Market Update

For the week ended February 13, 2009

MARKET SNAPSHOT
(Amount in Rs. Mn)
Indicators

Feb. 13, 2009 Feb. 06, 2009

Inflation (%)

4.39

5.07

(Jan. 31, 2009) (Jan. 24, 2009)

CCIL MIBOR

4.1008

4.1216

CCBOR

3.7316

3.5909

485,870

516,580

1,800

2,250

Avg. Call Vol.

115,009

124,892

Avg. Repo Vol.

217,779

193,564

Avg. CBLO Vol.

367,679

360,075

Avg. Call Rates (%)

3.95

4.05

Avg. Repo Rates (%)

3.73

3.99

Avg. CBLO Rate (%)

3.72

3.73

4.7895

4.8306

182 Day Cut-off (%)

4.7002

364 Day Cut-off (%)

4.5822

10-yr G-Sec yield (%)

6.2445

6.2221

169

162

48.72

48.73

6 Month Forward Premia (%)

1.95

2.18

6 month USD LIBOR

1.72

1.77

Avg. LAF Rev. Repo Vol.

Avg. LAF Repo Vol.

91-Day Cut-off (%)

1-10 yr spread (bps)

USD/INR

CCIL WEEKLY BUSINESS ACTIVITY (SATURDAY TO FRIDAY)

(Amount in Rs.Million)

Outright
Repo
CBLO
NDS-Call
Forex*
FX-Clear*
CLS*
IRS-MIBOR
IRS-MIFOR
IRS-INBMK

Current
Week

Previous
week

1 month
ago

3 months
ago

6 months
ago

1 year
ago

597836.16
1306671.10
2206072.50
604193.20
36113.50
1011.86
7422.46
131600.00
8055.00
2000.00

523208.81
1161383.00
2160451.00
599088.50
49531.40
909.45
7902.56
81500.00
8220.50
1750.00

922596.50
1143583.40
1981281.50
723382.50
54286.76
1140.83
8036.25
168570.00
12250.00
0.00

290747.42
671386.40
1337796.00
510932.50
44244.83
801.69
5662.57
66910.00
15380.00
0.00

307347.65
488240.70
1108366.00
687108.00
53462.28
929.49
11940.53
527770.00
20250.00
250.00

576996.29
1200810.60
2173699.00
593448.30
51233.26
1085.96
11890.10
826430.00
63500.00
0.00

* Amount in USD Million

Market Snapshot

Market Update

For the week ended February 13, 2009

MARKET DEVELOPMENTS
According to the advance estimates released by the
Central Statistical Organisation (CSO), the growth
in gross domestic product (GDP) at constant prices
during 2008-09 is estimated to grow at 7.10% as
against 9.0% during 2007-08. At current prices, GDP
during 2008-09 is likely to attain a growth of 15.50%
as against 14.30% during 2007-08.
The Index of Industrial Production (IIP) registered
a decline of 2.0% in December 2008 compared to a
growth of 8.0% in December 2007. The IIP growth
for November 2008 has been revised downwards
to a growth of 1.70% from a growth of 2.40%. The
IIP growth declined to 3.20% between AprilDecember'08 from 9.0% in the corresponding period
of the previous fiscal.
RBI conducted the auction of "6.05% Government
Stock 2019" and "6.83% Government Stock 2039"
for the notified amounts of Rs.6,000 crore and
Rs.2,000 crore respectively on February 13, 2009.
The cut-off yields for the securities were 5.9407%
and 7.3696% respectively.
During the week ended February 13, 2009, RBI
absorbed an average amount of Rs.48,587.00 crore
from the system through the daily LAF reverse repo
auctions. On the other hand, RBI injected an
average amount of Rs.180.00 crore into the system
through the daily LAF repo auctions.
Banks have borrowed an amount of Rs.270 crore
during the week ended February 13, 2009 under
the special term repo facility.
As on January 30, 2009 all the Scheduled Banks'
investments (at book value) in the central and state
government securities stood at Rs.11,85,202.02
crores as against Rs.9,70,649.32 crores in the
corresponding period of the previous year.
Nine State Governments announced the auction of
their 10-year SDLs for an aggregate amount of
Rs.8,362.240 on February 17, 2009.
The Government of India, in consultation with the
RBI, has issued a new issuance calendar for
marketable dated securities worth Rs.46,000 crore
covering the period from February 20, 2009 to
March 31, 2009.
RBI has decided to widen the scope of its OMO by
including purchases of Government securities
through an auction-based mechanism in addition

