE 38: LIQUIDITY DISTRIBUTION (G-SEC)

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5 or more Trades Per Day Less than 5 Trades Per DaySr.No. ISINDESC

DaysTraded

TradesValue(` Cr.)

ISINDESCDaysTraded

TradesValue(` Cr.)

37 8.32% G.S. 2032 7 61 735 8.26% G.S. 2027 4 10 548

8.30% G.S. 2040 7 74 855 8.97% G.S. 2030 4 6 75

39 7.49% G.S. 2017 6 67 2177 7.99% G.S. 2017 4 8 210

40 8.24% G.S. 2027 6 55 549 8.35% G.S. 2022 4 8 243

41 8.26% G.S. 2027 5 35 590 6.25% G.S. 2018 4 9 115

42 8.33% G.S. 2026 5 78 799 7.83% G.S.2018 3 6 152

43 8.33% G.S. 2036 5 42 420 7.73% G.S. 2034 3 7 110

44 7.95% G.S. 2032 4 42 350 6.90% OMC SB 2026 3 3 105

45 8.83% G.S. 2041 4 28 250 8.13% G.S. 2022 3 7 240

46 8.30% G.S. 2042 4 37 265 10.25% G.S. 2021 3 5 75

47 7.02% G.S. 2016 3 44 1310 7.94% G.S. 2021 3 4 40

48 6.05% G.S. 2019 3 25 570 5.64% G.S. 2019 3 4 25

49 8.97% G.S. 2030 3 17 380 8.15% G.S. 2026 2 5 25

50 6.17% G.S. 2023 3 23 140 8.24% G.S. 2033 2 5 40

51 7.46% G.S. 2017 2 12 3930 8.28% G.S. 2027 2 8 50

52 7.99% G.S. 2017 2 12 3640 7.02% G.S. 2016 2 5 195

53 8.15% G.S. 2022 2 13 400 6.13% G.S. 2028 2 2 10

54 9.15% G.S. 2024 2 13 270 8.00% OMC SB 2026 2 2 12

55 8.07% G.S. 2017 (JUL) 2 13 220 7.28% G.S. 2019 1 2 10

56 6.90% OMC SB 2026 2 30 290 7.16% G.S. 2023 1 3 25

57 6.30% G.S. 2023 2 15 85 8.40% G.S. 2024 1 1 25

58 8.35% G.S. 2022 1 6 225 10.45% G.S. 2018 1 1 100

59 8.28% G.S. 2032 1 6 45 8.33% G.S. 2032 1 2 65

60 8.13% G.S. 2022 1 5 45 8.35% SBI SB 2024 1 1 5

61 6.13% G.S. 2028 1 7 40

Total 680 145498 1801699 Total 333 702 13589

Expected Bond Days 1281 Expected Bond Days 1260

Efficiency 53.08 Efficiency 26.43

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Amount Crore`

MONEY MARKETTABLE 39: MONEY MARKET VOLUMES

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COLLATERALISED BORROWING AND LENDING OBLIGATION (CBLO)

Number of Participants: 244

TABLE 40: CBLO TRADING Amount Crore`

Uncollateralised Call, Noticeand Term Money Market

Market Repo CBLOPeriod

ValueDaily Average

ValueValue

Daily AverageValue

ValueDaily Average

Value

2009-10 2522703 8914 6072829 21308 15541378 54531

2010-11 2945901 10020 4099284 13943 12259745 41700

2011-12 4084692 14085 3755892 12907 11155428 38335

2012-13 4814032 16658 5402765 18695 12028040 41620

2013-14 4507273 15383 7228127 24585 17526192 59613

2014-15 3740742 12989 7875244 27440 16764597 58413

2015-16 3799481 13717 8621665 31125 17833528 64381

Apr-16 402848 21203 685427 36075 1222747 64355

May-16 356112 15483 932212 40531 1621758 70511

Jun-16 311750 12990 1000663 41694 1727229 71968

Jul-16 344092 14961 985113 42831 1733233 75358

Aug-16 363757 15816 1079758 46946 1958326 85145

2016-17 (UptoAugust 2016)

