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Highlights for the Month of January 2011
Week I :
• The yields on the 10 year G-Sec surged during the week to 8.18 % on higher food inflation and rising US
treasury yields. In addition, concerns over government securities auction of `11,000 crores contributed to the
weak sentiments. Also, RBI buying back `10,000 Crores of securities against the announced buyback of `
12000 Crore also contributed to the fall in prices.
• Rupee closed at `45.37/$ as against the `44.81/$ previous week this fall was mainly attributed to the stocks
declined on concerns emanating over rising inflationary..
• During the Weekly T-Bill auction the 91-day cut off yield was 7.10% as against 7.19% previous week,
whereas in case of 182-day T-bill the cut-off yield was 7.30%.
• The RBI auctioned ` 4000 Cr of 7.49% GOI 2017, ` 4000 Cr of 7.80% GOI 2020 and `3000 Cr of 8.26%
GOI 2027. The cut off yields were 8.05%, 8.19% and 8.47% respectively.

Week II:
• Bond yields crawled higher in week , indicating caution ahead of headline inflation data
• The 10 year benchmark yield closed the week at 8.16%.
• Rupee ended the week at `45.30/$ after reaching upward high of ` 45.13/$ as against `45.37/$ previous
week.
• The headline inflation in December had risen to 8.43 %, up from 7.48 % in the November, mainly driven by
costly food item.
• The Government of India conducted the sale of 7.17% Government Stock 2015, 8.13% Government Stock
2022 and 8.30% Government Stock 2040 for the notified amounts of `.4000 crore, `.4000 crore and `3000
crore respectively on January14, 2011. The cut-off yields were 8.11%, 8.17% and 8.53% respectively.
• At the Weekly Treasury Bill Auction the cut off yield for 91-day T-bill was 7.14% as against 7.10% previous
week, whereas in case of 364-day T-Bill the cut off yield was 7.50% as against 7.49% at the previous auction.

Week III:
• The 10 year G-Sec yield continued to trade in the band of 8.13% - 8.24% as market participants were looking
at the policy review and inflation data to take cues from.
• Rupee closed at `45.70/$ as against the ` 45.30/$ in previous week.
• The RBI auctioned `4000 Crore 7.99% Government Stock 2017, `4000 crore 8.08% Government Stock 2022
and `3000 Crore 8.26% Government Stock 2027 on 21 January with the cut-off yield of 8.19%, 8.25% and
8.52% respectively.
• During the Weekly T-Bill auction the 91-day cut-off yield was 7.19% as against 7.14% previous week,
whereas in case of 182-day T-bill the cut-off yield was 7.45% as against 7.30% in previous auction. During
the week Eight State Government Loans were auctioned totaling to `4981.52Cr.

Week IV:
• Government bonds ended on positive note led by gains in the actively traded 12-year gilts on improved
sentiments due to RBI ‘s non aggressive rate action. The 10 year Bench Mark GS CG2020 7.80% opened at
8.21% ending at 8.11%
• The Reserve Bank of India hiked policy rates by 25 basis points each. The hike appeared out of syn with the
fairly sharp upward revision in inflation forecast for March 2011 to 7 % from 5.5%.Reverse repo was
increased to 5.50% from 5.25% and Repo rate was increased to 6.50% from 6.25%.
• Government bonds ended on positive note led by gains in the actively traded 12-year gilts on improved
sentiments due to RBI‘s non aggressive rate action. The 10 year Bench Mark GS CG2020 7.80% opened at
8.21% ending at 8.11%
• At weekly 91day T-bill auction the cut-off yields stayed firm at 7.23%as against 7.19% from the previous
week .The yield for 364 day T-bill was 7.59 percent.
• The rupee weakened by 37 paise to close at `45.95 against the US currency.

Page 1 of 19
There were no issuances of Government Stocks and T-Bills under Market Stabilization Scheme (MSS) in
January 2011.

Central Government Scheduled Borrowing:


Date of Auction Fresh/ Security Notified Multiple/ Cut-off Cut-off
Re- Amount (` in Uniform price Price yield (%)
issue Mn.) auction (`)
method
07 January 2011 Reissue GS CG2017 7.49% 40000.00 Multiple 97.25 8.05
07 January 2011 Reissue GS CG2020 7.80% 40000.00 Multiple 97.48 8.19
07 January 2011 Reissue GS CG2027 8.26% 30000.00 Multiple 98.10 8.47
14 January 2011 Reissue GS CG2015 7.17% 40000.00 Multiple 96.56 8.11
14 January 2011 Reissue GS CG2022 8.13% 40000.00 Multiple 99.66 8.17
14 January 2011 Reissue GS CG2040 8.30% 30000.00 Multiple 97.54 8.53
21 January 2011 Reissue GS CG2017 7.99% 40000.00 Multiple 99.01 8.19
21 January 2011 Reissue GS CG2022 8.08% 40000.00 Multiple 98.75 8.25
21 January 2011 Reissue GS CG2027 8.26% 30000.00 Multiple 97.70 8.52

State Government Scheduled Borrowings:


Date of Auction Fresh/ Security Notified Multiple/ Cut-off Cut-off
Re- Amount Uniform price Price yield
issue (`.in Mn.) auction (`.) (%)
method
04 January 2011 Fresh 8.38% SDL Gujarat 2021 5000.00 Multiple - 8.38
04 January 2011 Fresh 8.42% SDL Jammu & Kashmir 2021 4791.00 Multiple - 8.42
04 January 2011 Fresh 8.39% SDL Madhya Pradesh 2021 10000.00 Multiple - 8.39
04 January 2011 Fresh 8.39% SDL Punjab 2021 4000.00 Multiple - 8.39
04 January 2011 Fresh 8.39% SDL Tamil Nadu 2021 5000.00 Multiple - 8.39
18 January 2011 Fresh 8.53% SDL Andhra Pradesh 2021 10000.00 Multiple - 8.53
18 January 2011 Fresh 8.55% SDL Bihar 2021 10000.00 Multiple - 8.55
18 January 2011 Fresh 8.52% SDL Gujarat 2021 5000.00 Multiple - 8.52
18 January 2011 Fresh 8.54% SDL Maharashtra 2021 15000.00 Multiple - 8.54
18 January 2011 Fresh 8.55% SDL Manipur 2021 1500.00 Multiple - 8.55
18 January 2011 Fresh 8.55% SDL Mizoram 2021 400.00 Multiple - 8.55
18 January 2011 Fresh 8.56% SDL Uttar Pradesh 2021 5000.00 Multiple - 8.56
18 January 2011 Fresh 8.55% SDL Uttarakhand 2021 2915.20 Multiple - 8.55

Primary Yields (cut-off yields) in T-Bill auctions during the financial year are as follows:
Date of Auction 91 Day 182 Day 364 Day Date of Auction 91 Day 182 Day 364 Day

07 April 2010 3.97 - 5.06 13 April 2010 4.26 4.72 -


21 April 2010 4.17 - 5.09 28 April 2010 4.17 4.55 -
05 May 2010 4.13 - 4.91 12 May 2010 4.17 4.55 -
19 May 2010 4.22 - 4.93 26 May 2010 5.04 4.97 -
02 June 2010 5.20 - 5.22 09 June 2010 5.24 5.25 -
16 June 2010 5.37 - 5.60 23 June 2010 5.37 5.37 -
30 June 2010 5.28 - 5.65 07 July 2010 5.37 5.78 -
14 July 2010 5.41 - 5.69 21 July 2010 5.74 5.95 -
28 July 2010 5.74 - 6.30 04 August 2010 5.98 6.35 -
11 August 2010 6.15 - 6.42 18 August 2010 6.27 6.46 -
25 August 210 6.19 - 6.54 01 September 2010 6.07 6.37 -

