nse factbook 2010
TRANSCRIPT
Fact Book2010
NATIONAL STOCK EXCHANGE OF INDIA LIMITEDJune 2010
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C O N T E N T S
SECTION 1- NATIONAL STOCK EXCHANGE OF INDIA
Introduction ...........................................................................................3
Incorporation and Management ....................................................................3
Market Segments And Products .....................................................................3
Achievements/Milestones ...........................................................................5
Developments during the year......................................................................6
Facts And Figures .....................................................................................8
Technology .............................................................................................8
NSE Family ........................................................................................... 11
NSCCL ................................................................................................ 11
NSDL ................................................................................................ 12
NSE Infotech services Ltd ......................................................................... 12
NSE.IT ................................................................................................ 12
IISL ................................................................................................ 12
Dotex International Ltd. ........................................................................... 12
NCDEX ................................................................................................ 13
NCCL ................................................................................................ 13
PXIL ................................................................................................ 13
SECTION 2- MEMBERSHIP ADMINISTRATION
Eligibility Criteria ................................................................................... 19
Trading Membership ................................................................................ 19
Clearing Membership ............................................................................... 20
Currency Derivative Membership ................................................................. 20
Growth and Distribution Of Members ............................................................ 20
SECTION 3- LISTING OF SECURITIES
Listing Criteria ...................................................................................... 27
Listing Agreement .................................................................................. 27
Compliance By Listed Companies ................................................................ 27
Disclosures By Listed Companies ................................................................. 28
De-Listing ............................................................................................ 28
CM Segment ......................................................................................... 29
Listing Fees .......................................................................................... 30
Shareholding Pattern ............................................................................... 30
WDM Segment ....................................................................................... 30
Contd...
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Funds Mobilisation On the Exchange ............................................................ 31
Initial Public Offerings (IPO’s) ............................................................ 32
Rights Issues ................................................................................. 32
Preferential Allotment/ Private Placement............................................ 32
QIPs ........................................................................................... 32
SECTION 4- CAPITAL MARKET SEGMENT
NEAT - CM System................................................................................... 49
Market Performance ................................................................................ 49
Trading Volume ............................................................................. 49
Liquidity ..................................................................................... 50
Distribution of turnover ................................................................... 51
Market Capitalisation ...................................................................... 52
Sectoral Distribution of Top 50 Companies ............................................ 52
Trading Records during 2008-09 .......................................................... 53
Internet Trading ............................................................................ 53
On-line IPOs ................................................................................. 54
Indices ................................................................................................ 54
Mutual Funds And Exchange Traded Funds ...................................................... 56
Charges ............................................................................................... 57
Clearing & Settlement ............................................................................. 58
Settlement Agencies ....................................................................... 59
Settlement Cycles .......................................................................... 60
Settlement Statistics ...................................................................... 60
Risk Management System .......................................................................... 60
Capital Adequacy ........................................................................... 60
On-Line Monitoring ......................................................................... 60
Margin Requirements ............................................................................... 61
Categorisation of newly listed securities ....................................................... 61
Value at Risk Margin ................................................................................ 61
Extreme Loss Margin ............................................................................... 62
Mark to Market Margin ............................................................................. 62
Close out Facility ................................................................................... 62
Index –based Market wide Circuit Breakers ..................................................... 63
Settlement Guarantee Fund ...................................................................... 63
Contd...
Contd...
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SECTION 5- WHOLESALE DEBT MARKET SEGMENT
Trading Mechanism ................................................................................. 87
Market Performance ................................................................................ 88
Turnover...................................................................................... 88
Market Capitalistion ...................................................................... 90
Transaction Charges ................................................................................ 90
Settlement ........................................................................................... 90
FIMMDA-NSE MIBID/MIBOR ......................................................................... 90
Zero Coupon Yield Curve .......................................................................... 91
NSE-VAR System ..................................................................................... 92
GOI- bond Index..................................................................................... 93
SECTION 6- FUTURES &OPTIONS SEGMENT
Trading Mechanism ................................................................................ 107
Contract Specifi cation ............................................................................ 107
Selection Criteria For Stocks And Index Eligibility For Trading ............................. 108
Trading Value & Contracts Traded ............................................................... 109
Product wise turnover on F&O segment ...............................................110
Futures and Options on Benchmark Indices ...........................................111
Sectorwise Stock Futures & Options Turnover .......................................111
Participant wise turnover on F&O Segment ...........................................112
Member wise turnover on the Exchange ...............................................113
High Volume Members .................................................................... 113
Internet Trading ........................................................................... 113
Traded Value Records ..................................................................... 113
Top 20 Futures And Options Contracts ......................................................... 114
Number of Trades .................................................................................. 114
Charges .............................................................................................. 114
Clearing And Settlement.......................................................................... 115
Clearing Mechanism ....................................................................... 115
Settlement Mechanism ................................................................... 116
Settlement Statistics ..................................................................... 117
Risk Management System ......................................................................... 117
NSE-SPAN® ......................................................................................... 118
Margins ...................................................................................... 119
Position Limits ............................................................................ 119
Contd...
Contd...SPAN® is a registered trademark of the Chicago Mercantile Exchange (CME) used here under license.
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SECTION 7- CURRENCY DERIVATIVES SEGMENT
Trading Mechanism ................................................................................ 143
Contract Specifi cations for Currency Futures ................................................. 143
Turnover ............................................................................................. 145
Traded Value Records ............................................................................. 146
Clearing and Settlement.......................................................................... 146
Clearing Entities .......................................................................... 146
Clearing Mechanism ...................................................................... 146
Settlement Mechanism ...................................................................146
Settlement Statistics ..................................................................... 147
Margining System ......................................................................... 147
Position Limits for Currency Futures ..................................................151
Risk Management .................................................................................. 151
SECTION 8- INVESTOR SERVICES, ARBITRATION
Investor Services ................................................................................... 157
Arbitration .......................................................................................... 157
SECTION 9- KNOWLEGDE INITIATIVE
About NSE’s Certifi cation in Financial Markets (NCFM) ..................................... 163
New Modules introduced under NCFM in 2009-10 ............................................ 163
NSE’s Certifi ed Capital Market Professionals (NCCMP) ...................................... 164
CBSE- NSE joint Certifi cation in Financial Markets ........................................... 164
NSE’s Certifi ed Capital Market Professionals (NCCMP) ...................................... 164
NSE – Manipal Education Training Programs ................................................... 165
NSE Research Initiative ........................................................................... 166
Investor Awareness and Education Programmes ............................................. 166
Contd...
National Stock Exchange of India 1
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1National Stock Exchange of India
Since its inception in 1992, National Stock Exchange of India has been at the vanguard of change in the Indian securities market. This period has seen remarkable changes in markets, from how capital is raised and traded, to how transactions are cleared and settled.
The market has grown in scope and scale in a way that could not have been imagined at the time. Average daily trading volumes have jumped from ` 17 crore in 1994-95 when NSE started its Cash Market segment to ` 16,959 crore in 2009-10. Similarly, market capitalization of listed companies went up from ` 363,350 crore at the end of March 1995 to ` 6,009,173 crore at end March 2010. Indian equity markets are today among the most deep and vibrant markets in the world.
NSE offers a wide range of products for multiple markets, including equity shares, Exchange Traded Funds (ETF) , Mutual Funds, Debt instruments, Index futures and options, Stock futures and options, Currency futures and Interest rate futures. Our Exchange has more than 1,400 companies listed in the Capital Market and more than 92% of these companies are actively traded. The debt market has 4,140 securities available for trading. Index futures and options trade on four different indices and on 190 stocks in stock futures and options as on 31st March , 2010. Currency futures contracts are traded in four currency pairs. Interest Rate Futures (IRF) contracts based on 10 year 7% Notional GOI Bond are also available for trading.
Incorporation and Management
NSE was incorporated in November 1992, and received recognition as a stock exchange under the Securities Contracts (Regulation) Act, 1956 in April 1993. 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 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 Currency Futures and Interest Rate Futures. The Exchange provides trading in 4 different segments viz., Wholesale Debt Market (WDM) segment, Capital Market (CM) segment, Futures & Options (F&O) segment and the Currency Derivatives Segment (CDS).
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, state development loans (SDLs), bonds issued by public sector undertakings (PSUs), floating rate bonds (FRBs), zero coupon bonds (ZCBs), index bonds, commercial papers (CPs), certificate of deposits (CDs),
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corporate debentures, SLR and non-SLR bonds issued by financial institutions (FIs), bonds issued by foreign institutions and units of mutual funds (MFs).
However, along with these financial instruments, NSE also launched various products e.g. FIMMDA-NSE MIBID/MIBOR owing to the market need. 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, ‘NSE Government Securities Index’. This index provides a benchmark for portfolio management by various investment managers and gilt funds. The average daily turnover in the WDM Segment was ` 2,359 crore (US $523 million) during 2009-10.
The Capital Market (CM) 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 2009-10 was` 16,959 crore. (US $3,757 million).
Futures & Options (F&O) segment of NSE provides trading in derivatives instruments like Index Futures, Index Options, Stock Options, Stock Futures. 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, Nifty Midcap 50 index and single stocks are available. Trading in Mini Nifty Futures & Options and Long term Options on S&P CNX Nifty are also available. The average daily turnover in the F&O Segment of the Exchange during 2009-10 was ` 72,392 crore (US $ 16,097 million).
Currency Derivatives Segment (CDS) at NSE commenced operations on August 29, 2008 with the launch of Currency futures trading in US Dollar-Indian Rupee (USD-INR). On the very first day of operations a total number of 65,798 contracts valued at ` 291 crore were traded on the Exchange. Since then trading activity in this segment has been witnessing a rapid growth.
Trading in Currency Futures contracts in other pairs- Euro-INR, Pound Sterling-INR and Japanese Yen-INR commenced on February 01, 2010. The average daily turnover in the Currency Futures during 2009-10 was ` 7,428 crore (US $ 1,646 million).
Trading in Interest Rate Futures (IRF) commenced on August 31, 2009. Interest Rate Futures contracts are based on 10 year 7% Notional GOI Bond. On its first day of trading, 14,559 contracts were traded with a total value of ` 267.31 crores.
Trading Value( ` crore)
Segment/Year 2006-07 2007-08 2008-09 2009-10
CM 1,945,287 3,551,038 2,752,023 4,138,023
F&O 7,356,271 13,090,478 11,010,482 17,663,665
WDM 219,106 282,317 335,952 563,816
Currency Futures * -- -- 162,272 1,782,608
Interest Rate Futures ** -- -- -- 2,975
Total 9,520,664 16,923,833 14,260,729 24,151,088
* Trading in Currency Futures commenced on August 28, 2008 ** Trading in Interest Rate Futures commenced on August 31,2009
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Market Capitalisation (As at end March)
( ` crore)
Segment/Year Mar-07 Mar-08 Mar-09 Mar-10
CM 3,367,350 4,858,122 2,896,194 6,009,173
WDM 1,784,801 2,123,346 2,848,315 3,165,929
Total 5,152,151 6,981,468 5,744,510 9,175,102
NSEs Worldwide Ranking in 2009 (Jan-Dec)• 4th in Number of Trades in Equity Shares.
• 2nd in terms of Number of Contracts traded in Single Stock Futures.
• 3rd in terms of Number of Contracts traded in Stock Index Futures.
• 2nd in terms of Number of Contracts traded in Stock Index Options.
• 7th Largest Derivatives Exchange in the World.Source:WFE & FIA
Achievements/Milestones
Month/Year Event
November 1992 Incorporation
April 1993 Recognition as a stock exchange.
June 1994 WDM segment goes live.
November 1994 CM segment goes live through VSAT.
October 1995 Became largest stock exchange in the country.
April 1996 Commencement of clearing and settlement by NSCCL.
April 1996 Launch of S&P CNX Nifty.
November 1996 Setting up of National Securities Depository Ltd., first depository in India, co-promoted by NSE.
December 1996 Commencement of trading/settlement in dematerialised securities.
December 1996 Launch of CNX Nifty Junior.
May 1998 Promotion of joint venture, India Index Services & Products Limited (IISL) (along with CRISIL) for index services.
May 1998 Launch of NSE’s Web-site : www.nseindia.com.
July 1998 Launch of ‘NSE’s Certification Programme in Financial Markets’ (NCFM)
October 1999 Setting up of NSE.IT Ltd.
June 2000 Commencement of Derivatives Trading (in Index Futures).
September 2000 Launch of Zero Coupon Yield Curve.
June 2001 Commencement of Trading in Index Options
July 2001 Commencement of Trading in Options on Individual Securities
November 2001 Commencement of Trading in Futures on Individual Securities
January 2002 Launch of Exchange Traded Funds (ETFs).
August 2003 Launch of Futures and Options on CNX IT Index
June 2005 Launch of Futures & Options on BANK Nifty Index
August 2006 Setting up of NSE Infotech Services Ltd.
December 2006 ‘Derivative Exchange of the Year’, by Asia Risk magazine
March 2007 Launch of Gold BeES- Exchange Traded Fund (ETF).(First Gold ETF)
January 2008 Launch of Mini Nifty derivative contracts
March 2008 Launch of long term option contracts on S&P CNX Nifty Index.
Contd...
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Month/Year Event
April 2008 Launch of Securities Lending & Borrowing Scheme
April 2008 Launch of - India VIX* - The Volatility Index
April 2008 Direct Market Access (DMA)
June 2008 Setting up of Power Exchange India Ltd.
July 2008 Launch of NOW ‘Neat on Web’
August 2008 Launch of Currency Derivatives Segment with commencement of trading on Currency Futures on August 29, 2008.
September 2008 Launch of ASBA (Applications supported by Blocked Amount)
February 2009 Cross Margining Benefit in CM and F&O Segment
March 2009 Launch of NSE E-Bids for Debt Segment
August 2009 Launch of Interest Rate Futures
November 2009 Launch of Mutual Fund Service System
December 2009 Commencement of settlement of corporate bonds
February 2010 Trading in Currency Futures on additional currency pairs
February 2010 Listing of Hang Seng BeES ETF on NSE
March 2010 NSE and CME Group announced cross-listing relationship
March 2010 NSE and Singapore Exchange sign Memorandum of Understanding (MOU)
April 2010 NSE and NSCCL receive Asian Banker awards
Developments during the year.
– The innovation of new market products and services continued during 2009-2010. National Stock Exchange became the first exchange to receive approval from SEBI to introduce Exchange traded Interest Rate Futures (IRF) contracts for trading on the Currency Derivatives Segment of the exchange. Trading in IRF commenced on August 31, 2009. On its first day of trading, 14,559 contracts were traded with a total value of ` 267.31 crores.
– In November 2009, SEBI allowed transaction in Mutual Fund schemes through the stock exchange infrastructure. Consequently, NSE launched India's first Mutual Fund Service System (MFSS) on November 30, 2009 through which an investor can subscribe or redeem units of a mutual fund scheme.
– The clearing and settlement of corporate bonds was operationalised at NSCCL on December 01, 2009. As per SEBI circular dated October 16, 2009, all trades in corporate bonds between specified entities, namely, mutual funds, foreign institutional investors/ sub-accounts, venture capital funds, foreign venture capital investors, portfolio mangers, and RBI regulated entities as specified by RBI are required to be cleared and settled through the National Securities Clearing Corporation Limited (NSCCL) or the Indian Clearing Corporation Limited (ICCL). This is applicable to all corporate bonds Over The Counter (OTC) or on the debt segment of Stock Exchanges. All transactions are to be cleared and settled in terms of the norms specified by NSCCL and ICCL.
– Trading in Currency Futures contracts on additional currency pairs - Euro-INR, Pound Sterling-INR and Japanese Yen-INR in the Currency Derivative Segment (CDS) of the Exchange commenced from February 01, 2010.
– Hang Seng BeES ETF - India’s first Exchange Traded Fund (ETF) tracking an overseas stock market index was launched on NSE on February 15, 2010. The open ended ETF aimed to
Contd...
** “VIX” is a trademark of Chicago Board Options Exchange, Incorporated ("CBOE") and Standard & Poor’s has granted a license to NSE, with permission from CBOE, to use such mark in the name of the India VIX and for purposes relating to the India VIX.
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provide domestic investors exposure to companies listed on the Hong Kong Stock Exchange that constitute the Hang Seng index. There are 42 constituent companies in the Hang Seng index such as HSBC Holdings, Hutchison, Cathay Pacific Airways, China Mobile, and PetroChina etc. This product would give Indian markets an exposure to the Chinese market- which is the fastest growing economy in the world.
– The National Stock Exchange of India (NSE) and CME Group, announced cross-listing arrangements, including license agreements covering benchmark indexes for U.S. and Indian equities on March 10, 2010.
They also entered into a Memorandum of Understanding with respect to other areas of potential cooperation, including related to development and distribution of financial products and services. Under the cross-listing arrangements, the S&P CNX Nifty Index (the Nifty 50), the leading Indian benchmark index for large companies accounting for 22 sectors of the Indian economy, will be made available to Chicago Mercantile Exchange (CME), for the creation and listing of U.S. dollar denominated futures contracts for trading on CME, and the rights to the S&P 500® and Dow Jones Industrial Average™ (DJIA® ) will also be made available to NSE for the creation and (subject to regulatory approval) listing of Rupee-denominated futures contracts for trading on NSE. The license to the Nifty 50 from NSE’s affiliate India Index Services & Products Ltd. (IISL), which is exclusive to CME Group within the Americas and Europe, is in addition to the existing licensing arrangement between Singapore Exchange Ltd. (SGX) and IISL. The sublicenses to the S&P 500 and DJIA indexes, which are exclusive to NSE for Rupee -denominated futures contracts traded within India, are being made available via sublicenses from CME Group and each of Standard & Poor’s and Dow Jones, respectively.
– The National Stock Exchange of India Limited (NSE) and Singapore Exchange (SGX) signed a Memorandum of Understanding (MOU) on March 10, 2010 to cooperate in the development of a market for India-linked products. Under the MOU, both exchanges aim to explore future collaboration in the expansion, development and promotion of India-linked products and services to be listed on SGX. Subject to regulatory approval, these products may include equity products and other asset classes. The two exchanges also will look into a bilateral securities trading link to enable investors in one country to seamlessly trade on the other country’s exchange.
– NSE has been awarded ‘The Asian Banker Financial Derivative Exchange of the Year Award” and NSCCL has been awarded ‘The Asian Banker Clearing House of the Year Award” in April 2010. This is the highest award for exchanges that outperform their regional peers in terms of growing financial derivatives related products and trading business and for clearing houses in Asia Pacific region respectively.
The objectives of this award programme was to recognize exchanges, depositories, alternative markets service providers, etc. who are leading the industry in creating sustainable and highly liquid markets of the future, to recognize the use of technology and business models to revolutionize the industry and create global access in an efficient and seamless manner, to validate the leadership of the regional players that maintain the integrity of financial markets, protect investor interests and still lead in innovation, to identify emerging best practices as well as product and process innovations that set the benchmarks for all players to improve their competitive profile. The Asian Banker, is one of Asia’s foremost intelligence provider to the financial services industry. The Asian Banker Markets & Exchanges Achievement Award Programme was instituted in 2010 to recognise the competition amongst exchanges, broker-dealers, financial institutions, fund managers and others in this fascinating and fast changing industry. The programme is also designed to be a repository of evolving best practices from which players can benchmark their own products and processes over the long term.
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FACTS AND FIGURES
The growth in the stock market activity across the different market segments and hightest attained records is visible from the below facts and figures.
Figures as on March 31, 2010
Listed Companies 1,470
Trading Members 1,297
VSATS 2,527
Number of cities having VSATS 186
Securities available for trading in the CM segment 1,806
Contracts available for trading equity derivatives segment @ 23,533
Records reached (data from inception to March 31, 2010)
Parameter Date Magnitude
Capital Market Segment
Number of trades May 19, 2009 11,260,392
Traded Quantity May 19, 2009 19,225.95 lakh
Turnover May 19, 2009 ` 40,151.91 cr. (US $ 8,894.97 mn.)
Market capitalisation January 07, 2008 ` 6,745,724.00 cr. (US $ 1,687,696.77 mn.)
S&P CNX Nifty Index value January 08, 2008 6357.10
CNX Nifty Junior Index value January 04, 2008 13209.35
Futures & Options Segment
Number of trades January 28, 2010 1,971,214
Number of Contracts Traded January 28, 2010 6,300,279
Turnover January 28, 2010 ` 166,193.03 cr. (US $ 36,817.24 mn.)
Currency Derivatives Segment (Currency Futures)
Number of trades January 11, 2010 78,935
Number of Contracts Traded March 30, 2010 4,353,053
Turnover March 30,2010 ` 19,927 cr. (US $ 4,414 mn.)
Wholesale Debt Market Segment
Turnover August 25, 2003 ` 13,911.57 cr. (US $ 3,179.79 mn.)
@ No. of contracts available for trading in F&O segment as on 31st March 2010 includes 3 Nifty index Futures, 3 CNX IT Futures , 3 Bank Nifty Futures, 3 CNX 100 Futures , 3 Nifty Junior Futures, 3 Nifty Midcap50 futures, 3 Mini Nifty Futures, 570 stock futures, 628 Nifty index options, 114 CNX IT options, 140 Bank Nifty options, 86 Nifty Midcap50 options, 98 Mini Nifty Options, 21,882 stock option
Technology and Application Systems in NSE
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 organization to retain its competitive edge and ensure timeliness and satisfaction in customer service. In recognition of the fact that technology will continue to redefi ne the shape of the securities industry, NSE stresses on innovation and
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sustained investment in technology to remain ahead of competition. NSE is the fi rst exchange in the world to use satellite communication technology for trading. It uses satellite communication technology to energize participation from about 2,493 VSATs from nearly 185 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 99.999%. For orders entered by the user, the response time within trading system is around 5ms. 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 (NSEs 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 fi ber 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 3 STM-4 (1.86 GB) high-speed links to keep both the sites all the time synchronized with each other. 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 offi ce applications.
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 offi ce applications. In the front offi ce, there are 7 applications:
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 communication over TCP IP protocol. The application has been benchmarked to support 60,000 users and handle more than 30 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.
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 the trading member.
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.
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.
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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.
NEAT – MF system is an interface with the trading members of the CM segment for order collection of designated Mutual Funds units
NEAT- CD system provides interface for trading in currency derivatives and Interest Rate Futures
NEATPLUS NSE is offering a multi-market front end application NEATPlus to its members. This application provides a common trading platform to NSE members to trade in Capital Market as well as Futures and Options Market segments at NSE. Members can take login in CM and F&O segments in a single terminal with ability to monitor and trade in Equity securities as well as Equity derivatives from single screen. Members can use the existing VSAT/Leased Line connectivity for accessing the NEATPlus application. Multiple market watch screens with Excel like features, ability to select various fonts, customizable color schemes and themes are some of the other salient features of the NEATPlus application.
The exchange also provides a facility to its members to use their own front end software through the CTCL (computer to computer link) facility. The member can either develop his own software or use products developed by CTCL vendors.
In the back offi ce, the following important application systems are operative:
Nationwide Clearing and Settlement System NCSS 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 13 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.
Future and Options Clearing and Settlement System (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.
Currency Derivatives Clearing and Settlement System (CDCSS) is the clearing and settlement system for trades executed in the currency derivative segment. Through collateral management system it keeps an account of all available collateral 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 report.
Surveillance system offers the users a facility to comprehensively monitor the trading activity and analyze the trade data online and offl ine
Online Position Monitoring System (OPMS) OPMS is the online position monitoring system that keeps track of all trades executed for a trading member vis-à-vis its capital adequacy.
Parallel RISk Monitoring System (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
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real time information on initial margin value, mark to market profi t 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.
Parallel RISk Monitoring System – Currency Derivatives (PRISM-CD) is the risk management system of the currency derivatives segment. It is similar in features to the PRISM of F&O Segment.
Data warehousing that is the central repository of all data in CM as well as F&O segment of the Exchange.
Listing system 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.
Membership system that keeps track of all required details of the Trading Members of the Exchange.
The exchange operates and manages a nationwide network. This network includes 9 POPs (Points of Presence) setup across the country and catering to 3070+ leased lines. All the POP’s are connected to DC and DR over high Speed links (Mainly STM’s). All the members are given a 2mb point to point connection to the nearest POP. All the members have a choice of selecting the POP’s based on their offi ce location. Also there are plans to setup additional POPs based on member requirements. The old X.25 VSAT and Leased Line network has been decommissioned completely.
NSE’s existing POPs are build on highly redundant infrastructure connecting to Core and DR setup via high speed redundant backbone links from multiple service providers. Mini POP with low connectivity requirement is fully owned and operated by NSE is proposed to be built in with redundant Infrastructure at Rajkot. Member links would terminate at Mini POP and the traffi c would be routed via a dual backbone pipe to nearby Mini POP. In keeping up with the global trends the Exchange is providing to its members a co-location facility for their DMA and ALGO IT infrastructure at NSEIL premises in BKC shortly.
NOW
NSE is also offering internet based trading services to NSE members. This facility is branded as NOW ‘Neat on Web’ NOW provides an internet portal for NSE members and their authorized clients to transact orders and trades to the various market of NSE viz. CM, F&O and Currency. The members can also access NOW through their existing VSAT/ Leased line, in addition to internet links. The various features provided by NOW are (a) comprehensive Administration features, fl exible risk management system, high speed dealer terminals and online trading facility for investors.
NSE Family
NSCCL
The National Securities Clearing Corporation Ltd. (NSCCL), a wholly-owned subsidiary of NSE, was incorporated in August 1995 and commenced clearing corporation in April 1996. 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 was 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 from the same. It is the first clearing corporation in the country to establish the Settlement Guarantee Fund (SGF) in June 1996. It has been managing, clearing and settlement functions since
12
its inception without a single failure or clubbing of settlements. NSCCL has also introduced the facility of direct payout to clients account on both the depositories viz., NSDL and CDSL.
Today NSCCL settles trades under the T+2 rolling settlement. It has the credit of continuously upgrading the clearing and settlement procedures and has also bought Indian financial markets in line with international markets
NSDL
To promote dematerialization of securities NSE 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% subsidiary of NSE was setup in 1999 to provide thrust to NSE’s technology edge, concomitant with its overall goal of harnessing latest technology for optimum business use. A Vertical Specialist Enterprise, NSE.IT offers end-to-end Information Technology (IT) products, solutions and services. NSE.IT has expertise in a wide range of business applications including high-end mission critical applications requiring real-time processing speeds. Additionally,NSE.IT specializes in providing complete IT solutions to Stock Exchanges, Clearing Corporations, Brokerage Firms, Insurance Firms and other organizations in the financial sector. NSE.IT is focused on developing mission-critical technology solutions for the Financial Services market and the facilitation of change within these markets.
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.
DOTEX INTERNATIONAL LTD.
The data and info-vending products of NSE are provided through a separate company DotEx International Ltd., a 100% subsidiary of NSE, which is a professional set-up dedicated solely for
13
this purpose. DotEx data provides products like : On-line streaming data feed, Intra-day Snapshot data feed, end of day data and Historical Data.
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. It was incorporated in the year 2003. Currently NCDEX facilitates trading of agro based commodities, precious metal, base metal, energy products and 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.
PXIL
A National Level Power Exchange by the name of Power Exchange India Limited (PXIL) 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). PXIL 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.
14
Table 1-1 : Board of Directors *
1 Dr. Vijay L KelkarFormer Chairman, Finance Commission, India Former Union Finance Secretar y and Advisor to the Finance Minister
Chairman
2 Mr. Ravi NarainNational Stock Exchange of India Ltd.
Managing Director
3 Ms. Chitra RamkrishnaNational Stock Exchange of India Ltd.
Joint Managing Director
4 Mr. C. AchuthanFormer Presiding Offi cer, Securities Appellate Tribunal
Director
5 Mr. Anjan BaruaDeputy Managing Director & Group Executive (Global Markets)State Bank of India
Director
6 Mr. A. P. KurianChairmanAssociation of Mutual Funds in India
Director
7 Dr. Rajiv B. LallManaging Director & CEOIDFC Limited
Director
8 Mr. Anand G. MahindraVice Chairman & Managing DirectorMahindra & Mahindra Ltd.
Director
9 Mr. S. B. MainakExecutive Director(Investment-Risk Management and Research)
Director
10 Mr. Y. H. MalegamChairman Emeritus M/s. S.B. Billimoria & Co.Chartered Accountants
Director
11 Mr. S. B. MathurSecretary General, Life Insurance Council &Former Chairman, Life Insurance Corporation of India
Director
12 Dr. KRS Murthy Professor & Former DirectorIndian Institute of Management, Bangalore
Director
13 Dr. R. H. PatilChairmanThe Clearing Corporation of India Ltd.
Director
14 Ms. Bhagyam RamaniGeneral Manager & Director, GIC
Director
15 Dr. V. A. SastryDirector, MUSA Software Engineering Pvt. Ltd.Former Director, Infosys Technologies Ltd.
Director
16 Mr. Deepak M SatwalekarFormer Managing Director & CEO HDFC Standard Life Insurance Company Ltd.
Director
17 Mr. Justice B.N.Srikrishna (Retd.)Former Judge, Supreme Court of India
Director
* As on July 8, 2010
15
Table 1-2 : Executive Committees *
I CM & WDM SEGMENTS
1 Mr. Ravi Narain Managing Director, National Stock Exchange of India Ltd.
Chairman
2 Mr. D. C. Anjaria Director, International Financial Solutions Pvt. Ltd.
Public Representative
3 Mr. D. Balasundaram Chairman, M/s. Coimbatore Capital Limited Trading Member
4 Mr. Vimal Bhandari Country Manager – India AEGON International NV.
Public Representative
5 Mr. Atul Goel Partner, M/s. Pace Financial Services Trading Member
6 Mr. Y. H. Malegam Chairman Emeritus, M/s. S.B.Billimoria & Co., Chartered Accountants
Public Representative
7 Mr. Gagan Rai Managing Director & CEO, National Securities Depository Limited
Other Nominees
8 Ms. Chitra Ramkrishna Joint Managing Director, National Stock Exchange of India Ltd
Other Nominees
9 Mr. Mayank Shah Director, M/s. Anagram Capital Limited Trading Member
10 Mr. Akhilesh Kumar Singh Managing Director & CEO, M/s. Shriram Insight Share Brokers Limited
Trading Member
11 Mr. P. M. Venkatasubramanian Former Managing Director, GIC Other Nominees
II F&O MARKET SEGMENT
1 Mr. Ravi Narain Managing Director, 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 Professor, Indian Institute of Management, Bangalore
Public Representative
4 Ms. Madhabi Puri Buch Managing Director & CEO, M/s. ICICI Securities Limited
Trading Member
5 Mr. Shailesh Haribhakti Executive Chairman & Managing Partner, BDO Haribhakti
Public Representative
6 Mr. M. Raghavendra Former General Manager, General Insurance Corporation of India
Other Nominees
7 Mr. A.V. Rajwade Forex Consultant Public Representative
8 Ms. Chitra Ramkrishna Joint Managing Director, National Stock Exchange of India Ltd
Other Nominees
9 Mr. Rajendra Dolatrai Shah Director, M/s. Nirpan Securities Private Limited
Trading Member
III CD SEGMENT
1 Mr. Ravi Narain Managing Director, National Stock Exchange of India Ltd.
Chairman
2 Mr. M. G.Bhide Former Chairman, Bank of India Public Representative
3 Mr. Conrad D’souza Senior General Manager, Treasury, Housing Development Finance Corporation Ltd
Public Representative
4 Dr. R. H. Patil Chairman, The Clearing Corporation of India Limited
Public Representative
5 Mr. S. Rajendren General Manager- International Banking & Treasury Union Bank Of India
Trading Member
6 Ms. Chitra Ramkrishna Joint Managing Director, National Stock Exchange of India Limited
Other Nominees
7 Mr. Suresh Senapaty Chief Financial Offi cer & Director,Wipro Limited
Public Representative
8 Mr. V. Srikanth Managing Director, Head of Markets, Citi South Asia, Citibank N.A.
Trading Member
* As on July 8, 2010
16
Membership 2
18
19
2Membership
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 fulfi lling 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 refl ects a conscious effort by the Exchange to ensure quality broking services which enables to build and sustain confi dence 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, notifi cations, 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.
• Currency Derivatives (CD) segment.
• CD along with either or all segments listed above.
In order to be admitted as a trading member, the individual trading member/at least two partners of the applicant fi rm/at least two directors of the applicant corporate must be HSC and must possess at least two years’ experience in securities markets. The applicant for trading membership/any of its partners/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. In case of corporate applicant, the minimum paid up capital should be ` 30 lakh and the dominant promoter/shareholder group should hold at least 51% of paid-up equity capital of unlisted corporate entity. In case of listed corporate entity, persons named as promoters in any document for offer of securities to the public or existing shareholders or in the shareholding pattern disclosed by the corporate trading member under the provisions of the Listing Agreement, whichever is later, is deemed to be in control.
20
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 in the different market segments are presented in Table 2-1. With effect from July 1, 2008 a processing fee of ` 10,000/- and an admission fee of ` 5,00,000/- is charged for taking up new membership.
Currency Derivatives Membership
Trading in Currency Derivatives commenced on August 29, 2008 at NSE. The membership of the currency futures market is separate from the membership of the equity derivative segment or the cash segment. Membership for both trading and clearing, in the currency futures market is subject to the guidelines issued by the SEBI. Table 2-1 contains the Eligibility Criteria for Membership in Currency Derivatives for Corporates, Individuals and Firms. Banks authorized by the Reserve Bank of India under section 10 of the Foreign Exchange Management Act, 1999 as ‘AD Category - I bank’ are permitted to become trading and clearing members of the currency futures market of the recognized stock exchanges, on their own account and on behalf of their clients, subject to fulfi lling the following minimum prudential requirements as mentioned below :
a) Minimum net worth of ` 500 crores.
b) Minimum CRAR of 10 per cent.
c) Net NPA should not exceed 3 per cent.
d) Made net profi t for last 3 years.
Growth and Distribution of Members
As at end March 2010, the Exchange had 1,136 members. The growth of membership on NSE is presented in Table 2-2. A total of 41,153 (1,867 corporates, 2,705 partnership fi rms and 36,581 individuals) sub-brokers were affi liated to 609 trading members of the Exchange on March 31, 2010.
21
Tabl
e 2-
1 :
Elig
ibil
ity
Crit
eria
for
Tra
ding
Mem
bers
hip
CORP
ORA
TES
(Am
ount
in `
lakh
)Pa
rtic
ular
s/ S
egm
ents
CM
CM a
nd F
&O
WD
MCM
and
WD
M
CM,W
DM
and
F&
OM
inim
um P
aid-
up c
apit
al30
3030
3030
Net
Wor
th
100
100
(Mem
bers
hip
in C
M
segm
ent
and
Trad
ing/
Trad
ing
and
self
cl
eari
ng m
embe
rshi
p in
F&
O s
egm
ent)
300
(Mem
bers
hip
in C
M
segm
ent
and
Trad
ing
and
Clea
ring
mem
ber-
ship
in
F&O
seg
men
t)
200
200
200(
Mem
bers
hip
in W
DM
seg
men
t,
CM s
egm
ent
and
Trad
ing/
Trad
ing
and
Self
Cle
arin
g m
embe
rshi
p in
F&
O s
egm
ent)
300(
Mem
bers
hip
in W
DM
seg
men
t,CM
seg
men
t an
dTr
adin
g an
d Cl
eari
ng m
embe
rshi
p in
F&
O s
egm
ent)
Inte
rest
Fre
e Se
curi
ty D
epos
it (
IFSD
) w
ith
NSE
IL85
110
150
235
260
Inte
rest
Fre
e Se
curi
ty D
epos
it (
IFSD
) w
ith
NSC
CL15
15 *
NIL
1515
*
Colla
tera
l Sec
urit
y D
epos
it (
CSD
) w
ith
NSC
CL25
25**
NIL
2525
**
Annu
al S
ubsc
ript
ion
11
12
2Ad
vanc
e M
inim
um T
rans
acti
on C
hare
-ge
s fo
r Fu
ture
s Se
gmen
tN
IL1
NIL
NIL
1
Educ
atio
nTw
o di
rect
ors
shou
ld b
e H
SC.
Dea
lers
sho
uld
also
hav
e pa
ssed
SEB
I app
rove
d ce
r-ti
fi cat
ion
test
for
Cap
ital
M
arke
t M
odul
e of
NCF
M.
Two
dire
ctor
s sh
ould
be
HSC
. D
eale
rs s
houl
d al
so h
ave
pass
ed S
EBI a
ppro
ved
cert
ifi ca
tion
tes
t fo
r D
eriv
ativ
es a
nd C
apit
al
Mar
ket
Mod
ule
of N
CFM
.
Two
dire
ctor
s sh
ould
be
HSC
. D
eale
rs s
houl
d al
so
have
pas
sed
FIM
MD
A-N
SE D
ebt
Mar
ket
(Ba-
sic
Mod
ule)
of
NCF
M.
Two
dire
ctor
s sh
ould
be
HSC
. D
eale
rs s
houl
d al
so h
ave
pass
ed
FIM
MD
A-N
SE D
ebt
Mar
ket
(Bas
ic M
odul
e) o
f N
CFM
.&Ca
pita
l Mar
ket
Mod
ule
of
NCF
M.
Two
dire
ctor
s sh
ould
be
HSC
. D
eale
rs s
houl
d al
so h
ave
pass
ed
FIM
MD
A-N
SE D
ebt
Mar
ket
(Bas
ic
Mod
ule)
of
NCF
MCa
pita
l Mar
ket
Mod
ule
of N
CFM
.&SE
BI a
ppro
ved
cert
ifi ca
tion
tes
t fo
r D
eriv
ativ
esEx
peri
ence
----
----
----
---T
wo
year
’s e
xper
ienc
e in
sec
urit
ies
mar
ket-
----
----
----
----
----
--Tr
ack
Reco
rdTh
e D
irec
tors
sho
uld
not
be d
efau
lter
s on
any
sto
ck e
xcha
nge.
Th
ey m
ust
not
be d
ebar
red
by S
EBI
for
bein
g as
soci
ated
wit
h ca
pita
l m
arke
t as
in
term
edia
ries
The
y m
ust
be e
ngag
ed s
olel
y in
the
bus
ines
s of
sec
urit
ies
and
mus
t no
t be
eng
aged
in a
ny f
und-
base
d ac
tivi
ty.
Net
wor
th r
equi
rem
ent
for
Prof
essi
onal
Cle
arin
g m
embe
rs in
F&
O s
egm
ent
is ̀
300
lakh
s. F
urth
er a
Pro
fess
iona
l Cle
arin
g m
embe
r ne
eds
to b
ring
IFSD
of
25 la
khs
wit
h N
SCCL
and
Col
late
ral
Secu
rity
Dep
osit
(CS
D)
of 2
5 la
khs
wit
h N
SCCL
as
depo
sits
.*A
ddit
iona
l IF
SD o
f 25
lak
hs w
ith
NSC
CL i
s re
quir
ed f
or T
radi
ng a
nd C
lear
ing
(TM
-CM
) an
d fo
r Tr
adin
g an
d Se
lf c
lear
ing
mem
ber
(TM
/SCM
).**
Add
itio
nal
Coll
ater
al S
ecur
ity
Dep
osit
(CS
D)
of
25 l
aksh
wit
h N
SCCL
is
requ
ired
for
Tra
ding
and
Cle
arin
g (T
M-C
M)
and
for
Trad
ing
and
Self
cle
arin
g m
embe
r (T
M/S
CM).
In a
ddit
ion,
a m
embe
r cl
eari
ng f
or o
ther
s is
req
uire
d to
bri
ng i
n IF
SD o
f `
2 la
kh a
nd C
SD o
f `
8 la
kh p
er t
radi
ng m
embe
r he
und
erta
kes
to c
lear
in
the
F&O
seg
men
t.Co
ntd.
..