Market Developments

to its operations through NDS-OM from

February 19, 2009.
RBI has notified the time limit to be adhered to by
banks for reconciliation of transactions related to
ATM failure.
RBI has notified the revised rules for lending under
consortium arrangement/multiple banking
arrangements.
RBI has decided to constitute a Task Force to look
into the problems faced by the diamond industry in
Gujarat and make practicable recommendations for
mitigating the difficulties.
RBI has liberalised the norms regarding opening of
diamond dollar accounts.
RBI has signed a MoU with the Government of
Orissa for the constitution of a state level task force
on Urban Co-operative Banks for the State of
Orissa.
RBI has permitted use of NBFCs' investments in
fixed deposits of SIDBI and NABARD for meeting
the requirements of Section 45IB of Reserve Bank
of India Act, 1934.
Fitch Ratings affirmed India's long-term foreign
currency and local currency Issuer Default Ratings
(IDRs) at 'BB-', or 'investment grade'. It estimates
the consolidated general government deficit to reach
9.5% of the GDP by March 2009, up from 6.1% a
year ago. Current account deficit will fall to 1.2% of
GDP in 2009-10 from 2.9% of GDP in 2008-09.
The US Senate passed President Barack Obama's
economic stimulus package worth $787 billion,
comprising of a package of tax cuts and more than
a half-trillion dollars in new federal spending.
The Bank of Korea cut its interest rate to a record
low of 2% while indicating that there was scope for
another reduction to revive the economy.
GDP in the euro region declined 1.5% in the fourth
quarter of 2008 from the previous quarter, the most
in at least 13 years. From a year earlier, GDP fell
1.2%, the only full-year drop on record.
Consumer prices in China rose 1% in January'09
from a year earlier, after gaining 1.2% in
December'08. Producer prices fell 3.3% after a 1.1%
decline in December.
CCIL became the first organization to be granted
authorisation by the Reserve Bank of India under
"The Payment & Settlement Systems Act- 2007".

Market Update

For the week ended February 13, 2009

SECURITIES SEGMENT
SETTLEMENT ANALYSIS
No of Participants: 151
1)

Settlement Volume (Amt. in Rs. Million)

Average outright settlement volumes increased by 14% as compared to the previous week.
Average Repo volumes increased by 13% compared to the previous week. The highest daily settlement
volumes of Rs.164 billion for outright trades and Rs.363 billion for repo trades were recorded on
February 13, 2009.
February 13, 2009

Week Ended

February 06, 2009

2008-09
(upto Feb. 13, 2009)

2007-08
(upto Feb. 15, 2008)

Trades

Value

Trades

Value

Trades

Value

Trades

Value

Outright
Repo

6682
757

597836
1306671

5587
649

523209
1161383

221122
19987

18844172
34059126

167962
23535

14808809
34107142

Total

7439

1904507

6236

1684592

241109

52903298

191497

48915951

Daily Avg
Outright

1336

119567

1117

104642

1063

90597

767

67620

Daily Avg
Repo

126

217779

108

193564

79

134621

91

132198

INSTRUMENT WISE SETTLEMENT VOLUME

2)

Outright and Repo Trades (Amt. in Rs. Million)

The share of central government dated securities in the total outright volumes remained steady at
87% as against the previous week.
Outright

Week Ended

Repo

February 13, 2009

February 06, 2009

Central Govt.
SDL
T-Bills

518835
3380
75621

453359
546
69304

Total

597836

(86.79%)
(0.57%)
(12.65%)

February 13, 2009

February 06, 2009

966105 (73.94%)
608 (0.05%)
339958 (26.02%)

926386 (79.77%)
147 (0.01%)
234850 (20.22%)

(86.65%)
(0.1%)
(13.25%)

523209

1306671

1161383

VOLUME AND PRICE MOVEMENTS FOR OUTRIGHT TRADES

3)

Top 2 Central Government Dated Securities (Amt. in Rs. Million)

Security
Description

Value

8.24% G.S. 2018

7.46% G.S. 2017

193490
69990

% Value
to Total
37.29
13.49

As on February 13, 2009

As on February 06, 2009

Price (Rs.)

YTM (%)

Price (Rs.)

YTM (%)

114.34
106.81

6.1700
6.4110

111.89
106.33

6.5019
6.4839

CATEGORYWISE OUTRIGHT ACTIVITY

Market Share (%)

4 A) Buying
Category
Foreign Banks
Public Sector Banks
Primary Dealers
Mutual Funds
Private Sector Banks
Ins. Cos
Co-operative Banks
Others
FIs

Current
Week

Previous
week

1 month
ago

3 months
ago

6 months
ago

1 year
ago

33.30
18.78
14.84
14.64
12.48
1.97
1.97
1.12
0.90

32.56
20.30
12.02
14.11
15.75
1.56
1.76
0.36
1.59

28.41
19.37
16.46
12.27
15.03
0.77
5.76
1.89
0.04

31.48
19.12
17.24
7.65
17.38
0.60
2.72
3.36
0.44

37.42
20.52
21.33
5.25
10.62
0.19
4.41
0.03
0.21

28.71
28.12
19.75
5.26
13.45
0.16
3.32
0.01
1.22

Securities Segment

Market Update

For the week ended February 13, 2009

4 B) Selling
Category
Foreign Banks
Public Sector Banks
Primary Dealers
Private Sector Banks
Mutual Funds
Ins. Cos
Co-operative Banks
Others
FIs