1778559 15880 4683173 41814 8263294 73779

Overnight Term Total Daily AveragePeriod

Trades Value Trades Value Trades Value Trades Value

2002-03 157 829 2 23 159 852 3 15

2003-04 2280 58136 780 18715 3060 76851 10 251

2004-05 22802 768294 6549 208497 29351 976790 101 3345

2005-06 54026 2391854 13437 561280 67463 2953134 229 10045

2006-07 69602 3860456 16279 871815 85881 4732271 292 16096

2007-08 93282 6699077 19995 1411751 113277 8110828 385 27588

2008-09 94344 7099527 24597 1725258 118941 8824784 414 30748

2009-10 115171 12747733 26881 2793645 142052 15541378 498 54531

2010-11 121286 10516301 24097 1743444 145383 12259745 495 41700

2011-12 118699 9481527 25250 1673901 143949 11155428 495 38335

2012-13 129197 10194520 26902 1833520 156099 12028040 538 41476

2013-14 147469 14892707 30449 2633485 177918 17526192 605 59613

2014-15 170308 13949524 36933 2815073 207241 16764597 722 58413

2015-16 184915 15480390 30236 2353139 215151 17833529 777 64381

Apr-16 11881 1048962 2148 173785 14029 1222747 738 64355

May-16 16829 1546125 867 75634 17696 1621758 769 70511

Jun-16 17480 1568068 1770 159161 19250 1727229 802 71968

Jul-16 15906 1446617 2899 286616 18805 1733233 818 75358

Aug-16 17407 1724666 2555 233660 19962 1958326 868 85145

2016-17 (UptoAugust 2016)

79503 7334438 10239 928856 89742 8263294 801 73779

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MARKET REPO

TABLE 41: REPO TERM ANALYSIS Percent

TABLE 42: INSTRUMENTWISE SETTLEMENT OF REPO TRADES Amount Crore`

O/N 2-3 days 4-7 days 8-14 days >14 daysSettlement

Period% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

% tototaltrades

% tototalvalue

2002-03 50.05 50.15 30.96 31.01 15.46 15.95 2.26 1.78 1.27 1.11

2003-04 53.00 52.29 32.68 32.94 13.63 14.37 0.58 0.34 0.11 0.06

2004-05 68.29 69.29 26.30 24.23 5.30 6.35 0.09 0.11 0.02 0.02

2005-06 70.93 72.06 25.73 25.11 3.06 2.71 0.19 0.08 0.08 0.04

2006-07 73.68 75.19 21.58 21.06 4.32 3.57 0.12 0.07 0.31 0.11

2007-08 74.00 73.97 22.86 23.25 2.80 2.69 0.03 0.01 0.30 0.09

2008-09 68.24 68.69 27.17 27.04 4.35 4.17 0.07 0.03 0.17 0.07

2009-10 70.42 69.51 23.07 24.25 6.23 6.00 0.19 0.23 0.09 0.02

2010-11 68.51 65.99 27.94 31.12 2.96 2.68 0.27 0.08 0.32 0.13

2011-12 67.46 65.94 26.27 28.53 5.17 5.24 0.39 0.11 0.72 0.18

2012-13 69.06 67.82 27.13 27.75 3.49 4.16 0.14 0.21 0.18 0.05

2013-14 66.29 65.24 27.73 28.34 5.60 6.17 0.16 0.18 0.23 0.07

2014-15 67.08 65.76 27.56 28.22 5.08 5.63 0.25 0.37 0.03 0.02

2015-16 71.79 70.30 23.89 25.40 4.24 4.21 0.06 0.08 0.02 0.02

Apr-16 63.42 61.51 20.67 20.71 15.21 15.63 0.44 1.33 0.27 0.82

May-16 78.27 75.41 20.87 22.08 0.32 0.81 0.36 1.18 0.17 0.51

Jun-16 77.31 75.19 22.14 23.24 0.15 0.35 0.23 0.60 0.17 0.62

Jul-16 65.55 62.22 33.54 35.62 0.14 0.15 0.51 1.16 0.25 0.85

Aug-16 71.73 69.78 22.59 23.44 4.77 4.87 0.50 1.10 0.41 0.81

2016-17 (UptoAugust 2016)

