Fact Book2008 NATIONAL STOCK EXCHANGE OF INDIA LIMITED June 2008 C O N T E N T S SECTION 1 – NATIONAL STOCK EXCHANGE OF INDIA Genesis ......................................................................................................... 3 Ownership And Management ..................................................................... 3 Market Segments And Products .................................................................. 3 Achievements / Milestones.......................................................................... 6 Facts And Figures ...................................................................................... 11 Technology ................................................................................................ 11 Application Systems .................................................................................. 12 NSE Family ............................................................................................... 14 NSCCL .............................................................................................. 14 NSDL ................................................................................................. 15 NSE Infotech Services Ltd.................................................................... 15 NSE.IT ............................................................................................... 15 IISL .................................................................................................... 16 NCDEX ............................................................................................. 16 NCCL ................................................................................................ 16 PXI..................................................................................................... 16 SECTION 2 – MEMBERSHIP ADMINISTRATION Eligibility Criteria...................................................................................... 21 Trading Membership ................................................................................. 21 Clearing Membership ................................................................................ 22 Growth And Distribution Of Members .................................................... 22 Transaction Charges .................................................................................. 23 SECTION 3 – LISTING OF SECURITIES Benefits Of Listing On NSE ...................................................................... 31 Listing Criteria........................................................................................... 32 Listing Agreement ..................................................................................... 32 Compliance By Listed Companies............................................................. 32 Disclosures By Listed Companies .............................................................. 32 De-Listing .................................................................................................. 33 CM Segment .............................................................................................. 34 Listing Fees ................................................................................................ 34 i C O N T E N T S Shareholding Pattern ................................................................................. 35 WDM Segment .......................................................................................... 35 Funds Mobilisation On The Exchange ...................................................... 36 Initial Public Offerings (IPO’s) .................................................................. 36 FPOs .................................................................................................. 36 Rights Issues ........................................................................................ 37 Preferential Allotment / Private Placement........................................ 37 QIPs ................................................................................................... 37 SECTION 4 – CAPITAL MARKET SEGMENT NEAT System ........................................................................................... 59 Market Performance .................................................................................. 59 Trading Volume ................................................................................. 59 Liquidity ............................................................................................ 60 Distribution of Turnover .................................................................... 61 Market Capitalisation ......................................................................... 61 Sectoral Distribution........................................................................... 61 Trading Records during 2007-08 ......................................................... 62 Internet Trading ................................................................................. 62 FII Turnover on NSE .......................................................................... 62 On-line IPOs ...................................................................................... 62 Indices ........................................................................................................ 63 Volatility Index .................................................................................. 63 Mutual Funds And Exchange Traded Funds ............................................. 64 Transaction Charges .................................................................................. 64 Clearing & Settlement ............................................................................... 65 Settlement Agencies ............................................................................. 66 Settlement Cycles ................................................................................ 67 Settlement Statistics............................................................................. 67 Risk Management System .......................................................................... 67 Capital Adequacy ............................................................................... 68 Margin Requirements.......................................................................... 68 Categorisation of newly listed securities ............................................... 68 ii C O N T E N T S Value at Risk Margin .......................................................................... 69 Extreme Loss Margin........................................................................... 69 Mark to Market Margin ....................................................................... 69 Index-based Circuit Filters ................................................................... 70 Settlement Guarantee Fund................................................................. 71 Surveillance, Investigation & Inspection ................................................... 71 Surveillance & Investigation ............................................................... 71 Inspection ........................................................................................... 71 SECTION 5 – WHOLESALE DEBT MARKET SEGMENT Trading Mechanism ..................................................................................103 Market Performance .................................................................................104 Turnover ...........................................................................................104 Market Capitalisation ........................................................................106 Transaction Charges .................................................................................106 Settlement .................................................................................................106 Constituent SGL Facility..........................................................................107 FIMMDA-NSE MIBID/MIBOR..............................................................107 Zero Coupon Yield Curve........................................................................108 NSE-VAR System .....................................................................................109 GOI-bond Index .......................................................................................110 SECTION 6 – FUTURES & OPTIONS SEGMENT Trading Mechanism ..................................................................................136 Contract Specification ..............................................................................137 Selection Criteria For Stocks And Index Eligibility For Trading ............138 Trading Value & Contract Traded ...........................................................140 Product wise turnover on F&O Segment .............................................141 Futures and Options on Benchmark Indices ........................................142 Sectorwise Stock Futures & Options Turnover ....................................143 Participant wise turnover on F&O Segment .......................................143 FII Turnover on NSE .........................................................................144 Memberwise turnover on the Exchange ...............................................144 High Volume Members.......................................................................144 iii C O N T E N T S Internet Trading ................................................................................145 Traded Value Records ........................................................................145 Top 20 Futures And Option Contracts ....................................................145 Number Of Trades ..................................................................................146 Charges .....................................................................................................146 Clearing And Settlement ..........................................................................147 Settlement Statistics............................................................................147 Clearing Mechanism ..........................................................................148 Settlement Mechanism ........................................................................148 Risk Management System .........................................................................150 NSE- SPAN .......................................................................................151 Margins .............................................................................................152 Position Limits ..................................................................................153 SECTION 7 – INVESTOR GRIEVANCES, ARBITRATION Investor Grievances ..................................................................................185 Arbitration................................................................................................186 SECTION 8 – KNOWLEGDE INITIATIVE NSE’S Certification in Financial Markets ................................................191 NCFM Online Payment System ..............................................................192 NCFM Tests conducted in other languages .............................................192 CBSE- NSE Certification in Financial Markets ........................................192 NSE Research Initiative ............................................................................193 iv C O N T E N T S TABLES SECTION 1 1-1 Board of Directors ............................................................ 17 1-2 Executive Committees...................................................... 18 SECTION 2 2-1 (a) Eligibility Criteria for Membership ................................. 24 2-1 (b) Requirements for Professional Clearing Membership ...................................................................... 25 2-2 Growth and Distribution of Members ............................. 25 SECTION 3 3-1 Listing Criteria for Companies on CM Segment of NSE ............................................................... 38 3-2 Companies Listed/ Permitted to Trade/Available for Trading on the CM Segment ...................................... 40 3-3 Share holding Pattern at the end of March 2008 of Companies Listed on NSE .............................................. 43 3-4 Eligibility Criteria for Securities on WDM Segment ....... 44 3-5 Securities Available for Trading on WDM Segment (as on March 31) ............................................................... 45 3-6 Initial Public Offerings (IPOs) during 2007-08 ................. 46 3-7 FPOs during 2007-08 ........................................................ 50 3-8 Rights Issues during 2007-08 ............................................. 50 3-9 Preferential Allotments by NSE Listed Companies during 2007-08 .................................................................. 51 3-10 Amount raised through QIP during 2007-08 ................... 56 SECTION 4 4-1 Business Growth of CM Segment .................................... 72 4-2 Percentage Share of Top ‘N’ Securities /Members in Turnover ...................................................................... 75 4-3 ‘50’ Most Active Securities during 2007-08 in Terms of Trading Value ................................................... 76 4-4 Top ‘50’ Companies by Market Capitalisation as on March 31, 2008 ........................................................ 78 4-5 Industry Wise Classification of Top ‘50’ Companies by Trading Volume and Market Capitalisation ............... 80 v C O N T E N T S 4-6 NSE’s Most Active Trading days during the year 2007-08 ................................................................ 81 4-7 Individual Securities Single day Trading Records ............ 81 4-8 FII turnover on derivative Market Segment of Exchange ........................................................ 81 4-9 Market Capitalisation of Securities in the CM Segment ..................................................................... 82 4-10 Composition of S&P CNX Nifty Index as on March 31, 2008 ................................................................. 84 4-11 Composition of CNX NIFTY Junior Index as on March 31, 2008 ........................................................ 85 4-12 Industry-wise Weightages of S&P CNX NIFTY Securities as on 31st March, 2008 ..................................... 87 4-13 S&P CNX NIFTY Index ................................................. 87 4-14 CNX NIFTY Junior Index .............................................. 90 4-15 Performance of NSE Indices during the year 2007-08 ................................................................ 93 4-16 Details of Mutual Funds and Exchange Traded Funds Listed on NSE ....................................................... 93 (a) List of Mutual Funds (MF’s) and Exchange Traded Funds (ETF’s) ................................................................... 93 (b) No of Trades and Trading Value ...................................... 94 4-17 Settlement Cycle and Process in CM Segment & Settlement Process ........................................................ 94 4-18 Settlement Statistics in CM Segment ................................ 96 SECTION 5 vi 5-1 Business Growth of WDM Segment ...............................111 5-2 WDM Transactions in Government Securities ...............116 5-3 Security-wise and Participant –wise Distribution of WDM Trades ..............................................................119 5-4 Share of Top ‘N’ Securities/Trading Members/ Participants in Turnover in WDM Segment ...................122 5-5 Market Capitalisation of WDM Securities ......................123 5-6 FIMMDA NSE-MIBID/MIBOR Rates...........................128 5-7 1 day Value-at-Risk (99%) for Government of India Securities Traded as on March 31, 2008...........................131 C O N T E N T S SECTION 6 6-1 List of Securities on which Futures & Options available at NSE along with their market lot (as on 20th June 2008) .....................................................156 6-2 Contract Specification for Index Futures and Options........................................................163 6-3 Contract Specification for Stock Futures and Options........................................................166 6-4 Business Growth of Futures & Options Market Segment...............................................................167 6-5 Sector-wise Trading Value of Top 5 companies in the F&O Segment (2007-08) ........................................172 6-6 Participant wise Trading Value in the F&O Segment (2007-08) ..................................................174 6-7 FII Gross turnover on derivative Market Segment of Exchange .......................................................175 6-8 (a) Number of Members in different turnover brackets during 2007-08 ...................................................176 (b) No. of members in different Turnover Brackets in Futures and Options Segment for 2007-08 .....................177 (c) Segment wise Contribution of Top ‘N’ Members to turnover on Futures and Options segment .....................176 6-9 Top 20 Futures contracts according to number of contracts 2007-08 .........................................................178 6-10 Top 20 Option contracts according to no. of contracts traded 2007-08 .................................................179 6-11 Number of trades in the Futures & Options Segment 2007-08 ..............................................................179 6-12 Settlement Statistics in F&O Segment ............................180 SECTION 7 7-1 Receipt and Disposal of Investor Grievance....................187 7-2 Status Report of Arbitration Matters ..............................187 SECTION 8 8-1 NCFM Modules ..............................................................194 8-2 Studies under the NSE Research Initiative ......................195 vii C O N T E N T S CHARTS SECTION 1 1-1 Market Segment Indications - Trading Volume ................. 5 1-2 Market Segment Indicators - Market Capitalisation........... 6 SECTION 3 3-1 No. of Companies Listed ................................................. 37 SECTION 4 4-1 Business Growth of Capital Market Segment .................. 75 4-2 Movement of Sectoral Indices : 2007-08 ........................... 92 SECTION 5 5-1 Business Growth of WDM Segment ...............................104 5-2 (a) Security-wise Distribution of WDM Trades (2007-08) ....105 (b) Participant-wise distribution of WDM trades (2007-08) .....................................................105 5-3 Overnight MIBID/MIBOR Rates, 2006-07 from 3 April 2007 to 31st March 2008 ............................108 5-4 Zero Coupon Yield Curve, 2007-08 ................................109 SECTION 6 viii 6-1 Business Growth of F&O Segment .................................140 6-2 Product wise Number of Contracts Traded during 2007-08 .....................................................141 6-3 Product wise trading volumes during 2007-08.................142 6-4 Participant wise F&O Turnover during 2007-08 ............144 National Stock Exchange of India 1 2 National Stock Exchange of India 1 Genesis NSE was given recognition as a stock exchange in April 1993 and started operations in June 1994, with trading on the Wholesale Debt Market Segment. Subsequently, it launched the Capital Market Segment in November 1994 as a trading platform for Equities and the Futures and Options segment in June 2000 for various derivative instruments. Ownership and Management The NSE is owned by a set of leading financial institutions, banks, insurance companies and other financial intermediaries. It is managed by professionals, who do not directly or indirectly trade on the Exchange. The trading rights are with trading members who offer their services to the investors. The Board of NSE comprises of senior executives from promoter institutions and eminent professionals, without having any representation from trading members. While the Board deals with the broad policy issues, the Executive Committees (ECs), which include trading members, formed under the Articles of Association and the Rules of NSE for different market segments, set out rules and parameters to manage the day-to-day affairs of the Exchange. The day-to-day management of the Exchange is delegated to the Managing Director and CEO who is supported by a team of professional staff. Therefore, though the role of trading members at NSE is to the extent of providing only trading services to the investors, the Exchange involves trading members in the process of consultation and participation in vital inputs towards decision making. Tables 1-1 and 1-2 gives the composition of its Board of Directors and the Executive Committees. Market Segments and Products NSE provides a trading platform for of all types of securities for investors under one roof – Equity, Corporate Debt, Central and State Government Securities, T-Bills, Commercial Paper (CPs), Certificate of Deposits (CDs), Warrants, Mutual Funds (MFs) units, Exchange Traded Funds (ETFs), Derivatives like Index Futures, Index Options, Stock Futures, Stock Options. The Exchange provides trading in 3 different segments viz., Wholesale Debt Market (WDM) segment, Capital Market (CM) segment and the Futures & Options (F&O) segment The Wholesale Debt Market segment provides the trading platform for trading of a wide range of debt securities which includes State and Central Government securities, T-Bills, PSU Bonds, Corporate debentures, CPs, CDs etc. However, along with these financial instruments, NSE has also launched various products e.g. FIMMDA-NSE MIBID/MIBOR 3 owing to the market need. A reference rate is said to be an accurate measure of the market price. In the fixed income market, it is the interest rate that the market respects and closely matches. In response to this, NSE started computing and disseminating the NSE Mumbai Inter-bank Bid Rate (MIBID) and NSE Mumbai Inter-Bank Offer Rate (MIBOR). Owing to the robust methodology of computation of these rates and its extensive use, this product has become very popular among the market participants. Keeping in mind the requirements of the banking industry, FIs, MFs, insurance companies, who have substantial investments in sovereign papers, NSE also started the dissemination of its yet another product, the ‘Zero Coupon Yield Curve’. This helps in valuation of sovereign securities across all maturities irrespective of its liquidity in the market. The increased activity in the government securities market in India and simultaneous emergence of MFs (Gilt MFs) had given rise to the need for a well defined bond index to measure the returns in the bond market. NSE constructed such an index the, ‘NSE Government Securities Index’. This index provides a benchmark for portfolio management by various investment managers and gilt funds. The Capital Market segment offers a fully automated screen based trading system, known as the National Exchange for Automated Trading (NEAT) system. This operates on a price/time priority basis and enables members from across the country to trade with enormous ease and efficiency. Various types of securities e.g. equity shares, warrants, debentures etc. are traded on this system. The average daily turnover in the CM Segment of the Exchange during 2007-08 was nearly Rs. 14,148 crore. (US $ 3,540 million). Futures & Options segment of NSE provides trading in derivatives instruments like Index Futures, Index Options, Stock Options, Stock Futures. Though only eight years into its’ operations, the futures and options segment of NSE has made a mark for itself globally. In the Futures and Options segment, trading in S&P CNX Nifty Index, CNX IT index, Bank Nifty Index, CNX Nifty Junior, CNX 100 index, Nifty Midcap 50 index and single stocks are available. The average daily turnover in the F&O Segment of the Exchange during 2007-08 was nearly Rs. 52,153 cr. (US $ 13,048 millions). The statistical details of these segments are presented in the tables and charts below : Market Segments – Selected Indicators At end of March 2008 Segments No. of Securities/Contracts Available 1,069 1,236 a WDM 62 3,566 F&O 942 23,466 b Total 1,075 c 28,268 CM 4 No. of Members a Excludes suspended securities. b 3 Nifty index Futures, 3 CNX IT Futures, 3 Bank Nifty Futures, 3 CNX 100 futures, 3 Nifty Junior index futures, 3 Nifty Midcap50 futures, 3 Mini Nifty Futures, 681 stock futures, 520 Nifty index options, 124 CNX IT options, 296 Bank Nifty options, 146 CNX 100 options, 312 Nifty Junior index options , 112 Nifty Midcap 50 options, 142 Mini Nifty Options, 21,094 stock option and 18 interest rate futures contracts. c Do not add up to total because of multiple membership. Trading Value (Rs. cr) Segment/Year 2004-05 2005-06 2006-07 2007-08 CM 1,140,072 1,569,558 1,945,287 3,551,038 F&O 2,547,053 4,824,250 7,356,271 13,090,478 887,294 475,523 219,106 282,317 4,574,418 6,869,332 9,520,664 16,923,833 WDM Total Market Segments Indicators- Trading Volume 5 Market Capitalisation (As at end March) (Rs. cr) Segment/Year Mar-05 Mar-06 Mar-07 Mar-08 CM 1,585,585 2,813,201 3,367,350 4,858,122 WDM 1,461,734 1,567,574 1,784,801 2,123,346 Total 3,047,319 4,380,775 5,152,151 6,981,468 Market Segment Indicators- Market Capitalisation Achievements/Milestones Month/Year November 1992 April 1993 June 1994 November 1994 March 1995 April 1995 July 1995 October 1995 April 1996 April 1996 Event Incorporation Recognition as a stock exchange. WDM segment goes live. CM segment goes live through VSAT. Establishment of Investor Grievance Cell. Establishment of NSCCL, the first Clearing Corporation. Establishment of Investor Protection Fund. Became largest stock exchange in the country. Commencement of clearing and settlement by NSCCL. Launch of S&P CNX Nifty. Contd... 6 Contd... Month/Year June 1996 November 1996 November 1996 December 1996 December 1996 December 1996 November 1997 May 1998 May 1998 July 1998 August 1998 April 1999 October 1999 January 2000 February 2000 June 2000 September 2000 June 2001 July 2001 November 2001 December 2001 January 2002 May 2002 October 2002 January 2003 June 2003 August 2003 June 2004 August 2004 Event Establishment of Settlement Guarantee Fund. Setting up of National Securities Depository Ltd., first depository in India, co-promoted by NSE. ‘Best IT Usage’ award by Computer Society of India. Commencement of trading/settlement in dematerialised securities. Dataquest award for ‘Top IT User’. Launch of CNX Nifty Junior. ‘Best IT Usage’ award by Computer Society of India. Promotion of joint venture, India Index Services & Products Limited (IISL) (along with CRISIL) for index services. Launch of NSE’s Web-site : www.nseindia.com. Launch of ‘NSE’s Certification Programme in Financial Markets’. (NCFM) ‘CYBER CORPORATE OF THE YEAR 1998’ award. ‘CHIP Web Award’ by CHIP magazine. Setting up of NSE.IT Ltd. Launch of NSE Research Initiative. Internet Trading in CM segment. Commencement of Derivatives Trading (in Index Futures). Launch of Zero Coupon Yield Curve. Commencement of Trading in Index Options Commencement of Trading in Options on Individual Securities Commencement of Trading in Futures on Individual Securities Launch of NSE VAR for Government Securities Launch of Exchange Traded Funds (ETFs). NSE wins the Wharton-Infosys business Transformation Award in the organization-wide transformation category Launch of Government Securities Index Launch of Retail Debt of Government Securities Launch of Exchange Traded Interest Rate derivatives on Notional 91 day T-bills and Notional 10 year bonds Launch of Futures and Options on CNX IT Index Launch of STP Interoperability Launch of NSE electronic interface for listed companies Contd... 7 Contd... Month/Year March 2005 June 2005 August 2006 December 2006 January 2007 March 2007 March 2007 June 2007 October 2007 January 2008 March 2008 April 2008 April 2008 June 2008 Event ‘India Innovation Award’ by EMPI Business School, New Delhi Launch of Futures & Options on BANK Nifty Index Setting up of NSE Infotech Services Ltd. ‘Derivative Exchange of the Year’, by Asia Risk magazine Launch of NSE – CNBC TV 18 media centre NSE, CRISIL announce launch of India Bond Watch.com Launch of Gold BeES- Exchange Traded Fund (ETF).(First Gold ETF) Launch of Futures & Options on CNX 100 and CNX Nifty Junior contracts. Launch of Futures & Options on Nifty Midcap 50 Launch of Mini Nifty derivative contracts Launch of long term option contracts on S&P CNX Nifty Index. Launch of Securities Lending & Borrowing Scheme Launch of - India VIX - The Volatility Index Setting up of Power Exchange India Ltd. Developments during the year. New Products in the F & O Segment Based on the evolving needs of the market and the investors, NSE introduced futures and options trading on Nifty Midcap 50 index in October 2007. It is a gateway for investors to invest in the medium capitalised segment of the stock market which is being increasingly perceived as an attractive investment strategy with high growth potential. Mini Nifty derivative were available for trading from 01st January 2008. It provides an opportunity and easier access for small investors to invest in derivatives. Index is the most actively traded index based derivative product in India. The long term options contract which was introduced in March 2008 has expected to deepen this market further. Securities Lending and Borrowing SEBI issued a SLB scheme on December 20, 2007. The salient features of the scheme are as under: • 8 To begin with, the SLB would be operated through Clearing Corporation/Clearing House of stock exchanges having nation-wide terminals who will be registered as Approved Intermediaries (AIs) under the SLS, 1997. • The SLB would take place on an automated, screen based, order-matching platform which will be provided by the AIs. This platform would be independent of the other trading platforms. • To begin with, the securities traded in derivatives segment would be eligible for lending & borrowing under the scheme. • All categories of investors including retail, institutional etc. will be permitted to borrow and lend securities. The borrowers and lenders would access the platform for lending/borrowing set up by the AIs through the clearing members (CMs) who are authorized by the AIs in this regard. • The tenure of lending/borrowing would be fixed as standardised contracts. To start with, contracts with tenure of 7 trading days may be introduced. • The settlement cycle for SLB transactions would be on T+1 basis. The settlement of lending and borrowing transactions would be independent of normal market settlement. • The settlement of the lending and borrowing transactions should be done on a gross basis at the level of the clients i.e. no netting of transactions at any level will be permitted. NSCCL, as an Approved Intermediary (AI) launched the Securities Lending & Borrowing Scheme from April 21, 2008. Lending & Borrowing is carried on an automated screen based platform where the order matching is done on basis of price time priority. The borrowing has a fixed tenure of seven days with the first leg settlement on T+1 day and reverse leg settlement on T+8 day. Direct Market Acess During April 2008, Securities & Exchange Board of India (SEBI) allowed the direct market access (DMA) facility to the institutional investors. DMA allows brokers to offer clients direct access to the exchange trading system through the broker’s infrastructure without manual intervention by the broker. DMA facility give clients direct control over orders, help in faster execution of orders, reduce the risk of errors from manual order entry and lend greater transparency and liquidity. DMA also leads to lower impact cost for large orders, better audit trails and better use of hedging and arbitrage opportunities through the use of decision support tools/algorithms for trading. Volatility Index The India VIX, the volatility Index was launched on 08th April, 2008 . A Volatility Index reflects the market’s expectation of volatility over the near term. The index captures the implied volatility embedded in option prices. Volatility is often described as the “rate and magnitude of changes in prices” and, in, finance often referred to as risk. 9 Volatility Index is a measure, of the amount by which an underlying Index is expected to fluctuate, in the near term, (calculated as annualised volatility, denoted in percentage e.g. 20%) based on the order book of the underlying index options. Market volatility keeps changing as new information flows into the market. It would be imperative for market participants to have an index designed to track market volatility. The India VIX is a simple but useful tool in determining the overall volatility of the market. Cross Margining Many trading members undertake transactions on both the cash and derivative segments of an Exchange. They keep separate deposits with the exchange for taking positions in two different segments. In order to improve the efficiency of the use of the margin capital by market participants and as in initial step towards cross margining across cash and derivatives markets SEBI allowed Cross Margining benefit in May 2008. For Cross margining the stock positions of the institutions in capital market segment after confirmation by the custodian on T+1 day shall be compared with the stock futures position of the same institution in derivative segment based on the CP code of the institution at the end of the day. The position shall be considered for cross margining only if the position in the capital market segment off set the position in the derivative segment. SEBI has allowed the following to start with: a. Cross margin is available for institutional trades. b. Cross margin is available to positions in cash market having corresponding offsetting positions in the stock futures market. c. For positions in the cash market which have corresponding offsetting positions in the stock futures, VaR margin is not be levied on the cash market position to the extent of the off-setting stock futures market position. d. Extreme Loss margin and Market to Market margin shall continue to be levied on the entire cash market position. e. The near-month stock futures positions are not considered for cross-margin benefit three days prior to expiry (the last Thursday of every month) and there will be no change in the margins on the F & O positions. Power Exchange India Limited Power Exchange India Limited (PXI) a joint venture of National Stock Exchange of India Ltd (NSE) and National Commodity & Derivatives Exchange Ltd (NCDEX) has been set up in response to the guidelines issued by Central Electricity Regulatory Commission (CERC). PXI would be operating as a National Level electricity exchange covering the entire Indian electricity market. It will provide a common electronic platform for trading of electricity. It is proposed that the initial trading would be done on a day-ahead basis with voluntary participation. New contracts would be introduced after taking feedback form the market and obtaining approval from CERC. 10 Facts And Figures The growth in the stock market activity across the different market segments and products is visible from records reached as at the end of March 2008 as sited in the table below : Stock Market Records Sr. Parameter Date Magnitude No. Capital Market Segment 1 Record number of trades January 03, 2008 6,812,991 2 Record daily turnover (quantity) September 26, 2007 11,353 lakhs 3 Record daily turnover (value) November 01, 2007 Rs.28,476.07 cr. (US $ 7,124.36 mn.) 4 Record market capitalisation January 07, 2008 Rs.6,745,724.00 cr. (US $ 1,687,696.77 mn.) 5 Record value of S&P CNX Nifty Index January 08, 2008 6357.10 6 Record value of CNX Nifty Junior Index January 04, 2008 13209.35 Clearing & Settlement Record Pay-in/Pay-out (Rolling Settlement): 1 Funds Pay-in/Pay-out October 23,2007 * Rs.4,567.70 cr. (US $ 1,142.78 mn.) 2 Securities Pay-in/Pay-out (Value) December 31,2007 * Rs.9,195.56 cr. (US $ 2,300.62 mn.) 3 Securities Pay-in/Pay-out (Qty) October 01,2007 * 2,788.30 lakhs * Settlement Date Derivatives (F&O segment) 1 Record number of trades October 18,2007 1,420,967 2 Record daily turnover (value) October 18,2007 Rs. 110,563 cr. (US $ 27,661.50 mn.) Wholesale Debt Market Segment 1 Record daily turnover (value) August 25,2003 Rs.13,911.57 cr. (US $ 3,179.79 mn.) Technology Technology has been the backbone of the Exchange. Providing the services to the investing community and the market participants using technology at the cheapest possible cost has been its main thrust. NSE chose to harness technology in creating a new market design. It believes that technology provides the necessary impetus for the organisation to retain its 11 competitive edge and ensure timeliness and satisfaction in customer service. In recognition of the fact that technology will continue to redefine the shape of the securities industry, NSE stresses on innovation and sustained investment in technology to remain ahead of competition. NSE is the first exchange in the world to use satellite communication technology for trading. It uses satellite communication technology to energise participation from about 2,956 VSATs from nearly 245 cities spread all over the country. Its trading system, called National Exchange for Automated Trading (NEAT), is a state of-the-art client server based application. At the server end, all trading information is stored in an in-memory database to achieve minimum response time and maximum system availability for users. It has uptime record of 99.7%. For all trades entered into NEAT system, there is uniform response time of less than 1.5 seconds. NSE has been continuously undertaking capacity enhancement measures so as to effectively meet the requirements of increased users and associated trading loads. NSE has also put in place NIBIS (NSE’s Internet Based Information System) for on-line real-time dissemination of trading information over the Internet. As part of its business continuity plan, NSE has established a disaster back-up site at Chennai along with its entire infrastructure, including the satellite earth station and the high-speed optical fibre link with its main site at Mumbai. This site at Chennai is a replica of the production environment at Mumbai. The transaction data is backed up on near real time basis from the main site to the disaster back-up site through the 2 mbps high-speed link to keep both the sites all the time synchronized with each other. Application Systems The various application systems that NSE uses for its trading as well clearing and settlement and other operations form the backbone of the Exchange. The application systems used for the day-to-day functioning of the Exchange can be divided into (a) Front end applications and (b) Back office applications. In the front end, there are 6 applications: (i) NEAT – CM system takes care of trading of securities in the Capital Market segment that includes equities, debentures/notes as well as retail Gilts. The NEAT – CM application has a split architecture wherein the split is on the securities and users. The application runs on three Stratus systems with Open Strata Link (OSL). The application has been benchmarked to support 15,000 users and handle more than 15 million trades daily. This application also provides data feed for processing to some other systems like Index, OPMS through TCP/IP. This is a direct interface with the trading members of the CM segment of the Exchange for entering the orders into the main system. There is a two way communication between the NSE main system and the front end terminal of the trading member. (ii) NEAT – WDM system takes care of trading of securities in the Wholesale Debt Market (WDM) segment that includes Gilts, Corporate Bonds, CPs, T-Bills, etc. This is a direct interface with the trading members of the WDM segment of the Exchange for entering the orders/trades into the main system. There is a two way communication between the NSE main system and the front end terminal of 12 the trading member. (iii) NEAT – F&O system takes care of trading of securities in the Futures and Options (F&O) segment that includes Futures on Index as well as individual stocks and Options on Index as well as individual stocks. This is a direct interface with the trading members of the F&O segment of the Exchange for entering the orders into the main system. There is a two way communication between the NSE main system and the front end terminal of the trading member. (iv) NEAT – IPO system is an interface to help the initial public offering of companies which are issuing the stocks to raise capital from the market. This is a direct interface with the trading members of the CM segment who are registered for undertaking order entry on behalf of their clients for IPOs. NSE uses the NEAT IPO system that allows bidding in several issues concurrently. There is a two way communication between the NSE main system and the front end terminal of the trading member. (v) NEAT – MF system is an interface with the trading members of the CM segment for order collection of designated Mutual Funds units (vi) Surveillance system offers the users a facility to comprehensively monitor the trading activity and analyse the trade data online and offline. In the back office, the following important application systems are operative : (a) NCSS (Nationwide Clearing and Settlement System) is the clearing and settlement system of the NSCCL for the trades executed in the CM segment of the Exchange. The system has 3 important interfaces – OLTL (Online Trade loading) that takes each and every trade executed on real time basis and allocates the same to the clearing members, Depository Interface that connects the depositories for settlement of securities and Clearing Bank Interface that connects the thirteen clearing banks for settlement of funds. It also interfaces with the clearing members for all required reports. Through collateral management system it keeps an account of all available collaterals on behalf of all trading/clearing members and integrates the same with the position monitoring of the trading/clearing members. The system also generates base capital adequacy reports. (b) FOCASS is the clearing and settlement system of the NSCCL for the trades executed in the F&O segment of the Exchange. It interfaces with the clearing members for all required reports. Through collateral management system it keeps an account of all available collaterals on behalf of all trading/clearing members and integrates the same with the position monitoring of the trading/clearing members. The system also generates base capital adequacy reports. (c) OPMS – the online position monitoring system that keeps track of all trades executed for a trading member vis-à-vis its capital adequacy, (d) PRISM is the parallel risk management system for F&O trades using Standard Portfolio Analysis (SPAN). It is a system for comprehensive monitoring and load balancing of an array of parallel processors that provides complete fault tolerance. It provides real time information on initial margin value, mark to market profit or loss, collateral amounts, contract-wise latest prices, contract-wise open interest and limits. The system also tracks online real time client level portfolio base upfront margining and monitoring (e) Data warehousing that is the central repository of all data in CM as well as F&O segment of the Exchange, (f) Listing system that captures the data from the companies which are listed in the Exchange for corporate governance and integrates the same to the trading system for necessary broadcasts for data dissemination process and (g) Membership system that keeps track of all required details of the Trading Members of the Exchange. 