Current
Week

Previous
week

1 month
ago

3 months
ago

6 months
ago

1 year
ago

30.10
21.37
18.17
16.05
9.73
2.56
1.58
0.27
0.18

32.86
15.07
19.89
17.08
11.30
1.59
1.55
0.07
0.60

30.10
19.50
19.00
15.52
9.59
0.37
5.35
0.05
0.51

32.36
20.13
20.14
13.96
6.18
0.48
2.92
0.00
3.82

35.68
12.08
27.77
15.47
4.73
0.13
3.99
0.00
0.14

30.36
24.17
21.84
14.94
4.60
0.15
3.48
0.00
0.46

CATEGORYWISE REPO ACTIVITY

Market Share (%)

5 A) Lending
Category
Mutual Funds
Ins. Cos
Foreign Banks
Private Sector Banks
FIs
Public Sector Banks
Co-op Banks
Others
Primary Dealers

Current
Week

Previous
week

1 month
ago

3 months
ago

6 months
ago

1 year
ago

70.56
11.98
8.55
4.06
2.80
1.11
0.69
0.16
0.09

70.19
8.10
11.76
6.28
2.17
0.33
0.98
0.15
0.04

59.52
3.50
10.07
14.80
2.58
8.44
0.27
0.11
0.71

58.11
0.41
12.65
25.69
0.04
0.00
0.24
0.65
2.21

68.02
11.48
11.60
5.05
0.98
0.09
0.21
0.04
2.53

61.26
3.41
31.64
1.95
0.01
0.76
0.06
0.03
0.88

Current
Week

Previous
week

1 month
ago

3 months
ago

6 months
ago

1 year
ago

46.99
33.05
19.42
0.50
0.04
0.00
0.00
0.00
0.00

47.79
30.00
22.14
0.00
0.07
0.00
0.00
0.00
0.00

53.00
22.92
24.04
0.00
0.04
0.00
0.00
0.00
0.00

36.54
36.69
26.74
0.00
0.03
0.00
0.00
0.00
0.00

28.36
40.22
29.73
1.69
0.00
0.00
0.00
0.00
0.00

39.45
32.16
23.48
4.90
0.01
0.00
0.00
0.00
0.00

5 B) Borrowing
Category
Private Sector Banks
Foreign Banks
Primary Dealers
Public Sector Banks
Co-op Banks
FIs
Ins. Cos
Mutual Funds
Others

6)

Market Share in Outright Settlement Volumes (%)

The share of the top 5 market players was lower at 25% as against 27% during the previous week.
Top 'n' Market
Players
Top
Top
Top
Top

5
10
15
20

Securities Segment

Current
Week

Previous
week

1 month
ago

3 months
ago

6 months
ago

1 year
ago

25.12
41.65
54.55
64.31

26.73
43.92
56.75
65.58

26.66
42.48
55.77
65.14

33.60
51.00
62.20
70.02

32.09
53.48
66.99
74.34

27.38
44.86
58.62
67.76

Market Update

For the week ended February 13, 2009

SECURITIES SEGMENT: TRADING ANALYSIS

7 A) Trading Platform Analysis (G-Sec) - Trading Volume (Amt. in Rs. Million)
The market share of NDS trades increased to 24% of the total G-Sec trading volumes as against 23%
during the previous week. The share of G-Sec trading on the NDS-OM platform decreased to 76% of the
total G-Sec trading volumes as against 77% during the previous week.
NDS (G-Sec)
Date

Tra- No. of
des Securities

9-Feb-09
10-Feb-09
11-Feb-09
12-Feb-09
13-Feb-09

155
115
131
167
150

Total

718

30
20
39
33
25

Value

NDS-OM (G-Sec)
Market Tra- No. of
Share des Secu(%)
rities

33029.13
11482.24
28175.34
17986.52
25857.47

35.56
15.72
32.80
13.14
25.14

894
892
824
1673
1072

116530.70

23.71

5355

29
22
20
24
23

Value

Brokered Deals (G-Sec)

Market Tra- No. of

Share des Secu(%)
rities

59841.00
61558.00
57733.54
118910.16
77000.00

64.44
84.28
67.20
86.86
74.86

67
45
62
71
56

375042.70

76.29

301

19
11
17
16
18

Value

Total (G-Sec)

Market Tra- No. of

Share des Secu(%)
rities

25176.90
7496.00
19810.00
11336.00
11665.00

27.11
10.26
23.06
8.28
11.34

1049
1007
955
1840
1222

75483.90 15.36

6073

41
28
43
41
33

Value

92870.10
73040.20
85908.80
136896.70
102857.50
491573.30

7 B) Trading Platform Analysis (T-Bills) - Trading Volume (Amt. in Rs. Million)

The market share of NDS trades increased to 51% of the total T-Bill trading volumes during the week as
against 46% during the previous week. The share of the NDS-OM platform decreased to 49% of the total
T-Bill trading volumes during the week as against 54% during the previous week.
NDS (T-Bills)