22
Req
uire
men
ts f
or P
rofe
ssio
nal
Clea
ring
Mem
berh
ip
(All
valu
es in
` la
kh)
Part
icul
ars
CM S
egm
ent
F&O
Seg
men
tCM
and
F&
O S
egm
ent
Elig
ibili
tyTr
adin
g M
embe
r of
NSE
/SEB
I Reg
iste
red
Cust
odia
ns/R
ecog
nise
d Ba
nks
Net
Wor
th
300
300
300
Inte
rest
Fre
e Se
curi
ty D
epos
it (
IFSD
) *
2525
34
Colla
tera
l Sec
urit
y D
epos
it (
CSD
)25
2550
Annu
al S
ubsc
ript
ion
2.5
Nil
2.5
* T
he P
rofe
ssio
nal C
lear
ing
Mem
ber
(PCM
) is
req
uire
d to
bri
ng in
IFSD
of
` 2
lakh
and
CSD
of
` 8
lakh
per
tra
ding
mem
ber
who
se t
rade
s he
und
erta
kes
to c
lear
in
the
F&O
seg
men
t an
d IF
SD o
f `
6 la
kh a
nd C
SD o
f `
17.5
lak
h (`
9 l
akh
and
` 25
la
kh r
espe
ctiv
ely
for
corp
orat
e M
embe
rs)
per
trad
ing
mem
ber
in t
he C
M s
egm
ent.
IND
IVID
UA
LS/P
ART
NER
SHIP
FIR
MS
(Am
ount
in `
lakh
)
Part
icul
ars
CM
CM a
nd F
&O
W
DM
CM a
nd
WD
M
CM,W
DM
and
F&
O
Net
Wor
th
7575
(M
embe
rshi
p in
CM
seg
men
t an
d Tr
adin
g m
embe
rshi
p in
F&
O s
egm
ent)
100
(Mem
bers
hip
in C
M s
egm
ent
and
Trad
ing
and
Self
cl
eari
ng m
embe
rshi
p in
the
F&
O s
egm
ent)
300
(Mem
bers
hip
in C
M s
egm
ent
and
Tra
ding
and
Cle
arin
g m
embe
rshi
p in
F&
O s
egm
ent)
200
200
200
(Mem
bers
hip
in W
DM
seg
men
t, C
M
segm
ent
and
Trad
ing/
Trad
ing
and
Self
Cle
arin
g m
embe
rshi
p in
F&
O s
egm
ent)
300
(Mem
bers
hip
in W
DM
seg
men
t,CM
seg
men
t an
d Tr
adin
g an
d cl
eari
ng m
embe
rshi
p on
F&
O
segm
ent)
Inte
rest
Fre
e Se
curi
ty D
epos
it (
IFSD
) w
ith
NSE
IL26
.551
.515
017
6.5
201.
5
Inte
rest
Fre
e Se
curi
ty D
epos
it (
IFSD
) w
ith
NSC
CL6
6 *
NIL
66*
Colla
tera
l Sec
urit
y D
epos
it (
CSD
) w
ith
NSC
CL17
.517
.5 *
*N
IL17
.517
.5 *
*
Annu
al S
ubsc
ript
ion
0.5
0.5
11.
51.
5
Adva
nce
Min
imum
Tra
nsac
tion
Cha
rege
s fo
r Fu
ture
s Se
gmen
tN
IL1
NIL
NIL
1
* A
ddit
iona
l IF
SD o
f 25
lak
hs w
ith
NSC
CL i
s re
quir
ed f
or T
radi
ng a
nd C
lear
ing
(TM
-CM
) an
d fo
r Tr
adin
g an
d Se
lf c
lear
ing
mem
ber
(TM
/SCM
).**
Add
itio
nal
Coll
ater
al S
ecur
ity
Dep
osit
(CS
D)
of
25 l
akh
wit
h N
SCCL
is
requ
ired
for
Tra
ding
and
Cle
arin
g (T
M-C
M)
and
for
Trad
ing
and
Self
cle
arin
g m
embe
r (T
M/S
CM).
Cont
d...
Cont
d...
23
CURR
ENCY
DER
IVAT
IVES
- Co
rpor
ates
, In
divi
dual
s an
d Fi
rms
(Am
ount
in `
lakh
)
Part
icul
ars
NSE
Mem
bers
NCD
EX M
embe
rsN
ew A
pplic
ants
Trad
ing
Mem
bers
hip
Trad
ing
cum
Cl
eari
ng M
embe
rshi
pTr
adin
g M
embe
rshi
pTr
adin
g cu
m
Clea
ring
Mem
bers
hip
Trad
ing
Mem
bers
hip
Trad
ing
cum
Cl
eari
ng M
embe
rshi
pPr
ofes
sion
al C
lear
ing
Mem
bers
hip
Net
wor
th10
010
0010
010
0010
010
0010
00
Cash
to
NSE
IL2
22
22
2 -
Non
-cas
h to
NSE
IL8
810
.513
1318
-
Cash
to
NSC
CL -
25 -
25 -
2525
Non
cas
h to
NSC
CL -
25 -
25 -
2525
Educ
atio
nTw
o di
rect
ors
shou
ld
be H
SC.
Two
dire
ctor
s sh
ould
be
HSC
.Tw
o di
rect
ors
shou
ld
be H
SC.
Two
dire
ctor
s sh
ould
be
HSC
.Tw
o di
rect
ors
shou
ld
be H
SC.
Two
dire
ctor
s sh
ould
be
HSC
.Tw
o di
rect
ors
shou
ld
be H
SC.
Dea
lers
sho
uld
also
hav
e pa
ssed
SE
BI a
ppro
ved
Nat
iona
l Ins
titu
te o
f Se
curi
ties
Mar
kets
(N
ISM
) Se
ries
I –
Curr
ency
Der
ivat
ives
Ce
rtifi
cati
on
Exam
inat
ion
Dea
lers
sho
uld
also
hav
e pa
ssed
SE
BI a
ppro
ved
Nat
iona
l Ins
titu
te o
f Se
curi
ties
Mar
kets
(N
ISM
) Se
ries
I –
Curr
ency
Der
ivat
ives
Ce
rtifi
cati
on
Exam
inat
ion
Dea
lers
sho
uld
also
hav
e pa
ssed
SE
BI a
ppro
ved
Nat
iona
l Ins
titu
te o
f Se
curi
ties
Mar
kets
(N
ISM
) Se
ries
I –
Curr
ency
Der
ivat
ives
Ce
rtifi
cati
on
Exam
inat
ion
Dea
lers
sho
uld
also
hav
e pa
ssed
SE
BI a
ppro
ved
Nat
iona
l Ins
titu
te o
f Se
curi
ties
Mar
kets
(N
ISM
) Se
ries
I –
Curr
ency
Der
ivat
ives
Ce
rtifi
cati
on
Exam
inat
ion
Dea
lers
sho
uld
also
hav
e pa
ssed
SE
BI a
ppro
ved
Nat
iona
l Ins
titu
te o
f Se
curi
ties
Mar
kets
(N
ISM
) Se
ries
I –
Curr
ency
Der
ivat
ives
Ce
rtifi
cati
on
Exam
inat
ion
Dea
lers
sho
uld
also
hav
e pa
ssed
SE
BI a
ppro
ved
Nat
iona
l Ins
titu
te o
f Se
curi
ties
Mar
kets
(N
ISM
) Se
ries
I –
Curr
ency
Der
ivat
ives
Ce
rtifi
cati
on
Exam
inat
ion
Dea
lers
sho
uld
also
hav
e pa
ssed
SE
BI a
ppro
ved
Nat
iona
l Ins
titu
te o
f Se
curi
ties
Mar
kets
(N
ISM
) Se
ries
I –
Curr
ency
Der
ivat
ives
Ce
rtifi
cati
on
Exam
inat
ion
Expe
rien
ce--
----
----
----
-Tw
o ye
ar’s
exp
erie
nce
in s
ecur
itie
s m
arke
t---
----
----
----
----
----
Trac
k Re
cord
The
Dir
ecto
rs s
houl
d no
t be
def
ault
ers
on a
ny s
tock
exc
hang
e. T
hey
mus
t no
t be
deb
arre
d by
SEB
I for
bei
ng a
ssoc
iate
d w
ith
capi
tal m
arke
t as
inte
rmed
iari
es.
They
m
ust
be e
ngag
ed s
olel
y in
the
bus
ines
s of
sec
urit
ies
and
mus
t no
t be
eng
aged
in a
ny f
und-
base
d ac
tivi
ty.
In c
ase
the
mem
ber
is o
ptin
g fo
r m
embe
rshi
p of
any
oth
er s
egm
ent(
s) in
com
bina
tion
wit
h th
e m
embe
rshi
p of
Cur
renc
y D
eriv
ativ
es s
egm
ent,
the
app
licab
le n
et w
orth
will
be
the
min
imum
ne
t w
orth
req
uire
d fo
r th
e ot
her
segm
ent(
s) o
r th
e m
inim
um n
et w
orth
req
uire
d fo
r Cu
rren
cy D
eriv
ativ
es S
egm
ent,
whi
chev
er is
hig
her.
The
elig
ibili
ty c
ondi
tion
for
app
lican
ts p
lann
ing
to a
pply
for
new
mem
bers
hip
of t
he E
xcha
nge
is t
hat
eith
er t
he p
ropr
ieto
r/on
e de
sign
ated
dir
ecto
r/pa
rtne
r or
the
Com
plia
nce
Offi
cer
of
the
appl
ican
t en
tity
sho
uld
be s
ucce
ssfu
lly c
erti
fi ed
eith
er in
Sec
urit
ies
Mar
ket
(Bas
ic)
Mod
ule
or C
ompl
ianc
e O
ffi c
ers
(Bro
kers
) M
odul
e or
the
rel
evan
t m
odul
e pe
rtai
ning
to
the
segm
ents
w
here
in m
embe
rshi
p of
the
Exc
hang
e ha
d be
en s
ough
t.In
add
itio
n to
the
ind
ivid
uals
, co
rpor
ates
and
par
tner
ship
fi r
ms,
Ban
ks a
utho
rize
d by
the
Res
erve
Ban
k of
Ind
ia u
nder
sec
tion
10
of t
he F
orei
gn E
xcha
nge
Man
agem
ent
Act,
199
9 as
‘AD
Ca
tego
ry-
I ban
k’ t
o be
com
e tr
adin
g an
d cl
eari
ng m
embe
rs o
f th
e cu
rren
cy f
utur
es m
arke
t of
the
rec
ogni
zed
stoc
k ex
chan
ges,
on
thei
r ow
n ac
coun
t an
d on
beh
alf
of
thei
r cl
ient
s, s
ubje
ct
to m
inim
um p
rude
ntia
l req
uire
men
ts o
f m
inim
um n
et w
orth
of
` 50
0 cr
ores
, m
inim
um C
RAR
of 1
0 pe
r ce
nt,
net
NPA
not
exc
eedi
ng 3
per
cen
t an
d ne
t pr
ofi t
sho
uld
have
bee
n m
ade
for
the
last
3 y
ears
.Th
e AD
Cat
egor
y-I b
anks
whi
ch f
ulfi l
l the
pru
dent
ial
requ
irem
ents
are
req
uire
d to
lay
dow
n de
taile
d gu
idel
ines
wit
h th
e ap
prov
al o
f th
eir
Boar
ds f
or t
radi
ng a
nd c
lear
ing
of c
urre
ncy
futu
res
cont
ract
s an
d m
anag
emen
t of
ris
ks.
AD C
ateg
oty-
I ban
ks w
hich
do
not
mee
t th
e ab
ove
min
imum
pru
dent
ial r
equi
rem
ents
and
AD
Cat
egot
ry-
I ban
ks w
hich
are
Urb
an C
o-op
erat
ive
bank
s or
St
ate
Co-o
pera
tive
ban
ks c
an p
arti
cipa
te in
the
cur
renc
y fu
ture
s m
arke
t on
ly a
s cl
ient
s, s
ubje
ct t
o ap
prov
al t
here
fore
fro
m t
he r
espe
ctiv
e re
gula
tory
Dep
artm
ents
of
the
Rese
rve
Bank
.
Cont
d...
24
Table 2-2 : Distribution of Members
Month/Year(end of period)
CM WDM CDS CM/WDM/F&O/CDS
Apr-09 116 5 39 1,074
May-09 116 5 42 1,076
Jun-09 115 5 44 1,078
Jul-09 113 5 21 1,088
Aug-09 110 5 33 1,093
Sep-09 105 5 34 1,103
Oct-09 103 5 38 1,111
Nov-09 104 5 41 1,115
Dec-09 105 5 43 1,118
Jan-10 107 5 46 1,122
Feb-10 108 5 47 1,123
Mar-10 108 5 48 1,136
Listing of Securities 3
26
27
3Listing of Securities
NSE plays an important role in helping Indian companies access equity capital, by providing
a liquid and well-regulated market. As of March 2010, there were 1,470 companies listed on
NSE. The companies listed on the Exchange are from various sectors of the economy such as -
- heavy industry, software, refinery, public sector units, infrastructure, and financial services.
Wide range of securities such as stocks, bonds and other securities can be listed in the Capital
Market (Equities) segment and its Wholesale Debt Market segment. 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.
Listing Criteria
The Exchange has laid down criteria for listing of new issues by companies through IPOs, companies
listed on other exchanges etc. in conformity with the Securities Contracts (Regulation) Rules,
1957, SEBI Guidelines and other relevant guidelines/acts. 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.
28
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.
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 through postal ballot, make a public announcement in the manner provided in
these guidelines, make an application to the delisting exchange for seeking in-principle approval
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 have to 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.
29
The companies delisted during 2009-10 are mentioned in the table below.
Name of the Company Date of Delisting
The Madras Aluminium Company Limited* 19-Jun-09
Lotte India Corporation Limited* 31-Jul-09
Matrix Laboratories Limited* 21-Aug-09
Pearl Global Limited* 21-Aug-09
SI Group - India Limited* 23-Sep-09
PHIL Corporation Limited^ 9-Feb-10
* Delisting of equity shares of the company on account of Voluntary delisting pursuant to SEBI Delisting Guidelines-2003.
^ Delisting of equity shares of the company on account of Voluntary delisting pursuant to Securities and Exchange Board of India (Delisting of Equity Shares) Regulations, 2009.
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. At the end
of March 2010, 1,470 companies were listed, 37 companies were permitted for trading and
1,359 were available for trading. These securities had a market capitalisation of ` 6,009,173
crore (US $ 1,331,230 million). The growth of companies listed on the CM segment is presented
in Table 3-1.
Chart 3-1 : Companies Listed at end of March
30
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
( ` )
1 Initial Listing Fees 25,000
2 Annual Listing Fees (based on paid up share, bond and/ or debenture and/or debt capital, etc.)
a) Upto ` 1 Crore 10,000
b) Above ` 1 Crore and upto ` 5 Crores 15,000
c) Above ` 5 Crore and upto ` 10 Crores 25,000
d) Above ` 10 Crore and upto ` 20 Crores 45,000
e) Above ` 20 Crore and upto ` 30 Crores 70,000
f) Above ` 30 Crore and upto ` 40 Crores 75,000
g) Above ` 40 Crore and upto ` 50 Crores 80,000
h) Above ` 50 Crores and upto ` 100 Crores 1,30,000
i) Above ` 100 Crore and upto ` 150 Crores 1,50,000
j) Above ` 150 Crore and upto ` 200 Crores 1,80,000
k) Above ` 200 Crore and upto ` 250 Crores 2,05,000
l) Above ` 250 Crore and upto ` 300 Crores 2,30,000
m) Above ` 300 Crore and upto ` 350 Crores 2,55,000
n) Above ` 350 Crore and upto ` 400 Crores 2,80,000
o) Above ` 400 Crore and upto ` 450 Crores 3,25,000
p) Above ` 450 Crore and upto ` 500 Crores 3,75,000
Companies which have a paid up share, bond and/ or debenture and/or debt capital, etc. of more
than ` 500 crores will have to pay minimum fees of ` 3,75,000 and an additional listing fees of
` 2,500 for every increase of ̀ 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 ` 1,000 crores will have to pay minimum fees of ` 6,30,000 and an additional listing fees of
` 2,750 for every increase of ̀ 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 a presents the sector-wise shareholding pattern at end-March 2010 of companies listed on NSE. On an average, the promoters hold more than 57.83% of total shares. Though the public shareholding is nearly 39.86%, Indian public held only 12.03% and the institutional holdings by (Financial Institutions, Banks, Central and State governments, Insurance companies, FIIs , MFs, VCF’s and FVCF’s) accounted for 18.37 %. Table 3-3 b shows that around 9.13% of the
total shares held by promoters are pledged.
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 for trading in the
31
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 2010, 4,140 securities with issued capital of ` 3,150,880 crore (US $ 698,024 million)
and a market capitalisation of ` 3,165,929 crore (US $ 701,358 million) were available for trading
on the WDM segment.
Funds Mobilisation on the Exchange
During the year 2009-10, the resources raised through Public Issues, Rights Issues, QIP and
Preferential Allotments is summarized in the table below and Chart 3-2.
Particulars
No. of Issues
Amount
( ` cr) (US $ mn)
Equity Public Issues 36 45,624 10,107
IPOs 33 23,684 5,247
FPOs 3 21,941 4,861
Rights Issues 16 4,893 1,084
QIP 64 42,484 9,412
Preferential Allotment 134 15,530 3,440
Non-Convertible Debentures 3 2,500 554
Initial Public Offer 1 1,000 443
Further Issue 2 1,500 111
Total 253 111,032 24,597
Chart 3-2 : No. of issues through various instruments during 2009-10
32
Public Issues
Initial Public Offerings (IPO’s)
Equity Shares
During the year 2009-10, 33 companies were listed through IPO mobilizing an amount of ` 23,684
crore (US $ 5,247 million). NHPC Limited was the largest IPO raising ̀ 6,038.55 crore (US $ 1,337.74
million) followed by Adani Power Limited raising ̀ 3,016.52 crore (US $ 668.26 million). The details
of IPOs listed on NSE during 2009-10 is presented in Table 3-6.
Non Convertible Debentures (NCDs)
During 2009-10, there were three NCD issues. L&T Finance came out with its initial public offer in
form of non-convertible debentures in September 2010. In March 2010, Shriram Transport Finance
Co. ltd. and L&T Finance came out with further issue in the form of non-convertible debentures.
Details about the resource mobilisation through NCDs is given in the table below:
S.No. Name of Company Date Amount Mobilised ( ` crs)
1 Shriram Transport Finance Co. Ltd.** 4-Sep-09 1000
2 L&T Finance Limited* 24-Sep-09 1000
3 L&T Finance Limited** 16-Mar-10 500
* The NCD issue is Initial Public Offer. ** The NCD issue is a further public offer.
Rights Issue
There were 16 Rights issues during 2009-10, out of which Religare Enterprises Ltd. was the largest
in terms of issue size of ` 1,814.31 crore (US $ 401.93 million). The details of Rights Issues listed
on NSE during 2009-10 is presented in Table 3-7.
Preferential Allotment / Private Placement
During 2009-10, there were 134 preferential allotments that raised ` 15,530.30 crore
(US $ 3,440.47 million). The details of Preferential Allotment listed on NSE during 2009-10 are
presented in Table 3-8.
QIPs
The amount raised through 64 QIPs during 2009-10, was ` 42,484.45 crore (US $ 9411.71 million).
The details of QIPs are presented in Table 3-9.
33
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 Capital (PUEC)/Market Capitalisation (MC) /Net Worth
PUEC ≥ ` 10 cr. and MC ≥ ` 25 cr. PUEC ≥ ` 10 cr. and MC ≥ ` 25 cr. OR PUEC ≥ ` 25 cr. ORMC ≥ ` 50 cr. OR The company shall have a net worth of not less than ` 50 crores in each of the preceding financial years.
Company/Promoter’s Track Record
Atleast 3 years track record of eithera) 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.
Atleast three years track record of either
a) the applicant seeking listing; ORb) 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 ` 50 crores OR The applicant has distributable profits in at least two out of the last three financial years.
Listing Listed on any other 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.
(b) Satisfactory redressal mechanism for investor grievances,
(c) distribution of shareholding (d) details of llitigation record in past
3 years.(e) Track record of Directors of the
Company
(a) No disciplinary action by other stock exchanges/regulatory authority in past 3 yrs.
(b) Satisfactory redressal mechanism for investor grievances,
(c) distribution of shareholding and (d) details of llitigation record in past
3 years.(e) Track record of Directors of the Company(f) Change in control of a Company/
Utilisation of funds raised from public
34
Note:
1. (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.
2. (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 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 as quoted on the National Stock Exchange during the last twelve months and if the shares are not traded on the National Stock Exchange such average price on any of the recognised Stock Exchanges where those shares are 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 ` 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, clarifi cations 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 profi t 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.
35
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 Capitalisation *
( ` 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
Mar-01 785 320 1,029 657,847 141,048
Mar-02 793 197 890 636,861 130,504
Mar-03 818 107 788 537,133 113,081
Mar-04 909 18 787 1,120,976 258,349
Mar-05 970 1 839 1,585,585 362,419
Mar-06 1,069 --- 929 2,813,201 630,621
Mar-07 1,228 --- 1,084 3,367,350 772,505
Mar-08 1,381 --- 1,236 4,858,122 1,215,442
Apr-08 1,390 --- 1,244 5,442,780 1,068,259
May-08 1,398 --- 1,252 5,098,873 1,000,760
Jun-08 1,407 --- 1,262 4,103,651 805,427
Jul-08 1,417 --- 1,272 4,432,427 869,956
Aug-08 1,422 --- 1,278 4,472,461 877,814
Sep-08 1,424 --- 1,278 3,900,185 765,493
Oct-08 1,431 --- 1,282 2,820,388 553,560
Nov-08 1,430 --- 1,286 2,653,281 520,762
Dec-08 1,428 --- 1,283 2,916,768 572,477
Jan-09 1,427 --- 1,286 2,798,707 549,305
Feb-09 1,425 --- 1,284 2,675,622 525,147
Mar-09 1,432 --- 1,291 2,896,194 568,439
Apr-09 1,420 -- 1,279 3,375,025 747,679
May-09 1,425 -- 1,280 4,564,572 1,011,203
Jun-09 1,426 -- 1,282 4,432,596 981,966
Jul-09 1,430 -- 1,287 4,816,459 1,067,005
Aug-09 1,431 -- 1,288 4,975,800 1,102,304
Sep-09 1,434 -- 1,287 5,353,880 1,186,061
Oct-09 1,439 -- 1,291 5,024,830 1,113,166
Nov-09 1,443 10 1,292 5,430,088 1,202,944
Dec-09 1,453 10 1,303 5,699,637 1,262,658
Jan-10 1,457 31 1,338 5,782,965 1,281,118
Feb-10 1,461 31 1,342 5,755,305 1,274,990
Mar-10 1470 37 1359 6,009,173 1,331,230
2009-10 1,470 37 1,359 6,009,173 1,331,230
* At the end of the period @ Excludes suspended companies.
36
Tabl
e 3-
3 a
: Sh
areh
oldi
ng P
atte
rn a
t th
e en
d of
Mar
ch 2
010
of c
ompa
nies
Lis
ted
on N
SE(i
n pe
rcen
t)
Sect
ors
Prom
oter
sPu
blic
Shar
es h
eld
by
Cust
odia
ns a
nd a
gain
st
whi
ch D
epos
i-to
ryRe
ceip
ts h
ave
been
issu
ed
Indi
an
Prom
oter
sFo
reig
n Pr
omot
ers
Inst
itutio
nal
Non-
Inst
itutio
nal
Fina
ncia
l Ins
titu-
tions
/Ba
nks/
Cent
ral
Gove
rnm
ent/
Stat
e Go
vern
men
t(s)
/In
sura
nce
Com
pani
es
Fore
ign
Inst
itu-
tiona
l Inv
esto
rsM
utua
l Fun
dsVe
ntur
e Ca
pita
l Fun
dsin
clud
ing
Fore
ign
Ven-
ture
Cap
ital
Fund
s
Any
othe
rBo
dies
Co
rpor
ate
Indi
vidu
als
Any
Oth
er
Bank
s 45
.94
1.08
9.85
16.0
23.
500.
000.
405.
7512
.68
0.86
3.92
Engi
neer
ing
27.3
61.
7610
.84
8.28
10.8
20.
000.
6110
.98
20.8
47.
491.
00
Fina
nce
42.9
01.
828.
1516
.53
3.35
0.00
0.67
6.76
15.5
54.
020.
24
FMCG
20
.24
14.9
411
.90
14.0
97.
180.
000.
005.
6312
.71
13.0
20.
28
Info
rmat
ion
Tech
nolo
gy
41.7
76.
382.
4711
.68
2.32
0.15
0.17
6.87
16.7
14.
746.
75
Infr
astr
uctu
re
71.1
82.
553.
898.
902.
030.
450.
003.
195.
871.
870.
06
Man
ufac
turin
g 44
.98
8.82
6.43
8.79
3.44
0.02
0.30
6.68
15.0
32.
333.
21
Med
ia &
Ent
erta
inm
ent
49.2
83.
541.
577.
064.
720.
160.
009.
6612
.63
2.10
9.28
Petr
oche
mic
als
54.7
36.
784.
926.
082.
470.
000.
316.
1510
.64
3.26
4.64
Phar
mac
eutic
als
39.2
910
.75
4.25
8.78
3.85
0.12
0.40
7.43
20.3
23.
171.
63
Serv
ices
45
.27
11.5
85.
498.
053.
900.
600.
007.
9712
.35
4.09
0.71
Tele
com
mun
icat
ion
52.5
57.
805.
298.
641.
570.
000.
003.
989.
4810
.05
0.64
Misc
ella
neou
s50
.21
2.26
1.98
8.10
2.92
0.00
0.04
9.46
18.9
25.
620.
48
Num
ber o
f Sha
res
123,
995,
584,
268
14,
869,
503,
195
13,
365,
229,
286
22,
993,
197,
680
7,3
79,3
82,0
03
363,
160,
395
456
,187
,691
1
3,78
9,87
8,53
8 2
8,87
6,28
4,06
1 8
,495
,555
,436
5
,536
,759
,300
% to
Tot
al N
umbe
r of S
hare
s51
.64
6.19
5.57
9.58
3.07
0.15
0.19
5.74
12.0
33.
542.
31
37
Table 3-3 b : Sectorwise Pledged Shares of Promoters of Companies Listed at NSE ar the end of March 2010.
Sectors Indian Promoters
(No.)
Foreign Promoters
(No.)
Shares pledged(No.)
%age of pledged shares
Banks 6,108,864,413 143,446,889 5,924,955 0.09
Engineering 443,448,622 28,590,809 17,793,262 3.77
Finance 4,337,315,551 184,031,799 75,975,376 1.68
FMCG 2,079,925,510 1,535,216,594 242,927,311 6.72
Information Technology 5,412,785,833 826,972,951 394,413,453 6.32
Infrastructure 43,003,555,153 1,540,126,582 5,531,874,706 12.42
Manufacturing 30,510,730,999 5,979,738,065 3,289,368,642 9.01
Media & Entertainment 2,730,830,464 196,254,541 575,236,403 19.65
Petrochemicals 12,408,195,923 1,537,897,877 637,863,199 4.57
Pharmaceuticals 2,782,337,615 761,540,572 156,201,607 4.41
Services 3,432,491,991 877,784,737 631,782,904 14.66
Telecommunication 7,490,950,815 1,111,238,881 580,510,998 6.75
Miscellaneous 3,254,151,379 146,662,898 545,277,625 16.03
Total 123,995,584,268 14,869,503,195 12,685,150,441 9.13
38
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 ` 10 crores; or● Market capitalisation of ` 25 crores (In case of unlisted companies Networth more than ` 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: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
● Qualifi es for listing under SEBI’s Regulations
Infrastructure companies● Tax exemption and recognition
as infrastructure company under related statutes/regulations
● Qualifi es for listing under the respective Acts, Rules or Regulations under which the securities are issued.
● Credit rating
Financial Institutions u/s. 4A of Companies Act, 1956 including Industrial Development Corporations
Public Issue Private Placement
Qualifi es for listing under the respective Acts, Rules or Regulations under which the securities are issued.
Credit rating
Banks ● Scheduled banks ● Networth of ` 50 crores or
above● Qualifi es for listing under
the respective Acts, Rules or Regulations under which the securities are issued.
● Scheduled Banks● Networth of ` 50 crores or
above● Credit rating
Table 3-5 : Securities Available for Trading on WDM Segment (as on March 31)
Securities 2009 2010
Number Amount Amount Number Amount Amount
( ` cr) (US $ mn) ( ` cr) (US $ mn)
Government Securities 1,391 2,272,333 445,993 1,461 2,472,978 547,846
T-Bills 52 147,617 28,973 54 137,500 30,461
PSU Bonds 783 129,499 25,417 795 161,904 35,867
Institutional. Bonds 263 57,628 11,311 299 77,568 17,184
Bank Bonds 459 132,662 26,038 518 164,385 36,417
Corporate Bonds 1,000 107,782 21,154 992 133,428 29,559
Others 6 795 156 21 3,117 690
Total 3,954 2,848,315 559,041 4,140 3,150,880 698,024
39
Cont
d...
Tabl
e 3-
6 :
Init
ial
Publ
ic O
ffer
ings
(IP
Os)
dur
ing
2009
-10
Sr.
No.
Com
pany
Nam
eSe
ctor
Issu
e si
ze
Dat
e of
Li
stin
gN
o. o
f Se
curi
-ti
es is
sued
Issu
e Pr
ice
Clos
e Pr
ice
on
fi rst
day
of t
radi
ng
/ Li
stin
g Pr
ice
Clos
e Pr
ice
at
end
of
Mar
ch
2010
Pric
e A
ppre
cia-
tion
/ D
epre
cia-
tion
on
the
fi rst
da
y of
tra
ding
wit
h th
e is
sue
pric
e
Pric
e A
ppre
-ci
atio
n/ D
epre
-ci
atio
n at
end
M
arch
200
9w
ith
the
issu
e pr
ice
( `
cr)
( `
)(
` )
( `
)(i
n %
)(i
n %
)
Equi
ty Is
sues
1M
ahin
dra
Hol
iday
s &
Res
orts
Indi
a Li
mit
edSe
rvic
es27
7.96
16-J
ul-0
9 9
,265
,275
30
0.00
317
.45
544
.70
5.82
81.5
7
2Ex
cel I
nfow
ays
Lim
ited
Serv
ices
48.1
73-
Aug-
09 5
,667
,079
85
.00
95.
85
39.
55
12.7
6-5
3.47
3Ra
j O
il M
ills
Lim
ited
Man
ufac
turi
ng11
4.00
12-A
ug-0
9 9
,500
,008
12
0.00
119
.25
59.
75
-0.6
3-5
0.21
4Ad
ani P
ower
Lim
ited
Infr
astr
uctu
re30
16.5
220
-Aug
-09
301
,652
,031
10
0.00
100
.10
116
.00
0.10
16.0
0
5N
HPC
Lim
ited
Infr
astr
uctu
re60
38.5
51-
Sep-
09 1
,677
,374
,015
36
.00
36.
75
30.
45
2.08
-15.
42
6Ji
ndal
Cot
ex L
imit
edM
anuf
actu
ring
93.4
322
-Sep
-09
12,
457,
034
75.0
0 8
7.30
8
1.00
16
.40
8.00
7G
lobu
s Sp
irit
s Li
mit
edFM
CG75
.00
23-S
ep-0
9 7
,500
,000
10
0.00
91.
00
135
.35
-9.0
035
.35
8O
il In
dia
Lim
ited
Petr
oche
mic
als
2777
.25
30-S
ep-0
9 2
6,44
9,98
2 10
50.0
0 1
,141
.20
1,1
54.7
5 8.
699.
98
9Pi
pava
v Sh
ipya
rd L
imit
edSe
rvic
es49
8.66
9-O
ct-0
9 8
5,45
0,22
5 58
.00
56.
70
70.
20
-2.2
421
.03
10Eu
ro M
ulti
visi
on L
imit
edIn
form
atio
n Te
chno
logy
66.0
015
-Oct
-09
8,8
00,0
49
75.0
0 5
3.55
2
4.10
-2
8.60
-67.
87
11Th
inks
oft
Glo
bal S
ervi
ces
Lim
ited
Info
rmat
ion
Tech
nolo
gy45
.58
26-O
ct-0
9 3
,646
,000
12
5.00
164
.40
189
.55
31.5
251
.64
12In
diab
ulls
Pow
er L
imit
edIn
fras
truc
ture
1529
.10
30-O
ct-0
9 3
39,8
00,0
00
45.0
0 3
9.50
3
0.75
-1
2.22
-31.
67
13D
en N
etw
orks
Lim
ited
Med
ia &
Ent
erta
inm
ent
364.
4524
-Nov
-09
18,
567,
240
195.
00 1
63.4
0 1
95.7
5 -1
6.21
0.38
14As
tec
Life
Scie
nces
Lim
ited
Petr
oche
mic
als
61.5
025
-Nov
-09
7,5
00,1
50
82.0
0 8
4.00
4
9.15
2.
44-4
0.06
15Co
x An
d Ki
ngs
(Ind
ia)
Lim
ited
Se
rvic
es
610.
3911
-Dec
-09
18,
496,
640
330.
00 4
25.4
0 4
81.3
5 28
.91
45.8
6
16JS
W E
nerg
y Li
mit
edIn
fras
truc
ture
26
57.7
34-
Jan-
10 2
67,3
26,6
04
100.
00 1
00.8
5 1
11.8
5 0.
8511
.85
17G
odre
j Pr
oper
ties
Lim
ited
Infr
astr
uctu
re
468.
855-
Jan-
10 9
,429
,750
49
0.00
537
.25
511
.55
9.64
4.40
18D
. B.
Cor
p Li
mit
edSe
rvic
es38
4.22
6-Ja
n-10
18,
175,
000
212.
00 2
65.9
0 2
39.9
0 25
.42
13.1
6
19M
BL In
fras
truc
ture
s Li
mit
edIn
fras
truc
ture
10
2.60
11-J
an-1
0 5
,700
,000
18
0.00
206
.55
226
.20
14.7
525
.67
40
Sr.
No.
Com
pany
Nam
eSe
ctor
Issu
e si
ze
Dat
e of
Li
stin
gN
o. o
f Se
curi
-ti
es is
sued
Issu
e Pr
ice
Clos
e Pr
ice
on
fi rst
day
of t
radi
ng
/ Li
stin
g Pr
ice
Clos
e Pr
ice
at
end
of
Mar
ch
2010
Pric
e A
ppre
cia-
tion
/ D
epre
cia-
tion
on
the
fi rst
da
y of
tra
ding
wit
h th
e is
sue
pric
e
Pric
e A
ppre
-ci
atio
n/ D
epre
-ci
atio
n at
end
M
arch
200
9w
ith
the
issu
e pr
ice
( `
cr)
( `
)(
` )
( `
)(i
n %
)(i
n %
)
20In
fi nit
e Co
mpu
ter
Sol L
tdIn
form
atio
n Te
chno
logy
189.
8383
3-Fe
b-10
11,
505,
352
165.
00 1
91.8
0 1
90.7
0 16
.24
15.5
8
21Ju
bila
nt F
oodw
orks
Lim
ited
Man
ufac
turi
ng32
8.72
8-Fe
b-10
22,
670,
452
145.
00 2
29.1
0 3
13.6
0 58
.00
116.
28
22Sy
ncom
Hea
lthc
are
Lim
ited
Phar
mac
euti
cals
56.2
515
-Feb
-10
7,5
00,0
00
75.0
0 8
7.75
1
20.6
0 17
.00
60.8
0
23Va
scon
Eng
inee
rs L
tdM
anuf
actu
ring
178.
2015
-Feb
-10
10,
800,
000
165.
00 1
48.0
5 1
54.9
0 -1
0.27
-6.1
2
24Th
anga
may
il Je
wel
lery
Ltd
Mis
cella
neou
s28
.75
19-F
eb-1
0 3
,833
,667
75
.00
71.
05
81.
55
-5.2
78.
73
25Aq
ua L
ogis
tics
Ltd
Serv
ices
152.
1623
-Feb
-10
6,9
16,2
25
220.
00 2
44.6
0 2
71.0
5 11
.18
23.2
0
26D
B R
ealt
y Li
mit
edIn
fras
truc
ture
1500
.00
24-F
eb-1
0 3
2,05
1,28
2 46
8.00
456
.20
453
.85
-2.5
2-3
.02
27Em
mbi
Pol
yarn
s Lt
dM
isce
llane
ous
38.9
624
-Feb
-10
8,6
57,7
00
45.0
0 2
8.75
2
0.65
-3
6.11
-54.
11
28H
athw
ay C
able
& D
atac
omM
edia
& E
nter
tain
men
t66
6.00
25-F
eb-1
0 2
7,75
0,00
0 24
0.00
207
.65
207
.50
-13.
48-1
3.54
29AR
SS In
fras
truc
ture
Pro
ject
s Li
mit
edIn
fras
truc
ture
103.
023-
Mar
-10
2,2
89,2
30
450.
00 7
37.4
5 9
28.1
0 63
.88
106.
24
30Te
xmo
Pipe
s an
d Pr
oduc
ts L
imit
edM
anuf
actu
ring
45.0
010
-Mar
-10
5,0
00,0
00
90.0
0 1
37.1
5 9
1.95
52
.39
2.17
31M
an In
frac
onst
ruct
ion
Lim
ited
Infr
astr
uctu
re14
1.76
11-M
ar-1
0 5
,625
,204
25
2.00
349
.85
358
.75
38.8
342
.36
32U
nite
d Ba
nk o
f In
dia
Bank
324.
9818
-Mar
-10
50,
000,
000
66.0
0 6
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6
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41
Table 3-7 : Rights Issues during 2009-10
S. No.
Company Name Amount Mobilised( ` Crore)
Amount Mobilised(US $ mn)
Date of Listing
1 Chemplast Sanmar Limited 159.94 35.43 7-May-2009
2 Alok Industries Limited 449.59 99.60 11-May-2009
3 Sundaram Brake Linings Limited 14.85 3.29 3-Jul-2009
4 Piramal Glass Limited 187.36 41.51 25-Sep-2009
5 JMC Projects (India) Limited 39.91 8.84 8-Oct-2009
6 The Tinplate Company of India Limited 374.13 82.88 21-Oct-2009
7 Greenply Industries Limited 45.89 10.17 26-Oct-2009
8 Morarjee Textiles Limited 27.24 6.04 29-Oct-2009
9 Television Eighteen India Limited 126.01 27.92 30-Oct-2009
10 Fortis Healthcare Limited 997.12 220.89 3-Nov-2009
11 Wire and Wireless (India) Limited 212.60 47.10 9-Nov-2009
12 Impex Ferro Tech Limited 39.95 8.85 17-Nov-2009
13 Lakshmi Vilas Bank Limited 263.14 58.29 30-Dec-2009
14 City Union Bank Limited 40.86 9.05 5-Jan-2010
15 Infomedia 18 Limited 99.90 22.13 29-Jan-2010
16 Religare Enterprises Limited 1814.31 401.93 2-Mar-2010
Total 4892.81 1,083.92
Contd...
Table 3-8 : Preferential Allotments by NSE Listed Companies during 2009-10
S.No. Company Name Amount Raised` Crore US $ mn
1 GTL Infrastructure Limited 6.00 1.33
2 Geojit BNP Paribas Financial Services Limited 36.17 8.01
3 JIK Industries Limited 0.51 0.11
4 NCL Industries Limited 3.60 0.80
5 Jain Irrigation Systems Limited 72.00 15.95
6 West Coast Paper Mills Limited 13.50 2.99
7 Talbros Automotive Components Limited 2.67 0.59
8 Cranes Software International Limited 38.74 8.58
9 Satyam Computer Services Limited 1756.03 389.02
10 Suryajyoti Spinning Mills Limited 1.12 0.25
11 JIK Industries Limited 2.47 0.55
12 Opto Circuits (India) Limited 0.00 -
13 Opto Circuits (India) Limited 0.00 -
14 Opto Circuits (India) Limited 19.44 4.31
15 Rane Brake Lining Limited 3.50 0.78
16 Apollo Hospitals Enterprise Limited 77.10 17.08
17 Bombay Rayon Fashions Limited 333.00 73.77
18 Banswara Syntex Limited 0.00 -
42
S.No. Company Name Amount Raised` Crore US $ mn
19 Softpro Systems Limited 6.53 1.45
20 GTL Infrastructure Limited 481.98 106.77
21 Rana Sugars Limited 4.37 0.97
22 GMR Infrastructure Limited 149.72 33.17
23 Shree Renuka Sugars Limited 25.03 5.54
24 R. S. Software (India) Limited 0.43 0.10
25 Dewan Housing Finance Corporation Limited 25.01 5.54
26 Max India Limited 150.00 33.23
27 Raj Rayon Limited 0.08 0.02
28 IFB Industries Limited 6.80 1.51
29 IFB Industries Limited 2.94 0.65
30 Network18 Media & Investments Limited 90.00 19.94
31 Satyam Computer Services Limited 1152.22 255.25
32 Shri Lakshmi Cotsyn Limited 7.79 1.72
33 Gallantt Metal Limited 15.50 3.43
34 Radha Madhav Corporation Limited 21.82 4.83
35 Dewan Housing Finance Corporation Limited 75.44 16.71
36 West Coast Paper Mills Limited 11.50 2.55
37 Adhunik Metaliks Limited 100.00 22.15
38 Adhunik Metaliks Limited 72.22 16.00
39 Himadri Chemicals and Industries Limited 17.55 3.89
40 Arvind Limited 11.25 2.49
41 Delta Corporation Limited 24.86 5.51
42 Delta Corporation Limited 35.08 7.77
43 Delta Corporation Limited 0.81 0.18
44 Simbhaoli Sugars Limited 6.83 1.51
45 Jai Balaji Industries Limited 273.26 60.54
46 OnMobile Global Limited 3.30 0.73
47 TIL Limited 9.78 2.17
48 Karuturi Global Limited 5.06 1.12
49 Sesa Goa Limited 537.24 119.02
50 Kohinoor Foods Limited 5.64 1.25
51 MVL Limited 5.00 1.11
52 Shriram Transport Finance Company Limited 240.00 53.17
53 Motilal Oswal Financial Services Limited 13.72 3.04
54 J.Kumar Infraprojects Limited 24.00 5.32
55 Axis Bank Limited 360.56 79.88
56 JIK Industries Limited 0.38 0.08
57 JIK Industries Limited 0.62 0.14
58 ING Vysya Bank Limited 185.91 41.19
59 Ind-Swift Laboratories Limited 3.50 0.78
Contd...