71.82 69.25 24.05 25.29 3.47 3.68 0.40 1.06 0.25 0.72

Cen. Govt. Dated Treasury BillsSettlement

Period ValueAvg.Value

%Share

ValueAvg.Value

%Share

ValueAvg.Value

%Share

2002-03 403971 1360 86.28 64238 216 13.72 20 0 0.00

2003-04 874438 2974 92.71 59222 201 6.28 9530 32 1.01

2004-05 1262149 4322 81.02 286955 983 18.42 8803 30 0.57

2005-06 1369411 4674 80.81 277687 948 16.39 47411 162 2.80

2006-07 2126634 7233 83.19 379165 1290 14.83 50677 172 1.98

2007-08 3569960 12102 90.41 323984 1098 8.20 54807 186 1.39

2008-09 3475348 12109 84.88 583335 2033 14.25 35603 124 0.87

2009-10 5233295 18362 86.18 812537 2851 13.38 26996 95 0.44

2010-11 3253965 11068 79.38 832632 2832 20.31 12688 43 0.31

2011-12 2186877 7515 58.10 1554121 5341 41.29 22878 79 0.61

2012-13 2918337 10098 54.02 2413144 8350 44.66 71282 247 1.32

2013-14 3364069 11442 46.54 3832478 13036 53.02 31580 107 0.44

2014-15 4471896 15582 56.78 3259007 11355 41.38 144343 503 1.83

2015-16 6230697 22493 72.27 2248204 8116 26.08 142765 515 1.66

Apr-16 557526 29343 81.34 122454 6445 17.87 5447 287 0.79

May-16 726724 31597 77.96 162853 7081 17.47 42634 1854 4.57

Jun-16 779817 32492 77.93 150664 6278 15.06 70182 2924 7.01

Jul-16 800550 34807 81.26 133292 5795 13.53 51271 2229 5.20

Aug-16 899769 39120 83.33 104956 4563 9.72 75033 3262 6.95

2016-17 (UptoAugust 2016)

3764386 33611 80.38 674219 6020 14.40 244567 2184 5.22

State Development Loans

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TABLE 43: CROMS TRADING ACTIVITY

Number of Participants: 153 Amount Crore`

TABLE 44: CROMS HISTORICAL SUMMARY Amount Crore`

CROMS Special CROMS Basket CROMS - Total Repo

DateTrades Value WAR Trades Value WAR Trades Value WAR Trades Value WAR

% Shareof

CROMSin Repovolumes

1-Aug-16 161 17614 6.4006 132 20874 6.4809 293 38488 6.4442 304 40405 6.4426 95.26

2-Aug-16 206 18461 6.4100 151 22704 6.4812 357 41165 6.4493 368 43049 6.4458 95.62

3-Aug-16 188 18941 6.4059 155 23116 6.4699 343 42057 6.4411 354 43920 6.4385 95.76

4-Aug-16 190 17792 6.3862 154 23406 6.4626 344 41198 6.4296 357 42832 6.4264 96.19

5-Aug-16 209 18425 6.3663 273 44507 6.4627 482 62932 6.4345 498 66623 6.4345 94.46

8-Aug-16 179 17206 6.4052 156 27010 6.5040 335 44216 6.4656 353 48018 6.4657 92.08

9-Aug-16 193 18515 6.4421 151 26923 6.5391 344 45438 6.4996 360 48672 6.4976 93.36

10-Aug-16 169 15462 6.4628 160 25833 6.5615 329 41295 6.5246 343 43652 6.5233 94.60

11-Aug-16 178 16620 6.4837 190 28397 6.5806 368 45017 6.5448 380 47403 6.5434 94.97

12-Aug-16 187 17374 6.4707 172 33269 6.5217 359 50643 6.5043 372 52641 6.5017 96.20

16-Aug-16 196 18430 6.4502 149 33214 6.5075 345 51644 6.4871 362 55652 6.4873 92.80

18-Aug-16 162 16403 6.4452 185 37525 6.4776 347 53928 6.4677 359 55840 6.4664 96.57

19-Aug-16 184 17912 6.4526 403 74818 6.3928 587 92730 6.4043 602 94887 6.3998 97.73

22-Aug-16 178 16008 6.4469 165 30626 6.4669 343 46634 6.4601 356 48996 6.4577 95.18

23-Aug-16 201 20768 6.4268 131 28070 6.4653 332 48838 6.4490 345 50857 6.4480 96.03

24-Aug-16 196 20244 6.4259 144 29614 6.4753 340 49858 6.4552 353 51775 6.4522 96.30

25-Aug-16 201 18933 6.4244 132 25014 6.4473 333 43947 6.4374 346 45881 6.4347 95.79