NDS-OM (T-Bills)

Date

Trades

No. of
Securities

Value

Market Tra- No. of

Share des Secu(%)
rities

9-Feb-09
10-Feb-09
11-Feb-09
12-Feb-09
13-Feb-09

18
6
15
25
15

10
4
4
4
5

8160.03
757.50
9235.00
11983.13
5140.00

60.85
10.66
67.98
45.00
56.55

20
21
13
46
18

Total

79

35275.65

50.52

118

7
5
4
9
5

Value

Brokered Deals (T-Bills)

Market Tra- No. of

Share des Secu(%)
rities

5250.00
6350.00
4350.00
14648.08
3950.00

39.15
89.34
32.02
55.00
43.45

8
3
12
2
9

34548.08

49.48

34

5
3
4
1
5

Value

Total (T-Bills)

Market Tra- No. of

Share des Secu(%)
rities

6688.83 49.88
450.00 6.33
8225.00 60.54
450.00 1.69
3840.00 42.24

38
27
28
71
33

19653.83 28.15

197

11
6
6
11
6

Value

13410.00
7107.50
13585.00
26631.20
9090.00
69823.70

7 C) When Issued Trading (Amt. in Rs. Million)

Security Description
6.05% G.S. 2019
Total

Maturity Date
2-Feb-19

Type
WI - Re Issued

Trades

Value

50

4200

50

4200

Securities Segment

Market Update

For the week ended February 13, 2009

COLLATERALISED BORROWING AND LENDING OBLIGATION (CBLO)

Number of Participants : 177
8)

Trading Volumes (Amt. in Rs. Million)

Average CBLO volumes during the week increased by around 2% as compared to the previous week.
The weighted average rates moved higher during the week, with the weighted average overnight
rates at 3.75% as against 3.68% during the previous week.
February 13, 2009
Week
Ended

Trades

Value

Overnight
Term

2156
459

1878850
327223

Total

2615
436

Average

February 06, 2009

Wtd.
Trades
Average
Rate (%)
3.75
3.79

Value

2008-09 (Upto
Feb. 13, 2009)

Wtd.
Trades
Average
Rate (%)
3.68
3.74

2007-08 (Upto
Feb. 15, 2008)

Value

Trades

Value

81738
21280

58682019
14298100

80645
16712

57083275
11619047

1862
471

1729867
430585

2206073

2333

2160451

103018

72980119

97357

68702321

367679

389

360075

407

288459

377

266288

CATEGORYWISE CBLO ACTIVITY

9 A) Lending
Category

Current
Week

Previous
week

1 month
ago

3 months
ago

6 months
ago

1 year
ago

Mutual Funds

77.04

78.39

77.99

56.35

64.36

57.87

Ins. Cos

16.79

15.77

12.89

9.57

17.10

6.76

2.07

1.63

1.61

1.78

0.92

3.21

Co-op Banks
Others

1.48

1.11

1.08

3.84

0.11

0.07

Public Sector Banks

1.37

1.35

4.32

23.89

6.67

26.83

Foreign Banks

0.68

0.03

0.43

0.42

2.87

3.42

Private Sector Banks

0.33

0.56

1.20

3.03

1.41

1.01

FIs

0.24

1.09

0.44

1.11

6.54

0.78

Primary Dealers

0.00

0.07

0.04

0.01

0.02

0.05

CBLO Segment

Market Update

For the week ended February 13, 2009

9 B) Borrowing
Category

Current
Week

Previous
week

1 month
ago

3 months
ago

6 months
ago

1 year
ago

Private Sector Banks

31.98

28.31

24.82

17.07

20.81

30.15

Public Sector Banks

29.13

33.81

40.04

34.02

38.28

37.27

Foreign Banks

20.27

20.16

16.36

24.28

13.13

8.11

Others

9.39

10.04

10.77

12.50

14.42

10.91

Primary Dealers

4.07

3.69

3.79

5.29

3.96

8.46

Co-op Banks

2.68

2.53

2.22

4.06

6.11

2.18

FIs

1.52

1.37

1.01

2.70

2.02

2.02

Mutual Funds

0.96

0.09

0.99

0.08

1.27

0.90

Ins. Cos

0.00

0.00

0.00

0.00

0.00

0.00

CBLO Segment

Market Update

For the week ended February 13, 2009

FOREX SEGMENT: SETTLEMENT ANALYSIS

No of Participants: 72
10)

Settlement Volume (Amt. in USD Million)

Forex settlement volumes during the week decreased in all the segments of the forex market.

The average daily settlement volume for the period under review was USD 7223 million. For
2008-09, the average daily volumes for Cash, Tom, Spot and Forward were USD 1551 million,
USD 2162 million, USD 8128 million and USD 4676 million, respectively.