13 NSE Family NSCCL National Securities Clearing Corporation Ltd. (NSCCL), a wholly-owned subsidiary of NSE, was set up in August 1995. It was the first clearing corporation in the country to provide novation/settlement guarantee that revolutionized the entire concept of settlement system in India. It commenced clearing operations in April 1996. It has been set up to bring and sustain confidence in clearing and settlement of securities; to promote and maintain short and consistent settlement cycles; to provide counter-party risk guarantee, and to operate a tight risk containment system. It carries out the clearing and settlement of the trades executed in the equities and derivatives segments of the NSE. It operates a well-defined settlement cycle and there are no deviations or deferments from this cycle. It aggregates trades over a trading period T, nets the positions to determine the liabilities of members and ensures movement of funds and securities to meet respective liabilities. It also operates Subsidiary General Ledger (SGL) for settling trades in government securities for its constituents. It has been managing clearing and settlement functions since its inception without a single failure or clubbing of settlements. It assumes the counter-party risk of each member and guarantees financial settlement. It also undertakes settlement of transactions on other stock exchanges like the Over the Counter Exchange of India. It operates Mutual Fund Service System to clear and settle purchase and redemption of mutual fund units for individual investors. It has tied up with 13 Clearing Banks viz., Canara Bank, Citi bank N.A, HSBC Ltd., HDFC Bank, IndusInd Bank, ICICI Bank, Kotak Mahindra Bank, Axis Bank Lt,. Bank of India, IDBI Bank, Standard Chartered Bank, State Bank of India and Union Bank of India for funds settlement while it has direct connectivity with depositories for settlement of securities. It has also initiated a working capital facility in association with the clearing banks that helps clearing members to meet their working capital requirements. Any clearing bank interested in utilizing this facility has to enter into an agreement with NSCCL and with the clearing member. NSCCL has also introduced the facility of direct payout to clients’ account on both the depositories. It ascertains from each clearing member, the beneficiary account details of their respective clients who are due to receive pay out of securities. It has provided its members with a front-end for creating the file through which the information is provided to NSCCL. Based on the information received from members, it sends payout instructions to the depositories, so that the client receives the pay out of securities directly to their accounts on the pay-out day. NSCCL currently settles trades under T+2 rolling settlement. It has the credit of continuously upgrading the clearing and settlement procedures and has also brought Indian financial markets in line with international markets. It has put in place online real-time monitoring and surveillance system to keep track of the trading and clearing members’ outstanding positions and each member is allowed to trade/operate within the 14 pre-set limits fixed according to the funds available with the Exchange on behalf of the member. The online surveillance mechanism also generates various alerts/reports on any price/volume movements of securities not in line with the trends/patterns. NSDL Prior to trading in a dematerialized environment, settlement of trades required moving the securities physically from the seller to the ultimate buyer, through the seller’s broker and buyer’s broker, which involved lot of time and the risk of delay somewhere along the chain. Further, the system of transfer of ownership was grossly inefficient as every transfer involved physical movement of paper to the issuer for registration, with the change of ownership being evidenced by an endorsement on the security certificate. In many cases, the process of transfer took much longer than stipulated in the then regulations. Theft, forgery, mutilation of certificates and other irregularities were rampant. All these added to the costs and delays in settlement, restricted liquidity. To obviate these problems, NSE to promote dematerialization of securities joined hands with UTI and IDBI to set up the first depository in India called the “National Securities Depository Limited” (NSDL). The depository system gained quick acceptance and in a very short span of time it was able to achieve the objective of eradicating the paper from the trading and settlement of securities, and was also able to get rid of the risks associated with fake/forged/stolen/bad paper. Dematerialized delivery today constitutes almost 100% of total of the total delivery based settlement. NSE Infotech Services Ltd NSE Infotech Services Ltd Information Technology has been the back bone of conceptualization, formation, running and the success of National Stock Exchange of India Limited (NSE). NSE has been at the forefront in spearheading technology changes in the securities market. It was important to give a special thrust and focus on Information Technology to retain the primacy in the market. Towards this a wholly owned subsidiary M/s. NSE Infotech Services Limited (NSETECH) was incorporated to cater to the needs of NSE and all it’s group companies exclusively. NSE.IT NSE.IT Limited, a 100% technology subsidiary of NSE, was incorporated in October 1999 to provide thrust to NSE’s technology edge, concomitant with its overall goal of harnessing latest technology for optimum business use. It provides the securities industry with technology that ensures transparency and efficiency in the trading, clearing and risk management systems. Additionally, NSE.IT provides consultancy services in the areas of data warehousing, internet and business continuity plans. Amongst various products launched by NSE.IT are NEAT XS, a Computer-To-Computer Link (CTCL) order routing system, NEAT iXS, an internet trading system and Probos, professional broker’s back office system. NSE.IT also offers an e-learning portal, finvarsity (www.finvarsity.com) dedicated to the finance sector. The site is powered by Enlitor - a 15 learning management system developed by NSE.IT jointly with an e-learning partner. New initiatives include payment gateways, products for derivatives segments and Enterprise Management Services. IISL India Index Services and Products Limited (IISL), a joint venture of CRISIL and NSE, was set up in May 1998 to provide indices and index services. It has a licensing and marketing agreement with Standard and Poor’s (S&P), the world’s leading provider of investible equity indices, for co-branding equity indices. IISL is India’s first specialized company focusing upon the index as a core product. It provides a broad range of services, products and professional index services. It maintains over 96 equity indices comprising broad-based benchmark indices, sectoral indices and customised indices. Many investment and risk management products based on IISL indices have developed in the recent past, within India and abroad. These include index based derivatives on NSE and on Singapore Exchange, India’s first exchange traded fund, a number of index funds, and Licensing of the Index for various structured products NCDEX NSE joined hand with other financial institutions in India to promote the NCDEX which provides for a world class commodity exchange platform for Market Participants to trade in wide spectrum of commodity derivatives. Currently NCDEX facilitates trading of 48 agro based commodities, 2 precious metal, 6 base metal, 3 energy products and 3 polymers. NCCL National Commodity Clearing Limited (NCCL) is a company promoted by National Stock Exchange of India Limited (NSEIL). It was incorporated in the year 2006. One of the objectives of NCCL is to provide and manage clearing and settlement, risk management and collateral management services to commodity exchanges. NCCL is having the requisite experience and exposure in providing clearing and settlement facility, risk and collateral management services in the commodities market including funds settlement with multiple clearing banks. Currently NCCL is providing clearing and settlement services to NCDEX. PXI A National Level Power Exchange by the name of Power Exchange India Limited (PXI) has been set up through a Joint Venture by India’s two leading Exchanges, National Stock Exchange of India Ltd (NSE) and National Commodity & Derivatives Exchange Ltd (NCDEX). PXI has got the in-principle approval from CERC to set up and operate the power exchange and will operate as a National Level electricity exchange covering the entire Indian electricity market. 16 Table 1-1 : Board of Directors* * 1 Mr. S. B. Mathur Chairman 2 Mr. Ravi Narain National Stock Exchange of India Ltd. MD & CEO 3 Ms. Chitra Ramkrishna National Stock Exchange of India Ltd. Deputy Managing Director 4 Mr. C. Achuthan Former Presiding Officer, Securities Appellate Tribunal Director 5 Mr. Anjan Barua Chief General Manager ( Global Markets), State Bank of India Director 6 Rear Admiral Madan Mohan Chopra AVSM (Retd.) Director 7 Mr. A. P. Kurian Chairman, Association of Mutual Funds in India Director 8 Dr. Rajiv B. Lall Managing Director & CEO, Infrastructure Development Finance Company Limited Director 9 Mr. Lawrence Leibowitz Group EVP and Head of US Markets & Global Technology NYSE Euronext Director 10 Mr. Anand G. Mahindra Vice Chairman & Managing Director, Mahindra & Mahindra Ltd. Director 11 Mr. Y. H. Malegam Chairman Emeritus, M/s. S.B. Billimoria & Co. Chartered Accountants Director 12 Prof. (Dr.) K. R. S. Murthy Professor & Former Director, Indian Institute of Management, Bangalore Director 13 Dr. R. H. Patil Chairman, The Clearing Corporation of India Limited Director 14 Ms. Bhagyam Ramani General Manager, General Insurance Corporation of India Director 15 Dr. V. A. Sastry Director 16 Mr. Onkar Nath Singh Ex-Chairman & Mananging Director Industrial Investment Bank of India Ltd. Director 17 Mr. Justice B.N.Srikrishna (Retd.) Former Judge, Supreme Court of India Director 18 Mr. T. S. Vijayan Chairman Life Insurance Corporation of India Director As of July 15, 2008. 17 Table 1-2 : Executive Committees * 18 I CM & WDM SEGMENTS 1 Mr. Ravi Narain MD & CEO, National Stock Exchange of India Ltd. Chairman 2 Mr. Ashok Kumar Agarwal Chairman, Globe Capital Market Ltd. Trading Member 3 Mr. D. C. Anjaria Director, International Financial Solutions Pvt. Ltd. Public Representative 4 Mr. Vimal Bhandari Country Manager – India AEGON International NV Public Representative 5 Mr. C. J. George Managing Director, Geojit Financial Services Ltd. Trading Member 6 Mr. Y. H. Malegam Chairman Emeritus, S.B.Billimoria & Co. Chartered Accountants Public Representative 7 Ms. Chitra Ramkrishna Deputy Managing Director, National Stock Exchange of India Ltd Other Nominees 8 Mr. Rashesh Shah Director, Edelweiss Securities Pvt. Ltd. Trading Member 9 Mr. Ramesh Kumar Somani Whole-time Director, Eureka Stock & Share Broking Services Ltd Trading Member 10 Mr. P. M. Venkatasubramanian Ex-Managing Director, GIC Other Nominees 11 Mr. Gagan Rai Managing Director & CEO, National Securities Depository Limited Other Nominees II F&O MARKET SEGMENT 1 Mr. Ravi Narain MD & CEO, National Stock Exchange of India Ltd. Chairman 2 Mr. D.C.Anjaria Director, International Finance Solutions Pvt. Ltd. Public Representative 3 Prof. V. Ravi Anshuman Indian Institute of Management Bangalore Public Representative 4 Mr. Sunil Godhwani Managing Director, Religare Securities Ltd. Trading Member 5 Mr. Shailesh Haribhakti Chairman Haribhakti Group Public Representative 6 Mr. Ketan Marwadi Managing Director, Marwadi Shares and Finance Limited Trading Member 7 Mr. M. Raghavendra Ex-General Manager, General Insurance Other Nominees Corporation of India 8 Ms. Chitra Ramkrishna Deputy Managing Director, National Stock Exchange of India Ltd Other Nominees 9 Ms. T. S. Jagadharini Vice President, National Stock Exchange of India Limited Other Nominees As of July 15, 2008. Membership Administration 2 20 Membership Administration 2 The trading in NSE has a three tier structure-the trading platform provided by the Exchange, the broking and intermediary services and the investing community. The trading members have been provided exclusive rights to trade subject to their continuously fulfilling the obligation under the Rules, Regulations, Byelaws, Circulars, etc. of the Exchange. The trading members are subject to its regulatory discipline. Any person can become a trading member by complying with the prescribed eligibility criteria and exit by surrendering trading membership without any hidden/overt cost. There are no entry/exit barriers to trading membership. Eligibility Criteria The Exchange stresses on factors such as corporate structure, capital adequacy, track record, education, experience, etc. while granting trading rights to its members. This reflects a conscious effort by the Exchange to ensure quality broking services which enables to build and sustain confidence in the Exchange’s operations. The standards stipulated by the Exchange for trading membership are substantially in excess of the minimum statutory requirements as also in comparison to those stipulated by other exchanges in India. The exposure and volume of transactions that can be undertaken by a trading member are linked to liquid assets in the form of cash, bank guarantees, etc. deposited by the member with the Exchange as part of the membership requirements. The trading members are admitted to the different segments of the Exchange subject to the provisions of the Securities Contracts (Regulation) Act, 1956, the Securities and Exchange Board of India Act, 1992, the rules, circulars, notifications, guidelines, etc., issued there under and the byelaws, Rules and Regulations of the Exchange. All trading members are registered with SEBI. Trading Membership A prospective trading member is admitted to any of the following combinations of market segments: • Wholesale Debt Market (WDM) segment, • Capital Market (CM) and the Futures and Options (F&O) segments, • CM Segment and the WDM segment, or • CM Segment, the WDM and the F&O segment. In order to be admitted as a trading member, the individual trading member/at least two partners of the applicant firm/at least two directors of the applicant corporate must be graduates and must possess at least two years’ experience in securities markets. The applicant for trading membership/any of its partners/ 21 shareholders/directors must not have been declared defaulters on any stock exchange, must not be debarred by SEBI for being associated with capital market as intermediaries and must not be engaged in any fund-based activity. For the F&O segment, at least two dealers should also have passed SEBI-approved certification test for derivatives. In case of corporate applicant, the minimum paid up capital should be Rs. 30 lakh and the dominant promoter/shareholder group should hold at least 51% (40% in case of listed companies) of paid-up equity capital of such corporate entity. The net worth required for trading members on CM & F&O Segment is 100 lakh, however, a net worth of Rs. 300 lakh is required for members clearing for self as well as for other trading members. Clearing Membership The trades executed on the Exchange may be cleared and settled by a clearing member. The trading members in the CM segment are also clearing members. In the F&O segment, some members, who are registered with SEBI as self-clearing members, clear and settle their own trades. Certain others, registered as trading member-cum-clearing member, clear and settle their own trades as well as trades of other trading members. Besides this, there is a special category of members, called professional clearing members (PCMs), who do not trade but only clear trades executed by others. This means that some members clear and settle their trades through a trading member-cum-clearing member or a PCM, not themselves. The members clearing their own trades or trades of others, and the PCMs are required to bring in additional security deposits in respect of every trading member whose trades they undertake to clear and settle. The requirements of trading membership and clearing membership are presented in Tables 2-1A and 2-1B. Growth and Distribution of Members As at end March 2008, the Exchange had 1,075 members. A large majority (91.72 %) of them were corporate members, and the remaining, individuals and firms. There were 1,069, 63 and 942 members in the CM, WDM and F&O segments respectively. The growth of membership on NSE is presented in Table 2-2. The distribution of trading members on the Exchange as at end March 2008 is presented below: Distribution of Trading Members (as on March 31, 2008) CM Segment 22 WDM Segment CM & WDM Segment CM, WDM & F&O Segment CM & F&O Segment Total Corporates 97 6 8 48 827 986 Individuals 10 0 0 0 34 44 Firms 12 0 0 0 33 45 Total 119 6 8 48 894 1,075 A total of 21,083 (1,359 corporates, 1,467 partnership firms and 18,257 individuals) sub-brokers were affiliated to 505 trading members of the Exchange on March 31, 2008. Transaction Charges In addition to annual fees, members are required to pay transaction charges on trades undertaken by them. They pay transaction charges at the rate of Rs. 3.5 for every Rs. 1 lakh of turnover in the CM segment. The transaction charges payable to the exchange by the trading member for the trades executed by him on the F&O segment are fixed at the rate of Rs. 2 per lakh of turnover (0.002%) subject to a minimum of Rs. 1,00,000 per year. However, for the transactions in the options sub-segment the transaction charges will be levied on the premium value at the rate of 0.05% (each side) instead of on the strike price as levied earlier. The Exchange has waived the transaction charges for Wholesale Debt Market Segment of the Exchange for the period April 1, 2007 to March 31, 2008. 23 24 25 25** 1 Individual trading member/ two partners/two At least two directors A t l e a s t t w o directors should directors should be graduates. Dealers should should be graduates. be graduates. also have passed SEBI approved certification test for derivatives and Capital Market (Basic or Dealers) Module of NCFM. Collateral Security Deposit (CSD) Annual Subscription Education 1 At least two directors should be graduates. Dealers should also have passed SEBI approved certification test for derivatives and Capital Market (Basic or Dealers) Module of NCFM. 2 25** 275** 200* The Applicant/Partners/Directors should not be defaulters on any stock exchange. They must not be debarred by SEBI for being associated with capital market as intermediaries They must be engaged solely in the business of securities and must not be engaged in any fund-based activity. -----------------------Two year’s experience in securities market----------------------- 2 Nil 150 200 30 Corporates CM, WDM and F&O Segment (All values in Rs. lakh) member clearing for others is required to bring in IFSD of Rs. 2 lakh and CSD of Rs. 8 lakh per trading member he undertakes to clear in the F&O segment. Additional Rs. 25 lakh is required for clearing membership (self-clearing member/members clearing for self as well as for others) in the F&O segment. In addition, a as for other trading members. No additional networth is required for self-clearing members in the F&O segment. However, a networth of Rs. 300 lakh is required for members clearing for self as well Track Record ** * 250 Interest Free Security Deposit 125** (IFSD) Experience 200 100* 30 Net Worth 30 30 Corporates WDM Segment Paid-up capital (in case of corporates) Corporates CM and WDM Segment Individuals/Firms/Corporates CM and F&O Segment Constitution Particulars Table 2-1A : Eligibility Criteria for Memberhip Table 2-1B : Requirements for Professional Clearing Memberhip (All values in Rs. lakh) Particulars CM Segment Eligibility F&O Segment CM and F&O Segment Trading Member of NSE/SEBI Registered Custodians/Recognised Banks Net Worth 300 300 300 Interest Free Security Deposit (IFSD) * 25 25 34 Collateral Security Deposit (CSD) 25 25 50 Annual Subscription 2.5 Nil 2.5 * The Professional Clearing Member (PCM) is required to bring in IFSD of Rs. 2 lakh and CSD of Rs. 8 lakh per trading member whose trades he undertakes to clear in the F&O segment and IFSD of Rs. 6 lakh and CSD of Rs. 17.5 lakh (Rs. 9 lakh and Rs. 25 lakh respectively for corporate Members) per trading member in the CM segment. Table 2-2 : Growth and Distribution of Members Trading Members Month/Year (end of period) CM Segment WDM Segment F&O Segment Total * Professional Clearing Member Mar-95 348 88 – 353 Mar-96 890 104 – 895 – Mar-97 1,013 111 – 1,019 – Mar-98 964 108 – 970 – Mar-99 918 99 – 924 – Mar-00 883 94 – 892 – Mar-01 973 90 340 980 13 Mar-02 928 88 484 936 13 Apr-02 927 89 502 935 13 May-02 926 88 501 934 13 Jun-02 920 86 449 928 13 Jul-02 918 85 521 926 13 Aug-02 914 84 532 921 13 Sep-02 912 84 532 919 13 Oct-02 907 82 540 914 13 Contd... 25 Contd... Table 2-2 : Growth and Distribution of Members Trading Members Month/Year (end of period) CM Segment WDM Segment F&O Segment Total * Professional Clearing Member Nov-02 899 82 539 906 13 Dec-02 894 81 544 901 14 Jan-03 891 81 546 899 13 Feb-03 889 79 551 897 13 Mar-03 887 78 553 895 13 Apr-03 882 77 561 890 13 May-03 874 77 566 882 13 Jun-03 870 77 568 879 13 Jul-03 863 75 568 872 13 Aug-03 859 75 568 869 13 Sep-03 860 75 574 871 14 Oct-03 860 75 578 871 14 Nov-03 857 75 579 868 14 Dec-03 860 75 583 871 14 Jan-04 861 76 584 872 14 Feb-04 861 76 588 872 16 Mar-04 862 78 589 874 16 Apr-04 860 75 595 872 16 May-04 860 75 599 872 17 Jun-04 863 75 614 874 17 Jul-04 865 75 621 876 17 Aug-04 866 75 621 877 17 Sep-04 866 74 620 876 17 Oct-04 869 76 625 880 17 Nov-04 868 74 628 879 17 Dec-04 867 74 634 878 17 Jan-05 872 74 646 883 17 Feb-05 876 75 652 886 16 Mar-05 881 75 661 891 17 Apr-05 884 75 667 894 17 May-05 886 75 676 896 17 Jun-05 885 75 679 895 17 Jul-05 883 74 679 893 16 Aug-05 887 71 695 896 17 Contd... 26 Contd... Table 2-2 : Growth and Distribution of Members Trading Members Month/Year (end of period) CM Segment WDM Segment F&O Segment Total * Professional Clearing Member Sep-05 892 70 702 899 17 Oct-05 900 70 704 907 17 Nov-05 902 70 706 909 17 Dec-05 903 70 716 910 17 Jan-06 915 70 731 922 17 Feb-06 920 68 753 927 19 Mar-06 933 68 767 940 19 Apr-06 937 68 776 944 17 May-06 937 68 776 944 17 Jun-06 950 68 789 957 18 Jul-06 950 68 789 957 18 Aug-06 964 68 804 971 19 Sep-06 966 68 806 973 19 Oct-06 965 66 805 972 19 Nov-06 972 66 811 979 19 Dec-06 978 64 819 985 19 Jan-07 991 64 832 998 19 Feb-07 995 63 836 1,002 19 1,002 63 845 1,009 19 Mar-07 Apr-07 1,003 62 849 1,009 19 May-07 1,005 62 851 1,011 19 Jun-07 1,008 62 859 1,014 19 Jul-07 1,018 62 884 1,024 19 Aug-07 1,014 62 871 1,020 19 Sep-07 1,016 62 877 1,022 19 Oct-07 1,018 62 884 1,024 19 Nov-07 1,018 62 884 1,024 19 Dec-07 1,025 62 892 1,031 19 Jan-08 1,033 62 901 1,039 19 Feb-08 1,051 62 919 1,057 19 Mar-08 1,069 62 942 1,075 19 -- Not Applicable * Do not add up to total because of multiple membership. Note: Number of SEBI registered members excluding surrendered, dafaulter and expelled members. 27 28 Listing of Securities 3 30 Listing of Securities 3 The stocks, bonds and other securities issued by issuers require listing for providing liquidity to investors. Listing means formal admission of a security to the trading platform of the Exchange. It provides liquidity to investors without compromising the need of the issuer for capital and ensures effective monitoring of conduct of the issuer and trading of the securities in the interest of investors. The issuer wishing to have trading privileges for its securities satisfies listing requirements prescribed in the relevant statutes and in the listing regulations of the Exchange. It also agrees to pay the listing fees and comply with listing requirements on a continuous basis. All the issuers who list their securities have to satisfy the corporate governance requirement framed by regulators. Benefits of Listing on NSE The benefits of listing on NSE are as enumerated below: • NSE provides a trading platform that extends across the length and breadth of the country. Listing on NSE thus, enables issuers to reach and service investors across the country. • NSE being the largest stock exchange in terms of trading volumes, the securities trade at low impact cost and are highly liquid. This in turn reduces the cost of trading to the investor. • The trading system of NSE provides unparallel level of trade and post-trade information. The best 5 buy and sell orders are displayed on the trading system and the total number of securities available for buying and selling is also displayed. This helps the investor to know the depth of the market. Further, corporate announcements, results, corporate actions etc are also available on the trading system, thus reducing scope for price manipulation or misuse. • The facility of making initial public offers (IPOs), using NSE’s network and software, results in significant reduction in cost and time of issues. • NSE’s web-site www.nseindia.com provides a link to the web-sites of the companies that are listed on NSE, so that visitors interested in any company can visit that company’s web-site from the NSE site. • Listed companies are provided with monthly trade statistics for the securities of the company listed on the Exchange. • The listing fee is nominal. 31 Listing Criteria The Exchange has laid down criteria for listing of new issues by companies through IPOs, companies listed on other exchanges in conformity with the Securities Contracts (Regulation) Rules, 1957 and directions of the Central Government and the Securities and Exchange Board of India (SEBI). The criteria include minimum paid-up capital and market capitalisation, company/promoter’s track record, etc. The listing criteria for companies in the CM Segment are presented in Table 3-1. The issuers of securities are required to adhere to provisions of the Securities Contracts (Regulation) Act, 1956, the Companies Act, 1956, the Securities and Exchange Board of India Act, 1992, and the rules, circulars, notifications, guidelines, etc. prescribed there under. Listing Agreement All companies seeking listing of their securities on the Exchange are required to enter into a formal listing agreement with the Exchange. The agreement specifies all the quantitative and qualitative requirements to be continuously complied with by the issuer for continued listing. The Exchange monitors such compliance and companies who do not comply with the provisions of the listing agreement may be suspended from trading on the Exchange. The agreement is being increasingly used as a means to improve corporate governance. Compliance by Listed Companies NSE has institutionalised a process of verifying compliance of various conditions of the listing agreement. It conducts a periodic review for compliance on account of announcement of book closure/record date, announcement of quarterly results, submission of shareholding pattern, annual reports, appointment of compliance officer, corporate governance report, investor grievances and various disclosures etc. Disclosures by Listed Companies It is essential that all critical price sensitive/material information relating to securities is made available to the market participants and the investors immediately to enable them to take informed decisions in respect of their investments in securities. The Exchange therefore ensures certain important timely disclosures by listed companies and disseminates them to market through the NEAT terminals and through its website. These disclosures include corporate actions, quarterly/half yearly results, decisions at board meeting, non-promoters’ holding, announcements / press releases etc. 32 De-listing There are two kinds of delisting which can be done from the Exchanges as per the SEBI (Delisting of Securities) Guidelines, 2003 in the following manner: Voluntary De-listing of Companies Any promoter or acquirer desirous of delisting securities of the company under the provisions of these guidelines shall obtain the prior approval of shareholders of the company by a special resolution passed at its general meeting, make a public announcement in the manner provided in these guidelines, make an application to the delisting exchange in the form specified by the exchange, and comply with such other additional conditions as may be specified by the concerned stock exchanges from where securities are to be de-listed. Any promoter of a company which desires to de-list from the stock exchange shall also determine an exit price for delisting of securities in accordance with the book building process as stated in the guidelines. The stock exchanges shall provide the infrastructure facility for display of the price at the terminal of the trading members to enable the investors to access the price on the screen to bring transparency to the delisting process. Compulsory De-listing of Companies The stock exchanges may de-list companies which have been suspended for a minimum period of six months for non-compliance with the listing agreement. The stock exchanges shall give adequate and wide public notice through newspapers and also give a show cause notice to a company. The exchange shall provide a time period of 15 days within which representation may be made to the exchange by any person who may be aggrieved by the proposed delisting. The Stock Exchanges may, after consideration of the representation received from the aggrieved persons, delist the securities of such companies. The stock exchange shall ensure that adequate and wide public notice is given through newspaper and on the notice boards/trading systems of the stock exchanges and shall ensure disclosure in all such notices of the fair value of such securities. The stock exchange shall display the name of such company on its website. Where the securities of the company are de-listed by an exchange, the promoter of the company shall be liable to compensate the security holders of the company by paying them the fair value of the securities held by them and acquiring their securities, subject to their option to remain security-holders with the company. The table below gives the names of the six companies delisted from the Exchange during 2007-08. 33 Sr. No. Name of the Company Date of Delisting 1 Yokogawa India Limited 10-May-07 2 Wartsila India Ltd 19-Jun-07 3 FCI OEN Connectors Limited 17-Sep-07 4 Panasonic AVC Networks India Co. Limited. 14-Dec-07 5 Essar Steel Limited 24-Dec-07 6 iGate Global Solutions Limited 4-Feb-08 CM Segment Two categories, namely ‘listed’ and ‘permitted to trade’ categories of securities (equity shares, preference shares and debentures) are available for trading in the CM segment. However, the permitted to trade category has been phased out gradually and no new company is been given the benefit of this category. At the end of March 2008, 1,381 companies were listed while 1,236 companies available for trading. These securities had a market capitalisation of Rs. 48,58,122 crore (US $ 1,215,442 million). The growth of securities available for trading on the CM segment is presented in Table 3-2. Listing Fees The listing fees charged by the Exchange are presented in the following table: Listing Fees in the CM Segment Sr. No. Listing Fees Amount (Rs.) 1 Initial Listing Fees 2 Annual Listing Fees (based on paid up share, bond and/ or debenture and/or debt capital, etc.) 25,000 a) Upto Rs. 1 Crore 10,000 b) Above Rs. 1 Crore and upto Rs.5 Crores 15,000 c) Above Rs. 5 Crore and upto Rs.10 Crores 25,000 d) Above Rs. 10 Crore and upto Rs.20 Crores 45,000 e) Above Rs. 20 Crore and upto Rs.30 Crores 70,000 f) Above Rs. 30 Crore and upto Rs.40 Crores 75,000 g) Above Rs. 40 Crore and upto Rs.50 Crores 80,000 Contd... 34 Contd... Listing Fees in the CM Segment Sr. No. Listing Fees Amount (Rs.) h) Above Rs. 50 Crores and upto Rs.100 Crores 1,30,000 i) Above Rs. 100 Crore and upto Rs.150 Crores 1,50,000 j) Above Rs. 150 Crore and upto Rs.200 Crores 1,80,000 k) Above Rs. 200 Crore and upto Rs.250 Crores 2,05,000 l) Above Rs. 250 Crore and upto Rs.300 Crores 2,30,000 m) Above Rs. 300 Crore and upto Rs.350 Crores 2,55,000 n) Above Rs. 350 Crore and upto Rs.400 Crores 2,80,000 o) Above Rs. 400 Crore and upto Rs.450 Crores 3,25,000 p) Above Rs. 450 Crore and upto Rs.500 Crores 3,75,000 Companies which have a paid up share, bond and/ or debenture and/or debt capital, etc. of more than Rs.500 crores will have to pay minimum fees of Rs.3,75,000 and an additional listing fees of Rs.2,500 for every increase of Rs.5 crores or part thereof in the paid up share, bond and/ or debenture and/or debt capital, etc. Companies which have a paid up share, bond and/ or debenture and/or debt capital, etc. of more than Rs.1,000 crores will have to pay minimum fees of Rs.6,30,000 and an additional listing fees of Rs.2,750 for every increase of Rs.5 crores or part thereof in the paid up share, bond and/ or debenture and/or debt capital, etc. Shareholding Pattern In the interest of transparency, the issuers are required to disclose shareholding pattern on a quarterly basis. Table 3-3 presents the sector-wise shareholding pattern at end March 2008 of companies listed on NSE. On an average, the promoters hold more than 56.12% of total shares. Though non-promoter holding is nearly 41.91 %, Indian public held only 13.07% and the institutional holdings by Financial Institutions / Banks / Central Government / State Government / Insurance Companies, FIIs, MFs, VCF’s accounted for 19.37 %. WDM Segment In the WDM segment, all government securities, state development loans and treasury bills are ‘deemed’ listed as and when they are issued. Other than those mentioned above, all eligible debt securities whether publicly issued or privately placed can be made available 35 for trading in the WDM segment. Amongst other requirements, privately placed debt paper of banks, institutions and corporates require an investment grade credit rating to be eligible for listing. The listing requirements for securities on the WDM segment are presented in Table 3-4. The growth of securities available for trading on the WDM segment is presented in Table 3-5. As at end March 2008, 3,566 securities with issued capital of Rs.2,103,082 crore (US $ 526,165) and a market capitalisation of Rs.2,123,346 crore (US $ 531,235) were available for trading on the WDM segment. FUNDS MOBILISATION ON THE EXCHANGE During the year 2007-08, the resources raised through Public Issues, Rights Issues, QIP and Preferential Allotments is summarized in the table below. Particulars No. of Issues Amount Amount (Rs.cr) (US $ mn) Public Issues 77 62,483.70 15,632.65 IPOs 74 41,899.13 10,482.64 FPOs 3 20,584.57 5,150.01 Rights Issues 14 13,413.79 3,355.96 QIP 33 24,434.17 6,113.13 Preferential Allotment 174 24,026.97 6,011.25 Total 298 124,358.64 31,112.99 Initial Public Offerings (IPO’s) During the year 2007-08, 74 companies were listed through IPO and the amount mobilized through issuance of IPOs was Rs.41, 899.13 crore (US $ 10,482.64 million). The biggest IPO was that of Reliance Power Limited from the Infrastructure sector whose issue size was Rs.11,563.20 crore (US $ 2,893 million). DLF Limited was the second largest IPO during the year, issue size of which was Rs.9,187.50 crore ( US $ 2,299 million) followed by Power Grid Corporation of India Ltd. with issue size of Rs.2,984.45 crore (US $ 746.67 million). The details of IPOs listed on NSE during 2007-08 is presented in Table 3-6. FPOs During the year 2007-08 three companies raised capital through the FPO route raising resources worth Rs. 20,584.57 crore (US $ 5,150.01 million). The details of FPOs listed on NSE during 2007-08 is presented in Table 3-7. 36 RIGHTS ISSUES There were 14 Rights issues during 2007-08, out of which Tata Steel Limited was the largest in terms of issue size of Rs.9,120.85 crore (US $ 2,281.92 million). The details of Rights Issues listed on NSE during 2007-08 is presented in Table 3-8. PREFERENTIAL ALLOTMENT/PRIVATE PLACEMENT During 2007-08, there were 174 preferential allotments that raised Rs.24,026.97 crore (US $ 6,011.25 million). The details of Preferential Allotment listed on NSE during 2007-08 are presented in Table 3-9. QIPs The amount raised through 33 QIPs during 2007-08, was Rs.24,413.17 crore (US $ 6,113.13 million). GMR Infrastructure raised the highest amount of Rs.3,965.71 (US $ 992.17 million).The details of QIPs are presented in Table 3-10. Chart 3-1 Number of Companies Listed 37 Table 3-1 : Listing Criteria for Companies on the CM Segment of NSE Criteria Initial Public Offerings (IPOs) Companies listed on other exchanges Paid-up Equity PUEC ≥ Rs. 10 cr. and Capital (PUEC)/ MC ≥ Rs. 25 cr. Market Capitalisation (MC) /Net Worth PUEC ≥ Rs. 10 cr. and MC ≥ Rs. 25 cr. OR PUEC ≥ Rs. 25 cr. OR MC ≥ Rs. 50 cr. OR The company shall have a net worth of not less than Rs.50 crores in each of the preceding financial years. Company/ Promoter’s Track Record Atleast three years track record of either Atleast 3 years track record of either (a) the applicant seeking listing OR (b) the promoters/promoting company incorporated in or outside India OR (c) Partnership firm and subsequently converted into Company not in existence as a Company for three years) and approaches the Exchange for listing. The Company subsequently formed would be considered for listing only on fulfillment of conditions stipulated by SEBI in this regard. (a) the applicant seeking listing; OR (b) the promoters/promoting company, incorporated in or outside India. Dividend Record / Net worth / Distributable Profits – Dividend paid in at least 2 out of the last 3 financial years immediately preceding the year in which the application has been made OR The networth of the applicants atleast Rs.50 crores OR The applicant has distributable profits in at least two out of the last three financial years. Listing – Listed on any other recognised stock exchange for at least last three years OR listed on the exchange having nationwide trading terminals for at least one year. Other Requirements (a) No disciplinary action by other stock exchanges/regulatory authority in past 3 yrs. (a) No disciplinary action by other stock exchanges/regulatory authority in past 3 yrs. (b) Satisfactory redressal mechanism for investor grievances, (b) Satisfactory redressal mechanism for investor grievances, (c) distribution of shareholding and (c) distribution of shareholding and (d) details of litigation record in past 3 years. (d) details of litigation record in past 3 years. (e) Track record of Directors of the Company (e) Track record of Directors of the Company (f) 38 Change in control of a Company/Utilisation of funds raised from public Note: 1. 2. (a) In case of IPOs, Paid up Equity Capital means post issue paid up equity capital. (b) In case of Existing companies listed on other exchanges, the existing paid up equity capital as well as the paid up equity capital after the proposed issue for which listing is sought shall be taken into account. (a) In case of IPOs, market capitalisation is the product of the issue price and the post-issue number of equity shares. (b) In case of case of Existing companies listed on other stock exchanges the market capitalisation shall be calculated by using a 12 month moving average of the market capitalisation over a period of six months immediately preceding the date of application. For the purpose of calculating the market capitalisation over a 12 month period, the average of the weekly high and low of the closing prices of the shares on any of the recognised Stock Exchanges where those shares were frequently traded shall be taken into account while determining market capitalisation after making necessary adjustments for Corporate Action such as Rights / Bonus Issue/Split. 3. In case of Existing companies listed on other stock exchanges, the requirement of Rs.25 crores market capital shall not be applicable to listing of securities issued by Government Companies, Public Sector Undertakings, Financial Institutions, Nationalised Banks, Statutory Corporations and Banking Companies who are otherwise bound to adhere to all the relevant statutes, guidelines, circulars, clarifications etc. that may be issued by various regulatory authorities from time to time. 4. Net worth means paid-up equity capital + reserves excluding revaluation reserve - miscellaneous expenses not written off - negative balance in profit and loss account to the extent not set off. 5. Promoters mean one or more persons with minimum 3 years of experience of each of them in the same line of business and shall be holding at least 20 % of the post issue equity share capital individually or severally. 6. In case a company approaches the Exchange for listing within six months of an IPO, the securities may be considered as eligible for listing if they were otherwise eligible for listing at the time of the IPO. If the company approaches the Exchange for listing after six months of an IPO, the norms for existing listed companies may be applied and market capitalisation be computed based on the period from the IPO to the time of listing. 39 Table 3-2 : Companies Listed/Permitted to Trade/Available for Trading on the CM Segment Month/Year (end of period) No. of Companies Listed* No. of Companies Permitted to Trade* No. of Companies Available for Trading*@ Market Market Capitalisation* Capitalisation* (Rs. crore) (US $ mn) Nov-94 0 300 300 292,637 93,108 Mar-95 135 543 678 363,350 115,606 Mar-96 422 847 1,269 401,459 116,873 Mar-97 550 934 1,484 419,367 116,880 Mar-98 612 745 1,357 481,503 121,807 Mar-99 648 609 1,254 491,175 115,761 Mar-00 720 479 1,152 1,020,426 240,496 Apr-00 725 473 1,145 846,391 181,473 May-00 733 431 1,109 790,478 169,485 Jun-00 741 423 1,109 852,554 182,795 Jul-00 747 410 1,094 746,402 160,035 Aug-00 751 410 1,089 794,516 170,351 Sep-00 758 379 1,070 730,350 156,593 Oct-00 764 377 1,067 707,121 151,613 Nov-00 767 376 1,070 764,177 163,846 Dec-00 775 350 1,050 760,391 163,034 Jan-01 778 348 1,050 807,641 173,165 Feb-01 782 320 1,026 789,600 169,297 Mar-01 785 320 1,029 657,847 141,048 Apr-01 790 319 1,031 653,720 133,959 May-01 789 318 1,030 592,437 121,401 Jun-01 790 292 1,001 569,797 116,762 Jul-01 785 294 994 574,260 117,676 Aug-01 786 293 994 575,242 117,877 Sep-01 788 293 987 509,105 104,325 Oct-01 789 292 986 535,846 109,805 Nov-01 788 268 956 581,386 119,136 Dec-01 788 268 956 552,908 113,301 Jan-02 794 199 893 563,683 115,509 Feb-02 791 198 889 621,523 127,361 Mar-02 793 197 890 636,861 130,504 Apr-02 800 173 865 649,551 136,748 May-02 798 172 863 631,609 132,970 Jun-02 799 170 848 659,991 138,945 Jul-02 799 163 841 608,643 128,135 Contd... 40 Contd... Table 3-2 : Companies Listed/Permitted to Trade/Available for Trading on the CM Segment Month/Year (end of period) Aug-02 No. of Companies Listed* No. of Companies Permitted to Trade* 799 161 Sep-02 801 Oct-02 803 Nov-02 No. of Companies Available for Trading*@ Market Market Capitalisation* Capitalisation* (Rs. crore) (US $ mn) 839 632,618 133,183 161 840 599,603 126,232 119 803 606,788 127,745 805 118 788 645,388 135,871 Dec-02 809 116 788 672,862 141,655 Jan-03 814 112 789 572,277 120,479 Feb-03 818 107 788 581,985 122,523 Mar-03 818 107 788 537,133 113,081 Apr-03 830 78 771 530,630 122,293 May-03 847 61 769 612,030 141,053 Jun-03 853 52 769 678,550 156,384 Jul-03 865 44 774 719,144 165,740 Aug-03 873 35 775 836,650 192,821 Sep-03 883 27 774 863,480 199,004 Oct-03 887 26 776 926,747 213,585 Nov-03 891 23 777 979,541 225,753 Dec-03 897 23 779 1,167,028 268,962 Jan-04 904 22 786 1,116,150 257,237 Feb-04 907 21 788 1,110,954 256,039 Mar-04 909 18 787 1,120,976 258,349 Apr-04 918 18 795 1,171,828 267,846 May-04 928 16 804 950,494 217,256 Jun-04 940 12 813 979,700 223,931 Jul-04 929 12 815 1,066,087 243,677 Aug-04 936 9 820 1,143,075 261,274 Sep-04 945 7 824 1,227,550 280,583 Oct-04 950 6 828 1,253,825 286,589 Nov-04 954 6 831 1,446,292 330,581 Dec-04 957 6 832 1,579,161 360,951 Jan-05 958 5 833 1,557,444 355,987 Feb-05 964 4 837 1,614,597 369,051 Mar-05 970 1 839 1,585,585 362,419 Apr-05 973 1 836 1,517,908 340,262 May-05 977 1 842 1,654,995 370,992 Jun-05 987 1 854 1,727,502 387,245 Contd... 41 Contd... Table 3-2 : Companies Listed/Permitted to Trade/Available for Trading on the CM Segment Month/Year (end of period) Jul-05 No. of Companies Listed* No. of Companies Permitted to Trade* 999 868 Market Market Capitalisation* Capitalisation* (Rs. crore) 1,848,740 (US $ mn) 414,423 Aug-05 1,006 1 875 1,957,491 438,801 Sep-05 1,016 1 883 2,098,263 470,357 Oct-05 1,019 1 881 1,927,645 432,111 Nov-05 1,025 – 886 2,166,823 485,726 Dec-05 1,036 – 896 2,322,392 520,599 Jan-06 1,043 – 903 2,434,395 545,706 Feb-06 1,051 – 911 2,512,083 563,121 Mar-06 1,069 – 929 2,813,201 630,621 Apr-06 1,089 – 944 2,990,200 685,983 May-06 1,093 – 952 2,612,639 599,367 Jun-06 1,099 – 962 2,524,659 579,183 Jul-06 1,095 – 956 2,514,261 576,798 Aug-06 1,099 – 958 2,777,401 637,165 Sep-06 1,116 – 969 2,994,132 686,885 Oct-06 1,127 – 981 3,138,319 719,963 Nov-06 1,137 – 991 3,373,652 773,951 Dec-06 1,158 – 1,016 3,426,236 786,014 Jan-07 1,185 – 1,040 3,571,487 819,336 Feb-07 1,208 – 1,063 3,296,931 756,350 Mar-07 1,228 – 1,084 3,367,350 772,505 Apr-07 1,246 – 1,104 3,650,368 913,277 May-07 1,267 – 1,126 3,898,078 975,251 Jun-07 1,283 – 1,143 3,978,381 995,342 Jul-07 1,293 – 1,150 4,317,571 1,080,203 Aug-07 1,316 – 1,170 4,296,994 1,075,055 Sep-07 1,319 – 1,173 4,886,561 1,222,557 Oct-07 1,327 – 1,180 5,722,227 1,431,630 Nov-07 1,343 – 1,197 5,876,742 1,470,288 Dec-07 1,353 – 1,207 6,543,272 1,637,046 Jan-08 1,362 – 1,216 5,295,387 1,324,840 Feb-08 1,372 – 1,227 5,419,942 1,356,003 Mar-08 1,381 – 1,236 4,858,122 1,215,442 * Excluding suspended companies. @ Excludes suspended companies. 