Page 2 of 19
08 September 2010 6.03 - 6.48 15 September 2010 6.15 6.44 -
22 September 2010 6.19 - 6.70 29 September 2010 6.27 6.56 -
06 October 2010 6.40 - 6.86 13 October 2010 6.56 6.82 -
20 October 2010 6.77 - 7.09 27 October 2010 6.85 7.06 -
03 November 2010 6.77 - 7.07 10 November 2010 6.85 7.17 -
16 November 2010 6.81 - 7.20 24 November 2010 6.85 7.23 -
01 December 2010 6.94 - 7.27 08 December 2010 7.23 7.30 -
15 December 2010 7.19 - 7.34 22 December 2010 7.19 7.34 -
29 December 2010 7.19 - 7.49 05 January 2011 7.10 7.30 -
12 January 2011 7.14 - 7.50 19 January 2011 7.19 7.45 -
25 January 2011 7.23 - 7.59

Primary Yields (cut-off yields) in Cash Management Bills for the year:

Date of Auction 28 Day 35 Day Date of Auction 28 Day 35 Day

11 May 2010 - 3.87 18 May 2010 3.92 -

Foreign Institutional Investors and Mutual Funds Trends in Debt


Category Gross Purchases (` In Mn) Gross Sales (` In Mn) Net Purchases/ (Sales) (` In Mn)
FII 260784.00 159016.00 101767.00
MF 672573.00 298308.00 374266.00
(Source: SEBI

Important rates:-
Date 03-Jan-2011 31-Jan-2011
Overnight MIBOR (%) 6.76 7.00
Dollar 44.67 45.95
Euro 59.37 62.54
Date 01-Jan-2011 31-Jan-2011
Bank Rate 6.00% 6.00%
Reverse Repo Rate 5.25% 5.50%
Repo Rate 6.25% 6.50%
CRR 6.00% 6.00%
SLR 24.00% 24.00%

Business Growth on WDM Segment

Net traded value Average daily Number of Average trade


Year
` Cr.)
(` ` Cr.)
value (` trades ` Cr.)
size (`
1994-95 6781.15 30.41 1021 6.64
1995-96 11867.68 40.78 2991 3.97
1996-97 42277.59 145.28 7804 5.42
1997-98 111263.28 384.99 16821 6.61
1998-99 105469.13 364.95 16092 6.55
1999-00 304216.24 1034.75 46987 6.47
2000-01 428581.51 1482.98 64470 6.65
2001-02 947191.23 3277.48 144851 6.54
2002-03 1068701.54 3598.32 167778 6.37
2003-04 1316096.24 4476.52 189518 6.94
2004-05 887293.66 3028.31 124308 7.14
2005-06 475523.48 1754.70 61891 7.68
2006-07 219106.47 897.98 19575 11.19
2007-08 282317.02 1138.38 16179 17.45
2008-09 335951.52 1411.56 16129 20.83
Page 3 of 19
2009-10 563815.93 2359.06 24069 23.42

Net traded value Average daily Number Average trade size


Month
` Cr.)
(` ` Cr.)
value (` of trades ` Cr.)
(`
Apr-10 61824.12 3253.90 1911 32.35
May-10 73251.11 3662.56 2555 28.67
Jun-10 50142.66 2279.21 2027 24.74
Jul-10 47134.56 2142.48 1618 29.13
Aug-10 45108.46 2148.02 1945 23.19
Sep-10 45186.37 2259.32 2094 21.58
Oct-10 45912.90 2186.33 1510 30.41
Nov-10 32444.49 1622.22 1191 27.24
Dec-10 33962.07 1543.73 1561 21.76
Jan-11 45219.81 2260.99 1213 37.28

52000.00 2400.00
`.Cr.)

Avg Daily Value(`


39000.00 1800.00
Net Traded Value(`

26000.00 1200.00

(`.Cr)
(`
13000.00 600.00

0.00 0.00
Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11
Net Traded Value (` cr) Avg Daily Value (` Cr)

Graph-1: Monthly trading values on the WDM segment for last 6 months.

Movement of 10-Year Benchmark Weighted Yield (done)

GS CG2020 7.80%
8.25

8.20

8.15

8.10

8.05

Page 4 of 19
Market Composition

No. of ` in millions)
Issue Size* (` Increase /
Securities Decrease in
As on As on As on As on As on
Type of Security as on Last one
January December November March January 29,
January Year (%)
31,2011 31, 2010 30, 2010 31, 2010 2010
31, 2011
Govt. Bonds 121 22196517 22174974 21884027 19427280 19451320 14.11
State Govt. Bonds 1360 5983252 5916254 5857104 5302498 5097746 17.37
Treasury Bills 52 1267663 1261119 1176119 1375001 1347537 (5.93)
State Enterprise
Bonds 865 1920057 1897283 1865258 1619041 1604300 19.68
Financial
Institutions/ Bank
Bonds 864 2770827 2757934 2739444 2419532 2310629 19.92
Corporate Debt 1169 1648070 1584066 1563198 1334277 1241488 32.75
Supra Institutional
Bonds 1 5000 5000 5000 5000 5000 -
Local Bodies 21 31169 31169 31169 26169 26364 18.23
Total 4453 35822555 35627799 35121319 31508798 31084384 15.24
*rounded off to the nearest million.
**Debt oriented Mutual Funds not included in the above data.

Market Capitalisation as on January 31, 2011

Security Type No. of Securities Mkt Capitalisation %age of Total


` Mn.)
(`
Govt Securities 121 21802241 61.53
PSU Bonds 865 1918783 5.41
State Loans 1360 6023310 17.00
Treasury Bills 52 1245729 3.52
Local Bodies 21 31274 0.09
Fin Inst. 343 965056 2.72
Bank Bonds 521 1790696 5.05
Supranational Bonds 1 3912 0.01
Corporate Bonds 1169 1654923 4.67
Total 4453 35435924 100.00

Security wise Traded Value


Non-Repo Trades
` in Mn)
(`
Securities Jan. 11 Dec. 10 Nov. 10 2010-11* 2009-10
Central Govt Securities 249913.85 190586.21 147030.00 2614383.22 3165898.20
State Govt Securities 2179.00 2268.00 3780.20 44238.89 112475.93
Treasury Bills 102298.73 62259.98 75782.20 819242.43 929611.22
PSU Bonds 23880.00 27410.00 42852.50 484116.00 608832.00
Institutional Bonds 40700.00 33493.50 30445.00 453085.12 259496.71
Bank Bonds 8144.00 275.00 1728.00 21275.00 25045.00
Corporates 25082.50 23328.00 22827.00 365474.70 536645.25
Others - - - 50.00 155.00
Total 452198.08 339620.69 324444.90 4801865.36 5638159.31
* indicates data available till January 2011.