Contd...
43
S.No. Company Name Amount Raised` Crore US $ mn
60 Ind-Swift Laboratories Limited 4.90 1.09
61 MVL Limited 1.00 0.22
62 Celebrity Fashions Limited 0.50 0.11
63 Gujarat NRE Coke Limited 20.00 4.43
64 NCL Industries Limited 5.03 1.11
65 Simplex Projects Limited 8.10 1.79
66 Mawana Sugars Limited 16.00 3.54
67 Allcargo Global Logistics Limited 100.97 22.37
68 HCL Infosystems Limited 251.35 55.68
69 Era Infra Engineering Limited 178.50 39.54
70 Era Infra Engineering Limited 119.00 26.36
71 Abhishek Industries Limited 59.64 13.21
72 Radha Madhav Corporation Limited 12.86 2.85
73 ibn18 Broadcast Limited 25.50 5.65
74 Pantaloon Retail (India) Limited 276.33 61.22
75 Network18 Media & Investments Limited 119.63 26.50
76 Network18 Media & Investments Limited 99.00 21.93
77 Aditya Birla Nuvo Limited 432.95 95.91
78 Allcargo Global Logistics Limited 141.36 31.32
79 Jindal Saw Limited 213.01 47.19
80 FCS Software Solutions Limited 18.20 4.03
81 Electrosteel Castings Limited 73.13 16.20
82 HBL Power Systems Limited 34.70 7.69
83 Sujana Tower Limited 4.00 0.89
84 Ruchi Soya Industries Limited 105.00 23.26
85 Ucal Fuel Systems Limited 29.87 6.62
86 Lloyds Steel Industries Limited 20.00 4.43
87 The Dhampur Sugar Mills Limited 22.84 5.06
88 Rallis India Limited 89.03 19.72
89 Su-Raj Diamonds and Jewellery Limited 77.62 17.19
90 Videocon Industries Limited 45.00 9.97
91 Berger Paints (I) Limited 36.36 8.05
92 Electrosteel Castings Limited 23.58 5.22
93 HDFC Bank Limited 4008.97 888.12
94 Maral Overseas Limited 19.75 4.38
95 Websol Energy Systems Limited 3.72 0.82
96 Berger Paints (I) Limited 99.00 21.93
97 LT Foods Limited 25.40 5.63
98 Raj Rayon Limited 0.90 0.20
99 S. Kumars Nationwide Limited 15.00 3.32
100 Shreyans Industries Limited 8.94 1.98
Contd...
Contd...
44
S.No. Company Name Amount Raised` Crore US $ mn
101 K S Oils Limited 135.22 29.96
102 Bajaj Hindusthan Limited 75.60 16.75
103 S. Kumars Nationwide Limited 5.00 1.11
104 K Sera Sera Productions Limited 8.65 1.92
105 Amtek Auto Limited 101.08 22.39
106 Amtek India Limited 24.19 5.36
107 Sujana Tower Limited 17.60 3.90
108 Karuturi Global Limited 27.36 6.06
109 Asian Electronics Limited 14.40 3.19
110 Ind-Swift Laboratories Limited 4.20 0.93
111 Ind-Swift Laboratories Limited 4.46 0.99
112 Escorts Limited 44.80 9.93
113 Mahindra & Mahindra Limited 700.00 155.07
114 Sree Rayalaseema Hi-Strength Hypo Limited 0.82 0.18
115 Ahmednagar Forgings Limited 8.60 1.91
116 Ansal Properties & Infrastructure Limited 67.39 14.93
117 Himadri Chemicals and Industries Limited 252.40 55.91
118 Punjab Chemicals & Crop Protection Limited 8.16 1.81
119 S. Kumars Nationwide Limited 108.26 23.98
120 SEL Manufacturing Company Limited 34.98 7.75
121 Asian Electronics Limited 3.33 0.74
122 Softpro Systems Limited 1.80 0.40
123 LG Balakrishnan & Bros Limited 0.00 0.00
124 B.A.G Films and Media Limited 12.35 2.74
125 JHS Svendgaard Laboratories Limited 7.13 1.58
126 Nagarjuna Fertilizer & Chemicals Limited 1.26 0.28
127 India Foils Limited 13.60 3.01
128 Gujarat NRE Coke Limited 98.67 21.86
129 Supreme Tex Mart Limited 20.19 4.47
130 Aarti Industries Limited 10.78 2.39
131 SEL Manufacturing Company Limited 39.90 8.84
132 Nectar Lifesciences Limited 91.00 20.16
133 Shree Renuka Sugars Limited 205.87 45.61
134 Nitin Spinners Limited 5.00 1.11
Total 15530.30 3,440.47
Contd...
45
Table 3-9 : Amount raised through QIP during 2009-10
Sr.No Name of the company Amount Raised
( ` cr) (US $ mn)
1 3i Infotech Limited 317.81 70.41
2 Aban Offshore Limited 697.50 154.52
3 Ackruti City Limited 302.40 66.99
4 Adhunik Metaliks Limited 137.13 30.38
5 Allied Digital Services Limited 231.42 51.27
6 Axis Bank Limited 2,996.14 663.74
7 Bajaj Electricals Limited 160.79 35.62
8 Bajaj Hindusthan Limited 723.18 160.21
9 Cipla Limited 675.99 149.75
10 Development Credit Bank Limited 81.00 17.94
11 Delta Corp Limited 83.26 18.45
12 Dewan Housing Finance Corporation Limited 225.77 50.02
13 Educomp Solutions Limited 606.69 134.40
14 Electrosteel Castings Limited 10.07 2.23
15 Electrosteel Castings Limited 200.00 44.31
16 Emami Limited 310.00 68.68
17 Exide Industries Limited 539.50 119.52
18 Gammon India Limited 304.16 67.38
19 Glenmark Pharmaceuticals Limited 413.56 91.62
20 GVK Power & Infrastructure Limited 716.85 158.81
21 Hindustan Construction Company Limited 480.11 106.36
22 HCL Infosystems Limited 472.67 104.71
23 Housing Development Finance Corporation Limited 301.23 66.73
24 Housing Development Finance Corporation Limited 4,000.00 886.13
25 Housing Development and Infrastructure Limited 1,688.40 374.04
26 Hindalco Industries Limited 2,790.10 618.10
27 Indiabulls Real Estate Limited 2,656.50 588.50
28 Indiabulls Financial Services Limited 960.00 212.67
29 The India Cements Limited 295.62 65.49
30 Indusind Bank Limited 480.35 106.41
31 ING Vysya Bank Limited 230.00 50.95
32 Jai Balaji Industries Limited 198.51 43.98
33 J.Kumar Infraprojects Limited 55.46 12.29
34 KSK Energy Ventures Limited 515.93 114.29
35 The Karnataka Bank Limited 160.83 35.63
36 LIC Housing Finance Limited 658.00 145.77
37 Lanco Infratech Limited 727.35 161.13
Contd...
46
Sr.No Name of the company Amount Raised
( ` cr) (US $ mn)
38 Larsen & Toubro Limited 1,872.80 414.89
39 Mahindra Forgings Limited 175.00 38.77
40 United Spirits Limited 1,615.60 357.91
41 Nagarjuna Construction Company Limited 367.35 81.38
42 Network18 Media & Investments Limited 204.92 45.40
43 Opto Circuits (India) Limited 400.00 88.61
44 Orbit Corporation Limited 145.05 32.13
45 Pantaloon Retail (India) Limited 499.98 110.76
46 Parsvnath Developers Limited 168.01 37.22
47 Patel Engineering Limited 344.32 76.28
48 PSL Limited 149.32 33.08
49 PTC India Limited 499.99 110.76
50 Punj Lloyd Limited 670.18 148.47
51 Radico Khaitan Limited 341.79 75.72
52 Rei Agro Limited 182.67 40.47
53 Shree Renuka Sugars Limited 506.03 112.10
54 Sobha Developers Limited 526.90 116.72
55 Shriram Transport Finance Company Limited 583.86 129.34
56 Sunteck Realty Limited 158.44 35.10
57 Texmaco Limited 170.56 37.78
58 Unitech Limited 1,621.10 359.13
59 Unitech Limited 2,789.33 617.93
60 Unity Infraprojects Limited 73.34 16.25
61 Usha Martin Limited 468.16 103.71
62 Websol Energy Systems Limited 45.40 10.06
63 Welspun Corp Limited 466.20 103.28
64 Yes Bank Limited 1,033.88 229.04
Total 42,484.45 9,411.71
Contd...
Capital Market Segment 4
48
49
4Capital Market Segment
The Capital Market (CM) segment (or the equity market segment) of NSE commenced its operations on November 4, 1995. The turnover in the Capital market segment witnessed a compound annual growth rate of 67.50% from ` 1,805 crore (US $ 574.29 million) in the year 1994-95 to ` 4,138,023 crore (US $ 916,709 million) in 2009-10. The CM segment of NSE provides an efficient and transparent platform for trading for various types of securities such as equity shares, preference shares, debentures, warrants, exchange traded funds as well as retail government securities.
NEAT – CM System
The trading system of NSE Capital Market segment is known as the National Exchange for Automated Trading – Capital Market (NEAT - CM). NEAT - CM is an on-line screen based trading system which is fully automated, nationwide, anonymous and order driven. Under the screen based trading system, a trading member can punch into the computer, the number of securities and the prices at which he would like to transact. The transaction is executed as soon as it finds a matching sell or buy order from a counter party. The various advantages of the screen based trading system are as follows:
• 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 across various cities, but also from the personal computers in the homes of investors through the Internet.
Market Performance
Trading Volume
In the year 2009-10, the trading volumes increased by 50.36 % to ` 4,138,023 crore (US $ 916,709 million) from ` 2,752,023 crore (US $ 540,142 million) during 2008-09. The average daily trading volume increased from ` 11,325 crore (US $ 2,223 million) during 2008-09 to ` 16,959 crore (US $ 3,757 million) during 2009-10. The remarkable aspect was that the trading volumes in the year 2009-10 showed a growth of 16.53 % over the trading volumes witnessed in 2007-08. The business growth of the CM segment from 1994-95 till 2009-10 is shown in Table 4-1 and Chart 4-1.
50
Chart 4-1 : Business Growth of Capital Market Segment
Traded Quantity
The traded quantity registered in the year 2009-10 was 2,215,530 lakh which was 55.33% higher than the number of traded quantity in 2008-09 (1,426,355 lakh). As compared with 2007-08, traded quantity in 2009-10 was higher by 47.85%.
Liquidity
The liquidity in the CM segment, as measured by the turnover ratio, has witnessed a decrease and reached nearly 68.86 % during the year 2009-2010 as compared to 95.02 % during the year 2008-09. The companies available for trading for more than 100 days accounted for 92.86% as indicated in
the table below:
Frequency Distribution of Companies traded During 2009-10
No. of Days Traded No. of companies Traded
Above 100 1301
91-100 15
81-90 3
71-80 9
61-70 2
51-60 23
41-50 6
31-40 6
21-30 9
11-20 14
1-10 13
Total 1401
51
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 2009-10. The month wise statistics are indicated in the table below:
Trading Frequency of Companies during the period 2009-10
Month/Year NSECompanies Available for
Trading* Companies
Traded% of Traded to Available
for Trading Apr-09 1,279 1,266 98.98
May-09 1,280 1,268 99.06
Jun-09 1,282 1,268 98.91
Jul-09 1,287 1,269 98.60
Aug-09 1,288 1,272 98.76
Sep-09 1,287 1,275 99.07
Oct-09 1,291 1,274 98.68
Nov-09 1,292 1,286 99.54
Dec-09 1,303 1,297 99.54
Jan-10 1,338 1,320 98.65
Feb-10 1,342 1,328 98.96
Mar-10 1,359 1,343 98.82
*At the end of the period includes listed/permitted to trade companies but excludes suspended companies
Advance- Decline Ratio
The market climate during 2009-10 can be gauged by the advance/decline ratio which was 1.07. On an average, 644 advances and 624 securities declined during the month. The largest advances took place on May 20, 2009 where 1,166 stocks advanced. The advance-decline ratio details during 2009-10 are presented below:
Month Advances Declines Advance/Decline Ratio
Apr-09 732 495 1.48
May-09 775 431 1.80
Jun-09 576 675 0.85
Jul-09 650 588 1.11
Aug-09 667 582 1.15
Sep-09 632 630 1.00
Oct-09 518 751 0.69
Nov-09 671 607 1.10
Dec-09 673 614 1.10
Jan-10 598 725 0.83
Feb-10 591 715 0.83
Mar-10 646 680 0.95
Average for 2009-10 644 624 1.07
Distribution of Turnover
The concentration of trading among top ‘N’ securities/member is presented in Table 4-2. It is observed that the top ‘5’ and ‘100’ securities account for about 15.43 % and 78.20 % of total turnover in the CM segment in 2009-10. The top ‘50’ securities accounted for 64.24 % of the total turnover, details of which are presented in Table 4-3.
52
Member-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 2009-10, top ‘5’ members accounted for only 14.63% of turnover, while top ‘100’ members accounted for 72.71% of total turnover.
City-wise Turnover in the CM Segment
The City wise turnover in the CM Segment of NSE is shown below:( ` crore)
City 2005-06 2006-07 2007-08 2008-09 2009-10
Ahmedabad 3.00 2.90 3.38 5.27 6.96
Bangalore 1.65 1.33 0.80 0.62 0.64
Baroda 0.77 0.89 0.80 0.70 0.58
Bhubaneshwar 0.02 0.02 0.01 0.00 0.00
Chennai 2.77 2.18 1.90 1.97 1.67
Cochin 0.61 0.54 0.51 0.76 1.44
Coimbatore 0.44 0.25 0.20 0.33 0.32
Delhi 13.37 13.54 14.67 14.97 14.88
Guwahati 0.02 0.03 0.02 0.01 0.01
Hyderabad 1.91 1.21 1.26 1.73 1.84
Indore 0.83 0.78 0.65 0.49 0.58
Jaipur 1.15 0.88 0.74 0.56 0.53
Kanpur 0.21 0.17 0.10 0.07 0.07
Kolkata/Howrah 11.39 10.59 10.96 9.24 8.26
Ludhiana 0.32 0.22 0.20 0.17 0.15
Mangalore 0.06 0.06 0.04 0.03 0.02
Mumbai / Thane 52.43 57.06 57.66 55.85 54.52
Patna 0.08 0.06 0.29 0.03 0.3
Pune 0.56 0.41 0.04 0.22 0.21
Rajkot 0.31 0.36 0.75 1.28 1.37
Others 8.10 6.54 5.01 5.70 5.91
Total 100 100 100 100 100.00
Market Capitalisation
The total market capitalisation of securities available for trading on the CM segment increased from ` 363,350 crore (US $ 115,606 million) as at end March 1995 to ` 6,009,173 crore (US $ 1,331,230 million) as at end March 2010. The Market capitalization witnessed an increase of 107.49 % during 2009-10 as compared to the market capitalization of ` 2,896,194 crore (US $ 568,439 million) in 2008-09. As compared with 2007-08, the market capitalization in 2009-10 increased by 23.69 %. The market capitalisation ratio of NSE was 97.49% as of March 31, 2010.
The details of ‘50’ top companies by market capitalisation, which accounted for 62.24 % of total market capitalisation as at end March 2010, are presented in Table 4-4. The companies with the highest market capitalisation as of March 2010 was Reliance Industries Limited followed by Oil and Natural Gas Corporation of India Limited and NTPC Ltd.
Sectoral Distribution of Top 50 Companies
Table 4-5 presents the sectoral distribution of ‘Top 50’ companies based on their trading value and on their market capitalization. In 2009-10, among the top 50 companies, in term of the total
53
traded value, the manufacturing companies constituted a share of 27.23% (15.66% in 2008-09) followed by the infrastructure companies with a share of 18.74% (18.78% in 2008-09) and banks with the share of 13.12 % (14.98% in 2008-09).
During 2009-10, among the top 50 companies, in terms of market capitalisation, 31.29% (19.07% in 2008-09) of the total market capitalisation was from the manufacturing sector followed by petrochemicals sector with a share of 19.19% (26.67% in 2008-09) and banks with a share of 11.54% (9.09% in 2008-09).
Trading Records during 2009-10
Ten of NSE’s most active trading days in terms of trading values are presented in Table 4-6. During 2009-10, the highest trading value of ` 40,151.91 crore (US $ 8,894.97 million) was witnessed on May 19, 2009.
The individual securities single day trading records are presented in Table 4-7. Among the top 10 individual securities which registered single day trading records during 2009-10, Reliance Industries Limited was the equity share which recorded the first and the second highest single day trading values during 2009-10 while Reliance Natural Resources Ltd. registered the third highest trading value among the scrips.
Internet Trading
At the end of March 2010, a total number of 363 members were permitted to allow investor’s web based access to NSE’s trading system. The members of the exchange in turn had registered 5,143,705 clients for web based access as on March 31, 2010. During the year 2009-10, 11.13 % of the trading value in the Capital Market segment ( ` 692,789 - US $ 135,974 million) was routed and executed through the internet. The table below shows the growth of internet trading from the fiscal years 2006-07 till 2008-09. Chart 4-2 shows the internet trading volumes in the CM segment of NSE in comparison with the total traded volumes at NSE.
Chart 4-2 : Internet Trading Value in the CM Segment in comparisonwith total trading volumes at NSE
54
Year Enabled Members*
Registered Clients*
Internet Trading Volume
( ` crore)
Internet Trading Volume
(US $ million)
% of total trading volume
2006-07 242 2,279,098 337,524 77,432 17.352007-08 305 4,405,134 668,399 167,225 18.822008-09 349 5,627,789 692,789 135,974 25.172009-10 363 5,143,705 921,380 204,116 11.13
* At the end of the financial year Trading volumes are calculated as buy side + sell side turnover
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. 342 companies have used the on-line IPO system of NSE by the end of March 2010. The details of resources raised through IPOs during 2009-10 are discussed in details in Chapter 3 on Listing.
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 April 1996, 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 4-3.
Chart 4-3 : Movement of Sectoral Indices: 2009-10
(Index values rebased to 100 for March 31, 2009)
The composition of Nifty 50 and CNX Nifty Junior as at end March 2010 is presented in Table 4-8 and Table 4-9. The industry wise weightages of securities included in S&P CNX Nifty are presented in Table 4-10.
55
The movements in S&P CNX Nifty and CNX Nifty Junior are presented in Table 4-11 and Table 4-12 respectively. The Performance of few of the indices is presented in Table 4-13. During 2009-10, the S&P CNX Nifty Index touched its peak of 5302.85 on March 29, 2010. It yielded a point to point positive return of 73.76 % over 2008-09 while CNX Nifty Junior gave returns of 148.45%.
Among the sectoral indices, the CNX IT index was the best performer which yielded returns of 152.55% followed by the S&P CNX Petrochemicals index which earned returns of 114.69% and the CNX Finance Index. which yielded returns of 102.06%.
India VIX*
India VIX is a measure of the implied volatility of Nifty 50 Index Option prices. From the best bid-ask prices of Nifty 50 Options contracts, a volatility figure (%) is calculated which indicates the expected market volatility over the next 30 calendar days. It is an estimate of investor sentiment and is a helpful indicator of the amount the market is expected to "fluctuate" in the near term. Higher the implied volatility, higher the India VIX value and vice-versa.
Volatility indices, such as the India VIX of the NSE, normally have an inverse relationship with the market. When the markets rise, investors get more complacent, which is reflected in lower prices paid to buy protection using options. Put differently, the markets lower their expectations of volatility in an uptrend. When the market corrects, on the other hand, volatility expectations rise, or higher prices are paid to buy protection using options.
Chart 4-4 with the India VIX on the one hand and NSE’s main S&P CNX Nifty index on the other shows that this relationship has largely been maintained during 2009-10. The index was in the range of 17% to 84% during 2009-10. However, on May 22, 2009 it rose sharply 83.71% and the lowest of 17.03 % was recorded on March 25, 2010 This high value of the index indicates that the investors perceive a significant risk of large price changes, causing option premiums to become pricier.
Chart 4-4 : Movement of India VIX and S&P CNX Nifty
* “VIX” is a trademark of Chicago Board Options Exchange, Incorporated ("CBOE") and Standard & Poor’s has granted a license to NSE, with permission from CBOE, to use such mark in the name of the India VIX and for purposes relating to the India VIX.
56
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.
Mutual Funds and Exchange Traded Funds
At the end of March 2010, there were 18 asset management companies with total of 218 schemes and 14 Exchange traded funds listed on the exchange. The 18 asset management companies listed
at NSE as of March 2010 are shown in the table below:
No. Names of Asset Management Companies
1 Benchmark Asset Management Company Private Limited
2 Franklin Templeton Asset Management (India) Pvt. Ltd
3 Kotak Mahindra Asset Management Company Limited
4 Quantum Asset Management Co. Private Ltd
5 Reliance Capital Asset Management Limited
6 UTI Asset Management Co. Ltd.
7 IDFC Asset Management Company Private Limited
8 Religare Asset Management Co. Pvt. Ltd
9 SBI Funds Management Private Limited
10 Birla Sun Life Asset Management Company Limited
11 HDFC Asset Management Company Limited
12 Deutsche Asset Management (India) Private Limited
13 Fortis Investment Management (India) Private Limited
14 Principal PNB Asset Management Co. Pvt. Ltd.
15 Taurus Asset Management Company Limited
16 Sundaram BNP Paribas Asset Management Company Limited
17 ICICI Prudential Asset Management Company Limited
18 JM Financial Asset Management Private Limited
Table 4-14 presents the number of trades and trading volumes of the mutual fund and exchange
traded funds at NSE.
Mutual Fund Service System
In November 2009, SEBI allowed transaction in Mutual Fund schemes through the Stock Exchange infrastructure. Consequent to this market development, NSE launched India’s first Mutual fund Service System (MFSS) on November 30, 2009 through which an investor can subscribe or redeem units of a mutual fund scheme. Mutual Fund Service System (MFSS) is an online order collection system provided by NSE to its eligible members for placing subscription or redemption orders on the MFSS based on orders received from the investors. This has made buying and selling of mutual funds easier for investors. The subscription/redemption request would thereafter get processed and investor would know about status of the request only in the form of direct communication from Mutual Fund/AMC/RTA. The NSE MFSS facilitates entry of both buy and sell orders. With the
57
MFSS, investors can place an order through a registered NSE member who is eligible to participate in MFSS for subscription/redemption of units. In order to subscribe units, members are required to place buy orders. A member who wishes to redeem units of mutual fund scheme will be required to place sell orders in the system. Participants can choose between physical mode and depository mode while putting their subscription / redemption requests on the MFSS. All orders are settled on order to order basis, on T+1 (working days).
As many as 17 fund houses have joined the NSE MFSS Platform and as on March 31, 2010 and there were 908 sub schemes available for trading. During November 2009 to March 2010, there were 2,392 orders placed for subscription worth ` 91,932,291 and 274 orders worth `26,217,352 were redeemed.
Date Subscription Redemption Total orders
No of orders Total subscription
amount
No of orders Total redemption amount *
Nov 09 - Mar 10 2,392 91,932,291 274 26,217,352 2,666
* Approximate value based on latest NAV.
Charges
Brokerage 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.
Transaction Charges
As per SEBI Regulations, every stockbroker, on the basis of his total turnover, is required to pay annual turnover charges, which are to be collected by the stock exchanges. In order to share the benefits of efficiency, NSE has been reducing the transaction charges over a period of time.
A member was required to pay the exchange, transaction charges at the rate of 0.0035% ( ̀ 3.5 per ` 1 lakh) of the turnover till September, 2009. NSE has, with effect from October, 2009, changed the transaction charges structure to a slab based one, as below:
Total Traded Value in a month Revised Transaction Charges ( ` per lakh of Traded Value)
Up to First ` 1250 crores ` 3.25 each side
More than ` 1250 crores up to ` 2500 crores (on incremental volume)
` 3.20 each side
More than ` 2500 crores up to ` 5000 crores (on incremental volume)
` 3.15 each side
More than ` 5000 crores up to ` 10000 crores (on incremental volume)
` 3.10 each side
More than ` 10000 crores up to ` 15000 crores(on incremental volume)
` 3.05 each side
Exceeding `15000 crores (on incremental volume)
` 3.00 each side
58
Securities Transaction Tax (STT)
STT is levied on all transactions of sale and / or purchase of equity shares and units of equity oriented fund and sale of derivatives entered into in a recognised stock exchange.
The existing rates are as follows :-
Sr. No
Taxable securities transaction Rate (%) Payable by
1 Purchase of an equity share in a company or a unit of an equity oriented fund, where –
(a) the transaction of such purchase is entered into in a recognised stock exchange; and
(b) the contract for the purchase of such share or unit is settled by the actual delivery or transfer of such share or unit.
0.125 Purchaser.
2 Sale of an equity share in a company or a unit of an equity oriented fund, where –
(a) the transaction of such sale is entered into in a recognised stock exchange; and
(b) the contract for the sale of such share or unit is settled by the actual delivery or transfer of such share or unit.
0.125 Seller.
3 Sale of an equity share in a company or a unit of an equity oriented fund, where –
(a) the transaction of such sale is entered into in a recognised stock exchange; and
(b) the contract for the sale of such share or unit is settled otherwise than by the actual delivery or transfer of such share or unit.
0.025 Seller.
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
59
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.
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:
(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.
60
Settlement Cycles
NSCCL clears and settles trades as per well-defined settlement cycles, as presented in Table 4-15. 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 paid-in/paid-out on T+2 day and the settlement is complete in 2 days from the end of the trading day.
Settlement Statistics
The settlement statistics of the CM segment is presented in Table 4-16. During 2009-10, NSCCL settled trades for ` 4,129,214 crore (US $ 539,637 million.) of which 22.44% 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 2009-10. Short deliveries averaged around 0.18 % of total delivery in 2009-10.
Risk Management System
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.
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:
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 ` 1 crore, and keep an interest free security deposit of ` 1.25 crore and collateral security deposit of ` 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.
On-Line Monitoring
NSCCL has put in place an on-line monitoring and surveillance system whereby exposure of the members is monitored on a real time basis. A system of alerts has been built in so that both the member and NSCCL are alerted as per pre-set levels (reaching 70%, 85%, 90%, 95% and 100%) when
61
the members approach their allowable limits. The system enables NSSCL to further check the micro-details of members’ positions, if required and take pro-active action.
The on-line surveillance mechanism also generates various alerts/reports on any price/volume movement of securities not in line with past trends/patterns. For this purpose the exchange maintains various databases to generate alerts. Alerts are scrutinised and if necessary taken up for follow up action. Open positions of securities are also analysed. Besides this, 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.
Off-line Monitoring
Off-line surveillance activity consists of inspections and investigations. As per regulatory requirement, trading members are to be inspected in order to verify the level of compliance with various rules, byelaws and regulations of the Exchange. The inspection verifies if investor interests are being compromised in the conduct of business by the members.
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 for Group I & II category, 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 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 move 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 shall be treated as newly listed security for group categorization.
Daily margin, comprises of VaR margin, Extreme Loss margin and Mark to Market margin.
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
62
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 is 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, would be the higher of the daily Index VaR based on NSE Nifty 50 or BSE Sensex. The index VaR would be 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 will be charged on the net outstanding position (buy value-sell value) of the respective clients on the respective securities across all open settlements. There would be no netting off of positions across different settlements. The VaR margin shall be 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 shall be 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 be 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 is be 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 is 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.
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 be released on completion of pay-in of the settlement.
Close Out Facility
An online facility to close–out open positions of members in the capital market segment whose trading facility is withdrawn for any reason, has been provided with effect from June 13, 2007.
On disablement, the trading members will be allowed to place close-out orders through this facility. Only orders which result in reduction of existing open positions at the client level would be accepted through the close-out facility in the normal market. Members would not be allowed to create any fresh position when in the close-out mode, to place close out orders with custodial participant code and to close out open positions of securities in trade for trade segment.
63
Index-based Market-wide Circuit Breakers
a. 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 trading on all equity and equity derivatives markets across the country. The breakers are triggered by movements in either Nifty 50 or Sensex, whichever is breached earlier.
• In case of a 10% movement in 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 would continue trading.
• In case of a 15% movement of either index, there should 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 should be a one-hour halt. If the 15% trigger is reached on or after 2:00 p.m. the trading should halt for remainder of the day.
• In case of a 20% movement of the index, trading should 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 bands of 10% (either way) on a set of specified securities
Price bands of 20% (either way) on all the remaining securities (including debentures, preference shares etc. which are traded on CM segment of NSE).
No price bands are applicable on scrip on which derivative products are available or scrips included in indices on which derivative products are available. However 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.
The price bands for the securities in the Limited Physical Market are the same as those applicable for the securities in the Normal Market. For Auction market the price bands of 20% are applicable.
Settlement Guarantee Fund
The Settlement Guarantee Fund provides a cushion for any residual risk and operates like a self-insurance mechanism wherein members themselves contribute to the fund. In the event of a trading member failing to meet his settlement obligation, then the fund is utilized 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.
64
Cont
d...
Tabl
e 4-
1 :
Busi
ness
Gro
wth
of
CM S
egm
ent
Mon
th &
Ye
arN
o. o
f Tr
adin
g D
ays
No.
of
com
pani
es
Trad
ed
No.
of
Trad
esTr
aded
Q
uant
ity
Tra
ding
Val
ueAv
erag
e D
aily
Tr
adin
g Va
lue
Turn
over
Ra
tio
Dem
at
Trad
ed
Qua
ntit
y
Dem
at T
radi
ng V
alue
Mar
ket
Capi
talis
atio
n
(lak
h)(l
akh)
( `
cr.)
(US
$ m
n.)
( `
cr.)
(U
S $
mn.
)(%
)(l
akh)
( `
cr.)
(U
S $
mn.
)(
` cr
.)
(US
$ m
n.)
1994
-95
(Nov
.-M
ar.)
102
–3
1,39
11,
805
–17
–0.
500
0–
363
,350
11
5,60
6
1995
-96
246
–66
39,9
1267
,287
–27
6–
16.7
60
0–
401
,459
11
6,87
3
1996
-97
250
–26
413
5,56
129
4,50
3–
1,17
6–
70.2
32
6–
419
,367
11
6,88
0
1997
-98
244
–38
113
5,68
537
0,19
3–
1,52
0–
76.8
831
535
1–
481
,503
12
1,80
7
1998
-99
251
–54
616
5,32
741
4,47
497
,683
1,65
138
984
.38
8,54
223
,818
5,61
3 4
91,1
75
115,
760
1999
-200
025
4–
984
242,
704
839,
052
192,
353
3,30
375
782
.23
153,
772
711,
706
163,
159
1,0
20,4
26
233,
933
2000
-01
251
1,20
1 1
,676
32
9,53
61,
339,
510
287,
202
5,33
71,
144
203.
6230
7,22
21,
264,
337
271,
084
657,
847
141,
048
2001
-02
247
1,01
91,
753
278,
408
513,
167
105,
157
2,07
842
680
.58
277,
717
512,
866
105,
095
636,
861
130,
504
2002
-03
251
899
2,39
736
4,06
661
7,98
913
0,10
32,
462
518
115.
0536
4,04
961
7,98
413
0,10
253
7133
113,
081
2003
-04
254
804
3,78
071
3,30
01,
099,
534
253,
407
4,32
999
898
.09
713,
300
1,09
9,53
425
3,40
71,
120,
976
258,
349
2004
-05
253
856
4,50
979
7,68
51,
140,
072
260,
588
4,50
61,
030
71.9
079
7,68
51,
140,
072
260,
588
1,5
85,5
85
362,
419
2005
-06
251
928
6,0
89
844
,486
1
,569
,558
35
1,84
0 6
,253
1,
402
55.7
9 8
44,4
86
1,56
9,55
8 35
1,84
0 2
,813
,201
63
0,62
1
2006
-07
249
1,1
14
7,8
47
855
,456
1
,945
,287
44
6,26
9 7
,812
1,
792
57.7
7 8
55,4
56
1,94
5,28
7 44
6,26
9 3
,367
,350
77
2,50
5
2007
-08
251
1,2
44
11,7
27
1,4
98,4
69
3,5
51,0
38
888
,426
1
4,14
8 3
,540
73
.09
1,49
8,46
9 3,
551,
038
888
,426
4
,858
,122
1
,215
,442
Apr-
0820
1,2
40
1,07
911
4,28
027
1,22
7 5
3,23
4 13
,561
2,6
62
–11
4,28
027
1,22
7 5
3,23
4 5,
442,
780
1,0
68,2
59
May
-08
20 1
,246
1,
071
115,
014
277,
923
54,
548
13,8
96 2
,727
–
115,
014
277,
923
54,
548
5,09
8,87
3 1
,000
,760
Jun-
0821
1,2
56
1,11
510
8,54
826
4,42
8 5
1,90
0 12
,592
2,4
71
–10
8,54
826
4,42
8 5
1,90
0 4,
103,
651
805
,427
Jul-
0823
1,2
67
1,33
713
4,28
529
5,81
6 5
8,06
0 12
,862
2,5
24
–13
4,28
529
5,81
6 5
8,06
0 4,
432,
427
869
,956
Aug-
0820
1,27
41,
067
104,
352
234,
251
45,
977
11,7
13 2
,299
–
104,
352
234,
251
45,
977
4,47
2,46
1 8
77,8
14
Sep-
0821
1,27
51,
132
102,
202
262,
261
51,
474
12,4
89 2
,451
–
102,
202
262,
261
51,
474
3,90
0,18
5 7
65,4
93
65
Cont
d...
Mon
th &
Ye
arN
o. o
f Tr
adin
g D
ays
No.
of
com
pani
es
Trad
ed
No.
of
Trad
esTr
aded
Q
uant
ity
Tra
ding
Val
ueAv
erag
e D
aily
Tr
adin
g Va
lue
Turn
over
Ra
tio
Dem
at
Trad
ed
Qua
ntit
y
Dem
at T
radi
ng V
alue
Mar
ket
Capi
talis
atio
n
(lak
h)(l
akh)
( `
cr.)
(US
$ m
n.)
( `
cr.)
(U
S $
mn.
)(%
)(l
akh)
( `
cr.)
(U
S $
mn.
)(
` cr
.)
(US
$ m
n.)
Oct
-08
201,
277
1,17
810
9,29
921
6,19
8 4
2,43
3 10
,810
2,1
22
–10
9,29
921
6,19
8 4
2,43
3 2,
820,
388
553
,560
Nov
-08
18 1
,282
1,
099
106,
848
173,
123
33,
979
9,61
8 1
,888
–
106,
848
173,
123
33,
979
2,65
3,28
1 5
20,7
62
Dec
-08
21 1
,282
1,
302
144,
793
212,
956
41,
797
10,1
41 1
,990
–
144,
793
212,
956
41,
797
2,91
6,76
8 5
72,4
77
Jan-
0920
1,2
81
1,22
214
5,25
419
1,18
4 3
7,52
4 9,
559
1,8
76
–14
5,25
419
1,18
4 3
7,52
4 2,
798,
707
549
,305
Feb-
0919
1,2
80
969
111
,865
14
9,85
7 2
9,41
3 7
,887
1
,548
–
111
,865
1
49,8
57
29,
413
2,6
75,6
22
525
,147
Mar
-09
20 1
,283
1,
081
129
,614
20
2,79
9 3
9,80
3 1
0,14
0 1
,990
–
129
,614
2
02,7
99
39,
803
2,8
96,1
94
568
,439
2008
-09
243
1,2
77
13,6
50
1,4
26,3
55
2,7
52,0
23
540
,142
1
1,32
5 2
,223
95
.02
1,42
6,35
5 2,
752,
023
540
,142
2
,896
,194
5
68,4
39
Apr-
09 1
7 1
,266
1
,271
1
83,1
56
266
,697
5
9,08
2 1
5,68
8 3
,475
–
183
,156
2
66,6
97
59,
082
3,3
75,0
25
747
,679
May
-09
20
1,2
68
1,4
83
229
,028
3
82,5
61
84,
750
19,
128
4,2
37
– 2
29,0
28
382
,561
8
4,75
0 4
,564
,572
1
,011
,203
Jun-
09 2
2 1
,268
1
,800
2
74,8
51
482
,414
1
06,8
71
21,
928
4,8
58
– 2
74,8
51
482
,414
1
06,8
71
4,4
32,5
96
981
,966
Jul-
09 2
3 1
,269
1
,709
2
19,3
56
426
,143
9
4,40
5 1
8,52
8 4
,105
–
219
,356
4
26,1
43
94,
405
4,8
16,4
59
1,0
67,0
05
Aug-
09 2
1 1
,272
1
,475
1
94,4
27
364
,969
8
0,85
3 1
7,37
9 3
,850
–
194
,427
3
64,9
69
80,
853
4,9
75,8
00
1,1
02,3
04
Sep-
09 2
0 1
,275
1
,387
1
96,5
12
365
,063
8
0,87
4 1
8,25
3 4
,044
–
196
,512
3
65,0
63
80,
874
5,3
53,8
80
1,1
86,0
61
Oct
-09
20
1,2
74
1,3
47
168
,479
3
62,9
69
80,
410
18,
148
4,0
20
– 1
68,4
79
362
,969
8
0,41
0 5
,024
,830
1
,113
,166
Nov
-09
20
1,2
86
1,3
17
157
,401
3
24,4
77
71,
882
16,
224
3,5
94
– 1
57,4
01
324
,477
7
1,88
2 5
,430
,088
1
,202
,944
Dec
-09
21
1,2
97
1,2
56
150
,384
2
92,9
00
64,
887
13,
948
3,0
90
– 1
50,3
84
292
,900
6
4,88
7 5
,699
,637
1
,262
,658
Jan-
10 1
9 1
,320
1
,403
1
80,4
24
338
,443
7
4,97
6 1
7,81
3 3
,946
–
180
,424
3
38,4
43
74,
976
5,7
82,9
65
1,2
81,1
18
Feb-
10 2
0 1
,328
1
,133
1
23,5
41
245
,143
5
4,30
7 1
2,25
7 2
,715
–
123
,541
2
45,1
43
54,
307
5,7
55,3
05
1,2
74,9
90
Mar
-10
21
1,3
43
1,2
35
137
,971
2
86,2
46
63,
413
13,
631
3,0
20
– 1
37,9
71
286
,246
6
3,41
3 6
,009
,173
1
,331
,230
2009
-201
0 2
44
1,3
70
16,
816
2,2
15,5
30
4,1
38,0
23
916
,709
1
6,95
9 3
,757
6
8.86
2
,215
,530
4
,138
,023
9
16,7
09
6,0
09,1
73
1,3
31,2
30
66
Table 4-2 : Percentage Share of Top ‘N’ Securities/Member in Turnover
Year No. of Securities/Brokers
5 10 25 50 100
Securities
1994-95 (Nov.-Mar.) 48.77 55.92 68.98 81.14 91.07
1995-96 82.98 86.60 90.89 93.54 95.87
1996-97 84.55 91.96 95.70 97.03 98.19
1997-98 72.98 85.17 92.41 95.76 97.90
1998-99 52.56 67.11 84.71 92.03 95.98
1999-00 39.56 59.22 82.31 88.69 93.66
2000-01 52.15 72.90 88.93 94.57 97.46
2001-02 44.43 62.92 82.24 91.56 95.91
2002-03 40.58 55.41 77.8 89.16 95.38
2003-04 31.04 44.87 64.32 79.44 91.03
2004-05 25.88 41.65 57.98 72.40 84.26
2005-06 22.15 31.35 46.39 59.22 73.12
2006-07 16.97 25.25 43.46 61.94 77.22
2007-08 16.29 26.78 45.46 61.47 77.29
2008-09 20.48 32.58 56.36 74.66 87.69
2009-2010 15.43 26.15 46.80 64.24 78.20
Members
1994-95 (Nov.-Mar.) 18.19 26.60 44.37 61.71 81.12
1995-96 10.65 16.56 28.61 41.93 58.59
1996-97 5.94 10.08 19.67 30.57 45.95
1997-98 6.29 10.59 18.81 29.21 44.24
1998-99 7.73 11.96 20.77 31.66 47.02
1999-00 7.86 12.99 22.78 34.41 49.96
2000-01 7.78 12.76 23.00 33.86 48.79
2001-02 7.14 12.29 23.63 36.32 53.40
2002-03 10.26 16.41 29.07 42.49 59.15
2003-04 11.58 17.36 30.34 44.05 61.37
2004-05 13.52 20.20 34.97 49.01 65.09
2005-06 14.62 22.57 38.17 52.57 38.45
2006-07 14.72 24.27 42.61 56.71 71.22
2007-08 14.57 25.71 44.70 60.11 73.90
2008-09 13.56 23.62 43.55 61.21 75.42
2009-2010 14.63 23.48 41.00 57.01 72.71
67
Contd...