26-Aug-16 191 19147 6.3909 131 23293 6.4455 322 42440 6.4209 335 43977 6.4191 96.51

29-Aug-16 197 20280 6.4167 131 25123 6.4590 328 45403 6.4401 348 48640 6.4414 93.34

30-Aug-16 186 19938 6.4408 163 30446 6.4814 349 50384 6.4653 367 53412 6.4603 94.33

31-Aug-16 183 18763 6.4167 162 31583 6.4552 345 50346 6.4409 360 52626 6.4398 95.67

Total 3935 383236 3590 645368 7525 1028604 7822 1079758 95.26

CROMS-SPECIAL CROMS-BASKET CROMS

Period

Trades Value

%Share

inRepo

Trades Value

%Share

inRepo

TradesTotalValue

DailyAverageValue

%Share

inRepo

2008-09 957 93369 9.05 26 853 0.08 983 94222 2298 9.14

2009-10 5336 742575 12.23 9888 3543468 58.38 15224 4286042 17933 70.61

2010-11 8718 810326 19.78 10181 2016259 49.21 18899 2826585 11398 68.98

2011-12 12757 1333933 35.45 9519 1233105 32.77 22276 2567038 10652 68.23

2012-13 18732 1936643 35.85 18543 2927336 54.19 37275 4863979 19692 90.05

2013-14 13780 1287231 17.81 28540 5238049 72.48 42320 6525279 26418 90.29

2014-15 15120 1362280 17.30 36319 5954619 75.61 51439 7316899 30743 92.91

2015-16 29770 2872304 33.31 35142 5280959 61.25 64912 8153264 33691 94.57

Apr-16 2447 181769 26.52 2579 450240 65.69 5026 632009 39501 92.21

May-16 3548 283599 30.42 3239 579995 62.22 6787 863594 39254 92.64

Jun-16 4167 359858 35.96 3319 567716 56.73 7486 927574 42162 92.70

Jul-16 3344 301227 30.58 3438 619473 62.88 6782 920700 46035 93.46

Aug-16 3935 383236 35.49 3590 645368 59.77 7525 1028604 48981 95.26

2016-17 (UptoAugust 2016)

17441 1509689 32.24 16165 2862792 61.13 33606 4372481 43292 93.37

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TABLE 45: TOP 5 SECURITIES - BASKET REPO

