Wholesale Debt

Market Segment 5
86
 Wholesale Debt Market Segment
5
The Exchange started its trading operations in June 1994 by enabling the Wholesale Debt Market
(WDM) segment of the Exchange. This segment provides a trading platform for a wide range of
fixed income securities that includes Central government securities, treasury bills (T-bills), state
development loans (SDLs), bonds issued by public sector undertakings (PSUs), floating rate bonds
(FRBs), zero coupon bonds (ZCBs), index bonds, commercial papers (CPs), certificates of deposit
(CDs), corporate debentures, SLR and non-SLR bonds issued by financial institutions (FIs), bonds
issued by foreign institutions and units of mutual funds (MFs).

To further encourage wider participation of all classes of investors, including the retail investors,
the Retail Debt Market segment (RDM) was launched on January 16, 2003. This segment provides
for a nation wide, anonymous, order driven, screen based trading system in government securities.
In the first phase, all outstanding and newly issued central government securities were traded in
the retail debt market segment. Other securities like state government securities, T-bills etc. will
be added in subsequent phases.

Trading Mechanism
The WDM trading system, known as NEAT (National Exchange for Automated Trading), is a fully
automated screen based trading system that enables members across the country to trade
simultaneously with enormous ease and efficiency. It supports an anonymous order driven market
which operates on a price/time priority and provides tremendous flexibility to users in terms of
orders with various time/price/quantity related conditions that can be placed on the system. It
also provides on-line market information like total order depth, best buys and sells available,
quantity traded, the high, low and last traded price for securities are available at all points of
time.

The WDM Trading system provides two market sub-types: continuous market and negotiated
market. In the continuous market, the buyer and seller do not know each other and they put their
best buy/sell orders, which are stored in order book with price/time priority. If orders match, it
results into a trade. The trades in WDM segment are settled directly between the participants,
who take an exposure to the settlement risk attached to any unknown counter-party. In the NEAT-
WDM system, all participants can set up their counter-party exposure limits against all probable
counter-parties. This enables the trading member/participant to reduce/ minimize the counter-
party risk associated with the counter-party to trade. A trade does not take place if both the buy/
sell participants do not invoke the counter-party exposure limit in the trading system.

In the negotiated market, the trades are normally decided by the seller and the buyer outside
the exchange, and reported to the Exchange through a trading member for approval. Thus, deals
negotiated or structured outside the exchange are disclosed to the market through NEAT-WDM
system. In negotiated market, as buyers and sellers know each other and have agreed to trade, no
counter-party exposure limit needs to be invoked.

87
 Market Performance
Turnover

The trading volume on the WDM Segment of the Exchange witnessed a year on year
increase of 67.00% from ` 335,952 crore (US $ 65,937 million) during 2008-09 to
` 563,816 crore (US $ 124,904 million) during 2009-10. The average daily trading volume also
accelerated from ` 1,412 crore (US $ 277 million) during 2008-09 to ` 2,359 crore (US $ 523 million)
in fiscal 2009-10. The highest recorded WDM trading volume of ` 13,912 crore ( US $ 3,206 million)
was registered on August 25, 2003. The business growth of the WDM segment is presented in Table
5-1 and Chart 5-1.

Chart 5-1 : Business Growth of WDM Segment

The transactions in government securities accounted for a substantial share of 58.15 % during
2009-10 on the WDM segment. The details of transactions in different securities are presented
in Table 5-2. and Chart 5-2a There were no repo transactions recorded from the fiscal 2005-06
onwards till 2009-10.

The participant-wise distribution of WDM trades is presented in Table 5-3 and Chart 5-2(b). The
trading members accounted for 49.23 % of the total WDM trades followed by foreign banks which
held a share of 23.67 %. Share of Indian banks in WDM trades increased to 19.84 % during 2009-10
as compared with its share of 18.11 % in the corresponding period last year.

88
 Chart 5-2 (a) : Security-wise Distribution of WDM Trades (2009-10)

Chart 5-2 (b) : Participant-wise distribution of WDM trades (2009-10)

The share of top ‘N’ securities/trading members/participants in turnover in WDM segment is

presented in Table 5-4. The share of top ‘5’ securities decreased from 31.31 % in 2008-09 to
24.19 % in 2009-10. The share of top ‘50’ and top ‘100’ securities accounted for 65.63% and 77.89%
respectively in the current year.

89
 Market Capitalisation

Market capitalisation of the WDM segment has witnessed an increase of 11.15 % from ` 2,848,315
crore (US $ 559,041 million) as on March 31, 2009 to ` 3,165,929 crore (US $ 701,358 million) as
on March 31, 2010. Central Government securities accounted for the largest share of the market
capitalisation with 61.61%. The details of market capitalisation of WDM securities are presented
in Table 5-5.

Transaction Charges
The Exchange has waived the transaction charges for the Wholesale Debt Market segment of the
Exchange for the period April 1, 2010 to March 31, 2011.

Settlement
NSE currently allows settlement periods ranging from same day (T+0) settlement to a maximum of
(T+2) for non-government securities while settlement of all outright secondary market transactions
in government securities was standardized to T+1. In case of repo transactions in government
securities, first leg can be settled either on T+0 basis or T+1 basis.