Table 4-3 : ‘50’ Most Active Securities during 2009-10 in Terms of Trading Value
Rank Name of Security Trading Value % Share in Total Trading Value
Market Capitalisation as on March 31,2010
% Share in Total Market
Capitali-sation
( ` cr.) (US $ mn.)
( ` cr.) (US $ mn.)
1 Reliance Industries Ltd--Petrochemicals
175,590 38,899 4.24 353,056.22 78,214 5.88
2 ICICI Bank Ltd.--Banks 129,476 28,683 3.13 106,123.67 23,510 1.77
3 Unitech Ltd--Infrastructure
114,712 25,412 2.77 17,581.58 3,895 0.29
4 Tata Steel Limited--Manufacturing
111,220 24,639 2.69 56,087.42 12,425 0.93
5 DLF Limited--Infrastructure
107,447 23,803 2.60 52,431.12 11,615 0.87
6 State Bank Of India--Banks
105,241 23,314 2.54 131,940.81 29,229 2.20
7 Suzlon Energy Limited--Manufacturing
87,651 19,418 2.12 11,185.12 2,478 0.19
8 Reliance Capital Limited--Finance
84,926 18,814 2.05 18,571.07 4,114 0.31
9 Housing DevelopmentFinance Corporation Ltd.--Finance
84,684 18,760 2.05 9,903.21 2,194 0.16
10 Bharti Airtel Limited--Telecommunication
81,104 17,967 1.96 118,683.21 26,292 1.98
11 Larsen & Toubro Ltd.--Engineering
72,441 16,048 1.75 98,140.59 21,741 1.63
12 Jaiprakash Associates Limited--Infrastructure
70,427 15,602 1.70 31,773.70 7,039 0.53
13 Infosys Technologies Ltd--Information Technology
68,666 15,212 1.66 150,033.95 33,237 2.50
14 Aban Offshore Ltd.--Petrochemicals
66,857 14,811 1.62 5,057.11 1,120 0.08
15 Reliance Infrastructure Ltd--Infrastructure
65,090 14,420 1.57 22,505.63 4,986 0.37
16 Tata Motors Ltd. -- Manufacturing
61,137 13,544 1.48 36,357.36 8,054 0.61
17 Axis Bank Limited--Banks
56,374 12,489 1.36 47,257.91 10,469 0.79
18 Educomp Solutions Limited--Information Technology
52,076 11,536 1.26 7,100.71 1,573 0.12
19 HDFC Ltd. -- Finance 51,911 11,500 1.25 77,840.42 17,244 1.30
20 Jindal Steel & Power Ltd.--Manufacturing
51,864 11,489 1.25 65,475.07 14,505 1.09
21 Sterlite Industries ( India ) Limited--Manufacturing
48,581 10,762 1.17 71,429.11 15,824 1.19
22 JSW Steel Ltd. -- Manufacturing
47,868 10,604 1.16 23,096.77 5,117 0.38
23 Satyam Computer Services Ltd--Information Technology
47,786 10,586 1.15 10,859.07 2,406 0.18
24 Sesa Goa Ltd.--Manufacturing
47,456 10,513 1.15 38,696.80 8,573 0.64
25 Bharat Heavy Electricals Ltd--Manufacturing
45,966 10,183 1.11 117,027.10 25,925 1.95
68
Contd...
Rank Name of Security Trading Value % Share in Total Trading Value
Market Capitalisation as on March 31,2010
% Share in Total Market
Capitali-sation
( ` cr.) (US $ mn.)
( ` cr.) (US $ mn.)
26 Reliance Communications Limited--Telecommunication
44,386 9,833 1.07 35,078.14 7,771 0.58
27 Indiabulls Real Estate Limited--Infrastructure
43,977 9,742 1.06 6,124.50 1,357 0.10
28 Reliance Natural Resources Limited--Manufacturing
39,943 8,849 0.97 10,166.24 2,252 0.17
29 HDFC Bank Ltd--Banks 38,979 8,635 0.94 88,279.50 19,557 1.47
30 Oil & Natural Gas Corpn Ltd--Petrochemicals
38,641 8,560 0.93 234,997.92 52,060 3.91
31 Tata Consultancy Services Limited--Information Technology
37,384 8,282 0.90 152,790.46 33,848 2.54
32 IFCI Limited--Finance 37,159 8,232 0.90 3,678.12 815 0.06
33 Steel Authority Of India Ltd.--Manufacturing
36,448 8,075 0.88 104,313.27 23,109 1.74
34 Hindalco Industries Ltd. -- Manufacturing
33,113 7,336 0.80 34,681.00 7,683 0.58
35 Punj Lloyd Limited--Infrastructure
29,419 6,517 0.71 5,887.83 1,304 0.10
36 Infrastructure Development Finance Company Limited--Finance
29,343 6,500 0.71 20,868.40 4,623 0.35
37 ITC Ltd.--FMCG 29,068 6,440 0.70 100,074.82 22,170 1.67
38 Maruti Suzuki India Limited--Manufacturing
26,599 5,893 0.64 40,966.00 9,075 0.68
39 NTPC Limited--Infrastructure
25,552 5,661 0.62 170,887.25 37,857 2.84
40 Mahindra & Mahindra Ltd. -- Manufacturing
24,710 5,474 0.60 31,313.55 6,937 0.52
41 Essar Oil Limited--Petrochemicals
24,220 5,366 0.59 16,605.14 3,679 0.28
42 Bajaj Hindustan Ltd -- Manufacturing
22,243 4,928 0.54 2,596.72 575 0.04
43 Hindustan Unilever Limited--FMCG
21,851 4,841 0.53 52,256.44 11,577 0.87
44 Cairn India Limited--Petrochemicals
21,630 4,792 0.52 57,974.86 12,843 0.96
45 IVRCL Infrastructures & Projects Ltd.-- Infrastructure
21,349 4,729 0.52 4,432.36 982 0.07
46 Lanco Infratech Limited - Infrastructure
20,162 4,467 0.49 12,556.70 2,782 0.21
47 Shree Renuka Sugars Limited--Manufacturing
19,933 4,416 0.48 4,518.99 1,001 0.08
48 Hero Honda Motors Ltd.-- Manufacturing
19,101 4,231 0.46 38,827.24 8,602 0.65
49 Kotak Mahindra Bank Limited--Banks
18,744 4,152 0.45 26,024.50 5,765 0.43
50 LIC Housing Finance Ltd -- Finance
17,816 3,947 0.43 8,273.85 1,833 0.14
Total 2,658,320 588,906 64.24 2,942,388 651,836 48.96
69
Table 4-4 : Top ‘50’ Companies by Market Capitalisation as on March 31, 2010
Rank Name of Security and Industry
Market Capitalisation % Share in Total Market
Capitali-sation
Trading Volume During 2009-10
% Share in Total Trading Volume
( ` cr.) (US $ mn.) ( ` cr.) (US $ mn.)
1 Reliance Industries Ltd--Petrochemicals
353,056 78,214 5.88 175,590.43 38,899.08 4.24
2 Oil & Natural Gas Corpn Ltd--Petrochemicals
234,998 52,060 3.91 38,641.29 8,560.32 0.93
3 NTPC Ltd--Infrastructure 170,887 37,857 2.84 25,552.00 5,660.61 0.624 MMTC Ltd --
Manufacturing 157,174 34,819 2.62 62.56 13.86 0.00
5 Tata Consultancy Services Limited--Information Technology
152,790 33,848 2.54 37,384.19 8,281.83 0.90
6 Infosys Technologies Ltd--Information Technology
150,034 33,237 2.50 68,666.34 15,211.86 1.66
7 State Bank Of India--Banks
131,941 29,229 2.20 105,240.76 23,314.30 2.54
8 Bharti Airtel Limited--Telecommunication
118,683 26,292 1.98 81,104.33 17,967.29 1.96
9 Bharat Heavy Electricals Ltd--Manufacturing
117,027 25,925 1.95 45,965.85 10,182.95 1.11
10 NMDC Ltd. -- Manufacturing
116,721 25,858 1.94 8,133.46 1,801.83 0.20
11 ICICI Bank Ltd.--Banks 106,124 23,510 1.77 129,475.59 28,683.12 3.1312 Steel Authority Of India
Ltd.--Manufacturing 104,313 23,109 1.74 36,448.42 8,074.53 0.88
13 Wipro Ltd.--Computers - Software
103,777 22,990 1.73 17,706.01 3,922.47 0.43
14 ITC Ltd.--FMCG 100,075 22,170 1.67 29,068.38 6,439.61 0.7015 Larsen & Toubro Ltd.--
Engineering 98,141 21,741 1.63 72,440.99 16,048.07 1.75
16 HDFC Bank Ltd--Banks 88,279 19,557 1.47 38,978.62 8,635.05 0.9417 HDFC Ltd.-- Finance 77,840 17,244 1.30 51,911.36 11,500.08 1.2518 Indian Oil Corporation
Ltd -- Petrochemicals 71,807 15,908 1.19 6,912.75 1,531.40 0.17
19 Sterlite Industries (India) Limited--Manufacturing
71,429 15,824 1.19 48,581.20 10,762.34 1.17
20 Jindal Steel & Power Ltd.--Manufacturing
65,475 14,505 1.09 51,863.57 11,489.49 1.25
21 Cairn India Limited--Petrochemicals
57,975 12,843 0.96 21,629.80 4,791.71 0.52
22 Tata Steel Limited--Manufacturing
56,087 12,425 0.93 111,219.68 24,638.83 2.69
23 DLF Limited--Infrastructure
52,431 11,615 0.87 107,446.56 23,802.96 2.60
24 Hindustan Unilever Limited--FMCG
52,256 11,577 0.87 21,851.50 4,840.83 0.53
25 GAIL (India) Limited -- Manufacturing
52,084 11,538 0.87 15,898.16 3,521.97 0.38
26 Hindustan Zinc Ltd.-- Manufacturing
50,888 11,273 0.85 4,016.34 889.75 0.10
27 Hindustan Copper Ltd. -- Manufacturing
49,314 10,925 0.82 3,883.42 860.31 0.09
28 Axis Bank Ltd. -- Banks 47,258 10,469 0.79 56,374.18 12,488.74 1.36
Contd...
70
Rank Name of Security and Industry
Market Capitalisation % Share in Total Market
Capitali-sation
Trading Volume During 2009-10
% Share in Total Trading Volume
( ` cr.) (US $ mn.) ( ` cr.) (US $ mn.)
29 Power Grid Corporation of India Limited -- Infrastructure
45,098 9,991 0.75 8,787.62 1,946.75 0.21
30 Maruti Suzuki India Ltd. -- Manufacturing
40,966 9,075 0.68 26,598.99 5,892.55 0.64
31 Hero Honda Motors Ltd.-- Manufacturing
38,827 8,602 0.65 19,100.79 4,231.46 0.46
32 Sesa Goa Ltd.-- Manufacturing
38,697 8,573 0.64 47,455.67 10,513.00 1.15
33 NHPC Ltd. -- Infrastructure
37,456 8,298 0.62 8,189.68 1,814.29 0.20
34 Sun Pharmaceuticals Industries Ltd -- Pharmaceuticals
37,115 8,222 0.62 9,099.82 2,015.91 0.22
35 Tata Motors Ltd. -- Manufacturing
36,357 8,054 0.61 61,137.31 13,543.93 1.48
36 Reliance Power Limited -- Infrastructure
35,820 7,935 0.60 15,394.35 3,410.36 0.37
37 Reliance Communications Ltd. -- Telecommunication
35,078 7,771 0.58 44,385.55 9,832.86 1.07
38 Hindalco Industries Ltd.-- Manufacturing
34,681 7,683 0.58 33,112.66 7,335.55 0.80
39 Tata Power Co. Ltd. -- Infrastructure
32,598 7,221 0.54 15,112.33 3,347.88 0.37
40 Punjab National Bank -- Banks
31,932 7,074 0.53 12,836.66 2,843.74 0.31
41 Jaiprakash Associates Ltd. -- Infrastructure
31,774 7,039 0.53 70,427.00 15,601.90 1.70
42 Mundra Port and Special Economic Zone Limited -- Services
31,638 7,009 0.53 6,173.15 1,367.56 0.15
43 Mahindra & Mahindra Ltd. -- Manufacturing
31,314 6,937 0.52 24,709.75 5,474.03 0.60
44 Power Finance Corporation Limited - Finance
29,653 6,569 0.49 4,427.32 980.80 0.11
45 Bajaj Auto Ltd. -- Manufacturing
29,151 6,458 0.49 7,864.06 1,742.15 0.19
46 Oil India Ltd. -- Manufacturing
27,766 6,151 0.46 4,913.74 1,088.56 0.12
47 Cipla Ltd. -- Pharmaceuticals
27,167 6,018 0.45 11,200.63 2,481.31 0.27
48 National Aluminium Company Ltd. -- Manufacturing
26,252 5,816 0.44 3,630.84 804.35 0.09
49 Kotak Mahindra Bank Ltd. -- Banks
26,024 5,765 0.43 18,743.54 4,152.31 0.45
50 Grasim Industries Ltd.-- Manufacturing
25,807 5,717 0.43 11,309.72 2,505.48 0.27
Total 3,740,037 828,542 62.24 1,876,658.94 415,741.90 31.23
Contd...
71
Tabl
e 4-
5 :
Sect
oral
Dis
trib
utio
n of
Top
‘50
’ Co
mpa
nies
by
Trad
ing
Volu
me
and
Mar
ket
Capi
tali
sati
on
Indu
stry
Trad
ing
Valu
e (A
mou
nt)
Trad
ing
Valu
e (%
to
tot
al T
op 5
0 co
mpa
nies
)
Mar
ket
Capi
talis
atio
n (A
mou
nt)
Mar
ket
Capi
talis
atio
n (%
to
tota
l Top
50
com
pani
es)
2008
-09
2009
-10
2008
-09
2009
-10
2008
-09
2009
-10
2008
-09
2009
-10
( `
cr.)
(US
$ m
n.)
( `
cr.)
(US
$ m
n.)
%%
( `
cr.)
(US
$ m
n.)
( `
cr.)
(US
$ m
n.)
%%
Bank
s30
7,77
8.82
60,4
08.0
1 3
48,8
12.6
9 7
7,27
3.52
14
.98
13.1
2 1
85,5
81.0
2 3
6,42
4.14
4
31,5
58.6
5 9
5,60
4.49
9.
09 1
1.54
Engi
neer
ing
71,9
91.3
514
,129
.80
72,
440.
99
16,
048.
07
3.50
2.73
39,
315.
66
7,7
16.5
2 9
8,14
0.59
2
1,74
1.38
1.
93 2
.62
Fina
ncia
l Ser
vice
s20
4,94
0.61
40,2
23.8
7 3
05,8
39.6
2 6
7,75
3.57
9.
9711
.50
56,
767.
30
11,
141.
77
107
,492
.97
23,
813.
24
2.78
2.8
7
FMCG
57,6
93.3
111
,323
.52
50,
919.
88
11,
280.
43
2.81
1.92
121
,540
.02
23,
854.
76
152
,331
.26
33,
746.
40
5.95
4.0
7
Infr
astr
uctu
re38
5,83
3.11
75,7
27.7
9 4
98,1
34.0
5 1
10,3
53.1
3 18
.78
18.7
4 3
01,5
63.4
3 5
9,18
8.11
4
06,0
63.3
0 8
9,95
6.42
14
.77
10.
86
IT17
7,61
2.59
34,8
60.1
8 2
05,9
12.4
2 4
5,61
6.40
8.
647.
75 1
64,5
38.9
5 3
2,29
4.20
4
06,6
01.8
0 9
0,07
5.72
8.
06 1
0.87
Man
ufac
turi
ng32
1,66
8.41
63,1
34.1
3 7
23,8
31.3
3 1
60,3
52.5
3 15
.66
27.2
3 3
89,2
76.5
4 7
6,40
3.64
1
,170
,331
.38
259
,267
.03
19.0
7 3
1.29
Petr
oche
mic
als
371,
425.
7572
,900
.05
326
,939
.30
72,
427.
85
18.0
812
.30
544
,388
.41
106
,847
.58
717
,835
.70
159
,024
.30
26.6
7 1
9.19
Phar
mac
euti
cals
26,9
74.0
55,
294.
22 -
-
1.
31-
40,
124.
25
7,8
75.2
2 6
4,28
2.10
1
4,24
0.61
1.
97 1
.72
Serv
ices
--
-
-
–-
12,
953.
95
2,5
42.4
8 3
1,63
7.60
7
,008
.77
0.63
0.8
5
Tele
com
mun
icat
ions
128,
631.
0525
,246
.53
125
,489
.88
27,
800.
15
6.26
4.72
185
,176
.32
36,
344.
71
153
,761
.35
34,
063.
21
9.07
4.1
1
Tota
l2,
054,
549.
0640
3,24
8.10
2,65
8,32
0.17
58
8,90
5.66
10
0.00
100.
002,
041,
225.
84
400
,633
.14
3,74
0,03
6.69
82
8,54
1.58
10
0.00
100.
00
72
Contd...
Table 4-6 : NSE’s Most Active Trading days during the year 2009-10
Sr No. Date Highest Single Day Trading Value
( ` cr.) (US $ mn.)
1 19-May-2009 40,151.91 8,894.97
2 20-May-2009 28,398.75 6,291.26
3 29-May-2009 27,356.32 6,060.33
4 5-Jun-2009 26,776.46 5,931.87
5 4-Jun-2009 26,357.67 5,839.09
6 3-Jun-2009 26,272.58 5,820.24
7 2-Jun-2009 25,721.06 5,698.06
8 10-Jun-2009 25,673.64 5,687.56
9 28-May-2009 25,664.96 5,685.63
10 1-Jun-2009 24,877.16 5,511.11
Table 4-7 : Individual Securities Single day Trading Records- 2009-10
Rank Symbol Name of Company Date Traded Value
( ` cr.) (US $ mn.)
1 RELIANCE Reliance Industries Ltd. 11-Jan-2010 4,570 1,013
2 RELIANCE Reliance Industries Ltd. 17-Sep-2009 3,509 777
3 RNRL Reliance Natural Resources Ltd. 15-Jun-2009 2,603 577
4 BHARTIARTL Bharti Airtel Ltd. 6-Oct-2009 2,504 555
5 RELIANCE Reliance Industries Ltd. 19-May-2009 2,395 531
6 ICICIBANK ICICI Bank Ltd. 19-May-2009 2,278 505
7 OIL Oil India Ltd. 30-Sep-2009 2,239 496
8 DLF DLF Ltd 19-May-2009 2,109 467
9 UNITECH Unitech Ltd. 31-Aug-2009 1,977 438
10 NHPC NHPC LTD 1-Sep-2009 1,902 421
Table 4-8 : Composition of S&P CNX Nifty Index as on March 2010
Sl. No.
Name of Security Issued Capital ( ` Cr.)
Free Float Market Cap-italisation ( ` crore)
Weight-age
Beta R2 Vola-tility (%)
Monthly Return
(%)
Impact Cost (%)
1 ABB Ltd.--Electrical Equipment
42 8,424 0.55% 0.81 0.38 1.56 4.46 0.06
2 ACC Ltd.--Cement And Cement Products
188 9,605 0.63% 0.80 0.38 1.51 3.03 0.06
3 Ambuja Cements Ltd.--Cement And Cement Products
305 9,783 0.64% 0.76 0.32 1.67 12.06 0.09
4 Axis Bank Ltd.--Banks 405 28,836 1.89% 1.18 0.56 1.55 3.89 0.06
5 Bharti Airtel Ltd.--Telecommunication - Services
3,797 38,170 2.50% 0.96 0.35 1.75 11.88 0.07
6 Bharat Heavy Electricals Ltd.--Electrical Equipment
490 37,775 2.48% 0.93 0.58 1.14 1.76 0.05
73
Contd...
Contd...
Sl. No.
Name of Security Issued Capital ( ` Cr.)
Free Float Market Cap-italisation ( ` crore)
Weight-age
Beta R2 Vola-tility (%)
Monthly Return
(%)
Impact Cost (%)
7 Bharat Petroleum Corporation Ltd.--Refineries
362 6,694 0.44% 0.45 0.12 1.64 -8.14 0.07
8 Cairn India Ltd.--Oil Exploration/Production
1,897 13,149 0.86% 0.94 0.46 1.74 14.88 0.07
9 Cipla Ltd.--Pharmaceuticals
161 17,169 1.13% 0.51 0.20 1.53 7.02 0.08
10 DLF Ltd.--Construction 339 11,195 0.73% 1.64 0.56 1.92 3.50 0.06
11 Gail (India) Ltd.--Gas 1,268 18,446 1.21% 0.66 0.31 1.36 2.96 0.06
12 Grasim Industries Ltd.--Cement And Cement Products
92 19,226 1.26% 0.80 0.41 0.90 4.39 0.06
13 HCL Technologies Ltd.--Computers - Software
135 7,604 0.50% 1.11 0.37 1.25 -2.37 0.07
14 Housing Development Finance Corporation Ltd.--Finance - Housing
286 68,753 4.51% 1.16 0.59 1.46 8.67 0.06
15 HDFC Bank Ltd.--Banks 457 67,211 4.41% 0.78 0.55 1.29 13.42 0.06
16 Hero Honda Motors Ltd.--Automobiles - 2 And 3 Wheelers
40 17,488 1.15% 0.78 0.35 1.82 9.38 0.04
17 Hindalco Industries Ltd.--Aluminium
191 23,556 1.54% 1.29 0.46 2.16 11.44 0.07
18 Hindustan Unilever Ltd.--Diversified
218 25,071 1.64% 0.38 0.14 1.97 1.42 0.06
19 ICICI Bank Ltd.--Banks 1,114 106,124 6.96% 1.41 0.66 1.34 9.21 0.06
20 Idea Cellular Ltd.--Telecommunication - Services
3,100 10,347 0.68% 1.08 0.45 2.16 7.20 0.08
21 IDFC 1,297 15,080 0.99% 1.41 0.55 1.50 0.85 0.06
22 Infosys Technologies Ltd.--Computers - Software
287 125,945 8.26% 0.68 0.36 1.28 0.54 0.04
23 I T C Ltd.--Cigarettes 380 68,261 4.48% 0.61 0.28 1.30 13.26 0.06
24 Jindal Steel - Manufacturing
93 27,117 1.78% 1.12 0.49 1.58 11.18 0.06
25 Jaiprakash Associates Limited-- Manufacturing
425 17,137 1.12% 1.66 0.34 2.24 13.17 0.07
26 Larsen & Toubro Ltd.--Engineering
120 98,141 6.43% 1.27 0.69 1.15 4.25 0.06
27 Mahindra & Mahindra Ltd. -- Manufacturing
578 22,735 1.49% 1.27 0.55 2.17 7.44 0.08
28 Maruti Suzuki India Ltd.--Automobiles - 4 Wheelers
144 18,758 1.23% 0.71 0.32 1.40 -2.88 0.06
29 NTPC Ltd.--Power 8,245 17,944 1.18% 0.61 0.44 1.07 2.07 0.05
30 Oil & Natural Gas Corporation Ltd.--Oil Exploration/Production
2,139 37,059 2.43% 0.83 0.45 0.91 -1.69 0.05
31 Punjab National Bank--Banks
315 13,476 0.88% 0.85 0.48 1.11 12.40 0.05
32 Power Grid Corporation Of India Ltd.--Power
4,209 6,150 0.40% 0.80 0.53 1.03 -0.37 0.07
33 Ranbaxy Laboratories Ltd.--Pharmaceuticals
210 7,213 0.47% 0.82 0.26 1.32 1.06 0.05
74
Contd...
Sl. No.
Name of Security Issued Capital ( ` Cr.)
Free Float Market Cap-italisation ( ` crore)
Weight-age
Beta R2 Vola-tility (%)
Monthly Return
(%)
Impact Cost (%)
34 Reliance Communications Ltd.--Telecommunication - Services
1,032 11,398 0.75% 1.39 0.56 1.27 7.87 0.07
35 Reliance Capital Ltd.--Finance
246 8,638 0.57% 1.60 0.62 0.95 -3.87 0.05
36 Reliance Industries Ltd.--Refineries
3,287 181,677 11.91% 1.11 0.69 1.55 9.73 0.05
37 Reliance Infrastructure Ltd.--Power
225 14,011 0.92% 1.42 0.61 1.26 -0.44 0.06
38 Reliance Power Ltd.--Power
2,397 5,452 0.36% 1.01 0.49 1.48 8.22 0.06
39 Steel Authority Of India Ltd--Steel And Steel Products
4,130 14,792 0.97% 1.29 0.61 1.87 15.58 0.06
40 State Bank Of India--Banks
635 53,550 3.51% 1.16 0.62 0.84 5.26 0.04
41 Siemens Ltd.--Electrical Equipment
67 11,185 0.73% 1.15 0.58 1.46 8.17 0.06
42 Sterlite Industries (India) Ltd.--Metals
168 34,272 2.25% 1.37 0.53 1.12 8.69 0.06
43 Sun Pharmaceutical Industries Ltd.--Pharmaceuticals
104 13,468 0.88% 0.65 0.22 1.69 16.39 0.06
44 Suzlon Energy Ltd.--Electrical Equipment
311 5,248 0.34% 1.53 0.42 2.04 0.00 0.06
45 Tata Motors Ltd.--Automobiles - 4 Wheelers
480 20,574 1.35% 1.23 0.36 3.23 6.54 0.05
46 Tata Power Co. Ltd.--Power
237 22,473 1.47% 0.76 0.44 1.79 13.23 0.06
47 Tata Steel Ltd.--Steel And Steel Products
887 38,599 2.53% 1.40 0.50 1.69 10.05 0.05
48 Tata Consultancy Services Ltd.--Computers - Software
196 39,229 2.57% 0.83 0.38 1.26 2.47 0.06
49 Unitech Ltd.--Construction
478 9,873 0.65% 1.70 0.49 1.67 2.29 0.07
50 Wipro Ltd.--Computers - Software
294 21,084 1.38% 0.76 0.35 1.38 4.35 0.07
Total 48,504 1,525,165 100.00% 1.00 – 0.70 6.64 0.06
* Beta & R2 are calculated for the period 01-April-2009 to 31-March-2010* 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-March- 2010 to 31-March-
2010* Last day of trading was 31-March-2010* Impact Cost for S&P CNX Nifty is for a portfolio of ` 50 Lakhs * Impact Cost for S&P CNX Nifty is the weightage average impact cost
75
Table 4-9 : Composition of CNX NIFTY Junior Index - as on March 31, 2010
Sl. No.
Name of Security Issued Capital
Free Float Market Capi-talisation for March 2010
Weight-age
Beta R2 Volatil-ity
Returns Impact Cost
( ` cr.) ( ` cr.) (%) (%) (%) (%)
1 Aditya Birla Nuvo Ltd. --Textiles - Synthetic
103 5,036 1.72% 1.13 0.49 0.91 7.62 0.09
2 Adani Enterprises Ltd. --Trading
53 6,329 2.16% 1.15 0.08 1.47 -3.47 0.13
3 Andhra Bank --Banks 485 2,543 0.87% 0.94 0.49 1.54 9.24 0.08
4 Ashok Leyland Ltd. --Automobiles - 4 Wheelers
133 3,639 1.24% 1.16 0.44 2.02 12.39 0.10
5 Asian Paints Ltd. --Paints 96 9,789 3.35% 0.36 0.14 1.88 12.65 0.14
6 Bajaj Auto Ltd. --Automobiles - 2 And 3 Wheelers
145 14,687 5.02% 0.56 0.19 1.56 10.85 0.07
7 Bank of Baroda --Banks 364 10,753 3.68% 0.82 0.40 1.47 9.51 0.07
8 Bank of India --Banks 525 6,349 2.17% 1.03 0.45 1.93 2.07 0.08
9 Bharat Electronics Ltd. --Electronics - Industrial
80 4,253 1.45% 0.65 0.29 1.47 10.09 0.10
10 Bharat Forge Ltd. --Castings/Forgings
45 3,173 1.09% 1.08 0.32 2.19 3.54 0.10
11 Biocon Ltd. --Pharmaceuticals
100 2,223 0.76% 0.85 0.31 1.54 8.28 0.08
12 Canara Bank --Banks 410 4,512 1.54% 0.93 0.45 1.68 4.38 0.08
13 Colgate Palmolive (India) Ltd. --Personal Care
14 4,500 1.54% 0.33 0.14 1.05 -1.88 0.09
14 Container Corporation of India Ltd. --Travel And Transport
130 6,324 2.16% 0.34 0.14 1.10 9.30 0.17
15 Corporation Bank --Banks 143 2,952 1.01% 0.75 0.38 2.41 9.05 0.13
16 Crompton Greaves Ltd. --Electrical Equipment
128 9,889 3.38% 1.03 0.42 2.19 9.67 0.12
17 Cummins India Ltd. --Diesel Engines
40 4,980 1.70% 0.73 0.31 1.10 12.50 0.15
18 Dr. Reddy’s Laboratories Ltd. --Pharmaceuticals
84 15,973 5.46% 0.43 0.15 1.35 11.61 0.07
19 Federal Bank Ltd. --Banks
171 4,569 1.56% 0.85 0.41 1.79 3.29 0.11
20 Glaxosmithkline Pharmaceuticals Ltd. --Pharmaceuticals
85 7,429 2.54% 0.02 0.00 0.95 3.98 0.11
21 Glenmark Pharmaceuticals Ltd. --Pharmaceuticals
27 3,739 1.28% 0.97 0.31 2.20 6.38 0.09
22 GMR Infrastructure Ltd. --Construction
733 5,835 2.00% 1.23 0.56 1.79 14.42 0.08
23 Housing Development and Infrastructure Ltd. --Construction
346 5,115 1.75% 1.97 0.64 1.85 -5.28 0.07
24 Hindustan Petroleum Corporation Ltd. --Refineries
339 5,274 1.80% 0.46 0.12 1.45 -8.16 0.08
Contd...
76
Sl. No.
Name of Security Issued Capital
Free Float Market Capi-talisation for March 2010
Weight-age
Beta R2 Volatil-ity
Returns Impact Cost
( ` cr.) ( ` cr.) (%) (%) (%) (%)
25 Indiabulls Real Estate Ltd. --Construction
80 5,100 1.74% 1.67 0.53 2.83 -4.78 0.08
26 IDBI Bank Ltd. --Banks 725 3,945 1.35% 1.44 0.62 1.42 -3.40 0.07
27 IFCI Ltd. --Financial Institution
738 3,193 1.09% 1.68 0.61 1.66 -3.11 0.08
28 Indian Hotels Co. Ltd. --Hotels
72 5,213 1.78% 1.03 0.38 2.21 14.12 0.10
29 Indian Overseas Bank --Banks
545 1,942 0.66% 1.19 0.53 1.49 4.25 0.09
30 JSW Steel Ltd. --Steel And Steel Products
187 12,700 4.34% 1.54 0.52 1.73 15.36 0.06
31 Kotak Mahindra Bank Ltd. --Banks
348 12,082 4.13% 1.42 0.66 1.51 0.52 0.07
32 LIC Housing Finance Ltd. --Finance - Housing
95 5,251 1.80% 1.02 0.37 2.59 15.84 0.06
33 Lupin Ltd. --Pharmaceuticals
89 7,644 2.62% 0.26 0.06 1.53 8.44 0.08
34 United Spirits Ltd. --Brew/Distilleries
126 11,299 3.87% 1.03 0.42 2.02 -2.42 0.08
35 Moser Baer India Ltd. --Computers - Hardware
168 1,028 0.35% 1.20 0.46 1.94 -3.76 0.10
36 Mphasis Ltd. --Computers - Software
210 5,118 1.75% 0.62 0.17 1.46 -6.41 0.09
37 Mangalore Refinery & Petrochemicals Ltd. --Refineries
1,753 1,527 0.52% 1.08 0.35 1.09 2.83 0.09
38 Mundra Port and Special Economic Zone Ltd. --Travel And Transport
401 5,998 2.05% 0.84 0.36 1.79 17.18 0.07
39 Oracle Financial Services Software Ltd. --Computers - Software
42 3,758 1.29% 0.78 0.31 0.64 2.80 0.07
40 Patni Computer Systems Ltd. --Computers - Software
26 3,694 1.26% 0.78 0.17 2.47 12.55 0.08
41 Power Finance Corporation Ltd. --Financial Institution
1,148 3,031 1.04% 0.87 0.41 1.72 3.22 0.10
42 Reliance Natural Resources Ltd. --Gas
817 4,591 1.57% 1.31 0.49 1.81 2.38 0.08
43 Sesa Goa Ltd. --Mining 82 16,456 5.63% 1.18 0.42 2.23 17.51 0.06
44 Syndicate Bank --Banks 522 1,508 0.52% 1.02 0.56 1.50 2.80 0.09
45 Tech Mahindra Ltd. --Computers - Software
122 1,759 0.60% 1.08 0.29 1.35 -4.24 0.06
46 Tata Teleservices (Maharashtra) Ltd. --Telecommunication - Services
1,897 1,000 0.34% 0.96 0.38 1.54 1.72 0.12
47 UltraTech Cement Ltd. --Cement And Cement Products
124 6,501 2.22% 0.63 0.28 1.41 11.04 0.12
48 Union Bank of India --Banks
505 6,580 2.25% 0.71 0.32 1.58 14.29 0.08
Contd...
Contd...
77
Contd...
Sl. No.
Name of Security Issued Capital
Free Float Market Capi-talisation for March 2010
Weight-age
Beta R2 Volatil-ity
Returns Impact Cost
( ` cr.) ( ` cr.) (%) (%) (%) (%)
49 United Phosphorous Ltd. --Pesticides And Agrochemicals
88 4,723 1.62% 0.98 0.40 1.81 -1.45 0.11
50 Zee Entertainment Enterprises Ltd. --Media & Entertainment
43 6,811 2.33% 0.74 0.20 2.58 8.60 0.09
Total 15,731 292,316 100.00% 1.00 -- 0.77 6.67 0.09
* Beta & R2 are calculated for the period 01-April-2009 to 31-March-2010* 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-March-2010 to 31-March-
2010* Last day of trading was 31-March-2010* Impact Cost for CNX Nifty Junior is for a portfolio of ` 25 lakhs * Impact Cost for CNX Nifty Junior is the weightage average impact cost
Table 4-10 : Industry-wise Weightages of S&P CNX NIFTY Securities as on 31st March, 2010
Sl. No. Industry Market Cap ( ` Cr.) Weightage
1 Banks 269,197 17.65
2 Computers - Software 193,862 12.71
3 Refineries 188,371 12.35
4 Engineering 98,141 6.43
5 Steel And Steel Products 80,508 5.28
6 Finance - Housing 68,753 4.51
7 Cigarettes 68,261 4.48
8 Power 66,030 4.33
9 Electrical Equipment 62,632 4.11
10 Automobiles - 4 Wheelers 62,068 4.07
11 Telecommunication - Services 59,915 3.93
12 Oil Exploration/Production 50,208 3.29
13 Diversified 42,208 2.77
14 Cement And Cement Products 38,613 2.53
15 Pharmaceuticals 37,849 2.48
16 Metals 34,272 2.25
17 Aluminium 23,556 1.54
18 Construction 21,068 1.38
19 Gas 18,446 1.21
20 Automobiles - 2 And 3 Wheelers 17,488 1.15
21 Financial Institution 15,080 0.99
22 Finance 8,638 0.57
Total 1,525,162 100.00
78
Table 4-11 : S&P CNX NIFTY Index*
Month & Year Open High Low Close Volatility (%)
Price To Earning Ratio#
1995-96 (Nov.-Mar.) 1000.00 1067.49 813.12 985.30 1.62 –
1996-97 988.33 1203.11 775.43 968.30 1.67 –
1997-98 931.95 1297.10 929.05 1116.90 1.52 –
1998-99 1117.15 1247.15 800.10 1078.05 1.86 16.53
1999-2000 1082.55 1818.15 916.00 1528.45 1.93 24.60
2000-01 1528.70 1636.95 1098.75 1148.20 1.98 17.21
2001-02 1148.10 1207.00 849.95 1129.55 1.40 18.10
2002-03 1129.85 1153.30 920.10 978.20 0.99 13.36
2003-04 977.40 2014.65 920.00 1771.90 1.43 20.70
2004-05 1771.45 2183.45 1292.20 2035.65 1.61 14.60
2005-06 2035.90 3433.85 1896.30 3402.55 1.04 20.26
2006-07 3403.15 4245.30 2595.65 3821.55 1.77 18.40
2007-08 3820.00 6357.100 3617.000 4734.500 2.02 20.63
Apr-08 4735.65 5230.75 4628.75 5165.90 1.28 22.20
May-08 5265.30 5298.85 4801.90 4870.10 1.21 20.74
Jun-08 4869.25 4908.80 4021.70 4040.55 1.91 17.28
Jul-08 4039.75 4539.45 3790.20 4332.95 2.97 18.22
Aug-08 4331.60 4649.85 4201.85 4360.00 1.61 18.43
Sep-08 4356.10 4558.00 3715.05 3921.20 2.32 16.85
Oct-08 3921.85 4000.50 2252.75 2885.60 5.03 12.57
Nov-08 2885.40 3240.55 2502.90 2755.10 3.83 12.08
Dec-08 2755.15 3110.45 2570.70 2959.15 2.46 12.97
Jan-09 2963.30 3147.20 2661.65 2874.80 2.73 13.40
Feb-09 2872.35 2969.75 2677.55 2763.65 1.81 13.12
Mar-09 2764.60 3123.35 2539.45 3020.95 2.34 14.30
2008-09 4735.65 5298.85 2252.75 3020.95 2.66 14.30
Apr-09 3023.85 3517.25 2965.70 3473.95 2.18 16.53
May-09 3478.70 4509.40 3478.70 4448.95 4.15 20.82
Jun-09 4450.40 4693.20 4143.25 4291.10 1.92 19.97
Jul-09 4292.30 4669.75 3918.75 4636.45 2.22 20.68
Aug-09 4633.80 4743.75 4353.45 4662.10 1.78 20.94
Sep-09 4662.20 5087.60 4576.60 5083.95 0.92 22.90
Oct-09 5087.20 5181.95 4687.50 4711.70 1.08 20.45
Nov-09 4712.25 5138.00 4538.50 5032.70 1.58 22.37
Dec-09 5039.70 5221.85 4943.95 5201.05 1.05 23.17
Jan-10 5200.90 5310.85 4766.00 4882.05 1.03 21.00
Feb-10 4882.05 4992.00 4675.40 4922.30 1.18 20.92
Mar-10 4935.60 5329.55 4935.35 5249.10 0.70 22.33
2009-2010 3023.85 5329.55 2965.70 5249.10 1.88 22.33
* S&P CNX Nifty commenced from November 3, 1995# At the end of the periodNote : Volatility is calculated as standard deviation of the Natural Log of returns for the respective month/
year
79
Table 4-12 : CNX NIFTY Junior Index*
Month & Year Open High Low Close Volatility (%)
Price To Earning Ratio#
1996-97 (Nov.-Mar.) 1000.00 1208.87 907.02 1032.95 1.76 --
1997-98 1028.30 1395.25 1016.65 1339.40 1.44 --
1998-99 1339.75 2079.10 1177.20 2069.20 2.14 18.92
1999-00 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
2001-02 1601.40 1676.25 1038.75 1566.95 1.60 6.80
2002-03 1568.40 1690.35 1231.95 1259.55 1.23 11.68
2003-04 1260.75 3702.60 1259.75 3392.05 1.57 11.93
2004-05 3398.00 4705.25 2493.70 4275.15 1.83 13.82
2005-06 4275.35 6437.40 3998.80 6412.10 0.95 20.25
2006-07 6415.25 7566.65 4463.75 6878.05 2.05 18.48
2007-08 6675.85 13209.35 6559.55 7975.75 2.41 16.69
Apr-08 7982.75 9272.25 7699.35 9170.95 1.40 18.96
May-08 9236.40 9541.00 8075.50 8221.35 1.72 16.27
Jun-08 8228.20 8305.15 6201.05 6233.20 2.43 12.08
Jul-08 6239.20 7363.20 5756.85 6936.80 3.68 13.15
Aug-08 6877.80 7177.15 6799.55 7138.30 2.02 13.68
Sep-08 7118.20 7400.25 5633.10 6043.15 2.48 12.13
Oct-08 6070.10 6203.65 3603.20 4291.30 4.83 8.44
Nov-08 4435.40 4937.65 3706.70 3848.85 3.19 7.53
Dec-08 3853.85 4695.30 3675.50 4555.70 2.30 8.99
Jan-09 4568.55 5007.25 3964.95 4230.15 2.94 8.60
Feb-09 4214.15 4337.65 3869.25 3980.55 1.70 8.12
Mar-09 3941.55 4405.60 3587.60 4336.45 2.38 8.69
2008-09 7982.75 9541.00 3587.60 4336.45 2.80 8.69
Apr-09 4343.20 5466.40 4297.45 5281.80 2.55 10.46
May-09 5380.05 7544.45 5380.05 7474.30 3.51 15.02
Jun-09 7581.80 8169.25 7326.80 7794.70 2.52 15.36
Jul-09 7791.90 8537.45 6931.70 8473.65 2.51 14.95
Aug-09 8475.45 8697.40 7971.60 8542.40 1.86 15.00
Sep-09 8580.40 9373.50 8360.50 9360.65 1.02 16.48
Oct-09 9380.35 10094.90 9044.70 9162.40 1.44 14.21
Nov-09 9144.65 10096.50 8865.50 9933.20 1.61 15.57
Dec-09 9952.80 10456.75 9952.80 10382.70 0.96 16.28
Jan-10 10372.40 10896.50 9646.60 9985.70 1.37 14.71
Feb-10 9954.45 10287.25 9712.25 10099.95 1.20 14.75
Mar-10 10137.45 10822.40 10137.45 10773.75 0.77 15.76
2009-2010 4343.20 10896.50 4297.45 10773.75 1.97 15.76
* CNX Nifty Junior commenced from November 4, 1996# At the end of periodNote : Volatility is calculated as standard deviation of the Natural Log of returns for the respective month/
year
80
Contd...