Page 5 of 19
Repo Trades ` in Mn)
(`
Securities Jan--11 Dec-10 2010-11 2009-10
Central Govt Securities - - - -
Treasury Bills - - - -
State Govt. Securities - - - -
Total - - - -

Security wise Traded Value:


Government securities share in the total market activity in the secondary market decreased to 55.75 % compared to
56.79%% in the previous month. The share of the Treasury Bills in January 2011 increased to 22.62%
22.62 from 18.33% in
December 2010. Institutional Bonds, Public Sector bonds, Corporate and Bank Bonds formed 9.00%,
9.00 5.28%, 5.55 %
& 1.80%% of the total share of the market activity respectively. The break up of various types of securities, in the
traded value for the month of January 2011 is given in Graph-2

WDM Security Trades for January 2011


Treasury Bills
22.62%

Institutional Bonds
9.00%

Govt Securities
Corporates
55.75%
5.55%

PSU Bonds
5.28%
Bank Bonds
1.80%
Govt Securities Treasury Bills Institutional Bonds Corporates PSU Bonds Bank Bonds
Graph-2 Security-wise
Security trade details for January 2011

Participant wise Traded Value (in %)


Investor Category Aug
Aug-10 Sep-10 Oct-10 Nov-10 Dec-10
10 Jan-11
Indian Banks 15.72 10.19 6.03 8.09 8.2
8.20 8.04
Foreign Banks 24.87 32.54 29.75 24.39 21.78 29.06
Primary Dealers 6.09 4.47 3.24 4.41 4.08 2.97
Mutual Funds/Financial Institutions 0.43 1.02 0.66 0.29 1.40 1.36
TM (Non-participant trades)/Corporates 52.89 51.78 60.32 62.82 64.54 58.57
100.00 100.00 100.00 100.00 100.00 100.00
Total
65

52

39

26

13

0
Aug-10 Sep-10 Oct-10 Nov.10 Dec-10 Jan-11

Indian Banks Foreign Banks Primary Dealers Mutual Funds/Financial Institutions TM (Non-participant trades)/Corporates

Graph-3 gives the share of various participant categories for the past six months.

Share of Top ‘N’ in Traded Value


Securities
Month & Year In %

Top 5 Top 10 Top 25 Top 50 Top 100


Apr -05 to Mar-06 47.42 59.78 72.02 81.04 89.36
Apr -06 to Mar-07 40.90 51.29 65.82 77.15 86.93
Apr -07 to Mar-08 39.65 53.31 68.35 79.64 89.55
Apr-08 to Mar-09 31.31 43.05 60.42 72.45 83.87
Apr-09 to Mar-10 24.19 35.14 53.05 65.63 77.89
Apr.10 26.53 39.48 60.13 76.38 89.89
May-10 37.51 48.19 63.52 78.29 90.88
June-10 41.17 49.80 66.03 79.26 92.00
July-10 36.35 47.03 66.30 81.02 93.20
Aug-10 38.88 50.11 66.38 79.91 93.02
Sep-10 45.07 52.93 67.62 80.02 91.44
Oct-10 37.66 50.56 68.19 82.38 93.74
Nov-10 32.29 46.07 65.88 80.90 92.73
Dec-10 35.68 47.76 66.86 80.36 92.99
Jan -11 40.04 53.58 74.28 86.58 94.67

Trading Members
Month & Year In %

Top 5 Top 10 Top 25 Top 50 Top 100


Apr -05 to Mar-06 39.68 60.63 89.38 100.00 -
Apr -06 to Mar-07 57.75 78.01 96.42 100.00 -
Apr -07 to Mar-08 65.32 80.24 97.60 100.00 -
Apr-08 to Mar-09 69.92 82.89 98.38 100.00 -
Apr-09 to Mar-10 73.72 85.28 97.98 100.00 -
Apr 10 84.29 93.86 99.71 100.00 -
May-10 74.12 86.08 99.22 100.00 -
Page 7 of 19
June-10 78.44 88.35 99.37 100.00 -
July-10 73.76 87.06 99.49 100.00 -
Aug-10 76.83 88.59 99.40 100.00 -
Sep-10 71.12 84.88 99.28 100.00 -
Oct-10 84.01 92.85 99.79 100.00 -
Nov-10 78.30 91.87 99.91 100.00 -
Dec-10 77.72 90.05 99.92 100.00 -
Jan-11 77.27 89.80 99.90 100.00 -

Participants
Month & Year In %

Top 5 Top 10 Top 25 Top 50 Top 100


Apr -05 to Mar-06 17.50 30.53 53.61 65.84 67.97
Apr -06 to Mar-07 25.85 40.65 59.99 68.17 69.09
Apr -07 to Mar-08 28.36 40.64 55.58 61.71 61.84
Apr-08 to Mar-09 24.08 38.24 51.19 55.34 55.38
Apr-09 to Mar-10 23.40 36.87 47.64 50.77 -
Apr-10 23.36 35.60 47.63 49.26 -
May-10 28.45 39.50 50.88 53.35 -
June-10 28.10 40.87 51.87 52.82 -
July-10 24.33 38.97 48.70 49.38 -
Aug-10 23.06 36.50 47.79 48.94 -
Sep-10 29.51 42.90 49.58 50.30 -
Oct-10 27.60 36.86 40.93 41.53 -
Nov-10 23.78 32.50 37.86 38.26 -
Dec-10 21.36 28.75 35.95 36.39 -
Jan-11 26.75 35.56 41.46 41.77 -

Market Share
NSE Non-Repo transactions NDS (Reporting system) Non-Repo
transactions
Volume (` Mn) Nov.10 Dec.10 Jan 11 Nov.10 Dec.10 Jan 11
Govt. Securities 150810.20 192854.21 252092.85 263746.50 286456.44 352706.54
T-Bills 75782.20 62259.98 102298.73 121812.00 100762.55 165851.58
Total 226592.40 255114.19 354391.58 385558.50 387218.99 518558.12
NSE Share (%)

Nov-10 Dec-10 Jan-11


Non Repo Non Repo Non Repo

Govt. Securities 57.18 67.32 71.47


T-Bills 62.21 61.79 61.68
Total 58.77 65.88 68.34

Page 8 of 19
Instrument wise Active Security of the month

Government securities continued to be market favorites compared to the Institutional Bonds and
Corporate debt papers. The most active security in each of these categories is presented.

Active securities instrument wise

Instrument Most active security Value No. of trades Total Traded % to Total
` mn)*
(` ` mn)
Value (` Traded Value
Central Government GF CG2020 RESET 46000.00 69 249913.85 18.41
Treasury Bills TB 91D 290411 13100.00 8 102298.73 12.81
State Government SG BIH21 8.55% 450.00 1 2179.00 20.65
PSU’s PT PFC12 7.10% 4250.00 7 23880.00 17.80
Bank Bonds BB UBI21 RESET 3039.00 2 8144.00 37.32
Corporate Debentures DB HDFC11 6.22% 5750.00 6 25082.50 22.92
Institutional Bonds ID SIDB13 6.60% 6500.00 8 40700.00 15.97
Supranational Bonds - - - - -
Municipal corporate
bonds - - - - -
* Excluding repo trades

Top 5 Securities for the month


Central Government Securities
Yield Yield VWA
Traded Value* High Low Yield
Security Description NSE Symbol `. Mn.)
(` High Price Low Price (in % ) (in % ) VWAP (in % )
GOI FLOATING RATE RESET GF CG2020
2020 RESET 46000.00 94.8400 92.5000 8.35 7.99 93.7723 8.16
GOI LOAN 7.49% 2017 GS CG2017 7.49% 39325.00 98.1000 96.6300 8.19 7.88 97.3402 8.04
GOI LOAN 8.13% 2022
(NBRECAP) GS CG2022 8.13% 39250.00 100.5300 99.1500 8.24 8.06 99.7279 8.16
GOI LOAN 8.08% 2022 (NAT
BK RE GS CG2022 8.08% 30459.65 100.1750 98.5400 8.28 8.06 99.2799 8.18
GOI LOAN 7.99% 2017 GS CG2017 7.99% 26000.00 100.9250 98.8800 8.22 7.81 99.7200 8.05
TOTAL 181034.65
* Excluding repo trades

GS CG2017 7.99%
GS CG2022 8.08%
GS CG2022 8.13%
GS CG2017 7.49%
GF CG2020 RESET

0.00 8000.00 16000.00 24000.00 32000.00 40000.00 48000.00

Trade Value (` mn.)