In case of government securities, the actual settlement of funds and securities are effected directly
between participants or through Reserve Bank of India (RBI). Trades in government securities are
reported to RBI-SGL through the Negotiated Dealing System (NDS) of RBI, and Clearing Corporation
of India Limited (CCIL) provides settlement guarantee for transactions in government securities
including repos. The trades are settled on a net basis through the DvP-III system. In the DvP-III, the
settlement of Securities and Funds are carried out on a net basis.

For securities other than government securities and T-bills, trades are settled on a gross basis
directly between participants on delivery versus payment basis. On the scheduled settlement
date, the Exchange provides data/information to the respective member/participant regarding
trades to be settled on that day with details like security, counter party and consideration.

The settlement details for non-government securities, i.e. certificate no., Cheque no., constituent
etc. are reported by the member/participant to the Exchange.

The Exchange closely monitors the settlement of transactions through the reporting of settlement
details by members and participants. In case of deferment of settlement or cancellation of trade,
participants are required to seek prior approval from the Exchange. For any dispute arising in
respect of the trades or settlement, the exchange has established arbitration mechanism for
resolving the same.

FIMMDA-NSE MIBID/MIBOR
A reference rate is an accurate measure of the market price. In the fixed income market, it is
an interest rate that the market respects and closely matches. On these lines, NSE has been
computing and disseminating the NSE Mumbai Inter-bank Bid Rate (MIBID) and NSE Mumbai Inter-
bank Offer Rate (MIBOR) for the overnight money market from June 15, 1998, the 14-day MIBID/
MIBOR from November 10, 1998, the 1 month and 3 month MIBID/MIBOR from December 1, 1998
and the 3 day MIBID/MIBOR from, from June 06, 2008 which is calculated and disseminated on
every last working day of the week. In view of the robust methodology of computation of these

90
rates and their extensive use by market participants, these have been co-branded with Fixed
Income and Money Market Dealers Association (FIMMDA) from March 4, 2002. These are now known
as FIMMDA-NSE MIBID/MIBOR. These are presented in Table 5-6. The Chart 5-3 presents overnight
MIBID/MIBOR for 2009-10.

Chart 5-3 : Overnight MIBID/MIBOR Rates, 2009-10 -

from 2 April 2009 to 31st March 2010

FIMMDA-NSE MIBID/MIBOR are based on rates polled by NSE from a representative panel of 33
banks /primary dealers. Overnight Rates for saturdays is calculated and disseminated at 1030Hrs
(IST). The 3 day rates are polled and processed on the last working day of the week. The rates
are broadcast through NEAT-WDM trading system immediately on release and also disseminated
through websites of NSE and FIMMDA , through leading information vendors ,financial dailies and
email.

The FIMMDA-NSE MIBID/MIBOR is used as a benchmark rate for majority of deals struck for interest
rate swaps, forward rate agreements, floating rate debentures and term deposits.

Zero Coupon Yield Curve

Keeping in mind the requirements of the banking industry, financial institutions, mutual funds,
insurance companies, etc. that have substantial investment in sovereign papers, NSE disseminates
a ‘Zero Coupon Yield Curve’ (NSE Zero Curve) to help in valuation of securities across all maturities
irrespective of its liquidity in the market. This product has been developed by using Nelson-Siegel
functional form to estimate the term structure of interest rate at any given point of time and been
successfully tested by using daily WDM trades data. This is being disseminated daily.

The ZCYC depicts the relationship between spot interest rates in the economy and the associated
term to maturity. It provides daily estimates of the term structure of interest rates using
information on secondary market trades in government securities from the WDM segment. The
term structure forms the basis for the valuation of all fixed income instruments. Modelled as a

91
 series of cashflows due at different points of time in the future, the underlying price of such an
instrument is calculated as the net present value of the stream of cashflows. Each cashflow, in
such a formulation, is discounted using the interest rate for the associated term to maturity; the
appropriate rates are read off the estimated ZCYC. Once estimated, the interest rate-maturity
mapping is used to compute underlying valuations even for securities that do not trade on a given
day. Changes in the economy cause shifts in the term structure, changing the underlying valuations
of fixed income instruments. The daily ZCYC captures these changes, and is used to track the value
of portfolios of government securities on a day-to-day basis.

Chart 5-4 plots the spot interest rates at different maturities for the year 2009-10

Chart 5-4 : Zero Coupon Yield Curve, 2009-10

NSE-VaR System
NSE has developed a VaR system for measuring the market risk inherent in Government of India
(GOI) securities. NSE-VaR system builds on the NSE database of daily yield curves (ZCYC) and
provides measures of VaR using 5 alternative methods (variance-covariance (normal), historical
simulation method, weighted normal, weighted historical simulation and extreme value method).
Together, these 5 methods provide a range of options for market participants to choose from.

NSE-VaR system releases daily estimates of security-wise VaR at 1-day and multi-day horizons
for securities traded on WDM segment of NSE and all outstanding GoI securities with effect from
January 1, 2002. Participants can compute their portfolio risk as weighted average of security-wise
VaRs, the weights being proportionate to the market value of a given security in their portfolio.
1-day VaR (99%) measure for GoI Securities traded on NSE-WDM on March 31, 2010 is presented in
Table 5-7.