The highest daily volumes were USD 1784 million on February 10, 2009 for Cash, USD 2333
million on February 11, 2009 for Tom, USD 3752 million on February 11, 2009 for Spot, and
USD 1344 million on February 13, 2009 for Forward segments respectively.

Week Ended

February 13, 2009

February 06, 2009

2008-09
(upto Feb. 13, 2009)

Deals

Deals

Deals

Deal Size Analysis

Value

Value

Value

2007-08
(upto Feb. 15, 2008)
Deals

Value

Cash
564
6679
674
7739
27680
313208
26020
276457
Tom
1068
8935
1316
11884
47168
436640
44236
353228
33.16%
during the18290
previous week.
of size between
5 million and
USD 101058044
million decreased
Spot
17637 Deals21360
23652 USD1199174
1641919
1361938 to
16.19%
during
the previous
Forwardas against 26.6%
364
2862
484week. 6256
206602
944495
171204
593572

During the current week, the share of deals of size greater than USD 20 million increased to 46.51% as against

Total
Average

11)

20286

36114

23834

49531

1480624

3336261

1299504

2585194

4057

7223

4767

9906

7330

16516

6130

12194

Categorywise Forex Activity

Market Share (%)
Category

12)

Buy

Sell

Cash

Tom

Spot

Forward

Foreign Banks

57.74

59.79

62.21

65.76

51.12

76.02

Public Sector Banks

28.34

26.85

28.07

23.52

31.72

13.72

Private Sector Banks

13.66

13.08

9.51

10.40

16.89

9.99

Co-operative Banks

0.25

0.25

0.17

0.29

0.26

0.26

Financial Institutions

0.01

0.02

0.05

0.02

0.00

0.00

Market Share (%)

Market share of the top players decreased to 39% as compared to 41% during the previous week.
Top n
Market Players

Week ended Week ended

Feb. 13, 2009 Feb. 06, 2009

1 month
ago

3 months
ago

6 months
ago

1 year
ago

Top 5

39.28

40.70

43.57

39.75

38.70

36.01

Top 10

61.15

62.22

66.25

61.59

62.27

59.05

Top 15

74.63

74.49

78.24

76.30

78.35

74.97

Top 20

82.79

82.54

85.02

84.04

87.15

82.83

Forex Segment

Market Update
13)

For the week ended February 13, 2009

Tenor Wise Forward Trades (Amt. in USD Million)

The share of forward trades of maturity between 90 days and 180 days decreased to 10% as against a
share of 27% during the previous week. The share of forward trades of maturity less than 30 days increased
to 53% as against a share of 27% during the previous week.

Week Ended

February 13, 2009

Tenor

Trades

February 06, 2009

Value

% Value

Trades

Value

% Value

154

1,511

53

184

1,675

27

> 30 Days & <= 90 Days

58

208

150

1,726

28

> 90 Days & <= 180 Days

56

286

10

62

1,685

27

< 30 Days

> 180 Days & <= 360 Days

66

387

14

86

1,170

19

> 1 Year

30

470

16

364

2862

100

484

6256

100

Total

Spot figures include spot leg of Swaps.

CONTINOUS LINKED SETTLEMENT (CLS)

No. of Participants: 15
14)

Settlement Volumes (Amt. in USD Million)

Average CLS settlement volumes during the week decreased by 6% as compared to the previous week.
Average CLS trades increased by 1% as compared to the previous week.
February 13, 2009

Week Ended

February 06, 2009

2008-09
(Upto February 13, 2009)

Trades

Value

Trades

Value

Trades

Value

Total

5964

7422

5882

7903

214100

444541

Average

1193

1484

1176

1581

960

1993

FOREX TRADING PLATFORM: FX-CLEAR

No of Participants: 63
15)

Trading Volume (Amt. in USD Million)

Average FX-CLEAR volumes increased by 11% during the current week. Average FX-CLEAR trades
increased by 9%.
February 13, 2009
Week Ended

Spot
Average

February 06, 2009

Trades

Value

Trades

1856
371

1012
202

1703
341

2008-09
(Upto February 13, 2009)

Value

Trades

Value

909
182

67649
322

40505
193

FOREX MARKET ACTIVITY

The rupee closed at Rs.48.72/USD on February 13, 2009 as compared with Rs.48.73/USD as on
February 06, 2009. The Rupee moved between Rs.48.6 and Rs.48.82, with a standard deviation of 8
paise during the week. Similarly during the fortnight (February 02, 2009 - February 13, 2009), the Rupee
moved between Rs.48.6 and Rs.49.01, with a standard deviation of 11 paise. The Rupee moved between
Rs.48.56 and Rs.49.19 during the last 1 month (January 19, 2009 -February 13, 2009), with a standard
deviation of 17 paise.

The six-month forward premia closed at 1.95% (annualized) on February 13, 2009 vis--vis 2.18% on
February 06, 2009.