Top 5 Central Government Securities

State Government Securities


Traded
`
Value* (` High Yield High Yield Low VWA Yield
Security Description NSE Symbol mn) Price Low Price (in %) (in %) VWAP (in %)
SDL BIHAR 8.55% 2021 SG BIH21 8.55% 450.00 100.3300 100.3300 8.50 8.50 100.3300 8.50
SDL WEST BENGAL
7.53% 2015 SG WB15 7.53% 275.20 97.1159 97.1159 8.28 8.28 97.1159 8.28
SDL MAHARASHTRA
8.54% 2021 SG MAH21 8.54% 250.00 100.2900 100.2800 8.50 8.50 100.2880 8.50
Page 9 of 19
SDL TAMIL NADU
8.25% 2020 SG TN20 8.25% 250.00 99.1962 99.1962 8.38 8.38 99.1962 8.38
SDL ANDHRA
PRADESH 8.11% 2020 SG AP20 8.11% 250.00 98.2700 98.2700 8.38 8.38 98.2700 8.38

TOTAL 1475.20
• Excluding repo trades

SG AP20 8.11%
SG TN20 8.25%
SG MAH21 8.54%
SG WB15 7.53%
SG BIH21 8.55%

0.00 75.00 150.00 225.00 300.00 375.00 450.00


Trade Value (` mn.)

Top 5 State Government Securities

Treasury Bills
Traded Yield Yield VWA
Value* High Low High Low Yield
Security Description NSE Symbol (` mn) Price Price (in % ) (in % ) VWAP (in % )
GOI T BILL 91D-29/04/2011 TB 91D 290411 13100.00 98.3358 98.2486 7.15 7.08 98.2776 7.13
GOI T BILL 91D-08/04/2011 TB 91D 080411 12484.45 98.7554 98.2920 7.14 6.97 98.4489 7.04
GOI T BILL 91D-28/01/2011 TB 91D 280111 10000.00 99.9446 99.6157 7.00 6.35 99.7268 6.58
GOI T BILL 91D-18/02/2011 TB 91D 180211 9500.00 99.6912 99.1686 6.95 6.65 99.3252 6.82
GOI T BILL 91D15/04/2011 TB 91D 150411 7331.53 98.5013 98.2727 7.18 7.02 98.3694 7.10
TOTAL 52415.98
* Excluding repo trades

TB 91D 150411
TB 91D 180211
TB 91D 280111
TB 91D 080411
TB 91D 290411

0.00 3000.00 6000.00 9000.00 12000.00 15000.00

Trade Value (` mn.)

Top 5 Treasury Bill

Non-Government Securities
Traded Yield Yield VWA
Value Low High Low Yield
Security Description NSE Symbol ` Mn)
(` High Price Price (in % ) (in % ) VWAP (in % )
SIDBI 6.60% 2013 S-III ID SIDB13 6.60% 6500.00 99.3418 99.2543 6.95 6.91 99.2832 6.94
HDFC 6.22% 2011 (S-200 DB HDFC11
(H-004 6.22% 5750.00 98.7537 98.7457 9.52 9.52 98.7471 9.52
NHB 7% 2013 ID NHB13 7% 5500.00 98.8200 98.5700 7.62 7.50 98.6307 7.59
POWER FIN 7.10%2012( S-
67) PT PFC12 7.10% 4250.00 97.4331 97.1028 9.20 8.91 97.1447 9.17
POWER FIN 7.89% 2012
(S-69) PT PFC12 7.89% 4000.00 98.0426 97.9696 9.20 9.15 98.0030 9.18
TOTAL 26000.00

Page 10 of 19
PT PFC12 7.89%

PT PFC12 7.10%

ID NHB13 7%

DB HDFC11…

ID SIDB13 6.60%

0 1350 2700 4050 5400 6750


Trade Value (` mn.)
Top 5 Non-Government Securities

Most Active Security in a Maturity Basket


Central Government Securities
Traded Yield Yield VWA
Value No. of High Low (in Yield (in
Maturity NSE Symbol ` Mn)*
(` trades High Price Low Price (in %) %) VWAP %)
0-1 yr GS CG2011 9.39% 6220.00 7 100.9600 100.8205 7.46 7.27 100.9117 7.35
1-2 yr GS CG2012 7.40% 6850.00 16 100.0600 99.6249 7.70 7.34 99.8477 7.51
2-3 yr GS CG2013 7.27% 2050.00 3 99.2000 98.8300 7.77 7.60 99.0890 7.65
3-4 yr GS CG2014 6.72% 600.00 1 96.8500 96.8500 7.89 7.89 96.8500 7.89
4-5 yr GS CG2015 7.17% 13700.00 46 97.5400 96.3900 8.16 7.83 97.2121 7.93
5-6 yr GS CG2016 7.02% 2900.00 4 95.7500 95.1200 8.12 7.97 95.4178 8.05
6-7 yr GS CG2017 7.49% 39325.00 61 98.1000 96.6300 8.19 7.88 97.3402 8.04
7-8 yr - - - - - - - - -
8-9 yr - - - - - - - - -
9-10 yr GF CG2020 RESET 46000.00 69 94.8400 92.5000 8.35 7.99 93.7723 8.16
10-11 yr - - - - - - - - -
11-12yr GS CG2022 8.13% 39250.00 132 100.5300 99.1500 8.24 8.06 99.7279 8.16
12-13yr - - - - - - - - -
13-14yr GS CG2024A 8.20% 340.00 4 98.8000 97.9808 8.45 8.35 98.5520 8.38
14-15 yr - - - - - - - - -
15 yrs & above GS CG2027 8.26% 5100.00 61 99.1400 97.5500 8.54 8.36 97.9747 8.49
* Excluding repo trades

Treasury Bills
Traded Yield Yield VWA
Value `
(` No. of High Low High (in Low (in Yield
Maturity NSE Symbol Mn)* trades Price Price %) %) VWAP (in %)
0-30 days TB 91D 280111 10000.00 9 99.9446 99.6157 7.00 6.35 99.7268 6.58
30-60 days TB 91D 180211 9500.00 11 99.6912 99.1686 6.95 6.65 99.3252 6.82
60-90 days TB 91D 040311 5845.70 18 99.3616 98.9049 7.49 6.68 99.0349 6.80
90-120 days TB 91D 290411 13100.00 8 98.3358 98.2486 7.15 7.08 98.2776 7.13
120-180 days TB 364D 030611 1055.00 3 97.6181 97.2566 7.30 7.15 97.3617 7.27
180-240 days TB 182D 080711 3000.00 1 96.5985 96.5985 7.18 7.18 96.5985 7.18
240-300 days TB 364D 211011 100.00 1 94.7168 94.7168 7.35 7.35 94.7168 7.35
>300 days TB 364D 130112 4780.00 1 93.1721 93.1721 7.43 7.43 93.1721 7.43
• Excluding repo trades