92
 GOI-Bond Index
The increased activity in the government securities market in India and simultaneous emergence
of mutual (gilt) funds has given rise to the need for a well defined Bond Index to measure returns in
the bond market. The NSE-Government Securities Index prices components off the NSE Benchmark
ZCYC, so that the movements reflect returns to an investor on account of change in interest rates
only, and not those arising on account of the impact of idiosyncratic factors. The index provides a
benchmark for portfolio management by various investment managers and gilt funds. It also forms
the basis for designing index funds and for derivative products such as options and futures. Some
of the salient features of this index are:

• The base date for the index is 1st January 1997 and the base date index value is 100

• The index is calculated on a daily basis from 1st January 1997 onwards; weekends and
holidays are ignored.

• The index uses all Government of India bonds issued after April 1992. These were issued on
the basis of an auction mechanism that imparted some amount of market-relatedness to their
pricing. Bonds issued prior to 1992 were on the basis of administered interest rates.

• Each day, the prices for all these bonds are estimated off the NSE Benchmark-ZCYC for the
day.

• The constituents are weighted by their market capitalisation.

• Computations are based on arithmetic and not geometric calculations.

• The index uses a chain-link methodology i.e. today’s values are based on the previous value
times the change since the previous calculations. This gives the index the ability to add new
issues and remove old issues when redeemed.

• Coupons and redemption payments are assumed to be re-invested back into the index in
proportion to the constituent weights.

• Both the Total Returns Index and the Principal Returns Index are computed.

• The indices provided are: Composite, 1-3, 3-8, 8+ years, TB index, GS index

93
94
Table 5-1 : Business Growth of WDM Segment

Month/Year All Trades Retail Trade

No. of Number Trading Volume Average Daily Trading Average Number of Trading Volume Share in Total
active of Trades Volume Trade Size Trades Trading Volume
securities
( ` cr.) ( US $ mn) ( ` cr.) ( US $ mn) ( ` cr.) ( ` cr.) ( US $ mn) (%)
1994- 95 (June- 183 1,021 6,781 – 30 – 6.64 168 31.00 – 0.45
March)
1995-96 304 2,991 11,868 – 41 – 3.97 1,115 207.00 – 1.74
1996-97 524 7,804 42,278 – 145 – 5.42 1,061 201.00 – 0.47
1997-98 719 16,821 111,263 – 385 – 6.61 1,390 288.66 – 0.26
1998-99 1,071 16,092 105,469 24,857 365 86 6.55 1,522 307.77 72.54 0.29
1999-00 1,057 46,987 304,216 69,742 1,035 237 6.47 936 217.76 49.92 0.07
2000-01 1,038 64,470 428,582 91,891 1,483 318 6.65 498 131.00 28.09 0.03
2001-02 979 144,851 947,190 194,096 3,277 672 6.54 378 110.00 22.54 0.01
2002-03 1,123 167,778 1,068,701 224,990 3,598 758 6.37 1,252 300.00 63.16 0.03
2003-04 1,078 189,518 1,316,096 303,318 4,477 1,032 6.94 1,400 331.70 69.83 0.03
2004-05 1,151 124,308 887,294 202,810 3,028 692 7.14 1,278 410.13 93.74 0.05
2005-06 897 61,891 475,523 106,596 1,755 393 7.68 892 310.00 69.49 0.07
2006-07 762 19,575 219,106 50,265 898 206 11.19 399 101.52 23.29 0.05
2007-08 601 16,179 282,317 70,632 1,138 285 17.45 211 49.00 12.26 0.02
Apr-08 122 1,016 19,893 3,904 995 195 19.58 6 2.10 0.41 0.01
May-08 137 1,200 20,656 4,054 1,033 203 17.21 3 0.35 0.07 0.00
Jun-08 190 956 18,233 3,579 868 170 19.07 106 20.30 3.98 0.11
Jul-08 127 815 18,745 3,679 815 160 23.00 10 3.39 0.67 0.02
Aug-08 75 594 11,502 2,257 605 119 19.36 16 4.98 0.98 0.04
Sep-08 124 783 19,779 3,882 989 194 25.26 12 3.43 0.67 0.02
Contd...
 Contd...
Month/Year All Trades Retail Trade
No. of Number Trading Volume Average Daily Trading Average Number of Trading Volume Share in Total
active of Trades Volume Trade Size Trades Trading Volume
securities
( ` cr.) ( US $ mn) ( ` cr.) ( US $ mn) ( ` cr.) ( ` cr.) ( US $ mn) (%)