42 1 No. of Companies Available for Trading*@ 43 86,791,587,876 49.10 43.37 Miscellaneous % to Total Number of Shares 56.31 Telecommunication Number of Shares 42.32 45.52 Services 57.57 Petrochemicals Pharmaceuticals 44.64 44.36 Media & Entertainment 68.99 Infrastructure Manufacturing 16.59 40.84 Information Technology Finance FMCG 29.37 41.11 Engineering 41.61 7.03 12,418,196,984 3.13 3.81 8.02 6.88 7.73 5.23 9.07 7.50 4.69 15.92 1.92 2.31 0.94 Foreign Promoters Promoters Indian Promoters Banks Sectors 5.36 9,469,103,255 2.67 4.22 5.46 5.34 4.20 2.26 6.55 2.35 2.90 13.88 9.44 7.88 5.80 Financial Institutions/ Banks/ Central Government/ State Government(s) / Insurance Companies 10.62 18,768,397,741 9.30 9.12 10.70 10.69 4.73 11.71 9.46 8.86 16.00 14.07 17.44 10.63 19.15 Foreign Institutional Investors 3.26 5,756,467,003 3.57 1.46 4.31 3.08 2.35 5.95 3.66 2.18 2.43 7.77 2.85 10.61 3.45 Mutual Funds Institutional 0.14 251,395,853 0.002 0.02 0.25 0.22 0.08 0.33 0.08 0.08 0.54 0.00 0.01 0.00 0.52 Venture Capital Funds including Foreign Venture Capital Funds 0.29 15,624,851 0.001 0.02 0.05 0.08 0.25 0.00 0.34 0.00 0.30 0.00 2.00 1.32 0.49 Any other Non-Promoters 5.81 13.07 23,102,820,441 23.08 11.14 13.35 19.83 11.62 18.07 15.49 5.73 16.74 13.55 14.49 20.87 12.94 Individuals Non- Institutional 10,271,864,814 10.19 3.77 7.79 6.99 5.58 7.98 6.42 3.03 6.51 3.64 6.01 8.51 9.14 Bodies Corporate Table 3-3 : Shareholding Pattern at the end of March 2008 of companies Listed on NSE 3.37 5,953,450,433 3.69 9.20 2.07 3.39 1.63 2.73 2.52 1.02 5.69 14.24 3.97 7.35 1.13 Any Other 1.96 3,467,066,400 1.01 0.93 2.48 1.19 4.26 1.38 1.76 0.26 3.35 0.34 0.77 1.16 4.83 Shares held by Custodians and against which Depository Receipts have been issued Table 3-4 Eligibility Criteria for Securities on WDM Segment Issuer Eligibility Criteria for listing Public Issue /Private Placement Corporates (Public limited companies and Private limited companies) • Paid-up capital of Rs.10 crores; or • Market capitalisation of Rs.25 crores (In case of unlisted companies Networth more than Rs.25 crores) • Credit rating Public Sector Undertaking, Statutory Corporation established/ constituted under Special Act of Parliament /State Legislature, Local bodies/ authorities, • Credit rating Mutual Funds: • Qualifies for listing under SEBI’s Regulations • Qualifies for listing under the respective Acts, Rules or Regulations under which the securities are issued. Units of any SEBI registered Mutual Fund/scheme • Investment objective to invest predominantly in debt or • Scheme is traded in secondary market as debt instrument Infrastructure companies • Tax exemption and recognition as infrastructure • company under related statutes/regulations Financial Institutions u/s. 4A of Companies Act, 1956 including Industrial Development Corporations Banks 44 Credit rating Public Issue Private Placement Qualifies for listing under the respective Acts, Rules or Regulations under which the securities are issued. Credit rating • Scheduled banks • • Networth of Rs.50 crores or • above Networth of Rs.50 crores or above • Qualifies for listing under the respective Acts, Rules or Regulations under which the securities are issued. Credit rating • Scheduled Banks 45 369 184 512 11 Institutional. Bonds Bank Bonds Corporate Bonds Others 3,177 791 PSU Bonds Total 51 1,259 Number T-Bills Government Securities Securities 1,494,106 1,794 43,863 33,942 26,738 88,690 71,471 334,926 402 9,833 7,609 5,994 19,881 16,021 275,187 (US $ mn) (Rs.cr) 1,227,608 Amount Amount 2006 3,252 5 584 268 271 796 52 1,276 Number 1,753,771 723 54,087 66,137 28,136 90,374 117,950 1,396,365 (Rs.cr) Amount 2007 402,333 166 12,408 15,172 6,455 20,733 27,059 320,341 (US $ mn) Amount 3,566 5 738 396 262 777 52 1,336 Number Table 3-5 : Securities Available for Trading on WDM Segment (as on March 31) 2,103,082 723 76,489 99,615 32,419 97,282 113,947 1,682,607 (Rs.cr) Amount 2008 526,165 181 19,136 24,922 8,111 24,339 28,508 420,968 (US $ mn) Amount 46 Orbit Corporation Limited ICRA Limited Advanta India Limited Fortis Healthcare Limited Bhagwati Banquets and Hotels Limited Hilton Metal Forging Limited Binani Cement Limited MIC Electronics Limited Insecticides (India) Limited Nitin Fire Protection Industries Limited Time Technoplast Limited Glory Polyfilms Limited Decolight Ceramics Limited Nelcast Limited Meghmani Organics Limited Vishal Retail Limited DLF Limited Roman Tarmat Limited Celestial Labs Limited 1 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 Company Name 2 Sr. No. Pharmaceuticals Infrastructure Infrastructure Miscellaneous Petrochemicals Manufacturing Miscellaneous Manufacturing Manufacturing Miscellaneous Petrochemicals Telecommunication Manufacturing Manufacturing Services Miscellaneous FMCG Finance Infrastructure Sector 30.00 50.78 9187.50 110.00 102.00 95.27 43.47 39.46 123.53 64.47 36.55 76.50 153.75 38.12 92.00 496.76 216.32 85.18 100.10 (Rs.cr) Issue size 17-Jul-07 9-Jul-07 5-Jul-07 4-Jul-07 28-Jun-07 27-Jun-07 19-Jun-07 18-Jun-07 13-Jun-07 5-Jun-07 30-May-07 30-May-07 28-May-07 24-May-07 17-May-07 9-May-07 19-Apr-07 13-Apr-07 12-Apr-07 Date of Listing 5000000 2901507 175000000 4074074 53684211 4350240 8049237 8220000 3921500 3393141 3177900 5100000 20500000 5445016 23000000 45996439 3380000 2581100 9100000 No. of Securities issued 60 175 525 270 19 219 54 48 315 190 115 150 75 70 40 108 640 330 110 (Rs.cr) Issue Price 67.55 319.2 569.8 753.1 26.6 207.35 44.65 62.1 480.9 484.85 109.45 338.15 69.05 67.75 49.05 100.15 845.5 803.25 128.2 Close Price on first day of trading Table 3-6 : Initial Public Offerings (IPOs) during 2007-08 37.3 72.75 645.75 831.3 21.1 97.3 19.85 66 791.75 404.9 46.85 715.3 62.45 27.7 71.15 83.4 1063.65 664.05 527.1 Close Price at end of March 2008 12.58 82.40 8.53 178.93 40.00 (5.32) (17.31) 29.38 52.67 155.18 (4.83) 125.43 (7.93) (3.21) 22.63 (7.27) 32.11 143.41 16.55 (%) Price Appreciation/ Depreciation on the first day of trading Contd... (37.83) (58.43) 23.00 207.89 11.05 (55.57) (63.24) 37.50 151.35 113.11 (59.26) 376.87 (16.73) (60.43) 77.88 (22.78) 66.20 101.23 379.18 (%) Price Appreciation/ Depreciation at end March 2008 47 Housing Development and Infrastructure Limited Allied Digital Services Limited Everonn Systems India Limited Simplex Projects Limited Alpa Laboratories Limited Omaxe Limited Omnitech Infosolutions Limited IVR Prime Urban Developers Limited Zylog Systems Limited Central Bank of India SEL Manufacturing Company Limited Asian Granito India Limited Take Solutions Limited K.P.R. Mill Limited Puravankara Projects Limited Motilal Oswal Financial Services Limited Indowind Energy Limited Magnum Ventures Limited 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 Company Name Manufacturing Manufacturing Finance Infrastructure Manufacturing Information Technology Manufacturing Manufacturing BANKS Information Technology Infrastructure Information Technology Infrastructure Pharmaceuticals Infrastructure Information Technology Information Technology Infrastructure Sector 52.92 73.35 246.07 856.28 133.02 153.30 67.90 37.25 816.00 126.00 721.65 35.00 605.94 61.07 55.51 50.02 85.93 1707.75 (Rs.cr) Issue size 20-Sep-07 14-Sep-07 11-Sep-07 30-Aug-07 28-Aug-07 27-Aug-07 23-Aug-07 21-Aug-07 21-Aug-07 17-Aug-07 16-Aug-07 14-Aug-07 9-Aug-07 6-Aug-07 3-Aug-07 1-Aug-07 25-Jul-07 24-Jul-07 Date of Listing 17641184 11284600 2982710 21406880 5912100 2100000 7000000 4138410 80000000 3600000 14150000 3333333 19546520 8980600 3000397 3572964 4522435 34155000 No. of Securities issued 30 65 825 400 225 730 97 90 102 350 510 105 310 68 185 140 190 500 (Rs.cr) Issue Price 49.4 113.65 976.85 362.3 174.2 927.8 94.2 144.75 115.3 427.5 417.9 163.4 349.35 55.15 273.7 477.35 330.15 559.35 Close Price on first day of trading Table 3-6 : Initial Public Offerings (IPOs) during 2007-08 20 Sr. No. Contd... 13.85 69.3 677.35 241.05 96.05 771.65 50.75 323.85 86.9 183.1 175.55 128.95 207.35 28.45 219.6 584.35 793.4 657.25 Close Price at end of March 2008 64.67 74.85 18.41 (9.43) (22.58) 27.10 (2.89) 60.83 13.04 22.14 (18.06) 55.62 12.69 (18.90) 47.95 240.96 73.76 11.87 (%) Price Appreciation/ Depreciation on the first day of trading Contd... (53.83) 6.62 (17.90) (39.74) (57.31) 5.71 (47.68) 259.83 (14.80) (47.69) (65.58) 22.81 (33.11) (58.16) 18.70 317.39 317.58 31.45 (%) Price Appreciation/ Depreciation at end March 2008 48 Kaveri Seed Company Limited Power Grid Corporation of India Limited Koutons Retail India Limited Consolidated Construction Consortium Limited Dhanus Technologies Limited Supreme Infrastructure India Limited Maytas Infra Limited Religare Enterprises Limited Varun Industries Limited Barak Valley Cements Limited Empee Distilleries Limited Mundra Port and Special Economic Zone Limited Edelweiss Capital Limited Renaissance Jewellery Limited Kolte - Patil Developers Limited Kaushalya Infrastructure Development Corporation Limited Jyothy Laboratories Limited Transformers And Rectifiers (India) Limited 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 Company Name Infrastructure Pharmaceuticals Infrastructure Infrastructure Miscellaneous Finance Services FMCG Manufacturing Manufacturing Finance Infrastructure Infrastructure Telecommunication Infrastructure Manufacturing Infrastructure FMCG Sector 139.27 305.69 51.00 275.54 79.86 691.86 1771.00 192.20 23.77 54.01 140.16 327.45 37.53 109.30 188.70 146.26 2984.45 68.04 (Rs.cr) Issue size 28-Dec-07 19-Dec-07 14-Dec-2007 13-Dec-07 12-Dec-07 12-Dec-07 27-Nov-07 26-Nov-07 23-Nov-07 22-Nov-07 21-Nov-07 25-Oct-07 18-Oct-07 17-Oct-07 15-Oct-07 12-Oct-07 5-Oct-07 4-Oct-07 Date of Listing 2995000 4430260 8500000 19002977 5324240 8386147 40250000 4804893 5660000 9001145 7576102 8850000 3475000 3835000 3700000 3524439 573932895 4002184 No. of Securities issued 465 690 60 145 150 825 440 400 42 60 185 370 108 285 510 415 52 170 (Rs.cr) Issue Price 729.25 794.05 82.45 181.35 164.9 1510.25 962.9 319.35 55.3 112.2 525.3 613.35 175.1 309.75 792.1 586.5 100.6 230.95 Close Price on first day of trading Table 3-6 : Initial Public Offerings (IPOs) during 2007-08 38 Sr. No. Contd... 395.35 785.3 35.25 95.7 71.8 827.45 578.75 153.1 32.85 61.05 372 716.3 81.45 165.6 732.7 805.3 98.3 279.9 Close Price at end of March 2008 56.83 15.08 37.42 25.07 9.93 83.06 118.84 (20.16) 31.67 87.00 183.95 65.77 62.13 8.68 55.31 41.33 93.46 35.85 (%) Price Appreciation/ Depreciation on the first day of trading Contd... (14.98) 13.81 (41.25) (34.00) (52.13) 0.30 31.53 (61.73) (21.79) 1.75 101.08 93.59 (24.58) (41.89) 43.67 94.05 89.04 64.65 (%) Price Appreciation/ Depreciation at end March 2008 49 Information Technology Finance BGR Energy Systems Limited Burnpur Cement Limited Aries Agro Limited Precision Pipes And Profiles Company Limited Future Capital Holdings Limited Reliance Power Limited J.Kumar Infraprojects Limited Cords Cable Industries Limited KNR Constructions Limited OnMobile Global Limited Bang Overseas Limited Shriram EPC Limited IRB Infrastructure Developers Limited Tulsi Extrusions Limited GSS America Infrastructure Projects Limited Rural Electrification Corporation Limited V-Guard Industries Limited 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 Manufacturing Miscellaneous Infrastructure Infrastructure Manufacturing Petrochemicals Infrastructure Manufacturing Infrastructure Infrastructure Finance Manufacturing Petrochemicals Manufacturing Manufacturing Information Technology eClerx Services Limited 57 Infrastructure Sector Brigade Enterprises Limited Company Name 65.60 1639.26 139.90 48.45 944.57 150.00 72.45 479.62 133.87 41.65 71.50 11563.20 491.34 75.00 58.51 26.29 438.53 101.00 745.62 (Rs.cr) Issue size 13-Mar-08 12-Mar-08 7-Mar-08 25-Feb-08 25-Feb-08 20-Feb-08 20-Feb-08 19-Feb-08 18-Feb-08 13-Feb-08 12-Feb-08 11-Feb-08 1-Feb-08 11-Jan-08 11-Jan-08 3-Jan-08 3-Jan-08 31-Dec-07 31-Dec-07 Date of Listing 8000000 156120000 3497495 5700000 51057666 5000000 3500000 10900545 7874570 3085000 6500000 260000000 6422800 5000000 4500849 21910463 9136000 3206349 19118428 No. of Securities issued 82 105 400 85 185 300 207 440 170 135 110 450 765 150 130 12 480 315 390 (Rs.cr) Issue Price 75.95 121.3 500.8 140.85 189.65 286.5 174.1 518.15 154.9 139.45 103.35 372.3 909.8 136.1 251.4 48.05 901.45 449.65 379.9 Close Price on first day of trading Table 3-6 : Initial Public Offerings (IPOs) during 2007-08 56 Sr. No. Contd... 64.6 106.45 757.1 76.45 169.35 238 122.6 544.1 84.6 84.65 80.45 318 639.55 67.45 120.75 21.95 341.9 246.4 168.55 Close Price at end of March 2008 (7.38) 15.52 25.20 65.71 2.51 (4.50) (15.89) 17.76 (8.88) 3.30 (6.05) (17.27) 18.93 (9.27) 93.38 300.42 87.80 42.75 (2.59) (%) Price Appreciation/ Depreciation on the first day of trading (21.22) 1.38 89.28 (10.06) (8.46) (20.67) (40.77) 23.66 (50.24) (37.30) (26.86) (29.33) (16.40) (55.03) (7.12) 82.92 (28.77) (21.78) (56.78) (%) Price Appreciation/ Depreciation at end March 2008 Table 3-7 : FPOs during 2007-08 Sr. No. Company Name Sector Issue size Date of Listing No. of Securities issued Issue Price (Rs.) 6-Jul-07 58,160,431 940 (Price for the existing (Rs.cr) 1 ICICI Bank Ltd. Banking 10,043.00 retail shareholders and retail shareholders is Rs. 890/-) 2 ICICI Bank Ltd. Banking 3 Bharat Earth 10,014.82 Manufacturing 6-Jul-07 99,898,476 1002.5 526.75 17-Jul-07 4,900,000 1075 Movers Ltd Table 3-8 : Rights Issues during 2007-08 S. No. Company Name 1 Bajaj Auto Finance Ltd 2 Cholamandalam DBS Finance Limited 3 DIC India Limited 4 Exide Industries Ltd. 5 The Federal Bank Ltd 6 Amount Mobilised (Rs. Cr.) (US $ mn) 1.32 0.33 199.21 49.84 51.60 12.91 150.00 37.53 2,135.74 534.34 Federal-Mogul Goetze (India) Limited. 106.33 26.60 7 GTL Infrastructure Limited 336.28 84.13 8 Hindustan Oil Exploration Co. Ltd 610.51 152.74 9 ITD Cementation India Limited 244.71 61.22 10 Lg Balakrishnan & Bros Ltd 94.42 23.62 11 Nandan Exim Limited 45.45 11.37 12 Orient Paper & Industries Ltd 160.24 40.09 13 Tata Steel Limited 9,120.85 2,281.92 14 Trent Ltd. 157.13 39.31 13,413.79 3,355.96 Total Resources Mobilised 50 Amount Mobilised Table 3-9 Preferential Allotments by NSE Listed Companies during 2007-08 S. No. Company Name Amount Raised Rs. cr Amount Raised US $ mn 1 Aarvee Denims & Exports Limited 8.36 2.09 2 Agro Dutch Industries Limited 2.06 0.52 3 Ahmednagar Forgings Ltd 40.80 10.21 4 Deccan Aviation Limited 575.40 143.96 5 Alps Industries Ltd. 13.00 3.25 6 Amtek Auto Ltd 322.00 80.56 7 Amtek India Limited 96.25 24.08 8 Anant Raj Industries Limited 800.12 200.18 9 ANG Auto Limited 8.06 2.02 10 Ankur Drugs And Pharma Limited 45.76 11.45 11 Ansal Housing and Construction Limited 18.96 4.74 12 Apollo Hospitals Enterprise Ltd 426.40 106.68 13 Apollo Tyres Ltd 35.16 8.80 14 The Andhra Pradesh Paper Mills Limited 20.00 5.00 15 Aptech Limited 43.33 10.84 16 Archies Limited 3.99 1.00 17 Arihant Foundations & Housing Ltd 20.10 5.03 18 Asian Electronics Ltd 13.68 3.42 19 Aurionpro Solutions Limited 25.96 6.49 20 Axis Bank Limited 1,903.10 476.13 21 B.A.G Films and Media Limited 52.48 13.13 22 Bajaj Auto Finance Ltd 123.27 30.84 23 Balrampur Chini Mills Ltd 67.16 16.80 24 Bhartiya International Limited 10.85 2.71 25 Bilpower Limited 29.10 7.28 26 BPL Limited 18.89 4.73 27 California Software Company Limited 38.39 9.60 28 Cambridge Solutions Limited 133.65 33.44 29 CESC Ltd. 43.34 10.84 30 Clutch Auto Limited 27.38 6.85 31 Color Chips Limited 0.40 0.10 32 Core Projects and Technologies Limited 3.78 0.95 33 City Union Bank Ltd. 145.73 36.46 34 Development Credit Bank Limited 280.00 70.05 35 DCW Ltd 28.33 7.09 Contd... 51 Contd... Table 3-9 Preferential Allotments by NSE Listed Companies during 2007-08 S. No. Company Name Amount Raised Rs. cr Amount Raised US $ mn 36 Dewan Housing Finance Corporation Ltd 52.99 13.26 37 Everest Kanto Cylinder Limited 88.70 22.19 38 Electrosteel Castings Ltd 54.97 13.75 39 Emco Limited 21.75 5.44 40 Era Infra Engineering Limited 50.83 12.72 41 Ess Dee Aluminium Limited 81.08 20.28 42 Four Soft Limited 19.85 4.97 43 Ganesh Housing Corporation Ltd. 7.46 1.87 44 Garware Wall Ropes Ltd. 4.99 1.25 45 Garware Offshore Services Limited 17.33 4.34 46 Gati Limited 34.45 8.62 47 Gemini Communication Limited 15.53 3.88 48 Genesys International Corporation Limited 1.09 0.27 49 Genus Power Infrastructures Limited 84.00 21.02 50 Geodesic Information Systems Limited 24.96 6.25 51 Geojit Financial Services Limited 147.69 36.95 52 GHCL Limited 16.28 4.07 53 Gitanjali Gems Limited 45.07 11.28 54 Goldiam International Limited 0.75 0.19 55 Goldstone Technologies Ltd. 15.33 3.84 56 Granules India Limited 82.87 20.73 57 Greenply Industries Ltd 6.21 1.55 58 Gujarat State Petronet Limited 107.35 26.86 59 GTC Industries Ltd 8.00 2.00 60 Gujarat NRE Coke Ltd. 52.50 13.13 61 Gujarat Sidhee Cements Ltd 4.73 1.18 62 Havells India Limited 260.00 65.05 63 Housing Development Finance Corporation Ltd. 3,114.00 779.08 64 HDFC Bank Ltd 1,390.10 347.79 65 Hexaware Technologies Limited 150.00 37.53 66 Himatsingka Seide Ltd 9.98 2.50 67 Hindalco Industries Ltd. 1,173.62 293.63 68 Hindustan Dorr-Oliver Ltd 8.00 2.00 69 I-Flex Solutions Limited 40.17 10.05 70 Indiabulls Real Estate Limited 273.83 68.51 Contd... 52 Contd... Table 3-9 Preferential Allotments by NSE Listed Companies during 2007-08 S. No. Company Name 71 Indo Count Industries Ltd 72 Amount Raised Rs. cr Amount Raised US $ mn 6.07 1.52 ICSA (India) Limited 53.20 13.31 73 IG Petrochemicals Ltd. 13.50 3.38 74 Indiabulls Financial Services Limited 321.17 80.35 75 India Infoline Limited 609.20 152.41 76 IMP Powers Ltd 5.91 1.48 77 Ind-Swift Laboratories Ltd. 2.35 0.59 78 Infotech Enterprises Ltd 201.01 50.29 79 ING Vysya Bank Limited 157.51 39.41 80 IOL Netcom Limited 5.68 1.42 81 Jai Corp Limited 611.75 153.05 82 Jayant Agro Organics Ltd. 3.90 0.98 83 JIK Industries Limited 13.89 3.47 84 Jindal Saw Limited 116.53 29.15 85 Jain Irrigation Systems Limited 47.59 11.91 86 Jindal Stainless Limited 102.77 25.71 87 JSW Steel Limited 190.40 47.64 88 Jyoti Structures Ltd 5.27 1.32 89 Kanoria Chemicals & Industries Ltd 20.34 5.09 90 Kesar Enterprises Ltd. 4.38 1.10 91 Kinetic Motor Company Limited 9.75 2.44 92 Karuturi Networks Limited 39.85 9.97 93 Kopran Ltd. 7.03 1.76 94 KPIT Cummins Infosystems Limited 38.55 9.64 95 K S Oils Limited 131.78 32.97 96 Lakshmi Precision Screws Limited 9.09 2.27 97 Lakshmi Energy and Foods Limited 37.38 9.35 98 Lloyd Electric & Engineering Ltd 50.00 12.51 99 Lumax Industries Ltd 54.00 13.51 100 Lyka Labs Ltd 27.36 6.84 101 Mahindra & Mahindra Financial Services Limited 414.20 103.63 102 Mahindra Lifespace Developers Limited 198.83 49.74 103 Malwa Cotton Spg. Mills Ltd 2.80 0.70 104 Man Industries (India) Ltd. 9.00 2.25 105 Media Video Ltd. 18.49 4.63 Contd... 53 Contd... Table 3-9 Preferential Allotments by NSE Listed Companies during 2007-08 S. No. Company Name 106 Micro Technologies (India) Limited 107 Amount Raised Rs. cr Amount Raised US $ mn 9.09 2.27 Mercator Lines Limited 44.00 11.01 108 MSK Projects (India) Limited 37.38 9.35 109 Nagarjuna Construction Co. Ltd 410.00 102.58 110 Nagreeka Exports Ltd 6.09 1.52 111 Nagreeka Exports Limited 6.05 1.51 112 Nava Bharat Ventures Limited 30.40 7.61 113 Nicco Corporation Limited 20.00 5.00 114 Onward Technologies Ltd 0.18 0.04 115 Opto Circuits (India) Limited 41.93 10.49 116 Pantaloon Retail (India) Ltd. 398.24 99.63 117 Paramount Communications Ltd 14.58 3.65 118 Parekh Aluminex Limited 18.40 4.60 119 Phoenix Lamps Ltd 42.53 10.64 120 The Phoenix Mills Limited 317.72 79.49 121 Polyplex Corporation Ltd. 20.52 5.13 122 Prajay Engineers Syndicate Limited 1.46 0.37 123 Praj Industries Ltd 87.78 21.96 124 Precision Wires India Ltd 19.49 4.88 125 Provogue (India) Limited 130.50 32.65 126 Rana Sugars Ltd 6.82 1.71 127 Rane Holdings Limited 29.70 7.43 128 Reliance Capital Limited 494.76 123.78 129 Shree Renuka Sugars Limited 62.57 15.65 130 Ramkrishna Forgings Limited 1.50 0.38 131 Radha Madhav Corporation Limited 6.57 1.64 132 Reliance Natural Resources Limited 743.85 186.10 133 RPG Cables Ltd 8.30 2.08 134 Sabero Organics Gujarat Ltd 8.50 2.13 135 Sagar Cements Ltd. 28.72 7.18 136 Saksoft Limited 3.27 0.82 137 Sangam (India) Ltd. 2.76 0.69 138 Sanghi Industries Limited 93.71 23.45 139 Sanghvi Movers Ltd. 29.69 7.43 140 South Asian Petrochem Limited 71.77 17.96 Contd... 54 Contd... Table 3-9 Preferential Allotments by NSE Listed Companies during 2007-08 S. No. Company Name Amount Raised Rs. cr Amount Raised US $ mn 141 SB&T International Ltd 7.75 1.94 142 Sharyans Resources Ltd. 94.82 23.72 143 Shiv-Vani Oil & Gas Exploration Services Limited 102.50 25.64 144 Shreyans Industries Ltd 5.98 1.49 145 Sical Logistics Limited 219.05 54.80 146 Sona Koyo Steering Systems Ltd. 30.98 7.75 147 Spentex Industries Ltd 1.00 0.25 148 Shriram Transport Finance Co. Ltd. 539.20 134.90 149 Strides Arcolab Limited 1.71 0.43 150 STI India Ltd 4.08 1.02 151 Sterlite Technologies Limited 28.00 7.01 152 Subhash Projects & Marketing Ltd 134.60 33.68 153 Summit Securities Limited 28.73 7.19 154 Supreme Tex Mart Limited 14.81 3.70 155 Surana Industries Limited 24.75 6.19 156 Suryajyoti Spinning Mills Limited 3.48 0.87 157 Surya Pharmaceutical Limited 20.93 5.24 158 Tata Power Co. Ltd. 580.86 145.32 159 Tata Steel Limited 1,380.17 345.30 160 Tata Tea Ltd 204.13 51.07 161 Transport Corporation of India Limited 52.63 13.17 162 TIPS Industries Limited 11.12 2.78 163 Trent Ltd. 43.50 10.88 164 Television Eighteen India Ltd. 91.54 22.90 165 UFLEX Limited 80.50 20.14 166 Usha Martin Limited 88.74 22.20 167 Vakrangee Softwares Limited 42.18 10.55 168 Valecha Engineering Limited 21.05 5.27 169 Varun Shipping Co. Ltd. 63.75 15.95 170 Viceroy Hotels Limited 8.13 2.03 171 Welspun Gujarat Stahl Rohren Limited 68.45 17.13 172 Xpro India Limited 1.76 0.44 173 Yes Bank Limited 330.75 82.75 174 Zicom Electronic Security Systems Limited 14.34 3.59 24,026.97 6,011.25 TOTAL 55 Table 3-10 : Amount raised through QIP during 2007-08 Sr. No Name of the company Amount Raised (Rs.cr) (US $ mn) 1 GMR Infrastructure Limited 3965.71 992.17 2 Suzlon Energy Limited 2182.70 546.08 3 IDFC Limited 2100.00 525.39 4 UTI Bank Limited 1752.43 438.44 5 Kotak Mahindra Bank Limited 1615.00 404.05 6 Bank of India 1359.81 340.21 7 GVK Power & Infrastructure Limited 1221.00 305.48 8 PTC India Limited 1199.99 300.22 9 Max India Limited 999.99 250.19 10 The Phoenix Mills Limited 980.00 245.18 11 United Phosphorous Limited 845.81 211.61 12 Punj Lloyd Limited 814.00 203.65 13 Godrej Industries Ltd. 600.00 150.11 14 India Cements Ltd. 592.49 148.23 15 CESC Limited 590.81 147.81 16 Sintex Industries Ltd. 589.50 147.49 17 Peninsula Land Limited 525.00 131.35 18 Centurion Bank of Punjab Limited 500.00 125.09 19 Simplex Infrastructures Limited 400.00 100.08 20 The South Indian Bank Ltd. 326.00 81.56 21 ING Vysya Bank Limited 192.49 48.16 22 Nitco Tiles Limited 166.01 41.53 23 Shree Renuka Sugars Limited 164.00 41.03 24 Godawari Power And Ispat limited 100.00 25.02 25 Logix Microsystems Limited 97.65 24.43 26 Sadbhav Engineering Limited 92.00 23.02 27 Escorts Limited 87.92 22.00 28 Sunil Hitech Engineering Limited 81.00 20.27 29 Birla Power Solutions Limited. 67.32 16.84 30 Escorts Limited 60.84 15.22 31 Pratibha Industries Limited 60.72 15.19 32 Parekh Aluminex Limited 54.00 13.51 33 West Coast Paper Mills Limited 49.99 12.51 244,34.17 6,113.13 TOTAL 56 Amount Raised Capital Market Segment 4 58 Capital Market Segment 4 The Trading on NSE’s capital market segment which commenced on November 04, 1995 has been witnessing a substantial growth over the years. The trading volumes jumped by 82.55 % during the fiscal 2007-08 as compared to 2006-07. With the increase in volumes, efficient and transparent trading platform, a vide range of securities like equity, preference shares, debt warrants, exchange traded funds as well as retail government securities, NSE upholds its position as the largest stock exchange in the country. NEAT System National Exchange for Automated Trading (NEAT) is the trading system of NSE. NEAT facilitates a system on-line, fully automated, nationwide, anonymous, order driven, screen-based trading. In this system a member can punch into the computer quantities of securities and the prices at which he likes to transact and the transaction is executed as soon as it finds a matching sale for buy order for a counter party. The numerous advantages of the NEAT system are detailed out below : • It electronically matches orders on a price/time priority and hence cuts down on time, cost and risk of error, as well as on fraud resulting in improved operational efficiency. • It allows faster incorporation of price sensitive information into prevailing prices, thus increasing the informational efficiency of markets. • It enables market participants to see the full market on real-time, making the market transparent. It allows a large number of participants, irrespective of their geographical locations, to trade with one another simultaneously, improving the depth and liquidity of the market. • It provides tremendous flexibility to the users in terms of kinds of orders that can be placed on the system. It ensures full anonymity by accepting orders, big or small, from members without revealing their identity, thus providing equal access to everybody. • It provides a perfect audit trail which helps to resolve disputes by logging in the trade execution process in entirety. • The trading platform of the CM segment is accessed not only from the computer terminals from the premises of brokers spread over about 245 cities, but also from the personal computers in the homes of investors through the Internet. Market Performance Trading Volume Over the years the Capital market has witnessed a growth in the trading volumes. From Rs. 1,805 crore in 1994-95 the volumes increased to Rs. 1,945,287 crore (US $ 446,269 million) in 2006-07. In the reporting year 2007-08 the volumes increased by leaps and bounds to 59 Rs. 3,551,038 crore (US $ 888,426 million). The average daily trading volume increased from Rs. 17 crore during 1994-95 to Rs. 14,148 crore (US $ 3,540 million) during 2007-08. The business growth of the CM segment is presented in Table 4-1 and Chart 4-1. Liquidity The liquidity in the CM segment, as measured by the turnover ratio, has witnessed a steady increase and reached nearly 73.09% during the year 2007-2008 compared to 57.77% during the year 2006-07. The securities available for trading for more than 100 days accounted for 92.97% as indicated in the table below: Frequency Distribution of Securities Traded During 2007-08 No. of Days Traded No. of Securities % to Total Above 100 91-100 81-90 71-80 61-70 51-60 41-50 31-40 21-30 11-20 1-10 Total 1,177 5 17 7 11 7 7 6 9 13 7 1,266 92.97 0.39 1.34 0.55 0.87 0.55 0.55 0.47 0.71 1.03 0.55 100.00 The percentage of companies traded compared to the number of companies available for trading is quite high at more than 98% for all the months during the fiscal 2007-08. In the month of February 08 almost 100% of the companies traded. The month wise statistics are indicated in the table below : Trading Frequency of Companies during the period 2007-08 Month Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Companies Avaliable for Trading* Companies Traded % of Traded to Available for Trading 1,104 1,126 1,143 1,150 1,170 1,173 1,180 1,197 1,207 1,216 1,227 1,236 1,088 1,113 1,130 1,140 1,166 1,116 1,176 1,189 1,202 1,210 1,226 1,229 98.55 98.85 98.86 99.13 99.66 95.14 99.66 99.33 99.59 99.51 99.92 99.43 *At the end of the period includes listed/permitted to trade companies but excludes suspended companies 60 Distribution of Turnover The concentration of trading among top ‘N’ securities/brokers is presented in Table 4-2. It is observed that the top ‘5’ and ‘100’ securities account for about 16.29 % and 77.29 % of total turnover in the CM segment in 2007-08. The top ‘50’ securities accounted for 61.47 % of the total turnover, details of which are presented in Table 4-3. Broker-wise distribution of turnover as presented in Table 4-2 indicates increasing diffusion of trades among a large number of trading members over the years. During 2007-08, top ‘5’ brokers accounted for only 14.57% of turnover, while top ‘100’ brokers accounted for 73.90% of total turnover. Market Capitalisation The total market capitalisation of securities available for trading on the CM segment increased from Rs. 363,350 crore as at end March 1995 to Rs. 4,858,122 crore (US $ 1,125,442 million) as at end March 2008. A Y-o-Y increase of 44.27 % was witnessed during 2007-08 as compared to the market capitalization of Rs.3,367,350 crore (US $ 772,505 million) in 2006-07. The details of ‘50’ top companies by market capitalisation, which accounted for 65.12% of total market capitalisation as at end March 2008, are presented in Table 4-4. Sectoral Distribution Table 4-5 presents the classification of ‘Top 50’ companies based on their trading value and on their Market capitalization. A significant change in the importance of different sectors is observed during the past few years. The share of trading volumes in the Infrastructure sector saw a significant increase from 7.39 % in the last fiscal to 22.93 % in the current year. In terms of market capitalisation the share increased from 7.05 % during 2006-07 to 17.05% in the current year. This sector also holds the maximum share in terms of trading volumes and market capitalization in the current fiscal 2007-08. Among the top ‘50’ Companies there was a significant contribution in trading volumes from newly listed companies like DLF limited-2.53 % (listed on 05th July, 2007), Power Grid Corporation Ltd- 1.45 % (listed on 05th October 2007), Reliance Power Ltd -0.80 % (listed on 11th February 2008) and Housing Dev & Infra Ltd- 1.09 % (listed on 24th July,2007) which has attributed to the emergence of this sector. The top ‘50’ companies cover a significant share of trading volumes and market capitalistion in the Petrochemicals sector of 17.80% and 22.94% respectively. Under this sector, among the companies - Cairn India Limited (listed on 09th January 2008) features both in the top 50’ traded volumes and market capitalistion. The share of manufacturing companies in the trading volume and market capitalization of top ‘50’ companies has been witnessing a steady increase over the years. In the current fiscal the top ‘50’ companies with the maximum share in this sector were Rel. Nat. 61 Resources Ltd - 4.90 % in terms of trading volumes and NMDC Ltd (listed on 03rd March 2008) 4.33 % in terms of market capitalization. The IT sector on the other hand witnessed a slowdown in the share of top ‘50’ companies both in terms of trading volumes and market capitalization. The share of trading volumes decreased from 15.04 % in 2006-07 to 5.90 % in 2007-08. The market capitalization share decreased from 18.14 % in the previous fiscal to 7.95 % in the current fiscal year. Trading Records during 2007-08 Ten of NSE’s most Active trading days in terms of trading values are presented in Table 4-6 . During the fiscal, the month of October 07 witnessed the highest trading value of Rs.455,589 cr (US $ 113,983 million) and maximum number of active days (03rd,17th,18th and 20th of October 2007). Internet Trading At the end of March 2008, a total number of 305 members were permitted to allow investor’s web based access to NSE’s trading system. The members of the exchange in turn had registered 4,405,134 clients for web based access as on March 31, 2008. In the Capital market segment, the trading volume of Rs. 4,405,134 crore (US$ 668,399 million) during the year 2007-08 constituting 18.82% of total trading volume, was routed and executed through the internet. The following table shows the growth of internet trading for the fiscal years 2006-07 and 2007-08. Year Enabled Members* Registered Clients* Internet Trading Volume (Rs. crore) Internet Trading Volume (US $ million) % of total Trading Volume 2006-07 242 2,279,098 337,524 77,432 17.35 2007-08 305 4,405,134 668,399 167,225 18.82 * At the end of the financial year FII Turnover on NSE : The gross turnover of FIIs amounted to Rs.1,270,521 crore ( US $ 317,869 million) as compared with Rs.686,297 crore (US $ 157,444 million) during 2006-07. On-line IPOs The on-line trading system of NSE is used by companies to make IPOs through book building. It is a fully automated screen based bidding system that allows trading members to enter bids on behalf of their clients. All bids received by the system are numbered, time stamped, and stored in the book till the last day of the book building process and the offer price is determined after the bid closing date. While ensuring efficient price discovery, this system reduces time taken for completion of the issue process. 281 companies have used the on-line IPO system of NSE by the end of March 2008. 62 Indices India Index Services and Products Ltd. (IISL), in technical partnership with S&P, have developed and have been maintaining scientifically an array of indices of stock prices on NSE. The popular indices are the S&P CNX Nifty, CNX Nifty Junior, S&P CNX Defty, S&P CNX 500, CNX Midcap, CNX 100, Nifty Midcap 50, S&P CNX Industry indices and CNX segment indices. S&P CNX Nifty, introduced in November 3, 1995, is based on 50 largest and highly liquid stocks. CNX Nifty Junior, introduced in December 1996, is built out of the next 50 large and liquid stocks. These indices are monitored and updated dynamically and are reviewed regularly. The comparative movement of major sectoral indices along with that of S&P CNX Nifty is presented in Chart 4-2. The S&P CNX Nifty accounted for 58.64% of total market capitalisation as at end March 2008, while the CNX Nifty Junior accounted for 9.34% of market capitalisation (Table 4-9). The compositions of these two indices as at end March 2008 are presented in Table 4-10 and Table 4-11. The industry wise weightages of securities included in S&P CNX Nifty are presented in Table 4-12. The movements in S&P CNX Nifty and CNX Nifty Junior are presented in Table 4-13 and Table 4-14 respectively. The Performance of few of the indices is presented in Table 4-15. All the indices with the exception of CNX IT witnessed their record time highs during the month of January 2008. The S&P CNX Nifty Index touched its peak of 6357.10 on January 08, 2008. It yielded a point to point positive return of 23.89% during 2007-08. The Finance index earned the highest point to point positive returns of 60.06 % followed by the Petrochemicals index 45.30 % during the current fiscal. Volatility Index Volatility Index is a measure of market’s expectation of volatility over the near term. Volatility is often described as the “rate and magnitude of changes in prices” and in finance often referred to as risk. Volatility Index is a measure, of the amount by which an underlying Index is expected to fluctuate, in the near term, (calculated as annualised volatility, denoted in percentage e.g. 20%) based on the order book of the underlying index options. Volatility Index is a good indicator of the investors’ perception on how volatile markets are expected to be in the near term. Usually, during periods of market volatility, market moves steeply up or down and the volatility index tends to rise. As volatility subsides, option prices tend to decline, which in turn causes volatility index to decline. India VIX NSE has been in the forefront of bringing the latest products and services to the Indian capital markets for the benefit of the investors. In another innovation in the Indian markets, NSE launched the India VIX on 08th April, 2008 a volatility index based on the Nifty 50 Options prices. From the best bidask prices of Nifty 50 Options contracts (which are traded on the F&O segment of NSE), a volatility figure (%) is calculated which indicates the expected market volatility over the next 30 calendar days. Higher the implied volatility higher the India VIX value and vice versa. 63 There are some differences between a price index, such as the Nifty 50 and India VIX. Nifty 50 is calculated based on the price movement of the underlying 50 stocks which comprises the index. India VIX is calculated based on the bid-offer prices of the near and mid month Nifty 50 Index Options. Nifty 50 Index is an absolute number, e.g. 4500, 5000 etc., whereas India VIX is a percentage value (eg. 20%, 30% etc.). Whereas Nifty 50 signifies how the markets have moved directionally, India VIX indicates the expected near term volatility and how the volatility is changing from time to time. Uses of Volatility Index Volatility Index offers great advantages in terms of trading, hedging and introducing derivative products on this index. Investors can use volatility index for various purposes as mentioned below: • Investors’ portfolios are exposed to the market volatility. Investors could hedge their portfolios against volatility with an off-setting position in India VIX futures or options contracts. • Volatility index depicts the collective consensus of the market on the expected volatility and being contrarian in nature helps in predicting the direction. Investors therefore could appropriately use this information for taking trading positions. • Investors could also use the implied volatility information given by the index, in identifying mis-priced options. • Short sale positions could expose investors to directional risk. Derivatives on volatility index could help investors in safeguarding their positions and thus avoid systemic risk for the market Based on the experience gained with the benchmark broad based index, sector specific volatility indices could be constructed to enable hedging by investors in those specific sectors. Mutual Funds and Exchange Traded Funds Out of the 11 Mutual Funds listed on the Exchange, 8 of them have been listed during the current fiscal 2007-08. In case of Exchange Traded Funds there have been 6 new listings during 2007-08 taking the total numbers to 12 as on 31st March, 2008. Table 4-16 (A) & (B) presents the details of the names and volumes of these funds. Transaction Charges The maximum brokerage chargeable by trading member in respect of trades effected in the securities admitted to dealing on the CM segment of the Exchange is fixed at 2.5% of the contract price, exclusive of statutory levies like, securities transaction tax, SEBI turnover fee, service tax and stamp duty. However, the brokerage charges as low as 0.10% are also observed in the market. 64 A member is required to pay the exchange transaction charges at the rate of 0.0035% (Rs. 3.5 per Rs. 1 lakh) of the turnover. Trading members are also required to pay securities transaction tax (STT) on all delivery based transaction at the rate of 0.125% (payable by both buyer and seller) and in case of non-delivery transactions at the rate of 0.025% for equities payable by the seller only). Clearing & Settlement While NSE provides a platform for trading to its trading members, the National Securities Clearing Corporation Ltd. (NSCCL) determines the funds/securities obligations of the trading members and ensures that trading members meet their obligations. The core processes involved in clearing and settlement are: (a) Trade Recording : The key details about the trades are recorded to provide basis for settlement. These details are automatically recorded in the electronic trading system of the exchanges. (b) Trade Confirmation : The parties to a trade agree upon the terms of trade like security, quantity, price, and settlement date, but not the counterparty which is the NSCCL. The electronic system automatically generates confirmation by direct participants. (c) Determination of Obligation : The next step is determination of what counter-parties owe, and what counter-parties are due to receive on the settlement date. The NSCCL interposes itself as a central counterparty between the counterparties to trades and nets the positions so that a member has security wise net obligation to receive or deliver a security and has to either pay or receive funds. (d) Pay-in of Funds and Securities : The members bring in their funds/securities to the NSCCL. They make available required securities in designated accounts with the depositories by the prescribed pay-in time. The depositories move the securities available in the accounts of members to the account of the NSCCL. Likewise members with funds obligations make available required funds in the designated accounts with clearing banks by the prescribed pay-in time. The NSCCL sends electronic instructions to the clearing banks to debit member’s accounts to the extent of payment obligations. The banks process these instructions, debit accounts of members and credit accounts of the NSCCL. (e) Pay-out of Funds and Securities : After processing for shortages of funds /securities and arranging for movement of funds from surplus banks to deficit banks through RBI clearing, the NSCCL sends electronic instructions to the depositories/ clearing banks to release pay-out of securities/funds. The depositories and clearing banks debit accounts of the NSCCL and credit accounts of members. Settlement is complete upon release of pay-out of funds and securities to custodians/ members. 65 (f) Risk Management : A sound risk management system is integral to an efficient settlement system. The NSCCL ensures that trading members’ obligations are commensurate with their net worth. It has put in place a comprehensive risk management system, which is constantly monitored and upgraded to pre-empt market failures. It monitors the track record and performance of members and their net worth; undertakes on-line monitoring of members’ positions and exposure in the market, collects margins from members and automatically disables members if the limits are breached. The risk management methods adopted by NSE have brought the Indian financial market in line with the international markets. Settlement Agencies The NSCCL, with the help of clearing members, custodians, clearing banks and depositories settles the trades executed on exchanges. The roles of each of these entities are explained below: 66 (a) NSCCL : The NSCCL is responsible for post-trade activities of a stock exchange. Clearing and settlement of trades and risk management are its central functions. It clears all trades, determines obligations of members, arranges for pay-in of funds/ securities, receives funds/securities, processes for shortages in funds securities, arranges for pay-out of funds/securities to members, guarantees settlement, and collects and maintains margins/collateral/base capital/other funds. It is the counterparty to all settlement obligations of the members. (b) Clearing Members : They are responsible for settling their obligations as determined by the NSCCL. They have to make available funds and/or securities in the designated accounts with clearing bank/depositories, as the case may be, to meet their obligations on the settlement day. (c) Custodians : Custodian is a clearing member but not a trading member. They settles trades assigned to them by trading members. They are required to confirm whether they are going to settle a particular trade or not. If it is confirmed, the NSCCL assigns that obligation to that custodian and the custodian is required to settle it on the settlement day. (d) Clearing Banks : Every clearing member is required to open a dedicated clearing account with one of the clearing banks. Based on his obligation as determined through clearing, the clearing member makes funds available in the clearing account for the pay-in and receives funds in case of a pay-out. (e) Depositories : Depositories help in the settlement of the dematerialised securities. Each custodian/clearing member is required to maintain a clearing pool account with the depositories. He is required to make available the required securities in the designated account on settlement day. The depository runs an electronic file to transfer the securities from accounts of the custodians/clearing member to that of NSCCL. As per the schedule of allocation of securities determined by the NSCCL, the depositories transfer the securities on the pay-out day from the account of the NSCCL to those of members/custodians. (f) Professional Clearing Member : NSCCL admits special category of members namely, professional clearing members. Professional Clearing Member (PCM) may clear and settle trades executed for their clients (individuals, institutions etc.). In such an event, the functions and responsibilities of the PCM would be similar to Custodians. PCMs may also undertake clearing and settlement responsibility for trading members. In such a case, the PCM would settle the trades carried out by the trading members connected to them. A PCM has no trading rights but has only clearing rights, i.e. he clears the trades of his associate trading members and institutional clients. Settlement Cycles NSCCL clears and settles trades as per well-defined settlement cycles, as presented in Table 4-17. Since the beginning of the financial year 2003, all securities are being traded and settled under T+2 rolling settlement. The NSCCL notifies the consummated trade details to clearing members/custodians on the trade day. The custodians affirm back the trades to NSCCL by T+1 day. Based on the affirmation, NSCCL nets the positions of counterparties to determine their obligations. A clearing member has to pay-in/pay-out funds and/or securities. A member has a security-wise net obligation to receive/deliver a security. The obligations are netted for a member across all securities to determine his fund obligations and he has to either pay or receive funds. Members’ pay-in/pay-out obligations are determined latest by T+1 day and are forwarded to them on the same day so that they can settle their obligations on T+2 day. The securities/funds are paidin/paid-out on T+2 day and the settlement is complete in 3 days from the end of the trading day. Settlement Statistics The settlement statistics of the CM segment is presented in Table 4-18. During 2007-08, NSCCL settled trades for Rs. 3,519,919 crore (US $ 880,640 million.) of which 27.64% were settled by delivery. However, these deliveries include only the net deliveries made by the trading members to the clearing corporation. Of total delivery, nearly 100% of securities were delivered in demat form in 2007-08. Short deliveries averaged around 0.27 of total delivery in 2007-08. Risk Management System There have been a number of experiments with different risk containment measures in the recent pasts. NSE being aware of the importance of the risk containment measures has a dedicated Risk Group which looks into aspects relating to the risk management. These measures have been repeatedly reviewed and revised. The risk containment measures in vogue are described below: 67 Capital Adequacy The capital adequacy requirements stipulated by the NSE are substantially in excess of the minimum statutory requirements as also in comparison to those stipulated by other stock exchanges. A person seeking membership in the CM and F&O segment is required to have a net worth of Rs. 1 crore, and keep an interest free security deposit of Rs. 1.25 crore and collateral security deposit of Rs. 0.25 crore with the Exchange/NSCCL. The deposits kept with the Exchange as part of the membership requirement may be used towards the margin requirement of the member. Additional capital may be provided by the member for taking additional exposure. Margin Requirements NSCCL imposes stringent margin requirements as a part of its risk containment measures. The categorization of stocks for imposition of margins has the structure as given below; • The Stocks which have traded atleast 80% of the days for the previous six months constitute the Group I and Group II. • Out of the scrips identified above, the scrips having mean impact cost of less than or equal to 1% are categorized under Group I and the scrips where the impact cost is more than 1, are categorized under Group II. • The remaining stocks are classified into Group III. • The impact cost is be calculated on the 15th of each month on a rolling basis considering the order book snapshots of the previous six months. On the basis of the impact cost so calculated, the scrips are moved from one group to another group from the 1st of the next month. • For securities that have been listed for less than six months, the trading frequency and the impact cost is computed using the entire trading history of the security Categorisation of newly listed securities For the first month and till the time of monthly review a newly listed security is categorised in that Group where the market capitalization of the newly listed security exceeds or equals the market capitalization of 80% of the securities in that particular group. Subsequently, after one month, whenever the next monthly review is carried out, the actual trading frequency and impact cost of the security is computed, to determine the liquidity categorization of the security. In case any corporate action results in a change in ISIN, then the securities bearing the new ISIN are treated as newly listed security for group categorization. Daily margin, comprises of VaR margin, Extreme Loss margin and Mark to Market margin. 