Non-Government Securities
Traded Yield VWA
Value No. of High (in Yield Low Yield
Maturity NSE Symbol ` Mn)
(` trades High Price Low Price %) (in %) VWAP (in %)
0-1 yr DB HDFC11 6.22% 5750.00 6 98.7537 98.7457 9.52 9.52 98.7471 9.52
1-2 yr PT PFC12 7.10% 4250.00 7 97.4331 97.1028 9.20 8.91 97.1447 9.17
2-3 yr ID SIDB13 6.60% 6500.00 8 99.3418 99.2543 6.95 6.91 99.2832 6.94
3-4 yr DB TML14 2% 800.00 7 108.9426 108.2881 9.04 8.74 108.4883 8.93

Page 11 of 19
4-5 yr PT PFC15 8.70% 550.00 6 98.5468 98.1883 9.20 9.09 98.4019 9.13
5-6 yr PT IOC16 10.70% 250.00 1 106.4608 106.4608 9.21 9.21 106.4608 9.21
6-7 yr PT PGC17 8.80% 150.00 1 98.9816 98.9816 8.99 8.99 98.9816 8.99
7-8 yr PT PGC18A 8.84% 500.00 4 99.9382 99.5194 8.91 8.83 99.7288 8.87
8-9 yr PT PGC19A 8.84% 1100.00 5 99.9936 99.2474 8.95 8.82 99.5798 8.89
9-10 yr PT IRFC20 8.50% 450.00 4 98.4013 97.9487 8.82 8.74 98.0055 8.81
10-11 yr BB UBI21 RESET 3039.00 2 100.0294 99.6696 8.98 8.93 99.6755 8.98
11-12yr BB PNB22 RESET 150.00 2 102.0965 101.9303 9.07 9.05 102.0411 9.05
12-13yr - - - - - - - - -
13-14yr - - - - - - - -
14-15 yr ID IDFC25C 8.80% 50.00 1 97.1750 97.1750 9.14 9.14 97.1750 9.14
above 15 yr - - - - - - - -
Total Active Securities in a Maturity Basket

Central Government Securities


Traded
Value No. of No of Yield High Yield Low
Maturity ` Mn)*
(` trades Securities (in %) (in %)
0-1 yr 7515.00 12 3 7.53 7.27
1-2 yr 9910.00 23 5 7.80 7.34
2-3 yr 2300.00 4 2 7.95 7.60
3-4 yr 880.20 3 3 8.04 7.89
4-5 yr 14686.00 49 3 8.20 7.83
5-6 yr 2900.00 4 1 8.12 7.97
6-7 yr 73725.00 128 3 8.22 7.81
7-8 yr - - - - -
8-9 yr - - - - -
9-10 yr 59558.00 131 3 8.35 7.99
10-11 yr - - - - -
11-12yr 70159.65 238 3 8.28 8.06
12-13yr - - - - -
13-14yr 440.00 6 2 8.51 8.35
14-15 yr - - - - -
15 yr & above 7840.00 81 6 8.56 8.36

Total 249913.85 679 34


* Excluding repo trades

Treasury Bills
Traded
Value No of Yield High Yield Low
Maturity ` Mn)*
(` No. of trades Securities (in %) (in %)
0-30 days 10050.00 10 2 7.00 6.35
30-60 days 13839.00 21 6 6.95 6.59
60-90 days 17148.75 41 5 7.49 6.68
90-120 days 44475.98 74 9 7.21 6.97
120-180 days 2155.00 9 3 7.35 7.10
180-240 days 6270.00 8 4 7.45 7.18
240-300 days 100.00 1 1 7.35 7.35
>300 days 8260.00 7 4 7.50 7.40
Total 102298.73 171 34
• Excluding repo trades

Page 12 of 19
FIMMDA-NSE MIBID MIBOR
OVERNIGHT 3 DAY 14 DAY 1 MONTH 3 MONTH
Date MIBID MIBOR MIBID MIBOR MIBID MIBOR MIBID MIBOR MIBID MIBOR
03-Jan-11 6.69 6.76 - - 7.19 7.51 7.98 8.42 8.5 8.96
04-Jan-11 6.56 6.64 - - 7.18 7.53 8.00 8.35 8.62 9.03
05-Jan-11 6.31 6.40 - - 7.20 7.51 7.91 8.27 8.67 9.05
06-Jan-11 6.30 6.36 - - 7.18 7.51 7.91 8.34 8.65 9.01
07-Jan-11 6.30 6.38 6.29 6.38 7.13 7.46 7.75 8.17 8.54 8.88
10-Jan-11 6.28 6.34 - - 7.15 7.46 7.78 8.13 8.52 9.01
11-Jan-11 6.28 6.34 - - 7.14 7.49 7.73 8.13 8.54 8.97
12-Jan-11 6.28 6.34 - - 7.12 7.44 7.73 8.13 8.55 9.03
13-Jan-11 6.27 6.34 - - 7.15 7.47 7.74 8.16 8.71 9.08
14-Jan-11 6.31 6.39 6.32 6.40 7.14 7.56 7.73 8.17 8.69 9.13
17-Jan-11 6.65 6.72 - - 7.13 7.58 7.74 8.20 8.7 9.16
18-Jan-11 6.68 6.76 - - 7.13 7.57 7.74 8.17 8.69 9.11
19-Jan-11 6.67 6.73 - - 7.16 7.58 7.77 8.21 8.85 9.19
20-Jan-11 6.64 6.72 - - 7.13 7.57 7.75 8.17 8.77 9.16
21-Jan-11 6.66 6.73 6.66 6.73 7.09 7.53 7.73 8.18 8.75 9.20
24-Jan-11 6.65 6.72 - - 7.12 7.56 7.72 8.17 8.77 9.20
25-Jan-11 6.70 6.77 - - 7.16 7.61 7.76 8.23 8.84 9.27
27-Jan-11 6.65 6.72 - - 7.13 7.52 7.68 8.13 8.71 9.21
28-Jan-11 6.66 6.73 6.66 6.73 7.10 7.52 7.56 8.03 8.7 9.17
31-Jan-11 6.93 7.00 - - 7.13 7.57 7.59 8.12 8.87 9.30
• 3-Day MIBID-MIBOR is calculated and disseminated on every last working day of the week.