Oct-08 126 922 19,966 3,919 1,109 218 21.66 10 2.45 0.48 0.01
Nov-08 140 1,093 23,143 4,542 1,286 252 21.17 7 2.79 0.55 0.01
Dec-08 218 2,857 46,864 9,198 2,232 438 16.40 11 6.03 1.18 0.01
Jan-09 232 2,218 45,015 8,835 2,251 442 20.30 15 4.77 0.94 0.01
Feb-09 221 1,891 42,949 8,430 2,260 444 22.71 28 5.78 1.13 0.01
Mar-09 265 1,784 49,205 9,658 2,590 508 27.58 33 7.17 1.41 0.01
2008-2009 711 16,129 335,952 65,937 1,412 277 20.83 257 64.00 12.56 0.02
Apr-09 313 2,408 45,653 10,114 2,853 632 18.96 14 5.40 1.20 0.01
May-09 270 2,089 40,266 8,920 2,013 446 19.28 8 3.60 0.80 0.01
Jun-09 243 1,948 44,568 9,873 2,026 449 22.88 26 7.50 1.66 0.02
Jul-09 272 2,582 51,222 11,347 2,227 493 19.84 80 18.38 4.07 0.04
Aug-09 274 1,583 38,232 8,470 1,912 423 24.15 86 22.96 5.09 0.06
Sep-09 275 2,301 58,674 12,998 3,088 684 25.5 266 49.12 10.88 0.08
Oct-09 266 1,875 43,731 9,688 2,302 510 23.32 284 45.02 9.97 0.10
Nov-09 279 2,564 64,999 14,399 3,250 720 25.35 253 46.42 10.28 0.07
Dec-09 201 1,735 37,567 8,322 1,789 396 21.65 382 59.48 13.18 0.16
Jan-10 265 1,957 57,036 12,635 2,852 632 29.14 433 81.54 18.06 0.14
Feb-10 260 1,455 34,800 7,709 1,832 406 23.92 195 39.28 8.70 0.11
Mar-10 320 1,572 47,068 10,427 2,353 521 29.94 208 54.13 11.99 0.11
2009-2010 1,144 24,069 563,816 124,904 2,359 523 23.42 2,235 433.00 95.92 0.08

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Table 5-2 : Security-wise Distribution of WDM Trades

Turnover (In ` Cr.) Turnover (In %)

Month & Year Government T-Bills PSU /Inst. Others Total Turnover Government T-Bills PSU /Inst. Others
Securities Bonds Securities Bonds

1994-95 (June- 3,026 2,634 824 297 6,781 44.63 38.84 12.15 4.38
March)
1995-96 7,729 2,260 1,149 729 11,868 65.13 19.04 9.69 6.14
1996-97 27,352 10,957 2,769 1,199 42,278 64.70 25.92 6.55 2.84
1997-98 84,716 18,870 4,050 3,627 111,263 76.14 16.96 3.64 3.26
1998-99 84,576 10,705 5,041 5,147 105,469 80.19 10.15 4.78 4.88
1999-00 282,891 11,013 4,867 5,445 304,216 92.99 3.62 1.60 1.79
2000-01 390,952 23,143 7,886 6,600 428,582 91.22 5.40 1.84 1.54
2001-02 902,105 25,574 10,987 8,619 947,191 95.24 2.70 1.16 0.91
2003-03 1,000,518 32,275 19,985 15,924 1,068,701 93.62 3.02 1.87 1.49
2003-04 1,218,705 55,671 27,112 14,609 1,316,096 92.60 4.23 2.06 1.11
2004-05 724,830 124,842 17,835 19,787 887,294 81.69 14.07 2.01 2.23
2005-06 345,563 105,233 12,173 12,554 475,523 72.67 22.13 2.56 2.64
2006-07 153,370 51,954 4,418 9,365 219,106 70.00 23.71 2.02 4.27
2007-08 194,347 66,062 9,232 12,676 282,317 68.84 23.40 3.27 4.49
Apr-08 13,466 3,751 1,886 790 19,893 67.69 18.85 9.48 3.97
May-08 16,293 2,365 1,201 798 20,656 78.88 11.45 5.81 3.87
Jun-08 12,026 3,145 1,654 1,407 18,233 65.96 17.25 9.07 7.72
Jul-08 13,831 3,034 553 1,326 18,745 73.79 16.19 2.95 7.07
Aug-08 8,243 2,643 377 238 11,502 71.67 22.98 3.28 2.07

Contd...
 Contd...

Turnover (In ` Cr.) Turnover (In %)

Month & Year Government T-Bills PSU /Inst. Others Total Turnover Government T-Bills PSU /Inst. Others
Securities Bonds Securities Bonds

Sep-08 12,854 5,212 939 774 19,779 64.99 26.35 4.75 3.91
Oct-08 13,859 3,836 1,887 384 19,966 69.41 19.21 9.45 1.92
Nov-08 16,526 4,960 965 693 23,143 71.41 21.43 4.17 2.99
Dec-08 32,725 6,952 5,093 2,095 46,864 69.83 14.83 10.87 4.47
Jan-09 33,734 4,251 5,160 1,870 45,015 74.94 9.44 11.46 4.15
Feb-09 27,053 8,152 5,287 2,457 42,949 62.99 18.98 12.31 5.72
Mar-09 33,677 8,522 5,006 2,000 49,205 68.44 17.32 10.17 4.06
2008-2009 234,288 56,824 30,008 14,831 335,952 69.74 16.91 8.93 4.41
Apr-09 25,184 6,971 9,215 4,284 45,653 55.16 15.27 20.18 9.38
May-09 24786 6,161 6,309 3010 40,266 61.56 15.30 15.67 7.47
Jun-09 28979 7,848 5,282 2459 44,568 65.02 17.61 11.85 5.52
Jul-09 33,609 5,824 7,798 3,992 51,222 65.61 11.37 15.22 7.79
Aug-09 20,086 5,979 7,502 4,665 38,232 52.54 15.64 19.62 12.20
Sep-09 38,351 8,094 7,857 4,372 58,674 65.36 13.79 13.39 7.45
Oct-09 23,816 8,656 6,224 5,036 43,731 54.46 19.79 14.23 11.52
Nov-09 42,052 7,472 7,940 7,534 64,999 64.70 11.50 12.22 11.59
Dec-09 24434 6,324 4,558 2251 37,567 65.04 16.83 12.13 5.99
Jan-10 31,368 10,504 7,001 8,163 57,036 55.00 18.42 12.27 14.31
Feb-10 18,063 6,990 6,322 3,425 34,800 51.90 20.09 18.17 9.84
Mar-10 17,110 12,137 10,825 6,995 47,068 36.35 25.79 23.00 14.86
2009-2010 327,837 92,961 86,833 56,185 563,816 58.15 16.49 15.40 9.97