68 1) Value at Risk Margin : All securities are classified into three groups for the purpose of VaR margin For the securities listed in Group I, scrip wise daily volatility calculated using the exponentially weighted moving average methodology is applied to daily returns in the same manner as in the derivatives market. The scrip wise daily VaR would be 3.5 times the volatility so calculated subject to a minimum of 7.5%. For the securities listed in Group II, the VaR margin is higher of scrip VaR (3.5 sigma) or three times the index VaR, and it shall be scaled up by root 3. For the securities listed in Group III, the VaR margin is equal to five times the index VaR and scaled up by root 3. The index VaR, for the purpose, is higher of the daily Index VaR based on S&P CNX NIFTY or BSE SENSEX. The index VaR is subject to a minimum of 5%. Security specific Margin: NSCCL may stipulate security specific margins for the securities from time to time. The VaR margin rate computed as mentioned above is to be charged on the net outstanding position (buy value-sell value) of the respective clients on the respective securities across all open settlements. There is netting off of positions across different settlements. The VaR margin is collected on an upfront basis by adjusting against the total liquid assets of the member at the time of trade. The VaR margin so collected is released on completion of pay-in of the settlement. The VaR numbers are recomputed six times during the day taking into account price and volatilities at various time intervals and are provided on the website of the Exchange. 2) Extreme Loss Margin The Extreme Loss Margin for any security is higher of 5%, or 1.5 times the standard deviation of daily logarithmic returns of the security price in the last six months. The Extreme Loss Margin collected/ adjusted against the total liquid assets of the member on a real time basis. 3) Mark to Market Margin Mark to market loss is calculated by marking each transaction in security to the closing price of the security at the end of trading. In case the security has not been traded on a particular day, the latest available closing price at the NSE shall be considered as the closing price. In case the net outstanding position in any security is nil, the difference between the buy and sell values is considered as notional loss for the purpose of calculating the mark to market margin payable. 69 The mark to market margin (MTM) is collected from the member before the start of the trading of the next day. The MTM margin is also collected/adjusted from/ against the cash/cash equivalent component of the liquid net worth deposited with the Exchange. The MTM margin so collected is released on completion of pay-in of the settlement. Index-based Circuit Filters An index based market-wide circuit breaker system applies at three stages of the index movement either way at 10%, 15% and 20%. These circuit breakers bring about a coordinated trading halt in all equity and equity derivatives markets nation wide. The breakers are triggered by movement of either S&P CNX Nifty or Sensex, whichever is breached earlier. • In case of a 10% movement of either of these indices, there would be a one-hour market halt if the movement takes place before 1:00 p.m. In case the movement takes place at or after 1:00 p.m. but before 2:30 p.m. there would be trading halt for ½ hour. In case movement takes place at or after 2:30 p.m. there will be no trading halt at the 10% level and market shall continue trading. • In case of a 15% movement of either index, there shall be a two-hour halt if the movement takes place before 1 p.m. If the 15% trigger is reached on or after 1:00 p.m. but before 2:00 p.m., there shall be a one-hour halt. If the 15% trigger is reached on or after 2:00 p.m. the trading shall halt for remainder of the day. • In case of a 20% movement of the index, trading shall be halted for the remainder of the day. NSE may suo moto cancel the orders in the absence of any immediate confirmation from the members that these orders are genuine or for any other reason as it may deem fit. The Exchange views entries of non-genuine orders with utmost seriousness as this has market-wide repercussion. As an additional measure of safety, individual scrip-wise price bands have been fixed as below: • Daily price bands of 2% (either way) on a set of specified securities • Daily price bands of 5% (either way) on a set of specified securities • Daily price banks of 10% (either way) on specified securities • Price bands of 20% (either way) on all remaining securities (including debentures, warrants, preference shares etc. which are traded on CM segment of NSE), • No price bands are applicable on: scrips on which derivative products are available or scrips included in indices on which derivatives products are available. * 70 The price bands for the securities in the Limited Physical Market as the same as those applicable for the securities in the Normal Market. For Auction market the price bands of 20% are applicable. *In order to prevent members from entering orders at non-genuine prices in such securities, the Exchange has fixed operating range of 20% for such securities. Settlement Guarantee Fund The Settlement Guarantee Fund (SGF), provides the cushion for any residual risk. It operates like a self-insurance mechanism where members contribute to the Fund. In the event of failure of a trading member to meet settlement obligations or committing a default, the Fund is utilised to the extent required for successful completion of the settlement. This has eliminated counter-party risk of trading on the Exchange. The market has full confidence that settlement shall take place in time and shall be completed irrespective of default by isolated trading members. Surveillance, Investigation & Inspection Surveillance & Investigation As the securities transactions are prone to a variety of manipulations, the Exchange has instituted a strong surveillance mechanism to protect market integrity. Surveillance mechanism includes monitoring of orders and trades data, open positions and corporate information that flow into the market to identify possible market abuse practices. Various on-line and off-line alerts/reports are generated, on any price/volume movement of securities not in line with past trends/patterns. Besides, rumors in the print media are tracked and where they are price sensitive, companies are contacted for verification. Replies received are informed to the members and the public. The investigation is based on various alerts which require further analysis. If further analysis suggests any possible irregular activity which deviates from the past trends/ patterns and concentration of trading at NSE at the client level, then a more detailed investigation is undertaken. If the detailed investigation establishes any irregular activity, then disciplinary action is initiated against the member. If the investigation suggests possible irregular activity across exchanges and/or possible involvement of clients, then the same is informed to SEBI. Inspection As per regulatory requirement, a minimum of 20% of the active trading members are to be inspected every year to verify the level of compliance with various rules, byelaws and regulations of the Exchange. Usually, inspection of more members than the regulatory requirement is undertaken every year. The inspection randomly verifies if investor interests are being compromised in the conduct of business by the members. 71 72 1994-95 (Nov.-Mar.) 1995-96 1996-97 1997-98 1998-99 1999-2000 2000-01 Apr-01 May-01 Jun-01 Jul-01 Aug-01 Sep-01 Oct-01 Nov-01 Dec-01 Jan-02 Feb-02 Mar-02 2001-02 Apr-02 May-02 Jun-02 Jul-02 Aug-02 Sep-02 Oct-02 Nov-02 Dec-02 Jan-03 Feb-03 Mar-03 2002-03 Month & Year 102 246 250 244 251 254 251 19 22 21 22 21 20 21 20 19 23 20 19 247 22 22 20 23 21 20 21 19 21 23 19 20 251 No. of Trading Days – – – – – – 1,201 951 954 963 924 931 917 917 920 895 896 840 840 1,019 843 821 825 820 806 806 770 767 762 763 760 762 899 No. of companies Traded Traded Quantity (lakh) 1,391 39,912 135,561 135,685 165,327 242,704 329,536 20,782 25,715 22,336 13,142 15,937 17,342 19,799 25,349 31,777 34,384 28,552 23,294 278,408 28,798 35,303 38,519 36,821 26,000 25,581 26,458 23,631 33,022 36,336 28,681 24,917 364,066 No. of Trades (Rs. lakh) 3 66 264 381 546 984 1,676 114 141 133 99 112 135 141 153 177 213 177 157 1,753 201 217 189 211 191 185 201 175 219 239 191 177 2,397 (Rs. cr.) 1,805 67,287 294,503 370,193 414,474 839,052 1,339,510 35,616 48,329 42,783 27,228 29,417 35,323 35,326 42,132 54,468 68,719 49,564 44,262 513,167 53,320 54,979 44,241 51,398 46,113 46,499 51,902 51,352 61,973 64,762 48,289 43,160 617,989 (US $ mn.) – – – – 97,683 192,353 287,202 7,298 9,903 8,767 5,579 6,028 7,238 7,239 8,634 11,161 14,082 10,157 9,070 105,157 11,225 11,575 9,314 10,821 9,708 9,789 10,927 10,811 13,047 13,634 10,166 9,086 130,103 Trading Value (Rs. cr.) 17 276 1,176 1,520 1,651 3,303 5,337 1,875 2,197 2,037 1,238 1,401 1,766 1,682 2,107 2,867 2,988 2,478 2,330 2,078 2,424 2,499 2,212 2,235 2,196 2,325 2,472 2,703 2,951 2,816 2,542 2,158 2,462 (US $ mn.) – – – – 389 757 1,144 384 450 417 254 287 362 345 432 588 612 508 477 426 510 526 466 471 462 489 520 569 621 593 535 454 518 Average Daily Trading Value (%) 0.50 16.76 70.23 76.88 84.38 82.23 43.66 5.45 8.16 7.51 4.74 5.11 6.94 6.59 7.25 9.85 12.19 7.97 6.95 80.58 8.21 8.70 6.70 8.44 7.29 7.75 8.55 7.96 9.21 11.32 8.30 8.04 115.05 Turnover Ratio Table 4-1 : Business Growth of CM Segment 0 0 2 315 8,542 153,772 307,222 20,735 25,714 21,935 13,137 15,931 17,342 19,796 25,295 31,775 34,219 28,547 23,291 277,717 28,782 35,303 38,519 36,821 26,000 25,581 26,458 23,631 33,022 36,336 28,681 24,917 364,049 (lakh) Demat Traded Quantity 0 0 6 351 23,818 711,706 1,264,337 35,605 48,329 42,625 27,227 29,415 35,323 35,324 42,121 54,465 68,606 49,564 44,262 512,866 53,316 54,978 44,241 51,398 46,113 46,499 51,902 51,352 61,973 64,762 48,289 43,160 617,984 (Rs. cr.) (US $ mn.) – – – – 5,613 163,159 271,084 7,296 9,903 8,735 5,579 6,028 7,238 7,239 8,631 11,161 14,059 10,157 9,070 105,095 11,224 11,574 9,314 10,821 9,708 9,789 10,927 10,811 13,047 13,634 10,166 9,086 130,102 Demat Trading Value Contd... (Rs. cr.) (US $ mn.) 363,350 – 401,459 – 419,367 – 481,503 – 491,175 115,760 1,020,426 233,933 657,847 141,048 653,720 133,959 592,437 121,401 569,797 116,762 574,260 117,676 575,242 117,878 509,105 104,325 535,846 109,805 581,386 119,136 552,908 113,301 563,683 115,509 621,523 127,361 636,861 130,504 636,861 130,504 649,551 136,748 631,609 132,970 659,991 138,945 608,643 128,135 632,618 133,183 599,603 126,232 606,788 127,745 645,388 135,871 672,862 141,655 572,277 120,479 581985 122,523 537133 113,081 537133 113,081 Market Capitalisation 73 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar/04 2003-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04 Sep-04 Oct-04 Nov-04 Dec-04 Jan-05 Feb-05 Mar-05 2004-05 Apr-05 May-05 Jun-05 Jul-05 Aug-05 Sep-05 Month & Year Contd... 20 21 21 23 20 22 23 20 22 21 19 22 254 20 21 22 22 22 22 20 20 23 19 20 22 253 20 22 23 20 22 21 No. of Trading Days 738 743 744 755 752 761 728 738 754 761 763 769 804 771 776 787 793 799 809 814 816 821 823 835 870 856 829 830 843 856 864 872 No. of companies Traded Traded Quantity (lakh) 31,448 44,001 51,896 64,906 84,554 71,848 71,768 56,716 71,754 73,340 46,484 44,586 713,300 53,686 54,651 41,987 63,058 57,543 62,666 47,274 62,548 99,326 81,575 89,665 83,705 797,685 51,265 56,516 70,485 84,134 100,717 91,996 No. of Trades (Rs. lakh) 207 250 267 320 322 346 358 307 379 398 308 318 3,780 319 357 336 377 358 367 299 328 475 410 425 459 4,509 367 413 477 503 570 576 (Rs. cr.) 48,971 54,690 61,586 78,878 85,347 103,345 115,595 92,886 110,373 134,269 108,718 104,877 1,099,534 100,951 98,920 84,898 93,836 86,856 88,508 75,698 82,035 115,593 99,732 99,989 113,055 1,140,072 82,718 86,802 111,397 123,008 145,731 145,393 (US $ mn.) 11,286 12,604 14,194 18,179 19,670 23,818 26,641 21,407 25,437 30,945 25,056 24,171 253,407 23,075 22,610 19,405 21,448 19,853 20,230 17,302 18,751 26,421 22,796 22,855 25,841 260,588 18,543 19,458 24,971 27,574 32,668 32,592 Trading Value (Rs. cr.) 2,449 2,604 2,933 3,429 4,267 4,698 5,026 4,644 5,017 6,394 5,722 4,767 4,329 5,048 4,710 3,859 4,265 3,948 4,023 3,785 4,102 5,026 5,249 4,999 5,139 4,506 4,136 3,946 4,843 6,150 6,624 6,923 (US $ mn.) 564 600 676 790 983 1,083 1,158 1,070 1,156 1,474 1,319 1,099 998 1,154 1,077 882 975 902 920 865 938 1,149 1,200 1,143 1,175 1,030 927 884 1,086 1,379 1,485 1,552 Average Daily Trading Value 9.23 8.94 9.08 10.97 10.20 11.97 12.47 9.48 9.46 12.03 9.79 9.36 98.09 8.61 10.41 8.67 8.80 7.60 7.21 6.04 5.67 7.32 6.40 6.19 7.13 71.90 5.45 5.24 6.45 6.65 7.44 6.93 (%) Turnover Ratio Table 4-1 : Business Growth of CM Segment (lakh) 31,448 44,001 51,896 64,906 84,554 71,848 71,768 56,716 71,754 73,340 46,484 44,586 713,300 53,686 54,651 41,987 63,058 57,543 62,666 47,274 62,548 99,326 81,575 89,665 83704.62 797,685 51,265 56,516 70,485 84,134 100,717 91,996 Demat Traded Quantity (Rs. cr.) (US $ mn.) 48,971 11,286 54,690 12,604 61,586 14,194 78,878 18,179 85,347 19,670 103,345 23,818 115,595 26,641 92,886 21,407 110,373 25,437 134,269 30,945 108,718 25,056 104,877 24,171 1,099,534 253,407 100,951 23,075 98,920 22,610 84,898 19,405 93,836 21,448 86,856 19,853 88,508 20,230 75,698 17,302 82,035 18,751 115,593 26,421 99,732 22,796 99,989 22,855 113,055 25,841 1,140,072 260,588 82,718 18,543 86,802 19,458 111,397 24,971 123,008 27,574 145,731 32,668 145,393 32,592 Demat Trading Value Contd... (Rs. cr.) (US $ mn.) 530630 122,293 612030 141,053 678550 156,384 719145 165,740 836651 192,821 863481 199,004 926748 213,586 979541 225,753 1167029 268,963 1116150 257,237 1110954 256,039 1,120,976 258,349 1,120,976 258,349 1,171,828 267,846 950,494 217,256 979,700 223,931 1,066,087 243,677 1,143,075 261,274 1,227,550 280,583 1,253,825 286,589 1,446,292 330,581 1,579,161 360,951 1,557,444 355,987 1,614,597 369,051 1,585,585 362,419 1,585,585 362,419 1,517,908 340,262 1,654,995 370,992 1,727,502 387,246 1,848,740 414,423 1,957,491 438,801 2,098,263 470,357 Market Capitalisation 74 Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 2005-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 2006-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 2007-08 Month & Year Contd... 20 20 22 20 19 22 251 18 22 23 21 22 21 20 22 20 20 19 21 249 20 21 21 22 22 20 22 22 19 23 21 18 251 No. of Trading Days 887 872 888 893 900 920 928 935 943 950 950 949 968 973 982 1,009 1,035 1,057 1,081 1,114 1,088 1,113 1,130 1,140 1,166 1,116 1,176 1,189 1,202 1,210 1,226 1,229 1,244 No. of companies Traded Traded Quantity (lakh) 57,670 53,870 63,699 66,717 61,629 85,788 844,486 72,892 95,371 66,748 46,146 56,443 64,385 60,823 73,071 58,581 88,354 89,807 82,836 855,456 77,081 97,911 79,636 105,315 106,218 143,797 170,945 170,588 163,965 166,821 113,588 102,604 1,498,469 No. of Trades (Rs. lakh) 463 434 553 554 521 658 6,089 567 694 667 537 631 648 579 747 666 699 702 710 7,847 678 802 751 897 874 919 1,227 1,180 1,088 1,252 1,072 987 11,727 (Rs. cr.) 120,810 109,578 149,908 149,442 135,374 209,395 1,569,558 177,372 201,409 151,050 118,698 130,796 144,339 138,382 189,863 170,105 175,147 180,170 167,954 1,945,287 168,567 207,585 193,648 267,227 231,241 266,050 455,589 414,419 366,385 447,138 280,176 253,012 3,551,038 (US $ mn.) 27,081 24,564 33,604 33,500 30,346 46,939 351,840 40,691 46,205 34,652 27,231 30,006 33,113 31,746 43,557 39,024 40,181 41,333 38,530 446,269 42,173 51,935 48,448 66,857 57,854 66,562 113,983 103,683 91,665 111,868 70,097 63,301 888,426 Trading Value (Rs. cr.) 6,040 5,479 6,814 7,472 7,125 9,518 6,253 9,854 9,155 6,567 5,652 5,945 6,873 6,919 8,630 8,505 8,757 9,483 7,998 7,812 8,428 9,885 9,221 12,147 10,511 13,302 20,709 18,837 19,283 19,441 13,342 14,056 14,148 (US $ mn.) 1,354 1,228 1,527 1,675 1,597 2,134 1,402 2,261 2,100 1,507 1,297 1,364 1,577 1,587 1,980 1,951 2,009 2,175 1,835 1,792 2,109 2,473 2,307 3,039 2,630 3,328 5,181 4,713 4,824 4,864 3,338 3,517 3,540 Average Daily Trading Value 6.27 5.06 6.45 6.14 5.39 7.44 55.79 5.93 7.71 5.98 4.72 4.71 4.82 4.41 5.63 4.96 4.90 5.46 4.99 57.77 4.62 5.33 4.87 6.19 5.38 5.44 7.96 7.05 5.60 8.44 5.17 5.21 73.09 (%) Turnover Ratio Table 4-1 : Business Growth of CM Segment (lakh) 57,670 53,870 63,699 66,717 61,629 85,788 844,486 72,892 95,371 66,748 46,146 56,443 64,385 60,823 73,071 58,581 88,354 89,807 82,836 855,456 77,081 97,911 79,636 105,315 106,218 143,797 170,945 170,588 163,965 166,821 113,588 102,604 1,498,469 Demat Traded Quantity (Rs. cr.) (US $ mn.) 120,810 27,081 109,578 24,564 149,908 33,604 149,442 33,500 135,374 30,346 209,395 46,939 1,569,558 351,840 177,372 40,691 201,409 46,205 151,050 34,652 118,698 27,231 130,796 30,006 144,339 33,113 138,382 31,746 189,863 43,557 170,105 39,024 175,147 40,181 180,170 41,333 167,954 38,530 1,945,287 446,269 168,567 42,173 207,585 51,935 193,648 48,448 267,227 66,857 231,241 57,854 266,050 66,562 455,589 113,983 414,419 103,683 366,385 91,665 447,138 111,868 280,176 70,097 253,012 63,301 3,551,038 888,426 Demat Trading Value (Rs. cr.) (US $ mn.) 1,927,645 432,110 2,166,823 485,726 2,322,392 520,599 2,434,395 545,706 2,512,083 563,121 2,813,201 630,621 2,813,201 630,621 2,990,200 685,983 2,612,639 599,367 2,524,659 579,183 2,514,261 576,798 2,777,401 637,165 2,994,132 686,885 3,138,319 719,963 3,373,652 773,951 3,426,236 786,014 3,571,487 819,336 3,296,931 756,350 3,367,350 772,505 3,367,350 772,505 3,650,368 913,277 3,898,078 975,251 3,978,381 995,342 4,317,571 1,080,203 4,296,994 1,075,055 4,886,561 1,222,557 5,722,227 1,431,630 5,876,742 1,470,288 6,543,272 1,637,046 5,295,387 1,324,840 5,419,942 1,356,003 4,858,122 1,215,442 4,858,122 1,215,442 Market Capitalisation Chart 4-1 : Business Growth of Capital Market Segment Table 4-2 : Percentage Share of Top ‘N’ Securities/Member in Turnover Year Securities 1994-95 (Nov.-Mar.) 1995-96 1996-97 1997-98 1998-99 1999-00 2000-01 2001-02 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 Members 1994-95 (Nov.-Mar.) 1995-96 1996-97 1997-98 1998-99 1999-00 2000-01 2001-02 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 5 No. of Securities/Brokers 10 25 50 100 48.77 82.98 84.55 72.98 52.56 39.56 52.15 44.43 40.58 31.04 25.88 22.15 16.97 16.29 55.92 86.60 91.96 85.17 67.11 59.22 72.90 62.92 55.41 44.87 41.65 31.35 25.25 26.78 68.98 90.89 95.70 92.41 84.71 82.31 88.93 82.24 77.8 64.32 57.98 46.39 43.46 45.46 81.14 93.54 97.03 95.76 92.03 88.69 94.57 91.56 89.16 79.44 72.40 59.22 61.94 61.47 91.07 95.87 98.19 97.90 95.98 93.66 97.46 95.91 95.38 91.03 84.26 73.12 77.22 77.29 18.19 10.65 5.94 6.29 7.73 7.86 7.78 7.14 10.26 11.58 13.52 14.62 14.72 14.57 26.60 16.56 10.08 10.59 11.96 12.99 12.76 12.29 16.41 17.36 20.20 22.57 24.27 25.71 44.37 28.61 19.67 18.81 20.77 22.78 23.00 23.63 29.07 30.34 34.97 38.17 42.61 44.70 61.71 41.93 30.57 29.21 31.66 34.41 33.86 36.32 42.49 44.05 49.01 52.57 56.71 60.11 81.12 58.59 45.95 44.24 47.02 49.96 48.79 53.40 59.15 61.37 65.09 38.45 71.22 73.90 75 Table 4-3 : ‘50’ Most Active Securities during 2007-08 in Terms of Trading Value Rank Name of Security Trading Value (Rs. cr.) % Share Market Capitalisation % Share in Total as on March 31,2008 in Total (US $ mn.) Trading (Rs. cr.) (US $ mn.) Market Value Capitalisation 1 Reliance Industries Ltd. 180,435 45,143 5.08 329,368 82,404 6.78 2 Reliance Natural. Resources Ltd. 106,895 26,744 3.01 16,299 4,078 0.34 3 Reliance Energy Ltd. 106,484 26,641 3.00 29,586 7,402 0.61 4 Reliance Petroleum Ltd. 96,968 24,260 2.73 70,290 17,586 1.45 5 Reliance Communications Ltd. 87,839 21,976 2.47 105,214 26,323 2.17 6 Reliance Capital Ltd. 83,504 20,892 2.35 30,183 7,552 0.62 7 ICICI Bank Ltd. 77,736 19,448 2.19 85,512 21,394 1.76 8 IFCI Ltd. 74,312 18,592 2.09 3,362 841 0.07 9 Infosys Technologies Ltd. 69,809 17,465 1.97 82,362 20,606 1.70 10 Larsen & Toubro Ltd. 66,812 16,716 1.88 88,702 22,192 1.83 11 State Bank Of India 63,360 15,852 1.78 101,065 25,285 2.08 12 DLF Ltd. 55,389 13,858 1.56 110,090 27,543 2.27 13 Bharti Airtel Ltd. 54,387 13,607 1.53 156,815 39,233 3.23 14 Steel Authority Of India 48,170 12,052 1.36 76,536 19,148 1.58 15 Tata Steel Ltd. 47,526 11,890 1.34 50,741 12,695 1.04 16 GMR Infrastructure Ltd. 47,354 11,847 1.33 27,110 6,782 0.56 17 BHEL 47,235 11,818 1.33 100,907 25,246 2.08 18 Jaiprakash Associates Ltd 45,654 11,422 1.29 26,519 6,635 0.55 19 NTPC Ltd. 38,833 9,716 1.09 162,106 40,557 3.34 20 HDFC Ltd. 38,579 9,652 1.09 67,560 16,903 1.39 21 Unitech Ltd. 38,565 9,649 1.09 44,838 11,218 0.92 22 Essar Oil Ltd. 36,280 9,077 1.02 23,286 5,826 0.48 23 Oil And Natural Gas Corp. 35,359 8,846 1.00 209,727 52,471 4.32 24 Indiabulls Real Estate Ltd. 34,039 8,516 0.96 11,753 2,940 0.24 25 Indiabulls Financial Services Ltd. 32,611 8,159 0.92 10,563 2,643 0.22 26 Satyam Computer Services 31,777 7,950 0.89 26,571 6,648 0.55 Contd... 76 Contd... Table 4-3 : ‘50’ Most Active Securities during 2007-08 in Terms of Trading Value Rank Name of Security Trading Value (Rs. cr.) % Share Market Capitalisation % Share in Total as on March 31,2008 in Total (US $ mn.) Trading (Rs. cr.) (US $ mn.) Market Value Capitalisation 27 Power Grid Corp. Ltd. 31,702 7,931 0.89 41,373 10,351 0.85 28 Suzlon Energy Ltd. 29,964 7,497 0.84 39,489 9,880 0.81 29 Sterlite Inds (Ind) Ltd. 29,347 7,342 0.83 50,621 12,665 1.04 30 Jindal Steel & Power Ltd. 27,897 6,980 0.79 31,870 7,973 0.66 31 Tata Consultancy Services Ltd. 27,208 6,807 0.77 79,311 19,843 1.63 32 Industrial Development Bank Of India Ltd. 26,764 6,696 0.75 6,457 1,615 0.13 33 ITC Ltd. 26,700 6,680 0.75 77,700 19,440 1.60 34 Infra. Dev. Fin. Co. Ltd. 25,518 6,384 0.72 19,544 4,890 0.40 35 Tata Teleserv (Maharastra) 24,633 6,163 0.69 5,320 1,331 0.11 36 Housing Dev & Infra Ltd. 23,852 5,967 0.67 14,083 3,523 0.29 37 Nagarjuna Fertilizers Ltd 23,610 5,907 0.66 1,586 397 0.03 38 Tata Motors Ltd. 23,608 5,906 0.66 24,005 6,006 0.49 39 Punj Lloyd Ltd. 22,049 5,516 0.62 9,431 2,360 0.19 40 Ispat Industries Ltd. 20,759 5,194 0.58 3,808 953 0.08 41 Tata Power Co Ltd. 20,504 5,130 0.58 25,777 6,449 0.53 42 HDFC Bank Ltd. 20,359 5,094 0.57 47,184 11,805 0.97 43 Jaiprakash Hydropower Ltd. 18,596 4,653 0.52 2,651 663 0.05 44 ACC Ltd. 17,937 4,488 0.51 15,501 3,878 0.32 45 Reliance Power Ltd. 17,434 4,362 0.49 71,862 17,979 1.48 46 Cairn India Ltd. 15,993 4,001 0.45 39,872 9,975 0.82 47 Kotak Mahindra Bank Ltd. 15,963 3,994 0.45 21,573 5,397 0.44 48 Hindalco Industries Ltd 15,590 3,900 0.44 20,261 5,069 0.42 49 Maruti Suzuki India Ltd. 15,557 3,892 0.44 23,893 5,978 0.49 50 Idea Cellular Ltd. 15,334 3,836 0.43 27,052 6,768 0.56 2,182,792 546,107 61.47 2,747,289 687,338 56.55 Total 77 Table 4-4 : Top ‘50’ Companies by Market Capitalisation as on March 31, 2008 Rank Name of Company Market Capitalisation (Rs. cr.) (US $ mn.) % Share in Total Market Capitalisation Trading Volume % Share During 2007-08 in Total (Rs. cr.) (US $ mn.) Trading Volume 1 Reliance Industries Ltd. 329,368 82,404 6.78 180,435 45,143 5.08 2 Oil And Natural Gas Corporation 209,727 52,471 4.32 35,359 8,846 1.00 3 NTPC Ltd. 162,106 40,557 3.34 38,833 9,716 1.09 4 Bharti Airtel Ltd. 156,815 39,233 3.23 54,387 13,607 1.53 5 NMDC Ltd. 136,979 34,270 2.82 27 7 0.0008 6 DLF Ltd. 110,090 27,543 2.27 55,389 13,858 1.56 7 Reliance Communications Ltd. 105,214 26,323 2.17 87,839 21,976 2.47 8 State Bank Of India 101,065 25,285 2.08 63,360 15,852 1.78 9 BHEL 100,907 25,246 2.08 47,235 11,818 1.33 10 Larsen & Toubro Ltd.. 88,702 22,192 1.83 66,812 16,716 1.88 11 ICICI Bank Ltd.. 85,512 21,394 1.76 77,736 19,448 2.19 12 Infosys Technologies Ltd. 82,362 20,606 1.70 69,809 17,465 1.97 13 Tata Consultancy Services Ltd. 79,311 19,843 1.63 27,208 6,807 0.77 14 ITC Ltd. 77,700 19,440 1.60 26,700 6,680 0.75 15 Steel Authority Of India 76,536 19,148 1.58 48,170 12,052 1.36 16 Reliance Power Ltd. 71,862 17,979 1.48 17,434 4,362 0.49 17 Reliance Petroleum Ltd. 70,290 17,586 1.45 96,968 24,260 2.73 18 HDFC Ltd. 67,560 16,903 1.39 38,579 9,652 1.09 19 Wipro Ltd. 63,144 15,798 1.30 11,571 2,895 0.33 20 Indian Oil Corp Ltd. 53,126 13,292 1.09 6,835 1,710 0.19 21 Tata Steel Ltd. 50,741 12,695 1.04 47,526 11,890 1.34 22 Sterlite Inds (Ind) Ltd. 50,621 12,665 1.04 29,347 7,342 0.83 23 Hindustan Unilever Ltd. 49,832 12,467 1.03 13,120 3,283 0.37 24 HDFC Bank Ltd. 47,184 11,805 0.97 20,359 5,094 0.57 25 Unitech Ltd. 44,838 11,218 0.92 38,565 9,649 1.09 26 Power Grid Corp. Ltd. 41,373 10,351 0.85 31,702 7,931 0.89 Contd... 78 Contd... Table 4-4 : Top ‘50’ Companies by Market Capitalisation as on March 31, 2008 Rank Name of Company Market Capitalisation (Rs. cr.) (US $ mn.) % Share in Total Market Capitalisation Trading Volume % Share During 2007-08 in Total (Rs. cr.) (US $ mn.) Trading Volume 27 Cairn India Ltd. 39,872 9,975 0.82 15,993 4,001 0.45 28 Suzlon Energy Ltd. 39,489 9,880 0.81 29,964 7,497 0.84 29 Gail (India) Ltd. 35,978 9,001 0.74 12,926 3,234 0.36 30 Jindal Steel & Power Ltd. 31,870 7,973 0.66 27,897 6,980 0.79 31 Reliance Capital Ltd. 30,183 7,552 0.62 83,504 20,892 2.35 32 Reliance Energy Ltd. 29,586 7,402 0.61 106,484 26,641 3.00 33 National Aluminium Co Ltd. 29,110 7,283 0.60 2,129 533 0.06 34 Axis Bank Ltd. 28,254 7,069 0.58 14,562 3,643 0.41 35 GMR Infrastructure Ltd.. 27,110 6,782 0.56 47,354 11,847 1.33 36 Idea Cellular Ltd. 27,052 6,768 0.56 15,334 3,836 0.43 37 Satyam Computer Services 26,571 6,648 0.55 31,777 7,950 0.89 38 Jaiprakash Associates Ltd. 26,519 6,635 0.55 45,654 11,422 1.29 39 Tata Power Co Ltd. 25,777 6,449 0.53 20,504 5,130 0.58 40 Sun Pharmaceuticals Ind. 25,462 6,370 0.52 5,814 1,455 0.16 41 ABB Ltd. 25,004 6,256 0.51 11,347 2,839 0.32 42 Tata Motors Ltd. 24,005 6,006 0.49 23,608 5,906 0.66 43 Maruti Suzuki India Ltd. 23,893 5,978 0.49 15,557 3,892 0.44 44 Grasim Industries Ltd. 23,609 5,907 0.49 8,313 2,080 0.23 45 Essar Oil Ltd. 23,286 5,826 0.48 36,280 9,077 1.02 46 Mundra Port & Sez Ltd. 23,189 5,802 0.48 9,635 2,410 0.27 47 Hindustan Zinc Ltd. 22,193 5,553 0.46 2,095 524 0.06 48 Kotak Mahindra Bank Ltd. 21,573 5,397 0.44 15,963 3,994 0.45 49 Siemens Ltd. 20,783 5,200 0.43 12,425 3,108 0.35 50 Hindalco Industries Ltd. 20,261 5,069 0.42 15,590 3,900 0.44 3,163,594 791,492 65.12 1,842,016 460,850 51.87 Total 79 80 25,909 45,013 88,949 181,257 407,168 164,324 23,717 Engineering FMCG Infrastructure IT Manufacturing Petrochemicals Pharmaceuticals 1,205,001 17,535 Media & Entertainment Total 92,380 Telecommunications – 86,316 Financial Services Services 72,433 (Rs.cr.) 27,644 402 2,119 – 544 3,770 9,341 4,158 2,041 1,033 594 1,980 1,662 (US $ mn.) 2,182,792 – 182,192 – – 388,646 430,484 128,794 500,458 26,700 66,812 254,523 204,182 (Rs.cr.) 54,611 – 4,558 – – 9,723 10,770 3,222 12,521 668 1,672 6,368 5,108 (US $ mn.) 2007-08 Trading Value (Amount) 2006-07 Banks Industry 100.00 1.46 7.67 – 1.97 13.64 33.79 15.04 7.38 3.74 2.15 7.16 6.01 2006-07 % 100.00 – 8.35 – – 17.80 19.72 5.90 22.93 1.22 3.06 11.66 9.35 2007-08 Trading Value (% to Total ‘Top 50 Co’s) 2,201,271 – 255,412 – 51,865 481,723 453,659 399,249 155,337 102,150 45,471 53,120 203,284 (Rs.cr.) 50,499 – 5,859 – 1,190 11,051 10,407 9,159 3,564 2,343 1,043 1,219 4,664 (US $ mn.) 2006-07 3,163,594 – 289,080 23,189 25,462 725,669 711,980 251,388 539,261 127,532 88,702 97,743 283,587 (Rs.cr.) 79,149 – 7,232 580 637 18,155 17,813 6,289 13,492 3,191 2,219 2,445 7,095 (US $ mn.) 2007-08 Market Capitalisation (Amount) 100.00 – 11.60 – 2.36 21.88 20.61 18.14 7.06 4.64 2.07 2.41 9.23 2006-07 % 100.00 – 9.14 0.73 0.80 22.94 22.51 7.95 17.05 4.03 2.80 3.09 8.96 2007-08 Market Capitalisation (% to Total ‘Top 50 Co’s) Table 4-5 : Industry Wise Classification of Top ‘50’ Companies by Trading Volume and Market Capitalisation Table 4-6 : NSE’s Most Active Trading days during the year 2007-08 Sr No. Date 1 2 3 4 5 6 7 8 9 10 Highest Single Day Trading Value 1-Nov-2007 18-Oct-2007 8-Jan-2008 27-Dec-2007 3-Oct-2007 3-Jan-2008 30-Oct-2007 21-Jan-2008 17-Oct-2007 6-Nov-2007 (Rs. cr.) (US $ mn.) 28,476.07 26,030.25 25,435.15 24,976.78 24,842.41 24,710.05 24,636.21 24,525.77 24,061.67 23,764.91 7,124.36 6,512.45 6,363.56 6,248.88 6,215.26 6,182.15 6,163.68 6,136.05 6,019.93 5,945.69 Table 4-7 : Individual Securities Single day Trading Records Rank Symbol Name of Company Date Traded Value (Rs. cr.) (US $ mn.) 1 RPOWER Reliance Power Ltd. 11-Feb-2008 5,602.50 1,401.68 2 POWERGRID Power Grid Corp. Ltd. 5-Oct-2007 4,930.56 1,233.57 3 DLF DLF Limited 5-Jul-2007 4,346.70 1,087.49 4 RPL Reliance Petroleum Ltd. 1-Nov-2007 3,950.54 988.38 5 RPL Reliance Petroleum Ltd. 6-Nov-2007 3,626.62 907.33 6 RPL Reliance Petroleum Ltd. 29-Nov-2007 3,624.58 906.82 7 RNRL Rel. Nat. Resources Ltd. 5-Nov-2007 3,315.46 829.49 8 RNRL Rel. Nat. Resources Ltd. 6-Nov-2007 3,306.10 827.15 9 MUNDRAPORT Mundra Port & Sez Ltd 27-Nov-2007 2,687.72 672.43 10 RELIANCE 12-Oct-2007 2,629.35 657.83 Reliance Industries Ltd Table 4-8 : FII turnover on Capital Market Segment of Exchange FII Turnover (Rs. cr.) Market Turnover (US $ mn) 13,467 (Rs.cr.) (US $ mn) Contribution of FII turnover to total turnover Apr-06 58,705 354,745 81,382 16.55 May-06 72,026 Jun-06 52,539 16,524 402,818 92,411 17.88 12,053 302,100 69,305 17.39 Jul-06 35,265 8,090 237,397 54,461 14.85 Aug-06 35,416 8,125 261,592 60,012 13.54 Sep-06 45,113 10,349 288,678 66,226 15.63 Oct-06 49,588 11,376 276,764 63,493 17.92 Nov-06 64,426 14,780 379,727 87,113 16.97 Dec-06 65,331 14,988 340,211 78,048 19.20 Jan-07 71,757 16,462 350,294 80,361 20.48 Contd... 81 Contd... Table 4-8 : FII turnover on Capital Market Segment of Exchange FII Turnover (Rs. cr.) Feb-07 68,828 Mar-07 2006-07 (US $ mn) 15,790 Market Turnover (Rs.cr.) 360,341 (US $ mn) 82,666 Contribution of FII turnover to total turnover 19.10 67,303 15,440 335,907 77,061 20.04 686,297 157,444 3,890,573 892,538 17.64 Apr-08 61,119 15,291 337,134 84,347 18.13 May-08 68,084 17,034 415,170 103,870 16.40 Jun-08 63,289 15,834 387,296 96,897 16.34 Jul-08 95,036 23,777 534,454 133,714 17.78 Aug-08 82,061 20,531 462,482 115,707 17.74 Sep-08 86,233 21,574 532,100 133,125 16.21 Oct-08 171,701 42,957 911,178 227,965 18.84 Nov-08 142,088 35,549 828,840 207,366 17.14 Dec-08 117,423 29,378 732,770 183,330 16.02 Jan-08 177,582 44,429 894,276 223,737 19.86 Feb-08 101,022 25,275 560,352 140,193 18.03 Mar-08 104,883 26,241 506,025 126,601 20.73 1,270,521 317,869 7,102,077 1,776,852 17.89 2007-08 Table 4-9 : Market Capitalisation of Securities in the CM Segment Month/Year (end of period) Mar-95 Mar-96 Mar-97 Mar-98 Mar-99 Mar-00 Mar-01 Mar-02 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Apr-04 82 Total MC 363,350 401,459 419,367 481,503 491,175 1,020,426 657,847 636,861 537,133 530,630 612,030 678,550 719,145 836,651 863,481 926,748 979,541 1,167,029 1,116,150 1,110,954 1,120,976 1,171,828 MC of S&P CNX Nifty – 139,357 159,758 230,420 236,569 373,559 301,085 349,402 316,762 302,472 335,765 378,241 395,497 457,313 477,724 524,705 544,756 634,248 611,844 609,751 638,599 771,153 Share in Total MC (%) – 34.71 38.09 47.85 48.16 36.61 45.77 54.86 58.97 57.00 54.86 55.74 55.00 54.66 55.33 56.62 55.61 54.35 54.82 54.89 56.97 65.81 MC of CNX Nifty Junior – – 25,184 34,654 53,452 98,804 31,989 42,446 34,550 45,918 60,229 64,605 73,504 88,009 95,403 103,143 108,847 132,409 130,917 129,489 130,122 139,636 (In Rs. cr.) Share in Total MC (%) – – 6.01 7.20 10.88 9.68 4.86 6.66 6.43 8.65 9.84 9.52 10.22 10.52 11.05 11.13 11.11 11.35 11.73 11.66 11.61 11.92 Contd... Contd... Table 4-9 : Market Capitalisation of Securities in the CM Segment Month/Year (end of period) May-04 Jun-04 Jul-04 Aug-04 Sep-04 Oct-04 Nov-04 Dec-04 Jan-05 Feb-05 Mar-05 Apr-05 May-05 Jun-05 Jul-05 Aug-05 Sep-05 Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Total MC 950,494 979,700 1,066,087 1,143,075 1,227,550 1,253,825 1,446,292 1,579,161 1,557,444 1,614,597 1,585,585 1,517,908 1,654,995 1,727,502 1,848,740 1,957,491 2,098,263 1,927,645 2,166,823 2,322,392 2,434,395 2,512,083 2,813,201 2,990,200 2,612,639 2,524,659 2,514,261 2,777,401 2,994,132 3,138,319 3,373,652 3,426,236 3,571,487 3,296,931 3,367,350 3,650,368 3,898,078 3,978,381 4,317,571 4,296,994 4,886,561 5,722,227 5,876,742 6,543,272 5,295,387 5,419,942 4,858,122 MC of S&P CNX Nifty 632,652 642,325 698,209 698,427 747,280 765,067 839,857 902,831 893,674 978,440 951,672 888,639 977,445 1,040,264 1,083,537 1,118,077 1,227,424 1,119,365 1,254,781 1,350,394 1,399,294 1,434,266 1,590,155 1,663,860 1,437,366 1,495,329 1,503,314 1,633,200 1,781,134 1,860,568 1,968,913 1,975,603 2,036,797 1,869,473 1,909,448 2,096,100 2,206,712 2,219,151 2,358,907 2,331,929 2,774,625 3,328,356 3,257,297 3,522,527 2,966,421 3,016,694 2,848,773 Share in Total MC (%) 66.56 65.56 65.49 61.10 60.88 61.02 58.07 57.17 57.38 60.60 60.02 58.54 59.06 60.22 58.61 57.12 58.50 58.07 57.91 58.15 57.48 57.09 56.52 55.64 55.02 59.23 59.79 58.80 59.49 59.29 58.36 57.66 57.03 56.70 56.70 57.42 56.61 55.78 54.64 54.27 56.78 58.17 55.43 53.83 56.02 55.66 58.64 MC of CNX Nifty Junior 104,708 107,211 114,185 118,520 129,944 129,254 144,221 165,444 157,825 168,860 164,668 156,196 169,627 172,284 193,242 198,555 208,551 185,707 206,702 218,575 232,925 245,269 274,823 294,193 250,680 219,113 222,011 248,197 301,814 317,577 327,045 333,693 341,389 315,793 323,308 321,560 343,150 388,710 397,396 393,906 448,284 487,986 525,730 643,625 522,450 528,511 453,625 (In Rs. cr.) Share in Total MC (%) 11.02 10.94 10.71 10.37 10.59 10.31 9.97 10.48 10.13 10.46 10.39 10.29 10.25 9.97 10.45 10.14 9.94 9.63 9.54 9.41 9.57 9.76 9.77 9.84 9.59 8.68 8.83 8.94 10.08 10.12 9.69 9.74 9.56 9.58 9.60 8.81 8.80 9.77 9.20 9.17 9.17 8.53 8.95 9.84 9.87 9.75 9.34 83 Table 4-10 : Composition of S&P CNX Nifty Index as on March 31, 2008 Sl. No. 84 Name of Security Issued Capital Market Capitalisation Weightage (Rs. cr.) (Rs. cr.) (%) Beta R2 Volatility Return Impact Cost (%) (%) (%) 1 ABB 42 25,004 0.88 0.83 0.48 3.41 2.13 2 ACC 188 15,501 0.54 0.79 0.34 2.92 3.79 0.11 0.07 3 AMBUJACEM 304 18,428 0.65 0.37 0.18 1.79 0.08 0.12 4 BHARTIARTL 1,898 156,815 5.50 0.78 0.37 3.31 0.00 0.09 5 BHEL 490 100,907 3.54 1.10 0.58 4.11 -9.86 0.09 6 BPCL 362 14,771 0.52 0.71 0.20 3.85 -12.10 0.11 7 CAIRN 1,779 39,872 1.40 0.95 0.41 5.58 -1.97 0.11 8 CIPLA 155 17,100 0.60 0.53 0.21 2.63 6.23 0.09 341 110,090 3.86 1.29 0.55 7.16 -17.24 0.09 84 9,943 0.35 0.44 0.23 2.25 1.29 0.11 846 35,978 1.26 0.94 0.38 3.13 0.48 0.09 0.10 9 DLF 10 DRREDDY 11 GAIL 12 GRASIM 92 23,609 0.83 0.80 0.53 2.86 -10.62 13 HCLTECH 133 16,845 0.59 0.87 0.37 4.62 -8.79 0.13 14 HDFC 284 67,560 2.37 0.90 0.40 5.31 -14.90 0.08 15 HDFCBANK 354 47,184 1.66 0.93 0.50 3.74 -8.62 0.09 16 HEROHONDA 40 13,869 0.49 0.45 0.18 2.33 -8.81 0.12 17 HINDALCO 123 20,261 0.71 1.19 0.50 5.29 -18.51 0.11 18 HINDUNILVR 218 49,832 1.75 0.58 0.25 2.85 0.57 0.09 19 ICICIBANK 1,111 85,512 3.00 1.10 0.55 5.35 -29.32 0.09 20 IDEA 2,635 27,052 0.95 0.80 0.34 3.41 -6.64 0.14 21 INFOSYSTCH 286 82,362 2.89 0.62 0.30 4.01 -7.00 0.08 22 ITC 377 77,700 2.73 0.67 0.32 2.79 1.73 0.08 58 88,702 3.11 1.04 0.52 4.75 -13.78 0.08 246 17,129 0.60 0.76 0.40 1.83 0.77 0.11 0.08 23 LT 24 M&M 25 MARUTI 144 23,893 0.84 0.68 0.34 2.33 -4.75 26 NATIONALUM 644 29,110 1.02 0.76 0.18 3.72 -2.66 0.15 27 NTPC 8,245 162,106 5.69 1.17 0.58 3.40 -2.67 0.09 28 ONGC 2,139 209,727 7.36 1.10 0.64 3.27 -3.60 0.10 29 PNB 315 16,088 0.56 1.03 0.49 3.72 -15.43 0.09 30 POWERGRID 0.09 31 RANBAXY 32 RCOM 33 REL 237 29,586 1.04 34 RELIANCE 1,454 329,368 11.56 35 RPL 4,500 70,290 2.47 1.32 36 SAIL 4,130 76,536 2.69 1.47 37 SATYAMCOMP 134 26,571 0.93 0.64 38 SBIN 632 101,065 3.55 0.99 39 SIEMENS 67 20,783 0.73 0.87 40 STER 142 50,621 1.78 41 SUNPHARMA 104 25,462 0.89 4,209 41,373 1.45 1.19 0.52 4.83 -10.56 187 16,361 0.57 0.60 0.31 2.45 -1.64 0.08 1,032 105,214 3.69 1.18 0.66 4.05 -11.30 0.08 1.67 0.55 6.41 -20.30 0.09 1.12 0.77 3.50 -8.02 0.08 0.48 4.28 -11.15 0.08 0.66 4.90 -27.18 0.10 0.24 3.93 -9.28 0.08 0.52 3.65 -24.22 0.08 0.38 4.13 -24.56 0.11 1.28 0.55 4.23 -14.45 0.12 0.38 0.11 2.87 0.19 0.12 Contd... Contd... Table 4-10 : Composition of S&P CNX Nifty Index as on March 31, 2008 Sl. No. Name of Security Issued Capital Market Capitalisation Weightage (Rs. cr.) (Rs. cr.) (%) Beta R2 Volatility Return Impact Cost (%) (%) (%) 42 SUZLON 299 39,489 1.39 1.09 0.34 5.80 -6.25 0.11 43 TATACOMM 285 14,619 0.51 0.98 0.34 4.26 0.16 0.12 44 TATAMOTORS 386 24,005 0.84 0.77 0.46 2.80 -11.09 0.09 45 TATAPOWER 220 25,777 0.90 1.20 0.38 4.21 -16.32 0.12 46 TATASTEEL 731 50,741 1.78 1.15 0.52 5.27 -13.40 0.08 47 TCS 98 79,311 2.78 0.68 0.40 3.30 -7.63 0.10 48 UNITECH 325 44,838 1.57 1.55 0.49 5.79 -23.26 0.11 49 WIPRO 292 63,144 2.22 0.69 0.35 4.39 -1.13 0.13 50 ZEEL 43 10,668 0.37 0.78 0.30 3.06 1.61 0.12 43,440 2,848,773 100.00 1.00 – 3.04 -9.36 0.09 Total * Beta & R2 are calculated for the period 01-Apr-2007 to 31-Mar-2008 * Beta measures the degree to which any portfolio of stocks is affected as compared to the effect on the market as a whole. * The coefficient of determination (R2) measures the strength of relationship between two variables the return on a security versus that of the market. * Volatility is the Std. deviation of the daily returns for the period 01-Mar-2008 to 31-Mar-2008 * Last day of trading was 31-Mar-2008 * Impact Cost for S&P CNX Nifty is for a portfolio of Rs. 50 lakhs * Impact Cost for S&P CNX Nifty is the weightage average impact cost Table 4-11 : Composition of CNX NIFTY Junior Index as on March 31, 2008 Sl. No. Name of Security 1 2 3 4 5 6 7 8 9 10 11 12 13 14 ANDHRABANK APOLLOTYRE ASHOKLEY ASIANPAINT AUROPHARMA AVENTIS BANKBARODA BANKINDIA BEL BHARATFORG BIOCON PFC CADILAHC CANBK Issued Capital Market Capitalisation (Rs. cr.) 485 48 133 96 27 23 364 525 80 45 50 1148 63 410 (Rs. cr.) 3,570 1,966 4,709 11,509 1,566 1,762 10,321 13,300 8,539 5,948 4,305 18,611 3,184 9,229 Weigh- Beta tage (%) 0.78 0.43 1.03 2.51 0.34 0.38 2.25 2.90 1.86 1.30 0.94 4.05 0.69 2.01 1.00 0.83 0.94 0.22 0.65 0.41 1.02 1.08 0.62 0.60 0.63 1.08 0.40 0.99 R2 0.59 0.34 0.48 0.05 0.32 0.22 0.58 0.46 0.32 0.32 0.35 0.44 0.19 0.48 Volatility Returns Impact Cost (%) 3.86 4.48 2.81 2.05 4.19 3.61 4.48 5.19 2.2 4.4 3.25 4.41 3.38 4.28 (%) -18.7 -5.92 -5.47 7.61 -11.65 -18.57 -22.53 -29.49 -25.73 -7.80 -3.55 -13.50 -2.84 -19.12 (%) 0.16 0.16 0.12 0.25 0.16 0.43 0.16 0.12 0.25 0.17 0.18 0.18 0.41 0.15 Contd... 85 Contd... Table 4-11 : Composition of CNX NIFTY Junior Index as on March 31, 2008 Sl. No. Name of Security 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 CHENNPETRO RELCAPITAL ULTRACEMCO CORPBANK CUMMINSIND INDHOTEL CONCOR I-FLEX GMRINFRA IDBI IFCI MCDOWELL-N IOB JPASSOCIAT KOTAKBANK LICHSGFIN LUPIN MOSERBAER MPHASIS JINDALSTEL NIRMA PATNI PFIZER ABIRLANUVO RNRL RAYMOND IDFC TECHM SYNDIBANK TTML TVSMOTOR UNIONBANK AXISBANK VIJAYABANK INGVYSYABK WOCKPHARMA Total Issued Capital Market Capitalisation (Rs. cr.) 149 246 124 143 40 72 65 42 364 725 762 100 545 234 345 85 82 168 209 15 80 28 30 93 817 61 1294 121 522 1893 24 505 358 434 102 55 14,428 (Rs. cr.) 4,185 30,183 9,767 4,045 6,385 8,117 11,216 7,881 27,110 6,457 3,362 15,009 7,360 26,519 21,573 2,395 4,092 2,560 4,211 31,870 2,468 3,091 2,045 13,027 21,704 1,860 19,544 8,559 3,912 5,320 829 7,110 28,254 2,148 3,430 2,914 459,031 Weigh- Beta tage (%) 0.91 6.58 2.13 0.88 1.39 1.77 2.44 1.72 5.91 1.41 0.73 3.27 1.60 5.78 4.70 0.52 0.89 0.56 0.92 6.94 0.54 0.67 0.45 2.84 4.73 0.41 4.26 1.86 0.85 1.16 0.18 1.55 6.16 0.47 0.75 0.63 100.00 0.88 1.63 0.71 0.81 0.65 0.81 0.23 0.94 1.36 1.37 1.50 0.81 0.91 1.39 1.23 1.15 0.47 0.91 0.67 1.41 0.59 0.76 0.37 0.82 1.57 0.65 1.16 0.64 1.11 1.33 1.08 1.18 0.82 1.24 0.59 0.70 1.00 R2 0.35 0.72 0.45 0.37 0.32 0.53 0.06 0.42 0.62 0.71 0.49 0.30 0.48 0.59 0.62 0.45 0.28 0.38 0.26 0.42 0.18 0.28 0.22 0.42 0.44 0.27 0.59 0.29 0.62 0.56 0.46 0.56 0.42 0.66 0.24 0.45 – Volatility Returns Impact Cost (%) 3.95 8.19 2.7 5.52 5.08 4.13 1.69 3.78 5.67 4.21 5.98 3.07 3.75 7.97 7.18 4.21 2.7 6.97 5.57 6.66 3.2 4.85 2.83 4.13 5.55 4.66 6.08 3.00 4.2 4.28 5.64 5.41 5.08 4.52 3.52 3.28 4.16 (%) -6.52 -32.65 -13.26 -13.52 -5.19 -11.06 -1.88 -12.78 -14.82 -24.78 -34.23 -11.72 -18.39 -13.78 -21.97 -9.24 -9.99 -14.18 -12.28 -10.19 -15.76 -7.72 2.01 -18.35 -24.91 -12.28 -22.62 2.11 -23.68 -20.28 -20.32 -24.31 -22.76 -25.21 -2.12 -21.05 -17.23 (%) 0.19 0.10 0.27 0.17 0.32 0.18 0.22 0.27 0.11 0.12 0.12 0.17 0.21 0.10 0.15 0.16 0.20 0.19 0.30 0.10 0.43 0.17 0.24 0.27 0.09 0.22 0.13 0.14 0.16 0.12 0.15 0.18 0.13 0.15 0.52 0.25 0.16 * Beta & R2 are calculated for the period 01-April 2006 to 30-Mar-2007 * Beta measures the degree to which any portfolio of stocks is affected as compared to the effect on the market as a whole. * The coefficient of determination (R2) measures the strength of relationship between two variables, the return on a security versus that of the market. * Volatility is the Std. deviation of the daily returns for the period 01-Mar-2008 to 31-Mar-2008 * Last day of trading was 31-Mar-2008 * Impact Cost for CNX Nifty Junior is for a portfolio of Rs. 0.25 lakhs * Impact Cost for CNX Nifty Junior is the weightage average impact cost 86 Table 4-12 : Industry-wise Weightages of S&P CNX NIFTY Securities as on 31st March, 2008 Sl. No. Industry Market Cap (Rs. cr.) Weightage (%) 1 Refineries 414,429 14.55 2 Telecommunication - Services 303,699 10.66 3 Computers - Software 268,233 9.42 4 Power 258,843 9.09 5 Banks 249,849 8.77 6 Oil Exploration 249,599 8.76 7 Electrical Equipment 186,183 6.54 8 Construction 154,927 5.44 9 Steel & Steel Products 127,277 4.47 10 Engineering 88,702 3.11 11 Cigarettes 77,700 2.73 12 Pharmaceuticals 68,866 2.42 13 Finance - Housing 67,560 2.37 14 Automobile - 4 wheelers 65,028 2.28 15 Cement & Cement Products 57,539 2.02 16 Metals 50,621 1.78 17 Diversified 49,832 1.75 18 Aluminium 49,371 1.73 19 Gas 35,978 1.26 20 Automohiles - 2 and 3 wheelers 13,869 0.49 21 Media & Entertainment 10,668 0.37 2,848,773 100 Total Table 4-13 : S&P CNX NIFTY Index* Month & Year Open High Low Close Volatility (%) Price To Earning Ratio# 1995-96 (Nov.-Mar.) 1996-97 1997-98 1998-99 1999-2000 2000-01 Apr-01 May-01 Jun-01 Jul-01 Aug-01 Sep-01 Oct-01 1000.00 988.33 931.95 1117.15 1082.55 1528.70 1148.10 1125.45 1168.10 1108.35 1073.00 1054.65 914.65 1067.49 1203.11 1297.10 1247.15 1818.15 1636.95 1171.85 1207.00 1175.80 1127.15 1084.00 1059.90 1000.95 813.12 775.43 929.05 800.10 916.00 1098.75 1000.10 1096.25 1060.05 1046.90 1051.75 849.95 884.65 985.30 968.30 1116.90 1078.05 1528.45 1148.20 1125.25 1167.90 1107.90 1072.85 1053.75 913.85 971.90 1.62 1.67 1.52 1.86 1.93 1.98 2.20 0.89 1.27 1.01 0.57 2.52 0.99 – – – 16.53 24.60 17.21 14.57 15.80 15.76 15.15 15.10 13.16 13.79 Contd... 87 Contd... Table 4-13 : S&P CNX NIFTY Index* Month & Year Nov-01 Dec-01 Jan-02 Feb-02 Mar-02 2001-02 Apr-02 May-02 Jun-02 Jul-02 Aug-02 Sep-02 Oct-02 Nov-02 Dec-02 Jan-03 Feb-03 Mar-03 2002-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 2003-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04 Sep-04 Oct-04 Nov-04 Dec-04 Jan-05 Feb-05 Open High Low Close Volatility (%) Price To Earning Ratio# 973.55 1067.20 1058.85 1076.95 1142.05 1148.10 1129.85 1084.80 1029.25 1058.00 959.20 1010.90 961.15 951.45 1050.15 1093.60 1040.25 1063.55 1129.85 977.40 930.90 1006.85 1133.95 1185.80 1356.70 1416.60 1556.50 1615.85 1880.35 1809.30 1798.35 977.40 1771.45 1796.10 1483.90 1506.65 1631.55 1631.70 1744.40 1787.30 1960.75 2080.00 2057.75 1097.60 1132.65 1121.75 1205.95 1201.10 1207.00 1153.30 1136.55 1102.05 1087.40 1012.75 1024.65 983.60 1057.40 1103.95 1105.60 1075.50 1070.85 1153.30 1033.45 1013.85 1141.30 1198.50 1365.80 1430.70 1574.10 1630.25 1914.40 2014.65 1935.80 1898.70 2014.65 1912.35 1837.95 1566.50 1638.70 1658.90 1760.80 1829.45 1963.80 2088.45 2120.15 2110.15 973.55 1010.45 1052.05 1069.40 1117.85 849.95 1073.30 1020.10 1029.25 943.60 935.55 960.20 920.10 946.40 1034.10 1026.20 1034.10 974.10 920.10 920.00 930.80 1004.70 1089.30 1164.75 1285.25 1407.95 1509.15 1615.70 1756.25 1755.65 1669.70 920.00 1771.45 1292.20 1437.90 1472.55 1573.70 1619.90 1737.85 1776.70 1944.50 1894.40 2036.60 1067.15 1059.05 1075.40 1142.05 1129.55 1129.55 1084.50 1028.80 1057.80 958.90 1010.60 963.15 951.40 1050.15 1093.50 1041.85 1063.40 978.20 978.20 934.05 1006.80 1134.15 1185.85 1356.55 1417.10 1555.90 1615.25 1879.75 1809.75 1800.30 1771.90 1771.90 1796.10 1483.60 1505.60 1632.30 1631.75 1745.50 1786.90 1958.80 2080.50 2057.60 2103.25 1.25 1.22 0.99 1.48 1.18 1.40 1.11 1.35 1.13 1.01 0.85 0.72 0.84 0.70 0.97 0.80 0.89 1.09 0.99 1.38 0.74 0.94 1.04 1.52 1.81 1.52 1.30 0.96 2.18 1.69 1.48 1.43 1.40 4.21 1.46 1.29 0.99 0.83 0.97 0.68 0.74 1.67 0.78 15.46 15.35 16.99 18.38 18.10 18.10 17.86 16.19 15.73 14.30 15.04 14.33 14.47 14.24 14.83 14.13 14.42 13.36 13.36 13.14 11.65 12.95 12.84 14.95 15.43 17.15 17.81 20.73 19.96 19.74 20.70 20.70 18.68 11.94 12.64 13.63 13.64 14.59 14.93 16.39 15.32 14.68 15.02 Contd... 88 Contd... Table 4-13 : S&P CNX NIFTY Index* Month & Year Mar-05 2004-05 Apr-05 May-05 Jun-05 Jul-05 Aug-05 Sep-05 Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 2005-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 2006-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 2007-08 Open High Low Close Volatility (%) Price To Earning Ratio# 2103.10 1771.45 2035.90 1903.10 2087.80 2220.45 2312.05 2384.70 2601.00 2366.80 2651.60 2836.80 3001.30 3074.60 2035.90 3403.15 3557.55 3072.55 3128.75 3128.20 3414.00 3588.95 3744.10 3955.70 3966.25 4083.40 3745.40 3403.15 3820.00 4089.45 4296.05 4318.40 4528.85 4466.65 5021.50 5903.80 5765.45 6136.75 5140.60 5222.80 3820.00 2183.45 2183.45 2084.90 2099.35 2226.15 2332.55 2426.65 2633.90 2669.20 2727.05 2857.00 3005.10 3090.30 3433.85 3433.85 3598.95 3774.15 3134.15 3208.85 3452.30 3603.70 3782.85 3976.80 4046.85 4167.15 4245.30 3901.75 4245.30 4217.90 4306.75 4362.95 4647.95 4532.90 5055.80 5976.00 6011.95 6185.40 6357.10 5545.20 5222.80 6357.10 1971.15 1292.20 1896.30 1898.15 2061.35 2171.25 2294.25 2382.90 2307.45 2366.80 2641.95 2783.85 2928.10 3064.00 1896.30 3290.35 2896.40 2595.65 2878.25 3113.60 3328.45 3508.65 3737.00 3657.65 3833.60 3674.85 3554.50 2595.65 3617.00 3981.15 4100.80 4304.00 4002.20 4445.55 5000.95 5394.35 5676.70 4448.50 4803.60 4468.55 3617.00 2035.65 2035.65 1902.50 2087.55 2220.60 2312.30 2384.65 2601.40 2370.95 2652.25 2836.55 3001.10 3074.70 3402.55 3402.55 3557.60 3071.05 3128.20 3143.20 3413.90 3588.40 3744.10 3954.50 3966.40 4082.70 3745.30 3821.55 3821.55 4087.90 4295.80 4318.30 4528.85 4464.00 5021.35 5900.65 5762.75 6138.60 5137.45 5223.50 4734.50 4734.50 1.08 1.61 1.23 0.67 0.73 0.93 0.98 1.19 1.51 0.95 1.13 0.93 0.81 0.93 1.04 1.67 2.73 3.23 1.93 0.72 1.06 0.93 0.61 1.50 1.15 1.55 2.00 1.77 1.73 0.86 0.84 1.15 2.04 1.08 2.48 1.73 1.67 3.27 2.46 3.04 2.02 14.60 14.60 13.27 13.94 14.31 14.10 14.78 16.15 14.23 15.95 17.16 17.90 18.27 20.26 20.26 20.31 17.46 18.44 17.64 19.15 20.92 20.37 21.18 21.26 19.85 18.01 18.40 18.40 19.48 20.41 20.60 20.49 20.20 22.58 25.74 25.21 27.62 21.97 22.27 20.63 20.63 * S&P CNX Nifty commenced from November 3, 1995 # At the end of the period Note : Volatility is the standard deviation of daily returns for the respective month/year 89 Table 4-14 : CNX NIFTY Junior Index* Month & Year Open High Low Close Volatility (%) 1996-97 (Nov.