Table 4-13 : Performance of NSE Indices during the year 2009-10
Indices Record high Date Closing index values(31-03-10)
Average Daily
Volatility (%)
Y-o-Y Returns
%Value
S&P CNX Nifty 5329.55 29/Mar/10 5249.10 1.88 73.76
CNX Nifty Junior 10896.50 19/Jan/10 10773.75 1.97 148.45
CNX 100 5251.65 29/Mar/10 5188.05 1.87 83.09
S&P CNX 500 4524.30 19/Jan/10 4313.25 1.79 87.95
CNX Midcap 7885.35 19/Jan/10 7704.90 1.73 126.12
Nifty Midcap 50 2813.45 19/Jan/10 2692.95 2.09 131.15
CNX FMCG 7526.72 25/Nov/09 7273.30 1.46 41.65
CNX IT 6223.50 26/Mar/10 5855.95 2.02 152.55
CNX Finance* 4057.50 18/Jan/10 3687.36 2.16 102.06
S&P CNX Petrochemicals* 7036.80 17/Feb/10 6918.33 1.67 114.69
S&P CNX Pharmaceuticals* 6805.61 29/Mar/10 6804.07 1.37 96.36
* Closing Record High, Other - Record Intra-day HighNote : Volatility is calculated as standard deviation of the Natural Log of returns for the respective month/
year
Table 4-14 : Mutual Funds/ETFs: No of Trades and Trading Value
Month & Year
Mutual Funds (MF’s) Exchange traded funds (ETF’s)
No. of Trades Trading Value No. of Trades Trading Value
( ` cr.) (US $ mn.) ( ` cr.) (US $ mn.)
2007-08 107,172 288.84 72.26 294,091 1,912.55 478.50
Apr-08 5,632 18.97 3.72 34,930 588.88 115.58
May-08 4,605 17.19 3.37 52,396 221.75 43.52
Jun-08 5,247 26.29 5.16 50,864 252.92 49.64
Jul-08 4,685 68.13 13.37 67,007 584.22 114.67
Aug-08 2,742 14.18 2.78 81,896 237.00 46.52
Sep-08 5,622 21.35 4.19 88,739 486.11 95.41
Oct-08 5,253 20.47 4.02 147,770 541.54 106.29
Nov-08 2,513 7.09 1.39 119,429 277.60 54.48
Dec-08 2,338 14.99 2.94 111,034 309.10 60.67
Jan-09 685 0.90 0.18 85,273 268.22 52.64
Feb-09 384 0.47 0.09 102,870 310.93 61.03
Mar-09 531 0.92 0.18 95,849 322.24 63.25
2008-09 40,237 210.95 41.40 1,038,057 4,400.50 863.69
Apr-09 510 1.02 0.23 102,901 353.37 78.28
81
Table 4-15 : Settlement Cycle and Process in CM Segment
Activity T+2 Rolling Settlement (From April 1, 2003)
Trading 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.
Month & Year
Mutual Funds (MF’s) Exchange traded funds (ETF’s)
No. of Trades Trading Value No. of Trades Trading Value
( ` cr.) (US $ mn.) ( ` cr.) (US $ mn.)
May-09 604 1.01 0.22 96,214 431.84 95.67
Jun-09 709 1.58 0.35 87,312 425.83 94.34
Jul-09 521 0.56 0.12 101,505 494.88 109.63
Aug-09 296 0.47 0.10 86,985 428.36 94.90
Sep-09 382 0.49 0.11 101,674 567.58 125.74
Oct-09 729 0.79 0.18 105,332 504.82 111.84
Nov-09 330 0.50 0.11 131,787 645.99 143.11
Dec-09 535 0.57 0.13 149,751 639.06 141.57
Jan-10 351 0.53 0.12 109,970 579.35 128.34
Feb-10 348 0.55 0.12 96,808 466.31 103.30
Mar-10 170 50.26 11.14 102,176 568.33 125.90
2009-2010 5,485 58.33 12.92 1,272,415 6,105.74 1,352.62
Contd...
82
Cont
d...
Tabl
e 4-
16 :
Set
tlem
ent
Stat
isti
cs o
f th
e Ca
pita
l M
arke
t Se
gmen
t
Mon
th/Y
ear
No.
of
Trad
es
Trad
ed
Qua
ntit
y Q
uant
ity
of S
hare
s D
eliv
er-
able
% o
f Sh
ares
D
eliv
er-
able
to
Tota
l Sh
ares
Tr
aded
Trad
ing
Vol-
ume
Trad
ing
Vol-
ume
Valu
e of
Sh
ares
D
eliv
er-
able
% o
f D
eliv
er-
able
to
Valu
e of
Sh
ares
Tr
aded
Secu
riti
es
Paid
-in
/ Va
lue
of
Shar
es d
e-liv
ered
Shor
t D
e-liv
ery
(Auc
-ti
oned
qu
an-
tity
)
% o
f Sh
ort
Del
iver
y to
Tot
al
Del
iver
-ab
le
Unr
ecti
-fi
ed B
ad
Del
iver
y (A
uc-
tion
ed
quan
tity
)
% o
f U
nrec
ti-
fied
Bad
D
eliv
ery
to D
eliv
-er
able
Fund
s Pa
y-in
(lak
h)(l
akh)
(lak
h)(
` cr
.)(U
S $
mn.
)(
` cr
.)(
` cr
.)(l
akh)
(lak
h)(
` cr
.)
Nov
94-
Mar
95
3
1,3
30
688
51
.74
1,7
28
– 8
98
51.9
7 6
11
6
0.85
1.7
6 0.
26 3
00
1995
-96
64
39,
010
7,2
64
18.6
2 6
5,74
2 –
11,
775
17.9
1 5
,805
1
79
2.46
32.
17
0.44
3,2
58
1996
-97
262
1
34,3
17
16,
453
12.2
5 2
92,3
14
– 3
2,64
0 11
.17
13,
790
382
2.
3266
.25
0.40
7,2
12
1997
-98
383
1
35,2
17
22,
051
16.3
1 3
70,0
10
– 5
9,77
5 16
.15
21,
713
333
1.
51 7
2.90
0.
33 1
0,82
7
1998
-99
550
165,
310
27,9
9116
.93
413,
573
–66
,204
16.0
130
,755
305
1.09
69.7
30.
2512
,175
1999
-00
958
238,
605
48,7
1320
.42
803,
050
184,
099
82,6
0710
.29
79,7
8363
51.
3011
0.13
0.23
27,9
92
2000
-01
1,61
430
4,19
650
,203
16.5
01,
263,
898
270,
990
106,
277
8.41
94,9
6233
90.
6811
.58
0.02
345
,937
2001
-02
1,72
027
4,69
559
,299
21.5
950
8,12
110
4,12
371
,766
14.1
264
,353
364
0.61
0.08
0.00
0128
,048
2002
-03
2,39
736
5,40
382
,353
22.5
462
1,56
913
0,85
787
,956
14.1
587
,447
469
0.57
0.00
0.00
0034
,092
2003
-04
3,75
070
4,53
317
5,55
024
.92
1,09
0,96
325
1,43
222
1,36
420
.29
220,
341
1,01
40.
580.
000.
0081
,588
2004
-05
4,50
378
7,99
620
2,27
725
.67
1,14
0,96
926
0,79
327
7,10
124
.29
276,
120
871
0.43
0.00
0.00
97,2
41
2005
-06
6,00
081
8,43
822
7,24
027
.77
1,51
6,83
934
0,02
240
9,35
326
.99
407,
976
894
0.39
0.00
0.00
131,
426
2006
-07
7,8
57
850
,515
23
9,07
4 28
.11
1,94
0,09
4 44
5,07
854
4,43
4 28
.06
543
,048
7
69
0.32
0.00
0.00
173,
188
2007
-08
11,6
45
1,48
1,22
9 36
7,97
1 24
.84
3,51
9,91
9 8
80,6
40
972,
803
27.
64
970
,618
9
97
0.27
0.00
0.00
309,
543
Apr-
08 1
,069
1
11,3
64
24,
919
22.3
8 2
62,4
23
51,
506
63,
492
24.1
9 6
3,38
3 5
5 0.
220.
000.
00 1
9,33
9
May
-08
1,0
79
115
,499
2
5,37
9 21
.97
278
,962
5
4,75
2 6
8,90
3 24
.70
68,
799
54
0.21
0.00
0.00
21,
745
Jun-
08 1
,122
1
10,6
85
23,
871
21.5
7 2
72,6
97
53,
522
64,
330
23.5
9 6
4,21
7 5
5 0.
230.
000.
00 2
2,21
6
Jul-
08 1
,329
1
31,9
98
25,
311
19.1
8 2
90,6
99
57,
056
61,
406
21.1
2 6
1,31
1 5
5 0.
220.
000.
00 2
1,01
5
Aug-
08 1
,082
1
06,9
09
22,
822
21.3
5 2
38,2
79
46,
767
54,
447
22.8
5 5
4,36
9 4
3 0.
190.
000.
00 1
7,86
2
83
Mon
th/Y
ear
No.
of
Trad
es
Trad
ed
Qua
ntit
y Q
uant
ity
of S
hare
s D
eliv
er-
able
% o
f Sh
ares
D
eliv
er-
able
to
Tota
l Sh
ares
Tr
aded
Trad
ing
Vol-
ume
Trad
ing
Vol-
ume
Valu
e of
Sh
ares
D
eliv
er-
able
% o
f D
eliv
er-
able
to
Valu
e of
Sh
ares
Tr
aded
Secu
riti
es
Paid
-in
/ Va
lue
of
Shar
es d
e-liv
ered
Shor
t D
e-liv
ery
(Auc
-ti
oned
qu
an-
tity
)
% o
f Sh
ort
Del
iver
y to
Tot
al
Del
iver
-ab
le
Unr
ecti
-fi
ed B
ad
Del
iver
y (A
uc-
tion
ed
quan
tity
)
% o
f U
nrec
ti-
fied
Bad
D
eliv
ery
to D
eliv
-er
able
Fund
s Pa
y-in
(lak
h)(l
akh)
(lak
h)(
` cr
.)(U
S $
mn.
)(
` cr
.)(
` cr
.)(l
akh)
(lak
h)(
` cr
.)
Sep-
08 1
,054
9
5,55
6 2
4,07
4 25
.19
247
,189
4
8,51
6 6
1,03
9 24
.69
60,
934
44
0.18
0.00
0.00
26,
208
Oct
-08
1,2
26
111
,157
2
8,65
5 25
.78
230
,192
4
5,18
0 5
4,69
0 23
.76
54,
585
67
0.23
0.00
0.00
25,
889
Nov
-08
1,1
19
109
,968
2
4,72
4 22
.48
178
,208
3
4,97
7 3
6,88
0 20
.69
36,
811
40
0.16
0.00
0.00
14,
772
Dec
-08
1,2
90
142
,294
2
8,14
8 19
.78
213
,387
4
1,88
2 4
0,85
4 19
.15
40,
800
47
0.17
0.00
0.00
15,
075
Jan-
09 1
,211
1
41,9
64
27,
642
19.4
7 1
87,3
93
36,
780
36,
529
19.4
9 3
6,46
4 4
8 0.
170.
000.
00 1
2,72
6
Feb-
09 1
,002
1
16,8
96
21,
798
18.
65
152
,625
2
9,95
6 3
0,26
0 1
9.83
3
0,20
8 4
2 0.
190.
000.
00 1
0,52
5
Mar
-09
1,0
57
124
,640
2
6,58
1 2
1.33
19
7395
.5 3
8,74
3 3
8,70
6 1
9.61
3
8,61
7 75
0.28
0.00
0.00
13,
332
2008
-09
13,6
39
1,41
8,92
8 30
3,92
5 21
.42
2,74
9,45
0 5
39,6
37
611,
535
22.4
4 6
10,4
98
625
0.
210.
000.
0022
0,70
4
Apr-
091,
261
179,
344
34,4
1319
.19
261,
310
57,8
8848
,149
18.4
348
,072
680.
200.
000.
0016
,269
May
-09
1,44
021
9,07
245
,550
20.7
935
7,93
279
,293
74,4
3620
.80
74,3
1711
30.
250.
000.
0025
,219
Jun-
091,
819
281,
124
53,1
1018
.89
496,
589
110,
010
98,8
8919
.91
98,7
6181
0.15
0.00
0.00
29,6
32
Jul-
091,
695
216,
820
39,7
5518
.34
419,
077
92,8
3980
,194
19.1
480
,078
580.
150.
000.
0025
,433
Aug-
091,
477
191,
710
39,6
1420
.66
371,
474
82,2
9378
,661
21.1
878
,561
710.
180.
000.
0023
,751
Sep-
091,
337
191,
597
43,4
3622
.67
349,
940
77,5
2382
,209
23.4
982
,124
620.
140.
000.
0024
,853
Oct
-09
1,39
517
3,20
840
,219
23.2
237
3,95
382
,843
89,9
4024
.05
89,8
3468
0.17
0.00
0.00
26,9
65
Nov
-09
1,33
216
1,04
335
,594
22.1
033
2,24
873
,603
74,6
5022
.47
74,5
6551
0.14
0.00
0.00
22,9
13
Dec
-09
1,27
215
0,73
334
,290
22.7
529
8,21
566
,064
68,8
5323
.09
68,7
4865
0.19
0.00
0.00
17,9
95
Jan-
101,
360
175,
715
44,2
7625
.20
324,
584
71,9
0585
,206
26.2
585
,101
810.
180.
000.
0025
,887
Feb-
101,
155
125,
909
28,3
5722
.52
253,
467
56,1
5158
,767
23.1
958
,679
520.
180.
000.
0018
,354
Mar
-10
1,24
613
9,60
236
,199
25.9
329
0,42
464
,338
77,7
5126
.77
77,6
1993
0.26
0.00
0.00
21,1
16
2009
-201
016
,788
2,20
5,87
847
4,81
421
.52
4,12
9,21
491
4,75
791
7,70
522
.22
916,
460
862
0.18
0.00
0.00
278,
387
Cont
d...
84
Wholesale Debt Market Segment 5
86
87
5Wholesale Debt Market Segment
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
fi xed income securities that includes Central government securities, treasury bills (T-bills), state
development loans (SDLs), bonds issued by public sector undertakings (PSUs), fl oating rate bonds
(FRBs), zero coupon bonds (ZCBs), index bonds, commercial papers (CPs), certifi cates of deposit
(CDs), corporate debentures, SLR and non-SLR bonds issued by fi nancial institutions (FIs), bonds
issued by foreign institutions and units of mutual funds (MFs).
To further encourage wider participation of all classes of investors, including the retail investors,
the Retail Debt Market segment (RDM) was launched on January 16, 2003. This segment provides
for a nation wide, anonymous, order driven, screen based trading system in government securities.
In the fi rst phase, all outstanding and newly issued central government securities were traded in
the retail debt market segment. Other securities like state government securities, T-bills etc. will
be added in subsequent phases.
Trading Mechanism
The WDM trading system, known as NEAT (National Exchange for Automated Trading), is a fully
automated screen based trading system that enables members across the country to trade
simultaneously with enormous ease and effi ciency. It supports an anonymous order driven market
which operates on a price/time priority and provides tremendous fl exibility 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.
88
Market Performance
Turnover
The trading volume on the WDM Segment of the Exchange witnessed a year on year
increase of 67.00% from ` 335,952 crore (US $ 65,937 million) during 2008-09 to
` 563,816 crore (US $ 124,904 million) during 2009-10. The average daily trading volume also
accelerated from ̀ 1,412 crore (US $ 277 million) during 2008-09 to ̀ 2,359 crore (US $ 523 million)
in fi scal 2009-10. The highest recorded WDM trading volume of ` 13,912 crore ( US $ 3,206 million)
was registered on August 25, 2003. The business growth of the WDM segment is presented in Table
5-1 and Chart 5-1.
Chart 5-1 : Business Growth of WDM Segment
The transactions in government securities accounted for a substantial share of 58.15 % during
2009-10 on the WDM segment. The details of transactions in different securities are presented
in Table 5-2. and Chart 5-2a There were no repo transactions recorded from the fi scal 2005-06
onwards till 2009-10.
The participant-wise distribution of WDM trades is presented in Table 5-3 and Chart 5-2(b). The
trading members accounted for 49.23 % of the total WDM trades followed by foreign banks which
held a share of 23.67 %. Share of Indian banks in WDM trades increased to 19.84 % during 2009-10
as compared with its share of 18.11 % in the corresponding period last year.
89
Chart 5-2 (a) : Security-wise Distribution of WDM Trades (2009-10)
Chart 5-2 (b) : Participant-wise distribution of WDM trades (2009-10)
The share of top ‘N’ securities/trading members/participants in turnover in WDM segment is
presented in Table 5-4. The share of top ‘5’ securities decreased from 31.31 % in 2008-09 to
24.19 % in 2009-10. The share of top ‘50’ and top ‘100’ securities accounted for 65.63% and 77.89%
respectively in the current year.
90
Market Capitalisation
Market capitalisation of the WDM segment has witnessed an increase of 11.15 % from ` 2,848,315
crore (US $ 559,041 million) as on March 31, 2009 to ` 3,165,929 crore (US $ 701,358 million) as
on March 31, 2010. Central Government securities accounted for the largest share of the market
capitalisation with 61.61%. The details of market capitalisation of WDM securities are presented
in Table 5-5.
Transaction Charges
The Exchange has waived the transaction charges for the Wholesale Debt Market segment of the
Exchange for the period April 1, 2010 to March 31, 2011.
Settlement
NSE currently allows settlement periods ranging from same day (T+0) settlement to a maximum of
(T+2) for non-government securities while settlement of all outright secondary market transactions
in government securities was standardized to T+1. In case of repo transactions in government
securities, fi rst leg can be settled either on T+0 basis or T+1 basis.
In case of government securities, the actual settlement of funds and securities are effected directly
between participants or through Reserve Bank of India (RBI). Trades in government securities are
reported to RBI-SGL through the Negotiated Dealing System (NDS) of RBI, and Clearing Corporation
of India Limited (CCIL) provides settlement guarantee for transactions in government securities
including repos. The trades are settled on a net basis through the DvP-III system. In the DvP-III, the
settlement of Securities and Funds are carried out on a net basis.
For securities other than government securities and T-bills, trades are settled on a gross basis
directly between participants on delivery versus payment basis. On the scheduled settlement
date, the Exchange provides data/information to the respective member/participant regarding
trades to be settled on that day with details like security, counter party and consideration.
The settlement details for non-government securities, i.e. certifi cate no., Cheque no., constituent
etc. are reported by the member/participant to the Exchange.
The Exchange closely monitors the settlement of transactions through the reporting of settlement
details by members and participants. In case of deferment of settlement or cancellation of trade,
participants are required to seek prior approval from the Exchange. For any dispute arising in
respect of the trades or settlement, the exchange has established arbitration mechanism for
resolving the same.
FIMMDA-NSE MIBID/MIBOR
A reference rate is an accurate measure of the market price. In the fi xed income market, it is
an interest rate that the market respects and closely matches. On these lines, NSE has been
computing and disseminating the NSE Mumbai Inter-bank Bid Rate (MIBID) and NSE Mumbai Inter-
bank Offer Rate (MIBOR) for the overnight money market from June 15, 1998, the 14-day MIBID/
MIBOR from November 10, 1998, the 1 month and 3 month MIBID/MIBOR from December 1, 1998
and the 3 day MIBID/MIBOR from, from June 06, 2008 which is calculated and disseminated on
every last working day of the week. In view of the robust methodology of computation of these
91
rates and their extensive use by market participants, these have been co-branded with Fixed
Income and Money Market Dealers Association (FIMMDA) from March 4, 2002. These are now known
as FIMMDA-NSE MIBID/MIBOR. These are presented in Table 5-6. The Chart 5-3 presents overnight
MIBID/MIBOR for 2009-10.
Chart 5-3 : Overnight MIBID/MIBOR Rates, 2009-10 - from 2 April 2009 to 31st March 2010
FIMMDA-NSE MIBID/MIBOR are based on rates polled by NSE from a representative panel of 33
banks /primary dealers. Overnight Rates for saturdays is calculated and disseminated at 1030Hrs
(IST). The 3 day rates are polled and processed on the last working day of the week. The rates
are broadcast through NEAT-WDM trading system immediately on release and also disseminated
through websites of NSE and FIMMDA , through leading information vendors ,fi nancial dailies and
email.
The FIMMDA-NSE MIBID/MIBOR is used as a benchmark rate for majority of deals struck for interest
rate swaps, forward rate agreements, fl oating rate debentures and term deposits.
Zero Coupon Yield Curve
Keeping in mind the requirements of the banking industry, fi nancial institutions, mutual funds,
insurance companies, etc. that have substantial investment in sovereign papers, NSE disseminates
a ‘Zero Coupon Yield Curve’ (NSE Zero Curve) to help in valuation of securities across all maturities
irrespective of its liquidity in the market. This product has been developed by using Nelson-Siegel
functional form to estimate the term structure of interest rate at any given point of time and been
successfully tested by using daily WDM trades data. This is being disseminated daily.
The ZCYC depicts the relationship between spot interest rates in the economy and the associated
term to maturity. It provides daily estimates of the term structure of interest rates using
information on secondary market trades in government securities from the WDM segment. The
term structure forms the basis for the valuation of all fi xed income instruments. Modelled as a
92
series of cashfl ows 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 cashfl ows. Each cashfl ow, 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 fi xed income instruments. The daily ZCYC captures these changes, and is used to track the value
of portfolios of government securities on a day-to-day basis.
Chart 5-4 plots the spot interest rates at different maturities for the year 2009-10
Chart 5-4 : Zero Coupon Yield Curve, 2009-10
NSE-VaR System
NSE has developed a VaR system for measuring the market risk inherent in Government of India
(GOI) securities. NSE-VaR system builds on the NSE database of daily yield curves (ZCYC) and
provides measures of VaR using 5 alternative methods (variance-covariance (normal), historical
simulation method, weighted normal, weighted historical simulation and extreme value method).
Together, these 5 methods provide a range of options for market participants to choose from.
NSE-VaR system releases daily estimates of security-wise VaR at 1-day and multi-day horizons
for securities traded on WDM segment of NSE and all outstanding GoI securities with effect from
January 1, 2002. Participants can compute their portfolio risk as weighted average of security-wise
VaRs, the weights being proportionate to the market value of a given security in their portfolio.
1-day VaR (99%) measure for GoI Securities traded on NSE-WDM on March 31, 2010 is presented in
Table 5-7.
93
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 defi ned 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 refl ect returns to an investor on account of change in interest rates
only, and not those arising on account of the impact of idiosyncratic factors. The index provides a
benchmark for portfolio management by various investment managers and gilt funds. It also forms
the basis for designing index funds and for derivative products such as options and futures. Some
of the salient features of this index are:
• The base date for the index is 1st January 1997 and the base date index value is 100
• The index is calculated on a daily basis from 1st January 1997 onwards; weekends and
holidays are ignored.
• The index uses all Government of India bonds issued after April 1992. These were issued on
the basis of an auction mechanism that imparted some amount of market-relatedness to their
pricing. Bonds issued prior to 1992 were on the basis of administered interest rates.
• Each day, the prices for all these bonds are estimated off the NSE Benchmark-ZCYC for the
day.
• The constituents are weighted by their market capitalisation.
• Computations are based on arithmetic and not geometric calculations.
• The index uses a chain-link methodology i.e. today’s values are based on the previous value
times the change since the previous calculations. This gives the index the ability to add new
issues and remove old issues when redeemed.
• Coupons and redemption payments are assumed to be re-invested back into the index in
proportion to the constituent weights.
• Both the Total Returns Index and the Principal Returns Index are computed.
• The indices provided are: Composite, 1-3, 3-8, 8+ years, TB index, GS index
94
Cont
d...
Tabl
e 5-
1 :
Busi
ness
Gro
wth
of
WD
M S
egm
ent
Mon
th/Y
ear
All
Trad
esRe
tail
Trad
e
No.
of
acti
ve
secu
riti
es
Num
ber
of T
rade
sTr
adin
g Vo
lum
eAv
erag
e D
aily
Tra
ding
Vo
lum
eAv
erag
e Tr
ade
Size
N
umbe
r of
Tr
ades
Trad
ing
Volu
me
Shar
e in
Tot
al
Trad
ing
Volu
me
( `
cr.
)(
US
$ m
n) (
` c
r.)
( U
S $
mn)
( `
cr.
) (
` c
r.)
( U
S $
mn)
(%)
1994
- 95
(Ju
ne-
Mar
ch)
183
1,
021
6,78
1–
30–
6.64
168
31.0
0–
0.45
1995
-96
304
2,
991
11,8
68–
41–
3.97
1,11
520
7.00
–1.
74
1996
-97
524
7,
804
42,2
78–
145
–5.
421,
061
201.
00–
0.47
1997
-98
719
16
,821
111,
263
–38
5–
6.61
1,39
028
8.66
–0.
26
1998
-99
1,0
71
16,0
9210
5,46
924
,857
365
866.
551,
522
307.
7772
.54
0.29
1999
-00
1,0
57
46,9
8730
4,21
669
,742
1,03
523
76.
4793
621
7.76
49.9
20.
07
2000
-01
1,0
38
64,4
7042
8,58
291
,891
1,48
331
86.
6549
813
1.00
28.0
90.
03
2001
-02
979
14
4,85
194
7,19
019
4,09
63,
277
672
6.54
378
110.
0022
.54
0.01
2002
-03
1,1
23
167,
778
1,06
8,70
122
4,99
03,
598
758
6.37
1,25
230
0.00
63.1
60.
03
2003
-04
1,0
78
189,
518
1,31
6,09
630
3,31
84,
477
1,03
26.
941,
400
331.
7069
.83
0.03
2004
-05
1,1
51
124,
308
887,
294
202,
810
3,02
869
27.
141,
278
410.
1393
.74
0.05
2005
-06
897
6
1,89
1 4
75,5
23
106
,596
1
,755
39
3 7
.68
892
31
0.00
69.
49
0.0
7
2006
-07
762
1
9,57
5 2
19,1
06
50,
265
898
20
6 1
1.19
3
99
101.
52 2
3.29
0
.05
2007
-08
601
1
6,17
9 2
82,3
17
70,
632
1,1
38
285
1
7.45
2
11
49.0
0 1
2.26
0
.02
Apr-
08 1
22
1,0
16
19,
893
3,9
04
995
1
95
19.5
86
2.10
0.41
0.01
May
-08
137
1
,200
2
0,65
6 4
,054
1
,033
2
03
17.2
13
0.35
0.07
0.00
Jun-
08 1
90
956
1
8,23
3 3
,579
8
68
170
19
.07
106
20.3
03.
980.
11
Jul-
08 1
27
815
1
8,74
5 3
,679
8
15
160
23
.00
103.
390.
670.
02
Aug-
08 7
5 5
94
11,
502
2,2
57
605
1
19
19.3
616
4.98
0.98
0.04
Sep-
08 1
24
783
1
9,77
9 3
,882
9
89
194
25
.26
123.
430.
670.
02
95
Cont
d... Mon
th/Y
ear
All
Trad
esRe
tail
Trad
e
No.
of
acti
ve
secu
riti
es
Num
ber
of T
rade
sTr
adin
g Vo
lum
eAv
erag
e D
aily
Tra
ding
Vo
lum
eAv
erag
e Tr
ade
Size
N
umbe
r of
Tr
ades
Trad
ing
Volu
me
Shar
e in
Tot
al
Trad
ing
Volu
me
( `
cr.
)(
US
$ m
n) (
` c
r.)
( U
S $
mn)
( `
cr.
) (
` c
r.)
( U
S $
mn)
(%)
Oct
-08
126
9
22
19,
966
3,9
19
1,1
09
218
21
.66
102.
450.
480.
01
Nov
-08
140
1
,093
2
3,14
3 4
,542
1
,286
2
52
21.1
77
2.79
0.55
0.01
Dec
-08
218
2
,857
4
6,86
4 9
,198
2
,232
4
38
16.4
011
6.03
1.18
0.01
Jan-
09 2
32
2,2
18
45,
015
8,8
35
2,2
51
442
20
.30
154.
770.
940.
01
Feb-
09 2
21
1,8
91
42,
949
8,4
30
2,2
60
444
22
.71
285.
781.
130.
01
Mar
-09
265
1
,784
4
9,20
5 9
,658
2
,590
5
08
27.5
833
7.17
1.41
0.01
2008
-200
9 7
11
16,
129
335
,952
6
5,93
7 1
,412
2
77
20.8
325
764
.00
12.5
60.
02
Apr-
09 3
13
2,4
08
45,
653
10,
114
2,8
53
632
18
.96
145.
401.
200.
01
May
-09
270
2
,089
4
0,26
6 8
,920
2
,013
4
46
19.2
88
3.60
0.80
0.01
Jun-
09 2
43
1,9
48
44,
568
9,8
73
2,0
26
449
22
.88
267.
501.
660.
02
Jul-
09 2
72
2,5
82
51,
222
11,
347
2,2
27
493
19
.84
8018
.38
4.07
0.04
Aug-
09 2
74
1,5
83
38,
232
8,4
70
1,9
12
423
24
.15
8622
.96
5.09
0.06
Sep-
09 2
75
2,3
01
58,
674
12,
998
3,0
88
684
25
.526
649
.12
10.8
80.
08
Oct
-09
266
1
,875
4
3,73
1 9
,688
2
,302
5
10
23.3
228
445
.02
9.97
0.10
Nov
-09
279
2
,564
6
4,99
9 1
4,39
9 3
,250
7
20
25.3
525
346
.42
10.2
80.
07
Dec
-09
201
1
,735
3
7,56
7 8
,322
1
,789
3
96
21.6
538
259
.48
13.1
80.
16
Jan-
10 2
65
1,9
57
57,
036
12,
635
2,8
52
632
29
.14
433
81.5
418
.06
0.14
Feb-
10 2
60
1,4
55
34,
800
7,7
09
1,8
32
406
23
.92
195
39.2
88.
700.
11
Mar
-10
320
1
,572
4
7,06
8 1
0,42
7 2
,353
5
21
29.9
420
854
.13
11.9
90.
11
2009
-201
0 1
,144
2
4,06
9 5
63,8
16
124
,904
2
,359
5
23
23.4
2 2
,235
43
3.00
95.9
20.
08
96
Cont
d...
Tabl
e 5-
2 :
Secu
rity
-wis
e D
istr
ibut
ion
of W
DM
Tra
des
Mon
th &
Yea
r
Turn
over
(In
` C
r.)
Turn
over
(In
%)
Gov
ernm
ent
Secu
riti
esT-
Bills
PS
U /
Inst
. Bo
nds
Oth
ers
Tota
l Tur
nove
rG
over
nmen
t Se
curi
ties
T-Bi
lls
PSU
/In
st.
Bond
sO
ther
s
1994
-95
(Jun
e-M
arch
) 3
,026
2
,634
8
24
297
6
,781
4
4.63
3
8.84
1
2.15
4
.38
1995
-96
7,7
29
2,2
60
1,1
49
729
1
1,86
8 6
5.13
1
9.04
9
.69
6.1
4
1996
-97
27,
352
10,
957
2,7
69
1,1
99
42,
278
64.
70
25.
92
6.5
5 2
.84
1997
-98
84,
716
18,
870
4,0
50
3,6
27
111
,263
7
6.14
1
6.96
3
.64
3.2
6
1998
-99
84,
576
10,
705
5,0
41
5,1
47
105
,469
8
0.19
1
0.15
4
.78
4.8
8
1999
-00
282
,891
1
1,01
3 4
,867
5
,445
3
04,2
16
92.
99
3.6
2 1
.60
1.7
9
2000
-01
390
,952
2
3,14
3 7
,886
6
,600
4
28,5
82
91.
22
5.4
0 1
.84
1.5
4
2001
-02
902
,105
2
5,57
4 1
0,98
7 8
,619
9
47,1
91
95.
24
2.7
0 1
.16
0.9
1
2003
-03
1,0
00,5
18
32,
275
19,
985
15,
924
1,0
68,7
01
93.
62
3.0
2 1
.87
1.4
9
2003
-04
1,2
18,7
05
55,
671
27,
112
14,
609
1,3
16,0
96
92.
60
4.2
3 2
.06
1.1
1
2004
-05
724
,830
1
24,8
42
17,
835
19,
787
887
,294
8
1.69
1
4.07
2
.01
2.2
3
2005
-06
345
,563
1
05,2
33
12,
173
12,
554
475
,523
7
2.67
2
2.13
2
.56
2.6
4
2006
-07
153
,370
5
1,95
4 4
,418
9
,365
2
19,1
06
70.
00
23.
71
2.0
2 4
.27
2007
-08
194
,347
6
6,06
2 9
,232
1
2,67
6 2
82,3
17
68.
84
23.
40
3.2
7 4
.49
Apr-
08 1
3,46
6 3
,751
1
,886
7
90
19,
893
67.6
918
.85
9.48
3.97
May
-08
16,
293
2,3
65
1,2
01
798
2
0,65
6 78
.88
11.4
55.
813.
87
Jun-
08 1
2,02
6 3
,145
1
,654
1
,407
1
8,23
3 65
.96
17.2
59.
077.
72
Jul-
08 1
3,83
1 3
,034
5
53
1,3
26
18,
745
73.7
916
.19
2.95
7.07
Aug-
08 8
,243
2
,643
3
77
238
1
1,50
2 71
.67
22.9
83.
282.
07
97
Cont
d...
Mon
th &
Yea
r
Turn
over
(In
` C
r.)
Turn
over
(In
%)
Gov
ernm
ent
Secu
riti
esT-
Bills
PS
U /
Inst
. Bo
nds
Oth
ers
Tota
l Tur
nove
rG
over
nmen
t Se
curi
ties
T-Bi
lls
PSU
/In
st.
Bond
sO
ther
s
Sep-
08 1
2,85
4 5
,212
9
39
774
1
9,77
9 64
.99
26.3
54.
753.
91
Oct
-08
13,
859
3,8
36
1,8
87
384
1
9,96
6 69
.41
19.2
19.
451.
92
Nov
-08
16,
526
4,9
60
965
6
93
23,
143
71.4
121
.43
4.17
2.99
Dec
-08
32,
725
6,9
52
5,0
93
2,0
95
46,
864
69.8
314
.83
10.8
74.
47
Jan-
09 3
3,73
4 4
,251
5
,160
1
,870
4
5,01
5 74
.94
9.44
11.4
64.
15
Feb-
09 2
7,05
3 8
,152
5
,287
2
,457
4
2,94
9 62
.99
18.9
812
.31
5.72
Mar
-09
33,
677
8,5
22
5,0
06
2,0
00
49,
205
68.4
417
.32
10.1
74.
06
2008
-200
9 2
34,2
88
56,
824
30,
008
14,
831
335
,952
69
.74
16.9
18.
934.
41
Apr-
09 2
5,18
4 6
,971
9
,215
4
,284
4
5,65
3 5
5.16
1
5.27
20
.18
9.3
8
May
-09
2478
6 6
,161
6
,309
30
10 4
0,26
6 6
1.56
1
5.30
15
.67
7.4
7
Jun-
0928
979
7,8
48
5,2
82
2459
44,
568
65.
02
17.
61
11.8
5 5
.52
Jul-
09 3
3,60
9 5
,824
7
,798
3
,992
5
1,22
2 6
5.61
1
1.37
15
.22
7.7
9
Aug-
09 2
0,08
6 5
,979
7
,502
4
,665
3
8,23
2 5
2.54
1
5.64
19
.62
12.
20
Sep-
09 3
8,35
1 8
,094
7
,857
4
,372
5
8,67
4 6
5.36
1
3.79
13
.39
7.4
5
Oct
-09
23,
816
8,6
56
6,2
24
5,0
36
43,
731
54.
46
19.
79
14.2
3 1
1.52
Nov
-09
42,
052
7,4
72
7,9
40
7,5
34
64,
999
64.
70
11.
50
12.2
2 1
1.59
Dec
-09
2443
4 6
,324
4
,558
22
51 3
7,56
7 6
5.04
1
6.83
12
.13
5.9
9
Jan-
10 3
1,36
8 1
0,50
4 7
,001
8
,163
5
7,03
6 5
5.00
1
8.42
12
.27
14.
31
Feb-
10 1
8,06
3 6
,990
6
,322
3
,425
3
4,80
0 5
1.90
2
0.09
18
.17
9.8
4
Mar
-10
17,
110
12,
137
10,
825
6,9
95
47,
068
36.
35
25.
79
23.0
0 1
4.86
2009
-201
0 3
27,8
37
92,
961
86,
833
56,
185
563
,816
5
8.15
1
6.49
15
.40
9.9
7
98
Cont
d...
Tabl
e 5-
3 :
Part
icip
ant
wis
e D
istr
ibut
ion
of W
DM
Tur
nove
r
Mon
th/Y
ear
Turn
over
(In
` C
r.)