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Table 5-3 : Participant wise Distribution of WDM Turnover

Month/Year Turnover (In ` Cr.) Turnover (In %)

Trading FIs/MFs/ Primary Indian Foreign Total Trading FIs/MFs/ Primary Indian Foreign
Members Corporates Dealers Banks Banks Turnover Members Corporates Dealers Banks Banks
1994-95 (June-
3,921 436 1 960 1,463 6,781 57.82 6.43 0.02 14.16 21.57
March)
1995-96 2,787 902 138 3,569 4,473 11,868 23.48 7.60 1.16 30.07 37.69
1996-97 9,703 1,611 2,579 12,688 15,698 42,278 22.95 3.81 6.10 30.01 37.13
1997-98 21,975 4,784 13,418 45,885 25,201 111,263 19.75 4.30 12.06 41.24 22.65
1998-99 16,327 5,200 15,441 44,424 24,079 105,469 15.48 4.93 14.64 42.12 22.83
1999-00 56,675 12,716 59,079 129,961 45,785 304,216 18.63 4.18 19.42 42.72 15.05
2000-01 99,602 17,915 94,888 143,746 72,430 428,582 23.24 4.18 22.14 33.54 16.90
2001-02 222,779 39,403 213,118 346,672 125,219 947,191 23.52 4.16 22.50 36.60 13.22
2002-03 265,145 40,290 235,435 414,336 113,496 1,068,701 24.81 3.77 22.03 38.77 10.62
2003-04 458,001 60,014 224,131 478,533 95,417 1,316,096 34.80 4.56 17.03 36.36 7.25
2004-05 301,325 45,607 164,149 265,212 111,000 887,294 33.96 5.14 18.50 29.89 12.51
2005-06 152,215 18,641 104,092 133,479 67,096 475,523 32.01 3.92 21.89 28.07 14.11
2006-07 67,660 5,916 43,427 57,033 45,070 219,106 30.88 2.70 19.82 26.03 20.57
Apr-07 5,206 319 2,902 4,811 3,921 17,159 30.34 1.86 16.91 28.04 22.85
May-07 7,140 135 1,962 4,142 4,105 17,483 40.84 0.77 11.22 23.69 23.48
Jun-07 6,600 269 2,247 4,814 3,405 17,335 38.07 1.55 12.96 27.77 19.64
Jul-07 13,604 1,150 4,149 9,272 5,640 33,815 40.23 3.40 12.27 27.42 16.68
Aug-07 9,807 606 1,633 4,087 5,298 21,431 45.76 2.83 7.62 19.07 24.72
Sep-07 7,670 338 887 3,776 4,231 16,902 45.38 2.00 5.25 22.34 25.03
Oct-07 12,380 398 1,412 6,057 5,247 25,493 48.56 1.56 5.54 23.76 20.58
Nov-07 7,347 338 1,238 3,015 5,766 17,704 41.50 1.91 6.99 17.03 32.57
Dec-07 10,639 792 2,363 8,466 10,606 32,865 32.37 2.41 7.19 25.76 32.27
Jan-08 16,154 1,226 3,004 9,429 12,911 42,724 37.81 2.87 7.03 22.07 30.22
Feb-08 7,201 757 1,863 6,047 8,175 24,044 29.95 3.15 7.75 25.15 34.00
Mar-08 3,959 273 745 3,218 7,166 15,362 25.77 1.78 4.85 20.95 46.65

Contd...
 Contd...

Month/Year Turnover (In ` Cr.) Turnover (In %)