TABLE 46: TOP 5 SECURITIES - SPECIAL REPO

Amount Crore`

Amount Crore`

TABLE 47: DEALT TRANSACTIONS ON THE NDS-CALL PLATFORM

CALL MONEY MARKET

Amount Crore`

Security Trades Value Rate

7.28% G.S. 2019 214 51839 6.4924

8.27% G.S. 2020 264 47874 6.4924

8.07% G.S. 2017 168 45799 6.4631

7.83% G.S. 2018 150 43335 6.4769

7.49% G. S. 2017 121 34926 6.4791

Security Trades Value Rate

7.88% G.S. 2030 510 53248 6.3759

8.27% G.S. 2020 340 44507 6.4101

7.59% G.S. 2029 338 33533 6.3611

7.59% G.S. 2026 322 30647 6.4179

7.61% G.S. 2030 213 20307 6.3995

CALL NOTICE Term TotalDate

Trade Value WAR Trade Value WAR Trade Value WAR Trade Value

1-Aug-16 180 14229 6.4256 2 200 6.5000 8 428 6.8168 190 14857

2-Aug-16 123 9218 6.4748 - - - 11 1000 6.8188 134 10218

3-Aug-16 130 9972 6.4870 - - - 10 800 6.8163 140 10772

4-Aug-16 128 9638 6.5185 10 975 6.4654 5 92 6.8668 143 10705

5-Aug-16 218 20067 6.4329 1 17 6.4500 4 112 6.8138 223 20196

6-Aug-16 12 835 6.5590 - - - - - - 12 835

8-Aug-16 136 10507 6.5601 4 418 6.6591 10 790 6.8737 150 11715

9-Aug-16 137 9899 6.5959 - - - 4 360 7.3764 141 10259

10-Aug-16 128 9706 6.5533 1 40 6.6000 3 185 6.7892 132 9931

11-Aug-16 142 11105 6.5296 - - - 3 185 6.8338 145 11290

12-Aug-16 110 8110 6.5408 - - - 4 370 6.8595 114 8480

16-Aug-16 126 10252 6.4964 2 124 6.4855 3 120 7.0458 131 10496

18-Aug-16 90 6935 6.4504 - - - 6 515 6.8214 96 7450

19-Aug-16 188 17756 6.4510 2 200 6.6000 6 370 6.8770 196 18326

20-Aug-16 33 3055 6.4866 - - - - - - 33 3055

22-Aug-16 115 8153 6.4888 - - - 1 20 6.8000 116 8173

23-Aug-16 116 9426 6.4905 - - - 5 740 6.9007 121 10166

24-Aug-16 128 10842 6.5086 4 100 6.4437 2 55 7.2018 134 10996

25-Aug-16 84 6290 6.4907 - - - 1 100 6.9500 85 6390

26-Aug-16 102 7919 6.4723 - - - 4 170 6.9206 106 8089

29-Aug-16 116 8292 6.4982 - - - 2 183 6.7546 118 8475

30-Aug-16 108 7973 6.4962 1 20 6.4000 - - - 109 7993

31-Aug-16 110 8012 6.5072 - - - 2 200 7.2000 112 8212

Total 2760 218191 27 2093 94 6795 2881 227079

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TABLE 48: OTC DEALS REPORTED ON THE NDS-CALL PLATFORM

Amount Crore`

CALL NOTICE Term TotalDate

Trade Value WAR Trade Value WAR Trade Value WAR Trade Value

1-Aug-16 373 6358 6.2531 30 178 6.1344 10 156 6.7908 413 6692

2-Aug-16 384 6640 6.2495 20 79 6.0336 8 264 6.7739 412 6983

3-Aug-16 373 6465 6.2527 21 97 6.0369 10 355 6.8101 404 6916

4-Aug-16 371 7131 6.2555 28 583 6.2371 11 224 6.7573 410 7938

5-Aug-16 389 6959 6.2022 13 92 6.1447 5 74 6.6838 407 7125

6-Aug-16 90 613 5.6376 7 24 5.8809 - - - 97 636

8-Aug-16 373 6555 6.2714 35 683 6.2417 8 320 6.7795 416 7558

9-Aug-16 370 6830 6.3025 16 80 6.0606 9 190 6.7323 395 7100

10-Aug-16 373 6216 6.3130 20 126 6.1442 8 298 6.7866 401 6641

11-Aug-16 380 6225 6.3171 29 195 6.1916 7 360 6.7892 416 6781

12-Aug-16 394 5960 6.2722 17 206 6.4029 7 162 6.7693 418 6328

16-Aug-16 288 5199 6.2747 119 1311 6.2316 13 394 6.7574 420 6904

18-Aug-16 278 4898 6.2333 33 389 6.2411 10 358 6.7814 321 5645

19-Aug-16 397 6130 6.2079 14 94 6.0940 10 250 6.7287 421 6474

20-Aug-16 90 498 5.6188 7 52 5.8221 - - - 97 550

22-Aug-16 382 5937 6.2585 26 230 6.2152 3 55 6.7682 411 6222

23-Aug-16 371 4875 6.2569 34 506 6.3438 7 212 6.7841 412 5592

24-Aug-16 214 3331 6.2747 169 1708 6.1766 4 122 6.7473 387 5161

25-Aug-16 221 3560 6.2887 13 83 6.2205 3 11 6.4272 237 3654

26-Aug-16 389 5415 6.2397 15 93 6.1630 9 345 6.8155 413 5854

29-Aug-16 375 5409 6.2374 31 261 6.2830 8 306 6.7546 414 5976

30-Aug-16 375 5558 6.2352 22 478 6.2639 4 156 6.7235 401 6191

31-Aug-16 373 6034 6.2387 19 146 6.2272 6 216 6.7178 398 6395

Total 7623 122796 738 7692 160 4827 8521 135315

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TABLE 49: UNCOLLATERALISED OVERNIGHT TRANSACTIONS (%)

Within +/-10 bpsof FBIL O/N

MIBOR

Within +/-15 bps ofFBIL O/N MIBOR

Within +/-25 bps ofFBIL O/N MIBOR

TotalTRADEDATE

FBILO/N

MIBORRate Trades Value Trades Value Trades Value Trades

Value(` Crore)