-Mar.) 1000.00 1997-98 1028.30 1998-99 1339.75 Price To Earning Ratio# 1208.87 907.02 1032.95 1.76 – 1395.25 1016.65 1339.40 1.44 – 2079.10 1177.20 2069.20 2.14 18.92 1999-2000 2099.75 5365.90 1631.90 3695.75 2.46 33.47 2000-01 3720.45 3771.80 1570.20 1601.80 2.75 9.69 Apr-01 1601.80 1638.05 1362.50 1525.20 2.62 8.47 May-01 1529.05 1676.25 1472.40 1627.15 1.20 8.61 Jun-01 1627.55 1638.90 1397.60 1415.40 1.30 8.68 Jul-01 1416.45 1438.25 1304.25 1342.55 1.17 7.14 Aug-01 1341.90 1370.25 1275.20 1277.35 0.58 6.79 Sep-01 1278.25 1292.00 1038.75 1084.40 2.68 5.90 Oct-01 1083.70 1206.65 1044.90 1174.20 0.99 6.13 Nov-01 1174.15 1376.75 1173.35 1334.15 0.96 5.95 Dec-01 1335.45 1415.85 1215.45 1298.30 1.86 5.84 Jan-02 1298.60 1358.55 1273.80 1348.55 0.91 5.28 Feb-02 1350.60 1617.05 1350.60 1495.55 2.14 6.54 Mar-02 1496.40 1611.20 1489.25 1566.95 1.11 6.80 2001-02 1601.40 1676.25 1038.75 1566.95 1.60 6.80 Apr-02 1568.40 1658.50 1564.15 1607.75 0.95 7.35 May-02 1608.25 1665.15 1448.35 1497.10 1.74 8.56 Jun-02 1497.90 1682.00 1497.90 1617.40 1.35 8.26 Jul-02 1617.40 1690.35 1429.05 1455.85 1.47 7.44 Aug-02 1455.75 1517.35 1433.05 1452.60 1.03 7.42 Sep-02 1453.45 1468.85 1255.20 1257.85 1.35 6.48 Oct-02 1256.95 1321.00 1231.95 1255.30 1.03 6.56 Nov-02 1255.60 1340.85 1243.15 1337.10 0.63 11.55 Dec-02 1337.60 1435.20 1337.20 1413.05 1.13 12.26 Jan-03 1413.25 1462.90 1353.75 1376.85 1.05 11.95 Feb-03 1377.20 1415.65 1333.75 1387.10 1.21 12.05 Mar-03 1401.00 1409.30 1255.35 1259.55 1.15 11.68 2002-03 1568.40 1690.35 1231.95 1259.55 1.23 11.68 Apr-03 1260.75 1370.80 1259.75 1339.75 1.16 16.37 May-03 1342.75 1693.15 1340.25 1664.15 1.21 20.36 Jun-03 1605.50 1804.60 1598.60 1783.70 1.46 8.39 Jul-03 1787.25 2056.85 1778.20 2012.30 1.48 9.48 Aug-03 2014.95 2287.60 1959.50 2275.25 1.66 10.46 Sep-03 2279.30 2459.35 2188.45 2456.95 1.65 11.34 Oct-03 2460.85 2679.80 2448.00 2656.15 1.65 12.26 Nov-03 2671.60 2807.05 2603.95 2801.20 1.13 12.93 Contd... 90 Contd... Table 4-14 : CNX NIFTY Junior Index* Month & Year Open High Low Close Volatility (%) Price To Earning Ratio# Dec-03 2823.50 3451.40 2816.80 3405.70 1.02 15.73 Jan-04 3421.40 3702.60 3234.00 3367.65 2.55 15.56 Feb-04 3371.60 3632.10 3193.80 3330.60 1.78 15.35 Mar-04 3340.00 3488.95 3064.10 3392.05 1.55 11.93 2003-04 1260.75 3702.60 1259.75 3392.05 1.57 11.93 Apr-04 3398.00 3875.55 3398.00 3639.80 1.56 12.9 May-04 3643.80 3756.65 2493.70 2846.90 1.39 7.84 Jun-04 2898.45 3018.40 2723.50 2903.35 1.39 7.94 Jul-04 2921.30 3162.85 2804.75 3082.10 1.18 8.13 Aug-04 3088.05 3206.15 3006.70 3199.00 0.94 8.42 Sep-04 3204.55 3543.60 3204.55 3504.25 0.76 9.23 Oct-04 3512.05 3653.40 3403.70 3481.55 0.89 9.18 Nov-04 3480.40 3913.60 3466.65 3884.55 0.86 10.23 Dec-04 3896.25 4468.35 3849.05 4453.30 0.96 14.19 Jan-05 4483.65 4549.85 3999.75 4247.80 1.92 12.93 Feb-05 4249.70 4427.45 4213.95 4388.20 0.85 14.17 Mar-05 4381.00 4705.25 4113.40 4275.15 1.36 13.82 2004-05 3398.00 4705.25 2493.70 4275.15 1.83 13.82 Apr-05 4275.35 4413.40 4016.85 4024.40 1.17 13.21 May-05 4039.85 4369.05 3998.80 4364.55 0.84 14.42 Jun-05 4374.50 4573.05 4351.25 4393.25 0.877 13.89 Jul-05 4398.35 4991.50 4396.15 4919.10 1.01 15.3 Aug-05 4904.45 5173.05 4786.45 5053.00 1.15 15.86 Sep-05 5068.90 5419.90 4955.75 5303.50 1.56 16.65 Oct-05 5338.00 5443.40 4609.15 4714.45 1.37 14.63 Nov-05 4787.50 5383.20 4690.90 5242.00 0.88 16.18 Dec-05 5269.40 5591.45 5222.90 5541.45 1.22 17.11 Jan-06 5555.90 5980.50 5543.45 5882.90 1.18 17.66 Feb-06 5902.10 6132.40 5758.80 5966.65 1.03 18.06 Mar-06 6279.00 6437.40 5938.55 6412.10 0.95 20.25 2005-06 4275.35 6437.40 3998.80 6412.10 0.95 20.25 Apr-06 6415 6882.55 6199.70 6856 1.59 20.12 May-06 6923 7250.30 5116.05 5827.4 3.26 17.08 Jun-06 5901.8 5953.05 4463.75 5264.3 4.15 14.52 Jul-06 5327.15 5391.70 4735.60 5335.1 1.78 14.62 Aug-06 5330.00 6044.55 5244.15 5940.5 1.01 16.46 Sep-06 5964.55 6551.35 5924.20 6510.4 1.31 20.37 Oct-06 6531.15 6868.40 6439.90 6823.15 0.88 20.06 Nov-06 6846.10 7151.80 6734.60 6967.25 0.87 21.34 Contd... 91 Contd... Table 4-14 : CNX NIFTY Junior Index* Month & Year Open High Low Close Volatility (%) Price To Earning Ratio# Dec-06 7028.85 7240.15 6420.65 7106.35 1.91 21.78 Jan-07 7131.25 7459.45 6914.25 7268.05 1.06 19.64 Feb-07 7319.50 7566.65 6537.80 6722.1 1.68 18.08 Mar-07 6719.55 7015.40 6233.80 6878.05 1.93 18.48 2006-07 6415.25 7566.65 4463.75 6878.05 2.05 18.48 Apr-07 6675.85 7554.55 6559.55 7527.30 1.53 17.23 May-07 7610.45 8153.05 7429.15 8022.55 0.95 17.30 Jun-07 8047.10 8708.35 7799.70 8699.05 1.10 20.19 Jul-07 8720.50 9247.00 8564.30 8849.60 1.13 18.71 Aug-07 8829.65 8966.25 7700.20 8632.75 2.30 18.51 Sep-07 8658.20 9838.30 8658.20 9820.90 1.11 21.06 Oct-07 9831.65 10726.65 8908.55 10643.30 2.85 21.43 Nov-07 10757.05 11740.95 10020.35 11431.65 2.05 23.09 Dec-07 11471.60 12533.95 11455.05 12488.25 1.70 26.48 Jan-08 12488.65 13209.35 8336.55 10130.00 4.40 19.89 Feb-08 10269.75 10684.40 9025.60 9636.10 2.42 19.56 Mar-08 9526.40 9526.40 7235.25 7975.75 4.16 16.69 2007-08 6675.85 13209.35 6559.55 7975.75 2.41 16.69 * CNX Nifty Junior commenced from November 4, 1996. # At the end of period Note : Volatility is the standard deviation of daily returns for the respective month/year Chart 4-2 : Movement of Sectoral Indices: 2007-08 92 Table 4-15 : Performance of NSE Indices during the year 2007-08 Indices Record high Value Date S&P CNX Nifty CNX Junior CNX 100 S&P CNX 500 CNX Midcap Nifty Midcap 50 CNX FMCG CNX IT Finance Petrochemicals Pharmaceuticals 6357.10 13209.35 6277.05 5563.50 9781.70 4047.55 6778.92 5513.40 9584.19 8616.05 5316.13 8-Jan-08 4-Jan-08 8-Jan-08 8-Jan-08 8-Jan-08 9-Jan-08 7-Jan-08 4-May-07 9-Jan-08 7-Jan-08 2-Jan-08 Closing index values (31-03-08) 4734.50 7975.75 4537.85 3825.85 6240.65 2371.70 5817.72 3704.95 4715.80 4664.27 4549.10 Average Daily Volatility 2.00 2.40 2.02 2.02 2.08 2.55 1.72 1.99 3.27 2.47 1.46 Y-o-Y Returns 23.89 15.96 22.59 21.64 28.67 22.95 23.13 -28.49 60.06 45.30 4.71 Table 4-16 : Details of Mutual Funds and Exchange Traded Funds Listed on NSE Sr. No. 1 2 3 4 A: List of Mutual Funds (MF’s) and Exchange Traded Funds (ETF’s) MUTUAL FUNDS Symbol Company Name MORGANSTAN BSCFAUG08A BSCFAUG08B FTCSF3YDIV 5 FTCSF3YGRO 6 FTCSF5YDIV 7 FTCSF5YGRO 8 9 10 11 FTCPOF3YDV FTCPOF3YGR FTCPOF5YDV FTCPOF5YGR 1 2 3 4 5 6 NIFTYBEES JUNIORBEES UTISUNDER LIQUIDBEES BANKBEES GOLDBEES 7 8 9 GOLDSHARE KOTAKGOLD PSUBNKBEES 10 11 12 KOTAKPSUBK RELGOLD QGOLDHALF Morgan Stanley Benchmark Mutual Fund Benchmark Mutual Fund Franklin Templeton Mutual Fund-Capital Safety Fund-3Y (Divdend Option) Franklin Templeton Mutual Fund-Capital Saftey Fund 3Y (Growth Option) Franklin Templeton Mutual Fund-Capital Safety Fund-5Y Dividend Option Franklin Templeton Mutual Fund-Capital Safety Fund-5Y (Growth Option) Franklin Templeton Capital Protection Oriented Fund Franklin Templeton Capital Protection Oriented Fund Franklin Templeton Capital Protection Oriented Fund Franklin Templeton Capital Protection Oriented Fund EXCHANGE TRADED FUNDS Benchmark Mutual Fund Benchmark Mutual Fund-Nifty Junior Benchmark ETF UTI Mutual Fund Benchmark Asset Management Company Private Limited Benchmark Asset Management Company Pvt. Ltd. Benchmark Mutual Fund - Gold Benchmark Exchange Traded Scheme UTI Mutual Fund - UTI Gold Exchange Traded Fund Kotak Mutual Fund - Gold Exchange Traded Fund Benchmark Mutual Fund - PSU Bank Benchmark Exchange Traded Scheme Kotak Mahindra Mutual Fund Reliance Mutual Fund - Gold Exchange Traded Fund Quantum Gold Fund -Exchange Traded Fund (ETF) Date of Listing 27-May-2004 21-Sep-2005 21-Sep-2005 28-May-2007 28-May-2007 28-May-2007 28-May-2007 25-Jun-2007 25-Jun-2007 25-Jun-2007 25-Jun-2007 8-Jan-2002 6-Mar-2003 16-Jul-2003 16-Jul-2003 4-Jun-2004 19-Mar-2007 17-Apr-2007 8-Aug-2007 1-Nov-2007 16-Nov-2007 26-Nov-2007 28-Feb-2008 93 Table 4-16 : Details of Mutual Funds and Exchange Traded Funds Listed on NSE B: No of Trades and Trading Value Month & Year Mutual Funds (MF’s) No. of Trades Exchange traded funds (ETF’s) Trading Value (Rs. cr.) (US $ mn.) No. of Trades Trading Value (Rs. cr.) Apr-07 4,676 16.51 4.13 31,467 129.28 32.34 May-07 5,476 15.39 3.85 27,911 94.37 23.61 Jun-07 5,507 24.33 6.09 19,449 106.16 26.56 Jul-07 7,544 24.67 6.17 16,105 123.30 30.85 Aug-07 6,241 17.22 4.31 15,400 174.79 43.73 Sep-07 7,043 24.53 6.14 15,818 123.99 31.02 Oct-07 10,241 37.15 9.29 20,505 260.64 65.21 Nov-07 7,169 20.94 5.24 26,693 162.94 40.76 Dec-07 6,640 29.51 7.38 15,971 134.05 33.54 Jan-08 26,382 36.71 9.18 28,646 190.24 47.59 Feb-08 12,522 18.56 4.64 24,398 153.39 38.38 Mar-08 7,731 23.31 5.83 51,728 259.42 64.90 107,172 288.84 72.26 294,091 1,912.55 478.50 2007-08 Table 4-17 : Settlement Cycle and Process in CM Segment Settlement Cycle Activity Trading T+2 Rolling Settlement (From April 1, 2003) T Custodial Confirmation T+1 Determination of Obligation T+1 Securities/Funds Pay-in T+2 Securities/Funds Pay-out T+2 Valuation Debit T+2 Auction T+3 Bad Delivery Reporting T+4 Auction Pay-in/Pay-out T+5 Close Out T+5 Rectified Bad Delivery Pay-in/Pay-out T+6 Re-bad Delivery Reporting T+8 Close Out of Re-bad Delivery T+9 T+1 means one working day after the trade day. Other T+ terms have similar meanings. 94 (US $ mn.) 95 CUSTODIANS/CMs CLEARING BANK DEPOSITORIES DEPOSITORIES CLEARING BANK DEPOSITORIES → → → ↔ ↔ ↔ NSCCL CUSTODIANS/ CMs CUSTODIANS/ CMs T+2 CLEARING BANK CUSTODIANS/CMs CUSTODIANS/CMs ↔ → → NSCCL NSCCL NSCCL NSCCL DEPOSITORIES CLEARING BANK Securities Pay-in FundsPay-in Securities Pay-out FundsPay-out Determination of Obligation CUSTODIANS/CMs ↔ NSCCL Custodial Confirmation T+1 NSCCL NSE Trading T → Settlement Process Clearing Banks inform custodians/CMs Depository informs custodians/CMs through DPs Pay-out of funds (NSCCL advises Clearing Banks to credit account of custodians/CMs and debit its account and clearing bank does it) Pay-out of securities (NSCCL advises depository to credit pool account of custodians/CMs and debit its account and depository does it) Pay-in of funds(NSCCL advises Clearing Banks to debit account of custodians/CMs and credit its account and clearing bank does it) Pay-in of securities (NSCCL advises depository to debit pool account of custodians/CMs and credit its account and depository does it) Instructions to depositories to make securities available by pay-intime Instructions to clearing banks to make funds available by pay-in time Download of obligation and pay-in advice of funds/securities NSCCL notifies the consummated trade details to clearing members/custodians who affirm back. Based on the affirmation, NSCCL applies multilateral netting and determines obligations. Trade details from Exchange to NSCCL (real-time and end of day trade file). Table 4-17 : Settlement Cycle and Process in CM Segment 96 No. of Traded % of Trading Volume Value of Trades Quantity Quantity Shares Shares of Shares DeliveDeliveDelive- rable to rable rable Total Shares (lakh) (lakh) (lakh) Traded (Rs. cr.) (US $ mn.) (Rs. cr.) Nov 94-Mar 95 0.3 133 69 51.74 17,280 – 8,980 1995-96 6 3,901 726 18.62 657,420 – 117,750 1996-97 26 13,432 1,645 12.25 2,923,140 – 326,400 1997-98 38 13,522 2,205 16.31 3,700,100 – 597,748 1998-99 55 16,531 2,799 16.93 4,135,730 974,709 662,038 1999-00 958 238,605 48,713 20.42 803,050 184,099 82,607 2000-01 1,614 304,196 50,203 16.50 1,263,898 270,990 106,277 Apr-01 87 16,323 5,643 34.57 28,226 5,784 6,083 May-01 155 27,764 6,428 23.15 51,835 10,622 7,371 Jun-01 127 22,797 5,134 22.52 43,136 8,839 5,960 Jul-01 97 13,149 2,971 22.59 29,092 5,961 3,721 Aug-01 111 15,512 3,018 19.46 28,572 5,855 3,962 Sep-01 124 16,554 3,136 18.94 33,718 6,909 3,933 Oct-01 145 19,775 3,485 17.62 35,225 7,218 4,247 Nov-01 142 22,647 4,865 21.48 37,471 7,678 5,679 Dec-01 168 29,221 5,929 20.29 53,098 10,881 7,184 Jan-02 225 38,325 5,729 14.95 71,329 14,617 7,940 Feb-02 170 26,866 6,600 24.57 48,823 10,005 7,982 Mar-02 169 25,762 6,360 24.69 47,596 9,753 7,703 2001-2002 1,720 274,695 59,299 21.59 508,121 104,123 71,766 Month/Year % of Securities Short % of UnrecDeliveShort tified Bad Pay-in Delivery rable to (Auctioned Delivery Delivery Value of quantity) to Total (AuctiShares Deliveoned Traded rable quantity) (Rs. cr.) (lakh) (lakh) 51.98 611 0.6 0.85 0.18 17.91 5,805 18 2.46 3.22 11.17 13,790 38 2.32 6.63 16.15 21,713 33 1.51 7.29 16.01 30,755 31 1.09 6.97 10.29 79,783 635 1.30 110.13 8.41 94,962 339 0.68 11.58 21.55 5,214 16 0.28 0.043 14.22 3,752 15 0.24 0.019 13.82 4,058 14 0.27 0.010 12.79 4,020 21 0.70 0.002 13.87 3,531 31 1.03 0.003 11.66 3,807 16 0.51 0.000 12.06 4,136 40 1.15 0.000 15.16 5,468 46 0.95 0.000 13.53 6,924 48 0.81 0.000 11.13 7,849 39 0.68 0.000 16.35 7,935 39 0.59 0.000 16.18 7,658 40 0.62 0.000 14.12 64,353 364 0.61 0.08 Table 4-18 : Settlement Statistics in CM Segment Contd... % of Funds Unrect- Pay-in ified Bad Delivery to Deliverable (Rs. cr.) 0.26 3,004 0.44 32,583 0.40 72,121 0.33 108,272 0.25 121,754 0.23 27,992 0.023 45,937 0.0008 1,915 0.0003 1,976 0.0002 1,626 0.0001 1,830 0.0001 1,847 0.00 2,068 0.00 1,954 0.00 2,311 0.00 3,035 0.00 3,440 0.00 3,016 0.00 3,030 0.0001 28,048 97 Apr-02 May-02 Jun-02 Jul-02 Aug-02 Sep-02 Oct-02 Nov-02 Dec-02 Jan-03 Feb-03 Mar-03 2002-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Month/Year Contd... No. of Traded % of Trading Volume Value of Trades Quantity Quantity Shares Shares of Shares DeliveDeliveDelive- rable to rable rable Total Shares (lakh) (lakh) (lakh) Traded (Rs. cr.) (US $ mn.) (Rs. cr.) 204 30,113 7,513 24.95 56,130 11,817 8,933 211 33,785 8,317 24.62 53,414 11,245 8,732 195 39,137 10,232 26.14 46,334 9,755 8,000 206 36,835 10,348 28.09 50,262 10,582 8,407 193 26,822 5,085 18.96 45,443 9,567 5,312 183 25,254 4,433 17.55 46,894 9,872 5,271 201 26,591 4,601 17.30 51,382 10,817 5,734 174 23,070 4,433 19.22 50,171 10,562 6,452 223 33,765 7,573 22.43 63,872 13,447 8,859 231 35,017 8,152 23.28 62,815 13,224 9,169 193 28,590 6,033 21.10 48,717 10,256 6,737 182 26,424 5,633 21.32 46,134 9,712 6,350 2,397 365,403 82,353 22.54 621,569 130,857 87,956 214 32,488 7,830 24.10 51,159 11,790 8,328 240 40,500 10,887 26.88 51,720 11,920 9,907 253 50,054 14,030 28.03 57,524 13,257 12,539 332 66,940 18,509 27.65 81,422 18,765 17,581 317 81,301 20,579 25.31 82,734 19,068 17,798 338 72,916 16,810 23.05 101,229 23,330 20,625 367 72,440 16,157 22.30 116,749 26,907 22,957 % of Securities Short % of UnrecDeliveShort tified Bad Pay-in Delivery rable to (Auctioned Delivery Delivery Value of quantity) to Total (AuctiShares Deliveoned Traded rable quantity) (Rs. cr.) (lakh) (lakh) 15.91 8,856 61 0.81 0.00 16.35 8,676 55 0.66 0.00 17.27 7,955 64 0.62 0.00 16.73 8,358 69 0.67 0.00 11.69 5,275 30 0.59 0.00 11.24 5,235 25 0.56 0.00 11.16 5,704 21 0.46 0.00 12.86 6,411 23 0.52 0.00 13.87 8,823 35 0.46 0.00 14.60 9,128 38 0.47 0.00 13.83 6,709 23 0.38 0.00 13.76 6,317 25 0.44 0.00 14.15 87,447 469 0.57 0.00 16.28 8,275 87 1.11 0.00 19.15 9,856 64 0.59 0.00 21.80 12,481 78 0.55 0.00 21.59 17,489 115 0.62 0.00 21.51 17,693 146 0.71 0.00 20.37 20,538 90 0.53 0.00 19.66 22,860 79 0.49 0.00 Table 4-18 : Settlement Statistics in CM Segment % of Funds Unrect- Pay-in ified Bad Delivery to Deliverable (Rs. cr.) 0.00 3,216 0.00 3,162 0.00 2,728 0.00 2,942 0.00 2,152 0.00 2,336 0.00 2,599 0.00 2,635 0.00 3,391 0.00 3,355 0.00 2,644 0.00 2,932 0.00 34,092 0.00 3,783 0.00 3,584 0.00 4,292 0.00 5,915 0.00 5,465 0.00 7,412 0.00 8,992 Contd... 98 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 2003-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04 Sep-04 Oct-04 Nov-04 Dec-04 Jan-05 Feb-05 Mar-05 2004-05 Apr-05 Month/Year Contd... No. of Traded % of Trading Volume Value of Trades Quantity Quantity Shares Shares of Shares DeliveDeliveDelive- rable to rable rable Total Shares (lakh) (lakh) (lakh) Traded (Rs. cr.) (US $ mn.) (Rs. cr.) 305 56,150 13,420 23.90 94,376 21,751 19,057 370 68,161 18,977 27.84 107,898 24,867 25,825 396 73,510 18,610 25.32 132,751 30,595 28,345 311 47,223 9,811 20.78 110,070 25,368 19,681 307 42850 9,930 23.17 103,331 23,814 18,721 3,750 704,533 175,550 24.92 1,090,963 251,432 221,364 330 54,207 12,934 23.86 103,154 23,578 21,719 351 54,779 13,855 25.29 100,203 22,904 22,727 320 39,284 8,578 21.84 81,020 18,519 13,999 392 63,779 14,038 22.01 97,309 22,242 18,164 361 58,304 13,948 23.92 89,596 20,479 18,605 345 57,337 15,588 27.19 81,913 18,723 19,656 318 51,399 15,178 29.53 79,878 18,258 21,660 319 59,124 18,965 32.08 79,921 18,268 24,359 466 95,239 27,464 28.84 115,867 26,484 33,121 411 82,113 19,497 23.74 97,755 22,344 25,031 424 88,147 22,208 25.19 100,267 22,918 28,158 466 84284 20023 23.76 114,085 26,077 29,903 4,503 787,996 202,277 25.67 1,140,969 260,793 277,101 365 51,949 13,147 25.31 83,038 18,614 21,624 % of Securities Short % of UnrecDeliveShort tified Bad Pay-in Delivery rable to (Auctioned Delivery Delivery Value of quantity) to Total (AuctiShares Deliveoned Traded rable quantity) (Rs. cr.) (lakh) (lakh) 20.19 18,981 70 0.48 0.00 23.93 25,687 109 0.53 0.00 21.35 28,220 100 0.53 0.00 17.88 19,628 32 0.33 0.00 18.12 18,634 44 0.33 0.00 20.29 220,341 1,014 0.58 0.00 21.05 21,617 64 0.50 0.00 22.68 22,668 48 0.35 0.00 17.28 13,948 29 0.33 0.00 18.67 18,099 51 0.37 0.00 20.77 18,554 55 0.40 0.00 24.00 19,585 71 0.46 0.00 27.12 21,588 70 0.46 0.00 30.48 24,269 93 0.49 0.00 28.59 32,994 135 0.49 0.00 25.61 24,945 86 0.44 0.00 28.08 28,062 89 0.40 0.00 26.21 29,792 79 0.40 0.00 24.29 276,120 871 0.43 0.00 26.04 21,538 64 0.48 0.00 Table 4-18 : Settlement Statistics in CM Segment % of Funds Unrect- Pay-in ified Bad Delivery to Deliverable (Rs. cr.) 0.00 7,157 0.00 9,171 0.00 9,677 0.00 8,438 0.00 7703.6 0.00 81,588 0.00 7,870 0.00 8,960 0.00 5,862 0.00 6,523 0.00 6,463 0.00 6,171 0.00 7,304 0.00 8,401 0.00 11,386 0.00 8,083 0.00 9,801 0.00 10,417 0.00 97,241 0.00 7,691 Contd... 99 May-05 Jun-05 Jul-05 Aug-05 Sep-05 Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 2005-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Month/Year Contd... No. of Traded % of Trading Volume Value of Trades Quantity Quantity Shares Shares of Shares DeliveDeliveDelive- rable to rable rable Total Shares (lakh) (lakh) (lakh) Traded (Rs. cr.) (US $ mn.) (Rs. cr.) 414 56,278 15,274 27.14 88,444 19,826 24,560 464 66,792 18,290 27.38 106,133 23,791 30,065 474 77,979 21,012 26.95 114,729 25,718 31,308 579 100,127 28,305 28.27 152,560 34,199 42,894 537 85,354 22,995 26.94 132,088 29,609 35,618 503 64,735 18,216 28.14 135,376 30,347 33,857 425 52,006 14,164 27.24 104,748 23,481 27,653 551 62,112 17,235 27.75 142,814 32,014 36,295 550 66,010 18,607 28.19 148,258 33,234 40,098 515 60,323 17,701 29.34 133,753 29,983 37,352 624 74,773 22,293 29.81 174,899 39,206 48,029 6,000 818,438 227,240 27.77 1,516,839 340,022 409,353 570 72,868 21,024 28.85 174,555 40,045 48,907 717 99,758 30,580 30.65 216,397 49,644 66,750 667 66,330 17,780 26.81 149,842 34,375 36,217 537 46,642 13,097 28.08 121,978 27,983 30,347 627 54,989 14,843 26.99 127,807 29,320 32,573 638 61,974 17,387 28.06 140,300 32,186 39,354 577 60,676 17,918 29.53 136,036 31,208 40,449 744 72,408 21,215 29.30 183,496 42,096 52,049 % of Securities Short % of UnrecDeliveShort tified Bad Pay-in Delivery rable to (Auctioned Delivery Delivery Value of quantity) to Total (AuctiShares Deliveoned Traded rable quantity) (Rs. cr.) (lakh) (lakh) 27.77 24,449 75 0.49 0.00 28.33 29,964 76 0.42 0.00 27.29 31,198 91 0.43 0.00 28.12 42,745 121 0.43 0.00 26.97 35,463 112 0.49 0.00 25.01 33,741 72 0.40 0.00 26.40 27,574 46 0.32 0.00 25.41 36,194 51 0.29 0.00 27.05 39,964 67 0.36 0.00 27.93 37,246 55 0.31 0.00 27.46 47,899 64 0.29 0.00 26.99 407,976 894 0.39 0.00 28.02 48,761 91 0.44 0.00 30.85 66,502 121 0.40 0.00 24.17 36,126 53 0.30 0.00 24.88 30,272 35 0.27 0.00 25.49 32,477 56 0.38 0.00 28.05 39,267 58 0.33 0.00 29.73 40,344 57 0.32 0.00 28.37 51,924 62 0.29 0.00 Table 4-18 : Settlement Statistics in CM Segment % of Funds Unrect- Pay-in ified Bad Delivery to Deliverable (Rs. cr.) 0.00 7,920 0.00 10,586 0.00 10,174 0.00 13,404 0.00 10,373 0.00 13,171 0.00 9,155 0.00 11,482 0.00 13,633 0.00 10,581 0.00 13,256 0.00 131,426 0.00 13,730 0.00 26,470 0.00 13,398 0.00 11,489 0.00 9,636 0.00 12,206 0.00 11,118 0.00 15,535 Contd... 100 Dec-06 Jan-07 Feb-07 Mar-07 2006-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 2007-08 Month/Year Contd... No. of Traded % of Trading Volume Value of Trades Quantity Quantity Shares Shares of Shares DeliveDeliveDelive- rable to rable rable Total Shares (lakh) (lakh) (lakh) Traded (Rs. cr.) (US $ mn.) (Rs. cr.) 667 58,890 17,927 30.44 172,127 39,488 48,102 698 85,757 23,554 27.47 172,210 39,507 51,855 683 87,584 22,838 26.08 176,834 40,568 51,327 731 82,638 20,910 25.30 168,512 38,658 46,505 7,857 850,515 239,074 28.11 1,940,094 445,078 544,434 674 76,643 20,619 26.90 168,181 42,077 48,349 786 95,458 24,635 25.81 199,170 49,830 55,670 752 77,909 21,663 27.81 192,100 48,061 52,825 890 106,882 30,283 28.33 264,949 66,287 75,349 871 101,384 25,753 25.40 226,239 56,602 63,766 894 135,865 34,119 25.11 252,895 63,271 73,052 1,207 172,479 41,641 24.14 444,407 111,185 121,822 1,193 169,622 37,921 22.36 415,129 103,860 107,494 1,077 163,037 40,474 24.83 374,515 93,699 110,578 1,262 167,860 41,581 24.77 449,261 112,400 126,808 1,057 111,923 24,363 21.77 281,395 70,402 72,123 982 102,166 24,918 24.39 251,676 62,966 64,967 11,645 1,481,229 367,971 24.84 3,519,919 880,640 972,803 % of Securities Short % of UnrecDeliveShort tified Bad Pay-in Delivery rable to (Auctioned Delivery Delivery Value of quantity) to Total (AuctiShares Deliveoned Traded rable quantity) (Rs. cr.) (lakh) (lakh) 27.95 48,009 50 0.28 0.00 30.11 51,719 85 0.36 0.00 29.03 51,216 59 0.26 0.00 27.60 46,431 41 0.20 0.00 28.06 543,048 769 0.32 0.00 28.75 48,228 52 0.25 0.00 27.95 55,530 64 0.26 0.00 27.50 52,702 57 0.27 0.00 28.44 75,147 97 0.32 0.00 28.19 63,651 62 0.24 0.00 28.89 72,837 93 0.27 0.00 27.41 121,561 108 0.26 0.00 25.89 107,268 108 0.28 0.00 29.53 110,277 133 0.33 0.00 28.23 126,552 122 0.29 0.00 25.63 72,014 51 0.21 0.00 25.81 64,852 49 0.20 0.00 27.64 970,618 997 0.27 0.00 Table 4-18 : Settlement Statistics in CM Segment % of Funds Unrect- Pay-in ified Bad Delivery to Deliverable (Rs. cr.) 0.00 14,340 0.00 14,250 0.00 14,023 0.00 16,992 0.00 173,188 0.00 14,528 0.00 15,431 0.00 15,074 0.00 20,938 0.00 24,264 0.00 21,496 0.00 41,417 0.00 31,607 0.00 31,670 0.00 45,524 0.00 25,790 0.00 21,804 0.00 309,543 Wholesale Debt Market Segment 5 102 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. The settlement cycle is same as in the case of equity market i.e., T+2 rolling settlement cycle. Trading Mechanism The WDM trading system, known as NEAT (National Exchange for Automated Trading), is a fully automated screen based trading system that enables members across the country to trade simultaneously with enormous ease and efficiency. It supports an anonymous order driven market which operates on a price/time priority and provides tremendous flexibility to users in terms of orders with various time/price/quantity related conditions that can be placed on the system. It also provides on-line market information like total order depth, best buys and sells available, quantity traded, the high, low and last traded price for securities are available at all points of time. The WDM Trading system provides two market sub-types: continuous market and negotiated market. In the continuous market, the buyer and seller do not know each other and they put their best buy/sell orders, which are stored in order book with price/time priority. If orders match, it results into a trade. The trades in WDM segment are settled directly between the participants, who take an exposure to the settlement risk attached to any unknown counter-party. In the NEAT-WDM system, all participants can set up their counter-party exposure limits against all probable counter-parties. This enables the trading member/participant to reduce/ minimize the counter-party risk associated with the counter-party to trade. A trade does not take place if both the buy/sell participants do not invoke the counter-party exposure limit in the trading system. In the negotiated market, the trades are normally decided by the seller and the buyer outside the exchange, and reported to the Exchange through a trading member for approval. Thus, deals negotiated or structured outside the exchange are disclosed to the market through NEAT-WDM system. In negotiated market, as buyers and sellers know each other and have agreed to trade, no counter-party exposure limit needs to be invoked. 103 The trades on the WDM segment could be either outright trades or repo transactions with settlement cycle of T+2 and repo periods (1 to 14 days). For every trade, it is necessary to specify the number of settlement days and the trade type (repo or non-repo), and in the event of a repo trade, the repo term and repo rate. Market Performance Turnover The trading volume on the WDM Segment of the Exchange witnessed a year on year increase of 28.85 % from Rs.219,106 crore (US $ 50,265 million) during 2006-07 to Rs. 282,317 crore (US $ 70,632 million) during 2007-08. The average daily trading volume also accelerated from Rs.898 crore (US $ 206 million) during 2006-07 to Rs.1,138 crore (US $ 285 million) in fiscal 2007-08. The highest recorded WDM trading volume of Rs. 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 dated government securities accounted for a substantial share of 73.85 % on the WDM segment. The details of transactions in government securities and treasury bills, outright as well as repo transactions are presented in Table 5-2. There were no repo transactions recorded during 2005-06, 2006-07 and 2007-08. The WDM’s SGL Outright Transactions as a percentage to the total SGL Outright transactions was 52.05 % in 2007-08. The security-wise and participant-wise distribution of WDM trades is presented in Table 5-3 and Chart 5-2(a&b). It is observed that the market is dominated by dated government securities 104 (including state development loan), which accounted for 68.84 % of WDM trades during 2007-08. Among the market participants, the trading members accounted for 38.15 % of the total WDM trades followed by foreign banks which held a share of 27.09 %. Share of Indian banks in WDM trades declined to 23.78 % during 2007-08 as compared with its share of 26.03 % in the corresponding period last year. Chart 5-2 (a) : Security-wise Distribution of WDM Trades (2007-08) Chart 5-2 (b) : Participant-wise distribution of WDM trades (2007-08) 105 The share of top ‘N’ securities/trading members/participants in turnover in WDM segment is presented in Table 5-4. The share of top ‘10’ securities increased marginally from 51.29 % in 2006-07 to 53.31 % in 2007-08. The share of top ‘50’ and top ‘100’ securities accounted for 79.64% and 89.55% respectively in the current year. Market Capitalisation Market capitalisation of the WDM segment has witnessed a constant increase indicating an increase in the number of securities available for trading on this segment. Total market capitalisation of the securities available for trading on WDM segment stood at Rs. 2,123,346 crore (US $ 53,123 million) as on March 31, 2008. Central Government securities accounted for the largest share of the market capitalisation with 65.57%. 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, 2008 to March 31, 2009. Settlement Settlement is on a rolling basis, i.e. there is no account period settlement. Each order has a unique settlement date specified upfront at the time of order entry and used as a matching parameter. It is mandatory for trades to be settled on the predefined settlement date. The Exchange currently allows settlement periods ranging from same day (T+0) settlement to a maximum of (T+2) for non-governmentsecurities 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). All 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. 106 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. Constituent SGL Facility Subsidiary General Ledger (SGL) account is a facility provided by RBI to large banks and financial institutions to hold their investments in government securities and treasury bills in the electronic book entry form. Such institutions can settle their trades for securities held in SGL through a delivery-versus-payment (DvP) mechanism, which ensures movement of funds and securities simultaneously. As all investors in government securities do not have an access to the SGL accounting system, RBI has permitted such investors to hold their securities in physical stock certificate form. They may also open a constituent SGL account with any entity authorised by RBI for this purpose and thus avail of the DvP settlement. Such client accounts are referred to as constituent SGL accounts. For retail participants in the market, who otherwise have to hold securities in physical form and settle their transactions on a bilateral basis, the NSCCL offers constituent SGL facility. RBI has allowed NSCCL to open SGL and current accounts for this purpose. 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 and the 1 month and 3 month MIBID/MIBOR from December 1, 1998. Further the exchange introduced a 3-day FIMMDA – NSE MIBID / MIBOR on all Fridays with effect from June 6, 2008 in addition to existing overnight rate. In view of the robust methodology of computation of these rates and their extensive use by market participants, these have been co-branded with Fixed Income and Money Market Dealers Association (FIMMDA) from March 4, 2002. These are now known as FIMMDA-NSE MIBID/MIBOR. These are presented in Table 5-6. The Chart 5-3 presents overnight MIBID/MIBOR for 2007-08. 107 Chart 5-3 : Overnight MIBID/MIBOR Rates, 2006-07 - from 3 April 2007 to 31st March 2008 FIMMDA-NSE MIBID/MIBOR are based on rates polled by NSE from a representative panel of 33 banks/institutions/primary dealers. Currently, quotes are polled and processed daily by the Exchange at 0940 (IST) for overnight rate, at 1130 (IST) for the 14 day, 1 month and 3 month rates and 0940 (IST) for 3 Day rate as on the last working day of the week . The rates polled are then processed using the bootstrap method to arrive at an efficient estimate of the reference rates. The overnight rates are disseminated daily and 3 Day rate are disseminated on the last working day of the week to the market at about 0955 (IST) and the 14 day, 1 month and 3 month rates at about 1145 (IST).Overnight Rates for Saturdays is calculated and disseminated at 1030Hrs. These are broadcast through NEAT-WDM trading system immediately on release and also disseminated through websites of NSE and FIMMDA and through e-mail. The FIMMDA-NSE MIBID/MIBOR is used as a benchmark rate for majority of deals struck for interest rate swaps, forward rate agreements, floating rate debentures and term deposits. Zero Coupon Yield Curve Keeping in mind the requirements of the banking industry, financial institutions, mutual funds, insurance companies, etc. that have substantial investment in sovereign papers, NSE disseminates a ‘Zero Coupon Yield Curve’ (NSE Zero Curve) to help in valuation of securities across all maturities irrespective of its liquidity in the market. This product has been developed by using Nelson-Siegel functional form to estimate the term structure of interest rate at any given point of time and been successfully tested by using daily WDM trades data. This is being disseminated daily. 108 The ZCYC depicts the relationship between spot interest rates in the economy and the associated term to maturity. It provides daily estimates of the term structure of interest rates using information on secondary market trades in government securities from the WDM segment. The term structure forms the basis for the valuation of all fixed income instruments. Modelled as a series of cashflows due at different points of time in the future, the underlying price of such an instrument is calculated as the net present value of the stream of cashflows. Each cashflow, in such a formulation, is discounted using the interest rate for the associated term to maturity; the appropriate rates are read off the estimated ZCYC. Once estimated, the interest rate-maturity mapping is used to compute underlying valuations even for securities that do not trade on a given day. Changes in the economy cause shifts in the term structure, changing the underlying valuations of fixed income instruments. The daily ZCYC captures these changes, and is used to track the value of portfolios of government securities on a day-to-day basis. Chart 5-4 plots the spot interest rates at different maturities for the year 2007-08 Figure 5-4 : Zero Coupon Yield Curve, 2007-08 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. 109 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 30, 2007 is presented in Table 5-7. GOI-Bond Index The increased activity in the government securities market in India and simultaneous emergence of mutual (gilt) funds has given rise to the need for a well defined Bond Index to measure returns in the bond market. The NSE-Government Securities Index prices components off the NSE Benchmark ZCYC, so that the movements reflect returns to an investor on account of change in interest rates 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: 110 • 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 111 1,071 1,057 1,038 1998-99 1999-00 2000-01 200 223 215 207 196 216 167 228 254 216 979 Jun-01 Jul-01 Aug-01 Sep-01 Oct-01 Nov-01 Dec-01 Jan-02 Feb-02 Mar-02 2001-02 213 719 1997-98 220 524 1996-97 May-01 304 Apr-01 183 1995-96 No. of active securities 1994- 95 (June-March) Month/Year 144,851 9,157 16,127 17,011 10,135 15,300 12,636 9,526 11,622 12,575 11,936 12,220 6,606 64,470 46,987 16,092 16,821 7,804 2,991 1,021 Number of Trades 947,190 55,988 101,313 111,736 62,411 98,674 80,860 63,199 75,784 84,629 82,329 83,982 46,285 428,582 304,216 105,469 111,263 42,278 11,868 6,781 (Rs. cr.) 194,096 11,473 20,761 22,897 12,789 20,220 16,570 12,951 15,530 17,342 16,871 17,209 9,485 91,891 69,742 24,857 28,146 11,783 3,455 2,157 ( US $ mn) Trading Volume All Trades 3,277 2,434 4,405 4,298 2,600 4,290 3,234 2,528 3,158 3,255 3,293 3,359 2,314 1,483 1,035 365 385 145 41 30 (Rs. cr.) 672 499 903 881 533 879 663 518 647 667 675 688 474 318 237 86 97 40 12 10 ( US $ mn) 6.54 6.11 6.28 6.57 6.16 6.45 6.40 6.63 6.52 6.73 6.90 6.87 7.01 6.65 6.47 6.55 6.61 5.42 3.97 6.64 (Rs. cr.) 378 30 44 36 21 36 17 28 44 25 28 52 17 498 936 1,522 1,390 1,061 1,115 168 Average Daily Trading Average Number Volume Trade Size of Trades Table 5-1 : Business Growth of WDM Segment 110 9 15 13 6 16 4 4 19 5 5 8 6 131 218 308 289 201 207 31 (Rs. cr.) 22.54 1.84 3.07 2.66 1.23 3.28 0.82 0.82 3.89 1.02 1.02 1.64 1.23 28.09 49.92 72.54 73.02 56.02 60.26 9.86 ( US $ mn) Trading Volume Retail Trade Contd... 0.01 0.02 0.01 0.01 0.01 0.02 0.00 0.01 0.03 0.01 0.01 0.01 0.01 0.03 0.07 0.29 0.26 0.47 1.74 0.45 (%) Share in Total Trading Volume 112 306 334 275 Oct-03 271 Jul-03 Sep-03 310 Jun-03 Aug-03 282 290 2002-03 May-03 1,123 Mar-03 Apr-03 229 276 Feb-03 245 260 Nov-02 253 265 Oct-02 Jan-03 251 Sep-02 Dec-02 230 232 Aug-02 Jun-02 Jul-02 206 237 May-02 254 No. of active securities Apr-02 Month/Year Contd... 20,465 17,152 22,753 18,220 18,400 18,651 15,512 167,778 8,650 10,728 21,335 18,807 21,052 16,587 10,439 15,483 14,996 8,875 8,662 12,164 Number of Trades 143,404 125,199 162,737 131,027 126,672 123,359 101,052 1,068,701 54,986 66,974 139,718 117,383 132,222 106,142 68,269 100,226 97,725 54,477 53,246 77,334 (Rs. cr.) 33,050 28,854 37,506 30,197 29,194 28,430 23,289 224,990 11,576 14,100 29,414 24,712 27,836 22,346 14,372 21,100 20,574 11,469 11,210 16,281 ( US $ mn) Trading Volume All Trades 5,975 4,815 6,509 4,853 5,067 5,140 4,812 3,598 2,391 2,912 5,175 4,891 5,509 4,246 2,845 3,855 3,619 2,179 2,130 3,222 (Rs. cr.) 1,377 1,110 1,500 1,118 1,168 1,185 1,109 758 503 613 1,089 1,030 1,160 894 599 812 762 459 448 678 ( US $ mn) 7.01 7.30 7.15 7.19 6.88 6.61 6.51 6.37 6.36 6.24 6.55 6.24 6.28 6.40 6.54 6.47 6.52 6.14 6.15 6.36 (Rs. cr.) 81 115 127 122 127 148 180 1,252 272 115 131 152 172 143 81 56 46 22 30 32 Average Daily Trading Average Number Volume Trade Size of Trades Table 5-1 : Business Growth of WDM Segment 27 25 26 30 29 31 41 300 55 24 32 36 35 41 21 16 16 7 10 7 (Rs. cr.) 5.58 5.28 5.37 6.27 6.11 6.42 8.67 63.16 11.58 5.05 6.74 7.58 7.37 8.63 4.42 3.37 3.37 1.47 2.11 1.47 ( US $ mn) Trading Volume Retail Trade Contd... 0.02 0.02 0.02 0.02 0.02 0.02 0.04 0.03 0.10 0.04 0.02 0.03 0.03 0.04 0.03 0.02 0.02 0.01 0.02 0.01 (%) Share in Total Trading Volume 113 Dec-04 303 1,151 204 Mar-05 2004-05 Apr-05 273 333 Nov-04 251 329 Oct-04 Feb-05 291 Sep-04 Jan-05 243 288 Aug-04 347 275 May-04 302 285 Apr-04 Jul-04 1,078 2003-04 Jun-04 241 372 280 Jan-04 Mar-04 247 Dec-03 Feb-04 233 No. of active securities Nov-03 Month/Year Contd... 6,079 124,308 6,486 10,156 8,384 10,321 5,767 8,437 12,659 9,241 9,303 11,382 13,097 19,075 189,518 14,017 8,675 11,407 12,529 11,737 Number of Trades 54,616 887,294 53,812 73,588 61,205 72,593 45,541 55,770 87,695 63,806 66,012 82,453 91,340 133,478 1,316,096 98,806 61,499 77,533 83,906 80,903 (Rs. cr.) 12,243 202,810 12,300 16,820 13,990 16,593 10,409 12,747 20,044 14,584 15,089 18,846 20,878 30,509 303,318 22,772 14,174 17,869 19,338 18,646 ( US $ mn) Trading Volume All Trades 2,483 3,028 2,242 3,066 2,550 2,792 1,980 2,425 3,508 2,552 2,445 3,171 3,806 6,067 4,477 3,952 2,795 2,982 3,227 3,518 (Rs. cr.) 557 692 513 701 583 638 453 554 802 583 559 725 870 1,387 1,032 911 644 687 744 811 ( US $ mn) 8.98 7.14 8.30 7.25 7.30 7.03 7.90 6.61 6.93 6.90 7.10 7.24 6.97 7.00 6.94 7.05 7.09 6.80 6.70 6.89 (Rs. cr.) 98 1,278 305 133 131 154 134 79 103 68 55 56 27 33 1,400 152 79 123 57 89 Average Daily Trading Average Number Volume Trade Size of Trades Table 5-1 : Business Growth of WDM Segment 37 410 90 43 45 41 44 37 37 21 17 18 8 11 332 27 21 34 14 28 (Rs. cr.) 8.29 93.74 20.54 9.86 10.29 9.27 9.96 8.35 8.41 4.85 3.81 4.03 1.80 2.56 69.83 5.64 4.44 7.12 2.99 5.94 ( US $ mn) Trading Volume Retail Trade Contd... 0.07 0.05 0.17 0.06 0.07 0.06 0.10 0.07 0.04 0.03 0.03 0.02 0.01 0.01 0.03 0.03 0.03 0.04 0.02 0.03 (%) Share in Total Trading Volume 114 Aug-06 185 170 Jul-06 Nov-06 146 Jun-06 198 168 May-06 124 174 Apr-06 Oct-06 159 2005-06 Sep-06 224 897 Mar-06 180 222 Dec-05 145 186 Nov-05 Feb-06 192 Oct-05 Jan-06 274 258 185 Jul-05 Sep-05 268 Jun-05 Aug-05 256 No. of active securities May-05 Month/Year Contd... 2,938 1,676 2,336 2,341 1,169 950 1,755 1,962 61,891 1,732 2,075 2,572 2,505 2,822 2,987 4,127 5,361 8,042 14,213 9,376 Number of Trades 29,339 15,810 23,396 23,561 12,710 11,790 17,986 23,184 475,523 17,089 16,485 21,607 20,771 24,360 25,387 31,960 44,717 52,309 96,108 70,113 (Rs. cr.) 6,731 3,627 5,367 5,405 2,916 2,705 4,126 5,319 106,596 3,831 3,695 4,844 4,656 5,461 5,691 7,164 10,024 11,726 21,544 15,717 ( US $ mn) Trading Volume All Trades 1,334 832 1,114 1,071 605 536 818 1,364 1,755 814 868 1,080 944 1,218 1,209 1,278 1,789 2,092 3,696 2,805 (Rs. cr.) 306 191 256 246 139 123 188 313 393 182 194 242 212 273 271 287 401 469 829 629 ( US $ mn) 9.99 9.43 10.02 10.06 10.87 12.41 10.25 11.82 7.68 9.87 7.94 8.40 8.29 8.63 8.50 7.74 8.34 6.50 6.76 7.48 (Rs. cr.) 15 – 42 39 27 47 19 19 892 82 39 54 60 46 57 68 108 52 108 120 Average Daily Trading Average Number Volume Trade Size of Trades Table 5-1 : Business Growth of WDM Segment 4 – 6 14 8 12 6 7 310 26 17 17 27 20 22 24 36 13 27 44 (Rs. cr.) 0.88 -– 1.48 3.10 1.92 2.68 1.35 1.63 69.49 5.83 3.81 3.81 6.05 4.48 4.93 5.38 8.07 2.91 6.05 9.86 ( US $ mn) Trading Volume Retail Trade Contd... 0.01 – 0.03 0.06 0.07 0.10 0.03 0.03 0.07 0.15 0.10 0.08 0.13 0.08 0.09 0.08 0.08 0.02 0.03 0.06 (%) Share in Total Trading Volume 115 148 147 110 117 144 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 601 128 Aug-07 2007-08 184 Jul-07 118 143 Jun-07 148 145 May-07 Mar-08 98 Apr-07 Feb-08 178 762 108 Feb-07 2006-07 140 Jan-07 Mar-07 170 No. of active securities Dec-06 Month/Year Contd... 16,179 905 1,497 2,359 1,585 1,083 1,411 934 1,230 2,089 1,065 1,093 928 19,575 952 920 1,332 1,244 Number of Trades 282,317 15,362 24,044 42,724 32,865 17,704 25,493 16,902 21,431 33,815 17,335 17,483 17,159 219,106 14,192 14,245 18,026 14,868 (Rs. cr.) 70,632 3,843 6,015 10,689 8,223 4,429 6,378 4,229 5,362 8,460 4,337 4,374 4,293 50,265 3,256 3,268 4,135 3,411 ( US $ mn) Trading Volume All Trades 1,138 853 1,145 1,858 1,730 843 1,159 845 1,021 1,537 825 833 903 898 710 791 901 708 (Rs. cr.) 285 214 286 465 433 211 290 211 255 385 207 208 226 206 163 182 207 162 ( US $ mn) 17.45 16.97 16.06 18.11 20.74 16.35 18.07 18.10 17.42 16.19 16.28 16.00 18.49 11.19 14.91 15.48 13.53 11.95 (Rs. cr.) 211 36 7 27 12 7 10 27 8 9 38 18 12 399 74 49 35 33 Average Daily Trading Average Number Volume Trade Size of Trades Table 5-1 : Business Growth of WDM Segment 49 4 2 7 4 2 4 4 4 3 6 6 3 102 13 14 14 4 (Rs. cr.) 12.26 1.00 0.50 1.75 1.00 0.50 1.00 1.00 1.00 0.75 1.50 1.50 0.75 23.29 3.01 3.12 3.24 0.86 ( US $ mn) Trading Volume Retail Trade 0.02 0.03 0.01 0.02 0.01 0.01 0.02 0.02 0.02 0.01 0.03 0.03 0.02 0.05 0.09 0.10 0.08 0.03 (%) Share in Total Trading Volume Table 5-2 : WDM Transactions in Government Securities Month / Year 1 Outright Transactions Dated State Securities Government Securities 2 3 Treasury Bills Repo Transactions Total Dated Trea- Total (2+3+4) Securi- sury (6+7) ties Bills 4 5 6 7 8 Total (5+8) % Share in SGL Outright Transactions 9 10 1994-95 (June-March) 2,947 79 2,634 5,660 – – – 5,660 – 1995-96 6,813 176 2,255 9,243 739 5 744 9,988 – 1996-97 26,891 298 10,912 38,101 162 45 207 38,308 – 1997-98 79,564 931 17,021 97,515 4,225 1,845 6,070 103,585 – 1998-99 78,973 860 10,586 90,419 4,741 120 4,861 95,280 – 1999-00 278,866 2,082 10,644 291,592 1,933 363 2,296 293,888 – 2000-01 388,098 1,256 23,142 412,496 1,600 – 1,600 414,096 – Apr-01 42,110 292 2,888 45,290 – – – 45,290 – May-01 79,516 133 2,594 82,243 – – – 82,243 – Jun-01 78,794 55 2,344 81,193 – – – 81,193 – Jul-01 79,945 121 2,834 82,900 216 – 216 83,116 – Aug-01 72,543 68 1,546 74,157 131 – 131 74,288 – Sep-01 59,704 100 2,137 61,941 – – – 61,941 – Oct-01 77,611 160 1,656 79,427 25 50 75 79,502 – Nov-01 94,348 109 2,651 97,108 37 10 47 97,155 – Dec-01 59,854 23 1,615 61,492 50 – 50 61,542 – Jan-02 106,148 114 3,164 109,426 10 – 10 109,436 – Feb-02 96,712 124 1,191 98,027 – – – 98,027 – Mar-02 52,816 113 863 53,792 79 – 79 53,871 – 900,101 1,412 25,483 926,996 548 60 608 927,604 – Apr-02 72,359 308 1,597 74,264 195 28 223 74,487 72.75 May-02 47,694 177 2,553 50,424 255 – 255 50,679 71.13 Jun-02 49,123 134 1,699 50,956 215 30 245 51,201 80.90 Jul-02 91,317 61 2,460 93,838 43 – 43 93,881 74.94 Aug-02 93,594 129 2,933 96,656 134 109 243 96,899 74.51 2001-02 Sep-02 63,979 594 1,350 65,923 75 159 234 66,157 72.91 Oct-02 100,032 234 2,537 102,803 25 144 169 102,972 78.01 Nov-02 126,158 328 2,660 129,146 150 17 167 129,313 73.38 Dec-02 111,536 148 2,449 114,133 134 44 178 114,311 73.44 Jan-03 130,558 101 4,570 135,229 100 150 250 135,479 70.79 Feb-03 61,641 89 2,987 64,717 – – – 64,717 82.48 Mar-03 48,593 265 3,605 52,463 65 205 270 52,733 66.96 996,584 2,568 31,400 1,030,552 1,391 886 2,277 1,032,829 74.01 2002-03 Contd... 116 Contd... Table 5-2 : WDM Transactions in Government Securities Month / Year 1 Outright Transactions Dated State Securities Government Securities 2 3 Treasury Bills 4 Repo Transactions Total Dated Trea- Total (2+3+4) Securi- sury (6+7) ties Bills 5 6 7 8 Total (5+8) % Share in SGL Outright Transactions 9 10 Apr-03 91,857 91 5,001 96,949 23 – 23 96,972 76.14 May-03 114,924 249 3,790 118,963 – – – 118,963 74.56 Jun-03 120,554 732 2,883 124,169 67 50 117 124,286 76.90 Jul-03 123,426 352 4,182 127,960 20 10 30 127,990 76.87 Aug-03 153,121 713 4,236 158,070 – – – 158,070 72.23 Sep-03 113,766 554 6,470 120,790 13 – 13 120,803 80.65 Oct-03 132,676 318 5,619 138,613 – – – 138,613 72.33 Nov-03 73,805 322 4,631 78,758 – – – 78,758 79.02 Dec-03 76,346 268 4,480 81,094 – – – 81,094 77.23 Jan-04 69,909 422 4,639 74,970 – – – 74,970 75.67 Feb-04 55,619 277 3,945 59,841 – – – 59,841 72.56 Mar-04 87,836 385 5,721 93,942 – – – 93,942 67.05 1,213,839 4,683 55,597 1,274,119 123 60 183 1,274,302 74.89 123,050 338 27 15 2003-04 Apr-04 5,340 128,728 42 128,770 70.90 May-04 79,292 759 8,085 88,137 28 31 59 88,196 70.40 Jun-04 68,629 1,282 8,766 78,678 23 – 23 78,700 62.77 Jul-04 53,035 864 9,034 62,934 45 25 70 63,003 69.07 Aug-04 54,514 206 6,330 61,049 21 77 98 61,147 66.40 Sep-04 73,815 639 9,923 84,377 – – – 84,377 69.50 Oct-04 44,692 1,454 7,593 53,740 – – – 53,740 65.55 Nov-04 31,034 909 11,665 43,608 – – – 43,608 64.37 Dec-04 55,894 1,033 12,162 69,090 – – – 69,090 65.51 Jan-05 44,323 844 13,146 58,313 – – – 58,313 67.42 Feb-05 54,136 310 15,727 70,173 – – – 70,173 69.70 Mar-05 33,298 315 16,888 50,500 – – – 50,500 61.62 8,954 124,660 2004-05 849,325 144 147 292 849,617 67.36 Apr-05 715,711 30,569 27 21,748 52,343 – – – 52,343 58.83 May-05 50,410 916 15,921 67,248 – – – 67,248 67.72 Jun-05 85,381 1,178 6,208 92,767 – – – 92,767 71.47 Jul-05 45,085 282 4,469 49,836 – – – 49,836 68.14 Aug-05 25,958 898 14,733 41,590 – – – 41,590 61.31 Sep-05 21,037 1,173 6,923 29,133 – – – 29,133 58.96 Oct-05 14,424 771 8,474 23,668 – – – 23,668 60.89 Contd... 