Forex Segment

Market Update

For the week ended February 13, 2009

DERIVATIVE SEGMENT
No of Participants : 63
BENCHMARK: MIBOR
16A) Interest Rate Swaps (MIBOR) Transactions (Reported and Matched)
Date

Term

Deals

Total Notional Principal (Rs. Million)

09-Feb-09
09-Feb-09
09-Feb-09
09-Feb-09
09-Feb-09
09-Feb-09
10-Feb-09
10-Feb-09
10-Feb-09
11-Feb-09
11-Feb-09
11-Feb-09
11-Feb-09
11-Feb-09
11-Feb-09
12-Feb-09
12-Feb-09
12-Feb-09
12-Feb-09
12-Feb-09
12-Feb-09
12-Feb-09
13-Feb-09
13-Feb-09
13-Feb-09
13-Feb-09
13-Feb-09

1
2
3
4
5
10
1
2
5
3M
1
2
3
4
5
3M
1
2
3
4
5
10
3M
9M
1
2
4

7
2
1
2
6
4
18
3
9
5
3
6
13
15
11
4
10
3
2
5
10
1
1
1
17
6
11

7000
1000
500
1000
2500
1250
18500
1500
3000
7500
4050
3000
6250
7500
5300
1750
11000
1500
1000
2750
3250
500
1000
1500
27500
4500
5500

176

131600

Total

Wtg. Avg. Rate (%)

3.8771
4.0875
4.3000
4.6100
4.8130
5.5620
3.8235
4.0583
4.8163
3.8053
3.8500
4.0633
4.2752
4.5780
4.8061
3.8629
3.8091
4.0467
4.2700
4.5173
4.7212
5.5000
3.9000
3.7600
3.7722
4.0711
4.5105

16B) Interest Rate Swaps (INBMK) Transactions (Reported and Matched)

Date

Term

Deals

Total Notional Principal (Rs. Million)

Wtg. Avg. Rate (%)

09-Feb-09
12-Feb-09

10
3

3
2

1000
1000

5.9125
5.4350

2000

Total

Derivative Segment

10

Market Update
17)

For the week ended February 13, 2009

Interest Rate Swap (MIBOR) Market Share (Amount in Rs. Million and Share in %)
Buy

CATEGORY

Deals Market
Share

Foreign Banks

161

Notional
Amount

91.48 120850.00

Sell
Market Deals Market
Share
Share

91.83

164

Total

Notional
Amount

Market Deals
Share

93.18 127100.00

96.58

325

Market
Share

Notional
Amount

92.33 247950.00

Market
Share

94.21

Nationalized Banks

2.27

1000.00

0.76

1.70

750.00

0.57

1.99

1750.00

0.66

Primary Dealers

2.27

5000.00

3.80

2.27

1750.00

1.33

2.27

6750.00

2.56

Private Banks

3.98

4750.00

3.61

2.84

2000.00

1.52

12

3.41

6750.00

2.56

176 100.00 131600.00 100.00

176

100.00 131600.00 100.00

352

100.00

263200.00

100.00

Total

18)

TOP "N" Market Share in MIBOR SWAPS

Top N Market Players

Market Share (%)

Top 1
Top 5
Top 10

20.55
69.41
93.64

BENCHMARK: MIFOR
19)

Interest Rate Swaps (MIFOR) Transactions (Reported and Matched)

Date

Deals

Total Notional Principal (Rs. Million)

Wtg. Avg. Rate (%)

09-Feb-09

1215

5.5500

10-Feb-09

500

3.6900

10-Feb-09

500

4.2300

11-Feb-09

500

4.3000

11-Feb-09

10

250

6.5000

12-Feb-09

2500

4.6240

12-Feb-09

250

5.8000

13-Feb-09

500

4.7500

13-Feb-09

1000

5.1625

13-Feb-09

840

5.5250

20

8055

Total

11

Term

Derivative Segment

Market Update
20)

For the week ended February 13, 2009

Interest Rate Swap (MIFOR) Market Share (Amount in Rs. Million and Share in %)
Buy

CATEGORY

Deals Market
Share

Sell

Notional
Amount

Market Deals Market

Share
Share

Total

Notional
Amount

Market Deals
Share

Market
Share

Notional
Amount

Market
Share

Foreign Banks

19

95.00

7555.00

93.79

19

95.00

7555.00

93.79

38

95.00

15110.00

93.79

Private Banks

0.00

0.00

0.00

5.00

500.00

6.21

2.50

500.00

3.10

Nationalized Banks

5.00

500.00

6.21

0.00

0.00

0.00

2.50

500.00

3.10

8055.00 100.00

20

100.00

8055.00 100.00

40

100.00

16110.00

100.00

Total

21)

20 100.00

TOP "N" Market Share in MIFOR SWAPS

Top N Market Players

Market Share (%)

Top 1

29.48

Top 5

78.49

Top 10

98.45

eNOTICE

No. of eNotices received during the week February 07, 2009 to February 13, 2009 was 146 as compared
to 186 in the previous week.