01-Aug-16 6.50 20 49 23 55 38 83 553 20586

02-Aug-16 6.50 24 69 26 73 29 78 507 15858

03-Aug-16 6.50 26 68 29 75 31 79 503 16437

04-Aug-16 6.50 23 57 29 73 32 78 499 16770

05-Aug-16 6.48 30 68 31 70 39 83 607 27026

08-Aug-16 6.57 28 69 30 74 32 77 509 17062

09-Aug-16 6.60 27 65 30 70 33 76 507 16729

10-Aug-16 6.60 21 61 23 63 25 70 501 15922

11-Aug-16 6.65 18 50 21 55 24 58 522 17330

12-Aug-16 6.59 18 56 22 65 26 73 504 14070

16-Aug-16 6.50 33 78 36 81 39 83 414 15451

18-Aug-16 6.50 23 67 24 68 29 71 368 11833

19-Aug-16 6.49 30 74 33 79 37 84 585 23886

22-Aug-16 6.51 24 70 28 74 31 78 497 14090

23-Aug-16 6.51 26 78 28 79 30 80 487 14301

24-Aug-16 6.50 40 86 41 86 44 87 342 14173

25-Aug-16 6.51 28 71 33 80 37 83 305 9850

26-Aug-16 6.50 22 65 25 73 28 78 491 13335

29-Aug-16 6.50 25 68 28 74 31 77 491 13701

30-Aug-16 6.50 21 60 26 71 29 77 483 13531

31-Aug-16 6.54 25 68 27 71 31 76 483 14046

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Within +/-10 bps ofFBIL O/N MIBOR

Within +/-15 bps ofFBIL O/N MIBOR

Within +/-25 bps ofFBIL O/N MIBOR

TotalTRADEDATE

FBILO/N

MIBORRate

Trades Value Trades Value Trades Value TradesValue

(` Crore)

01-Aug-16 6.50 53 55 58 61 99 100 180 14229

02-Aug-16 6.50 86 95 92 97 96 100 123 9218

03-Aug-16 6.50 91 95 97 100 98 100 130 9972

04-Aug-16 6.50 79 82 98 100 100 100 128 9638

05-Aug-16 6.48 76 82 77 82 91 95 218 20067

08-Aug-16 6.57 91 97 98 100 100 100 136 10507

09-Aug-16 6.60 88 95 97 99 99 100 137 9899

10-Aug-16 6.60 70 81 76 85 77 85 128 9706

11-Aug-16 6.65 58 63 66 69 73 72 142 11105

12-Aug-16 6.59 70 77 86 90 98 100 110 8110

16-Aug-16 6.50 95 99 99 100 100 100 126 10252

18-Aug-16 6.50 73 86 74 87 81 88 90 6935

19-Aug-16 6.49 82 89 87 93 95 97 188 17756

22-Aug-16 6.51 89 95 96 99 100 100 115 8153

23-Aug-16 6.51 97 99 97 100 99 100 116 9426

24-Aug-16 6.50 98 100 98 100 100 100 128 10842

25-Aug-16 6.51 85 87 95 98 100 100 84 6290

26-Aug-16 6.50 88 90 97 98 99 100 102 7919

29-Aug-16 6.50 89 93 98 100 99 100 116 8292

30-Aug-16 6.50 78 80 94 95 98 100 108 7973

31-Aug-16 6.54 90 94 94 98 100 100 110 8012

TABLE 50: OVERNIGHT TRANSACTIONS DEALT ON NDS-CALL PLATFORM (%)

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Within +/-15 bps ofFBIL O/N MIBOR

Within +/-25 bps ofFBIL O/N MIBOR

TotalTRADEDATE

FBILO/N

MIBORRate Trades Value Trades Value Trades Value Trades

Value(` Crore)