Trading FIs/MFs/ Primary Indian Foreign Total Trading FIs/MFs/ Primary Indian Foreign
Members Corporates Dealers Banks Banks Turnover Members Corporates Dealers Banks Banks
2007-08 107,704 6,606 24,392 67,135 76,480 282,317 38.15 2.34 8.64 23.78 27.09
Apr-08 7,016 400 1,102 3,233 8,142 19,893 35.27 2.01 5.54 16.25 40.93
May-08 5,583 361 1,739 5,540 7,432 20,656 27.03 1.75 8.42 26.82 35.98
Jun-08 6,755 330 841 3,306 7,002 18,233 37.05 1.81 4.61 18.13 38.40
Jul-08 8,746 174 1,430 3,488 4,906 18,745 46.66 0.93 7.63 18.61 26.17
Aug-08 5,384 109 1,064 1,856 3,088 11,502 46.81 0.95 9.25 16.14 26.85
Sep-08 9,969 135 775 3,054 5,847 19,779 50.40 0.68 3.92 15.44 29.56
Oct-08 7,435 1,232 1,737 3,754 5,808 19,966 37.24 6.17 8.70 18.80 29.09
Nov-08 8,547 1,435 1,521 3,726 7,915 23,143 36.93 6.20 6.57 16.10 34.20
Dec-08 22,898 2,057 4,546 9,776 7,587 46,864 48.86 4.39 9.70 20.86 16.19
Jan-09 21,337 1,373 3,412 5,388 13,505 45,015 47.40 3.05 7.58 11.97 30.00
Feb-09 21,273 1,503 2,414 6,983 10,776 42,949 49.53 3.50 5.62 16.26 25.09
Mar-09 25,070 2,298 1,525 10,746 9,566 49,205 50.95 4.67 3.10 21.84 19.44
2008-09 150,014 11,408 22,106 60,851 91,573 335,952 44.65 3.40 6.58 18.11 27.26
Apr-09 23,370 1,360 2,776 7,784 10,363 45,653 51.19 2.98 6.08 17.05 22.70
May-09 19,102 1,256 1,921 7,655 10,332 40,266 47.44 3.12 4.77 19.01 25.66
Jun-09 19,904 1,319 2,362 8,290 12,693 44,568 44.66 2.96 5.30 18.60 28.48
Jul-09 21,856 1,286 2,797 12,734 12,549 51,222 42.67 2.51 5.46 24.86 24.50
Aug-09 18,443 956 1,870 8,606 8,358 38,232 48.24 2.50 4.89 22.51 21.86
Sep-09 23,839 1,637 2,464 15,848 14,886 58,674 40.63 2.79 4.20 27.01 25.37
Oct-09 23,864 1,067 1,754 7,001 10,045 43,731 54.57 2.44 4.01 16.01 22.97
Nov-09 31,583 1,820 3,380 13,578 14,638 64,999 48.59 2.80 5.20 20.89 22.52
Dec-09 20,519 1,345 2,006 8,456 5,241 37,567 54.62 3.58 5.34 22.51 13.95
Jan-10 31,604 810 1,101 8,932 14,590 57,036 55.41 1.42 1.93 15.66 25.58
Feb-10 16,881 797 1,215 7,270 8,637 34,800 48.51 2.29 3.49 20.89 24.82
Mar-10 26,626 1,116 2,452 5,733 11,141 47,068 56.57 2.37 5.21 12.18 23.67
2009-2010 277,592 14,769 26,096 111,886 133,472 563,816 49.23 2.63 4.63 19.84 23.67

99
 Table 5-4 : Share of Top ‘N’ Securities/Trading Members/
Participants in Turnover in WDM Segment.

Year In Percent
Top 5 Top 10 Top 25 Top 50 Top 100
Securities
1994-95 42.84 61.05 80.46 89.81 97.16
1995-96 57.59 69.46 79.60 86.58 93.24
1996-97 32.93 48.02 65.65 78.32 90.17
1997-98 30.65 46.92 71.25 85.00 92.15
1998-99 26.81 41.89 64.30 78.24 86.66
1999-00 37.11 55.57 82.12 90.73 95.28
2000-01 42.20 58.30 80.73 89.97 95.13
2001-02 51.61 68.50 88.73 94.32 97.19
2002-03 43.10 65.15 86.91 92.74 96.13
2003-04 37.06 54.43 81.58 90.66 95.14
2004-05 43.70 57.51 71.72 80.59 89.55
2005-06 47.42 59.78 72.02 81.04 89.36
2006-07 40.90 51.29 65.82 77.15 86.91
2007-08 39.65 53.31 68.35 79.64 89.55
2008-09 31.31 43.05 60.42 72.45 83.87
2009-2010 24.19 35.14 53.05 65.63 77.89
Trading Members
1994-95 51.99 73.05 95.37 100.00 –
1995-96 44.36 68.58 96.10 100.00 –
1996-97 30.02 51.27 91.57 99.96 100.00
1997-98 27.17 47.85 83.38 99.82 100.00
1998-99 29.87 50.45 86.55 99.98 100.00
1999-00 32.38 53.41 84.46 100.00 –
2000-01 35.17 54.25 86.82 100.00 –
2001-02 35.18 58.68 88.36 100.00 –
2002-03 31.77 53.71 85.49 100.00 –
2003-04 30.72 53.01 86.71 100.00 –
2004-05 35.75 56.84 86.74 100.00 –
2005-06 39.68 60.63 89.38 100.00 –
2006-07 57.75 78.01 96.43 100.00 –
2007-08 65.32 80.24 97.60 100.00 –
2008-09 69.92 82.89 98.38 100.00 –
2009-2010 73.72 85.28 97.98 100.00 –
Participants
1994-95 18.37 27.38 38.40 42.20 –
1995-96 29.66 47.15 70.49 76.32 76.58
1996-97 25.27 44.92 67.00 76.33 77.10
1997-98 23.60 38.96 65.59 77.96 80.22
1998-99 22.47 37.39 62.79 79.27 84.51
1999-00 15.54 27.87 52.51 74.76 81.32
2000-01 17.51 28.85 50.64 69.72 76.78
2001-02 17.49 29.25 50.19 69.16 76.49
2002-03 17.27 28.29 49.22 68.14 75.20
2003-04 16.66 25.96 44.25 59.87 65.17
2004-05 16.82 28.64 47.24 61.71 66.00
2005-06 17.5 30.53 53.61 65.84 67.97
2006-07 25.85 40.65 59.99 68.17 69.09
2007-08 28.36 40.64 55.58 61.77 61.84
2008-09 24.08 38.24 51.19 55.34 55.38
2009-2010 23.40 36.87 47.64 50.77 –