Overnight MIBID MIBOR


7.10

6.90

6.70

6.50

6.30

6.10

MIBID MIBOR

3day Rates
7.00

6.50

6.00
7-Jan 14-Jan 21-Jan 28-Jan
MIBID MIBOR

Page 13 of 19
14 DAY MIBID MIBOR
7.75

7.6

7.45

7.3

7.15

MIBID MIBOR

1 MONTH MIBID MIBOR


8.50

8.35

8.20

8.05

7.90

7.75

7.60

7.45

MIBID MIBOR

3 MONTH MIBID MIBOR


9.35

9.20

9.05

8.90

8.75

8.60

8.45

MIBID MIBOR

Page 14 of 19
NSE ZCYC

Plot of the Estimated ZCYC

31-Dec-10 31-Jan-11

8.69
8.75

8.5 8.65

8.25
Spot interest rates

7.75 7.56

7.5
7.55
7.25

Maturity (years)

NSE ZCYC Parameters

03-Jan-11 04-Jan-11 05-Jan-11 06-Jan-11 07-Jan-11 10-Jan-11 11-Jan-11 12-Jan-11 13-Jan-11


beta 0 17.2302 9.2961 8.9008 9.4354 9.3611 9.1346 9.4940 15.2696 9.4852
beta 1 -9.4000 -1.8384 -1.4754 -1.8535 -1.9527 -1.8665 -2.0665 -7.2008 -1.9012
beta 2 -10.9184 -1.6726 -0.0062 -1.3056 -0.0632 -0.0024 -0.0877 -8.1632 -0.7298
tau 13.7557 3.8414 7.1610 5.6950 7.7291 4.9386 7.9175 15.5000 7.2342
14-Jan-11 17-Jan-11 18-Jan-11 19-Jan-11 20-Jan-11 21-Jan-11 24-Jan-11 25-Jan-11 27-Jan-11
beta 0 15.6249 10.7196 17.7042 9.5173 12.4471 14.3215 15.1227 17.8018 17.4370
beta 1 -7.6402 -2.8439 -9.4000 -1.3213 -4.3122 -6.4812 -7.0945 -9.4000 -9.4000
beta 2 -8.4945 -1.7775 -12.3724 -2.4111 -5.0457 -5.9311 -7.4806 -12.7409 -10.8464
tau 15.5000 15.5000 13.3577 4.6826 15.5000 15.5000 15.5000 13.8940 15.1508
28-Jan-11 31-Jan-11
beta 0 17.3331 9.4016
beta 1 -9.4000 -1.8593
beta 2 -10.3801 -0.0251
tau 15.5000 8.3622

Page 15 of 19
Value at Risk
NSE VaR as on January 31, 2011 is as below:
Sec_type Security Issue_ Normal Weighted Historical_ Weighted EVT Clean Price Accrued
Name Normal Simulation Historical (off NSE- Interest
Simulation ZCYC)
GS CG2011 9.39% 0.4470 0.4770 0.5760 0.3900 0.4960 100.6930 0.7461
GS CG2012 6.85% 0.8210 0.9560 0.9980 0.9890 0.8980 98.9210 2.2072
GS CG2012 7.40% 0.8430 0.9840 1.0360 0.9860 0.9250 99.4880 1.8089
GS CG2012 7.47% 0.7950 0.9210 0.9710 0.7590 0.8730 99.6420 2.9880
GS CG2013 7.27% 1.0460 1.1500 1.2940 1.1620 1.0940 98.4360 2.9888
GS CG2017 7.49% 1.2610 0.7290 1.3830 0.5990 1.1030 96.5330 2.1846
GS CG2017 7.99% 1.2640 0.7080 1.3640 0.5910 1.1140 98.8490 0.4883
GS CG2022 8.13% 1.9150 1.0030 2.1040 0.8330 1.7980 97.5890 2.9358
GS CG2026 10.18% 2.5540 1.9540 3.0200 1.8990 2.3250 113.8750 3.9589
GS CG2040 8.30% 5.5200 7.0370 7.7860 4.5450 5.0060 95.4000 0.6686
TB 182D 100611 0.3960 0.4170 0.5060 0.3360 0.4380 97.3360 0.0000
TB 182D 290411 0.2920 0.2980 0.3750 0.2390 0.3170 98.1920 0.0000
TB 364D 030611 0.3790 0.3980 0.4840 0.3200 0.4210 97.4780 0.0000
TB 364D 150711 0.4710 0.5060 0.6060 0.4160 0.5260 96.6260 0.0000
TB 91D 080411 0.2330 0.2340 0.2930 0.1900 0.2560 98.6210 0.0000
TB 91D 180211 0.0710 0.0680 0.0960 0.0550 0.0770 99.6290 0.0000
TB 91D 220411 0.2720 0.2770 0.3460 0.2230 0.2960 98.3350 0.0000
TB 91D 290411 0.2920 0.2980 0.3750 0.2390 0.3170 98.1920 0.0000

Securities added during the month

The category wise issues are reflected in Table 13.1 and issues added on the WDM segment during the
month of January 2011 are reflected in Table 13.2:
Table 13.1: Category wise issues
Category Issues as on Added Matured Deleted Issues as
December 31, /Suspension during /Suspended on January
2010 revoked during the during the 31, 2011
the Month month month
Banks 523 0 2 0 521
Corporate 1097 104 20 12 1169
FIs 341 9 7 0 343
Govt Sec 1535 21 23 0 1533
PSU 862 5 2 0 865
Others 22 0 0 0 22
Table Total 4380 139 54 12 4453
13.2: Issue
additions during
January, 2011
Next Coup Put
Sec Maturity Coupon on Call Opt Opt
Type Security Issue Coupon Issue Date Date Date Freq Rating Dt. Dt. SIZE
CF AVN14 RESET 8.1 18-Dec-04 18-Dec-14 30-Jun-11 ICRA LAA- 4000
CF AVN14A RESET 8 18-Dec-04 18-Dec-14 30-Jun-11 ICRA LAA- 4000
CF AVN15 RESET 8 16-May-05 16-May-15 01-Jul-11 ICRA LAA- 5000
CF AVN15A RESET 8.1 15-Oct-05 15-Oct-15 01-Jul-11 ICRA LAA- 5000
CF EDP15 RESET 10.75 23-Dec-10 23-Dec-15 23-Jun-11 CARE A+ 11880
CF FCH15 RESET 11.25 01-Oct-10 30-Sep-15 31-Mar-11 CARE A+ 12500
CF FCH15A RESET 11.25 01-Dec-10 30-Nov-15 31-May-11 CARE A+ 12500
DB AVN16 10.35% 10.35 09-May-08 08-May-16 09-Feb-11 ICRA LAA- 10000
DB BILI13 9.50% 9.5 27-Dec-10 15-Jan-13 15-Jan-12 ICRA LAA+ 50000
DB DHFC20 9.70% 9.7 22-Oct-10 21-Oct-20 31-Mar-11 CARE AA+ 26500
DB DPSC16 10.75% 10.75 03-Nov-10 03-Nov-16 03-Nov-11 CARE A+ 2000
DB DPSC17 10.75% 10.75 03-Nov-10 03-Nov-17 03-Nov-11 CARE A+ 2000
DB DPSC18 10.75% 10.75 03-Nov-10 03-Nov-18 03-Nov-11 CARE A+ 2000