01-Aug-16 6.50 4 34 6 41 9 46 373 6358

02-Aug-16 6.50 4 33 5 39 8 47 384 6640

03-Aug-16 6.50 3 25 5 38 8 47 373 6465

04-Aug-16 6.50 4 23 5 37 9 48 371 7131

05-Aug-16 6.48 4 28 6 36 10 49 389 6959

08-Aug-16 6.57 4 25 6 34 8 40 373 6555

09-Aug-16 6.60 4 23 5 28 8 43 370 6830

10-Aug-16 6.60 3 29 4 30 8 46 373 6216

11-Aug-16 6.65 3 27 4 30 6 34 380 6225

12-Aug-16 6.59 4 27 4 33 6 38 394 5960

16-Aug-16 6.50 6 39 9 44 12 50 288 5199

18-Aug-16 6.50 6 39 8 41 12 46 278 4898

19-Aug-16 6.49 5 31 7 39 10 48 397 6130

22-Aug-16 6.51 4 36 7 40 10 48 382 5937

23-Aug-16 6.51 4 35 6 38 8 41 371 4875

24-Aug-16 6.50 5 40 6 41 10 46 214 3331

25-Aug-16 6.51 6 42 9 46 13 52 221 3560

26-Aug-16 6.50 4 28 6 35 10 45 389 5415

29-Aug-16 6.50 5 30 7 35 10 42 375 5409

30-Aug-16 6.50 5 32 6 36 9 45 375 5558

31-Aug-16 6.54 5 34 7 35 11 44 373 6034

TABLE 51: OVERNIGHT TRANSACTIONS REPORTED ON NDS-CALL PLATFORM (%)

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NDS-CALL Platform (WAR)TRADEDATE

FBIL O/NMIBOR Rate

UncollateralisedO/N Call(WAR) All Trades Trades Upto 4 PM

Trades Reported on NDS-CALL Platform (WAR)

01-Aug-16 6.50 6.37 6.43 6.48 6.25

02-Aug-16 6.50 6.38 6.47 6.48 6.25

03-Aug-16 6.50 6.39 6.49 6.48 6.25

04-Aug-16 6.50 6.41 6.52 6.49 6.26

05-Aug-16 6.48 6.39 6.43 6.47 6.20

08-Aug-16 6.57 6.45 6.56 6.57 6.27

09-Aug-16 6.60 6.48 6.60 6.60 6.30

10-Aug-16 6.60 6.46 6.55 6.60 6.31

11-Aug-16 6.65 6.45 6.53 6.62 6.32

12-Aug-16 6.59 6.43 6.54 6.57 6.27

16-Aug-16 6.50 6.42 6.50 6.51 6.27

18-Aug-16 6.50 6.36 6.45 6.49 6.23

19-Aug-16 6.49 6.40 6.45 6.48 6.21

22-Aug-16 6.51 6.39 6.49 6.50 6.26

23-Aug-16 6.51 6.41 6.49 6.50 6.26

24-Aug-16 6.50 6.45 6.51 6.51 6.27

25-Aug-16 6.51 6.42 6.49 6.50 6.29

26-Aug-16 6.50 6.38 6.47 6.49 6.24

29-Aug-16 6.50 6.40 6.50 6.51 6.24

30-Aug-16 6.50 6.39 6.50 6.52 6.24

31-Aug-16 6.54 6.39 6.51 6.52 6.24

TABLE 52: CALL MARKET AND FBIL O/N MIBOR - RATES (%)

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September 2016

TABLE :53 TENORWISE ANALYSIS OF TERM MONEY TRANSACTIONS Amount Crore`

Less Than 30 Days 30-60 Days 60-90 Days 90-120 Days 120-180 Days 180-270 Days 270 Days and More TotalPeriod

Trades Values Trades Values Trades Values Trades Values Trades Values Trades Values Trades Values Trades Values

2006-07 75 4504 74 5209 19 895 52 1347 4 40 8 73 23 2716 255 14784

2007-08 249 13937 209 10332 49 1832 240 10250 27 1625 46 1701 23 1332 843 41008

2008-09 222 13887 187 11679 92 4194 313 15801 34 1543 51 1846 29 659 928 49608

2009-10 162 8727 63 3942 6 755 87 3322 15 1298 32 1610 68 5522 433 25176

2010-11 291 16146 84 6220 27 1493 77 3617 6 312 40 1346 44 2236 569 31370

2011-12 467 34789 162 11218 47 3143 148 9467 5 85 24 1003 29 1057 882 60761

2012-13 997 81555 273 22081 117 8572 243 15673 16 1294 27 1237 37 2977 1710 133389