117 Contd... Table 5-2 : WDM Transactions in Government Securities Month / Year 1 Dated State Securities Government Securities 2 3 Treasury Bills 4 Repo Transactions Total Dated Trea- Total (2+3+4) Securi- sury (6+7) ties Bills 5 6 7 8 Total (5+8) % Share in SGL Outright Transactions 9 10 Nov-05 15,860 725 6,844 23,429 – – – 23,429 60.25 Dec-05 12,791 582 5,998 19,371 – – – 19,371 56.91 Jan-06 13,902 289 5,808 19,999 – – – 19,999 62.08 Feb-06 12,216 232 3,262 15,711 – – – 15,711 58.64 Mar-06 10,556 321 4,830 15,707 – – – 15,707 54.64 7,393 105,218 450,802 – – – 450,802 63.67 2005-06 338,190 Apr-06 15,346 158 6,729 22,233 – – – 22,233 55.66 May-06 12,380 466 3,462 16,309 – – – 16,309 43.13 Jun-06 5,994 421 4,298 10,713 – – – 10,713 39.54 Jul-06 6,715 282 4,536 11,533 – – – 11,533 47.87 Aug-06 14,706 294 7,540 22,540 – – – 22,540 50.36 Sep-06 17,072 416 4,832 22,320 – – – 22,320 52.29 Oct-06 11,355 88 3,683 15,125 – – – 15,125 55.64 Nov-06 22,697 267 5,313 28,277 – – – 28,277 57.73 Dec-06 10,776 435 2,880 14,091 – – – 14,091 56.53 Jan-07 13,159 124 3,346 16,629 – – – 16,629 59.48 Feb-07 10,021 161 2,863 13,046 – – – 13,046 53.55 Mar-07 9,712 325 2,471 12,508 – – – 12,508 46.33 149,933 3,436 51,954 205,324 – – – 205,324 51.70 Apr-07 12,058 40 4,308 16,405 – – – 16,405 51.97 May-07 11,159 517 4,708 16,384 – – – 16,384 57.63 2006-07 Jun-07 9,701 263 6,209 16,173 – – – 16,173 51.28 Jul-07 22,357 275 7,259 29,891 – – – 29,891 55.76 Aug-07 14,112 82 5,356 19,550 – – – 19,550 50.84 Sep-07 12,371 62 3,278 15,710 – – – 15,710 53.53 Oct-07 11,670 95 11,229 22,994 – – – 22,994 41.06 Nov-07 10,631 283 5,546 16,460 – – – 16,460 52.97 Dec-07 26,084 204 5,568 31,856 – – – 31,856 64.15 Jan-08 31,917 165 6,354 38,436 – – – 38,436 51.35 Feb-08 18,954 60 3,243 22,258 – – – 22,258 49.89 Mar-08 11,309 46 2,937 14,292 – – – 14,292 45.88 192,322 2,092 65,995 260,409 – – – 260,409 52.05 2007-08 118 Outright Transactions Table 5-3 : Security-wise and Participant-wise Distribution of WDM Trades (In per cent) Month & Year Security-wise Distribution Participant-wise Distribution Government Securities T-Bills PSU /Inst. Bonds Others Trading Members FIs/ PriMFs/ mary Corpo- Dealers rates Indian Banks Foreign Banks 1994-95 (June-March) 44.63 38.84 12.15 4.38 57.82 6.43 0.02 14.16 21.57 1995-96 65.13 19.04 9.69 6.14 23.48 7.60 1.16 30.07 37.69 1996-97 64.70 25.92 6.55 2.84 22.95 3.81 6.10 30.01 37.13 1997-98 76.14 16.96 3.64 3.26 19.75 4.30 12.06 41.24 22.65 1998-99 80.19 10.15 4.78 4.88 15.48 4.93 14.64 42.12 22.83 1999-00 92.99 3.62 1.60 1.79 18.63 4.18 19.42 42.72 15.05 2000-01 91.22 5.40 1.84 1.54 23.24 4.18 22.14 33.54 16.90 Apr-01 91.61 6.24 1.43 0.72 18.82 3.01 25.17 36.81 16.19 May-01 94.84 3.09 1.36 0.71 19.55 3.99 25.28 38.40 12.78 Jun-01 95.77 2.85 0.88 0.50 19.92 3.58 22.88 41.31 12.31 Jul-01 94.86 3.35 1.14 0.65 20.51 4.78 20.60 41.66 12.45 Aug-01 95.99 2.04 1.19 0.78 21.71 3.53 24.49 39.05 11.22 Sep-01 94.63 3.38 1.31 0.68 25.33 4.17 24.19 31.78 14.53 Oct-01 96.21 2.11 1.03 0.65 26.98 4.19 23.74 34.58 10.51 Nov-01 95.76 2.70 0.67 0.87 25.96 3.97 24.49 34.66 10.92 Dec-01 96.02 2.59 0.83 0.56 26.51 4.65 23.11 33.89 11.84 Jan-02 95.11 2.83 0.88 1.18 25.43 4.46 19.19 36.09 14.83 Feb-02 95.58 1.18 1.59 1.65 25.16 4.53 19.78 34.26 16.27 Mar-02 94.68 1.54 2.03 1.75 24.23 4.61 19.43 35.84 15.89 2001-02 95.24 2.70 1.16 0.91 23.52 4.16 22.50 36.60 13.22 Apr-02 94.22 2.10 1.97 1.71 25.45 5.11 22.33 34.45 12.66 May-02 90.38 4.79 1.89 2.94 24.42 2.71 22.08 33.70 17.09 Jun-02 90.81 3.17 1.91 4.11 22.59 3.05 19.17 39.29 15.90 Jul-02 93.55 2.52 1.58 2.35 22.64 2.83 22.19 40.27 12.07 Aug-02 93.65 3.03 2.23 1.09 22.44 3.60 21.83 41.67 10.46 Sep-02 94.70 2.21 1.76 1.33 22.46 4.27 24.02 39.06 10.19 Oct-02 94.49 2.53 1.64 1.34 24.52 4.18 23.92 39.11 8.27 Nov-02 95.78 2.02 1.24 0.96 23.73 3.53 21.01 44.01 7.72 Dec-02 95.26 2.12 1.58 1.04 24.70 3.88 24.78 41.31 5.33 Jan-03 93.59 3.38 2.17 0.86 26.37 3.67 22.96 39.02 7.98 Feb-03 92.17 4.46 2.42 0.95 28.87 4.82 17.75 31.83 16.73 Mar-03 88.97 6.93 2.75 1.35 32.12 3.49 17.67 30.13 16.59 2002-03 93.62 3.02 1.87 1.49 24.81 3.77 22.03 38.77 10.62 Contd... 119 Contd... Table 5-3 : Security-wise and Participant-wise Distribution of WDM Trades (In per cent) Month & Year Security-wise Distribution Participant-wise Distribution Government Securities T-Bills PSU /Inst. Bonds Others Trading Members FIs/ PriMFs/ mary Corpo- Dealers rates Indian Banks Foreign Banks Apr-03 91.01 4.95 2.67 1.37 32.55 3.40 18.65 35.91 9.49 May-03 93.36 3.07 2.09 1.48 32.28 3.83 18.74 36.89 8.26 Jun-03 95.80 2.32 1.11 0.77 33.59 3.58 19.03 37.08 6.72 Jul-03 94.48 3.20 1.67 0.65 33.15 5.10 17.77 37.37 6.61 Aug-03 94.53 2.60 2.15 0.72 33.34 4.97 16.34 39.09 6.26 Sep-03 91.32 5.17 2.56 0.95 36.13 5.33 15.32 37.01 6.21 Oct-03 92.74 3.92 2.40 0.94 35.78 5.81 16.38 35.86 6.17 Nov-03 91.62 5.72 1.68 0.98 40.68 5.16 14.61 33.90 5.65 Dec-03 91.31 5.34 2.24 1.11 35.49 4.25 16.00 37.65 6.61 Jan-04 90.71 5.98 1.66 1.65 35.78 4.47 17.38 34.85 7.52 Feb-04 90.89 6.42 1.78 0.91 36.32 3.93 17.28 32.54 9.93 Mar-04 89.29 5.79 2.48 2.44 36.21 3.96 16.30 33.82 9.71 2003-04 92.60 4.23 2.06 1.11 34.80 4.56 17.03 36.36 7.25 Apr-04 92.46 4.01 1.72 1.81 33.75 5.69 18.92 35.71 5.93 May-04 87.67 8.89 1.89 1.55 32.90 5.24 17.88 35.57 8.41 Jun-04 84.82 10.63 2.55 2.00 30.78 6.03 19.60 33.96 9.63 Jul-04 81.72 13.72 2.07 2.49 33.33 7.03 19.15 28.88 11.61 Aug-04 85.79 10.04 2.15 2.02 32.27 6.04 20.60 25.23 15.86 Sep-04 84.90 11.32 1.54 2.24 33.97 4.99 21.49 25.79 13.76 Oct-04 82.74 13.61 1.58 2.07 34.17 4.54 18.64 27.08 15.57 Nov-04 70.14 25.61 1.96 2.29 36.30 4.28 16.73 23.30 19.39 Dec-04 78.42 16.75 1.88 2.95 39.94 3.33 18.10 23.94 14.69 Jan-05 73.80 21.48 2.15 2.57 34.07 4.04 16.80 26.64 18.45 Feb-05 73.99 21.37 2.51 2.13 34.26 4.66 15.27 29.74 16.07 Mar-05 62.46 31.38 2.42 3.74 33.15 4.73 16.91 33.49 11.72 2004-05 81.69 14.07 2.01 2.23 33.96 5.14 18.50 29.89 12.51 Apr-05 56.02 39.82 1.87 2.29 31.34 4.28 17.15 31.77 15.46 May-05 73.20 22.71 1.42 2.67 31.72 4.29 23.11 28.21 12.67 Jun-05 90.06 6.46 1.86 1.62 30.05 3.72 22.71 29.07 14.45 Jul-05 86.73 8.54 2.31 2.42 30.93 2.43 26.42 25.71 14.51 Aug-05 60.06 32.95 3.40 3.59 34.44 3.81 19.56 27.82 14.37 Sep-05 69.49 21.66 4.51 4.34 35.57 5.83 18.74 31.77 8.09 Oct-05 59.85 33.38 4.21 2.56 35.34 2.66 21.77 27.15 13.08 Contd... 120 Contd... Table 5-3 : Security-wise and Participant-wise Distribution of WDM Trades (In per cent) Month & Year Security-wise Distribution Participant-wise Distribution Government Securities T-Bills PSU /Inst. Bonds Others Trading Members FIs/ PriMFs/ mary Corpo- Dealers rates Indian Banks Foreign Banks Nov-05 68.08 28.10 2.33 1.49 29.18 4.99 21.29 29.98 14.56 Dec-05 64.38 28.88 3.31 3.43 34.37 4.40 18.84 30.90 11.49 Jan-06 65.68 26.88 3.38 4.06 29.92 3.32 24.79 22.11 19.86 Feb-06 75.51 19.79 1.13 3.57 31.84 3.71 26.57 21.17 16.71 Mar-06 63.65 28.27 5.56 2.52 35.76 4.16 22.10 20.47 17.51 2005-06 72.67 22.13 2.56 2.64 32.01 3.92 21.89 28.07 14.11 Apr-06 66.87 29.03 2.21 1.89 26.13 2.31 23.05 29.11 19.40 May-06 71.43 19.25 2.79 6.53 30.34 2.58 22.11 28.21 16.76 Jun-06 54.41 36.45 4.25 4.89 29.40 3.18 24.39 29.24 13.79 Jul-06 55.05 34.92 2.88 6.00 29.60 1.85 20.56 24.33 23.66 Aug-06 63.67 32.00 0.85 3.48 26.44 2.93 17.69 29.68 23.26 Sep-06 74.75 20.65 1.54 3.06 32.27 2.48 19.48 29.80 15.97 Oct-06 72.37 23.30 1.44 2.89 31.93 1.46 22.08 27.31 17.22 Nov-06 78.27 18.11 1.35 2.27 28.53 2.80 19.04 29.07 20.56 Dec-06 75.40 19.37 1.16 4.07 33.32 3.18 17.59 23.48 22.43 Jan-07 73.69 18.56 2.63 5.12 31.91 2.41 24.81 21.18 19.69 Feb-07 71.48 20.10 2.04 6.38 42.33 3.16 12.44 17.10 24.97 Mar-07 70.72 17.41 3.02 8.85 35.13 4.43 13.70 14.91 31.83 2006-07 70.00 23.71 2.02 4.27 30.88 2.70 19.82 26.03 20.57 Apr-07 70.51 25.10 0.96 3.43 30.34 1.86 16.91 28.04 22.85 May-07 66.38 27.33 1.06 5.23 40.84 0.77 11.22 23.69 23.48 Jun-07 57.48 35.82 1.48 5.22 38.07 1.55 12.96 27.77 19.64 Jul-07 66.93 21.47 6.79 4.81 40.23 3.40 12.27 27.42 16.68 Aug-07 66.23 24.99 4.15 4.63 45.76 2.83 7.62 19.07 24.72 Sep-07 73.56 19.39 2.17 4.89 45.38 2.00 5.25 22.34 25.03 Oct-07 46.15 44.05 5.00 4.80 48.56 1.56 5.54 23.76 20.58 Nov-07 61.65 31.33 2.57 4.45 41.50 1.91 6.99 17.03 32.57 Dec-07 79.99 16.94 0.96 2.11 32.37 2.41 7.19 25.76 32.27 Jan-08 75.09 14.87 3.79 6.25 37.81 2.87 7.03 22.07 30.22 Feb-08 79.08 13.49 4.19 3.24 29.95 3.15 7.75 25.15 34.00 Mar-08 73.92 19.12 2.61 4.35 25.77 1.78 4.85 20.95 46.65 2007-08 68.84 23.40 3.27 4.49 38.15 2.34 8.64 23.78 27.09 121 Table 5-4 : Share of Top ‘N’ Securities/Trading Members/ Participants in Turnover in WDM Segment Year Securities 1994-95 1995-96 1996-97 1997-98 1998-99 1999-00 2000-01 2001-02 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 Trading Members 1994-95 1995-96 1996-97 1997-98 1998-99 1999-00 2000-01 2001-02 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 Participants 1994-95 1995-96 1996-97 1997-98 1998-99 1999-00 2000-01 2001-02 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 122 In Percent Top 5 Top 10 Top 25 Top 50 Top 100 42.84 57.59 32.93 30.65 26.81 37.11 42.20 51.61 43.10 37.06 43.70 47.42 40.90 39.65 61.05 69.46 48.02 46.92 41.89 55.57 58.30 68.50 65.15 54.43 57.51 59.78 51.29 53.31 80.46 79.60 65.65 71.25 64.30 82.12 80.73 88.73 86.91 81.58 71.72 72.02 65.82 68.35 89.81 86.58 78.32 85.00 78.24 90.73 89.97 94.32 92.74 90.66 80.59 81.04 77.15 79.64 97.16 93.24 90.17 92.15 86.66 95.28 95.13 97.19 96.13 95.14 89.55 89.36 86.91 89.55 51.99 44.36 30.02 27.17 29.87 32.38 35.17 35.18 31.77 30.72 35.75 39.68 57.75 65.32 73.05 68.58 51.27 47.85 50.45 53.41 54.25 58.68 53.71 53.01 56.84 60.63 78.01 80.24 95.37 96.10 91.57 83.38 86.55 84.46 86.82 88.36 85.49 86.71 86.74 89.38 96.43 97.60 100.00 100.00 99.96 99.82 99.98 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 – – 100.00 100.00 100.00 – – – – – – – – – 18.37 29.66 25.27 23.60 22.47 15.54 17.51 17.49 17.27 16.66 16.82 17.5 25.85 28.36 27.38 47.15 44.92 38.96 37.39 27.87 28.85 29.25 28.29 25.96 28.64 30.53 40.65 40.64 38.40 70.49 67.00 65.59 62.79 52.51 50.64 50.19 49.22 44.25 47.24 53.61 59.99 55.58 42.20 76.32 76.33 77.96 79.27 74.76 69.72 69.16 68.14 59.87 61.71 65.84 68.17 61.77 – 76.58 77.10 80.22 84.51 81.32 76.78 76.49 75.20 65.17 66.00 67.97 69.09 61.84 123 86,175 125,492 169,830 196,290 260,002 319,865 397,228 424,161 438,203 442,290 461,383 470,148 474,779 490,781 512,702 514,171 529,896 541,401 Mar-95 Mar-96 Mar-97 Mar-98 Mar-99 Mar-00 Mar-01 Apr-01 May-01 Jun-01 Jul-01 Aug-01 Sep-01 Oct-01 Nov-01 Dec-01 Jan-02 Feb-02 41,130 41,566 41,823 43,260 42,343 42,781 42,719 39,442 38,865 36,315 36,199 36,365 39,357 34,994 35,323 36,211 30,074 25,675 20,439 (Rs.cr) (Rs.cr) 60,719 PSU bonds Govt. securities Jun-94 Month/ Year 59,675 57,955 54,771 53,829 52,367 50,217 50,711 47,810 47,302 46,940 45,095 44,624 39,477 30,516 23,989 18,891 13,850 5,867 1,833 (Rs.cr) State loans 24,366 24,004 24,266 23,586 23,652 23,347 23,041 22,272 21,056 18,538 18,667 17,725 15,345 11,292 17,497 13,460 8,452 17,129 18,476 (Rs.cr) T-bills 89,520 88,087 87,467 87,856 87,776 87,037 82,835 83,273 84,917 85,374 85,251 84,894 79,989 74,666 70,091 54,380 29,915 23,334 20,052 (Rs.cr) Others 756,092 741,508 722,497 721,234 696,920 678,161 669,455 654,181 634,430 625,370 609,373 580,836 494,033 411,470 343,191 292,772 207,783 158,181 121,518 (Rs.cr) 155,574 152,574 148,662 148,402 143,399 139,539 137,748 134,605 130,541 128,677 125,385 124,536 113,258 96,976 86,818 81,598 60,490 50,328 38,663 (US $ mn) Total 71.61 71.46 71.17 71.09 70.42 70.01 70.23 70.53 69.71 70.07 69.61 68.39 64.75 63.19 57.20 58.01 60.40 54.48 49.97 Govt. securities Table 5-5 : Market Capitalisation of WDM Securities 5.44 5.61 5.79 6.00 6.08 6.31 6.38 6.03 6.13 5.81 5.94 6.26 7.97 8.50 10.29 12.37 14.47 16.23 16.82 PSU bonds 7.89 7.82 7.58 7.46 7.51 7.40 7.57 7.31 7.46 7.51 7.40 7.68 7.99 7.42 6.99 6.45 6.67 3.71 1.51 (in percent) State loans 3.22 3.24 3.36 3.27 3.39 3.44 3.44 3.40 3.32 2.96 3.06 3.05 3.11 2.74 5.10 4.60 4.07 10.83 15.20 T-bills Contd... 11.84 11.88 12.11 12.18 12.59 12.83 12.37 12.73 13.38 13.65 13.99 14.62 16.19 18.15 20.42 18.57 14.40 14.75 16.50 Others 124 555,394 554,137 562,242 586,790 601,410 602,201 617,840 636,392 655,148 662,766 659,078 658,002 684,912 710,420 743,561 783,875 798,850 807,001 Apr-02 May-02 Jun-02 Jul-02 Aug-02 Sep-02 Oct-02 Nov-02 Dec-02 Jan-03 Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 44,439 44,945 42,478 42,165 42,015 39,661 38,383 38,404 39,588 39,431 39,902 40,127 40,003 39,872 39,643 39,759 40,333 40,716 39,944 (Rs.cr) (Rs.cr) 542,601 PSU bonds Govt. securities Mar-02 Month/ Year Contd... 76,353 74,674 71,950 71,846 70,214 72,295 72,094 71,115 70,932 70,368 69,500 68,589 67,074 66,424 66,718 66,649 64,065 63,106 61,385 (Rs.cr) State loans 40,255 36,520 32,515 32,809 32,147 32,880 34,919 36,156 34,934 30,852 28,377 27,797 27,101 26,580 26,065 25,188 24,745 24,218 23,849 (Rs.cr) T-bills 61,990 65,140 63,859 63,514 62,110 62,163 61,084 63,226 65,210 65,058 65,280 86,276 86,264 86,493 87,604 89,098 89,410 89,079 89,016 (Rs.cr) Others 1,030,038 1,020,129 994,677 953,895 916,905 891,912 864,481 867,979 873,430 860,857 839,451 840,629 822,643 820,779 806,821 782,936 772,690 772,513 756,794 (Rs.cr) 237,391 235,107 229,241 219,842 211,317 205,557 181,996 182,732 183,880 181,233 176,727 176,975 173,188 172,796 169,857 164,829 162,672 162,634 155,719 (US $ mn) Total 78.35 78.31 78.81 77.95 77.48 76.79 76.12 75.93 75.88 76.10 75.81 73.50 73.20 73.27 72.73 71.81 71.72 71.89 71.70 Govt. securities Table 5-5 : Market Capitalisation of WDM Securities 4.31 4.41 4.27 4.42 4.58 4.45 4.44 4.42 4.53 4.58 4.75 4.77 4.86 4.86 4.91 5.08 5.22 5.27 5.28 PSU bonds 7.41 7.32 7.23 7.53 7.66 8.11 8.34 8.19 8.12 8.17 8.28 8.16 8.15 8.09 8.27 8.51 8.29 8.17 8.11 (in percent) State loans 3.91 3.58 3.27 3.44 3.51 3.69 4.04 4.17 4.00 3.58 3.38 3.31 3.29 3.24 3.23 3.22 3.20 3.13 3.15 T-bills Contd... 6.02 6.38 6.42 6.66 6.77 6.96 7.06 7.29 7.47 7.57 7.78 10.26 10.50 10.54 10.86 11.38 11.57 11.54 11.76 Others 125 954,259 959,903 967,351 968,155 959,302 972,543 969,036 990,244 985,695 975,712 997,163 987,454 981,238 996,341 1,002,006 1,010,936 1,006,107 1,003,339 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04 Sep-04 Oct-04 Nov-04 Dec-04 Jan-05 Feb-05 Mar-05 Apr-05 67,934 68,398 67,255 67,813 67,940 67,667 68,546 67,606 67,763 67,400 66,080 61,591 54,001 56,832 49,224 46,121 46,436 44,486 44,544 (Rs.cr) (Rs.cr) 956,295 PSU bonds Govt. securities Oct-03 Month/ Year Contd... 223,513 223,208 223,395 214,898 214,519 183,462 183,771 185,359 185,864 179,858 77,589 77,105 76,391 79,340 79,036 78,305 77,292 77,154 77,037 (Rs.cr) State loans 78,624 73,502 69,660 63,679 62,083 60,897 63,755 60,608 59,894 59,462 56,155 48,825 40,556 32,692 32,229 32,232 32,639 36,507 40,703 (Rs.cr) T-bills 90,983 90,519 89,493 86,240 86,623 83,464 84,207 83,292 81,510 80,684 79,209 71,634 68,703 87,698 71,507 68,060 62,656 60,223 61,092 (Rs.cr) Others 1,464,393 1,461,734 1,460,739 1,434,635 1,427,506 1,376,727 1,387,733 1,394,027 1,370,744 1,373,099 1,269,276 1,228,191 1,212,194 1,215,864 1,200,151 1,192,070 1,178,926 1,172,629 1,179,671 (Rs.cr) 328,266 334,111 333,883 327,917 326,287 314,680 317,196 318,635 313,313 313,851 290,120 280,729 277,073 280,218 276,596 274,734 271,705 270,253 271,876 (US $ mn) Total 68.52 68.83 69.21 69.84 69.80 71.27 71.16 71.53 71.18 71.79 78.02 78.90 80.23 78.90 80.67 81.15 81.42 81.38 81.06 Govt. securities Table 5-5 : Market Capitalisation of WDM Securities 4.64 4.68 4.60 4.73 4.76 4.92 4.94 4.85 4.94 4.91 5.21 5.01 4.45 4.67 4.10 3.87 3.94 3.79 3.78 PSU bonds 15.26 15.27 15.29 14.98 15.03 13.33 13.24 13.30 13.56 13.10 6.11 6.28 6.30 6.53 6.59 6.57 6.56 6.58 6.53 (in percent) State loans 5.37 5.03 4.77 4.44 4.35 4.42 4.59 4.35 4.37 4.33 4.42 3.98 3.35 2.69 2.69 2.70 2.77 3.11 3.45 T-bills Contd... 6.21 6.19 6.13 6.01 6.06 6.06 6.07 5.97 5.95 5.87 6.24 5.83 5.67 7.21 5.95 5.71 5.31 5.14 5.18 Others 126 1,014,558 1,025,814 1,036,004 1,020,612 1,020,975 1,044,287 1,051,521 1,058,461 1,058,681 1,059,789 1,059,866 1,060,527 1,066,643 1,058,045 1,066,887 1,080,169 1,092,791 1,131,558 Jun-05 Jul-05 Aug-05 Sep-05 Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 89,496 87,461 88,499 88,530 88,817 88,590 88,897 88,294 88,716 83,573 84,207 78,721 78,182 78,117 76,190 76,248 75,701 74,699 72,388 (Rs.cr) (Rs.cr) 1,010,569 PSU bonds Govt. securities May-05 Month/ Year Contd... 243,299 241,944 241,723 242,161 241,578 240,690 241,126 242,182 241,927 240,427 236,843 236,282 235,991 233,038 233,134 224,717 224,402 224,475 216,585 (Rs.cr) State loans 99,829 93,432 94,348 92,007 83,515 75,670 72,611 66,364 70,186 67,257 72,107 81,843 98,400 103,352 102,280 87,372 84,249 90,679 82,378 (Rs.cr) T-bills 136,386 132,136 127,896 117,118 113,902 112,658 112,708 108,072 106,956 103,510 103,561 100,981 97,444 94,755 94,862 93,559 93,657 90,814 90,512 (Rs.cr) Others 1,700,568 1,647,763 1,632,635 1,606,702 1,585,857 1,584,251 1,575,869 1,564,778 1,567,574 1,553,448 1,555,179 1,549,348 1,554,304 1,530,237 1,527,078 1,517,900 1,503,823 1,495,225 1,472,432 (Rs.cr) 390,128 378,014 374,544 368,594 363,812 363,444 361,521 358,976 351,395 348,229 348,617 347,310 348,421 343,026 342,317 340,260 337,104 335,177 330,068 (US $ mn) Total 66.54 66.32 66.16 66.40 66.72 67.33 67.30 67.73 67.61 68.15 68.06 67.87 67.19 66.72 66.83 68.25 68.21 67.85 68.63 Govt. securities Table 5-5 : Market Capitalisation of WDM Securities 5.26 5.31 5.42 5.51 5.60 5.59 5.64 5.64 5.66 5.38 5.41 5.08 5.03 5.10 4.99 5.02 5.03 5.00 4.92 PSU bonds 14.31 14.68 14.81 15.07 15.23 15.19 15.30 15.48 15.43 15.48 15.23 15.25 15.18 15.23 15.27 14.80 14.92 15.01 14.71 (in percent) State loans 5.87 5.67 5.78 5.73 5.27 4.78 4.61 4.24 4.48 4.33 4.64 5.28 6.33 6.75 6.70 5.76 5.60 6.06 5.59 T-bills Contd... 8.02 8.02 7.83 7.29 7.18 7.11 7.15 6.91 6.82 6.66 6.66 6.52 6.27 6.20 6.21 6.17 6.24 6.08 6.15 Others 127 1,149,001 1,171,593 1,182,278 1,188,185 1,193,749 1,216,175 1,252,307 1,268,344 1,282,109 1,309,579 1,314,985 1,318,419 1,357,485 1,386,566 1,392,219 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 96,268 97,433 96,542 94,287 94,626 92,094 91,467 90,283 91,300 88,940 90,293 90,289 89,628 91,947 90,521 91,368 (Rs.cr) (Rs.cr) 1,145,496 PSU bonds Govt. securities Dec-06 Month/ Year Contd... 315,661 307,112 294,341 278,966 268,667 263,329 258,683 255,601 247,614 250,399 247,105 245,888 249,847 247,203 244,323 244,879 (Rs.cr) State loans 111,562 120,665 124,393 124,169 143,650 155,473 145,437 154,924 150,513 144,375 125,892 119,433 115,183 99,749 103,402 96,625 (Rs.cr) T-bills 207,636 201,300 197,104 186,740 184,816 180,585 176,891 167,655 162,866 161,619 155,634 153,134 147,865 142,240 140,270 139,699 (Rs.cr) Others 2,123,346 2,113,076 2,069,865 2,002,581 2,006,743 2,001,060 1,954,586 1,936,806 1,904,600 1,861,509 1,812,673 1,796,928 1,784,801 1,752,732 1,727,518 1,718,067 (Rs.cr) 531,235 528,666 517,855 501,021 502,062 500,641 489,013 484,565 476,507 465,727 453,508 449,569 409,452 402,095 396,311 394,142 (US $ mn) Total 65.57 65.62 65.58 65.84 65.53 65.44 65.59 65.49 65.75 65.33 65.86 66.12 66.24 66.84 66.51 66.67 Govt. securities Table 5-5 : Market Capitalisation of WDM Securities 4.53 4.61 4.66 4.71 4.72 4.60 4.68 4.66 4.79 4.78 4.98 5.02 5.02 5.25 5.24 5.32 PSU bonds 14.87 14.53 14.22 13.93 13.39 13.16 13.23 13.20 13.00 13.45 13.63 13.68 14.00 14.10 14.14 14.25 (in percent) State loans 5.25 5.71 6.01 6.20 7.16 7.77 7.44 8.00 7.90 7.76 6.95 6.65 6.45 5.69 5.99 5.62 T-bills 9.77 9.53 9.53 9.32 9.21 9.02 9.05 8.66 8.55 8.68 8.58 8.53 8.28 8.12 8.12 8.13 Others Table 5-6 : FIMMDA NSE MIBID/MIBOR Rates Month/ Date 29-Jun-98 31-Jul-98 31-Aug-98 30-Sep-98 30-Oct-98 30-Nov-98 31-Dec-98 30-Jan-99 27-Feb-99 31-Mar-99 29-Apr-99 31-May-99 30-Jun-99 31-Jul-99 31-Aug-99 30-Sep-99 30-Oct-99 30-Nov-99 31-Dec-99 31-Jan-00 29-Feb-00 31-Mar-00 29-Apr-00 31-May-00 30-Jun-00 31-Jul-00 31-Aug-00 30-Sep-00 31-Oct-00 30-Nov-00 29-Dec-00 31-Jan-01 28-Feb-01 31-Mar-01 30-Apr-01 31-May-01 29-Jun-01 31-Jul-01 31-Aug-01 28-Sep-01 31-Oct-01 29-Nov-01 OVERNIGHT AT 9.40 a.m.* 14 DAY AT 11.30 a.m.** 1 MONTH RATE AT 11.30 a.m.*** 3 MONTH RATE AT 11.30 a.m.*** MIBID MIBOR MIBID MIBOR MIBID MIBOR MIBID MIBOR 6.81 3.25 8.59 8.18 8.63 8.00 – 8.33 9.12 10.87 8.25 8.04 – 8.18 9.93 – 8.10 7.95 7.07 8.09 8.99 14.10 6.96 6.92 – 8.20 13.94 10.10 8.10 7.98 8.24 9.66 7.71 10.22 7.25 6.79 7.20 6.91 6.92 7.77 8.47 6.42 7.12 4.18 8.88 8.38 8.81 8.06 – 8.51 9.27 12.97 8.45 8.19 – 8.31 10.09 – 8.26 8.04 7.57 8.19 9.10 16.52 7.06 7.02 – 8.33 14.31 10.28 8.26 8.06 8.46 9.85 7.84 12.18 7.39 6.95 7.34 7.04 7.03 8.21 8.77 6.59 – – – – – 8.44 8.87 8.80 9.23 9.09 8.25 8.44 8.48 8.36 9.24 9.11 8.82 8.40 8.61 8.33 8.76 9.98 7.35 7.76 9.80 9.14 13.02 10.29 8.77 8.68 9.21 9.41 8.11 9.03 7.55 7.40 7.25 7.29 7.01 7.52 7.15 6.74 – – – – – 9.06 9.45 9.34 9.82 10.06 9.01 8.93 9.11 8.86 9.83 9.64 9.62 9.02 9.27 8.85 9.66 10.93 8.11 8.66 11.25 10.11 14.33 11.23 9.48 9.33 9.96 10.05 8.80 9.89 8.33 8.04 7.85 7.88 7.40 8.14 7.72 7.23 – – – – – – 9.45 9.32 9.87 9.44 8.93 9.01 9.11 8.79 9.46 9.57 9.45 9.08 9.12 8.78 8.98 9.90 8.03 8.25 9.71 9.62 12.54 10.55 9.34 9.12 9.49 9.63 8.67 9.08 8.15 7.89 7.69 7.58 7.34 8.07 7.39 7.26 – – – – – – 10.24 10.04 10.46 10.35 9.72 9.78 9.84 9.37 10.11 10.20 10.17 9.75 9.89 9.32 9.80 10.82 8.68 9.12 10.92 10.49 13.61 11.49 10.16 9.82 10.20 10.28 9.38 9.86 8.83 8.57 8.41 8.17 7.82 8.70 8.03 7.80 – – – – – – 10.43 10.40 10.94 10.30 9.83 9.80 9.89 9.36 9.86 10.06 10.31 10.05 9.76 9.60 9.38 9.96 8.78 8.92 9.78 10.28 11.58 10.75 9.89 9.73 9.85 10.00 9.40 9.26 8.83 8.41 8.16 7.99 7.82 8.33 7.61 7.77 – – – – – – 11.28 11.08 11.45 11.20 10.63 10.72 10.68 10.09 10.57 10.70 11.08 10.70 10.53 10.31 10.24 10.96 9.47 9.64 11.13 11.11 12.67 11.76 10.73 10.54 10.64 10.57 10.10 10.25 9.54 9.08 8.87 8.66 8.32 8.98 8.37 8.32 Contd... 128 Contd... Table 5-6 : FIMMDA NSE MIBID/MIBOR Rates Month/ Date 31-Dec-01 31-Jan-02 28-Feb-02 30-Mar-02 30-Apr-02 31-May-02 28-Jun-02 31-Jul-02 31-Aug-02 28-Sep-02 31-Oct-02 30-Nov-02 31-Dec-02 31-Jan-03 28-Feb-03 31-Mar-03 30-Apr-03 31-May-03 30-Jun-03 31-Jul-03 31-Aug-03 30-Sep-03 31-Oct-03 30-Nov-03 31-Dec-03 31-Jan-04 29-Feb-04 31-Mar-04 30-Apr-04 31-May-04 29-Jun-04 31-Jul-04 31-Aug-04 29-Sep-04 30-Oct-04 30-Nov-04 31-Dec-04 31-Jan-05 28-Feb-05 31-Mar-05 30-Apr-05 OVERNIGHT AT 9.40 a.m.* 14 DAY AT 11.30 a.m.** 1 MONTH RATE AT 11.30 a.m.*** 3 MONTH RATE AT 11.30 a.m.*** MIBID MIBOR MIBID MIBOR MIBID MIBOR MIBID MIBOR 7.80 6.51 6.94 7.44 6.45 6.01 4.99 5.65 5.67 5.70 5.45 5.21 5.59 6.02 6.29 6.69 4.61 4.78 4.76 4.83 4.37 4.45 4.42 4.25 4.31 4.27 4.29 4.30 4.11 4.27 4.24 4.22 4.25 4.45 4.68 4.74 5.54 4.69 4.66 4.77 4.90 8.11 6.64 7.16 11.09 6.61 6.16 5.35 5.75 5.75 5.77 5.53 5.39 5.71 6.20 6.52 7.13 4.88 4.96 4.99 5.00 4.50 4.59 4.53 4.48 4.50 4.49 4.47 4.51 4.46 4.50 4.49 4.49 4.46 4.59 4.84 4.85 5.78 4.80 4.77 4.92 5.04 7.42 6.89 6.84 7.41 6.58 6.64 6.04 5.80 5.73 5.73 5.50 5.45 5.50 5.60 5.62 5.66 5.00 4.93 4.91 4.97 4.50 4.41 4.69 4.47 4.45 4.47 4.45 4.44 4.37 4.35 4.33 4.37 4.44 4.50 4.78 4.99 5.22 4.87 4.87 5.06 5.13 8.04 7.40 7.33 8.06 7.13 7.29 6.56 6.16 6.02 6.07 5.71 5.65 5.69 5.97 5.92 6.30 5.32 5.26 5.14 5.13 4.66 4.63 4.96 4.62 4.62 4.67 4.63 4.68 4.55 4.55 4.51 4.56 4.65 4.69 5.03 5.30 5.49 5.13 5.25 5.46 5.33 7.63 7.15 7.23 7.39 7.01 7.17 6.35 6.01 5.98 5.91 5.65 5.59 5.60 5.67 5.66 5.83 5.18 5.03 4.96 5.01 4.53 4.49 4.73 4.54 4.50 4.57 4.56 4.57 4.45 4.44 4.41 4.46 4.53 4.58 4.85 5.05 5.20 5.00 5.01 5.23 5.28 8.26 7.73 7.78 8.05 7.63 7.79 6.98 6.42 6.34 6.32 5.87 5.82 5.90 6.04 6.13 6.37 5.51 5.36 5.30 5.23 4.73 4.73 5.02 4.70 4.72 4.77 4.72 4.82 4.65 4.64 4.62 4.67 4.76 4.81 5.11 5.39 5.48 5.30 5.51 5.63 5.55 7.88 7.73 7.79 7.63 7.53 7.48 6.80 6.35 6.37 6.28 5.85 5.77 5.80 5.82 5.73 5.73 5.33 5.19 5.14 5.06 4.69 4.64 4.82 4.66 4.66 4.70 4.72 4.73 4.59 4.56 4.55 4.62 4.67 4.74 5.00 5.16 5.38 5.35 5.44 5.62 5.56 8.57 8.41 8.37 8.29 8.19 8.24 7.50 6.84 6.81 6.81 6.23 6.10 6.21 6.30 6.27 6.36 5.76 5.60 5.52 5.39 4.94 4.94 5.21 4.93 4.91 5.00 5.00 5.05 4.90 4.83 4.83 4.89 4.94 5.03 5.31 5.57 5.68 5.70 6.10 6.11 5.98 Contd... 129 Contd... Table 5-6 : FIMMDA NSE MIBID/MIBOR Rates Month/ Date 31-May-05 30-Jun-05 30-Jul-05 31-Aug-05 30-Sep-05 31-Oct-05 30-Nov-05 31-Dec-05 31-Jan-06 28-Feb-06 31-Mar-06 29-Apr-06 31-May-06 30-Jun-06 31-Jul-06 31-Aug-06 29-Sep-06 31-Oct-06 30-Nov-06 30-Dec-06 31-Jan-07 28-Feb-07 30-Mar-07 30-Apr-07 31-May-07 29-Jun-07 30-Jun-07 31-Jul-07 31-Aug-07 28-Sep-07 31-Oct-07 30-Nov-07 31-Dec-07 31-Jan-08 29-Feb-08 31-Mar-08 OVERNIGHT AT 9.40 a.m.* 14 DAY AT 11.30 a.m.** 3 MONTH RATE AT 11.30 a.m.*** MIBID MIBOR MIBID MIBOR MIBID MIBOR MIBID MIBOR 4.97 5.51 4.80 4.97 5.03 5.26 5.32 6.83 7.35 6.61 6.60 5.57 5.50 5.78 6.01 6.02 6.95 6.76 6.12 14.47 7.71 6.01 58.15 9.03 0.89 8.66 2.23 0.13 6.05 8.74 6.08 7.66 6.87 6.82 7.12 8.96 5.06 5.69 5.02 5.05 5.14 5.33 5.43 7.03 7.56 6.73 6.81 5.68 5.60 5.85 6.10 6.10 7.17 6.89 6.20 15.79 7.84 6.11 68.27 9.34 1.16 8.96 3.18 0.19 6.15 9.08 6.15 7.75 7.02 6.93 7.26 9.16 5.14 5.32 5.05 5.20 5.32 5.35 5.56 6.25 6.92 6.80 7.30 5.64 5.78 5.79 6.01 6.05 6.30 6.68 6.68 7.82 7.26 7.74 9.03 8.55 5.74 7.33 6.80 3.36 6.15 6.22 5.83 6.57 7.27 6.30 7.08 7.49 5.33 5.46 5.27 5.36 5.53 5.47 5.82 6.76 7.42 7.15 7.91 6.16 6.11 6.19 6.33 6.36 6.64 7.04 7.00 10.47 8.21 8.51 12.62 9.62 6.69 8.13 7.78 4.56 6.85 6.83 6.72 7.56 7.86 7.34 8.25 9.17 5.27 5.39 5.22 5.32 5.46 5.48 5.68 6.20 7.08 6.92 7.63 5.91 6.00 6.14 6.27 6.30 6.46 6.85 6.94 8.00 7.64 8.53 9.43 9.22 7.34 7.44 6.97 5.45 6.70 7.07 6.29 6.83 7.58 6.65 7.61 8.00 5.51 5.63 5.50 5.51 5.73 5.65 5.98 6.78 7.53 7.31 8.24 6.45 6.39 6.61 6.62 6.68 6.86 7.29 7.32 10.30 8.55 9.47 11.66 10.42 8.27 8.49 8.15 6.22 7.51 7.85 7.13 7.88 8.07 7.78 8.75 9.46 5.49 5.60 5.54 5.66 5.71 5.85 5.98 6.27 7.08 7.20 7.86 6.37 6.39 6.59 6.66 6.72 6.74 7.21 7.34 8.24 8.57 9.53 9.71 10.05 8.86 8.69 8.39 6.45 7.61 7.78 7.24 7.52 8.01 7.51 8.59 8.74 5.93 5.94 6.02 5.96 6.06 6.10 6.30 6.88 7.62 7.65 8.48 6.97 6.82 7.09 7.20 7.21 7.21 7.63 7.70 9.56 9.19 10.22 11.65 11.12 9.72 9.59 9.31 7.54 8.47 8.45 7.90 8.50 8.56 8.54 9.61 9.82 Note: 130 1 MONTH RATE AT 11.30 a.m.*** * Overnight : Disseminated since June 15, 1998. ** 14 Day : Disseminated since November 10, 1998. *** 1 month : Disseminated since December 1, 1998. *** 3 month : Disseminated Since December 1, 1998. Table 5-7 : 1-day Value-at-Risk (99%) for Government of India Securities Traded as on March 31, 2008 Security Security Type Name Issue Name Normal Weighted Historical Normal Simulation Weighted EVT Historical Simulation Clean Price (off NSEZCYC) Accrued_ Interest GS CG2009 6.65% 0.627 1.289 0.788 1.08 0.731 99.015 3.25 GS CG2010 5.87% 0.77 1.621 0.985 1.51 0.866 97.01 1.45 GS CG2013 7.27% 1.037 1.475 1.144 1.435 0.925 97.252 0.57 GS CG2017 7.99% 1.456 1.888 1.364 1.597 1.145 99.431 1.82 GS CG2027 8.26% 2.868 3.439 3.331 3.388 2.562 98.46 1.35 GS CG2036 8.33% 4.161 4.365 5.261 3.943 3.955 97.215 2.64 TB 182D 80808 0.326 0.72 0.412 0.815 0.385 97.362 0.00 TB 182D 130608 0.208 0.472 0.272 0.48 0.246 98.492 0.00 TB 182D 180408 0.058 0.134 0.076 0.128 0.068 99.631 0.00 131 132 Futures & Options Segment 6 134 6 Futures & Options Segment The Futures and Options segment of NSE witnessed commendable achievements during 2007-08. In addition to the launch of new products, it also witnessed huge volumes. NSE being the most vibrant exchange in the country created a niche for itself on the international front. In the year 2007, NSE ranked as the ninth largest derivatives exchange in the world, the second largest exchange in terms of number of contracts traded in single stock futures and the third largest in terms number of contracts traded in the index futures category. The derivatives trading at NSE commenced on June 12, 2000 with futures trading on S&P CNX Nifty Index. Subsequently, the product base has been increased to include trading in options on S&P CNX Nifty Index, futures and options on CNX IT Index, Bank Nifty Index, CNX Nifty Junior, CNX 100, Nifty Midcap 50 Indices and single stocks. The various products on the derivative segment of NSE and their date of launch is shown in the table below. Products available for trading on Derivatives Segment Products on Derivative Segment Date of Launch S&P CNX Nifty Futures June 12, 2000 S&P CNX Nifty Options June 4, 2001 Single Stock Options July 2, 2001 Single Stock Futures November 9, 2001 Interest Rate Futures June 24, 2003 CNX IT Futures & Options August 29, 2003 Bank Nifty Futures & Options June 13, 2005 CNX Nifty Junior Futures & Options June 1, 2007 CNX 100 Futures & Options June 1, 2007 Nifty Midcap 50 Futures & Options October 5, 2007 Mini Nifty Futures & Options on S&P CNX Nifty January 1, 2008 Long term Options on S&P CNX Nifty March 3, 2008 Number of Securities on which F&O Contracts were available for Trading (2007-08) Month/Year Number of securities* Apr-07 155 May-07 186 Jun-07 187 Jul-07 191 Aug-07 195 Contd... 135 Contd... Number of Securities on which F&O Contracts were available for Trading (2007-08) Month/Year Number of securities* Sep-07 207 Oct-07 208 Nov-07 224 Dec-07 225 Jan-08 224 Feb-08 228 Mar-08 228 2007-08 228 * at the end of the month Trading on single stock options commenced on July 2, 2001 while trading on single stock futures were launched on November 9, 2001. The list of securities on which single stock futures and options are available at NSE along with their launch date and market lot is shown in Table 6-1. Since inception, NSE established itself as the sole market leader in the Futures & Options segment in the country and during 2007-08, it accounted for 98.18 % of the market share. Trading Mechanism The derivatives trading system at NSE is called NEAT-F&O trading system. It provides a fully automated screen-based trading for all kind of derivative products available on NSE on a nationwide basis. It supports an anonymous order driven market, which operates on a strict price/time priority. It provides tremendous flexibility to users in terms of kinds of orders that can be placed on the system. Various time and price related conditions like Immediate or Cancel, Limit/Market Price, Stop Loss, etc. can be built into an order. Trading in derivatives is essentially similar to that of trading of securities in the CM segment. The NEAT-F&O trading system distinctly identifies two groups of users. The trading user more popularly known as trading member has access to functions such as, order entry, order matching and order & trade management. The clearing user (clearing member) uses the trader workstation for the purpose of monitoring the trading member(s) for whom he clears the trades. Additionally, he can enter and set limits on positions, which a trading member can take. 136 Contract Specification The contract specification for derivative products traded on NSE are summarised in Table 6-2 & Table 6-3. The index futures and index options contracts traded on NSE are based on S&P CNX Nifty Index, CNX IT Index, Bank Nifty, CNX Nifty Junior, CNX 100 and Nifty Midcap 50 while stock futures and options are based on individual securities. Stock futures and options were available on 228 securities as of June 20, 2008. During January 2008, Mini futures and options contracts on S&P CNX Nifty were introduced for trading while long term options contracts on S&P CNX Nifty were introduced in March 2008. At any point of time there are only three contract months available for trading, with 1 month, 2 months and 3 months to expiry. These contracts expire on last Thursday of the expiry month and have a maximum of 3-month expiration cycle. If the last Thursday is a trading holiday, the contracts expire on the previous trading day. A new contract is introduced on the next trading day following the expiry of the near month contract. All the derivatives contracts are presently cash settled. The long term option contracts are available for 3 serial month contracts, 3 quarterly months of the cycle March / June / September / December and 5 following semi-annual months of the cycle June / December. Thus, at any point in time there are atleast 3 year tenure option available. Introduction of strike prices for option contracts Stock Options NSE introduces option strikes on a daily basis based on the price of the underlying. With regard to options on stocks the Exchange provides a minimum of seven strike prices for every option type (i.e Call & Put) during the trading month. At any time, there are atleast three strikes in-the-money (ITM), three strikes out-of-the-money (OTM) and one strike at-the-money (ATM). The table below gives details of generation of strike price interval for stock options. Generation of strikes for Stock Options Price of underlying Strike Price Interval Schemes of Strikes 2.5 3-1-3 5 3-1-3 > Rs.250 - Rs. 500 10 3-1-3 > Rs.500 - Rs.1000 20 3-1-3 > Rs.1000 - Rs.2500 30 3-1-3 > Rs.2500 50 3-1-3 Less than or equal to Rs.50 > Rs.50 - Rs.250 137 Index Options The number of strikes provided in options on Indices- S&P CNX Nifty, CNX Nifty Junior, CNX 100, CNX IT, Bank Nifty and Nifty Midcap 50 are related to the range in which previous day’s closing value of the index falls as per the table below. Generation of strikes for Index Options Index Level Strike Interval Scheme of strikes (ITM-ATM-OTM) Upto 2000 25 4-1-4 2001 to 4000 50 4-1-4 >4000 to 6000 50 5-1-5 >6000 50 6-1-6 Selection Criteria for Stocks and Index eligibility for trading Eligibility Criteria of Stocks • The stocks are chosen from amongst the top 500 stocks in terms of average daily market capitalisation and average daily traded value in the previous six months on a rolling basis. • The stock’s median quarter-sigma order size over the last six months is not less than Rs.1 lakh. For this purpose, a stock’s quarter-sigma order size means the order size (in value terms) required to cause a change in the stock price equal to one-quarter of a standard deviation. • The market wide position limit in the stock is not less than Rs. 50 crore. The market wide position limit (number of shares) are valued taking the closing prices of stocks in the underlying cash market on the date of expiry of contract in the month. The market wide position limit of open position (in terms of the number of underlying stock) on futures and option contracts on a particular underlying stock is 20% of the number of shares held by non-promoters in the relevant underlying security i.e. free-float holding. • If an existing security fails to meet the eligibility criteria for three months consecutively, then no fresh month contract are issued on that security. • However, the existing unexpired contracts may be permitted to trade till expiry and new strikes may also be introduced in the existing contract months. Eligibility Criteria of Indices • 138 The Exchange may consider introducing derivative contracts on an index if the stocks contributing to 80% weightage of the index are individually eligible for derivative trading. However, no single ineligible stocks in the index should have a weightage of more than 5% in the index. • The above criteria is applied every month, if the index fails to meet the eligibility criteria for three months consecutively, then no fresh month contract are issued on that index. However, the existing unexpired contacts are permitted to trade till expiry and new strikes may also be introduced in the existing contracts. Selection criteria for unlisted companies For unlisted companies coming out with initial public offering, if the net public offer is Rs. 500 crore or more, then the Exchange may consider introducing stock options and stock futures on such stocks at the time of its’ listing in the cash market. Re-introduction of dropped stocks A stock which is dropped from derivatives trading may become eligible once again. In such instances, the stock is required to fulfill the eligibility criteria for three consecutive months to be re-introduced for derivatives trading. Eligibility criteria of stocks for derivatives trading especially on account of corporate restructuring The eligibility criteria for stocks for derivatives trading on account of corporate restructuring is as under. All the following conditions should be met in the case of shares of a company undergoing restructuring through any means for eligibility to reintroduce derivative contracts on that company from the first day of listing of the post restructured company/(s) (as the case may be) stock (herein referred to as post restructured company) in the underlying market, a) The Futures and options contracts on the stock of the original (pre restructure) company were traded on any exchange prior to its restructuring; b) The pre restructured company had a market capitalisation of at least Rs.1000 crores prior to its restructuring; c) The post restructured company would be treated like a new stock and if it is, in the opinion of the exchange, likely to be at least one-third the size of the pre restructuring company in terms of revenues, or assets, or (where appropriate) analyst valuations; and d) In the opinion of the exchange, the scheme of restructuring does not suggest that the post restructured company would have any characteristic (for example extremely low free float) that would render the company ineligible for derivatives trading. If the above conditions are satisfied, then the exchange takes the following course of action in dealing with the existing derivative contracts on the pre-restructured company and introduction of fresh contracts on the post restructured company 139 a) In the contract month in which the post restructured company begins to trade, the Exchange introduce near month, middle month and far month derivative contracts on the stock of the restructured company. b) In subsequent contract months, the normal rules for entry and exit of stocks in terms of eligibility requirements would apply. If these tests are not met, the exchange shall not permit further derivative contracts on this stock and future month series shall not be introduced. Trading Value & Contracts Traded The total turnover on the F&O Segment surged by an impressive 77.95 % to Rs. 13,090,478 crore (US $ 3,275,076 million ) during 2007-08 as compared with Rs. 7,356,271 crore (US $ 1,687,605 million) during 2006-07. The average daily turnover during 2007-08 was Rs.52,153 crore (US $ 13,048 million), a year on year growth of 76.53 %. The business growth of F&O segment and the number of contracts traded during the year is presented in Table 6-4 and Chart 6-1. Chart 6-1 : Business Growth of F&O Segment In the year 2007-08, total number of contracts traded in Futures & Options Segment aggregated to 43 crore, out of which 36 crore contracts were traded in Futures Segment and 7 crore contracts in Options Segment. During 2007-08, 48 % of the contracts traded on the F&O Segment of NSE were in stock futures followed by index futures (37 %), contracts traded on stock options was 13 % while 2 % of the contracts were traded on stock options (Chart 6-2). 140 Chart 6-2 : Product wise Number of Contracts Traded during 2007-08 Product wise turnover on F&O Segment: During 2007-08, the traded value of index futures saw a year-on-year growth of 50.45 % and amounted to Rs.3,820,667 crore (US $ 955,884 million) in 2007-08 as against Rs.2,539,575 crore (US $ 582,605 million) during 2006-07. The traded value in stock futures saw growth of 97.04 % to Rs.7,548,563 crore (US $ 1,888,557 million) during 2007-08 over the turnover of Rs.3,830,972 crore (US $ 878,865 million) in 2006-07. The stock futures category saw the highest year on year growth in terms of turnover. Index options recorded turnover of Rs.1,362,111 crore (US $ 340,783 million) during 2007-08 , an increase of 72 % over the turnover of Rs.791,913 crore (US $ 181,673 million) during 2006-07. Stock options recorded turnover of Rs. 3,59,137 crore (US $ 89,852 million) during 2007-08 , an increase of 85 % over the turnover of Rs. 193,811 crore (US $ 4,4,462 million) during 2006-07. Stock futures accounted for 58.83 % of the total turnover during the 2007-08 fiscal followed by the trading in index futures at 28.21 % (Chart 6-3). At the end of March 2008, there were 228 stock futures available for trading. 141 Chart 6-3 : Product wise trading volumes during 2007-08 Futures and Options on Benchmark Indices The details of traded volumes on Index Futures and Options, having the underlying as the NSE indices is shown in the table below. Benchmark Indices Contracts & Trading Volume in F&O Segment of NSE (2007-08) Products Underlying No. of Contracts Turnover (Rs.cr) (US $ mn) 208,198,647 5,112,864 1,279,175 2,075,132 37,514 9,386 NIFTY S&P CNX Nifty BANKNIFTY BANK Nifty MINIFTY S&P CNX Nifty 229,889 21,304 5,330 JUNIOR CNX Nifty Junior 211,418 5,354 1,340 CNXIT CNX IT 20,158 5,045 1,262 CNX100 CNX 100 1,217,577 425 106 Nifty Midcap 50 Nifty Midcap 50 11,796 273 68 211,964,617 5,182,778 1,296,667 TOTAL During 2007-08, the S&P CNX Nifty Index accounted for more than 98 % of the turnover in Index futures and options. Around 15 crore futures contracts and 6 crore option contracts were traded on S&P CNX Nifty. The S&P CNX Nifty accounted for 98.92 % of the total contracts traded. 142 Sectorwise Stock Futures & Options Turnover Sectorwise turnover of stock futures and options is presented in the table below. Companies belonging to the manufacturing sector accounted for 25.68 % of total stock futures and options turnover on the Exchange followed by the stocks in petrochemicals sector (16.17 %) and the stocks in the infrastructure sector (15.76 %). Sectorwise Classification of turnover in F&O segment (2007-08) Sector Total Turnover (Rs. cr) ( US $ mn) Manufacturing 2,032,057.67 508,118.76 Petrochemicals 1,278,682.43 319,910.54 Infrastructure 1,521,507.32 380,662.33 Banks 784,305.99 196,223.67 Finance 706,161.38 176,672.85 Telecommunication 548,008.89 137,382.00 Information Technology 385,714.09 96,500.90 Engineering 185,067.53 46,301.61 Pharmaceuticals 169,654.04 42,445.34 Fast Moving Consuming Goods (FMCG) 113,100.15 28,296.26 Services 79,157.65 19,804.27 Media & Entertainment 65,231.89 16,320.21 Miscellaneous 39,050.60 9,769.98 7,907,699.63 1,978,408.71 TOTAL The stock futures and option turnover of top 5 companies in each sector for the period 2007-08 is presented in Table 6-5. Participant wise turnover on F&O Segment: During 2007-08, the retail investors accounted for 62.97 % of the turnover on the F&O segment of the Exchange. The gross turnover of the retail participants in the F&O Segment amounted to Rs.16,485,724 crore (US $ 4,124,524 million) during 2007-08 followed by the Proprietory segment with gross turnover of Rs.6,439,196 crore (US $ 1,611,007million) and the Institutional players with gross turnover of Rs. 3,256,034 crore (US $ 814,619million). The share of retail participants and institutional participants in the gross turnover was 24.59 % and 12.44 % respectively. The month wise details of the turnover for the participants in the F&O segment is presented in Table 6-6 and Chart 6-4. 143 Chart 6-4 : Participant wise F&O Turnover during 2007-08 FII Turnover on NSE: Out of the total institutional turnover of Rs.3,256,034 crore (US $ 814,619 million), FIIs accounted for a share of 76.89 % . The gross turnover of FIIs amounted to Rs.2,503,511 crore (US $ 626,348 million) as compared with Rs.1,286,211 crore (US $ 295,070 million) during 2006-07. The FII share in derivatives turnover rose to 9.56 % during 2007-08 from 8.74 % in the corresponding period last year (Table 6-7). Memberwise turnover on the Exchange: During 2007-08, there were 691 members which accounted for turnover of Rs.1,000 crore and more while 54 members registered turnover between Rs.500 crore and Rs.1,000 crore collectively in the futures and options category. In the month of October 2007, 400 trading members accounted for a turnover of Rs.1,000 crore and more, which was the highest number of members during the fiscal year 2007-08. The number of members in different turnover brackets in Futures and Options segment is presented 6-8a & b. Around 79 % of the trading members generated turnover of Rs.1,000 crore and more in futures trading. In the options segment, only 35 % of the trading members had a turnover of Rs.1,000 crore and more while 65 % trading members had turnover of less than Rs.1,000 crore. High Volume Members The turnover of the top ‘5’ and ‘10’ members accounted to Rs.1,591,692.26 crore (US $ 39,822.17 million) and Rs.2,614,923 crore (US $ 65,422.14 million) respectively in 2007-08 in the Futures segment. However, the turnover of the top ‘5’ and ‘10’ members 144 in the options segment accounted to Rs.395,886.91 crore (US $ 9,904.60 million) and Rs. 585,224.12 crore (US $ 14,641.58 million) respectively in the same period (Table 6-8 c). In the Futures segment, the share of top 5 and top ‘10’ members in turnover was 14% and 23% respectively , while in the options segment the share of top 5 and top 10 trading members in in turnover was 23% and 34 % respectively. Internet Trading At the end of March 2008, a total number of 305 members were permitted to allow investor’s web based access to NSE’s trading system. The members of the exchange in turn had registered 3,432,771 clients for web based access as on March 31, 2008. In the Futures and Options Segment the trading volume of Rs.2,417,165 crore (US $ 604,745 million) during the year 2007-08, constituting 18.47 % of total trading volume was routed and executed through the internet. The following table shows the growth of internet trading during the during 2006-07 and 2007-08. Internet Trading in the F&O Segment of the Exchange Year Enabled members * Registered clients * Internet Internet Trading Value Trading Value 2006-07 242 1,616,218 1,214,961 278,725 16.52 2007-08 305 3,432,771 2,417,165 604,745 18.47 (Rs.cr.) % of Total Trading Volume (US $ mn) * At the end of financial year. Traded Value Records Trading volumes in the F&O Segment during 2007-08 reached a high of Rs.110,564 crore (US $ 27,661.75 million) on October 18, 2007. The following table the traded value records achieved in the F&O Segment of the Exchange during 2007-08. Records Achieved in the F&O Segment during 2007-08 Product Traded Value (Rs. crores) Date Index Futures 34,583 18-Oct-07 Stock Futures 71,195 1-Nov-07 Index Options 11,804 18-Oct-07 Stock Options 3,746 18-Oct-07 1,10,564 18-Oct-07 Total F&O Traded Value Top 20 Futures and Option contracts During 2007-08, top 20 Futures and options contracts in terms of number of contracts traded have been presented in Table 6-9 and Table 6-10. 145 The top 20 Futures contracts accounted for 45.67 % of the total no. of contracts traded in the Futures segment while top 20 Option contracts accounted for 17.05 % of the total option contracts traded during 2007-08. Among the top 20 future contracts, Nifty August 2007 futures accounted for 11.04 % of the total no. of contracts while Nifty January 2008 futures and Nifty October 2007 contributed 9.48 % and 9.44 % respectively. Top 3 option contracts on the basis of turnover during 2007-08 were Nifty August 2007 PE 4300, Nifty August 2007 PE 4200 and Nifty May 2007 CE 4100. Together these three option contracts formed 17.41 % of the total turnover of top 20 option contracts. Number of Trades During 2007-08, maximum number of trades in the F&O Segment were witnessed in Stock Futures (75.75 %), Index futures (15.28 %), Index Options (5.13 %) and Stock Options (3.84 %) as mentioned in the table below. Number of Trades in F&O Segment (2007-08) Products Number of Trades (%) Stock Futures 75.75 Index Futures 15.28 Index Options 5.13 Stock Options 3.84 TOTAL 100 The details of month wise trades on Index futures & options and stock futures & options is presented in Table 6-11. Charges Brokerage Charges The maximum brokerage chargeable by a trading member in relation to trades effected in the contracts admitted to dealing on the F&O segment of NSE is fixed at 2.5% of the contract value in case of index futures and stock futures. In case of index options and stock options it is 2.5% of notional value of the contract [(Strike Price + Premium) × Quantity)], exclusive of statutory levies. Transaction Charges The transaction charges payable to the exchange by the trading member for the trades executed by him on the F&O segment are fixed at the rate of Rs. 2 per lakh of turnover (0.002%) subject to a minimum of Rs. 1,00,000 per year. However, for the transactions in the options sub-segment the transaction charges will be levied on the premium value at the rate of 0.05% (each side) instead of on the strike price as levied earlier. 