Page 16 of 19
DB DPSC19 10.75% 10.75 03-Nov-10 03-Nov-19 03-Nov-11 CARE A+ 2000
DB DPSC20 10.75% 10.75 03-Nov-10 03-Nov-20 03-Nov-11 CARE A+ 2000
DB HDFC12 9.50% 9.5 31-Dec-10 02-Jan-12 02-Jan-12 CRISIL AAA 50000
DB HDFC12 9.55% 9.55 17-Jan-11 18-Jan-12 18-Jan-12 ICRA LAAA 19000
DB HDFC13 9.45% 9.45 11-Jan-11 11-Jan-13 11-Jan-12 CRISIL AAA 50000
DB HDFC20 9% 9 23-Dec-10 23-Dec-20 23-Mar-11 CRISIL AAA 50000
DB IBFS12 10.10% 10.1 31-Dec-10 31-Dec-12 31-Dec-11 CARE AA+ 15000
DB LICH12 9.48% 9.48 28-Dec-10 27-Apr-12 28-Dec-11 CRISIL AAA 25000
DB LICH13 9.40% 9.4 20-Dec-10 20-Dec-13 20-Dec-11 CRISIL AAA 30000
DB LICH15 9.35% 9.35 20-Dec-10 20-Dec-15 20-Dec-11 CRISIL AAA 11000
DB LICH21 9.35% 9.35 04-Jan-11 04-Jan-21 04-Jan-12 CARE AAA 10700
DB PAR13A 14.25% 14.25 30-Oct-10 30-Aug-13 01-Apr-11 DPIL BBB 10000
DB SUNF12 9.10% 9.1 06-Dec-10 21-May-12 06-Dec-11 ICRA LAA+ 3500
DB SUNF12 9.15% 9.15 23-Nov-10 23-Nov-12 23-Nov-11 ICRA LAA+ 2500
DB SUNF13 9.30% 9.3 19-Nov-10 19-Nov-13 21-Nov-11 ICRA LAA+ 3500
DB SUNF15 9.30% 9.3 12-Nov-10 12-Nov-15 14-Nov-11 ICRA LAA+ 20000
DB SUNF15A 9.30% 9.3 06-Dec-10 04-Dec-15 06-Dec-11 ICRA LAA+ 20000
DB TACA12 9.10% 9.1 09-Dec-10 21-May-12 09-Dec-11 CARE AA+ 3500
DB TACA15A 9.05% 9.05 02-Dec-10 02-Dec-15 02-Dec-11 CARE AA+ 500
DB TISC30 10.25% 10.25 22-Dec-10 22-Dec-30 22-Dec-14 CARE AA+ 22-Dec-20 50000
DB TISC31 10.25% 10.25 06-Jan-11 06-Jan-31 06-Jan-15 CARE AA+ 06-Jan-21 250000
DB TPOW11 9.15% 9.15 23-Jul-10 23-Jul-11 23-Jul-11 CRISIL AA 2500
DB TPOW11A 9.15% 9.15 17-Sep-10 18-Sep-11 17-Sep-11 CRISIL LAA 1600
DB TPOW12 9.15% 9.15 23-Jul-10 23-Jul-12 23-Jul-11 CRISIL AA 2500
DB TPOW12A 9.15% 9.15 17-Sep-10 17-Sep-12 17-Sep-11 CRISIL LAA 1600
DB TPOW13 9.15% 9.15 23-Jul-10 23-Jul-13 23-Jul-11 CRISIL AA 2500
DB TPOW13A 9.15% 9.15 17-Sep-10 17-Sep-13 17-Sep-11 CRISIL LAA 1600
DB TPOW14 9.15% 9.15 23-Jul-10 23-Jul-14 23-Jul-11 CRISIL AA 2500
DB TPOW14A 9.15% 9.15 17-Sep-10 17-Sep-14 17-Sep-11 CRISIL LAA 1600
DB TPOW15 9.15% 9.15 23-Jul-10 23-Jul-15 23-Jul-11 CRISIL AA 2500
DB TPOW15A 9.15% 9.15 17-Sep-10 17-Sep-15 17-Sep-11 CRISIL LAA 1600
DB TPOW16 9.15% 9.15 23-Jul-10 23-Jul-16 23-Jul-11 CRISIL AA 2500
DB TPOW16A 9.15% 9.15 17-Sep-10 17-Sep-16 17-Sep-11 CRISIL LAA 1600
DB TPOW17 9.15% 9.15 23-Jul-10 23-Jul-17 23-Jul-11 CRISIL AA 2500
DB TPOW17A 9.15% 9.15 17-Sep-10 17-Sep-17 17-Sep-11 CRISIL LAA 1600
DB TPOW18 9.15% 9.15 23-Jul-10 23-Jul-18 23-Jul-11 CRISIL AA 2500
DB TPOW18A 9.15% 9.15 17-Sep-10 17-Sep-18 17-Sep-11 CRISIL LAA 1600
DB TPOW19 9.15% 9.15 23-Jul-10 23-Jul-19 23-Jul-11 CRISIL AA 2500
DB TPOW19A 9.15% 9.15 17-Sep-10 17-Sep-19 17-Sep-11 CRISIL LAA 1600
DB TPOW20 9.15% 9.15 23-Jul-10 23-Jul-20 23-Jul-11 CRISIL AA 2500
DB TPOW20A 9.15% 9.15 17-Sep-10 17-Sep-20 17-Sep-11 CRISIL LAA 1600
DB TPOW21 9.15% 9.15 23-Jul-10 23-Jul-21 23-Jul-11 CRISIL AA 2000
DB TPOW21A 9.15% 9.15 17-Sep-10 17-Sep-21 17-Sep-11 CRISIL LAA 1600
DB TPOW22 9.15% 9.15 23-Jul-10 23-Jul-22 23-Jul-11 CRISIL AA 2000
DB TPOW22A 9.15% 9.15 17-Sep-10 17-Sep-22 17-Sep-11 CRISIL LAA 1600
DB TPOW23 9.15% 9.15 23-Jul-10 23-Jul-23 23-Jul-11 CRISIL AA 2000
DB TPOW23A 9.15% 9.15 17-Sep-10 17-Sep-23 17-Sep-11 CRISIL LAA 1600
DB TPOW24 9.15% 9.15 23-Jul-10 23-Jul-24 23-Jul-11 CRISIL AA 2000
DB TPOW24A 9.15% 9.15 17-Sep-10 17-Sep-24 17-Sep-11 CRISIL LAA 1600
DB TPOW25 9.15% 9.15 23-Jul-10 23-Jul-25 23-Jul-11 CRISIL AA 2000
DB TPOW25A 9.15% 9.15 17-Sep-10 17-Sep-25 17-Sep-11 CRISIL LAA 2600
DC CFI12Y RESET 0 29-Oct-10 29-Oct-12 ICRA LAA 710
DC CFI12Z RESET 0 03-Nov-10 02-Nov-12 ICRA LAA 5000
DC CITI13L RESET 0 29-Oct-10 29-Oct-13 ICRA LAA 830
DC CITI13M RESET 0 29-Oct-10 29-Jan-13 ICRA LAA 540
DC CITI13N RESET 0 29-Nov-10 28-Feb-13 ICRA LAA 5000
DC CITI13O RESET 0 07-Jan-11 07-Jan-13 ICRA LAA+ 787
DC CITI13P RESET 0 07-Jan-11 07-Jan-13 ICRA LAA+ 1079
DC CITI13Q RESET 0 07-Jan-11 07-Jan-13 ICRA LAA+ 1611
DC CITI13R RESET 0 07-Jan-11 07-Jan-13 ICRA LAA+ 510
DC CITI13S RESET 0 04-Jan-11 04-Jan-13 ICRA LAA+ 1000
DC CITI14 RESET 0 07-Jan-11 07-Jan-14 ICRA LAA+ 2457