Highest number of eNotices received in one day was 44 on February 13, 2009.

INTEREST RATES
HIGHLIGHTS

Zero coupon yields have moved to higher levels in the medium to long term as compared to the yields
prevailing as on last Friday, i.e. February 06, 2009. In the short to medium term yields however moved to
marginally lower levels.

The 1-10 year YTM spreads increased by 6 bps to 169 bps. The yield of the benchmark 10 year security 6.05% G.S. 2019 was at 5.8841% as against 5.7914% during the previous week.

Interest Rates

12

Market Update

22)

For the week ended February 13, 2009

Yield Movement in G-Sec Market

Yield (%)
Tenor

Current Week

Previous Week

Fortnight

Month

6 Months

Year

1 year

4.5570

4.5990

4.6383

4.6798

9.3044

7.3536

5 year

5.7844

5.8424

5.9057

5.7444

9.1095

7.4441

10 year

6.2445

6.2221

6.0956

5.6532

9.0354

7.4958

MARKET ANALYSIS
23 A) GOI BORROWING PROGRAM - 2008-09
Particulars
Budgeted Borrowings

2981540.00

Gross Borrowing Completed

2511674.50

Dated Securities

2150000.00

364 Day T-Bills

361674.50

% Completed
Balance Borrowing
Net Borrowing till date

13

(Rs. Mn.)

84.24
469865.50
1606970.00

Interest Rates

Market Update

For the week ended February 13, 2009

23 B) BORROWINGS UNDER MSS - 2008-09

Particulars

Amt. (Rs. Mn.)

Outstanding Ceiling

Issues*

Amt
(Rs. Mn.)

2500000.00

Gross Borrowing Completed

Dated Securities

Redemptions*

Amt.
(Rs. Mn.)

364-day T-Bill

20000.00

Total

20000.00

-40442.20
-365442.20

91 Day T Bill

165000.00

182 Day T Bill

70000.00

364 Day T-Bills

90000.00

Total Outstanding

1037727.80

Outstanding as % of Ceiling

41.51

*During the week.

24)

INVESTMENT ACTIVITY OF BANKS AND PRIMARY DEALERS DURING THE WEEK (Amount in Rs. Mn.)
Buy

Sell

Security

Banks*

Primary
Dealers

Banks*

Primary
Dealers

G-Secs
Special Securities
Treasury Bills
State Development Loans

330851
9517
42247
878

77589
925
2286
682

328825
7967
53005
1697

83476
5522
16019
618

Net Activity
Banks*
Primary
Dealers
2026
1550
-10757
-819

-5887
-4598
-13734
64

*Includes Banks cum Primary Dealers

25)

LIQUIDITY MONITOR (Amt. in Rs. Million)

Outflows
91-day T-Bill
364-day T-Bill
6.05% G.S. 2019
6.83% G.S. 2039

Interest Rates

Value
50005.00
30000.00
60000.00
20000.00

Inflows
FRB 2011 (Coupon)
FRB 2015 (II) (Coupon)
NAT BK'S(NT) SPL SEC 2015 (Coupon)
10.47% G.S. 2015 (Coupon)
11.43% G.S. 2015 (Coupon)
10.03% G.S. 2019 (Coupon)
8.20% OMC GOI SB 2024 (Coupon)
8.23% GOI FCI SB 2027 (Coupon)
7.50% G.S. 2034 (Coupon)
9.40% SDL 2009 (1 State) (Coupon)
11.70% SDL 2010 (2 States) (Coupon)
11.80% SDL 2010 (2 States) (Coupon)
12.50% SDL 2009 (3 States) (Redemption)
91-day T-Bill (Redemption)
364-day T-Bill (Redemption)

Value
2850.00
2961.00
280.00
3366.11
6858.00
3009.00
2050.00
2551.30
13875.00
117.50
333.45
383.50
9031.25
57530.00
35037.00

14

Market Update
26)

For the week ended February 13, 2009

KEY DOMESTIC RATE (%)

The cut-off yield in 91-day T-Bill auction moved lower to 4.7895% as against 4.8306% during the previous
week. The cut-off yield in 364-day T-Bill auction moved lower to 4.5822% as against 4.5932% during the
previous week.
Market

Current

Previous Year

Bank rate

6.00

6.00

6.00

CRR

5.00

5.00

7.50

RBI-LAF Repo Rate

5.50

5.50

7.75

RBI-LAF Reverse Repo Rate

4.00

4.00

6.00

5.00 - 8.30

5.00 - 8.25

6.90 - 9.46

91 Day T Bill

4.7895

4.8306

7.2689

364 Day T Bill

4.5822

7.4780

182 Day T Bill

4.7002

Term Money Rate

27)

Previous

MARKET TRENDS
The weighted average rates in all the three segments of the money market remained volatile during
the week.
Wt. Avg. Rates (%)

Date

Call

07-02-09
09-02-09
10-02-09
11-02-09
12-02-09
13-02-09

3.85
4.00
3.98
3.99
3.96
3.91

NDS- Repo CBLO

Call

4.09
4.12
4.13
4.11
4.10
4.10

2.60
3.91
3.95
3.96
3.98
4.01

3.48
3.69
3.76
3.78
3.81
3.79

Spread (%)

Volumes (Rs. Bn.)