146 No transaction charges will be payable in respect of trades done in Interest Rate Futures in the Futures and Options Segment of the Exchange with effect from 1st April 2007 till 31st March 2008. Every Trading Member participating in trading in such Interest Rate Futures at any time during the year 2007-08 shall be required to make a lump sum contribution of Rs.500/- for the whole year as a contribution to Investor Protection Fund. There would be no transaction charges levied on turnover above Rs.10 crores per trading member per day for trades done in NIFTY Junior and CNX 100 in the Futures sub-segment till September 30, 2007. Further, no transactions charge will be levied on trades done in NIFTY Junior and CNX 100 in the Options sub-segment till September 30, 2007. Securities Transaction Tax The trading members are also required to pay securities transaction tax (STT) on non-delivery transactions at the rate of 0.017 (payable by the seller) for derivatives w. e. f June 1, 2008. Taxable securities transaction Rate (%) Taxable Value Payable by Sale of an option in securities 0.017 Option premium Seller Sale of an option in securities, where option is exercised 0.125 Settlement Price Purchaser Sale of a futures in securities 0.017 Sale Price Seller Value of taxable securities transaction relating to an “option in securities” will be the option premium, in case of sale of an option in securities. Value of taxable securities transaction relating to an “option in securities” will be the settlement price, in case of sale of an option in securities, where option is exercised. Contribution to Investor Protection Fund (F&O Segment) The trading members contribute to Investor Protection Fund of F&O segment at the rate of Re.1/- per Rs. 100 crore of the traded value (each side) in case of Futures segment and Rs.1/- per Rs. 100 crore of the premium amount (each side) in case of Options segment. Clearing And Settlement Settlement Statistics All derivative contracts are currently cash settled. The participants discharge their obligations through payment/receipt of cash. During 2007-08, such cash settlement amounted to Rs. 1,565,192.40 crore (US $ 392,278.80 million). The settlement of futures and options involved Rs.1,459,668 crore (US $ 365,191 million) and Rs. 105,524.30 (US $ 26,401 million) respectively. The details of settlement in the futures and options segment is presented in Table 6-12. 147 Clearing and Settlement NSCCL undertakes clearing and settlement of all trades executed on the F&O segment of the Exchange. It also acts as legal counterparty to all trades on this segment and guarantees their financial settlement. The Clearing and Settlement process comprises of three main activities, viz., Clearing, Settlement and Risk Management. Clearing Mechanism The first step in clearing process is working out open positions and obligations of clearing (self-clearing/trading-cum-clearing/professional clearing) members (CMs). The open positions of a CM is arrived at by aggregating the open positions of all the trading members (TMs) and all custodial participants (CPs) clearing though him, in the contracts which they have traded. The open position of a TM is arrived at by summing up his proprietary open position and clients’ open positions, in the contracts which they have traded. While entering orders on the trading system, TMs identify orders as either proprietary or client. Proprietary positions are calculated on net basis for each contract and that of clients are arrived at by summing together net positions of each individual client. A TM’s open position is the sum of proprietary open position, client open long position and client open short position. Settlement Mechanism All futures and options contracts are cash settled i.e. through exchange of cash. The underlying for index futures/options of the Nifty index cannot be delivered. The settlement amount for a CM is netted across all their TMs/clients, across various settlements. For the purpose of settlement, all CMs are required to open a separate bank account with NSCCL designated clearing banks for F&O segment. Settlement of Futures Contracts on Index or Individual Securities Futures contracts have two types of settlements, the MTM settlement which happens on a continuous basis at the end of each day, and the final settlement which happens on the last trading day of the futures contract. • 148 MTM Settlement for Futures : The positions in futures contracts for each member are marked-to-market to the daily settlement price of the relevant futures contract at the end of each day. The CMs who have suffered a loss are required to pay the mark-to-market (MTM) loss amount in cash which is in turn passed on to the CMs who have made a MTM profit. This is known as daily mark-to-market settlement. CMs are responsible to collect and settle the daily MTM profits/losses incurred by the TMs and their clients clearing and settling through them. Similarly, TMs are responsible to collect / pay losses / profits from/to their clients by the next day. The pay-in and pay-out of the mark-to-market settlement are effected on the day following the trade day (T+1). After completion of daily settlement computation, all the open positions are reset to the daily settlement price. Such positions become the open positions for the next day. • Final Settlement for Futures : On the expiry day of the futures contracts, after the close of trading hours, NSCCL marks all positions of a CM to the final settlement price and the resulting profit/loss is settled in cash. Final settlement loss/profit amount is debited/credited to the relevant CM’s clearing bank account on the day following expiry day of the contract. • Settlement Prices for Futures : Daily settlement price on a trading day is the closing price of the respective futures contracts on such day. The closing price for a futures contract is currently calculated as the last half an hour weighted average price of the contract in the F&O Segment of NSE. Final settlement price is the closing price of the relevant underlying index/security in the Capital Market segment of NSE, on the last trading day of the Contract. The closing price of the underlying Index/security is currently its last half an hour weighted average value in the Capital Market Segment of NSE. Settlement of Options Contracts on Index or Individual Securities Options contracts have three types of settlements, daily premium settlement, interim exercise settlement in the case of option contracts on securities and final settlement. • Daily Premium Settlement for Options : Buyer of an option is obligated to pay the premium towards the options purchased by him. Similarly, the seller of an option is entitled to receive the premium for the option sold by him. The premium payable position and the premium receivable position are netted to compute the net premium payable or receivable amount for each client for each option contract. The CMs who have a premium payable position are required to pay the premium amount to NSCCL which in turn passed on to the members who have a premium receivable position. This is known as daily premium settlement. CMs are also responsible to collect and settle for the premium amounts from the TMs and their clients clearing and settling through them. The pay-in and pay-out of the premium settlement is on T+1 day (T=Trade day). The premium payable amount and premium receivable amount are directly credited/debited to the CMs clearing bank account. • Interim Exercise Settlement : Interim exercise settlement takes place only for option contracts on individual securities. An investor can exercise his in-the-money options at any time during trading hours, through his trading member. Interim exercise settlement is effected for such options at the close of the trading hours, on the day of exercise. Valid exercised option contracts are assigned to short positions in the option contract with the same series (i.e. having the same underlying, same expiry date and same strike price), on a random basis, at the client level. The CM who has exercised the option receives the actual profit or loss per unit of the option from the CM who has been assigned the option contract. 149 Exercise settlement value is debited/credited to the relevant CMs clearing bank account on T+1 day (T=exercise date). • Final Exercise Settlement : Final Exercise settlement is effected for option positions at in-the-money strike prices existing at the close of trading hours, on the expiration day of an option contract. All long positions at in-the-money strike prices are automatically assigned to short positions in option contracts with the same series, on a random basis. For index options contracts, exercise style is European style, while for options contracts on individual securities, exercise style is American style. Final Exercise is Automatic on expiry of the option contracts. Final settlement loss/profit amount for option contracts on Index is debited/ credited to the relevant CMs clearing bank account on T+1 day (T=expiry day). Final settlement loss/profit amount for option contracts on Individual Securities is debited/credited to the relevant CMs clearing bank account on T+1 day. Open positions, in option contracts, cease to exist after their expiration day. The pay-in / pay-out of funds for a CM on a day is the net amount across settlements and all TMs/clients, in F&O Segment. Settlement of Custodial Participant (CP) Deals NSCCL provides a facility to entities like institutions to execute trades through any TM, which may be cleared and settled by their own CM. Such entities are called Custodial Participants (CP). To avail of this facility, a CP is required to register with NSCCL through this CM, which allots them a unique CP code. The CP and the CM are required to enter into an agreement as per specified format. Thereafter, all trades executed by such CP through any TM are required to have the CP code in the relevant field on the F&O trading system at the time of order entry. Such trades executed on behalf of a CP are required to be confirmed by their CM (and not the CM of the TM through whom the trade was executed), within the time specified by NSE, using the confirmation facility provided by NSCCL to the CMs in the F&O segment. Till such time the trade is confirmed by the CM of the CP, the same is considered as a trade of the TM and the responsibility of settlement of such trade vests with the CM of the TM. Once the trades have been confirmed by the CM of the CP, they form part of the obligations of the CM of the CP and they shall be responsible for all obligations arising out of such trades including the payment of margins and settlement of obligations. Risk Management System NSCCL has developed a comprehensive risk containment mechanism for the F&O segment. The salient features of risk containment measures on the F&O segment are: 150 • The financial soundness of the members is the key to risk management. Therefore, the requirements for membership in terms of capital adequacy (net worth, security deposits) are quite stringent. These requirements have already been explained in Table 2-1 in Section 2 of this publication. • NSCCL charges an upfront initial margin for all the open positions of a Clearing Member (CM). It specifies the initial margin requirements for each futures/options contract on a daily basis. It follows VaR-based margining computed through SPAN. The CM in turn collects the initial margin from the trading members (TMs) and their respective clients. • The open positions of the members are marked to market based on contract settlement price for each contract at the end of the day. The difference is settled in cash on a T+1 basis. • NSCCL’s on-line position monitoring system monitors a CM’s open position on a real-time basis. Limits are set for each CM based on his effective deposits. The on-line position monitoring system generates alert messages whenever a CM reaches 70 %, 80 %, 90 % and a disablement message at 100 % of the limit. NSCCL monitors the CMs for Initial Margin violation, Exposure margin violation, while TMs are monitored for Initial Margin violation and position limit violation. • CMs are provided a trading terminal for the purpose of monitoring the open positions of all the TMs clearing and settling through him. A CM may set limits for a TM clearing and settling through him. NSCCL assists the CM to monitor the intra-day limits set up by a CM and whenever a TM exceed the limits, it stops that particular TM from further trading. • A member is alerted of his position to enable him to adjust his exposure or bring in additional capital. Margin violations result in disablement of trading facility for all TMs of a CM in case of a violation by the CM. • A separate Settlement Guarantee Fund for this segment has been created out of deposits of members. The most critical component of risk containment mechanism for F&O segment is the margining system and on-line position monitoring. The actual position monitoring and margining is carried out on-line through Parallel Risk Management System (PRISM) using SPAN(R)* (Standard Portfolio Analysis of Risk) system for the purpose of computation of on-line margins, based on the parameters defined by SEBI. NSE - SPAN The objective of NSE-SPAN is to identify overall risk in a portfolio of all futures and options contracts for each member. The system treats futures and options contracts uniformly, while at the same time recognising the unique exposures associated with options portfolios, like extremely deep out-of-the-money short positions and inter-month risk. * SPAN ® is a registered trademark of the Chicago Mercantile Exchange (CME) used here under license. 151 Its over-riding objective is to determine the largest loss that a portfolio might reasonably be expected to suffer from one day to the next day based on 99% VaR methodology. SPAN considers uniqueness of option portfolios. The following factors affect the value of an option: i. Underlying market price. ii. Volatility (variability) of underlying instrument, and iii. Time to expiration. iv. Interest rate v. Strike price As these factors change, the value of options maintained within a portfolio also changes. Thus, SPAN constructs scenarios of probable changes in underlying prices and volatilities in order to identify the largest loss a portfolio might suffer from one day to the next. It then sets the margin requirement to cover this one-day loss. The complex calculations (e.g. the pricing of options) in SPAN are executed by NSCCL. The results of these calculations are called risk arrays. Risk arrays, and other necessary data inputs for margin calculation are provided to members daily in a file called the SPAN Risk Parameter file. Members can apply the data contained in the Risk Parameter files, to their specific portfolios of futures and options contracts, to determine their SPAN margin requirements. Hence, members need not execute a complex option pricing calculations, which is performed by NSCCL. SPAN has the ability to estimate risk for combined futures and options portfolios, and also re-value the same under various scenarios of changing market conditions. NSCCL generates six risk parameters file for a day taking into account price and volatilities at various time intervals and are provided on the website of the Exchange. Margins The margining system for F&O segment is as below: • 152 Initial margin : Margin in the F&O segment is computed by NSCCL upto client level for open positions of CMs/TMs. These are required to be paid up-front on gross basis at individual client level for client positions and on net basis for proprietary positions. NSCCL collects initial margin for all the open positions of a CM based on the margins computed by NSE-SPAN. A CM is required to ensure collection of adequate initial margin from his TMs up-front. The TM is required to collect adequate initial margins up-front from his clients. • Premium Margin : In addition to Initial Margin, Premium Margin is charged at client level. This margin is required to be paid by a buyer of an option till the premium settlement is complete. • Assignment Margin for Options on Securities : Assignment margin is levied in addition to initial margin and premium margin. It is required to be paid on assigned positions of CMs towards interim and final exercise settlement obligations for option contracts on individual securities, till such obligations are fulfilled. The margin is charged on the net exercise settlement value payable by a CM towards interim and final exercise settlement. • Exposure Margins : Clearing members are subject to exposure margins in addition to initial margins. • Client Margins : NSCCL intimates all members of the margin liability of each of their client. Additionally members are also required to report details of margins collected from clients to NSCCL, which holds in trust client margin monies to the extent reported by the member as having been collected form their respective clients. Position Limits The market wide limit of open position (in terms of the number of underlying stock) on futures and option contracts on a particular underlying stock should be 20% of the number of shares held by non-promoters in the relevant underlying security i.e. free–float holding. This limit is applicable on all open positions in all futures and option contracts on a particular underlying stock. The enforcement of the market wide limits is done in the following manner: • At end of the day the exchange tests whether the market wide open interest for any scrip exceeds 95% of the market wide position limit for that scrip. In case it does so, the exchange takes note of open position of all client/TMs as at end of that day for that scrip and from next day onwards they can trade only to decrease their positions through offsetting positions. • At the end of each day during which the ban on fresh positions is in force for any scrip, the exchange tests whether any member or client has increased his existing positions or has created a new position in that scrip. If so, that client is subject to a penalty equal to a specified percentage (or basis points) of the increase in the position (in terms of notional value). The penalty is recovered before trading begins next day. • The normal trading in the scrip is resumed after the open outstanding position comes down to 80% or below of the market wide position limit. Further, the exchange also checks on a monthly basis, whether a stock has remained subject to the ban on new position for a significant part of the month consistently for three months. If so, then the exchange phases out derivative contracts on that underlying 153 Trading Member wise Position Limits Index Futures Contract: The trading member position limits in equity index futures contracts is higher of Rs.500 Crore or 15% of the total open interest in the market in equity index futures contracts. This limit would be applicable on open positions in all futures contracts on a particular underlying index. Index Options Contract: The trading member position limits in equity index option contracts is higher of Rs.500 Crore or 15% of the total open interest in the market in equity index option contracts. This limit would be applicable on open positions in all option contracts on a particular underlying index. Futures and Option contracts on individual securities : i. For stocks having applicable market-wise position limit (MWPL) of Rs. 500 crores or more, the combined futures and options position limit is 20% of applicable MWPL or Rs. 300 crores, whichever is lower and within which stock futures position cannot exceed 10% of applicable MWPL or Rs. 150 crores, whichever is lower. ii. For stocks having applicable market-wise position limit (MWPL) less than Rs. 500 crores, the combined futures and options position limit would be 20% of applicable MWPL and futures position cannot exceed 20% of applicable MWPL or Rs. 50 crore which ever is lower. The Clearing Corporation shall specify the trading member-wise position limits on the last trading day of the month which shall be reckoned for the purpose during the next month. Client level position limits The gross open position for each client, across all the derivative contracts on an underlying, should not exceed 1% of the free float market capitalization (in terms of number of shares) or 5% of the open interest in all derivative contracts in the same underlying stock (in terms of number of shares) whichever is higher. Disclosure for Client Positions in Index based contracts Any person or persons acting in concert who together own 15% or more of the open interest on a particular underlying index is required to report this fact to the Exchange/ Clearing Corporation. Failure to do so shall be treated as a violation and shall attract appropriate penal and disciplinary action in accordance with the Rules, Byelaws and Regulations of Clearing Corporation. Position limits for FII, Mutual Funds: FII & MF Position limits in Index options contracts : FII & MF position limit in all index options contracts on a particular underlying index is Rs.500 Crores or 15 % of 154 the total open interest of the market in index options, whichever is higher. This limit would be applicable on open positions in all options contracts on a particular underlying index. FII & MF Position limits in Index futures contracts : FII & MF position limit in all index futures contracts on a particular underlying index is Rs. 500 crores or 15 % of the total open interest of the market in index futures, whichever is higher. This limit would be applicable on open positions in all futures contracts on a particular underlying index. In addition to the above, FIIs & MF’s shall take exposure in equity index derivatives subject to the following limits: a) Short positions in index derivatives (short futures, short calls and long puts) not exceeding (in notional value) the FII’s / MF’s holding of stocks. b) Long positions in index derivatives (long futures, long calls and short puts) not exceeding (in notional value) the FII’s / MF’s holding of cash, government securities, T-Bills and similar instruments. The FIIs should report to the clearing members (custodian) the extent of the FIIs holding of stocks, cash, government securities, T-bills and similar instruments before the end of the day. The clearing member (custodian) in turn should report the same to the exchange. The exchange monitors the FII position limits. The position limit for sub-account is same as that of client level position limits. 155 Table 6-1 : List of Securities on which Futures & Options available at NSE along with their market lot (as on 20th June 2008) Sr. No Security Symbol Launch Date Market Lot 1 Ambuja Cements Ltd. AMBUJACEM 02-Jul-01 2062 2 Associated Cement Co. Ltd. ACC 02-Jul-01 188 3 Bharat Heavy Electricals Ltd. BHEL 02-Jul-01 75 4 Bharat Petroleum Corporation Ltd. BPCL 02-Jul-01 550 5 Cipla Ltd. CIPLA 02-Jul-01 1250 6 Dr. Reddy’S Laboratories Ltd. DRREDDY 02-Jul-01 400 7 Grasim Industries Ltd. GRASIM 02-Jul-01 88 8 Hindalco Industries Ltd. HINDALCO 02-Jul-01 1595 9 Hindustan Petroleum Corporation Ltd. HINDPETRO 02-Jul-01 1300 10 Hindustan Unilever Ltd HINDUNILVR 2-Jul-01 1000 11 Housing Development Finance Corporation Ltd. HDFC 02-Jul-01 75 12 Infosys Technologies Ltd. INFOSYSTCH 02-Jul-01 200 13 ITC Ltd. ITC 02-Jul-01 1125 14 Mahanagar Telephone Nigam Ltd. MTNL 02-Jul-01 1600 15 Mahindra & Mahindra Ltd. M&M 02-Jul-01 312 16 Ranbaxy Laboratories Ltd. RANBAXY 02-Jul-01 800 17 Reliance Industries Ltd. RELIANCE 02-Jul-01 75 18 Satyam Computer Services Ltd. SATYAMCOMP 02-Jul-01 600 19 State Bank Of India SBIN 02-Jul-01 132 20 Tata Power Co. Ltd. TATAPOWER 02-Jul-01 200 21 Tata Steel Ltd. TATASTEEL 2-Jul-01 382 22 Tata Tea Ltd. TATATEA 02-Jul-01 275 23 Bharat Electronics Ltd. BEL 31-Jan-03 138 24 HCL Technologies Ltd. HCLTECH 31-Jan-03 650 25 Hero Honda Motors Ltd. HEROHONDA 31-Jan-03 400 26 National Aluminium Co. Ltd. NATIONALUM 31-Jan-03 575 27 Oil & Natural Gas Corp. Ltd. ONGC 31-Jan-03 225 28 Polaris Software Lab Ltd. POLARIS 31-Jan-03 2800 29 Shipping Corporation Of India Ltd. SCI 31-Jan-03 800 30 Wipro Ltd. WIPRO 31-Jan-03 600 31 I-Flex Solutions Ltd. I-FLEX 30-May-03 150 32 Maruti Udyog Ltd. MARUTI 09-Jul-03 200 33 Andhra Bank ANDHRABANK 29-Aug-03 2300 34 Bank Of Baroda BANKBARODA 29-Aug-03 700 35 Bank Of India BANKINDIA 29-Aug-03 950 36 Canara Bank CANBK 29-Aug-03 800 37 HDFC Bank Ltd. HDFCBANK 29-Aug-03 200 Contd... 156 Contd... Table 6-1 : List of Securities on which Futures & Options available at NSE along with their market lot (as on 20th June 2008) Sr. No Security Symbol Launch Date Market Lot 38 Oriental Bank Of Commerce ORIENTBANK 29-Aug-03 1200 39 Punjab National Bank PNB 29-Aug-03 600 40 Union Bank Of India UNIONBANK 29-Aug-03 2100 41 Arvind Mills Ltd. ARVINDMILL 26-Sep-03 4300 42 GAIL (India) Ltd. GAIL 26-Sep-03 750 43 Indian Oil Corporation Ltd. IOC 26-Sep-03 600 44 Syndicate Bank SYNDIBANK 26-Sep-03 1900 45 Tata Motors Ltd. TATAMOTORS 26-Dec-03 412 46 Tata Consultancy Services Ltd TCS 25-Aug-04 250 47 National Thermal Power Corporation Ltd. NTPC 05-Nov-04 1625 48 Jet Airways (India) Ltd. JETAIRWAYS 14-Mar-05 400 49 Jaiprakash Hydro-Power Ltd. JPHYDRO 18-Apr-05 3125 50 ABB Ltd. ABB 20-Apr-05 250 51 Allahabad Bank ALBK 20-Apr-05 2450 52 Ashok Leyland Ltd ASHOKLEY 20-Apr-05 4775 53 Axis Bank Ltd. AXISBANK 20-Apr-05 225 54 Bharat Forge Co Ltd BHARATFORG 20-Apr-05 1000 55 Bharti Airtel Ltd BHARTIARTL 20-Apr-05 250 56 Century Textiles Ltd CENTURYTEX 20-Apr-05 212 57 Chennai Petroleum Corporation Ltd. CHENNPETRO 20-Apr-05 900 58 Cummins India Ltd CUMMINSIND 20-Apr-05 475 59 Dabur India Ltd. DABUR 20-Apr-05 2700 60 Glaxosmithkline Pharma Ltd. GLAXO 20-Apr-05 300 61 Indian Hotels Co. Ltd. INDHOTEL 20-Apr-05 1899 62 Indian Overseas Bank IOB 20-Apr-05 1475 63 Industrial Development Bank Of India Ltd. IDBI 20-Apr-05 1200 64 Jindal Steel & Power Ltd JINDALSTEL 20-Apr-05 160 65 LIC Housing Finance Ltd LICHSGFIN 20-Apr-05 850 66 Mangalore Refinery And Petrochemicals Ltd. MRPL 20-Apr-05 2225 67 Matrix Laboratories Ltd. MATRIXLABS 20-Apr-05 1250 68 Neyveli Lignite Corporation Ltd. NEYVELILIG 20-Apr-05 1475 69 Patni Computer Syst Ltd PATNI 20-Apr-05 650 70 Reliance Capital Ltd RELCAPITAL 20-Apr-05 138 71 Siemens Ltd SIEMENS 20-Apr-05 376 72 Sterlite Industries (I) Ltd STER 20-Apr-05 219 73 Sun Pharmaceuticals India Ltd. SUNPHARMA 20-Apr-05 225 Contd... 157 Contd... Table 6-1 : List of Securities on which Futures & Options available at NSE along with their market lot (as on 20th June 2008) Sr. No Security Symbol Launch Date Market Lot 74 Tata Chemicals Ltd TATACHEM 20-Apr-05 675 75 Vijaya Bank VIJAYABANK 20-Apr-05 3450 76 Wockhardt Ltd. WOCKPHARMA 20-Apr-05 600 77 Aurobindo Pharma Ltd. AUROPHARMA 12-May-05 700 78 Bongaigaon Refinery Ltd. BONGAIREFN 12-May-05 2250 79 CESC Ltd. CESC 12-May-05 550 80 Chambal Fertilizers Ltd. CHAMBLFERT 12-May-05 3450 81 Corporation Bank CORPBANK 12-May-05 600 82 Divi’S Laboratories Ltd. DIVISLAB 12-May-05 155 83 Essar Oil Ltd. ESSAROIL 12-May-05 1412 84 Federal Bank Ltd. FEDERALBNK 12-May-05 851 85 Gujarat Narmada Fertilizer Co. Ltd. GNFC 12-May-05 1475 86 Indusind Bank Ltd. INDUSINDBK 12-May-05 1925 87 J & K Bank Ltd. J&KBANK 12-May-05 300 88 Jindal Stainless Ltd. JSTAINLESS 12-May-05 1000 89 Maharashtra Seamless Ltd. MAHSEAMLES 12-May-05 600 90 Mphasis Ltd. MPHASIS 12-May-05 800 91 NDTV Ltd. NDTV 12-May-05 550 92 Orchid Chemicals Ltd. ORCHIDCHEM 12-May-05 1050 93 Titan Industries Ltd. TITAN 12-May-05 206 94 TVS Motor Company Ltd. TVSMOTOR 12-May-05 2950 95 Alok Industries Ltd. ALOKTEXT 27-May-05 3350 96 Escorts India Ltd. ESCORTS 27-May-05 2400 97 IFCI Ltd. IFCI 27-May-05 1970 98 India Cements Ltd. INDIACEM 27-May-05 725 99 IVRCL Infrastructure & Projects Ltd. IVRCLINFRA 27-May-05 500 100 Nagarjuna Fertiliser & Chemicals Ltd. NAGARFERT 27-May-05 3500 101 SRF Ltd. SRF 27-May-05 1500 102 Strides Arcolab Ltd. STAR 27-May-05 850 103 The Karnataka Bank Ltd. KTKBANK 27-May-05 1250 104 Infrastructure Development Finance Company Ltd. IDFC 12-Aug-05 1475 105 Suzlon Energy Ltd. SUZLON 19-Oct-05 1000 106 Punj Lloyd Ltd. PUNJLLOYD 06-Jan-06 750 107 Sun Tv Network Ltd. SUNTV 24-Apr-06 1000 108 Reliance Petroleum Ltd. RPL 11-May-06 1675 109 Gmr Infrastructure Ltd. GMRINFRA 21-Aug-06 1250 Contd... 158 Contd... Table 6-1 : List of Securities on which Futures & Options available at NSE along with their market lot (as on 20th June 2008) Sr. No Security Symbol Launch Date Market Lot 110 Reliance Communications Ltd. RCOM 15-Sep-06 350 111 Steel Authority Of India Ltd. SAIL 15-Sep-06 1350 112 Lanco Infratech Ltd. LITL 27-Nov-06 425 113 Parsvnath Developers Ltd. PARSVNATH 30-Nov-06 700 114 Sobha Developers Ltd. SOBHA 20-Dec-06 350 115 Aban Offshore Ltd. ABAN 29-Dec-06 50 116 Amtek Auto Ltd. AMTEKAUTO 29-Dec-06 600 117 Bajaj Hindustan Ltd. BAJAJHIND 29-Dec-06 950 118 Balrampur Chini Mills Ltd. BALRAMCHIN 29-Dec-06 2400 119 Bata India Ltd. BATAINDIA 29-Dec-06 1050 120 Bharat Earth Movers Ltd. BEML 29-Dec-06 125 121 Bombay Dyeing & Mfg. Co Ltd. BOMDYEING 29-Dec-06 300 122 Crompton Greaves Ltd. CROMPGREAV 29-Dec-06 500 123 Gateway Distriparks Ltd. GDL 29-Dec-06 2500 124 GTL Ltd. GTL 29-Dec-06 750 125 Gujarat Alkalies & Chem GUJALKALI 29-Dec-06 1400 126 Hindustan Construction Co HCC 29-Dec-06 1400 127 Jaiprakash Associates Ltd. JPASSOCIAT 29-Dec-06 750 128 Jsw Steel Ltd. JSWSTEEL 29-Dec-06 275 129 Kotak Mahindra Bank Ltd. KOTAKBANK 29-Dec-06 275 130 Lupin Ltd. LUPIN 29-Dec-06 700 131 Nagarjuna Constrn. Co. Ltd. NAGARCONST 29-Dec-06 1000 132 Praj Industries Ltd. PRAJIND 29-Dec-06 1100 133 Sesa Goa Ltd. SESAGOA 29-Dec-06 75 134 Shree Renuka Sugars Ltd. RENUKA 29-Dec-06 5000 135 Tata Teleserv(Maharastra) India Ltd TTML 29-Dec-06 5225 136 Triveni Engg. & Inds. Ltd. TRIVENI 29-Dec-06 1925 137 Ultratech Cement Ltd. ULTRACEMCO 29-Dec-06 400 138 United Spirits Ltd. MCDOWELL-N 29-Dec-06 125 139 Voltas Ltd. VOLTAS 29-Dec-06 900 140 Cairn India Limited CAIRN 09-Jan-07 1250 141 Power Finance Corporation Ltd. PFC 23-Feb-07 1200 142 Indian Bank INDIANB 01-Mar-07 1100 143 Idea Cellular Ltd. IDEA 09-Mar-07 2700 144 Aditya Birla Nuvo Limited ABIRLANUVO 14-May-07 200 145 Adlabs Films Ltd ADLABSFILM 14-May-07 225 Contd... 159 Contd... Table 6-1 : List of Securities on which Futures & Options available at NSE along with their market lot (as on 20th June 2008) Sr. No Security Symbol Launch Date Market Lot 146 Aia Engineering Limited AIAENG 14-May-07 200 147 Alstom Projects India Ltd APIL 14-May-07 200 148 Ansal Prop & Infra Ltd ANSALINFRA 14-May-07 1300 149 Birla Corporation Ltd BIRLAJUTE 14-May-07 850 150 Bombay Rayon Fashions Ltd BRFL 14-May-07 1150 151 Deccan Aviation Limited AIRDECCAN 14-May-07 850 152 Dena Bank DENABANK 14-May-07 2625 153 Educomp Solutions Ltd EDUCOMP 14-May-07 75 154 Everest Kanto Cylinder Ltd EKC 14-May-07 1000 155 Financial Technologies (I) Ltd FINANTECH 14-May-07 150 156 Hotel Leela Ventures Ltd HOTELEELA 14-May-07 3750 157 India Infoline Limited INDIAINFO 14-May-07 250 158 Kesoram Industries Ltd KESORAMIND 14-May-07 500 159 Mahindra Lifespace Developers Ltd MAHLIFE 14-May-07 350 160 Moser-Baer (I) Ltd MOSERBAER 14-May-07 825 161 Oswal Chem. & Fert. Ltd. BINDALAGRO 14-May-07 4950 162 Pantaloon Retail (I) Ltd PANTALOONR 14-May-07 500 163 Patel Engineering Ltd. PATELENG 14-May-07 250 164 Peninsula Land Limited PENINLAND 14-May-07 2750 165 Petronet Lng Limited PETRONET 14-May-07 2200 166 Rajesh Exports Ltd RAJESHEXPO 14-May-07 1650 167 Reliance Natural Resources Ltd. RNRL 14-May-07 1788 168 Rolta India Ltd ROLTA 14-May-07 900 169 Shree Cements Ltd SHREECEM 14-May-07 200 170 Sterling Biotech Ltd STERLINBIO 14-May-07 2500 171 Sterlite Technologies Ltd STRTECH 14-May-07 1050 172 Unitech Ltd UNITECH 14-May-07 900 173 United Phosphorous Ltd UNIPHOS 14-May-07 700 174 HTMT Global Solutions Ltd. HTMTGLOBAL 19-Jun-07 500 175 DLF Limited DLF 05-Jul-07 400 176 Housing Development And Infrastructure Ltd. HDIL 24-Jul-07 400 177 Omaxe Ltd. OMAXE 09-Aug-07 650 178 IVR Prime Urban Developers Ltd. IVRPRIME 16-Aug-07 800 179 Central Bank Of India CENTRALBK 21-Aug-07 2000 180 Puravankara Projects Ltd. PURVA 30-Aug-07 500 181 3I Infotech Ltd. 3IINFOTECH 06-Sep-07 2700 Contd... 160 Contd... Table 6-1 : List of Securities on which Futures & Options available at NSE along with their market lot (as on 20th June 2008) Sr. No Security Symbol Launch Date Market Lot 182 Aptech Limited APTECHT 06-Sep-07 650 183 Bhushan Steel & Strips Lt BHUSANSTL 06-Sep-07 250 184 Biocon Limited. BIOCON 06-Sep-07 450 185 CMC Ltd. CMC 06-Sep-07 200 186 Havells India Limited HAVELLS 06-Sep-07 400 187 Lakshmi Machines Ltd LAXMIMACH 06-Sep-07 100 188 NIIT Technologies Ltd. NIITTECH 06-Sep-07 1200 189 Nucleus Software Exports NUCLEUS 06-Sep-07 550 190 Sasken Commu Techno Ltd SASKEN 06-Sep-07 1100 191 Tech Mahindra Limited TECHM 06-Sep-07 200 192 Tulip It Services Ltd TULIP 06-Sep-07 250 193 Welspun Guj St. Ro. Ltd. WELGUJ 06-Sep-07 800 194 Yes Bank Limited YESBANK 06-Sep-07 1100 195 Power Grid Corporation Of India Ltd. POWERGRID 05-Oct-07 1925 196 Develop Credit Bank Ltd DCB 30-Nov-07 1400 197 Gitanjali Gems Limited GITANJALI 30-Nov-07 500 198 Great Offshore Ltd GTOFFSHORE 30-Nov-07 250 199 Hindustan Oil Exploration HINDOILEXP 30-Nov-07 1600 200 Hindustan Zinc Limited HINDZINC 30-Nov-07 250 201 IBN 18 Broadcast Limited IBN18 30-Nov-07 1250 202 Info Edge (I) Ltd NAUKRI 30-Nov-07 150 203 Ispat Industries Limited ISPATIND 30-Nov-07 4150 204 Jindal Saw Limited JINDALSAW 30-Nov-07 250 205 Kpit Cummins Infosystems KPIT 30-Nov-07 1650 206 Motor Industries Co Ltd BOSCHLTD 30-Nov-07 50 207 Network 18 Fincap Ltd. NETWORK18 30-Nov-07 500 208 NIIT Limited NIITLTD 30-Nov-07 1450 209 Redington (India) Ltd. REDINGTON 30-Nov-07 500 210 Wire & Wireless (I) Ltd. WWIL 30-Nov-07 3150 211 Edelweiss Capital Ltd EDELWEISS 13-Dec-07 250 212 Brigade Enterprises Ltd. BRIGADE 31-Dec-07 550 213 Reliance Power Ltd. RPOWER 11-Feb-08 500 214 IRB Infrastructure Developers Ltd IRB 25-Feb-08 1100 215 Rural Electrification Corporation Ltd. RECLTD 12-Mar-08 1950 216 Ballarpur Industries Limited BALLARPUR 31-Mar-08 7300 217 Bajaj Auto Limited BAJAJ-AUTO 26-May-08 200 161 Table 6-1 : List of Securities on which Futures & Options available at NSE along with their market lot (as on 20th June 2008) Sr. No Security Symbol Launch Date Market Lot Remarks 218 ICICI Bank Ltd. ICICIBANK 31-Jan-03 175 ICICI introduced on 02-07-01 underwent restructuring & got reintroduced as ICICIBANK on 31-01-03 219 Reliance Infrastructure Ltd. RELINFRA 12-Mar-04 138 BSES introduced on 02.07.01 underwent restructuring & was reintroduced as REL on 12-Mar-04 (Symbol now RELINFRA) 220 Tata Communications Ltd TATACOMM 20-Apr-05 525 VSNL introduced on 02.07.01 underwent restructuring and got reintroduced as VSNL on 20.04.05 (symbol now TATACOMM) 221 Larsen & Toubro Ltd. LT 15-Sep-06 50 L&T introduced on 02.07.01 underwent restructuring & got reintroduced as LT on 15-09-06 222 The Great Eastern Shipping Co. Ltd. GESHIP 27-Nov-06 600 GESHIPPING introduced on 20.04.05 underwent restructuring & got reintroduced as GESHIP on 27-11-06 223 Zee Entertainment Enterprises Ltd. ZEEL 12-Feb-07 700 ZEETELE introduced on 15-Sep-06 underwent restructuring twice in 19-12-06 and 12-02-07 (Symbol now ZEEL) 224 Hinduja Ventures Ltd. HINDUJAVEN 24-Apr-07 500 HTMT introduced on 29.12.06 underwent restructing & got reintroduced as HINDUJATMT on 24-04-07. (Symbol now HINDUJAVEN) 225 S Kumars Nationwide Ltd SKUMARSYNF 14-May-07 1900 SKUMARSYNF introduced on 14.05.07 underwent restructuring & was reintroduced on 24.04.08 226 Colgate Palmolive Ltd COLPAL 17-Dec-07 550 COLGATE introduced on 20.04.05 underwent restructuring & got reintroduced as COLPAL on 17-12-07 227 Piramal Healthcare Ltd PIRHEALTH 15-Feb-08 750 NICOLASPIR introduced on 20.04.05 underwent restructuring & was reintroduced on 15.02.08 (Symbol now PIRHEALTH) 228 Bajaj Holdings & Investment Ltd. BAJAJHLDNG 14-Mar-08 250 BAJAJAUTO introduced on 02.07.01 underwent restructuring & got reintroduced as BAJAJAHLDNG on 14.03.08 Table 6-1 (b) List of Indices on which Futures & Options are available along with their market lot Sr. No 162 Security Symbol Market Lot 1 S&P CNX Nifty NIFTY 50 2 S&P CNX Nifty MINIFTY 20 3 CNX Nifty Junior JUNIOR 25 4 BANK Nifty BANKNIFTY 25 5 CNX 100 CNX100 50 6 CNX IT CNXIT 50 7 Nifty Midcap 50 NFTYMCAP50 75 163 Trading Cycle Expiration Period Last Trading/Expiration Day Price Step Contract Size Style of Option Underlying Index Security Description Particulars OPTIDX Index Options European Long Term Index Options ------------------------------------OPTIDX-------------------------------------- Mini Index Options NA ---------------------------------------European---------------------------------- ------------------------------------------------S&P CNX Nifty------------------------------------------------------- FUTIDX Mini Index Futures A maximum of three month trading cycle • Near month (One) • Next month (Two) and • Far month (Three). New contract is introduced on the next trading day following the expiry of near month contract 3 months Atleast 3 years Contd... • 3 near month expiries • Three following quarterly expiries of the cycle (March, June, Sept & Dec) • After these 5 following half yearly expiries of cycle June / Dec )” Last Thursday of the expiry month or the preceding trading day, if last Thursday is a trading holiday Rs. 0.05 As specified by SEBI, currently minimum Rs.2 lakhs at As specified by SEBI currently minimum Rs.1 lakh at the A s s p e c i f i e d b y S E B I the time of introduction time of introduction currently minimum Rs.2 lakhs at the time of introduction NA S&P CNX Nifty/ CNX Nifty Junior/ CNX 100/ Bank Nifty/ CNX IT/Nifty Midcap 50 FUTIDX Index Futures Table 6-2 : Contract Specification for Index Futures and Options 164 Particulars NA Strike Price Interval (in Rs.) Long Term Index Options Closing value of the index C l o s i n g v a l u e o f t h e Closing value of underlying on expiry day underlying index on expiry Index on the last trading day day of the futures contract. Closing price of futures contract on the trading day N.A Closing value of underlying Index on the last trading day of the options contract. N.A Depending on Index level Depending on Index level as per table 6-2(b)(1) and expiry month as per table 6-2(b)(2) Depending on Index level Depending on Index level as per table 6-2(a)(1) and expiry month as per table 6-2(a)(2) Up-front initial margin on daily basis In cash on T+1 basis NA NA Final Settlement Price N.A Mini Index Options No price band however No Price band however Operating range has been kept Operating range has been as: Upper range - 99 % of the base price or Rs. 20 which kept which is 10 % of the ever is higher. Lower range - 0.05 (tick size) base price Mini Index Futures Closing price of futures contract on the trading day Last trading day Depending on Index level as per table 6-2(b)(1) Depending on Index level as per table 6-2(a)(1) No Price band however Operating range has been kept as: Upper range - 99 % of the base price or Rs. 20 which ever is higher. Lower range - 0.05 (tick size) Index Options Daily Settlement Price Margins Settlement Day Settlement NA No price band however Operating range has been kept which is 10 % of the base price Index Futures Table 6-2 : Contract Specification for Index Futures and Options No. of Strike Prices Price Bands Contd... Table 6-2 (a) : Number of strikes for Indices Index Level First, second and third month expiries (1) 3 quarterly expiries (2)* 5 half yearly expiries (2)* Upto 2000 4-1-4 6-1-6 4-1-4 >2000 upto 4000 4-1-4 6-1-6 4-1-4 >4000 upto 6000 5-1-5 8-1-8 5-1-5 >6000 6-1-6 8-1-8 6-1-6 * At present only for S & P CNX Nifty. Table 6-2 (b) : Strike price intervals for Long Term Nifty Index Options Index Level First, second and third month expiries (1) 3 quarterly expiries (2) 5 half yearly expiries (2) upto 2000 25 25 50 >2000 upto 4000 50 50 100 >4000 upto 6000 50 50 100 >6000 50 50 100 165 Table 6-3 : Contract Specification for Stock Futures and Options Particulars Stock Futures Security Description Stock Options FUTSTK Underlying OPTSTK Individual Securities Style of Option NA Contract Size American As specified by SEBI; Currently minimum Rs.2 lakhs at the time of introduction Price Steps Rs. 0.05 Expiration Period 3 months Trading Cycle A maximum of three month trading cycle - the near month (one), the next month (two) and the far month (three). New contract is introduced on the next trading day following the expiry of near month contract Last Trading/Expiration Day Last Thursday of the expiry month or the preceding trading day, if last Thursday is a trading holiday Price Bands No price bands however Operating No price band however Operating range has been kept which is 20% range has been kept which is: of the base price. Upper range - 99% of the base price or Rs. 20 which ever is higher, Lower range - 0.05 (tick size) No. of strike Prices NA 7 strikes (3 ITM, 1 ATM and 3 OTM) for every option type (i.e call and put) Strike Price Interval (in Rs.) NA Depending on underlying price level as per table 6-3 (1) Settlement In cash on T+1 basis Settlement Day Last trading day Margins Up-front initial margin on daily basis Daily Settlement Price Closing price of the futures Closing price of underlying on the contract on the trading day day of exercise Final Settlement Price Closing value of security on Closing price of security on expiry day exercise day or expiry day Table 6-3 (1) : Strike interval Underlying price 0 - 50 2.5 50 - 250 5 250 - 500 10 500 - 1000 20 1000 - 2500 30 > 2500 50 Note: ITM: In-the-Money ATM: At-the-Money OTM-Out-of-the-Money 166 Strike price interval 167 99,514 122,663 152,375 Jun-02 Jul-02 Aug-02 94,312 May-02 120,662 Feb-02 73,635 122,182 Jan-02 Apr-02 109,303 Dec-01 94,229 121,697 Nov-01 1,025,588 131,467 Oct-01 2001-02 154,298 Sep-01 Mar-02 60,644 26,805 Jun-01 60,979 10,048 May-01 Aug-01 13,274 Apr-01 Jul-01 90,580 Contracts Traded 2,978 2,513 2,123 2,022 1,656 21,482 2,185 2,747 2,660 2,339 2,484 2,485 2,857 1,305 1,309 590 230 292 2,365 (Rs. cr.) Trading Volume Index Futures Jun-00 to Mar-01 Month/ Year 726,310 789,290 616,461 605,284 552,727 1,957,856 503,415 528,947 489,793 309,755 125,946 – – – – – – – – No. of Contracts Traded – – – – – – – – 17,881 21,205 16,178 15,981 15,065 51,516 13,989 13,939 13,261 7,515 2,811 (Rs. cr) Trading Value Stock Futures 15,967 16,637 10,272 13,070 11,183 113,974 10,446 13,941 11,285 12,890 14,994 16,787 12,188 7,598 8,613 5,232 – – – No. of Contracts Traded Call 318 350 223 294 260 2,466 249 323 253 287 310 326 243 165 191 119 – – – (Rs. cr) Notional Trading Volume Put 10,124 7,688 7,805 7,719 5,389 61,926 4,773 4,749 3,933 5,513 7,189 12,324 8,262 5,533 6,221 3,429 – – – No. of Contracts Traded Index Options 200 162 166 169 122 1,300 111 107 85 118 145 233 169 119 135 77 – – – (Rs. cr) Notional Trading Volume 147,646 154,089 123,493 126,867 121,225 768,159 101,708 133,630 133,947 84,134 112,499 85,844 64,344 38,971 13,082 – – – – No. of Contracts Traded Call 3,837 4,341 3,325 3,490 3,400 18,780 2,863 3,635 3,836 1,986 2,372 1,632 1,322 844 290 – – – – (Rs. cr) Notional Trading Volume Put 65,630 65,530 48,919 57,984 40,443 269,370 37,387 33,055 44,498 28,425 31,484 43,787 33,480 12,508 4,746 – – – – No. of Contracts Traded Stock Options 1,725 1,837 1,317 1,643 1,170 6,383 1,094 864 1,253 674 638 801 690 263 106 – – – – (Rs.cr) Notional Trading Volume 1,118,052 1,155,897 906,464 905,236 804,602 4,196,873 751,958 834,984 805,638 550,020 413,809 290,209 272,572 125,589 93,306 35,466 10,048 13,274 90,580 No. of Contracts Traded Table 6-4 : Business Growth of Futures & Options Market Segment 26,938 30,407 23,332 23,600 21,674 101,927 20,491 21,616 21,348 12,919 8,760 5,477 5,281 2,696 2,031 785 230 292 2,365 (Rs.cr) Average Daily Trading Volume 5,671 6,401 4,912 4,968 4,563 20,887 4,199 4,429 4,375 2,647 1,795 1,122 1,082 553 416 161 47 60 555 1,283 1,322 1,167 1,073 985 413 1,078 1,081 928 680 438 261 264 128 92 37 10 15 12 Contd... 270.06 278.32 245.60 225.84 207.40 8.46 22.09 22.15 19.02 13.93 8.98 5.34 5.41 2.63 1.89 0.77 0.21 0.31 2.49 (US $ mn) (Rs.cr) (US $ mn) Trading Volume Total 168 990,731 1,676,358 1,866,407 1,557,909 1,875,468 2,611,649 2,339,950 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 439,151 641,002 Jul-03 325,784 Jun-03 362,157 May-03 237803 Feb-03 Apr-03 258,955 Jan-03 325,299 277,403 Dec-02 2,126,763 175,567 Nov-02 2002-03 164,934 Oct-02 Mar-03 144,303 Contracts Traded 86,359 99,878 65,378 49,486 56,435 45,861 24,989 14,743 9,348 6,283 6,994 43,951 6,624 504,032 5,557 5,958 3,500 3,145 2,836 (Rs. cr.) Trading Volume Index Futures Sep-02 Month/ Year Contd... 2,868,432 3,791,114 3,334,468 2,761,725 3,469,563 3,122,432 2,620,897 2,282,426 1,694,505 1,354,581 1,291,493 10,676,843 1,138,980 1,198,564 1,304,122 1,217,873 970,251 856,930 700,051 No. of Contracts Traded 161,464 195,788 150,933 122,463 146,377 113,874 91,288 70,515 46,505 32,752 29,749 286,532 29,770 32,445 38,299 35,532 25,463 21,213 17,501 (Rs. cr) Trading Value Stock Futures 98,938 105,431 87,683 71,696 89,794 110,014 96,875 87,149 55,874 53,198 54,890 269,674 53,788 26,501 26,376 30,261 25,413 23,628 16,578 No. of Contracts Traded Call 3,754 4,120 3,100 2,313 2,761 3,088 2,477 2,040 1,206 1,039 1,091 5,670 1,116 571 577 660 509 459 332 (Rs. cr) Notional Trading Volume Put 74,933 72,869 68,394 48,281 60,330 69,920 54,649 50,669 34,895 30,109 31,107 172,567 35,739 17,681 16,805 19,973 17,191 13,910 12,543 No. of Contracts Traded Index Options 2,791 2,793 2,355 1,534 1,813 1,925 1,362 1,163 735 578 616 3,577 740 375 363 427 336 267 251 (Rs. cr) Notional Trading Volume 238,517 327,135 294,596 269,032 405,706 401,660 434,526 495,853 383,603 332,529 297,270 2,456,501 255,658 268,156 322,876 309,573 261,600 214,027 151,291 No. of Contracts Traded Call 13,873 17,804 14,095 13,314 18,558 16,378 16,028 16,180 11,303 8,861 7,471 69,644 7,163 7,644 10,174 9,552 7,106 5,595 4,016 (Rs. cr) Notional Trading Volume Put 75,771 67,825 63,426 61,295 97,405 101,555 116,370 162,501 132,498 155,849 168,553 1,066,561 140,540 114,512 132,021 111,756 104,529 104,659 80,038 No. of Contracts Traded Stock Options 4,598 3,680 3,046 3,061 4,420 4,025 4,219 5,189 3,739 3,911 4,098 30,489 3,919 3,319 4,179 3,491 2,922 2,761 2,205 (Rs.cr) Notional Trading Volume 5,696,541 6,976,023 5,724,035 4,769,938 5,989,205 5,481,939 4,314,098 3,720,563 2,750,294 2,252,050 2,205,470 16,768,909 1,950,004 1,863,217 2,061,155 1,966,839 1,554,551 1,378,088 1,104,804 No. of Contracts Traded Table 6-4 : Business Growth of Futures & Options Market Segment 272,839 324,063 238,907 192,171 230,365 185,151 140,363 109,849 73,017 53,423 50,020 439,864 49,332 49,395 59,149 55,620 39,836 33,441 27,140 (Rs.cr) Average Daily Trading Volume 62,881 74,686 55,060 44,289 53,092 42,671 32,349 25,317 16,828 12,312 11,528 92,603 10,386 10,399 12,452 11,709 8,387 7,040 5,714 14,360 15,432 10,859 9,609 10,016 8,416 7,018 4,776 3,477 2,544 2,501 1,752 2,467 2,600 2,572 2,649 2,097 1,592 1,357 Contd... 