100
 Table 5-5 : Market Capitalisation of WDM Securities

Month/Year Govt. PSU bonds State loans T-bills Others Total Total Govt. PSU bonds State loans T-bills Others
securities securities
( ` cr) (US $ mn) (in percent)
Jun-94 60,719 20,439 1,833 18,476 20,052 121,518 38,663 49.97 16.82 1.51 15.20 16.50
Mar-95 86,175 25,675 5,867 17,129 23,334 158,181 50,328 54.48 16.23 3.71 10.83 14.75
Mar-96 125,492 30,074 13,850 8,452 29,915 207,783 60,490 60.40 14.47 6.67 4.07 14.40
Mar-97 169,830 36,211 18,891 13,460 54,380 292,772 81,598 58.01 12.37 6.45 4.60 18.57
Mar-98 196,290 35,323 23,989 17,497 70,091 343,191 86,818 57.20 10.29 6.99 5.10 20.42
Mar-99 260,002 34,994 30,516 11,292 74,666 411,470 96,976 63.19 8.50 7.42 2.74 18.15
Mar-00 319,865 39,357 39,477 15,345 79,989 494,033 113,258 64.75 7.97 7.99 3.11 16.19
Mar-01 397,228 36,365 44,624 17,725 84,894 580,836 113,258 68.39 6.26 7.68 3.05 14.62
Mar-02 542,601 39,944 61,385 23,849 89,016 756,794 155,719 71.70 5.28 8.11 3.15 11.76
Mar-03 658,002 38,383 72,094 34,919 61,084 864,481 181,996 76.12 4.44 8.34 4.04 7.06
Mar-04 959,302 56,832 79,340 32,692 87,698 1,215,864 280,218 78.90 4.67 6.53 2.69 7.21
Mar-05 1,006,107 68,398 223,208 73,502 90,519 1,461,734 334,111 68.83 4.68 15.27 5.03 6.19
Mar-06 1,059,789 88,716 241,927 70,186 106,956 1,567,574 351,395 67.61 5.66 15.43 4.48 6.82
Mar-07 1,182,278 89,628 249,847 115,183 147,865 1,784,801 409,452 66.24 5.02 14.00 6.45 8.28
Mar-08 1,392,219 96,268 315,661 111,562 207,636 2,123,346 531,235 65.57 4.53 14.87 5.25 9.77
Apr-08 1,437,643 98,524 314,716 110,280 207,488 2,168,651 425,643 66.29 4.54 14.51 5.09 9.57
May-08 1,438,743 98,845 317,972 126,469 210,154 2,192,183 430,262 65.63 4.51 14.50 5.77 9.59
Jun-08 1,434,072 101,085 317,095 133,061 209,648 2,194,961 430,807 65.33 4.61 14.45 6.06 9.55
Jul-08 1,424,369 101,200 319,827 133,488 207,843 2,186,727 429,191 65.14 4.63 14.63 6.10 9.50
Aug-08 1,455,397 103,866 322,447 133,768 210,117 2,225,595 436,819 65.39 4.67 14.49 6.01 9.44
Sep-08 1,471,565 108,330 325,475 135,187 213,708 2,254,265 442,447 65.28 4.81 14.44 6.00 9.48

Contd...

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102
Contd...