NDS NDS LAFLAFCall Call Reverse Repo

Repo CBLO Repo
1.49
0.22
0.18
0.16
0.12
0.09

0.60
0.43
0.38
0.33
0.29
0.31

0.00
452.35
458.65
458.45
544.10
515.80

0.00
0.00
0.00
0.00
0.00
9.00

Outright

Forex**

Repo

CBLO

0.00
147.09
105.91
80.69
100.38
163.76

0.00
6.69
7.70
7.65
6.42
7.65

0.17
244.37
233.26
228.99
236.41
363.48

49.53
441.42
442.51
466.84
476.89
328.88

Call* NDSCall*

3.53
130.01
137.94
131.56
125.43
161.59

2.95
109.51
113.08
105.64
108.79
147.52

Share
of
NDSCall
(%)***
83.67
84.23
81.98
80.29
86.74
91.29

* Volumes include Notice Money

** Volumes in USD Bn.
***Share of NDS-Call in Call segment

15

Interest Rates

Market Update
28)

For the week ended February 13, 2009

MACRO ECONOMIC INDICATORS

Indicators

Curr. Period

Value

Prev. Period

7.60%

Value

GDP (%)

July - September 08-09

April - June 08-09

7.90%

IIP (%)

Dec-08

-2.00%

Dec-07

8.00%

Fiscal Deficit (Rs. Mn.)

Dec-08

M3 Growth (%)

January 30, 2009

2182620
13.70%

Dec-07
January 16, 2009

420470*
12.70%

Forex Reserves (USD bn.)

February 6, 2009

251.53

January 30, 2009

248.61

Inflation (%)

January 31, 2009

4.39%

January 24, 2009

5.07%

SCB Gov. Sec. Invst. (Rs. Mn.) January 30, 2009

11483800

January 16, 2009

11228200

Non-Food Credit (Rs. Mn.)

January 30, 2009

25908170

January 16, 2009

25954650

Aggregate Deposits (Rs. Mn.)

January 30, 2009

36688010

January 16, 2009

36300790

Credit - Deposit Ratio (%)

January 30, 2009

71.86%

January 16, 2009

72.87%

*Excluding acquisition cost of RBI stake in SBI (Rs.35,531 crores).

29)

KEY INTERNATIONAL RATES (%)

Market

Current

Previous

Previous year

0.00 - 0.25

0.00 - 0.25

3.00

European Central Bank (Repo rate)

2.00

2.00

4.00

Bank of England (Repo Rate)

1.00

1.00

5.25

Reserve Bank of Australia

3.25

3.25

7.00

Bank of Canada

1.00

1.00

4.00

Bank of Japan

0.10

0.10

0.50

Reserve Bank of New Zealand

3.50

3.50

8.25

USD Libor (3 Months)

1.23

1.24

3.07

USD Libor (6 Months)

1.72

1.77

2.96

US Government 30 Year Bond - Yield

3.49

3.65

4.59

US Government 10 Year Bond - Yield

2.78

2.90

3.76

UK Government 30 Year Bond - Yield

4.08

4.25

4.52

UK Government 10 Year Bond - Yield

3.48

3.67

4.60

Japanese Government 30 Year Bond - Yield

1.92

1.98

2.35

Japanese Government 10 Year Bond - Yield

1.27

1.34

1.46

German Government 30 Year Bond - Yield

3.72

3.90

4.49

German Government 10 Year Bond - Yield

3.08

3.32

3.96

Australian Government 10 Year Bond - Yield

4.20

4.44

6.33

Canadian 10 Year Bond

2.90

2.97

3.83

US Fed Funds Rate

Disclaimer : This document contains information relating to the operations of The Clearing Corporation of India Ltd. (CCIL), its Members and the Reserve Bank of India. While
CCIL has taken every care to ensure that the information and/or data provided are accurate and complete, CCIL does not warrant or make any representation as to the accuracy
and completeness of the same. Accordingly, CCIL assumes no responsibility for any errors and omissions in any section or sub-section of this document.
CCIL shall not be liable to any member or any other person for any direct, consequential or other damages arising out of the use of this document.
Published by Economic Research Department, CCIL. Suggestions and feedback are welcome at 5th, 6th, & 7th Floor, Trade World, C Wing, Kamala City,
S. B. Marg, Lower Parel (W), Mumbai - 400 013.Tel.: 24928155, 56639200, E-mail : res_sur@ccilindia.co.in Website : www.ccilindia.com

Interest Rates

16