Page 17 of 19
DC CTP12 RESET 0 03-Nov-10 02-Nov-12 ICRA LAA 5000
DC CTP12A RESET 0 04-Nov-10 05-Nov-12 ICRA LAA 500
DC CTP12B RESET 0 23-Nov-10 23-Nov-12 ICRA LAA 1000
DC CTP12C RESET 0 30-Nov-10 30-Nov-12 ICRA LAA+ 506
DC CTP12D RESET 0 30-Nov-10 30-Nov-12 ICRA LAA+ 979
DC CTP12E RESET 0 30-Nov-10 30-Nov-12 ICRA LAA 652
DC CTP12F RESET 0 30-Nov-10 30-Nov-12 ICRA LAA+ 605
DC CTP12G RESET 0 30-Nov-10 30-Nov-12 ICRA LAA+ 773
DC DIPL12R RESET 0 18-Jan-11 18-Oct-12 CRISIL AA+ 687
DC DIPL13V RESET 0 23-Nov-10 25-Feb-13 CRISIL AA+ 609
DC DIPL13W RESET 0 24-Nov-10 26-Aug-13 CRISIL AA+ 280
DC DIPL13X RESET 0 25-Nov-10 26-Aug-13 CRISIL AA+ 560
DC DIPL13Y RESET 0 06-Dec-10 06-Sep-13 CRISIL AA+ 375
DC DIPL14J RESET 0 03-Dec-10 03-Apr-14 CRISIL AA+ 590
DC DSP13 RESET 0 10-Dec-10 10-May-13 DPIL AAA 1100
DC DSP13A RESET 0 10-Dec-10 11-Mar-13 DPIL AAA 410
DC DSP14B RESET 0 23-Dec-10 23-Apr-14 DPIL AAA 40
DC MSIC12N RESET 0 29-Oct-10 29-Oct-12 DPIL AAA 510
DC MSIC13 RESET 0 30-Nov-10 28-Feb-13 DPIL AAA 350
DC MSIC13A RESET 0 12-Nov-10 12-Feb-13 DPIL AAA 520
DC NOM13 RESET 0 23-Dec-10 22-Apr-13 DPIL AAA 500
DC NOM13A RESET 0 28-Dec-10 29-Apr-13 DPIL AAA 470
DC NOM14 RESET 0 03-Dec-10 03-Mar-14 DPIL AAA 290
DC RBS12H RESET 0 26-Nov-10 26-Mar-12 ICRA LAApp 285
DC RBS14B RESET 0 29-Oct-10 29-Jan-14 ICRA LAApp 325
DC RBS14C RESET 0 24-Nov-10 24-Mar-14 ICRA LAApp 230
DC RBS14D RESET 0 10-Dec-10 10-Mar-14 ICRA LAApp 150
DC SUNF12C 0% 0 06-Dec-10 01-Jun-12 ICRA LAA+ 2500
DC TACA12 0% 0 10-Dec-10 01-Jun-12 CARE AA+ 2500
ID EXIM13 9% 9 27-Dec-10 27-Dec-13 29-Dec-11 CRISIL AAA 29-Dec-11 29-Dec-11 22400
ID EXIM15 8.92% 8.92 22-Dec-10 22-Dec-15 22-Dec-11 CRISIL AAA 50000
ID EXIM16 8.90% 8.9 11-Jan-11 11-Jan-16 11-Jan-12 CRISIL AAA 8500
ID IDFC12 9.18% 9.18 22-Dec-10 22-Jan-12 22-Dec-11 ICRA LAAA 15000
ID IDFC20 9.05% 9.05 27-Dec-10 27-Dec-20 27-Dec-11 ICRA LAAA 33900
ID IDFC26 9.15% 9.15 06-Jan-11 06-Jan-26 06-Jan-12 ICRA LAAA 20800
ID NBRD14 9.48% 9.48 19-Jan-11 19-Jan-14 19-Jan-12 CRISIL AAA 19-Jan-12 19-Jan-12 50000
ID NBRD15 8.95% 8.95 28-Dec-10 28-Dec-15 28-Dec-11 CRISIL AAA 50000
ID NBRD16 8.95% 8.95 04-Jan-11 04-Jan-16 04-Jan-12 CRISIL AAA 50000
PF IRFC15 6.05% 6.05 20-Dec-10 20-Dec-15 15-Apr-11 CARE AAA 18808
PF IRFC17 6.32% 6.32 20-Dec-10 20-Dec-17 15-Apr-11 CARE AAA 28456
PF IRFC20 6.72% 6.72 20-Dec-10 20-Dec-20 15-Apr-11 CARE AAA 83591
PT PFC18 8.97% 8.97 14-Jan-11 15-Jan-18 15-Jan-12 CRISIL AAA 14400
PT PFC21 8.99% 8.99 14-Jan-11 15-Jan-21 15-Jan-12 CRISIL AAA 121900
SG AP21 8.53% 8.53 19-Jan-11 19-Jan-21 19-Jul-11 100000
SG BIH21 8.55% 8.55 19-Jan-11 19-Jan-21 19-Jul-11 100000
SG GUJ21 8.38% 8.38 05-Jan-11 05-Jan-21 05-Jul-11 50000
SG GUJ21 8.52% 8.52 19-Jan-11 19-Jan-21 19-Jul-11 50000
SG JK21 8.42% 8.42 05-Jan-11 05-Jan-21 05-Jul-11 47910
SG MAH21 8.54% 8.54 19-Jan-11 19-Jan-21 19-Jul-11 187500
SG MAN21 8.55% 8.55 19-Jan-11 19-Jan-21 19-Jul-11 15000
SG MIZO21 8.55% 8.55 19-Jan-11 19-Jan-21 19-Jul-11 4000
SG MP21 8.39% 8.39 05-Jan-11 05-Jan-21 05-Jul-11 100000
SG PUN21 8.39% 8.39 05-Jan-11 05-Jan-21 05-Jul-11 40000
SG TN21 8.39% 8.39 05-Jan-11 05-Jan-21 05-Jul-11 50000
SG UP21 8.56% 8.56 19-Jan-11 19-Jan-21 19-Jul-11 50000
SG UTK21 8.55% 8.55 19-Jan-11 19-Jan-21 19-Jul-11 29152
TB 182D 80711 0 07-Jan-11 08-Jul-11 150000
TB 182D 220711 0 21-Jan-11 22-Jul-11 150050
TB 364D 130112 0 14-Jan-11 13-Jan-12 100000
TB 364D 270112 0 28-Jan-11 27-Jan-12 100000
TB 91D 080411 0 07-Jan-11 08-Apr-11 450000
TB 91D 150411 0 14-Jan-11 15-Apr-11 450000

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TB 91D 220411 0 21-Jan-11 22-Apr-11 450200
TB 91D 290411 0 28-Jan-11 29-Apr-11 586090
Total: 4706057

Note: Information given in this document can be reproduced giving a clear acknowledgement to National Stock
Exchange of India as source of information.

Published by:
Wholesale Debt Market
National Stock Exchange of India Ltd.
‘Exchange Plaza’, C-1, Block G,
Bandra-Kurla Complex,
Bandra (E), Mumbai-400 051.
Tel: 91 22 26598100-14 Fax: 91 22 26598288
E-mail: debtmarket@nse.co.in
Website: http://www.nseindia.com

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