Tur
nove
r (I
n %
)
Trad
ing
Mem
bers
FIs/
MFs
/ Co
rpor
ates
Prim
ary
Dea
lers
Indi
an
Bank
sFo
reig
n Ba
nks
Tota
l Tu
rnov
erTr
adin
g M
embe
rsFI
s/M
Fs/
Corp
orat
esPr
imar
y D
eale
rsIn
dian
Ba
nks
Fore
ign
Bank
s
1994
-95
(Jun
e-M
arch
) 3
,921
4
36
1
960
1
,463
6
,781
57
.82
6.43
0.02
14.1
621
.57
1995
-96
2,7
87
902
1
38
3,5
69
4,4
73
11,
868
23.4
87.
601.
1630
.07
37.6
9
1996
-97
9,7
03
1,6
11
2,5
79
12,
688
15,
698
42,
278
22.9
53.
816.
1030
.01
37.1
3
1997
-98
21,
975
4,7
84
13,
418
45,
885
25,
201
111
,263
19
.75
4.30
12.0
641
.24
22.6
5
1998
-99
16,
327
5,2
00
15,
441
44,
424
24,
079
105
,469
15
.48
4.93
14.6
442
.12
22.8
3
1999
-00
56,
675
12,
716
59,
079
129
,961
4
5,78
5 3
04,2
16
18.6
34.
1819
.42
42.7
215
.05
2000
-01
99,
602
17,
915
94,
888
143
,746
7
2,43
0 4
28,5
82
23.2
44.
1822
.14
33.5
416
.90
2001
-02
222
,779
3
9,40
3 2
13,1
18
346
,672
1
25,2
19
947
,191
23
.52
4.16
22.5
036
.60
13.2
2
2002
-03
265
,145
4
0,29
0 2
35,4
35
414
,336
1
13,4
96
1,0
68,7
01
24.8
13.
7722
.03
38.7
710
.62
2003
-04
458
,001
6
0,01
4 2
24,1
31
478
,533
9
5,41
7 1
,316
,096
34
.80
4.56
17.0
336
.36
7.25
2004
-05
301
,325
4
5,60
7 1
64,1
49
265
,212
1
11,0
00
887
,294
33
.96
5.14
18.5
029
.89
12.5
1
2005
-06
152
,215
1
8,64
1 1
04,0
92
133
,479
6
7,09
6 4
75,5
23
32.0
13.
9221
.89
28.0
714
.11
2006
-07
67,
660
5,9
16
43,
427
57,
033
45,
070
219
,106
30
.88
2.70
19.8
226
.03
20.5
7
Apr
-07
5,2
06
319
2
,902
4
,811
3
,921
1
7,15
9 30
.34
1.86
16.9
128
.04
22.8
5M
ay-0
7 7
,140
1
35
1,9
62
4,1
42
4,1
05
17,
483
40.8
40.
7711
.22
23.6
923
.48
Jun-
07 6
,600
2
69
2,2
47
4,8
14
3,4
05
17,
335
38.0
71.
5512
.96
27.7
719
.64
Jul-
07 1
3,60
4 1
,150
4
,149
9
,272
5
,640
3
3,81
5 40
.23
3.40
12.2
727
.42
16.6
8A
ug-0
7 9
,807
6
06
1,6
33
4,0
87
5,2
98
21,
431
45.7
62.
837.
6219
.07
24.7
2Se
p-07
7,6
70
338
8
87
3,7
76
4,2
31
16,
902
45.3
82.
005.
2522
.34
25.0
3O
ct-0
7 1
2,38
0 3
98
1,4
12
6,0
57
5,2
47
25,
493
48.5
61.
565.
5423
.76
20.5
8N
ov-0
7 7
,347
3
38
1,2
38
3,0
15
5,7
66
17,
704
41.5
01.
916.
9917
.03
32.5
7D
ec-0
7 1
0,63
9 7
92
2,3
63
8,4
66
10,
606
32,
865
32.3
72.
417.
1925
.76
32.2
7Ja
n-08
16,
154
1,2
26
3,0
04
9,4
29
12,
911
42,
724
37.8
12.
877.
0322
.07
30.2
2Fe
b-08
7,2
01
757
1
,863
6
,047
8
,175
2
4,04
4 29
.95
3.15
7.75
25.1
534
.00
Mar
-08
3,9
59
273
7
45
3,2
18
7,1
66
15,
362
25.7
71.
784.
8520
.95
46.6
5
99
Cont
d...
Mon
th/Y
ear
Turn
over
(In
` C
r.)
Tur
nove
r (I
n %
)
Trad
ing
Mem
bers
FIs/
MFs
/ Co
rpor
ates
Prim
ary
Dea
lers
Indi
an
Bank
sFo
reig
n Ba
nks
Tota
l Tu
rnov
erTr
adin
g M
embe
rsFI
s/M
Fs/
Corp
orat
esPr
imar
y D
eale
rsIn
dian
Ba
nks
Fore
ign
Bank
s
2007
-08
107
,704
6
,606
2
4,39
2 6
7,13
5 7
6,48
0 2
82,3
17
38.1
52.
348.
6423
.78
27.0
9Ap
r-08
7,0
16
400
1
,102
3
,233
8
,142
1
9,89
3 35
.27
2.01
5.54
16.2
540
.93
May
-08
5,5
83
361
1
,739
5
,540
7
,432
2
0,65
6 27
.03
1.75
8.42
26.8
235
.98
Jun-
08 6
,755
3
30
841
3
,306
7
,002
1
8,23
3 37
.05
1.81
4.61
18.1
3 3
8.40
Jul-
08 8
,746
1
74
1,4
30
3,4
88
4,9
06
18,
745
46.6
60.
937.
6318
.61
26.1
7
Aug-
08 5
,384
1
09
1,0
64
1,8
56
3,0
88
11,
502
46.8
10.
959.
2516
.14
26.8
5
Sep-
08 9
,969
1
35
775
3
,054
5
,847
1
9,77
9 50
.40
0.68
3.92
15.4
429
.56
Oct
-08
7,4
35
1,2
32
1,7
37
3,7
54
5,8
08
19,
966
37.2
46.
178.
7018
.80
29.0
9
Nov
-08
8,5
47
1,4
35
1,5
21
3,7
26
7,9
15
23,
143
36.9
36.
206.
5716
.10
34.2
0
Dec
-08
22,
898
2,0
57
4,5
46
9,7
76
7,5
87
46,
864
48.8
64.
399.
7020
.86
16.1
9
Jan-
09 2
1,33
7 1
,373
3
,412
5
,388
1
3,50
5 4
5,01
5 47
.40
3.05
7.58
11.9
730
.00
Feb-
09 2
1,27
3 1
,503
2
,414
6
,983
1
0,77
6 4
2,94
9 49
.53
3.50
5.62
16.2
625
.09
Mar
-09
25,
070
2,2
98
1,5
25
10,
746
9,5
66
49,
205
50.9
54.
673.
1021
.84
19.4
4
2008
-09
150
,014
1
1,40
8 2
2,10
6 6
0,85
1 9
1,57
3 3
35,9
52
44.6
53.
406.
5818
.11
27.2
6Ap
r-09
23,
370
1,3
60
2,7
76
7,7
84
10,
363
45,
653
51.1
92.
986.
0817
.05
22.7
0
May
-09
19,
102
1,2
56
1,9
21
7,6
55
10,
332
40,
266
47.4
43.
124.
7719
.01
25.6
6
Jun-
09 1
9,90
4 1
,319
2
,362
8
,290
1
2,69
3 4
4,56
8 44
.66
2.96
5.30
18.6
028
.48
Jul-
09 2
1,85
6 1
,286
2
,797
1
2,73
4 1
2,54
9 5
1,22
2 42
.67
2.51
5.46
24.8
624
.50
Aug-
09 1
8,44
3 9
56
1,8
70
8,6
06
8,3
58
38,
232
48.2
42.
504.
8922
.51
21.8
6
Sep-
09 2
3,83
9 1
,637
2
,464
1
5,84
8 1
4,88
6 5
8,67
4 40
.63
2.79
4.20
27.0
125
.37
Oct
-09
23,
864
1,0
67
1,7
54
7,0
01
10,
045
43,
731
54.5
72.
444.
0116
.01
22.9
7
Nov
-09
31,
583
1,8
20
3,3
80
13,
578
14,
638
64,
999
48.5
92.
805.
2020
.89
22.5
2
Dec
-09
20,
519
1,3
45
2,0
06
8,4
56
5,2
41
37,
567
54.6
23.
585.
3422
.51
13.9
5
Jan-
10 3
1,60
4 8
10
1,1
01
8,9
32
14,
590
57,
036
55.4
11.
421.
9315
.66
25.5
8
Feb-
10 1
6,88
1 7
97
1,2
15
7,2
70
8,6
37
34,
800
48.5
12.
293.
4920
.89
24.8
2
Mar
-10
26,
626
1,1
16
2,4
52
5,7
33
11,
141
47,
068
56.5
72.
375.
2112
.18
23.6
7
2009
-201
0 2
77,5
92
14,
769
26,
096
111
,886
1
33,4
72
563
,816
49
.23
2.63
4.63
19.8
423
.67
100
Table 5-4 : Share of Top ‘N’ Securities/Trading Members/Participants in Turnover in WDM Segment.
Year In Percent
Top 5 Top 10 Top 25 Top 50 Top 100Securities1994-95 42.84 61.05 80.46 89.81 97.161995-96 57.59 69.46 79.60 86.58 93.241996-97 32.93 48.02 65.65 78.32 90.171997-98 30.65 46.92 71.25 85.00 92.151998-99 26.81 41.89 64.30 78.24 86.661999-00 37.11 55.57 82.12 90.73 95.282000-01 42.20 58.30 80.73 89.97 95.132001-02 51.61 68.50 88.73 94.32 97.192002-03 43.10 65.15 86.91 92.74 96.132003-04 37.06 54.43 81.58 90.66 95.142004-05 43.70 57.51 71.72 80.59 89.552005-06 47.42 59.78 72.02 81.04 89.362006-07 40.90 51.29 65.82 77.15 86.912007-08 39.65 53.31 68.35 79.64 89.552008-09 31.31 43.05 60.42 72.45 83.872009-2010 24.19 35.14 53.05 65.63 77.89Trading Members1994-95 51.99 73.05 95.37 100.00 –1995-96 44.36 68.58 96.10 100.00 –1996-97 30.02 51.27 91.57 99.96 100.001997-98 27.17 47.85 83.38 99.82 100.001998-99 29.87 50.45 86.55 99.98 100.001999-00 32.38 53.41 84.46 100.00 –2000-01 35.17 54.25 86.82 100.00 –2001-02 35.18 58.68 88.36 100.00 –2002-03 31.77 53.71 85.49 100.00 –2003-04 30.72 53.01 86.71 100.00 –2004-05 35.75 56.84 86.74 100.00 –2005-06 39.68 60.63 89.38 100.00 –2006-07 57.75 78.01 96.43 100.00 –2007-08 65.32 80.24 97.60 100.00 –2008-09 69.92 82.89 98.38 100.00 –2009-2010 73.72 85.28 97.98 100.00 –Participants1994-95 18.37 27.38 38.40 42.20 –1995-96 29.66 47.15 70.49 76.32 76.581996-97 25.27 44.92 67.00 76.33 77.101997-98 23.60 38.96 65.59 77.96 80.221998-99 22.47 37.39 62.79 79.27 84.511999-00 15.54 27.87 52.51 74.76 81.322000-01 17.51 28.85 50.64 69.72 76.782001-02 17.49 29.25 50.19 69.16 76.492002-03 17.27 28.29 49.22 68.14 75.202003-04 16.66 25.96 44.25 59.87 65.172004-05 16.82 28.64 47.24 61.71 66.002005-06 17.5 30.53 53.61 65.84 67.972006-07 25.85 40.65 59.99 68.17 69.092007-08 28.36 40.64 55.58 61.77 61.842008-09 24.08 38.24 51.19 55.34 55.382009-2010 23.40 36.87 47.64 50.77 –
101
Cont
d...
Tabl
e 5-
5 :
Mar
ket
Capi
tali
sati
on o
f W
DM
Sec
urit
ies
Mon
th/Y
ear
Gov
t.
secu
riti
esPS
U b
onds
Stat
e lo
ans
T-bi
llsO
ther
sTo
tal
Tota
lG
ovt.
se
curi
ties
PSU
bon
ds
Stat
e lo
ans
T-bi
llsO
ther
s
( `
cr)
(US
$ m
n)(i
n pe
rcen
t)
Jun-
94 6
0,71
9 2
0,43
9 1
,833
1
8,47
6 2
0,05
2 12
1,51
838
,663
49.9
716
.82
1.51
15.2
016
.50
Mar
-95
86,
175
25,
675
5,8
67
17,
129
23,
334
158,
181
50,3
2854
.48
16.2
33.
7110
.83
14.7
5
Mar
-96
125
,492
3
0,07
4 1
3,85
0 8
,452
2
9,91
5 20
7,78
3 6
0,49
060
.40
14.4
76.
674.
0714
.40
Mar
-97
169
,830
3
6,21
1 1
8,89
1 1
3,46
0 5
4,38
0 29
2,77
281
,598
58.0
112
.37
6.45
4.60
18.5
7
Mar
-98
196
,290
3
5,32
3 2
3,98
9 1
7,49
7 7
0,09
1 34
3,19
1 8
6,81
8 57
.20
10.2
96.
995.
1020
.42
Mar
-99
260
,002
3
4,99
4 3
0,51
6 1
1,29
2 7
4,66
6 41
1,47
0 9
6,97
6 63
.19
8.50
7.42
2.74
18.1
5
Mar
-00
319
,865
3
9,35
7 3
9,47
7 1
5,34
5 7
9,98
9 49
4,03
3 1
13,2
58
64.7
57.
977.
993.
1116
.19
Mar
-01
397
,228
3
6,36
5 4
4,62
4 1
7,72
5 8
4,89
4 58
0,83
6 1
13,2
58
68.3
96.
267.
683.
0514
.62
Mar
-02
542
,601
3
9,94
4 6
1,38
5 2
3,84
9 8
9,01
6 75
6,79
4 1
55,7
19
71.7
05.
288.
113.
1511
.76
Mar
-03
658
,002
3
8,38
3 7
2,09
4 3
4,91
9 6
1,08
4 86
4,48
1 1
81,9
96
76.1
24.
448.
344.
047.
06
Mar
-04
959
,302
5
6,83
2 7
9,34
0 3
2,69
2 8
7,69
8 1,
215,
864
280,
218
78.9
04.
676.
532.
697.
21
Mar
-05
1,00
6,10
7 6
8,39
8 2
23,2
08
73,
502
90,
519
1,46
1,73
433
4,11
168
.83
4.68
15.2
75.
036.
19
Mar
-06
1,05
9,78
9 8
8,71
6 2
41,9
27
70,
186
106
,956
1,
567,
574
351
,395
67
.61
5.66
15.4
34.
486.
82
Mar
-07
1,18
2,27
8 8
9,62
8 2
49,8
47
115
,183
1
47,8
65
1,78
4,80
1 4
09,4
52
66.2
45.
0214
.00
6.45
8.28
Mar
-08
1,39
2,21
9 9
6,26
8 3
15,6
61
111
,562
2
07,6
36
2,12
3,34
6 5
31,2
35
65.5
74.
5314
.87
5.25
9.77
Apr-
08 1
,437
,643
9
8,52
4 3
14,7
16
110
,280
2
07,4
88
2,1
68,6
51
425
,643
66
.29
4.54
14.5
15.
099.
57
May
-08
1,4
38,7
43
98,
845
317
,972
1
26,4
69
210
,154
2
,192
,183
4
30,2
62
65.6
34.
5114
.50
5.77
9.59
Jun-
08 1
,434
,072
1
01,0
85
317
,095
1
33,0
61
209
,648
2
,194
,961
4
30,8
07
65.3
34.
6114
.45
6.06
9.55
Jul-
08 1
,424
,369
1
01,2
00
319
,827
1
33,4
88
207
,843
2
,186
,727
4
29,1
91
65.1
44.
6314
.63
6.10
9.50
Aug-
08 1
,455
,397
1
03,8
66
322
,447
1
33,7
68
210
,117
2
,225
,595
4
36,8
19
65.3
94.
6714
.49
6.01
9.44
Sep-
08 1
,471
,565
1
08,3
30
325
,475
1
35,1
87
213
,708
2
,254
,265
4
42,4
47
65.2
84.
8114
.44
6.00
9.48
102
Cont
d...
Mon
th/Y
ear
Gov
t.
secu
riti
esPS
U b
onds
Stat
e lo
ans
T-bi
llsO
ther
sTo
tal
Tota
lG
ovt.
se
curi
ties
PSU
bon
ds
Stat
e lo
ans
T-bi
llsO
ther
s
( `
cr)
(US
$ m
n)(i
n pe
rcen
t)
Oct
-08
1,5
35,8
26
108
,922
3
24,2
18
141
,680
2
18,9
59
2,3
29,6
04
457
,233
65
.93
4.68
13.9
26.
089.
40
Nov
-08
1,6
21,9
42
111
,178
3
32,9
23
146
,154
2
30,3
72
2,4
42,5
69
479
,405
66
.40
4.55
13.6
35.
989.
43
Dec
-08
1,8
08,2
70
119
,165
3
44,7
21
141
,888
2
54,8
72
2,6
68,9
16
523
,830
67
.75
4.46
12.9
25.
329.
55
Jan-
09 1
,848
,128
1
29,0
70
364
,204
1
45,1
21
265
,364
2
,751
,888
5
40,1
15
67.1
64.
6913
.23
5.27
9.64
Feb-
09 1
,868
,684
1
29,6
09
376
,820
1
44,3
36
290
,538
2
,809
,987
5
51,5
18
66.5
04.
6113
.41
5.14
10.3
4
Mar
-09
1,84
9,97
1 1
29,4
99
422
,362
1
47,6
17
298
,867
2,
848,
315
559
,041
64
.95
4.55
14.8
35.
1810
.49
Apr-
09 1
,959
,534
1
31,9
93
423
,688
1
61,5
91
311
,526
2
,988
,332
6
62,0
14
65.
57
4.4
2 1
4.18
5
.41
10.
42
May
-09
1,9
83,7
40
135
,139
4
31,3
71
146
,531
3
11,6
26
3,0
08,4
07
666
,461
6
5.94
4
.49
14.
34
4.8
7 1
0.36
Jun-
09 2
,034
,163
1
36,5
87
436
,946
1
45,3
91
322
,819
3
,075
,905
6
81,4
14
66.
13
4.4
4 1
4.21
4
.73
10.
50
Jul-
09 2
,065
,255
1
38,7
18
446
,610
1
39,8
16
327
,377
3
,117
,776
6
90,6
90
66.
24
4.4
5 1
4.32
4
.48
10.
50
Aug-
09 1
,898
,003
1
44,5
72
457
,731
1
37,4
92
332
,661
2
,970
,459
6
58,0
55
63.
90
4.8
7 1
5.41
4
.63
11.
20
Sep-
09 1
,932
,681
1
45,6
24
472
,392
1
37,5
80
336
,139
3
,024
,417
6
70,0
08
63.
90
4.8
1 1
5.62
4
.55
11.
11
Oct
-09
1,9
61,3
49
151
,364
4
86,3
63
133
,615
3
40,0
42
3,0
72,7
33
680
,712
6
3.83
4
.93
15.
83
4.3
5 1
1.07
Nov
-09
1,9
70,0
02
153
,577
4
97,6
52
132
,538
3
45,4
44
3,0
99,2
14
686
,578
6
3.56
4
.96
16.
06
4.2
8 1
1.15
Dec
-09
1,9
79,3
39
155
,927
5
09,7
22
134
,388
3
50,3
72
3,1
29,7
47
693
,342
6
3.24
4
.98
16.
29
4.2
9 1
1.19
Jan-
10 1
,966
,140
1
61,8
56
516
,934
1
33,2
24
360
,024
3
,138
,177
6
95,2
10
62.
65
5.1
6 1
6.47
4
.25
11.
47
Feb-
10 1
,956
,862
1
63,5
90
530
,091
1
33,1
86
369
,630
3
,153
,360
6
98,5
73
62.
06
5.1
9 1
6.81
4
.22
11.
72
Mar
-10
1,95
0,43
6 1
62,9
79
536
,996
1
35,6
96
379
,823
3,
165,
929
701
,358
6
1.61
5
.15
16.
96
4.2
9 1
2.00
103
Table 5-6 : FIMMDA NSE MIBID/MIBOR Rates 2009-10
Month/Date OVERNIGHT AT 9.40 a.m.
3 DAY 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 MIBID MIBOR
29-Apr-09 3.24 3.31 3.25 3.31 3.43 3.87 4.06 4.42 5.18 5.64
30-May-09 3.22 3.30 3.21 3.27 3.31 3.74 3.81 4.16 4.84 5.29
30-Jun-09 3.22 3.30 3.22 3.28 3.10 3.46 3.48 3.82 4.35 4.72
31-Jul-09 3.21 3.28 3.22 3.28 3.15 3.50 3.43 3.80 4.29 4.52
31-Aug-09 3.23 3.29 3.18 3.27 3.09 3.47 3.35 3.77 4.23 4.58
29-Sep-09 3.26 3.33 3.22 3.30 3.12 3.57 3.43 3.92 4.26 4.67
31-Oct-09 3.21 3.30 3.23 3.30 3.11 3.41 3.40 3.72 4.24 4.61
30-Nov-09 3.23 3.30 3.23 3.29 3.10 3.49 3.36 3.74 4.13 4.44
31-Dec-09 3.44 3.59 3.44 3.56 3.27 3.67 3.55 3.98 4.18 4.60
30-Jan-10 3.21 3.31 3.23 3.30 3.32 3.59 3.62 3.90 4.23 4.59
26-Feb-10 3.25 3.31 3.29 3.35 3.27 3.69 3.65 4.17 4.37 4.97
31-Mar-10 5.25 5.47 5.25 5.44 3.88 4.53 4.49 5.09 5.02 5.69
Overnight : Disseminated since June 15, 1998.3 day : disseminated since June 06, 2008 is calculated and disseminated on every last working day of
the week The 3 day rates in the table are rates of the last working day of the week at the end of the
month14 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 SecuritiesTraded as on March 31, 2010
Security Type
Security Name
Issue Name
Normal Weighted Normal
Historical Simulation
Weighted Historical Simulation
EVT Clean Price (off NSE-ZCYC)
Accrued_Interest
GS CG2010 12.25% 0.31 0.584 0.398 0.508 0.337 102.279 2.9534
GS CG2010 7.55% 0.164 0.315 0.207 0.271 0.176 100.565 2.8338
GS CG2011 11.50% 0.845 1.333 1.040 0.914 0.913 108.148 1.7889
GS CG2012 7.40% 0.985 1.489 1.265 1.049 1.065 102.821 3.0422
GS CG2013 7.27% 1.108 1.669 1.340 1.133 1.12 101.313 0.5654
GS CG2016 7.02% 1.302 1.626 1.391 2.353 1.141 96.48 0.858
GS CG2016 7.59% 1.263 1.643 1.396 1.497 1.061 99.701 3.5631
TB 182D 240610 0.28 0.530 0.357 0.459 0.306 99.242 0
TB 364D 180610 0.264 0.500 0.333 0.432 0.285 99.304 0
TB 364D 250311 0.75 1.234 0.918 0.921 0.819 95.553 0
TB 91D 160410 0.062 0.120 0.082 0.104 0.067 99.876 0
TB 91D 180610 0.264 0.500 0.333 0.432 0.285 99.304 0
104
Futures & Options Segment 6
106
107
6Futures & Options Segment
The Futures and Options segment of NSE witnessed huge increase in volumes during 2009-10 and continued to achieve a commendable place on the international front. In the year 2009 NSE ranked as the seventh largest derivatives exchange in the world1, the second largest exchange in single stock futures and stock index options and the third largest in the stock index futures category. The rankings are based in terms of number of contracts traded.2
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, Bank Nifty Nifty Midcap 50 Indices and 190 single stocks (Table 6-1) as of March 2010. 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 Equity Derivatives Segment
Products on Derivative Segment Date of Launch
S&P CNX Nifty Futures June 12, 2000S&P CNX Nifty Options June 4, 2001Single Stock Options July 2, 2001Single Stock Futures November 9, 2001CNX IT Futures & Options August 29, 2003Bank Nifty Futures & Options June 13, 2005Nifty Midcap 50 Futures & Options October 5, 2007Mini Nifty Futures & Options on S&P CNX Nifty January 1, 2008Long term Options on S&P CNX Nifty March 3, 2008
Since inception, NSE established itself as the sole market leader in this segment in the country and during 2009-10, it accounted for 99 % 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.
Contract Specification
The contract specification for derivative products traded on NSE are summarised in Table 6-2 & Table 6-3.
At any point of time there are o nly three contract months available for trading, with 1 month,
1 FIA, March 20102 WFE
108
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 8 following semi-annual months of the cycle June / December. Thus, at any point in time there would be options contracts available up to 5 year tenure.
Selection Criteria for Stocks and Index eligibility for trading
Eligibility Criteria of Stocks
The eligibility criteria for inclusion of scrips in F&O segment is as under:
• The stock is chosen from amongst the top 500 stocks in terms of average daily market capitalization 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 should not be less than ` 5 lakh.
• The market wide position limit (MWPL) in the stock should not be less than ` 100 crore.
The criteria for exclusion of scrips in F&O segment will be as under:
For an existing F&O stock, the continued eligibility criteria is that market wide position limit in the stock should not be less than ` 60 crores and stock’s median quarter-sigma order size over the last six months shall be not less than ` 2 lakh. If the existing security fails to meet the eligibility criteria for three months consecutively, then no fresh month contract would be issued on that security. However, the existing unexpired contracts would be permitted to trade till expiry and new strikes would also be introduced in the existing contract months. Further, once the stock is excluded from the F&O list, it is not considered for re-inclusion for a period of one year.
Eligibility Criteria of Indices
• 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.
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
109
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 ` 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
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 & Contract Traded
The total turnover on the F&O Segment increased by 60.43 % to ̀ 17,663,665 crore (US $ 3,913,085 million) during 2009-10 as compared with ` 11,010,482 crore (US $ 2,161,037 million) during 2008-09. The average daily turnover during 2009-10 was ` 72,392 crore (US $ 16,037 million). The business growth of F&O segment and the number of contracts traded during the year is presented in Table 6-5 and Chart 6-1.
Chart 6-1: Business Growth of F&O Segment
110
The total number of contracts traded increased by 3 % to 68 crore contracts during 2009-10. Out of the total contracts traded, 50.26 % of the contracts were traded on Index options followed by index futures on which 26.25% of the contracts were traded. Number of contracts traded on Stock futures was 21.45% while 2.06% of the total contracts were traded on stock options. (Chart 6-2).
Chart 6-2 : Product wise Number of Contracts Traded during 2009-10
Product wise turnover on F&O Segment:
During 2009-10, the traded value of index futures saw a year-on-year increase of 10.20 % and amounted to ` 3,934,389 crore (US $ 871,597 million) in 2009-10 as against ` 3,570,111 crore (US $ 700,709 million) during 2008-09.
The traded value in stock futures increased by 49.30 % to ` 5,195,247 crore (US $ 1,150,919 million) during 2009-10 over the turnover of ` 3,479,642 crore (US $ 682,952 million) during 2008-09.
Index options recorded turnover of ` 8,027,964 crore (US $ 1,778,459 million) during 2009-10, an increase of 115.14 % over the turnover of ` 3,731,502 crore (US $ 732,385 million) during 2008-09.
Stock options recorded turnover of ` 506,065 crore (US $ 112,110 million) during 2009-10, a decrease of 120.77 % over the turnover of ` 229,227 crore (US $ 44,991 million) during 2008-09.
Index Options accounted for 45.45% of the total turnover during the 2009-10 fiscal followed by the trading in stock futures at 29.41 %. (Chart 6-3)
111
Chart 6-3 Product wise trading volumes during 2009-10
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 (2009-10)
Products
Underlying
No. of Contracts
Turnover
` cr. US $ mn
NIFTY S&P CNX Nifty 493,133,483 11,491,391 2,545,722
BANKNIFTY BANK Nifty 7,784,206 296,336 65,648
MINIFTY S&P CNX Nifty 18,699,392 170,675 37,810
JUNIOR* CNX Nifty Junior 23 2 0.33
CNXIT CNX IT 44,658 2,246 497
CNX100* CNX 100 99 3 1
Nifty Midcap 50 Nifty Midcap 50 24,551 1,699 376
Long term Option Contracts S&P CNX Nifty 657,205 16,632 3,684
DEFTY* S&P CNX Defty 0 0 0
TOTAL 520,343,617 11,978,985 2,653,740
* F&O contracts in Junior, CNX100 and Defty indices have been discountinued w.e.f. July 31,2009.
During 2009-10, the S&P CNX Nifty Index accounted for more than 95.93 % of the turnover in Index futures and options. The S&P CNX Nifty accounted for 94.77 % of the total contracts.
Sectorwise Stock Futures & Options Turnover
Sectorwise turnover of stock futures and options is presented in the table below. Companies belonging to the Manufacturing Sector and Infrastructure Sector accounted for 31.81 % and 18.68% respectively of the total stock futures and options turnover on the Exchange .
112
Sectorwise Classification of turnover of the Single Stock Futures during 2009-10
Classifi cation Total Turnover ( ` cr) Total Turnover ( US $ mn)
Manufacturing 1,183,445 401,738
Petrochemicals 675,955 149,746
Infrastructure 1,064,984 235,929
Banks 704,924 156,164
Information Technology 399,272 88,452
Finance 383,044 84,857
Telecommunication 225,280 49,907
Pharmaceuticals 118,527 26,258
ENGINEERING 115,135 25,506
FMCG 101,295 22,440
Media & Entertainment 36,461 8,077
Services 44,660 9,894
Miscellaneous 18,331 4,061
TOTAL 5,701,312 1,263,209
The stock futures and option turnover of top 5 companies in each sector for the period 2009-10 is presented in Table 6-6.
Participant wise turnover on F&O Segment:
During 2009-10, the retail investors accounted for 54.86 % 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` 19,378,966 crore (US $ 4,293,081 million) followed by the Proprietary segment with gross turnover of ` 11,175,447 crore (US $ 2,475,730 million) and the Institutional players with gross turnover of ` 4,772,915 crore (US $ 1,057,358 million). The share of proprietary participants and institutional participants in the gross turnover was 31.63 % and 13.51 % respectively.
The month wise details of the turnover for the participants in the F&O segment is presented in Table 6-7 and Chart 6-4 shows the participant wise F&O turnover during 2009-10.
Chart 6-4 Participant wise F&O Turnover during 2008-09
113
Memberwise turnover on the Exchange:
During 2009-10, there were 780 members which accounted for turnover of ` 1,000 crore and more while 67 members registered turnover between ` 500 crore and ` 1,000 crore collectively in the futures and options category. In the month of March 2010, 366 trading members accounted for a turnover of ` 1,000 crore and more, which was the highest number of members during the fiscal year 2009-10.
The number of members in different turnover brackets in Futures and Options segment is presented 6-8a & 6-8 b.
High Volume Members
In the Futures segment, the share of top 5 and top ‘10’ members in turnover was 15% and 22% respectively , while in the options segment the share of top 5 and top 10 trading members in turnover was 25% and 32 % respectively. (Table 6-8 c).
Internet Trading
At the end of March 2010, a total number of 356 members were permitted to allow investor’s web based access to NSE’s trading system. The members of the exchange in turn had registered 3,529,947 clients for web based access as on March 31, 2010. In the Futures and Options Segment the trading volume of ̀ 2,694,513 crore (US $ 596,924 million) during the year 2009-10, constituting 15.25 % 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 to 2009-10.
Internet Trading in the F&O Segment of the Exchange
Year
Enabled Members*
Registered Clients*
Internet Trading Value
Internet Trading Value
% to Total Trading Value
( ` cr) (US $ mn)
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
2008-09 337 4,426,577 1,686,208 330,953 15.31
2009-10 356 3,529,947 2,694,513 596,924 15.25
* At the end of financial year.
Traded Value Records
Trading volumes in the F&O Segment during 2009-10 reached a high of ` 166,193 crore (US $ 36,817 million) on January 28, 2010. The following table gives the record turnover of different products in the F&O Segment.
Records Achieved in the F&O Segment : 2009-10
Product Traded Value ( ` cr.)
Traded Value (US $ mn.)
Date
Index Futures 36,745 8,140 27-Jan-10
Stock Futures 43,370 9,608 28-Jan-10
Index Options 84,101 18,631 28-Jan-10
Stock Options 3,436 761 15-Jun-09
Total F&O Traded Value 166,193 36,817 28-Jan-10
114
Top 20 Futures and Option contracts
During 2009-10, top 20 Futures and options contracts in terms of number of contracts traded have been presented in Table 6-8 and Table 6-9.
The top 20 Futures contracts accounted for 50.54% of the total no. of contracts traded in the Futures segment while top 20 Option contracts accounted for 21.91% of the total option contracts traded during 2009-10.
Among the top 20 future contracts, Nifty July 2009 futures accounted for 10.19% of the total top 20 contracts while Nifty May 2009 futures and Nifty August 2009 contributed 8.62% and 8.57% respectively.
Top 3 option contracts on the basis of number of contracts traded during 2009-10 were Nifty Feb 2010 CE 4900, Nifty Dec 2009 CE 5200 and Nifty Feb 2010 PE 4800. Together these three option contracts formed 19.86 % of the total number of contracts traded of top 20 option contracts.
Number of Trades
During 2009-10, maximum number of trades in the F&O Segment were witnessed in Stock Futures (45.14%), Index futures (21.63%), Index Options (28.91%) and Stock Options (4.32%) as mentioned in the table below.
Number of Trades in F&O Segment (2009-10)
Products Number of Trades (%)
Stock Futures 45.14
Index Futures 21.63
Index Options 28.91
Stock Options 4.32
TOTAL 100.00
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 were fixed at the rate of ` 2 per lakh of turnover (0.002%) subject to a minimum of ` 1,00,000 per year.
115
In continuation of the above the Exchange has reduced the transaction charges for trades done in the Futures segment from its present level to a slab based structure as given below w.e.f 1st October 2009.
Total Traded Value in a month Revised Transaction Charges ( ` per lakh of Traded Value)
Up to First ` 2500 cores ` 1.90 each side
More than ` 2500 crores up to ` 7500 crores (on incremental volume)
` 1.85 each side
More than ` 7500 crores up to ` 15000 crores (on incremental volume)
` 1.80 each side
Exceeding ` 15000 crores (on incremental volume)
` 1.75 each side
The transactions in the options sub-segment the transaction charges are levied on the premium value at the rate of 0.05% (each side) instead of on the strike price as levied earlier.
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 Price at which such “Futures” is traded
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 ̀ 100 crore of the traded value (each side) in case of Futures segment and ` 1/- per ̀ 100 crore of the premium amount (each side) in case of Options segment.
CLEARING AND SETTLEMENT
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 clearing mechanism essentially involves working out open positions and obligations of clearing (self-clearing/trading-cum-clearing/professional clearing) members. This position is considered for exposure and daily margin purposes. The open positions of CMs are arrived at by aggregating the open positions of all the TMs and all custodial participants clearing through him, in contracts in which they have traded. A TM’s open position is arrived at as the summation of his proprietary
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open position and clients’ open positions, in the contracts in which he has traded. While entering orders on the trading system, TMs are required to identify the orders. These orders can be proprietary (if they are their own trades) or client (if entered on behalf of clients) through ‘Pro/ Cli’ indicator provided in the order entry screen. Proprietary positions are calculated on net basis (buy - sell) for each contract. Clients’ positions are arrived at by summing together net (buy - sell) 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 settlement amount for a CM is netted across all their TMs/clients, with respect to their obligations on MTM, premium and exercise settlement. 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 T+1 day basis and the final settlement which happens on the next day of the expiry day
• 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, premium settlement, interim exercise settlement in the case of option contracts on securities and final exercise settlement.
• Daily premium settlement
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
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payable amount and the premium receivable amount are netted to compute the net premium payable or receivable amount for each client for each option contract.
• Interim exercise settlement
Interim exercise settlement takes place only for option contracts on 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 exercise settlement value per unit of the option from the CM who has been assigned the option contract
• Final exercise settlement
Final exercise settlement is effected for all open long in-the-money strike price options existing at the close of trading hours, on the expiration day of an option contract. All such long positions are exercised and automatically assigned to short positions in option contracts with the same series, on a random basis. The investor who has long in-the-money options on the expiry date will receive the exercise settlement value per unit of the option from the investor who is short on the option
• Settlement Prices for Options
Interim exercise settlement price for option contracts on individual securities
Interim Exercise settlement price for an option contract is the closing price of the relevant underlying security in the Normal Market of the Capital market segment. 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 on the interim exercise day
Final Exercise settlement price for an option contract
Final Exercise settlement price for an option contract shall be the closing price of the relevant underlying security/index in the Normal Market of the Capital market segment on the expiry day. 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 on expiry day
Settlement Statistics
All derivative contracts are currently cash settled. The participants discharge their obligations through payment/receipt of cash. During 2009-109, such cash settlement amounted to ` 76,942.78 crore (US $ 17,045.37 million). The settlement of futures and options involved ` 62,050.97 crore (US $ 13,746.34 million) and ` 14,891.81 (US $ 3,299.03 million) respectively. The details of settlement in the futures and options segment is presented in Table 6-12.
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:
• 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 Chapter 2 of this publication.
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• 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)3∗ (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.
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.
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.
3 SPAN ® is a registered trademark of the Chicago Mercantile Exchange (CME) used here under license.
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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:
• 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.
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• 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.
Trading Member wise Position Limits
Index Futures Contract:
The trading member position limits in equity index futures contracts is higher of ` 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 ` 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 ` 500 crores or more, the combined futures and options position limit is 20% of applicable MWPL or ` 300 crores, whichever is lower and within which stock futures position cannot exceed 10% of applicable MWPL or ` 150 crores, whichever is lower.
ii. For stocks having applicable market-wise position limit (MWPL) less than ` 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 ̀ 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.
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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 ` 500 Crores or 15 % of 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 ` 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 deriv atives 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.
Stock Futures & Options:
For stocks having applicable market-wise position limit (MWPL) of ` 500 crores or more, the combined futures and options position limit is 20% of applicable MWPL or ` 300 crores, whichever is lower and within which stock futures position cannot exceed 10 % of applicable MWPL or ` 150 crores, whichever is lower.
For stocks having applicable market-wise position limit (MWPL) less than ̀ 500 crores, the combined futures and options position limit is 20% of applicable MWPL and futures position cannot exceed 20 % of applicable MWPL or ` 50 crore which ever is lower
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Contd...
Table 6-1 : List of Securities on which Futures & Options available at NSE (as on 31 March 2010)
Sr.No Security Symbol Launch Date Market Lot
1 ABAN OFFSHORE LTD. ABAN 29-Dec-06 400
2 ABB LTD. ABB 20-Apr-05 500
3 ADITYA BIRLA NUVO LIMITED ABIRLANUVO 14-May-07 400
4 ACC LIMITED ACC 02-Jul-01 376
5 ADANI ENTERPRISES LIMITED ADANIENT 19-Feb-10 400
6 ALLAHABAD BANK ALBK 20-Apr-05 2450
7 AMBUJA CEMENTS LTD AMBUJACEM 02-Jul-01 4124
8 ANDHRA BANK ANDHRABANK 29-Aug-03 2300
9 ALSTOM PROJECTS INDIA LTD APIL 14-May-07 600
10 APOLLO TYRES LTD APOLLOTYRE 19-Feb-10 3400
11 AREVA T&D INDIA LIMITED AREVAT&D 19-Feb-10 750
12 ASHOK LEYLAND LTD ASHOKLEY 20-Apr-05 9550
13 ASIAN PAINTS LIMITED ASIANPAINT 21-Aug-08 200
14 AUROBINDO PHARMA LTD AUROPHARMA 12-May-05 700
15 AXIS BANK LIMITED AXISBANK 20-Apr-05 450
16 BAJAJ AUTO LIMITED BAJAJ-AUTO 26-May-08 200
17 BAJAJ HINDUSTAN LTD BAJAJHIND 29-Dec-06 1425
18 BALRAMPUR CHINI MILLS LTD BALRAMCHIN 29-Dec-06 2400
19 BANK OF BARODA BANKBARODA 29-Aug-03 700
20 BANK OF INDIA BANKINDIA 29-Aug-03 950
21 BHARAT ELECTRONICS LTD BEL 31-Jan-03 276
22 BEML LIMITED BEML 29-Dec-06 375
23 BGR ENERGY SYSTEMS LTD BGRENERGY 19-Feb-10 400
24 BHARAT FORGE LTD BHARATFORG 20-Apr-05 2000
25 BHARTI AIRTEL LIMITED BHARTIARTL 20-Apr-05 500
26 BHEL BHEL 02-Jul-01 150
27 BHUSHAN STEEL LIMITED BHUSANSTL 06-Sep-07 500
28 BIOCON LIMITED. BIOCON 06-Sep-07 1800
29 BOSCH LIMITED BOSCHLTD 30-Nov-07 100
30 BHARAT PETROLEUM CORP LT BPCL 02-Jul-01 550
31 BOMBAY RAYON FASHIONS LTD BRFL 14-May-07 1150
32 CAIRN INDIA LIMITED CAIRN 09-Jan-07 1250
33 CANARA BANK CANBK 29-Aug-03 800
34 CENTURY TEXTILES LTD CENTURYTEX 20-Apr-05 848
35 CESC LTD CESC 12-May-05 1100
36 CHAMBAL FERTILIZERS LTD CHAMBLFERT 12-May-05 3450
37 CHENNAI PETROLEUM CORP LT CHENNPETRO 20-Apr-05 1800
38 CIPLA LTD CIPLA 02-Jul-01 1250
39 COLGATE PALMOLIVE LTD. COLPAL 17-Dec-07 550
40 CONTAINER CORP OF IND LTD CONCOR 21-Aug-08 250
41 CROMPTON GREAVES LTD CROMPGREAV 29-Dec-06 1750
42 CUMMINS INDIA LTD CUMMINSIND 20-Apr-05 950
43 DABUR INDIA LTD DABUR 20-Apr-05 2700
44 DECCAN CHRONICLE HOLD LTD DCHL 21-Aug-08 3400
45 DENA BANK DENABANK 14-May-07 5250
46 DISH TV INDIA LTD. DISHTV 21-Aug-08 5150
47 DIVI’S LABORATORIES LTD DIVISLAB 12-May-05 620
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Contd...