3,309.51 3,556.48 2,502.74 2,214.47 2,308.33 1,939.61 1,617.45 1,100.73 801.34 586.30 576.40 368.94 519.28 547.31 541.41 557.60 441.40 335.25 285.69 (US $ mn) (Rs.cr) (US $ mn) Trading Volume Total 169 21,635,449 3,332,361 3,545,971 3,626,288 3,451,684 2004-05 Apr-05 May-05 Jun-05 Jul-05 1,931,290 Jan-05 1,729,103 1,447,464 Dec-04 2,076,975 1,023,111 Nov-04 Mar-05 1,320,173 Oct-04 Feb-05 1,803,263 1,463,682 Sep-04 Jul-04 Aug-04 2,152,644 1,971,231 Jun-04 2,164,528 2,551,985 May-04 17,191,668 2003-04 Apr-04 2,505,102 Contracts Traded 77,399 77,218 70,465 65,598 772,174 86,398 71,546 76,151 58,333 38,277 47,191 49,500 57,926 61,125 64,017 82,149 79,560 554,462 88,710 (Rs. cr.) Trading Volume Index Futures Mar-04 Month/ Year Contd... 6,537,794 5,783,428 4,466,404 4,225,623 47,043,066 4,708,687 4,167,787 4,551,564 5,238,498 3,600,135 3,660,047 3,768,178 3,577,911 3,492,774 3,125,283 3,322,799 3,829,403 32,368,842 3,777,206 No. of Contracts Traded 199,638 163,096 112,882 106,129 1,484,067 175,363 151,743 159,564 179,387 113,525 111,695 107,123 99,591 94,009 78,392 92,628 121,048 1,305,949 144,243 (Rs. cr) Trading Value Stock Futures 358,867 421,480 382,530 361,544 1,870,647 213,632 168,594 176,682 130,557 131,218 138,099 124,547 127,779 189,179 158,784 196,198 115,378 1,043,894 132,352 No. of Contracts Traded Call 8,130 9,092 7,726 7,295 69,373 9,074 7,128 7,188 5,355 4,979 5,030 4,282 4,192 6,059 4,914 6,824 4,347 31,801 4,811 (Rs. cr) Notional Trading Volume Put 389,154 331,753 353,975 295,020 1,422,911 211,385 144,627 143,416 108,650 102,223 97,628 93,808 98,618 124,352 117,041 100,430 80,733 688,520 92,364 No. of Contracts Traded Index Options 8,642 7,041 7,056 5,981 52,581 8,918 5,998 5,786 4,356 3,814 3,500 3,164 3,193 3,856 3,559 3,469 2,968 21,022 3,357 (Rs. cr) Notional Trading Volume 376,129 385,640 288,137 307,994 3,946,979 369,895 367,707 362,345 481,349 363,158 357,625 365,187 284,013 262,755 193,687 246,630 292,628 4,248,149 367,722 No. of Contracts Traded Call 11,735 11,677 7,642 8,203 132,066 14,496 13,890 13,502 16,952 11,971 11,684 10,763 8,499 7,614 5,339 7,717 9,640 168,174 14,309 (Rs. cr) Notional Trading Volume Put 84,989 104,478 100,602 105,955 1,098,133 113,590 83,843 81,618 108,951 94,810 93,342 116,304 86,919 94,222 75,380 63,156 85,998 1,334,922 131,874 No. of Contracts Traded Stock Options 2,623 3,122 2,609 2,764 36,792 4,608 3,247 3,100 3,845 3,239 3,124 3,547 2,604 2,682 2,084 1,976 2,736 49,038 5,051 (Rs.cr) Notional Trading Volume 11,198,617 10,653,067 9,137,619 8,628,497 77,017,185 7,694,164 6,661,661 7,246,915 7,515,469 5,314,655 5,666,914 5,931,706 5,978,503 6,134,513 5,822,819 6,481,198 6,568,668 56,886,776 7,006,620 No. of Contracts Traded Table 6-4 : Business Growth of Futures & Options Market Segment 308,166 271,246 208,380 195,969 2,547,053 298,857 253,551 265,290 268,227 175,805 182,224 178,380 176,006 175,345 158,306 194,763 220,299 2,130,649 260,481 (Rs.cr) Average Daily Trading Volume 69,080 60,804 46,712 43,929 582,183 68,310 57,955 60,638 61,309 40,184 41,651 40,772 40,230 40,079 36,184 44,517 50,354 491,046 60,033 15,408 11,793 9,472 9,798 10,067 13,584 12,678 13,963 11,662 8,790 9,111 8,108 8,000 7,970 7,196 9,274 11,015 8,388 11,840 Contd... 3,454.00 2,643.65 2,123.25 2,196.47 2,301.12 3,105.01 2,897.73 3,191.46 2,665.61 2,009.19 2,082.56 1,853.30 1,828.63 1,821.77 1,644.73 2,119.87 2,517.71 1,933.25 2,728.75 (US $ mn) (Rs.cr) (US $ mn) Trading Volume Total 170 173,334 177,518 6,103,483 5,250,973 5,081,055 4,556,984 4,644,632 5,798,118 4,716,781 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 257,328 190,592 225,288 180,781 166,974 186,758 243,571 7,666,525 204,238 1,513,791 8,437,382 5,847,035 Apr-06 Jun-06 58,537,886 2005-06 192,035 156,359 166,127 183,293 135,478 170,100 118,905 100,813 (Rs. cr.) Trading Volume May-06 5,186,835 5,952,206 5,760,999 Jan-06 Mar-06 6,613,032 Dec-05 Feb-06 6,849,732 5,238,175 Nov-05 4,701,774 Sep-05 Oct-05 4,278,829 Contracts Traded Index Futures Aug-05 Month/ Year Contd... 9,364,321 9,261,984 10,539,507 7,929,018 8,644,137 7,530,310 5,614,044 6,241,247 9,082,184 10,021,529 79,586,852 10,844,400 7,443,178 7,134,199 6,252,736 6,252,736 6,526,919 6,995,169 7,124,266 No. of Contracts Traded 350,817 347,747 388,800 272,516 275,430 229,182 222,538 243,954 409,403 460,554 2,791,721 473,251 288,715 265,042 280,283 216,526 214,398 236,945 234,817 (Rs. cr) Trading Value Stock Futures 738,931 961,242 701,372 622,933 762,499 807,014 898,796 1,118,170 929,908 773,632 6,413,467 683,979 506,714 663,684 775,216 595,900 695,311 523,948 444,294 No. of Contracts Traded Call 30,400 38,303 27,568 23,195 27,130 27,276 28,378 34,158 33,096 27,524 168,632 22,407 15,526 19,392 21,862 15,582 17,632 13,370 10,620 (Rs. cr) Notional Trading Volume Put 902,654 1,060,753 845,270 729,855 762,222 789,241 851,659 793,228 725,769 715,472 6,521,649 772,372 559,682 666,782 764,964 604,657 715,208 583,081 485,001 No. of Contracts Traded Index Options 36,245 41,416 32,450 26,549 26,517 25,830 26,334 23,814 25,694 24,897 169,837 24,690 16,805 19,129 21,125 15,491 17,954 14,550 11,372 (Rs. cr) Notional Trading Volume 438,297 369,743 463,369 400,618 428,237 358,753 247,562 206,960 317,774 393,306 4,165,996 444,604 326,233 365,493 361,268 287,136 309,120 363,872 350,370 No. of Contracts Traded Call 16,705 13,989 16,886 13,873 13,791 11,273 10,279 8,767 14,910 17,627 143,752 18,576 12,350 14,265 13,630 10,069 10,753 12,917 11,935 (Rs. cr) Notional Trading Volume Put 71,462 64,886 90,369 74,318 79,316 87,767 69,314 57,527 41,904 67,179 1,074,780 92,657 75,740 90,562 95,261 77,052 80,134 85,897 81,453 No. of Contracts Traded Stock Options 2,697 2,419 3,343 2,553 2,560 2,772 2,968 2,541 1,971 2,998 36,518 3,890 2,918 3,629 3,614 2,708 2,822 3,069 2,750 (Rs.cr) Notional Trading Volume 16,232,446 17,516,726 17,284,519 14,313,726 15,757,466 14,824,058 13,784,858 16,854,514 18,764,064 17,818,153 156,300,630 18,790,218 14,098,382 14,681,719 14,862,477 13,055,656 15,176,424 13,253,741 12,764,213 No. of Contracts Traded Table 6-4 : Business Growth of Futures & Options Market Segment 627,456 669,162 649,829 505,658 522,946 469,666 477,255 556,804 742,401 737,839 4,824,250 734,849 492,672 487,584 523,807 395,853 433,660 399,756 372,307 (Rs.cr) Average Daily Trading Volume 143,945 153,513 149,077 116,003 119,969 107,746 109,487 127,737 170,315 169,268 1,081,428 164,727 110,440 109,299 117,419 88,736 97,211 89,611 83,458 31,373 33,458 29,538 25,283 24,902 21,348 22,726 24,209 33,746 40,991 19,220 33,402 25,930 24,379 23,809 19,793 21,683 19,036 16,923 Contd... 7,197.25 7,675.64 6,776.25 5,800.16 5,712.83 4,897.55 5,213.68 5,553.77 7,741.57 9,403.77 4,308.48 7,487.61 5,812.63 5,464.96 5,337.24 4,436.82 4,860.57 4,267.21 3,793.56 (US $ mn) (Rs.cr) (US $ mn) Trading Volume Total 171 12,668,280 9,609,209 16,148,838 14,064,211 15,692,532 156,598,579 Dec-07 Jan-08 Feb-08 Mar-08 2007-08 17,052,495 Aug-07 Nov-07 256,470 10,605,483 Jul-07 10,904,564 11,407,865 Jun-07 17,842,671 10,219,149 May-07 Sep-07 10,383,282 Apr-07 Oct-07 363,988 81,487,424 2006-07 3,820,667 359,970 352,226 450,657 287,357 365,564 485,079 238,577 240,797 214,523 205,458 2,539,575 290,957 15,648,805 Mar-07 242,237 (Rs. cr.) Trading Volume 7,735,651 Contracts Traded Index Futures Feb-07 Month/ Year Contd... 203,587,952 16,126,212 14,491,601 23,736,610 16,565,236 18,033,294 24,008,470 17,653,654 15,798,351 18,888,008 14,287,983 13,350,667 10,647,866 104,955,401 10,873,236 9,853,884 No. of Contracts Traded 7,548,563 330,390 421,838 851,213 849,997 989,113 1,120,263 670,968 519,385 647,356 451,314 400,096 296,629 3,830,972 277,378 352,653 (Rs. cr) Trading Value Stock Futures 26,667,882 2,639,845 2,185,165 2,018,823 1,624,354 2,014,533 2,808,150 2,020,510 3,158,758 1,684,458 2,116,761 1,993,761 2,402,764 12,632,349 2,985,472 1,332,380 No. of Contracts Traded Call 668,816 66,131 59,931 60,753 49,964 60,097 78,731 48,370 69,705 38,415 45,568 42,577 48,574 398,219 57,683 43,508 (Rs. cr) Notional Trading Volume Put 28,698,156 2,231,404 1,934,412 1,957,642 1,805,071 1,994,175 3,599,639 2,599,916 3,280,921 2,537,127 2,224,230 2,061,921 2,471,698 12,525,089 2,908,374 1,440,592 No. of Contracts Traded Index Options 693,295 54,186 50,320 58,074 53,202 56,855 95,262 59,594 71,256 56,146 46,936 42,888 48,576 393,693 55,639 48,309 (Rs. cr) Notional Trading Volume 8,002,713 404,472 427,483 764,989 578,100 710,304 984,150 797,264 774,381 850,153 579,074 625,846 506,497 4,394,292 384,679 384,994 No. of Contracts Traded Call 308,443 8,674 12,733 29,383 30,279 40,297 47,981 31,958 26,769 28,895 18,359 19,380 13,735 161,902 9,530 14,273 (Rs. cr) Notional Trading Volume Put 1,457,918 93,207 82,832 103,561 71,334 101,327 142,394 143,404 171,019 172,005 115,515 132,460 128,860 889,018 111,333 73,643 No. of Contracts Traded Stock Options 50,693 1,862 2,168 3,800 3,432 5,379 6,347 5,527 5,629 5,687 3,569 3,977 3,315 31,909 2,576 2,513 (Rs.cr) Notional Trading Volume 425,013,200 37,187,672 33,185,704 44,730,463 30,253,304 35,521,913 49,385,474 34,119,312 40,235,925 34,737,234 30,731,428 28,383,804 26,540,967 216,883,573 32,911,899 20,821,144 No. of Contracts Traded Table 6-4 : Business Growth of Futures & Options Market Segment 13,090,478 821,215 899,217 1,453,881 1,274,230 1,517,304 1,833,663 1,072,889 1,056,731 1,015,077 806,542 723,443 616,287 7,356,271 693,763 703,492 (Rs.cr) Average Daily Trading Volume 3,275,076 205,458 224,973 363,743 318,797 379,611 458,760 268,424 264,381 253,960 201,787 180,996 154,187 1,687,605 159,156 161,388 52,153 45,623 42,820 63,212 67,065 68,968 83,348 53,644 48,033 46,140 38,407 34,450 30,814 29,543 33,036 37,026 13,048 11,414 10,713 15,815 16,779 17,255 20,853 13,421 12,017 11,544 9,609 8,619 7,709 6,777.53 7,578.88 8,494.13 (US $ mn) (Rs.cr) (US $ mn) Trading Volume Total Table 6-5 : Sectorwise Trading Value of Top 5 companies in the F&O Segment (2007-08) BANKS Company Name FMCG Turnover (Rs.cr) Company Name Turnover (Rs.cr) State Bank of India Ltd. 253,267.56 ITC LTD. ICICI Bank Ltd. 148,047.74 Hindustan Unilever Ltd. Industrial Development Bank of India Ltd. 110,298.87 United Spirits Limited 20,523.94 12,036.18 Kotak Mahindra Bank Ltd. 37,638.77 Tata Tea Ltd. Bank of India Ltd. 35,193.99 Dabur India Ltd. INFRASTRUCTURE Company Name 46,050.47 23,515.2 5,843.93 MEDIA & ENTERTAINMENT Turnover (Rs.cr) Company Name Turnover (Rs.cr) Reliance Energy Limited 412,919.75 Adlabs Films Ltd. 20,917.05 GMR Infrastructure Ltd 204,062.79 New Delhi Television Ltd. 19,787.91 NTPC Ltd. 134,525.69 Zee Entertainment Enterprises Ltd. 13,588.33 DLF Ltd. 108,059.61 Wire and Wireless (India) Ltd. 5,473.84 Sun TV Network Limited 4,072.26 Power Grid Corporation of India Ltd. 88,941.04 PHARMACEUTICALS Company Name TELECOMMUNICATION Turnover (Rs.cr) Company Name Turnover (Rs.cr) Divi’s Laboratories Ltd. 43,600.07 Reliance Communications Ltd. 279,751.81 Ranbaxy Laboratories Ltd. 30,481.86 Bharti Airtel Ltd. 98,213.67 CIPLA Ltd. 19,300.92 Idea Cellular Limited 55,630.72 Orchid Chemicals & Pharmaceuticals Ltd. 14,455.73 Tata Teleservices (Maharashtra) Ltd. 45,946.44 Dr. Reddy’s Laboratories Ltd. 12,229.96 Mahanagar Telephone Nigam Ltd. 43,609.17 Contd... 172 Contd... Table 6-5 : Sectorwise Trading Value of Top 5 companies in the F&O Segment (2007-08) FINANCE Company Name INFORMATION TECHNOLOGY Turnover (Rs.cr) Company Name Turnover (Rs.cr) Reliance Capital Ltd. 372,167.48 Infosys Technologies Ltd. 97,816.91 IFCI Ltd. 113,226.23 Satyam Computer Services Ltd. 49,106.07 Infrastructure Development Finance Company Ltd. 84,181.08 Tata Consultancy Services Ltd. 46,323.12 Power Finance Corporation Ltd. 45,799.95 WIPRO Ltd. 25,824.99 India Infoline Ltd. 38,446.71 Educomp Solutions Ltd. 24,998.91 PETROCHEMICALS Company Name MANUFACTURING Turnover (Rs.cr) Reliance Industries Ltd. 516,549.8 Reliance Petroleum Ltd. 297,798.23 Essar Oil Ltd. 78,884.15 Oil & Natural Gas Corpn. Ltd. Mangalore Refinery & Petrochemicals Ltd. 71,942.7 47,866.37 Company Name Reliance Natural Resources Ltd. 386,341.73 Tata Steel Ltd. 209,307.84 Steel Authority of India Ltd. 144,168.33 Jindal Steel & Power Ltd. 92,883.11 Bharat Heavy Electricals Ltd. 76,546.00 SERVICES Company Name ENGINEERING Turnover (Rs.cr) Company Name Deccan Aviation Ltd. 16,689.86 BEML Ltd. Indian Hotels Co. Ltd. 13,588.77 Larsen & Toubro Ltd. The Great Eastern Shipping Co. Ltd. 11,773.87 Praj Industries Ltd. Jet Airways (India) Ltd. 10,464.91 Hotel Leela Venture Ltd. Turnover (Rs.cr) Turnover (Rs.cr) 5,838.5 128,447.52 50,781.51 9,574.72 173 174 155,557 147,921 193,973 253,275 303,332 258,570 390,744 258,570 310,552 399,283 311,195 273,062 3,256,034 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 2007-08 (Rs. cr.) 814,619 68,317 77,857 99,896 77,696 64,691 97,759 64,691 75,890 63,366 48,530 37,008 38,918 US $ mn 12.44 16.63 17.30 13.73 12.19 8.52 10.66 12.05 14.35 12.48 12.03 10.22 12.62 % to Gross Turnover Institutional investors Gross Traded Value Apr-07 Month/Year 16,485,724 1,009,899 1,063,876 1,817,156 1,659,533 2,039,421 2,349,707 1,350,709 1,263,505 1,258,173 1,005,414 919,717 748,614 (Rs. cr.) 4,124,524 252,664 266,169 454,630 415,195 510,238 587,868 337,931 316,113 314,779 251,542 230,102 187,294 US $ mn Gross Traded Value Retail Investors 62.97 61.48 59.16 62.49 65.11 67.21 64.07 62.95 59.79 61.97 62.33 63.57 60.74 % to Gross Turnover 6,439,196 359,468 423,363 691,323 578,375 736,618 926,875 536,498 546,625 518,705 413,697 379,247 328,402 (Rs. cr.) 1,611,007 89,934 105,920 172,960 144,702 184,293 231,893 134,225 136,759 129,774 103,502 94,883 82,162 US $ mn Gross Traded Value Proprietary Investors Table 6-6 : Participant wise Trading Value in the F&O Segment (2007-08) 24.59 21.89 23.54 23.78 22.70 24.27 25.27 25.00 25.86 25.55 25.64 26.21 26.64 % to Gross Turnover Table 6-7 : FII Gross turnover in Derivative Market Segment of NSE Month/Year FII Gross Turnover (Rs. cr.) (US $ mn) Market Gross Turnover (Rs.cr.) (US $ mn) Contribution of FII turnover to total turnover (%) Apr-06 108,391 24,866 1,475,664 338,533 7.35 May-06 129069.27 29,610 1484780 340,624 8.69 Jun-06 102690.44 23,558 1113594 255,470 9.22 Jul-06 82938.41 19,027 954510 218,975 8.69 Aug-06 75315.9 17,278 939324 215,491 8.02 Sep-06 89432.38 20,517 1045892 239,939 8.55 Oct-06 96119.06 22,051 1011316 232,006 9.50 Nov-06 98746.67 22,654 1299658 298,155 7.60 Dec-06 115079.5 26,400 1338324 307,025 8.60 Jan-07 120,634.83 27,675 1254912 287,890 9.61 Feb-07 129,646.2 29,742 1,406,984 322,777 9.21 Mar-07 138,148.21 31,693 1,387,526 318,313 9.96 2006-07 1,286,211 295,070 14,712,484 3,375,197 8.74 Apr-07 133,931 33,508 1,232,573 308,375 10.87 May-07 125,543 31,409 1,446,886 361,993 8.68 Jun-07 152,501 38,154 1,613,084 403,574 9.45 Jul-07 185,285 46,356 2,030,153 507,919 9.13 Aug-07 237,212 59,348 2,113,463 528,762 11.22 Sep-07 194,381 48,632 2,145,778 536,847 9.06 Oct-07 285,042 71,314 3,667,326 917,520 7.77 Nov-07 238,884 59,766 3,034,609 759,222 7.87 Dec-07 228,110 57,070 2,548,460 637,593 8.95 Jan-08 300,490 75,179 2,907,762 727,486 10.33 Feb-08 229,392 57,391 1,798,434 449,946 12.76 Mar-08 192,741 48,221 1,642,429 410,915 11.74 2,503,511 626,348 26,180,956 6,550,151 9.56 2007-08 175 Table 6-8a : Number of Members in different turnover brackets (F & O Segments) during 2007-08 Turnover Month/ Year Apr-07 Upto Rs. 10 crores 50 Rs. 10 crores upto Rs. 50 crores 100 Rs. 50 crores upto Rs. 250 crores Rs. 250 crores upto Rs.500 crores 192 Rs. 500 crores upto Rs. 1000 crores 116 101 Rs. 1000 crores and more 220 May-07 38 93 181 116 107 253 Jun-07 37 81 188 103 131 254 Jul-07 36 64 172 106 125 296 Aug-07 35 58 185 108 130 286 Sep-07 27 68 167 113 123 308 Oct-07 18 45 140 97 114 400 Nov-07 20 60 144 106 104 385 Dec-07 25 71 158 100 111 356 Jan-08 25 63 154 104 116 359 Feb-08 51 93 197 117 95 270 Mar-08 55 103 189 105 111 258 2007-08 12 13 45 37 54 691 Table 6-8c : Segment wise Contribution of Top ‘N’ Members to turnover on Futures and Options segment (in percent) Month 176 Futures Segment Options Segment Top 5 Members Top 10 Members Top 15 Members Top 25 Members Top 5 Members Top 10 Members Top 15 Members Top 25 Members 2005-06 12 20 26 36 23 36 45 55 2006-07 14 22 28 38 23 36 46 58 Apr-07 14 24 31 41 21 35 45 59 May-07 14 23 30 39 20 33 43 57 Jun-07 14 23 30 40 21 34 43 58 Jul-07 14 23 29 39 22 34 43 57 Aug-07 15 24 30 41 20 33 43 56 Sep-07 14 23 29 39 21 33 43 56 Oct-07 14 23 30 40 23 35 44 56 Nov-07 15 23 30 40 26 37 46 58 Dec-07 15 24 31 40 25 37 45 58 Jan-08 16 24 31 41 28 39 48 59 Feb-08 17 24 30 41 25 38 48 60 Mar-08 16 24 30 40 24 37 47 59 2007-08 14 23 29 39 23 34 43 56 177 58 43 42 38 38 31 19 22 27 30 57 63 13 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 2007-08 Upto Rs. 10 crores Apr-07 Month 14 111 102 64 72 73 55 80 67 76 89 103 109 Rs. 10 crores upto Rs. 50 crores 50 211 205 170 170 145 149 172 198 176 198 188 203 42 99 113 95 104 107 104 113 116 113 110 116 110 Rs. 250 crores upto Rs.500 crores 57 97 96 116 114 114 110 122 117 119 117 105 105 Rs. 500 crores upto Rs.1000 crores 676 240 250 346 334 358 377 288 266 277 238 233 194 Rs. 1000 crores and more 98 335 346 289 302 255 219 269 253 291 298 294 297 Upto Rs. 10 crores 96 185 189 198 196 210 186 202 190 182 185 189 182 Rs. 10 crores upto Rs. 50 crores 176 167 160 188 172 186 204 181 187 187 187 187 180 Rs. 50 crores upto Rs.250 crores 96 47 40 50 60 64 78 58 66 55 54 42 44 Rs. 250 crores upto Rs.500 crores Number of Members Number of Members Rs. 50 crores upto Rs.250 crores Options Segment Futures Segment 91 39 40 43 38 44 45 39 40 36 26 36 33 Rs. 500 crores upto Rs.1000 crores Table 6-8b : No. of members in different Turnover Brackets in Futures and Options Segment for 2007-08 295 48 48 53 53 60 82 57 66 48 44 40 43 Rs. 1000 crores and more Table 6-9 : Top 20 Futures contracts according to number of contracts traded 2007-08 S. No. Name of the Contract Number of Contracts Turnover (Rs.cr.) 1 NIFTY AUGUST 2007 18,159,676 390,091.73 97,596.13 11.04 2 NIFTY JANUARY 2008 15,600,290 450,887.27 112,806.42 9.48 3 NIFTY OCTOBER 2007 15,524,414 410,969.77 102,819.56 9.44 4 NIFTY NOVEMBER 2007 14,709,803 420,742.20 105,264.50 8.94 5 NIFTY MARCH 2008 13,639,589 328,917.19 82,291.02 8.29 6 NIFTY FEBRUARY 2008 12,780,443 331,628.11 82,969.26 7.77 7 NIFTY SEPTEMBER 2007 11,381,757 259,314.14 64,877.19 6.92 8 NIFTY MAY 2007 11,075,776 230,073.20 57,561.47 6.73 9 NIFTY JUNE 2007 10,779,814 226,492.01 56,665.50 6.55 10 NIFTY DECEMBER 2007 9,508,803 280,628.69 70,209.83 5.78 11 NIFTY JULY 2007 8,348,198 184,610.83 46,187.35 5.08 12 NIFTY APRIL 2007 7,979,010 155,816.49 38,983.36 4.85 13 NIFTY APRIL 2008 3,243,808 78,108.49 19,541.78 1.97 14 RELIANCE JANUARY 2008 2,583,400 55,968.98 14,002.75 1.57 15 RELIANCE OCTOBER 2007 1,774,938 67,334.74 16,846.32 1.08 16 RELIANCE MARCH 2008 1,710,744 29,562.02 7,396.05 1.04 17 RELIANCE NOVEMBER 2007 1,577,411 65,453.51 16,375.66 0.96 18 RELIANCE FEBRUARY 2008 1,497,880 28,230.25 7,062.86 0.91 19 RELIANCE AUGUST 2007 1,489,324 40,993.81 10,256.15 0.91 20 REL OCTOBER 2007 1,124,548 93,076.45 23,286.58 0.68 164,489,626 4,128,899.90 1,032,999.73 100.00 TOTAL 178 (US $ mn) Percentage of contracts to Top 20 contracts Table 6-10 : Top 20 Option contracts according to no. of contracts traded 2007-08 S. No. Name of the Contract Number of Contracts Turnover (Rs.cr) (US $ mn) 14,511.08 3,630.49 Percentage of contracts to Top 20 contracts 1 NIFTY AUGUST 2007 PE 4300 658,870 5.96 2 NIFTY AUGUST 2007 PE 4200 640,609 13,716.20 3,431.62 5.79 3 NIFTY MAY 2007 CE 4100 625,571 13,167.81 3,294.42 5.66 4 NIFTY JUNE 2007 PE 4200 620,883 13,281.88 3,322.96 5.62 5 NIFTY AUGUST 2007 CE 4400 616,997 13,795.13 3,451.37 5.58 6 NIFTY AUGUST 2007 PE 4100 600,467 12,520.36 3,132.44 5.43 7 NIFTY MAY 2007 CE 4200 587,317 12,539.35 3,137.19 5.31 8 NIFTY AUGUST 2007 CE 4300 569,243 12,492.06 3,125.36 5.15 9 NIFTY JUNE 2007 CE 4300 561,473 12,204.11 3,053.32 5.08 10 NIFTY JUNE 2007 CE 4200 561,271 12,008.63 3,004.41 5.08 11 NIFTY OCTOBER 2007 PE 5000 532,650 13,541.03 3,387.80 4.82 12 NIFTY AUGUST 2007 PE 4400 529,870 12,010.52 3,004.88 4.79 13 NIFTY SEPTEMBER 2007 PE 4400 526,111 11,782.58 2,947.86 4.76 14 NIFTY SEPTEMBER 2007 PE 4500 507,215 11,630.83 2,909.89 4.59 15 NIFTY MAY 2007 PE 4100 503,723 10,512.35 2,630.06 4.56 16 NIFTY AUGUST 2007 CE 4200 495,909 10,646.95 2,663.74 4.49 17 NIFTY SEPTEMBER 2007 CE 4500 495,375 11,421.57 2,857.54 4.48 18 NIFTY JUNE 2007 PE 4100 474,952 9,877.80 2,471.30 4.30 19 NIFTY AUGUST 2007 CE 4500 474,933 10,849.70 2,714.46 4.30 20 NIFTY NOVEMBER 2007 CE 5900 472,726 14,289.11 3,574.96 4.28 11,056,165 246,799.05 61,746.07 100.00 TOTAL Table 6-11 : Number of trades in the Futures & Options Segment 2007-08 Month/Year Index Futures Stock Futures 769,882 Stock Options 517,312 Total Apr-07 2,038,185 May-07 2,098,729 10,413,251 707,752 630,424 13,850,156 Jun-07 2,251,004 11,127,763 716,888 578,186 14,673,841 Jul-07 1,871,019 14,313,227 616,592 818,098 17,618,936 Aug-07 3,069,790 12,159,749 1,053,308 760,914 17,043,761 Sep-07 2,125,228 13,888,158 716,206 806,026 17,535,618 Oct-07 3,554,883 18,816,027 1,349,886 983,678 24,704,474 Nov-07 2,572,671 14,446,566 919,748 709,814 18,648,799 Dec-07 1,905,167 13,298,252 720,893 568,343 16,492,655 Jan-08 3,004,614 16,404,002 812,499 635,442 20,856,557 Feb-08 3,149,318 10,189,345 904,751 399,656 14,643,070 Mar-08 3,256,450 9,961,015 1,082,078 359,972 14,659,515 30,897,058 153,187,768 10,370,483 7,767,865 202,223,174 2007-08 8,170,413 Index Options 11,495,792 179 Table 6-12 : Settlement Statistics in F&O Segment Month/ Year Index/Stock Futures Index/Stock Options Total MTM Settlement Final Settlement Premium Settlement Exercise Settlement (Rs.cr) (Rs.cr) (Rs.cr) (Rs.cr) (Rs.cr) (US $ mn) Jun-00 0.22 0.01 – – 0.23 0.05 Jul-00 1.46 0.04 – – 1.50 0.32 Aug-00 0.76 0.03 – – 0.79 0.17 Sep-00 2.11 0.13 – – 2.25 0.48 Oct-00 3.42 0.27 – – 3.69 0.79 Nov-00 4.65 0.07 – – 4.73 1.01 Dec-00 9.82 0.69 – – 10.50 2.25 Jan-01 11.94 0.11 – – 12.05 2.58 Feb-01 16.14 0.51 – – 16.65 3.57 Mar-01 33.56 0.06 – – 33.62 7.21 2000-01 84.08 1.93 – – 86.01 18.44 Apr-01 8.04 0.09 – – 8.13 1.67 May-01 3.78 0.11 – – 3.89 0.80 Jun-01 4.85 0.01 1.47 0.28 6.61 1.35 Jul-01 6.70 0.14 5.88 1.43 14.13 2.90 Aug-01 4.59 0.14 9.83 5.06 19.62 4.02 Sep-01 33.69 0.50 15.62 13.91 63.72 13.06 Oct-01 11.27 0.10 17.96 11.42 40.75 8.35 Nov-01 28.38 0.71 24.55 20.21 73.85 15.13 Dec-01 78.94 3.76 17.47 8.21 108.38 22.21 Jan-02 112.53 2.17 30.57 17.75 163.02 33.41 Feb-02 108.87 12.21 24.40 8.86 154.34 31.63 Mar-02 103.62 1.99 17.01 6.81 129.42 26.52 2001-02 505.25 21.93 164.76 93.95 785.88 161.04 Apr-02 106.56 4.15 17.3 8.65 136.66 28.77 May-02 166.54 1.84 21.53 14.35 204.26 43.00 Jun-02 124.05 3.44 19.70 10.35 157.54 33.17 Jul-02 160.88 1.70 23.60 10.67 196.85 41.44 Aug-02 102.1 2.88 20.46 13.89 139.33 29.33 Sep-02 119.83 1.44 23.31 13.46 158.04 33.27 Oct-02 128.24 7.79 25.80 16.64 178.47 37.57 Nov-02 110.93 8.68 33.71 35.34 188.66 39.72 Dec-02 164.04 5.33 44.64 16.82 230.83 48.60 Jan-03 218.42 2.99 38.39 22.94 282.74 59.52 Contd... 180 Contd... Table 6-12 : Settlement Statistics in F&O Segment Month/ Year Index/Stock Futures Index/Stock Options Total MTM Settlement Final Settlement Premium Settlement Exercise Settlement (Rs.cr) (Rs.cr) (Rs.cr) (Rs.cr) (Rs.cr) (US $ mn) Feb-03 148.42 1.68 28.93 13.14 192.17 40.46 Mar-03 187.89 3.84 33.84 19.64 245.21 51.62 1,737.90 45.76 331.21 195.88 2,310.76 486.47 Apr-03 205.81 4.79 46.00 30.01 286.60 66.05 May-03 163.59 5.74 38.04 30.43 237.80 54.81 Jun-03 220.23 3.86 48.78 46.50 319.37 73.60 Jul-03 389.79 8.02 69.43 44.77 512.01 118.00 Aug-03 569.60 8.58 77.32 58.81 714.31 164.63 Sep-03 1,031.87 9.24 78.12 30.41 1,149.64 264.96 Oct-03 1,188.05 14.11 99.15 60.31 1,361.61 313.81 Nov-03 939.35 23.86 63.40 22.11 1,048.72 241.70 Dec-03 905.46 17.90 69.99 41.10 1,034.44 238.41 Jan-04 2,668.21 12.82 107.46 42.67 2,831.16 652.49 Feb-04 1,329.70 16.40 68.26 24.42 1,438.77 331.59 Mar-04 1,210.32 13.62 93.00 44.58 1,361.53 313.79 10,821.98 138.95 858.94 476.12 12,295.98 2833.83 Apr-04 837.28 15.67 64.70 25.29 942.95 215.53 May-04 2,556.13 13.47 91.29 35.82 2,696.71 616.39 Jun-04 535.25 20.05 46.81 9.85 611.96 139.88 Jul-04 451.15 15.14 72.13 42.77 581.19 132.84 Aug-04 548.01 8.66 50.90 14.65 622.22 142.22 Sep-04 480.12 12.63 56.21 39.74 588.70 134.56 Oct-04 837.82 23.18 68.50 31.00 960.50 219.54 Nov-04 691.17 10.21 76.82 41.95 820.15 187.46 Dec-04 1,238.58 22.31 104.09 56.54 1,421.52 324.92 Jan-05 2,317.69 31.74 96.36 42.37 2,488.16 568.72 Feb-05 991.63 10.62 96.35 39.30 1,137.90 260.09 Mar-05 1,539 44 117 77 1,777 406.09 13,024.18 227.50 941.06 455.87 14,648.62 3348.25 Apr-05 1,736.91 31.15 82.83 30.32 1,881.22 421.70 May-05 943.69 41.74 72.54 44.95 1,102.92 247.24 Jun-05 1,095.79 35.18 93.16 71.32 1,295.45 290.39 Jul-05 1,567.52 38.49 92.86 58.85 1,757.72 394.02 Aug-05 2,544.80 36.56 118.94 26.78 2,727.08 611.32 2002-03 2003-04 2004-05 Contd... 181 Contd... Table 6-12 : Settlement Statistics in F&O Segment Month/ Year Index/Stock Options MTM Settlement Final Settlement Premium Settlement Exercise Settlement (Rs.cr) (Rs.cr) (Rs.cr) (Rs.cr) Total (Rs.cr) (US $ mn) Sep-05 2,366.70 17.31 135.91 95.85 2,615.77 586.36 Oct-05 3,479.10 120.46 143.92 79.20 3,822.67 856.91 Nov-05 1,831.40 32.17 122.63 75.71 2,061.90 462.21 Dec-05 2,487.80 22.74 139.72 67.05 2,717.30 609.12 Jan-06 2,034.60 107.17 139.52 52.06 2,333.35 523.06 Feb-06 1,886.60 44.47 146.68 56.86 2,134.61 478.50 Mar-06 3,610.60 70.45 231.87 158.89 4,071.81 912.76 25,585.51 597.89 1,520.58 817.84 28,521.80 6393.59 Apr-06 7,413.50 97.47 237.13 104.32 7,852.42 1801.43 May-06 13,594.00 135.07 326.05 124.18 14,179.30 3252.88 Jun-06 6,854.10 50.29 265.36 97.01 7,266.76 1667.07 Jul-06 2,810.00 56.05 197.32 73.60 3,136.97 719.65 Aug-06 1,558.00 38.89 192.71 114.79 1,904.39 436.89 Sep-06 2,826.50 27.10 192.37 72.74 3,118.71 715.46 Oct-06 2,218.20 27.95 222.54 64.15 2,532.84 581.06 Nov-06 2,412.00 57.38 212.33 133.02 2,814.73 645.73 Dec-06 5,968.80 34.62 294.30 88.25 6,385.97 1465.01 Jan-07 3,664.00 99.04 276.52 121.33 4,160.90 954.55 Feb-07 5,981.70 115.28 321.41 59.28 6,477.67 1486.04 Mar-07 6,012.90 58.40 456.34 136.17 6,663.81 1528.75 61,313.70 797.54 3,194.38 1,188.84 66,494.47 15254.52 Apr-07 4,162.90 41.96 385.58 188.36 4,778.80 1,197.69 May-07 3,251.10 94.92 294.13 211.43 3,851.58 965.31 Jun-07 3,794.50 72.59 367.07 92.24 4,326.39 1,084.31 Jul-07 4,935.20 71.64 498.15 247.67 5,752.66 1,441.77 Aug-07 11,299.00 107.60 599.84 143.88 12,150.33 3,045.20 Sep-07 5,300.00 103.42 569.62 583.62 6,556.66 1,643.27 Oct-07 15,924.00 222.61 918.41 669.84 17,734.85 4,444.82 Nov-07 16,248.00 282.38 615.11 327.17 17,472.66 4,379.11 Dec-07 14,125.00 77.17 478.38 203.60 14,884.14 3,730.36 Jan-08 39,768.00 105.11 777.95 767.43 41,418.49 10,380.57 Feb-08 13,679.00 64.00 604.58 169.88 14,517.46 3,638.46 Mar-08 12,168.00 68.72 651.35 187.14 13,075.21 3,276.99 144,654.70 1,312.12 6,760.17 3,792.26 156,519.23 39,227.88 2005-06 2006-07 2007-08 182 Index/Stock Futures Investor Grievances, Arbitration 7 184 Investor Grievances, Arbitration 7 Investors are the backbone of the securities market. Protection of their interests is paramount for NSE. In furtherance of their interests, NSE has put in place systems to ensure availability of adequate, up-to-date and correct information to investors to enable them to take informed decisions. It ensures that critical and price-sensitive information reaching the exchange is made available to all classes of investor at the same point of time. Such price-sensitive information as bonus announcements, mergers, new line of business, etc. received from the companies is disseminated to all the market participants through the network of NSE terminals all over India. Action is initiated by the Exchange where any kind of price-sensitive information is not provided to the Exchange at the prescribed time. It ascertains the veracity of rumours and disseminates facts in the interest of investors. In an attempt to ease the existing system of information dissemination by the listed companies, NSE launched the electronic interface for listed companies in August 2004. Under the new system, all corporate announcements including that of Board meetings which needs to be disclosed to the market is handled electronically in a straight through and hands free manner. It also conducts various seminars and programs for the investors all over the country with a view to educate them on their rights and obligations. They are also made aware of the precautions they need to take while dealing in the securities market. It makes an audit trail available on request for all transactions executed on NSE to enable investors to counter-check trade details for the trades executed on his behalf by the member. It has also prescribed and makes effort to ensure the implementation of various safeguards like time schedules for issuing contract notes, for receiving funds and securities purchased by investors, segregation of client funds and securities from those of members, etc. The Exchange has also launched a facility to verify trades on the NSE website. Using this facility, an investor who had received a contract note from the trading member of the Exchange can check whether the trade has been executed. Investor Grievances NSE has put in place a system for redressal of investor grievances for matters/issues related to/against trading members/companies. The Investor Grievance Cell of NSE is manned by a team of professionals possessing relevant experience in the areas of securities markets, company and legal affairs, and specially trained to identify problems faced by the investor and to find and effect a solution quickly. It takes up complaints in respect of trades executed on the NSE through its NEAT terminal and routed through the NSE trading member or SEBI registered sub-broker of NSE trading member and trades pertaining to companies traded on NSE. The status of receipt and disposal of investor grievances by the Exchange is presented in Table 7-1. 185 Investor Protection Fund Some cushion to the interests of investors is provided by the Investor Protection Fund (IPF) set up by the stock exchange. The exchanges maintains an IPF to take care of investor claims, which may arise out of non settlement of obligations by the trading member, who has been declared a defaulter, in respect of trades executed on the Exchange. The maximum amount of claim payable from the Fund to the investor is reviewed by Exchange periodically maximum amount payable out of IPF was Rs. 10 lakhs upto December 31, 2007 and same has been enhanced to Rs. 11 Lakhs in respect of claims against members declared defaulter after January 1, 2008. Arbitration Arbitration is a speedy and alternative dispute resolution mechanism provided by the Exchange for resolving disputes between the trading members and between a trading member and his client, in respect of trades done on the Exchange. The arbitration mechanism is provided by the Exchange in all its Regional offices to facilitate the speedy dispute resolution mechanism. The parties to dispute appoint an arbitrator from the panel of arbitrators maintained by the Exchange and approved by SEBI. The arbitrator(s) pronounces an award after going through various documents submitted by the parties and hearing them. The status of arbitration matters with the Exchange as at end March 2008 is presented in Table 7-2. 186 Table 7-1 : Receipt and Disposal of Investor Grievance Year Against Members Pending at the beginning Received Disposed Against Companies Pending at the end Pending at the beginning Received Disposed Pending at the end 1994-95 – – – – – 2 – 2 1995-96 – 56 13 43 2 39 17 24 1996-97 43 320 72 291 24 415 102 337 1997-98 291 259 439 111 337 576 716 197 1998-99 111 383 347 147 197 592 380 409 1999-00 147 197 298 46 409 808 842 375 2000-01 46 263 201 108 375 1,095 1,111 359 2001-02 108 789 710 187 359 607 667 299 2002-03 187 345 418 114 299 587 626 260 2003-04 114 282 253 143 260 527 558 229 2004-05 143 435 409 169 229 1,304 1,128 405 2005-06 169 1,128 1,051 246 405 1,023 1,200 228 2006-07 246 1,367 1,460 153 228 774 769 233 2007-08 153 1,915 1,101 967 233 964 888 309 Table 7-2 : Status Report of Arbitration Matters Year No. of Cases Received Withdrawn Awards Pending 1998 164 2 162 0 1999 CM 153 5 147 1 2 1 1 0 149 6 143 0 1 0 1 0 342 19 323 0 2001 WDM 0 0 0 0 2001 F&O 1 0 1 0 1999 WDM 2000 CM 2000 WDM 2001 CM Contd... 187 Contd... Table 7-2 : Status Report of Arbitration Matters Year 2002 CM Withdrawn Awards Pending 275 7 268 0 2002 WDM 0 0 0 0 2002 F&O 5 0 5 0 136 4 132 0 2003 WDM 0 0 0 0 2003 F&O 17 0 17 0 119 6 113 0 2004 WDM 0 0 0 0 2004 F&O 42 3 39 0 138 3 135 0 2005 WDM 0 0 0 0 2005 F&O 66 0 66 0 224 5 219 0 0 0 0 0 191 8 183 0 2006 CO 1 0 1 0 2007 CM 275 9 249 17 2007 F&O 221 3 192 26 61 0 6 55 116 1 2 113 2,699 82 2,405 212 2003 CM 2004 CM 2005 CM 2006 CM 2006 WDM 2006 F&O 2008 CM upto March 2008 2008 F&O upto March 2008 Total 188 No. of Cases Received Knowledge Initiative 8 190 Knowledge Initiative 8 Several initiatives have been taken over the last few years to promote the skills of market participants, to educate and protect the investors and to promote high quality research about the working of the securities market. In line with this NSE has launched several initiatives to strengthen the knowledge base of the Indian securities market and to protect investor interest. Major initiatives in this area are discussed below: NSE’s Certification in Financial Markets Taking into account international experience and the needs of the Indian financial markets NSE introduced in 1998 a unique testing and certification programme called National Stock Exchange’s Certification in Financial Markets (NCFM). This was introduced with a view for protecting interests of investors in financial markets and more importantly, for minimizing risks of losses arising out of deficient understanding of markets and instruments. NCFM is an on-line testing system which tests the practical knowledge and skills required to operate in the financial markets in a secure and unbiased manner and awards certificates based on relative merits thus ensuring that the caliber of persons entering this field is kept high in the best interests of a mature and vibrant market. The entire process from generation of question paper, testing, assessing, scores reporting and certifying is fully automated. It allows tremendous flexibility in terms of testing centres, test dates and test timing and provides easy accessibility and convenience to candidates. NCFM offers a comprehensive range of modules covering many different areas in finance (Table 8-1) In order to strengthen the Corporate Governance Standards, the Corporate Governance Module was introduced in October 2005. Financial Market: A Beginners Module was introduced in Feb 2006. This module has been prepared for those who are keen to acquire some basic but key information about the stock markets as an initial step towards becoming a more informed investor. This module will act as a means of satisfying some of the initial queries on the stock markets and has been prepared with the objective of introducing the functioning and role of the financial markets in India to all those interested in this topic. The Compliance Officers Module was introduced in February 2006 with an objective of providing comprehensive knowledge and a proper understanding of the Acts governing the Securities Markets, Rules and Regulations of the Exchange, Listing Procedures, etc. This would enable an organization to adhere to the required compliance standards and not fall short of meeting any existing guidelines. A Security Auditor for any financial organization is essential and will be well equipped to handle matters relating to Information Security which includes Confidentiality, integrity and timely availability of information for implementing efficient business processes Information security is not just technology related security but much more than that, covering physical and environmental security, access controls, business continuity 191 planning etc. In view of this, the Information Security Auditors Module was introduced in October 2006 and consist of two parts Information Security Auditors Module (Part I) and (Part II). On successfully clearing both the parts, a candidate is provided with a ‘Certified Information Security Auditor for Financial Markets’ certification. The number of centers from where the NCFM tests are conducted has increased in the recent past. Currently the NCFM tests are conducted from 66 centers across the country. NCFM Online Payment System NCFM online payment was launched from January 16, 2006 in order to facilitate candidates to pay their test fees on-line. Online payment can be made by modes of credit card, debit card, cash or net banking. Candidates can log on to www.nseindia.com and click on the link ‘NCFM On-line’. NCFM Tests conducted at international locations NSE’s Certification in Financial Market (NCFM) is gradually gaining international prominence. During the current fiscal NSE conducted the NCFM tests in Financial Markets- A Beginners’ Module and Derivatives Module in Mauritis on July 07, 2007 and September 19, 2007. Exams were also conducted in the Derivatives Module in Dhaka on 26th November 2007 and 09th June 2008. NCFM Tests conducted in other languages All the NCFM modules were in English language. In response to the requests received for tests to be conducted in other languages as well, NSE introduced the Derivatives Market (Dealers) Module in Gujarati and Hindi which was launched on February 15, 2008 and June 19, 2008 respectively. CBSE - NSE Certification in Financial Markets Central Board of Secondary Education (CBSE) and NSE have introduced a joint certification in Financial Markets for standard XI and XII students. This is the first such exercise to introduce financial literacy in schools and would provide an early exposure to young adults to the world of finance. The course, titled “Financial Markets Management” has been introduced by CBSE for academic year 2007 - 2008. Two financial market related subjects, “Introduction to Financial Markets – I” and “Introduction to Financial Markets – II” are taught in standard XI and XII students respectively. Students opting for the course are required to take the NCFM on-line tests in “Financial Markets: A Beginners Module” in standard XI and both Capital Markets (Dealers) Module and Derivatives Markets (Dealers) Module, in standard XII. For the first academic year 57 schools and 1307 students have enrolled for this programme and these numbers are likely to increase substantially in the coming years. 192 NSE Research Initiative In order to improve market efficiency further and to set international benchmarks in securities industry, NSE administers a scheme called the NSE Research Initiative. The initiative fosters research which can support and facilitate stock exchanges to design market microstructure, participants to frame their strategies in the market place, help regulators to frame regulations, policy makers to formulate policy and broaden the horizon of knowledge about the securities market. The initiative has received a tremendous response from the academics as well as the market participants from within and outside the country. The studies completed/under progress under the initiative is presented in Table 8-2. 193 Table 8-1: NCFM Modules Sr. No Name of Module Test Duration No. of Questions Maximum Marks Pass Marks Certificate Validity (%) (in years) 1 Financial Markets: A Beginners’ Module 60 50 100 50 5 2 Securities Market (Basic) Module 105 60 100 60 5 3 Capital Market (Dealers) Module 105 60 100 50 5 4 Derivatives Market (Dealers) Module* 120 60 100 60 3 5 FIMMDA-NSE Debt Market (Basic) Module 120 60 100 60 5 6 NSDL–Depository Operations Module 75 60 100 60# 5 7 Commodities Market Module 120 60 100 50 3 8 AMFI-Mutual Fund (Basic) Module 90 62 100 50 No limit 9 AMFI-Mutual Fund (Advisors) Module 120 72 100 50 5 10 Surveillance in Stock Exchanges Module 120 50 100 60 5 11 Corporate Governance Module 90 100 100 60 5 12 Compliance Officers (Brokers) Module 120 60 100 60 5 13 Compliance Officers (Corporates) Module 120 60 100 60 5 Information Security Auditors Module (Part-1 120 90 100 60 Information Security Auditors Module (Part-2) 120 90 100 60 FPSB India Exam 1 to 5 120 75 140 60 – Investment Banking Analyst Module (Paper 1) 120 100 100 – – Investment Banking Analyst Module (Paper 2) 120 100 100 – – 14 15 2 16 * # 194 Candidates have the option to take the test in English, Gujarati or Hindi language. The workbook for the module will however be available in ENGLISH ONLY. Candidates securing 80% or more marks in NSDL-Depository Operations Module ONLY will be certified as ‘Trainers’. Table 8-2 : Studies under the NSE Research Initiative SL. No. Title of Study Completed Papers 1 Econometric Estimation of Systematic Risk of S&P CNX Nifty Constituents 2 Stock Market Development and its Impact on the Financing Pattern of the Indian Corporate Sector 3 Efficiency of the Market for Small Stocks 4 Determinants of Financial Performance of Indian Corporate Sector in the Post-Liberalization Era: An Exploratory Study 5 Should pension funds invest in equities? An analysis of risk-return tradeoff and asset allocation decisions 6 Changes in liquidity following exposure to foreign shareholders: The effect of foreign listings, inclusion in country funds and issues of American Depositary Receipts 7 Is the Spread Between E/P Ratio and Interest Rate Informative for Future Movement of Indian Stock Market? 8 Merger Announcements and Insider Trading Activity in India: An Empirical Investigation 9 Achieving an Individual Investor Friendly System using the power of the Internet 10 Improved Techniques for using Monte Carlo in VaR estimation 11 Short selling and its Regulation in India in International Perspective 12 Empirical investigation of multi-factor asset pricing models using Artificial Neural Network 13 Idiosyncratic Factors in Pricing Sovereign Bonds: An Analysis of the Government of India Bond Market 14 The Extreme Value Volatility Estimators and Their Empirical Performance in Indian Capital Markets 15 Equity Market Interlinkages: Transmission of Volatility - A Case Of US and India 16 Institutional Investors and Corporate Governance in India 17 Dividend policy of Indian Corporate Firms : An Analysis of Trends & Determinants 18 Market Microstructure Effects of Transparency of Indian Banks 19 Futures Trading, Information and Spot Price Volatility of NSE-50 Index Futures Contract 20 Measuring productive efficiency of stock exchanges using price adjustment coefficients 21 Do Futures and Options trading increase stock market volatility? 22 Section switching stock market price effect in the Indian capital market and the policy implications thereof 23 Study of Common Stochastic Trend and Co-integration in the Emerging Markets - A case study India, Singapore and Taiwan 24 Market Discipline in the Indian Banking Sector: An Empirical Exploration 25 Conditional CAPM and Cross sectional returns - A study on Indian Securities Market 26 Evaluating index fund implementation in India 27 Measuring Volumes in the Indian Financial Markets Some Terminological and Conceptual Issues Contd... 195 Contd... Table 8-2 : Studies under the NSE Research Initiative SL. No. Title of Study 28 Corporate Social Responsibility Initiatives by NSE NIFTY Companies - Content, Implementation Strategies & Impact. 29 Measures for Improving Common Investor Confidence in Indian Primary Market : A Survey 30 Informational Content of Trading Volume And Open Interest – An Empirical Study of Stock Options Market In India 31 An analysis of the Dynamic Relationships Between South Asian and Developed Equity Markets 32 Corporate Governance and Market reactions 33 Insider Ownership and Corporate Governance 34 Improving Index Fund Implementation in India 35 Seasoned Capital Offerings: Earnings Management and Long-Run Operating Performance of Indian Firms 36 Volatility Spillovers Across Stock, Call Money And Foreign Exchange Markets 37 Understanding the Microstructure in Indian Markets 38 Price and Volume Effects of S&P CNX Nifty Index Reorganization 39 Lead-Lag relationship between Equities and Stock Index Futures Market and its variation around Information Release: Empirical Evidence from India 40 On The New Transformation-Based Approach To Measuring Value-At-Risk: An Application To Forex Market In India 41 Optimal Hedge Ratio and Hedging Effectiveness of Stock Index Futures : Evidence from India 42 Evaluating Corporate Governance Risk: A Fuzzy logic approach 43 Do the S&P CNX Nifty Index and Nifty Futures Really Lead/Lag?Error Correction Model: A Cointegration Approach 44 Under-Pricing and long run performance of Initial Public Offerings in Indian Stock Market 45 Price & liquidity effects of stock split: An Empirical evidence from Indian stock market 46 Risk Return Dynamics of Derivative Based Investment Strategies. Papers under Progress 196 1 Price Limits - Are they worth the price? 2 Correlation Dynamics and Equity Market Integration: Evidence from India 3 Price Discovery and arbitrage efficiency of Indian Equity futures & Cash market 4 Dynamic Interaction Among Mutual Fund Flows, Stock Market Return and Volatility 5 Pricing of Options on Defty 6 Volatility Persistence and the Feedback trading Hypothesis : Evidence from Indian Markets 7 Do Heterogeneous beliefs affects trading volume and asset prices