2013-14 639 40681 244 11765 86 4914 241 12961 30 1685 41 3458 56 2643 1337 78107

2014-15 758 29041 108 4913 136 6040 212 11018 42 2810 47 2256 45 2356 1348 58432

2015-16 1142 43868 161 4678 79 4029 142 6927 32 2453 52 3297 34 1885 1642 67136

Apr-16 146 6941 10 778 18 718 12 865 3 175 3 380 1 10 193 9867

May-16 214 8922 29 1125 4 320 9 530 2 125 4 600 3 42 265 11664

Jun-16 212 8526 27 1068 3 82 9 281 1 100 1 100 1 9 254 10166

Jul-16 193 8617 26 1186 8 437 11 793 2 300 3 125 7 251 250 11708

Aug-16 189 8251 36 1532 9 553 10 588 2 150 2 200 6 347 254 11622

2016-17 (UptoAugust 2016)

954 41256 128 5690 42 2109 51 3057 10 850 13 1405 18 659 1216 55027

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September 2016

TABLE 54: NDS-CALL HISTORICAL Amount Crore`

*Trade reporting on NDS-CALL became mandatory from November 2012.**Data from September 18, 2006.

Dealt Reported Reciprocal Total NDS-CALL

Total Average Total Average Total Total Average% Share in NDS-CALL

Total Value ofCall, Notice andTerm Money as

per RBIPeriod

Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value Trades Value Dealt Reported Reciprocal TotalDaily

Average

% Shareof NDS-CALL in

TotalMarket

2006-07** 6853 507998 44 3277 351 5427 2 35 161 30326 7365 543750 48 3508 93.42 1.00 5.58 2209978 14258 24.60

2007-08 31402 2778531 108 9516 3597 26413 12 90 151 20117 35150 2825061 120 9675 98.35 0.93 0.71 3513925 12034 80.40

2008-09 35742 3179134 125 11077 4533 20797 16 72 351 57557 40626 3257488 142 11350 97.59 0.64 1.77 3717091 12952 87.64

2009-10 24530 2124356 86 7454 4735 23877 17 84 91 18470 29356 2166703 103 7602 98.05 1.10 0.85 2522703 8852 85.89

2010-11 26401 2450742 90 8336 7352 49514 25 168 379 76328 34132 2576584 116 8764 95.12 1.92 2.96 2945901 10020 87.46

2011-12 34031 3483245 117 11970 5449 21071 19 72 449 95779 39929 3600095 137 12371 96.75 0.59 2.66 4084692 14037 88.14

2012-13 37174 4124785 129 14273 29554 352449 102 1220 338 58407 67066 4535641 232 15694 90.94 7.77 1.29 4814032 16658 94.22

2013-14 38231 3617702 130 12305 65715 875335 224 2977 503 96025 104449 4589062 355 15609 78.83 19.07 2.09 4507273 15331 101.81

2014-15 33462 2557815 117 8912 70390 1175399 245 4095 278 51625 104130 3784839 363 13188 67.58 31.06 1.36 3740742 13034 101.18

2015-16 33445 2535754 121 9154 85053 1247369 307 4503 110 26894 118608 3810017 428 13657 66.55 32.74 0.71 3799481 13717 99.57

Apr-16 3577 302541 188 15923 6244 98716 329 5196 2 700 9823 401956 517 21156 75.27 24.56 0.17 402848 21203 99.78

May-16 3064 243202 133 10574 8406 112637 365 4897 4 1500 11474 357339 499 15536 68.06 31.52 0.42 356112 15483 100.34

Jun-16 2585 199590 108 8316 8701 110409 363 4600 11 2630 11286 309998 470 12917 64.38 35.62 0.85 311750 12990 99.44

Jul-16 2656 212425 115 9236 8319 130938 362 5693 2 500 10975 343364 477 14929 61.87 38.13 0.15 344092 14961 99.79

Aug-16 2881 227079 125 9873 8521 135315 370 5883 4 800 11402 362394 496 15756 62.66 37.34 0.22 363757 15816 99.63

2016-17 (UptoAugust 2016)

14763 1184836 132 10579 40191 588014 359 5250 23 6130 54960 1775050 491 15849 66.75 33.13 0.35 1778559 15880 99.80

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TABLE 55: FOREX SETTLEMENT*

FOREIGN EXCHANGE MARKETFOREX SETTLEMENT

Number of Participants: 89

September 2016

Cash Tom Spot Forward Total AverageSettlement

Period TradesValue(USDMn)

Value(` Cr)

TradesValue(USDMn)

Value(` Cr)

TradesValue(USDMn)

Value(` Cr)

TradesValue(USDMn)

Value(` Cr)