Sr.No Security Symbol Launch Date Market Lot
48 DLF LIMITED DLF 05-Jul-07 800
49 DR. REDDY’S LABORATORIES DRREDDY 02-Jul-01 400
50 EDUCOMP SOLUTIONS LTD EDUCOMP 14-May-07 375
51 EVEREST KANTO CYLINDERLTD EKC 14-May-07 2000
52 ESSAR OIL LTD ESSAROIL 12-May-05 1412
53 FEDERAL BANK LTD FEDERALBNK 12-May-05 851
54 FINANCIAL TECHNO (I) LTD FINANTECH 14-May-07 150
55 FORTIS HEALTHCARE LTD FORTIS 19-Feb-10 1300
56 FIRSTSOURCE SOLU. LTD. FSL 21-Aug-08 9500
57 GAIL (INDIA) LTD GAIL 26-Sep-03 1125
58 THE GE SHPG.LTD GESHIP 27-Nov-06 1200
59 GLAXOSMITHKLINE PHARMA LT GLAXO 20-Apr-05 300
60 GMR INFRASTRUCTURE LTD. GMRINFRA 21-Aug-06 2500
61 GODREJ INDUSTRIES LTD GODREJIND 19-Feb-10 1300
62 GRASIM INDUSTRIES LTD GRASIM 02-Jul-01 176
63 GUJARAT STATE PETRO LTD GSPL 21-Aug-08 6100
64 GTL LTD GTL 29-Dec-06 750
65 GTL INFRA.LTD GTLINFRA 21-Aug-08 4850
66 GREAT OFFSHORE LTD GTOFFSHORE 30-Nov-07 1000
67 GVK POW. & INFRA LTD. GVKPIL 21-Aug-08 4750
68 HINDUSTAN CONSTRUCTION CO HCC 29-Dec-06 2100
69 HCL TECHNOLOGIES LTD HCLTECH 31-Jan-03 1300
70 HDFC LTD HDFC 02-Jul-01 150
71 HDFC BANK LTD HDFCBANK 29-Aug-03 200
72 HOUSING DEV & INFRA LTD HDIL 24-Jul-07 774
73 HERO HONDA MOTORS LTD HEROHONDA 31-Jan-03 200
74 HINDALCO INDUSTRIES LTD HINDALCO 02-Jul-01 3518
75 HINDUSTAN PETROLEUM CORP HINDPETRO 02-Jul-01 650
76 HINDUSTAN UNILEVER LTD. HINDUNILVR 02-Jul-01 1000
77 HINDUSTAN ZINC LIMITED HINDZINC 30-Nov-07 500
78 HOTEL LEELA VENTURES LTD HOTELEELA 14-May-07 7500
79 INDIABULLS REAL EST. LTD IBREALEST 21-Aug-08 1300
80 ICICI BANK LTD. ICICIBANK 31-Jan-03 350
81 ICSA (INDIA) LIMITED ICSA 21-Aug-08 1200
82 IDBI BANK LIMITED IDBI 20-Apr-05 2400
83 IDEA CELLULAR LIMITED IDEA 09-Mar-07 2700
84 INFRA. DEV. FIN. CO. LTD IDFC 12-Aug-05 2950
85 IFCI LTD IFCI 27-May-05 7880
86 THE INDIAN HOTELS CO. LTD INDHOTEL 20-Apr-05 3798
87 THE INDIA CEMENTS LIMITED INDIACEM 27-May-05 1450
88 INDIA INFOLINE LIMITED INDIAINFO 14-May-07 2500
89 INDIAN BANK INDIANB 01-Mar-07 2200
90 INFOSYS TECHNOLOGIES LTD INFOSYSTCH 02-Jul-01 200
91 INDIAN OVERSEAS BANK IOB 20-Apr-05 2950
92 INDIAN OIL CORP LTD IOC 26-Sep-03 1200
93 ISPAT INDUSTRIES LIMITED ISPATIND 30-Nov-07 12450
94 ITC LTD ITC 02-Jul-01 1125
95 IVRCL INFRAST & PROJ LTD. IVRCLINFRA 27-May-05 2000
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Contd...
Contd...
Sr.No Security Symbol Launch Date Market Lot
96 JINDAL SAW LIMITED JINDALSAW 30-Nov-07 5000
97 JINDAL STEEL & POWER LTD JINDALSTEL 20-Apr-05 960
98 JAIN IRRIGATION SYSTEMS JISLJALEQS 19-Feb-10 250
99 JAIPRAKASH ASSOCIATES LTD JPASSOCIAT 29-Dec-06 1688
100 JAIPRAKASH POWER VEN. LTD JPPOWER 18-Apr-05 3125
101 JSW STEEL LIMITED JSWSTEEL 29-Dec-06 412
102 KINGFISHER AIRLINES LTD KFA 14-May-07 4250
103 KOTAK MAHINDRA BANK LTD KOTAKBANK 29-Dec-06 550
104 K S OILS LIMITED KSOILS 21-Aug-08 5900
105 LIC HOUSING FINANCE LTD LICHSGFIN 20-Apr-05 425
106 LANCO INFRATECH LTD. LITL 27-Nov-06 6380
107 LARSEN & TOUBRO LTD. LT 15-Sep-06 200
108 LUPIN LIMITED LUPIN 29-Dec-06 350
109 MAHINDRA & MAHINDRA LTD M&M 02-Jul-01 624
110 MARUTI SUZUKI INDIA LTD. MARUTI 09-Jul-03 200
111 UNITED SPIRITS LIMITED MCDOWELL-N 29-Dec-06 250
112 MCLEOD RUSSEL INDIA LTD. MCLEODRUSS 19-Feb-10 900
113 MERCATOR LINES LIMITED MLL 21-Aug-08 4900
114 MOSER-BAER (I) LTD MOSERBAER 14-May-07 2475
115 MPHASIS LIMITED MPHASIS 12-May-05 800
116 MRPL MRPL 20-Apr-05 4450
117 MAHANAGAR TELEPHONE NIGAM MTNL 02-Jul-01 3200
118 MUNDRA PORT & SEZ LTD MUNDRAPORT 19-Feb-10 300
119 NAGARJUNA CONSTRN. CO. LT NAGARCONST 29-Dec-06 2000
120 NAGARJUNA FERT & CHEM LTD NAGARFERT 27-May-05 5250
121 NATIONAL ALUMINIUM CO LTD NATIONALUM 31-Jan-03 575
122 NEYVELI LIGNITE CORPORATI NEYVELILIG 20-Apr-05 1475
123 NOIDA TOLL BRIDGE CO LTD NOIDATOLL 21-Aug-08 8200
124 NTPC LTD NTPC 05-Nov-04 1625
125 ORACLE FIN SERV SOFT LTD. OFSS 30-May-03 300
126 OIL AND NATURAL GAS CORP. ONGC 31-Jan-03 225
127 ONMOBILE GLOBAL LTD. ONMOBILE 19-Feb-10 550
128 OPTO CIRCUITS (I) LTD. OPTOCIRCUI 21-Aug-08 2040
129 ORCHID CHEM & PHARMA LTD ORCHIDCHEM 12-May-05 2100
130 ORIENTAL BANK OF COMMERCE ORIENTBANK 29-Aug-03 1200
131 PANTALOON RETAIL (I) LTD PANTALOONR 14-May-07 850
132 PATEL ENGINEERING LTD. PATELENG 14-May-07 1000
133 PATNI COMPUTER SYST LTD PATNI 20-Apr-05 1300
134 PETRONET LNG LIMITED PETRONET 14-May-07 4400
135 POWER FIN CORP LTD. PFC 23-Feb-07 1200
136 PIRAMAL HEALTHCARE LTD PIRHEALTH 15-Feb-08 1500
137 PUNJAB NATIONAL BANK PNB 29-Aug-03 300
138 POLARIS SOFTWARE LAB LTD POLARIS 31-Jan-03 2800
139 POWER GRID CORP. LTD. POWERGRID 05-Oct-07 1925
140 PRAJ INDUSTRIES LTD PRAJIND 29-Dec-06 2200
141 PTC INDIA LIMITED PTC 21-Aug-08 2350
142 PUNJ LLOYD LIMITED PUNJLLOYD 06-Jan-06 1500
143 RANBAXY LABS LTD RANBAXY 02-Jul-01 800
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Sr.No Security Symbol Launch Date Market Lot
144 RELIANCE COMMUNICATIONS L RCOM 15-Sep-06 700
145 RURAL ELEC CORP. LTD. RECLTD 12-Mar-08 1950
146 RELIANCE CAPITAL LTD RELCAPITAL 20-Apr-05 276
147 RELIANCE INDUSTRIES LTD RELIANCE 02-Jul-01 300
148 RELIANCE INFRASTRUCTU LTD RELINFRA 02-Jul-01 276
149 RELIANCE MEDIAWORKS LTD RELMEDIA 31-Jul-09 600
150 SHREE RENUKA SUGARS LTD RENUKA 29-Dec-06 5000
151 REL. NAT. RESOURCES LTD. RNRL 14-May-07 3576
152 ROLTA INDIA LTD ROLTA 14-May-07 1800
153 RELIANCE POWER LTD. RPOWER 11-Feb-08 2000
154 STEEL AUTHORITY OF INDIA SAIL 15-Sep-06 1350
155 STATE BANK OF INDIA SBIN 02-Jul-01 132
156 SHIPPING CORP OF INDIA LT SCI 31-Jan-03 2400
157 SESA GOA LTD SESAGOA 29-Dec-06 1500
158 SIEMENS LTD SIEMENS 20-Apr-05 752
159 SINTEX INDUSTRIES LTD SINTEX 21-Aug-08 1400
160 STERLITE INDS (IND) LTD STER 20-Apr-05 438
161 STERLING BIOTECH LTD STERLINBIO 14-May-07 2500
162 SUN PHARMACEUTICALS IND. SUNPHARMA 20-Apr-05 225
163 SUN TV NETWORK LIMITED SUNTV 24-Apr-06 1000
164 SUZLON ENERGY LIMITED SUZLON 19-Oct-05 3000
165 SYNDICATE BANK SYNDIBANK 26-Sep-03 3800
166 TATA CHEMICALS LTD TATACHEM 20-Apr-05 1350
167 TATA COMMUNICATIONS LTD TATACOMM 20-Apr-05 525
168 TATA MOTORS LIMITED TATAMOTORS 02-Jul-01 850
169 TATA POWER CO LTD TATAPOWER 02-Jul-01 200
170 TATA STEEL LIMITED TATASTEEL 02-Jul-01 764
171 TATA TEA LTD TATATEA 02-Jul-01 550
172 TATA CONSULTANCY SERV LT TCS 25-Aug-04 1000
173 TECH MAHINDRA LIMITED TECHM 06-Sep-07 600
174 TITAN INDUSTRIES LTD TITAN 12-May-05 206
175 TRIVENI ENGG. & INDS. LTD TRIVENI 29-Dec-06 3850
176 TATA TELESERV(MAHARASTRA) TTML 29-Dec-06 10450
177 TULIP TELECOM LIMITED TULIP 06-Sep-07 500
178 TV18 INDIA LIMITED TV-18 21-Aug-08 1825
179 UCO BANK UCOBANK 21-Aug-08 5000
180 ULTRATECH CEMENT LIMITED ULTRACEMCO 29-Dec-06 400
181 UNION BANK OF INDIA UNIONBANK 29-Aug-03 1050
182 UNITED PHOSPHORUS LIMITED UNIPHOS 14-May-07 1400
183 UNITECH LTD UNITECH 14-May-07 4500
184 VIDEOCON INDUSTRIES LIMIT VIDEOIND 19-Feb-10 854
185 VIJAYA BANK VIJAYABANK 20-Apr-05 6900
186 VOLTAS LTD VOLTAS 29-Dec-06 2700
187 WELSPUN GUJ ST. RO. LTD. WELGUJ 06-Sep-07 1600
188 WIPRO LTD WIPRO 31-Jan-03 600
189 YES BANK LIMITED YESBANK 06-Sep-07 2200
190 ZEE ENTERTAINMENT ENT LTD ZEEL 12-Feb-07 1400
126
Tabl
e 6-
2 :
Cont
ract
Spe
cifi
cati
on f
or In
dex
Futu
res
and
Opt
ions
Part
icul
ars
Inde
x Fu
ture
sIn
dex
Opt
ions
M
ini I
ndex
Fut
ures
Min
i Ind
ex O
ptio
nsLo
ng T
erm
Inde
x O
ptio
ns
Secu
rity
Des
crip
tion
FUTI
DX
OPT
IDX
FUTI
DX
----
----
----
----
----
----
----
----
OPT
IDX-
----
----
----
----
----
----
----
---
Und
erly
ing
Inde
xS&
P CN
X N
ifty
/ Ba
nk N
ifty
/ CN
X IT
/Nif
ty M
idca
p 50
----
----
----
----
----
----
----
----
----
----
----
--S&
P CN
X N
ifty
----
----
----
----
----
----
----
----
----
----
----
--
Styl
e of
Opt
ion
NA
Euro
pean
NA
----
----
----
----
----
----
----
---E
urop
ean-
----
----
----
----
----
----
----
--
Cont
ract
Siz
eAs
spe
cifi
ed b
y SE
BI,
curr
entl
y m
inim
um `
2 la
khs
at t
he
tim
e of
intr
oduc
tion
As s
peci
fied
by
SEBI
cur
rent
ly m
inim
um `
1 la
kh a
t th
e ti
me
of in
trod
ucti
onAs
spe
cifi
ed b
y SE
BI c
urre
ntly
m
inim
um `
2 la
khs
at t
he
tim
e of
intr
oduc
tion
Pric
e St
ep `
0.0
5
Last
Tra
ding
/Exp
irat
ion
Day
Last
Thu
rsda
y of
the
exp
iry
mon
th o
r th
e pr
eced
ing
trad
ing
day,
if la
st T
hurs
day
is a
tra
ding
hol
iday
Expi
rati
on P
erio
dup
to 3
mon
ths
upto
5 y
ears
Trad
ing
Cycl
e3
mon
th t
radi
ng c
ycle
- t
he n
ear
mon
th (
one)
, th
e ne
xt m
onth
(tw
o) a
nd t
he f
ar m
onth
(th
ree)
Thre
e qu
arte
rly
expi
ries
(M
arch
, Ju
ne,
Sept
& D
ec
cycl
e) a
nd n
ext
8 ha
lf y
earl
y ex
piri
es (
Jun,
Dec
cyc
le)
Pric
e Ba
nds
Ope
rati
ng r
ange
of
10%
of
the
base
pri
ceA
cont
ract
spe
cifi
c pr
ice
rang
e ba
sed
on it
s de
lta
valu
e is
com
pute
d an
d up
date
d on
a d
aily
bas
is
Ope
rati
ng r
ange
of
10%
of
the
base
pri
ceA
cont
ract
spe
cifi
c pr
ice
rang
e ba
sed
on it
s de
lta
valu
e is
co
mpu
ted
and
upda
ted
on a
dai
ly b
asis
Stri
ke P
rice
Inte
rval
s N
AD
epen
ding
on
the
unde
rlyi
ng
pric
e as
in T
able
6-2
aN
AD
epen
ding
on
the
unde
rlyi
ng p
rice
as
in T
able
6-2
a
Tabl
e 6-
2 a
: St
rike
Pri
ce In
terv
als
for
Inde
x O
ptio
ns
The
num
ber
of c
ontr
acts
pro
vide
d in
opt
ions
on
inde
x is
bas
ed o
n th
e ra
nge
in p
revi
ous
day’
s cl
osin
g va
lue
of t
he
unde
rlyi
ng in
dex
and
appl
icab
le a
s pe
r th
e fo
llow
ing
tabl
e:In
dex
Leve
lSt
rike
Inte
rval
Sche
me
of S
trik
e to
be
intr
oduc
ed
upto
200
050
4-
1- 4
>200
1 up
to 4
000
100
6-
1- 6
>400
1 up
to 6
000
100
6-
1- 6
>600
010
0 7
- 1-
7
The
abov
e st
rike
par
amet
ers
sche
me
shal
l be
appl
icab
le f
or a
ll Lo
ng t
erm
s co
ntra
cts
also
.
127
Table 6-3 : Contract Specification for Stock Futures and Options
Particulars Stock Futures Stock Options
Security Description FUTSTK OPTSTK
Underlying Individual Securities
Style of Option NA American
Contract Size As specified by SEBI; Currently minimum ` 2 lakhs at the time of introduction
Price Steps ` 0.05
Expiration Period Upto 3 months
Trading Cycle 3 month trading cycle - the near month (one), the next month (two) and the far month (three)
Last Trading/Expiration Day Last Thursday of the expiry month or the preceding trading day, if last Thursday is a trading holiday
Price Bands Operating range of 20% of the base price
A contract specific price range based on its delta value is computed and updated on a daily basis
Strike Price Intervals NA Depending on the underlying price as in Table 6-3 a
Table 6-3 a : Strike Price Intervals for Index Options
Underlying Closing Price Strike Price Interval No. of Strikes Provided In the money- At the money- Out of the
money
No. of additional strikes which may be enabled intraday in
either direction
Less than or equal to ` 50 2.5 5- 1- 5 5
> ` 50 to ≤ ` 100 5 5- 1- 5 5
> ` 100 to ≤ ` 250 10 5- 1- 5 5
> ` 250 to ≤ ` 500 20 5- 1- 5 5
> ` 500 to ≤ ` 1000 20 10- 1- 10 10
> ` 1000 50 10- 1- 10 10
The Exchange, at its discretion, may enable additional strikes as mentioned in the above table in the direction of the price movement, intraday, if required. The additional strikes may be enabled during the day at regular intervals and message for the same shall be broadcast to all trading terminals.
New contracts with new strike prices for existing expiration date are introduced for trading on the next working day based on the previous day’s underlying close values, as and when required. In order to decide upon the at-the-money strike price, the underlying closing value is rounded off to the nearest strike price interval.
The in-the-money strike price and the out-of-the-money strike price are based on the at-the-money strike price interval.
128
Table 6-4 : Settlement Price Equity Derivatives
Product Settlement Schedule
Futures Contracts on Index or Individual Security
Daily Settlement Closing price of the futures contracts on the trading day. (closing price for a futures contract shall be calculated on the basis of the last half an hour weighted average price of such contract)
Un-expired illiquid futures contracts
Daily Settlement Theoretical Price computed as per formula F=S * ert
Futures Contracts on Index or Individual Securities
Final Settlement Closing price of the relevant underlying index / security in the Capital Market segment of NSE, on the last trading day of the futures contracts.
Options Contracts on Individual Securities
Interim Exercise Settlement Closing price of such underlying security on the day of exercise of the options contract.
Options Contracts on Index and Individual Securities
Final Exercise Settlement Closing price of such underlying security (or index) on the last trading day of the options contract.
129
Cont
d...
Tabl
e 6-
5 :
Busi
ness
Gro
wth
of
Futu
res
& O
ptio
ns M
arke
t Se
gmen
t
Mon
th/
Year
Inde
x Fu
ture
sSt
ock
Futu
res
Inde
x O
ptio
ns S
tock
Opt
ions
Tota
lAv
erag
e Da
ily
Trad
ing
Volu
me
Call
Put
Call
Put
Cont
ract
s Tr
aded
Trad
ing
Volu
me
Cont
ract
s Tr
aded
Trad
ing
Valu
e Co
ntra
cts
Tra
ded
Notio
nal
Trad
ing
Volu
me
Cont
ract
s Tr
aded
Notio
nal
Trad
ing
Volu
me
Cont
ract
s Tr
aded
otio
nal
Trad
ing
Volu
me
Cont
ract
s Tr
aded
Notio
nal
Trad
ing
Volu
me
Cont
ract
s Tr
aded
Trad
ing
Volu
me
(No.
) (
` cr
.)(N
o.)
( ` c
r)(N
o.)
( ` c
r)(N
o.)
( ` c
r)(N
o.)
( ` c
r)(N
o.)
( ` c
r)(N
o.)
( ` c
r)(U
S $
mn)
( ` c
r)(U
S $
mn)
Jun-
00 t
o M
ar-0
190
,580
2,36
5–
––
––
––
––
–90
,580
2,36
555
512
2.49
2001
-02
1,02
5,58
821
,482
1,95
7,85
651
,516
113,
974
2,46
661
,926
1,30
076
8,15
918
,780
269,
370
6,38
34,
196,
873
101,
927
20,8
8741
38.
46
2002
-03
2,12
6,76
343
,951
10,6
76,8
4328
6,53
226
9,67
45,
670
172,
567
3,57
72,
456,
501
69,6
441,
066,
561
30,4
8916
,768
,909
439,
864
92,6
031,
752
368.
94
2003
-04
17,1
91,6
6855
4,46
232
,368
,842
1,30
5,94
91,
043,
894
31,8
0168
8,52
021
,022
4,24
8,14
916
8,17
41,
334,
922
49,0
3856
,886
,776
2,13
0,64
9 4
91,0
46
8,38
819
33.2
5
2004
-05
21,6
35,4
4977
2,17
447
,043
,066
1,48
4,06
71,
870,
647
69,3
731,
422,
911
52,5
813,
946,
979
132,
066
1,09
8,13
336
,792
77,0
17,1
852,
547,
053
582,
183
10,0
6723
01.1
2
2005
-06
58,
537,
886
1,51
3,79
1 7
9,58
6,85
2 27
9172
1 6
,413
,467
1
68,6
32
6,5
21,6
49
169
,837
4
,165
,996
14
3,75
2 1
,074
,780
3
6,51
8 15
6,30
0,63
0 4
,824
,250
1,
081,
428
19,
220
4308
.48
2006
-07
81,
487,
424
2,53
9,57
5 10
4,95
5,40
1 3
,830
,972
1
2,63
2,34
9 3
98,2
19
12,
525,
089
393
,693
4
,394
,292
16
1,90
2 8
89,0
18
31,
909
216,
883,
573
7,3
56,2
71
1,68
7,60
5 2
9,54
3 67
77.5
3
2007
-08
156,
598,
579
3,82
0,66
7 20
3,58
7,95
2 7
,548
,563
2
6,66
7,88
2 6
68,8
16
28,
698,
156
693
,295
8
,002
,713
30
8,44
3 1
,457
,918
5
0,69
3 42
5,01
3,20
0 1
3,09
0,47
8 3
,275
,076
5
2,15
3 1
3,04
8
Apr-
08 1
2,06
3,17
2 28
0,10
0 1
5,60
1,53
1 33
6,90
1 2
,672
,588
6
7,95
4 2
,692
,643
6
5,61
1 5
73,7
44
13,
139
126
,146
2
,725
3
3,72
9,82
4 7
66,4
31
150
,428
3
8,32
2 7
,521
May
-08
11,
161,
427
267,
641
16,
693,
260
380,
161
2,2
43,1
73
58,
115
2,8
35,7
87
70,
951
740
,079
1
7,23
9 1
66,3
29
3,8
01
33,
840,
055
797
,908
1
56,6
06
39,
895
7,8
30
Jun-
08 1
7,94
1,87
0 37
7,93
9 1
9,15
4,94
6 37
5,98
7 6
,056
,056
1
39,9
19
7,5
08,3
80
168
,790
7
40,2
29
17,
009
199
,648
4
,421
5
1,60
1,12
9 1
,084
,064
2
12,7
70
51,
622
10,
132
Jul-0
8 2
0,42
3,13
9 39
5,38
0 2
2,23
2,22
7 38
2,60
1 9
,144
,707
1
98,1
74
7,7
44,9
97
159
,035
9
44,6
02
19,
354
307
,688
5
,630
6
0,79
7,36
0 1
,160
,174
2
27,7
08
50,
442
9,9
00
Aug-
08 1
4,43
3,98
4 30
0,44
9 1
7,59
4,21
6 32
4,01
1 7
,568
,163
1
74,7
97
6,2
67,4
79
137
,305
8
20,8
95
16,
880
208
,806
4
,003
4
6,89
3,54
3 9
57,4
45
187
,919
4
7,87
2 9
,396
Sep-
08 1
9,33
2,34
3 38
0,19
8 2
0,07
6,13
8 33
2,72
8 1
2,16
1,14
8 2
68,0
33
9,2
37,2
82
193
,589
1
,035
,531
1
8,68
8 2
69,1
24
4,6
36
62,
111,
566
1,1
97,8
72
235
,107
5
7,04
2 1
1,19
6
Oct
-08
21,
649,
445
324,
962
19,
858,
409
239,
264
12,
967,
476
231
,565
7
,769
,905
1
32,9
45
689
,231
9
,951
2
00,3
62
2,9
60
63,
134,
828
941
,646
1
84,8
18
47,
082
9,2
41
Nov-
08 1
9,47
1,36
7 25
6,95
0 1
7,94
9,27
0 18
7,21
1 1
0,29
6,36
1 1
58,0
42
9,6
24,5
63
134
,092
5
61,8
64
6,4
29
241
,953
2
,632
5
8,14
5,37
8 7
45,3
56
146
,292
4
1,40
9 8
,127
Dec-
08 2
0,00
7,89
5 2
69,9
97
22,
262,
785
230
,466
1
1,14
4,62
3 1
71,6
97
10,
014,
156
141
,919
9
27,4
67
10,
562
436
,840
4
,526
6
4,79
3,76
6 8
29,1
66
162
,741
3
9,48
4 7
,750
Jan-
09 1
7,69
5,54
2 2
34,1
41
22,
814,
332
215
,830
1
0,57
3,68
6 1
58,7
02
10,
641,
985
150
,570
1
,214
,695
1
2,87
2 5
62,4
25
6,0
04
63,
502,
665
778
,118
1
52,7
22
38,
906
7,6
36
130
Cont
d...
Mon
th/
Year
Inde
x Fu
ture
sSt
ock
Futu
res
Inde
x O
ptio
ns S
tock
Opt
ions
Tota
lAv
erag
e Da
ily
Trad
ing
Volu
me
Call
Put
Call
Put
Cont
ract
s Tr
aded
Trad
ing
Volu
me
Cont
ract
s Tr
aded
Trad
ing
Valu
e Co
ntra
cts
Tra
ded
Notio
nal
Trad
ing
Volu
me
Cont
ract
s Tr
aded
Notio
nal
Trad
ing
Volu
me
Cont
ract
s Tr
aded
otio
nal
Trad
ing
Volu
me
Cont
ract
s Tr
aded
Notio
nal
Trad
ing
Volu
me
Cont
ract
s Tr
aded
Trad
ing
Volu
me
(No.
) (
` cr
.)(N
o.)
( ` c
r)(N
o.)
( ` c
r)(N
o.)
( ` c
r)(N
o.)
( ` c
r)(N
o.)
( ` c
r)(N
o.)
( ` c
r)(U
S $
mn)
( ` c
r)(U
S $
mn)
Feb-
09 1
5,75
0,76
7 2
05,6
79
17,
156,
838
185
,121
9
,986
,938
1
47,3
29
11,
488,
263
158
,270
8
93,0
75
10,
387
468
,695
5
,585
5
5,74
4,57
6 7
12,3
70
139
,818
3
7,49
3 7
,359
Mar
-09
20,
497,
152
276
,677
1
0,18
4,02
8 2
89,3
62
15,
617,
055
228
,218
1
5,83
1,03
0 2
15,8
81
621
,556
1
9,33
2 3
44,9
86
10,
461
63,
095,
807
1,0
39,9
31
204
,108
5
1,99
7 1
0,20
5
2008
-09
210,
428,
103
3,57
0,11
1 22
1,57
7,98
0 3
,479
,642
11
0,43
1,97
4 2
,002
,544
10
1,65
6,47
0 1,
728,
957
9,7
62,9
68
171,
843
3,5
33,0
02
57,
384
657,
390,
497
11,
010,
482
2,1
61,0
37
45,
311
8,8
93
Apr-
09 1
8,66
2,38
2 3
01,7
64
9,85
8,64
235
6,38
3 1
3,68
7,46
8 2
40,1
50
13,
194,
502
213
,639
5
58,3
80
22,
168
248
,943
9
,259
5
6,21
0,31
7 1
,143
,362
2
53,2
93
67,
257
14,
900
May
-09
16,
617,
516
317
,415
9,
528,
178
448,
155
11,
196,
349
235
,522
1
0,29
9,19
2 1
94,9
93
485
,011
2
4,18
5 1
59,2
69
6,9
83
48,
285,
515
1,2
27,2
52
271
,877
6
1,36
3 1
3,59
4
Jun-
09 1
6,20
7,95
9 3
46,9
34
11,1
27,6
4958
9,65
7 1
2,68
9,87
2 2
95,5
11
11,
499,
770
250
,133
7
18,5
36
41,
345
164
,411
8
,400
5
2,40
8,19
7 1
,531
,980
3
39,3
84
69,
635
15,
427
Jul-0
9 1
8,27
1,80
5 3
82,9
24
15,5
00,5
3545
0,63
2 1
6,45
3,61
1 3
76,7
53
15,
333,
132
324
,495
9
63,5
41
30,
092
304
,462
8
,615
6
6,82
7,08
6 1
,573
,509
3
48,5
84
68,
413
15,
156
Aug-
09 1
6,89
2,21
7 3
66,3
12
13,1
13,1
1841
2,36
3 1
4,77
8,75
5 3
51,8
30
13,
757,
102
306
,927
8
63,8
60
28,
215
265
,335
7
,999
5
9,67
0,38
7 1
,473
,646
3
26,4
61
70,
174
15,
546
Sep-
09 1
3,03
2,24
2 3
02,4
25
13,1
57,6
2143
4,11
9 1
1,00
9,11
7 2
76,6
47
14,
064,
924
332
,429
9
43,6
18
32,
975
293
,810
9
,783
5
2,50
1,33
2 1
,388
,378
3
07,5
72
69,
419
15,
379
Oct
-09
13,
615,
447
329
,610
14
,044
,526
465,
829
12,
398,
618
318
,747
1
4,27
2,63
4 3
50,8
44
1,0
64,6
44
35,
426
313
,925
9
,961
5
5,70
9,79
4 1
,510
,417
3
34,6
07
75,
521
16,
730
Nov-
09 1
5,17
8,55
2 3
63,5
23
13,2
60,5
4643
8,22
0 1
4,79
9,48
8 3
77,4
39
18,
165,
786
438
,968
1
,001
,744
3
2,62
2 3
58,9
59
11,
044
62,
765,
075
1,6
61,8
16
368
,147
8
3,09
1 1
8,40
7
Dec-
09 1
3,33
7,83
3 3
29,4
96
11,3
07,3
3239
5,95
4 1
4,57
0,56
6 3
82,9
75
14,
955,
374
373
,702
9
46,8
83
32,
696
306
,015
1
0,16
0 5
5,42
4,00
3 1
,524
,982
3
37,8
34
72,
618
16,
087
Jan-
10 1
2,05
6,35
9 2
98,8
49
12,5
46,6
7944
4,13
4 1
3,18
4,72
1 3
45,8
96
13,
899,
884
349
,964
1
,083
,640
3
9,50
2 3
30,5
38
11,
951
53,
101,
821
1,4
90,2
97
330
,150
7
8,43
7 1
7,37
6
Feb-
10 1
3,89
1,84
3 3
26,8
71
10,7
25,7
8935
4,48
5 1
7,31
7,43
4 4
34,8
44
17,
271,
270
412
,391
9
22,7
28
31,
359
300
,899
9
,926
6
0,42
9,96
3 1
,569
,876
3
47,7
79
78,
494
17,
389
Mar
-10
10,
542,
734
268
,266
11
,420
,625
405,
316
15,
597,
929
412
,952
1
6,98
2,02
5 4
30,2
14
1,0
61,5
62
38,
572
355
,557
1
2,82
6 5
5,96
0,43
2 1
,568
,147
3
47,3
96
74,
674
16,
543
2009
-10
178,
306,
889
3,93
4,38
9 14
5,59
1,24
0 5
,195
,247
16
7,68
3,92
8 4
,049
,266
17
3,69
5,59
5 3,
978,
699
10,6
14,1
47
389,
158
3,4
02,1
23
116,
907
679,
293,
922
17,
663,
665
3,9
13,0
85
72,
392
16,
037
131
Contd...
Table 6-6 : Sectorwise Trading Value of Top 5 companiesin the F&O Segment (2009-10)
BANKS FMCG
Company Name Turnover ( ` cr)
Company Name Turnover ( ` cr)
ICICI Bank Ltd 194,232.37 ITC Ltd. 38,052.93
State Bank of India 172,700.39 Hindustan Unilever Limited 34,828.85
Axis Bank Limited 82,183.52 United Spirits Limited 18,137.83
HDFC Bank Ltd 51,039.65 Tata Tea Ltd 5,996.34
IDBI Bank Limited 38,393.79 Dabur India Ltd 1,824.47
INFRASTRUCTURE MEDIA & ENTERTAINMENT
Company Name Turnover ( ` cr)
Company Name Turnover ( ` cr)
Unitech Ltd 172,349.04 Dish TV India Limited 12,281.59
DLF Limited 169,442.30 Reliance MediaWorks Limited 12,268.30
Housing Development and Infrastructure Limited
106,817.11 Zee Entertainment Enterprises Ltd 6,387.85
Reliance Infrastructure Limited 100,778.49 Television Eighteen India Ltd. 3,086.71
Jaiprakash Associates Limited 95,597.96 Sun TV Network Limited 1,497.73
Pharmaceuticals TELECOMMUNICATION
Company Name Turnover ( ` cr)
Company Name Turnover ( ` cr)
Ranbaxy Laboratories Ltd 27,023.12 Bharti Airtel Limited 89,740.45
Cipla Ltd. 18,482.40 Reliance Communications Limited 75,561.36
Orchid Chemicals & Pharmaceuticals Ltd
13,504.72 Idea Cellular Limited 22,049.55
Biocon Limited 10,276.46 GTL Infrastructure Limited 10,012.78
Dr. Reddy’s Laboratories Ltd. 9,328.55 Mahanagar Telephone Nigam Ltd. 9,601.25
FINANCE INFORMATION TECHNOLOGY
Company Name Turnover ( ` cr)
Company Name Turnover ( ` cr)
Reliance Capital Limited 113,514.36 Infosys Technologies Ltd. 111,475.86
IFCI Limited 97,642.65 Tata Consultancy Services Limited 69,647.99
Infrastructure Development Finance Company Limited
58,062.63 Educomp Solutions Limited 47,565.59
Housing Development Finance Corporation Ltd.
54,183.50 Tech Mahindra Limited 26,905.02
LIC Housing Finance Ltd 27,147.21 Wipro Ltd 25,019.12
132
Contd...
PETROCHEMICALS MANUFACTURING
Company Name Turnover ( ` cr)
Company Name Turnover ( ` cr)
Reliance Industries Ltd 354,860.32 Tata Steel Limited 256,505.12
Aban Offshore Ltd. 84,616.52 Tata Motors Limited 153,789.84
Oil & Natural Gas Corpn Ltd 46,732.89 Suzlon Energy Limited 141,551.64
Essar Oil Limited 41,353.70 JSW Steel Limited 95,862.48
Cairn India Limited 39,032.02 Jindal Steel & Power Ltd. 91,679.06
SERVICES ENGINEERING (4 companies in this sector trade in the F&O segment)
Company Name Turnover ( ` cr)
Company Name Turnover ( ` cr)
Kingfisher Airlines Limited 8,592.50 Larsen & Toubro Limited 95,143.69
The Great Eastern Shipping Co. Limited
7,217.86 Praj Industries Ltd 11,421.71
Mercator Lines Limited 6,644.59 Reliance Industrial Infrastructure Limited
5,470.20
Deccan Chronicle Holdings Ltd. 6,008.46 BEML Limited 3,099.82
The Indian Hotels Company Limited
5,084.97
Miscellaneous
Company Name Turnover ( ` cr)
Pantaloon Retail (India) Ltd. 6,380.25
Titan Industries Ltd. 3,171.68
Noida Toll Bridge Company Ltd 3,079.95
Sintex Industries Ltd. 2,968.69
Fortis Healthcare Limited 1,733.27
133
Tabl
e 6-
7 :
Part
icip
ant
wis
e Tr
adin
g Va
lue
in t
he F
&O
Seg
men
t (2
009-
10)
Mon
th/Y
ear
Inst
itut
iona
l inv
esto
rsRe
tail
Prop
riet
ary
Gro
ss T
rade
d Va
lue
% t
o G
ross
Turn
over
Gro
ss T
rade
d Va
lue
% t
o G
ross
Turn
over
Gro
ss T
rade
d Va
lue
% t
o G
ross
Turn
over
` c
rore
US
$ m
n `
cro
reU
S $
mn
` c
rore
US
$ m
n
2007
-08
3,2
56,0
34
814
,619
1
2.44
1
6,48
5,72
4 4
,124
,524
6
2.97
6
,439
,196
1
,611
,007
24
.59
Apr-
08 2
66,0
39
52,
216
17.
36
852
,917
1
67,4
03
55.
64
413
,906
8
1,23
8 27
.00
May
-08
274
,787
5
3,93
3 1
7.22
8
76,1
67
171
,966
5
4.90
4
44,8
63
87,
314
27.8
8Ju
n-08
331
,733
6
5,11
0 1
5.30
1
,158
,405
2
27,3
61
53.
43
677
,991
1
33,0
70
31.2
7Ju
l-08
319
,854
6
2,77
8 1
3.78
1
,265
,173
2
48,3
17
54.
53
735
,320
1
44,3
22
31.6
9Au
g-08
250
,935
4
9,25
1 1
3.10
1
,079
,934
2
11,9
60
56.
40
584
,021
1
14,6
26
30.5
0Se
p-08
290
,713
5
7,05
8 1
2.13
1
,361
,914
2
67,3
04
56.
85
743
,118
1
45,8
52
31.0
2O
ct-0
8 2
33,5
94
45,
848
12.
40
1,0
34,9
23
203
,125
5
4.95
6
14,7
76
120
,663
32
.64
Nov
-08
166
,700
3
2,71
8 1
1.18
8
35,4
39
163
,972
5
6.04
4
88,5
74
95,
893
32.7
7D
ec-0
8 1
78,5
21
35,
038
10.
77
934
,367
1
83,3
89
56.
34
545
,444
1
07,0
55
32.8
9Ja
n-09
184
,701
3
6,25
1 1
1.87
8
69,0
59
170
,571
5
5.84
5
02,4
77
98,
622
32.2
9Fe
b-09
183
,607
3
6,03
7 1
2.89
8
07,2
43
158
,438
5
6.66
4
33,8
91
85,
160
30.4
5M
ar-0
9 2
63,2
70
51,
672
12.