Month/Year Govt. PSU bonds State loans T-bills Others Total Total Govt. PSU bonds State loans T-bills Others
securities securities
( ` cr) (US $ mn) (in percent)
Oct-08 1,535,826 108,922 324,218 141,680 218,959 2,329,604 457,233 65.93 4.68 13.92 6.08 9.40
Nov-08 1,621,942 111,178 332,923 146,154 230,372 2,442,569 479,405 66.40 4.55 13.63 5.98 9.43
Dec-08 1,808,270 119,165 344,721 141,888 254,872 2,668,916 523,830 67.75 4.46 12.92 5.32 9.55
Jan-09 1,848,128 129,070 364,204 145,121 265,364 2,751,888 540,115 67.16 4.69 13.23 5.27 9.64
Feb-09 1,868,684 129,609 376,820 144,336 290,538 2,809,987 551,518 66.50 4.61 13.41 5.14 10.34
Mar-09 1,849,971 129,499 422,362 147,617 298,867 2,848,315 559,041 64.95 4.55 14.83 5.18 10.49
Apr-09 1,959,534 131,993 423,688 161,591 311,526 2,988,332 662,014 65.57 4.42 14.18 5.41 10.42
May-09 1,983,740 135,139 431,371 146,531 311,626 3,008,407 666,461 65.94 4.49 14.34 4.87 10.36
Jun-09 2,034,163 136,587 436,946 145,391 322,819 3,075,905 681,414 66.13 4.44 14.21 4.73 10.50
Jul-09 2,065,255 138,718 446,610 139,816 327,377 3,117,776 690,690 66.24 4.45 14.32 4.48 10.50
Aug-09 1,898,003 144,572 457,731 137,492 332,661 2,970,459 658,055 63.90 4.87 15.41 4.63 11.20
Sep-09 1,932,681 145,624 472,392 137,580 336,139 3,024,417 670,008 63.90 4.81 15.62 4.55 11.11
Oct-09 1,961,349 151,364 486,363 133,615 340,042 3,072,733 680,712 63.83 4.93 15.83 4.35 11.07
Nov-09 1,970,002 153,577 497,652 132,538 345,444 3,099,214 686,578 63.56 4.96 16.06 4.28 11.15
Dec-09 1,979,339 155,927 509,722 134,388 350,372 3,129,747 693,342 63.24 4.98 16.29 4.29 11.19
Jan-10 1,966,140 161,856 516,934 133,224 360,024 3,138,177 695,210 62.65 5.16 16.47 4.25 11.47
Feb-10 1,956,862 163,590 530,091 133,186 369,630 3,153,360 698,573 62.06 5.19 16.81 4.22 11.72
Mar-10 1,950,436 162,979 536,996 135,696 379,823 3,165,929 701,358 61.61 5.15 16.96 4.29 12.00
 Table 5-6 : FIMMDA NSE MIBID/MIBOR Rates 2009-10

Month/Date OVERNIGHT AT 3 DAY AT 9.40 14 DAY AT 11.30 1 MONTH RATE 3 MONTH RATE
9.40 a.m. a.m. a.m. AT AT
11.30 a.m. 11.30 a.m.
MIBID MIBOR MIBID MIBOR MIBID MIBOR MIBID MIBOR MIBID MIBOR
29-Apr-09 3.24 3.31 3.25 3.31 3.43 3.87 4.06 4.42 5.18 5.64

30-May-09 3.22 3.30 3.21 3.27 3.31 3.74 3.81 4.16 4.84 5.29

30-Jun-09 3.22 3.30 3.22 3.28 3.10 3.46 3.48 3.82 4.35 4.72

31-Jul-09 3.21 3.28 3.22 3.28 3.15 3.50 3.43 3.80 4.29 4.52

31-Aug-09 3.23 3.29 3.18 3.27 3.09 3.47 3.35 3.77 4.23 4.58

29-Sep-09 3.26 3.33 3.22 3.30 3.12 3.57 3.43 3.92 4.26 4.67

31-Oct-09 3.21 3.30 3.23 3.30 3.11 3.41 3.40 3.72 4.24 4.61

30-Nov-09 3.23 3.30 3.23 3.29 3.10 3.49 3.36 3.74 4.13 4.44

31-Dec-09 3.44 3.59 3.44 3.56 3.27 3.67 3.55 3.98 4.18 4.60

30-Jan-10 3.21 3.31 3.23 3.30 3.32 3.59 3.62 3.90 4.23 4.59

26-Feb-10 3.25 3.31 3.29 3.35 3.27 3.69 3.65 4.17 4.37 4.97

31-Mar-10 5.25 5.47 5.25 5.44 3.88 4.53 4.49 5.09 5.02 5.69

Overnight : Disseminated since June 15, 1998.

3 day : disseminated since June 06, 2008 is calculated and disseminated on every last working day of
the week
The 3 day rates in the table are rates of the last working day of the week at the end of the
month
14 Day : Disseminated since November 10, 1998.
1 month : Disseminated since December 1, 1998.
3 month : Disseminated Since December 1, 1998.

Table 5-7 : 1-day Value-at-Risk (99%) for Government of India Securities

Traded as on March 31, 2010

Security Security Issue Normal Weighted Historical Weighted EVT Clean Accrued_
Type Name Name Normal Simulation Historical Price (off Interest
Simulation NSE-ZCYC)

GS CG2010 12.25% 0.31 0.584 0.398 0.508 0.337 102.279 2.9534

GS CG2010 7.55% 0.164 0.315 0.207 0.271 0.176 100.565 2.8338

GS CG2011 11.50% 0.845 1.333 1.040 0.914 0.913 108.148 1.7889

GS CG2012 7.40% 0.985 1.489 1.265 1.049 1.065 102.821 3.0422

GS CG2013 7.27% 1.108 1.669 1.340 1.133 1.12 101.313 0.5654

GS CG2016 7.02% 1.302 1.626 1.391 2.353 1.141 96.48 0.858

GS CG2016 7.59% 1.263 1.643 1.396 1.497 1.061 99.701 3.5631

TB 182D 240610 0.28 0.530 0.357 0.459 0.306 99.242 0

TB 364D 180610 0.264 0.500 0.333 0.432 0.285 99.304 0

TB 364D 250311 0.75 1.234 0.918 0.921 0.819 95.553 0

TB 91D 160410 0.062 0.120 0.082 0.104 0.067 99.876 0

TB 91D 180610 0.264 0.500 0.333 0.432 0.285 99.304 0

103
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