66
1,1
74,4
88
230
,518
5
6.47
6
42,1
03
126
,026
30
.87
2008
-09
2,9
44,4
54
577
,911
1
3.37
1
2,25
0,02
9 2
,404
,324
5
5.63
6
,826
,484
1
,339
,840
31
.00
Apr-
0929
7,98
5 6
6,01
4 13
.03
1,24
5,05
6 2
75,8
21
54.4
574
3,68
5 1
64,7
51
32.5
2M
ay-0
934
5,86
4 7
6,62
0 14
.09
1,30
9,58
0 2
90,1
15
53.3
579
9,06
0 1
77,0
18
32.5
5Ju
n-09
391,
422
86,
713
12.7
81,
636,
840
362
,614
53
.42
1,03
5,69
9 2
29,4
42
33.8
0Ju
l-09
449,
782
99,
642
14.2
91,
628,
417
360
,748
51
.74
1,06
8,81
9 2
36,7
79
33.9
6Au
g-09
418,
249
92,
656
14.1
91,
625,
127
360
,019
55
.14
903,
915
200
,247
30
.67
Sep-
0940
5,22
1 8
9,77
0 14
.59
1,51
9,72
6 3
36,6
69
54.7
385
1,80
9 1
88,7
04
30.6
8O
ct-0
941
5,73
8 9
2,10
0 13
.76
1,66
5,16
5 3
68,8
89
55.1
293
9,93
2 2
08,2
26
31.1
1N
ov-0
944
4,19
7 9
8,40
4 13
.36
1,83
3,99
2 4
06,2
90
55.1
81,
045,
442
231
,600
31
.45
Dec
-09
370,
730
82,
129
12.1
61,
660,
586
367
,875
54
.45
1,01
8,64
9 2
25,6
64
33.4
0Ja
n-10
434,
120
96,
172
14.5
61,
619,
619
358
,799
54
.34
926,
855
205
,329
31
.10
Feb-
1041
1,09
1 9
1,07
0 13
.10
1,79
1,67
2 3
96,9
14
57.0
693
6,98
9 2
07,5
74
29.8
4M
ar-1
038
8,51
6 8
6,06
9 12
.39
1,84
3,18
6 4
08,3
27
58.7
790
4,59
3 2
00,3
97
28.8
420
09-1
04,
772,
915
1,0
57,3
58
13.5
119
,378
,966
4,2
93,0
81
54.8
611
,175
,447
2,4
75,7
30
31.6
3
134
Table 6-8a : Number of Members in different turnover brackets during 2009-10
Upto ` 10 crores
` 10 crores upto ` 50
crores
` 50 crores upto ` 250
crores
` 250 crores upto ` 500
crores
` 500 crores upto ` 1000
crores
` 1000 crores and
more
2007-08 12 13 45 37 54 691
Apr-08 55 95 218 112 103 242
May-08 59 104 215 109 110 243
Jun-08 50 100 211 109 89 289
Jul-08 58 99 195 126 85 297
Aug-08 64 114 210 117 97 273
Sep-08 58 107 219 114 87 301
Oct-08 78 130 229 102 102 246
Nov-08 90 127 251 96 102 212
Dec-08 80 112 248 106 100 237
Jan-09 93 123 253 99 110 220
Feb-09 100 124 252 103 102 215
Mar-09 72 126 201 118 104 280
2008-09 21 28 81 65 91 661
Apr-09 73 107 242 119 92 285
May-09 63 93 232 122 119 297
Jun-09 58 81 204 115 134 343
Jul-09 55 85 229 115 115 343
Aug-09 61 96 224 118 119 333
Sep-09 53 108 234 118 120 319
Oct-09 53 98 241 96 123 344
Nov-09 56 96 221 116 123 350
Dec-09 64 100 229 110 121 341
Jan-10 66 103 227 103 133 344
Feb-10 68 101 224 118 117 349
Mar-10 68 108 201 105 131 366
2009-10 19 38 68 48 67 780
135
Tabl
e 6-
8b :
Num
ber
of m
embe
rs i
n di
ffer
ent
turn
over
bra
cket
s in
Fut
ures
and
Opt
ions
Seg
men
t
Mon
thFu
ture
s Se
gmen
tO
ptio
ns S
egm
ent
Num
ber
of M
embe
rsN
umbe
r of
Mem
bers
Upt
o `
10
cror
es `
10
cror
es
upto
` 5
0 cr
ores
` 5
0 cr
ores
up
to `
250
cr
ores
` 2
50
cror
es
upto
` 5
00
cror
es
` 5
00
cror
es u
pto
` 10
00
cror
es
` 1
000
cror
es a
nd
mor
e
Upt
o `
10
cror
es `
10
cror
es
upto
` 5
0 cr
ores
` 5
0 cr
ores
up
to `
250
cr
ores
` 2
50
cror
es
upto
` 5
00
cror
es
` 5
00
cror
es u
pto
` 10
00
cror
es
` 1
000
cror
es a
nd
mor
e
2007
-08
1314
5042
5767
698
9617
696
9129
5Ap
r-08
6011
022
611
510
121
331
618
918
743
3555
May
-08
6611
123
010
611
521
232
518
919
438
3361
Jun-
0862
119
234
9798
238
271
179
180
6943
106
Jul-
0871
121
222
106
9724
326
216
319
664
6111
4Au
g-08
8013
322
910
610
222
529
115
420
963
5710
1Se
p-08
7812
124
511
891
233
260
163
195
7370
125
Oct
-08
103
150
251
9995
189
297
182
181
7638
113
Nov
-08
114
152
255
105
8217
031
419
017
568
2510
6D
ec-0
896
142
269
102
9418
031
617
817
173
4798
Jan-
0911
115
826
997
87 1
76
324
180
177
6846
103
Feb-
0912
015
627
398
93 1
56
314
182
191
4855
106
Mar
-09
9914
224
110
810
4 2
07
270
179
196
6746
143
2008
-09
2936
9570
104
613
11
199
162
103
9038
2Ap
r-09
9413
025
912
291
222
28
218
020
659
6212
9M
ay-0
984
113
241
137
113
238
283
202
196
6459
122
Jun-
0975
102
223
114
133
288
260
194
203
8256
140
Jul-
0977
108
246
123
114
274
229
184
211
8771
160
Aug-
0984
119
242
131
106
269
255
180
207
9170
148
Sep-
0977
128
247
138
105
257
251
192
215
8265
147
Oct
-09
7812
824
511
212
426
824
819
121
178
6316
4N
ov-0
974
133
251
117
119
268
244
168
214
9470
172
Dec
-09
8913
125
311
911
725
624
917
820
584
7417
5Ja
n-10
9314
223
313
611
026
224
817
421
988
7517
2Fe
b-10
102
130
258
121
122
244
223
188
204
8972
201
Mar
-10
8813
924
614
311
524
824
515
719
192
7422
020
09-1
028
4193
5588
715
9685
146
8894
511
136
Table 6-8c : Segment wise Contribution of Top ‘N’ Members to turnover on Futures and Options segment
(in percent)
Month 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
2007-08 14 23 29 39 23 34 43 56
Apr-08 17 26 33 43 22 37 48 61
May-08 16 25 32 42 21 35 45 59
Jun-08 17 26 33 43 18 32 42 55
Jul-08 18 26 33 43 17 30 40 54
Aug-08 17 26 32 42 18 31 42 56
Sep-08 16 25 31 41 20 33 42 56
Oct-08 16 23 30 41 21 34 44 56
Nov-08 17 25 31 42 22 34 43 56
Dec-08 17 25 32 42 23 35 44 57
Jan-09 16 24 31 41 21 32 41 55
Feb-09 16 24 31 42 21 32 41 55
Mar-09 15 23 30 41 23 34 42 55
2008-09 17 25 31 41 18 31 40 54
Apr-09 16 24 31 42 25 37 45 59
May-09 16 25 31 41 25 36 45 58
Jun-09 16 23 30 40 26 36 45 59
Jul-09 15 22 28 38 26 36 44 57
Aug-09 14 22 29 39 26 37 45 59
Sep-09 15 22 29 39 26 37 45 57
Oct-09 15 22 28 38 27 38 45 56
Nov-09 14 22 28 38 26 37 45 56
Dec-09 15 22 29 39 25 34 42 54
Jan-10 14 22 28 38 24 33 40 52
Feb-10 14 21 28 38 24 33 40 51
Mar-10 14 22 28 37 23 32 39 50
2009-10 15 22 28 38 25 32 42 54
137
Table 6-9 : Top 20 Futures contracts according to number of contracts 2009-10
S.No.
Name of the Contract Number of Contracts
Turnover Percentage of contracts
to Top 20 contracts( ` cr.) (US $ mn)
1 NIFTY JULY 2009 16,685,014 360,347.82 79,828.94 10.19
2 NIFTY MAY 2009 14,108,649 272,041.49 60,266.17 8.62
3 NIFTY AUGUST 2009 14,027,712 318,562.24 70,572.05 8.57
4 NIFTY APRIL 2009 13,809,370 231,659.98 51,320.33 8.44
5 NIFTY JUNE 2009 13,049,245 288,559.59 63,925.47 7.97
6 NIFTY DECEMBER 2009 12,908,225 327,730.73 72,603.17 7.89
7 NIFTY FEBRUARY 2009 12,122,626 294,013.30 65,133.65 7.41
8 NIFTY NOVEMBER 2009 12,098,963 296,951.31 65,784.52 7.39
9 NIFTY OCTOBER 2009 11,805,291 294,906.84 65,331.60 7.21
10 NIFTY SEPTEMBER 2009 11,128,597 265,970.56 58,921.26 6.80
11 NIFTY JANUARY 2010 9,116,083 233,712.04 51,774.93 5.57
12 NIFTY MARCH 2010 8,563,741 217,939.59 48,280.81 5.23
13 NIFTY APRIL 2010 2,534,395 66,584.25 14,750.61 1.55
14 MINIFTY JULY 2009 1,860,576 16,042.41 3,553.92 1.14
15 MINIFTY AUGUST 2009 1,773,464 16,061.90 3,558.24 1.08
16 MINIFTY MAY 2009 1,742,971 13,146.58 2,912.40 1.06
17 MINIFTY DECEMBER 2009 1,738,887 17,609.85 3,901.16 1.06
18 MINIFTY APRIL 2009 1,602,742 10,726.92 2,376.37 0.98
19 MINIFTY NOVEMBER 2009 1,525,735 14,968.54 3,316.03 0.93
20 MINIFTY SEPTEMBER 2009 1,487,061 14,122.60 3,128.62 0.91
TOTAL 163,689,347 3,571,658.52 791,240.26 100.00
Table 6-10 : Top 20 Option contracts according to number of contracts traded 2009-10
S.No.
Name of the Contract Number of Contracts
Turnover Percentage of contracts
to Top 20 contracts( ` cr) (US $ mn)
1 NIFTY February 2010 CE 4900 5,449,250 135,003.53 29,907.74 7.00
2 NIFTY December 2009 CE 5200 5,149,244 135,253.46 29,963.11 6.61
3 NIFTY February 2010 PE 4800 4,868,777 118,405.92 26,230.82 6.25
4 NIFTY March 2010 CE 5200 4,663,405 122,331.46 27,100.46 5.99
5 NIFTY December 2009 CE 5100 4,282,227 111,168.38 24,627.47 5.50
6 NIFTY December 2009 PE 5000 4,213,118 106,988.38 23,701.46 5.41
7 NIFTY April 2009 CE 3400 4,041,812 70,130.84 15,536.30 5.19
8 NIFTY March 2010 CE 5100 3,725,904 96,682.95 21,418.46 4.78
9 NIFTY February 2010 CE 4800 3,691,610 90,339.19 20,013.11 4.74
10 NIFTY August 2009 CE 4700 3,690,850 87,956.82 19,485.34 4.74
11 NIFTY October 2009 CE 5100 3,633,995 94,044.64 20,833.99 4.67
12 NIFTY November 2009 CE 5000 3,579,202 90,806.46 20,116.63 4.60
13 NIFTY October 2009 PE 5000 3,487,231 88,796.34 19,671.32 4.48
14 NIFTY July 2009 CE 4500 3,473,793 79,493.63 17,610.46 4.46
15 NIFTY February 2010 PE 4700 3,460,789 82,323.31 18,237.33 4.44
16 NIFTY April 2009 CE 3500 3,391,384 60,111.34 13,316.65 4.35
17 NIFTY October 2009 PE 4900 3,323,287 82,624.92 18,304.15 4.27
18 NIFTY February 2010 CE 5000 3,289,648 82,922.54 18,370.08 4.22
19 NIFTY November 2009 CE 5100 3,271,285 84,049.90 18,619.83 4.20
20 NIFTY December 2009 PE 5100 3,189,001 82,769.70 18,336.22 4.09
TOTAL 77,875,812 1,902,203.71 421,400.91 100.00
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Table 6-11 : Number of trades in the Futures & Options Segment
Month/Year Index Futures Stock Futures Index Options Stock Options Total
2007-08 30,897,058 153,187,768 10,370,483 7,767,865 202,223,174
Apr-08 3,271,644 11,208,858 1,224,318 544,051 16,248,871
May-08 2,816,276 12,191,813 1,047,539 685,693 16,741,321
Jun-08 4,490,539 13,547,829 2,648,194 681,604 21,368,166
Jul-08 5,557,672 15,679,079 3,713,214 933,961 25,883,926
Aug-08 4,103,495 12,452,067 3,082,063 764,533 20,402,158
Sep-08 5,289,846 13,859,395 4,276,123 844,724 24,270,088
Oct-08 5,781,231 13,374,817 4,458,908 605,226 24,220,182
Nov-08 5,779,280 12,154,631 4,857,126 584,173 23,375,210
Dec-08 6,220,608 14,899,917 4,816,107 934,064 26,870,696
Jan-09 5,136,302 14,413,326 4,226,118 1,155,822 24,931,568
Feb-09 4,631,594 11,035,948 4,021,976 870,032 20,559,550
Mar-09 5,819,745 8,438,603 5,368,456 727,417 20,354,221
2008-09 58,898,232 153,256,283 43,740,142 9,331,300 265,225,957
Apr-09 5,649,871 8,597,278 5,190,117 675,735 20,113,001
May-09 5,060,456 8,426,655 4,522,973 556,564 18,566,648
Jun-09 4,973,415 9,869,779 5,620,651 758,811 21,222,656
Jul-09 5,718,277 12,707,974 7,059,595 1,012,373 26,498,219
Aug-09 5,564,804 10,828,499 6,884,745 879,903 24,157,951
Sep-09 4,352,169 10,694,165 6,728,710 1,008,393 22,783,437
Oct-09 4,509,316 11,348,231 6,354,351 1,121,540 23,333,438
Nov-09 5,093,232 10,775,226 7,914,266 1,092,392 24,875,116
Dec-09 4,832,800 9,233,972 6,759,250 1,069,940 21,895,962
Jan-10 3,838,625 10,207,739 5,917,021 1,164,875 21,128,260
Feb-10 4,621,592 8,587,808 7,174,462 1,002,358 21,386,220
Mar-10 3,349,892 8,885,707 6,823,851 1,151,828 20,211,278
2009-10 57,564,449 120,163,033 76,949,992 11,494,712 266,172,186
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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
( ` cr) ( ` cr) ( ` cr) ( ` cr) ( ` cr) (US $ mn)
2000-01 84.08 1.93 -- -- 86.01 18.44
2001-02 505.25 21.93 164.76 93.95 785.88 161.04
2002-03 1,737.90 45.76 331.21 195.88 2,310.76 486.47
2003-04 10,821.98 138.95 858.94 476.12 12,295.98 2833.83
2004-05 13,024.18 227.50 941.06 455.87 14,648.62 3348.25
2005-06 25,585.51 597.89 1,520.58 817.84 28,521.80 6393.59
2006-07 61,313.70 797.54 3,194.38 1,188.84 66,494.47 15254.52
2007-08 144,654.70 1,312.12 6,760.17 3,792.26 156,519.23 39,227.88
Apr-08 5,391.50 66.71 785.96 164.02 6,408.19 1,257.74
May-08 5,601.50 203.64 603.59 190.78 6,599.51 1,295.29
Jun-08 9,182.80 137.30 1,126.00 341.86 10,787.96 2,117.36
Jul-08 11,070.00 59.52 1,015.90 208.83 12,354.25 2,424.78
Aug-08 4,844.80 129.30 742.07 145.52 5,861.69 1,150.48
Sep-08 7,120.40 225.92 921.39 178.64 8,446.35 1,657.77
Oct-08 9,409.20 54.34 1,384.10 1,418.90 12,266.54 2,407.56
Nov-08 5,782.10 45.97 785.52 160.42 6,774.01 1,329.54
Dec-08 4,300.70 151.65 770.55 581.94 5,804.84 1,139.32
Jan-09 4,476.70 58.28 936.39 154.79 5,626.16 1,104.25
Feb-09 3,247.10 65.42 800.53 134.22 4,247.27 833.62
Mar-09 4,766.80 300.24 1,088.50 507.66 6,663.20 1,307.79
2008-09 75,193.60 1,498.29 10,960.50 4,187.58 91,839.97 18,025.51
Apr-09 4,855.50 273.61 944.53 494.81 6,568.45 1,455.13
May-09 7,817.80 141.21 1,289.20 1,068.90 10,317.11 2,285.58
Jun-09 6,960.70 157.54 915.78 572.96 8,606.97 1,906.73
Jul-09 6,108.80 108.56 1,065.90 217.81 7,501.07 1,661.73
Aug-09 5,022.40 36.94 894.05 124.88 6,078.27 1,346.54
Sep-09 3,243.30 65.76 848.17 214.06 4,371.29 968.39
Oct-09 4,705.90 180.26 696.71 140.63 5,723.51 1,267.95
Nov-09 5,312.90 148.63 870.25 173.88 6,505.65 1,441.22
Dec-09 3,955.10 58.57 954.82 332.57 5,301.06 1,174.36
Jan-10 4,759.00 107.57 762.19 188.94 5,817.70 1,288.81
Feb-10 5,140.00 45.83 798.36 133.03 6,117.23 1,355.17
Mar-10 2,774.30 70.79 971.08 218.30 4,034.47 893.77
2009-10 60,655.70 1,395.27 11,011.04 3,880.77 76,942.78 17,045.37
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Currency Derivatives Segment 7
142
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7Currency Derivatives Segment
This chapter on currency derivatives segment is broadly divided into two parts: Currency Futures
and Interest Rate futures. The Currency Derivatives segment at NSE commenced operations on
August 29, 2008 with the launch of currency futures trading in US Dollar-India Rupee (USD-INR).
Trading in other currency pairs like Euro-INR, Pound Sterling-INR and Japanese Yen-INR was further
made available for trading in March 2010. On the same segment, interest rate futures were introduced for trading on August 31, 2009.
Trading Mechanism
The Currency derivatives trading system of NSE, called NEAT-CDS (National Exchange for Automated
Trading – Currency Derivatives Segment) trading system, provides a fully automated screen-based
trading for currency futures on a nationwide basis as well as an online monitoring and surveillance
mechanism. Two products, currency futures and interest rate futures trade on this segment.
The NEAT-CDS system supports an order driven market, wherein orders match automatically.
Order matching is essentially on the basis of security, its price and time. All quantity fields are in
contracts and price in Indian rupees. The exchange notifies the contract size and tick size for each
of the contracts traded on this segment from time to time. When any order enters the trading
system, it is an active order. It tries to find a match on the opposite side of the book. If it finds a
match, a trade is generated. If it does not find a match, the order becomes passive and sits in the
respective order book in the system.
Currency Futures
The contract specification, trading, clearing and settlement mechanism for currency futures is
explained below.
Contract Specifications for Currency Futures
NSE trades Currency Derivatives contracts having near 12 calendar month expiry cycles. All
contracts expire two working days prior to the last working day of every calendar month (subject
to holiday calendars). This is also the last trading day for the expiring contract. The contract
would cease to trade at 12:00 noon on the last trading day. A new contract with 12th month expiry
would be introduced immediately ensuring availability of 12 monthly contracts for trading at any
point.
Each futures contract has a separate limit order book. All passive orders are stacked in the system
in terms of price-time priority and trades take place at the passive order price (order which has
come earlier and residing in the system). The best buy order for a given futures contract will be
the order to buy at the highest price whereas the best sell order will be the order to sell at the
lowest price.
The contract specification for US Dollars – Indian Rupee (USDINR), Euro – Indian Rupee (EURINR),
Pound sterling – Indian Rupee (GBPINR) and Japanese Yen – Indian Rupee (JPYINR) is summarized
in the table below.
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Symbol USD-INR EUR-INR GBP-INR JPY-INR
Market Type Normal Normal Normal Normal
Instrument Type FUTCUR FUTCUR FUTCUR FUTCUR
Unit of trading 1 - 1 unit denotes 1000 USD.
1 - 1 unit denotes 1000 EURO.
1 - 1 unit denotes 1000 POUND STERLING.
1 - 1 unit denotes 100000 JAPANESE YEN.
Underlying / Order Quotation The exchange rate in Indian Rupees for US Dollars
The exchange rate in Indian Rupees for Euro.
The exchange rate in Indian Rupees for Pound Sterling.
The exchange rate in Indian Rupees for 100 Japanese Yen.
Tick size ` 0.25 paise or INR 0.0025
Trading hours 9:00 am to 5:00 pm (Monday to Friday on working days)
Contract trading cycle 12 month trading cycle.
Last trading day Two working days prior to the last business day of the expiry month at 12 noon.
Final settlement day Last working day (excluding Saturdays) of the expiry month. The last working day will be the same as that for Interbank Settlements in Mumbai.
Quantity Freeze 10,001 or greater
Base price DSP of the contract.
Price operating range
Tenure upto 6 months
+/-3 % of base price.
Tenure greater than 6 months
+/- 5% of base price.
Position limits Clients higher of 6% of total open interest or USD 10 million
higher of 6% of total open interest or EURO 5 million
higher of 6% of total open interest or GBP 5 million
higher of 6% of total open interest or JPY 200 million
Trading Members higher of 15% of the total open interest or USD 50 million
higher of 15% of the total open interest or EURO 25 million
higher of 15% of the total open interest or GBP 25 million
higher of 15% of the total open interest or JPY 1000 million
Banks higher of 15% of the total open interest or USD 100 million
higher of 15% of the total open interest or EURO 50 million
higher of 15% of the total open interest or GBP 50 million
higher of 15% of the total open interest or JPY 2000 million
Initial margin SPAN Based Margin
Extreme loss margin 1% of MTM value of gross open position
0.3% of MTM value of gross open position
0.5% of MTM value of gross open position
0.7% of MTM value of gross open position
Contd...
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Symbol USD-INR EUR-INR GBP-INR JPY-INRCalendar spreads ` 400 for spread of
1 month` 700 for spread of 1 month
` 1500 for spread of 1 month
` 600 for spread of 1 month
` 500 for spread of 2 months
` 1000 for spread of 2 months
` 1800 for spread of 2 months
` 1000 for spread of 2 months
` 800 for spread of 3 months
` 1500 for spread of 3 months and more
` 2000 for spread of 3 months and more
` 1500 for spread of 3 months and more
` 1000 for spread of 4 months and more
Settlement Daily settlement : T + 1
Final settlement : T + 2
Mode of settlement Cash settled in Indian RupeesDaily settlement price (DSP) Calculated on the basis of the last half an hour weighted average
price.Final settlement price (FSP) RBI reference rate RBI
reference rate
Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro
Exchange rate published by RBI in its Press Release captioned RBI reference Rate for US$ and Euro
TURNOVER
The trading activity in currency futures has been witnessing a rapid growth. The total traded volume from August 2008 till March 2009 was ` 162,272 crore (US $ 31,849 million) and increased by 998.53% to ` 17,82,608 crore (US $ 394,907 million) in 2009-10. Total number of contracts traded during 2009-10 were 378,606,983. The average traded volumes during the same period were ̀ 7,428 crore (US $ 1,645 million). The business growth of Currency Futures Segment is shown in Table 7-1 and Chart 7-1.
Chart 7-1 : Business Growth of Currency Futures at NSE
Contd...
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Open Interest
As of March 31, 2010, the open interest of 427,873 currency futures contracts stood at worth ` 1,964 crore.
Traded Value Records
The following table shows the record highs in the currency derivatives segment, from the date of inception till March 31, 2010.
CDS Segment Date Number/Value
Record Number of Trades January 11, 2010 78935
Record No. of Contracts Traded March 30, 2010 4,353,053
Record Daily Turnover (value in ` crores) March 30, 2010 ` 19,927
Top 5 Currency Futures Contracts
During 2009-10, details of top 5 currency futures contracts in terms of turnover are presented in the table below.
Rank Contract Name Total Traded
Quantity
Total Traded Value
( ` Crs)
Total Traded
Value (US $ mn)
Total Traded Value (%) to
Currency Futures Total Traded Value
Instrument Type Contract Symbol
Expiry
1 FUTCUR USDINR 27-Jan-10 55,464,691 254,911 56,471 14.30
2 FUTCUR USDINR 29-Mar-10 55,164,397 252,289 55,890 14.15
3 FUTCUR USDINR 24-Feb-10 48,512,671 224,913 49,826 12.62
4 FUTCUR USDINR 29-Dec-09 43,373,761 202,419 44,843 11.36
5 FUTCUR USDINR 26-Nov-09 32,897,164 153,691 34,048 8.62
Note:- Total Traded Value Currency Futures ` in Crs 1782608.043
CLEARING AND SETTLEMENT
NSCCL undertakes clearing and settlement of all trades executed on the Currency Derivatives Segment (CDS) 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 Entities
Clearing and settlement activities in the Currency Derivatives segment are undertaken by NSCCL with the help of the following entities:
Clearing and Settlement Mechanism of Currency Futures
Currency futures contracts are cash settled, i.e. through exchange of cash in Indian Rupees. The settlement amount for a clearing member is netted across all their TMs/clients, with respect to their obligations on MTM settlement. Currency 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 business day of the expiry month of futures contract.
147
Mark to Market settlement (MTM Settlement):
All futures contracts for each member are marked-to-market (MTM) to the daily settlement price of the relevant futures contract at the end of each day. The profits/losses are computed as the difference between:
1. The traded price and the day's settlement price for contracts executed during the day but not squared up.
2. The previous day's settlement price and the current day's settlement price for brought forward contracts.
3. The buy price and the sell price for contracts executed during the day and squared up.
The CMs who have a loss are required to pay the mark-to-market (MTM) loss amount in cash which is in turn is 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. In case a futures contract is not traded on a day, or not traded during the last half hour, a ‘theoretical settlement price’ is computed. 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 last trading day of the futures contracts, at 12:00 pm, NSCCL marks all positions of a CM to the final settlement price as published by RBI and the resulting profit/loss is settled in cash. Final settlement loss/profit amount is debited/ credited to/from the relevant CM’s clearing bank account on T+2 working day following last trading day of the contract (Contract expiry Day).
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 Currency Derivatives Segment of NSE. In case a futures contract is not traded on a day, or not traded during the last half hour, a ‘theoretical settlement price’ is computed. The final settlement price is the RBI reference rate on the last trading day of the futures contract. All open positions shall be marked to market on the final settlement price. Such marked to market profit / loss shall be paid to / received from clearing members.
Settlement Statistics
During 2009-10, cash settlement for currency futures amounted to ` 367.37 crore (US $ 72.10 million). The details of settlement statistics for currency futures is presented in Table 7-2.
Margining System
NSCCL has developed a comprehensive risk containment mechanism for the Currency Derivatives segment. The most critical component of a risk containment mechanism is the online position monitoring and margining system. The actual margining is done on-line, on an intra-day basis using PRISM (Parallel Risk Management System) which is the real-time position monitoring and risk management system. The risk of each trading and clearing member is monitored on a real-time basis and alerts/disablement messages are generated if the member crosses the set limits. NSCCL
148
uses the SPAN®* (Standard Portfolio Analysis of Risk); a portfolio based margining system, for the purpose of calculating initial margins.
Margin Requirement
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. The margining system for Currency Derivatives segment is explained below:
a) Initial margin: Margin in the Currency Derivatives 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 NSCCL- 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. The parameters used in the computation of margins shall be revised five times a day based on the prices at Begin of Day, 11:00 am, 12:30 pm, 2:00 pm and at End of Day for currency futures.
b) Extreme loss margin of calculated on the value of the gross open positions shall be adjusted from the liquid assets of the clearing member on an on line, real time basis.
Position Limit for Currency Futures
Client Level Position Limit
The client level position limit shall be applicable where the gross open position of the client across all contracts exceeds 6% of the total open interest or 10 million USD, whichever is higher.
Trading Member Level Position Limit
The trading member position limit shall be higher of 15% of the total open interest or 50 million USD. However, the position limit for a Trading Member, which is a bank, shall be higher of 15% of the total open interest or 100 million USD.
Clearing Member Position Limit
No separate position limit is prescribed at the level of clearing member. However, the clearing member should ensure that his own trading position and the position of each trading member clearing through him are within the limits specified above.
INTEREST RATE FUTURES
Contract Specification
The interest rate futures contract can be entered for a minimum lot size of 2000 bonds at the rate of ̀ 100 per bond (Face Value) leading to a contract value of ̀ 200,000. The expiries specified in the current contract cycle are two days prior to the last business days of March, June, September and December. (Contracts are referred to by their respective expiry months. For example, December 2010 contract means a contract expiring in December 2010.) Thus, at any given time, a maximum of four contracts can be allowed for trading on the exchange (Viz., March, June, September and December contracts). Currently, at NSE only two contracts are allowed to be traded.
SPAN® is a registered trademark of the Chicago Mercantile Exchange (CME) used here under licence
149
The table below summarizes the contract specifications.
Table: Contract Specification of Interest Rate Futures
Symbol 10YGS7
Market Type Normal (N)
Instrument Type FUTIRD
Contract Size INR 2 lakhs
Underlying 10 Year Notional 7% Coupon bearing Government of India (GOI) security.
Notional Coupon 7% with semi-annual Compounding
Tick size 0.25 paise or INR 0.0025
Trading hours 9:00 am to 5:00 pm (Monday to Friday on working days)
Contract trading cycle Four fi xed quarterly contracts for entire year ending March, June, September and December. To start with NSE has introduced two quarterly contracts
Last trading day Two business days prior to the last working day of the contract expiry month.
Quantity Freeze 1251 lots or greater
Base price Theoretical price of the 1st day of the contract.
On all other days, DSP of the contract.
Daily Settlement Price Volume Weighted average price of the contract during the time period specifi ed by the Exchange. If not traded in specifi ed timings then the theoretical price of the contract as determined by the exchange will be the daily settlement price
Price operating range +/-5 % of the base price
Position limits Clients Trading Members
6% of total open interest or ` 300 crores whichever is higher
15% of the total open interest or ` 1000 crores whichever is higher
Initial margin SPAN Based Margin
Extreme loss margin 0.3% of the value of the gross open positions of the futures contract.
Settlement Daily settlement MTM: T + 1 in cash
Delivery settlement: T + 2 Last business day of the expiry month.
Delivery Settlement
Deliverable Grade Secu-rities
GoI securities maturing at least 8 years but not more than 10.5 years from the fi rst day of the delivery month with• Minimum total outstanding stock of ` 10,000 crore.
Conversion Factor The conversion factor would be equal to the price of the deliverable security (per rupee of principal) on the fi rst calendar day of the delivery month, to yield 7% with semiannual compounding
Invoice Price Daily Settlement price times a conversion factor + Accrued Interest
Delivery day Last business day of the expiry month
Intent to Deliver Two business days prior to the delivery day.
TURNOVER
The trading value in interest rate futures for the period August 31, 2009 till March 31, 2009 was ` 2,975 crore (US $ 659.06 million) with total number of contracts of 160,894. The average traded volume during the same period was ` 21.25 crore (US $ 4.71 million). The business growth of interest rate futures is shown in Table 7-1.
Open Interest
As of March 31, 2010, the open interest of 758 interest rate futures contracts stood at worth` 14.15 crore (US $ 3.13 million).
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Traded Value Records
The following table shows the record highs in interest rate futures traded at NSE.
Interest Rate Futures Date Number/Value
Record number of trades 31-Aug-09 1,475
Record number of contracts 31-Aug-09 14,559
Record daily turnover (` crore) 31-Aug-09 267.31
Top 5 Interest Rate Future Contracts
During 2008-09, top 5 Interest Rate Future contracts in terms of turn over are presented in the table below.
Rank Contract Name Total Traded
Quantity
Turnover Total Traded Value (%) to Currency Futures Total Traded Value
Instrument Type
Contract Symbol
Expiry ` cr US $ mn
1 FUTIRD 10YGS7 18-Dec-09 118,797 2,203 488.03 74.06
2 FUTIRD 10YGS7 22-Mar-10 34,280 628 139.18 21.12
3 FUTIRD 10YGS7 21-Jun-10 7,817 143 31.76 4.82
Clearing and Settlement for Interest Rate Futures
For IRF, settlement is done at two levels: mark-to-market (MTM) settlement which is done on a daily basis and fi nal settlement which happens on last business day of the expiry month. Final settlement involves physical delivery of the GOI securities from the list of deliverable grade securities .
Mark-to-Market (MTM) Settlement
MTM is the difference between the today’s daily settlement price and previous day’s daily settle-ment price. This process helps the clearing corporation in managing the counterparty risk of the future contracts by requiring the party incurring a loss due to adverse price movements to part with the loss amount on a daily basis.
To ensure a fair mark-to-market process, the clearing corporation computes and declares the settlement price for each day for determining daily gains and losses. This price is called the “daily settlement price” and represents the closing price of the futures contract for a given day.
The Daily Settlement Price is the closing price of the 10 year notional 7% coupon bearing GoI secu-rities futures contract on the trading day. Daily Settlement price is the Volume Weighted Average Price (VWAP) of:
• Trades in the last 30 minutes subject to at least 5 trades for a minimum aggregate notional Face value of ` 10 crore, failing which
• Trades in the last 60 minutes subject to at least 5 trades for a minimum aggregate notional Face value of ` 10 crore, failing which
• Trades in the last 120 minutes subject to at least 5 trades for a minimum aggregate notional Face value of ` 10 crore.
In the absence of trading in the above stipulated time frame the theoretical price, to be deter-mined by the Exchanges, would be considered as Daily Settlement Price. Theoretical pricing is
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calculated on the basis of the cash and carry model using underlying prices of GOI securities from the delivery basket.
The MTM gains and losses are calculated everyday by computing the difference between the fu-tures settlement price of that day and of the preceding day. These gains (or losses) of each client are credited into (or debited from) that particular client’s account.
Physical Settlement
During the expiry month, the contract is settled by physical delivery of deliverable grade securities using the electronic book entry system of the existing Depositories (NSDL and CDSL) and Public Debt Offi ce (PDO) of the RBI. The delivery of the deliverable grade securities takes place on the last business day of the delivery month. The short position holder in an expiring futures contract holds the right to decide which security to deliver from the deliverable basket as specifi ed by the exchange. The underlying notional bond may not exist in reality and therefore, a basket of bonds is identifi ed which qualify for delivery, any one of which adjusted with conversion factor can be used for delivery in lieu of the notional bond.
Margin Requirements
Broadly two types of margins are required from each investor entering into a futures contract; namely, Initial Margin and Extreme Loss Margin. When the investors enter into a futures contract, they have to deposit cash or liquid assets equal to the total of these two margins. The initial mar-gin is arrived at by taking various scenarios of market price movements to protect the exchange against the default risk of the parties and is subject to a minimum of 1.6% at any point of time. Extreme loss margin on the other hand is equivalent to 0.3% of the contract amount.
Position Limits
As a risk management strategy to guard against heavy build-up of positions with one particular entity, the exchange imposes limits on the size of positions that can be taken by various entities in case of interest rate futures.
Client Level: The gross open positions of a client across all contracts should not exceed 6% of the total open interest or ` 300 crores, whichever is higher.
Trading Member Level: The gross open positions of the trading member across all contracts should not exceed 15% of the total open interest of the entire market or ` 1000 crores, whichever is higher.
Clearing Member Level: No separate position limit is prescribed at the level of the clearing mem-ber. However, the clearing member should ensure that his own trading position and the positions of each trading member clearing through him is within the limits specifi ed above.
Foreign Institutional Investors (FIIs): The sum of gross long position in (a) the debt market and (b) the IRF market should not exceed their individual permissible limit for investment in government of India securities as prescribed from time to time. Further, short position in Interest Rate Futures contract should not exceed the sum stated above.
Risk Management
The Clearing Corporation of the Exchange i.e National Securities Clearing Corporation Ltd (NSCCL) becomes the central counter party for all trades executed on exchange and thereby reduces the credit risk faced by the participants. NSCCL also provides settlement guarantee which provides market stability and integrity by ensuring that a single party default does not lead to any systemic risk.
152
NSCCL manages timely settlements without defaults through ‘risk management’. The various steps in risk management include implementing a risk estimation methodology, computation of margins, collection of margins, and corrective action in case of non-collection. The implementation of risk management is inter-alia through the margining framework.
Initial Margin
Initial margin shall be payable on all open positions of Clearing Members, upto client level, and shall be payable upfront by Clearing Members. The CM in turn collects the initial margin from the TMs and their respective clients. NSCCL has implemented the SPAN (Standard Portfolio Analysis of Risk) based methodology for margining which is being used world over by various Exchanges/Clearing Corpora-tion. SPAN is a portfolio based margining system.
Initial Margin shall include SPAN margins and such other additional margins that may be specifi ed by the Clearing Corporation from time to time. The parameters used in the computation of margins shall be revised six times a day based on the prices at Begin of Day, 11:00 am, 12:30 pm, 2:00 pm, 3:30 pm and at End of Day for IRF.
As an additional line of defense, ‘Extreme loss margin’ is charged as fi xed percentage as specifi ed by regulators. This is also computed and deducted on an on line, real time basis from the available collaterals.
On-line position monitoring system generates alerts whenever the margins of a member reaches 70%, 80%, 90% and 100% of the collaterals deposited at CM and TM level. NSCCL monitors the CMs limit for initial margin and extreme loss margin violations, while TMs are monitored for initial margin violation. Margin violations result in withdrawal of trading facility for all TMs of a CM in case of a violation by the CM.
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.
As a Investor protection measures, a separate Settlement Guarantee Fund for this segment has been created and maintained for the currency derivatives segment.
153
Tabl
e 7-
1 :
Busi
ness
Gro
wth
of
Curr
ency
Fut
ures
Mon
th/
Year
No.
of
trad
ing
days
No.
of
Con-
trac
ts
Trad
ed
Trad
ing
Valu
e(
` Cr
)Tr
adin
g Va
lue
(US
$ m
n)Av
erag
e D
aily
Tr
adin
g Va
lue
( `
Cr)
Aver
age
Dai
ly
Trad
ing
Valu
e(U
S $
mn)
No.
of
Con-
trac
ts
Trad
ing
Valu
e(
` Cr
.)Tr
adin
g Va
lue
(US
$ m
n)
Sep-
08*
221,
258,
099
5,76
31,
131
262
51.4
290
,871
428
84.0
0
Oct
-08
202,
275,
261
11,1
422,
187
557
109.
3217
0,20
285
116
7.03
Nov
-08
183,
233,
679
15,9
693,
134
887
174.
0914
6,26
273
714
4.65
Dec
-08
214,
681,
593
22,8
404,
483
1,08
821
3.54
177,
520
867
170.
17
Jan-
0920
4,90
0,90
423
,980
4,70
71,
199
235.
3325
4,79
71,
247
244.
75
Feb-
0919
6,41
6,05
931
,761
6,23
41,
672
328.
1631
5,31
71,
612
316.
39
Mar
-09
199,
907,
173
50,8
179,
974
2,67
552
5.02
257,
554
1,31
325
7.70
Aug
-08-
Mar
ch 0
913
932
,672
,768
162,
272
31,8
491,
167
229.
0525
7,55
41,
313
257.
70
Apr-
0916
7,85
1,50
239
,386
8,72
52,
462
545.
4120
6,62
01,
039
230.
17
May
-09
2013
,682
,468
66,4
3114
,717
3,32
273
5.93
318,
203
1,50
433
3.19
Jun-
0922
15,7
24,5
0775
,363
16,6
953,
426
758.
9726
7,40
01,
285
284.
67
Jul-
0923
19,8
88,0
1196
,523
21,3
834,
197
929.
7731
8,29
81,
531
339.
17
Aug-
0920
18,6
72,6
2390
,396
20,0
264,
520
1001
.33
394,
756
1,93
342
8.22
Sep-
0919
22,2
51,8
9610
7,78
923
,879
5,67
312
56.7
636
0,60
31,
739
385.
25
Oct
-09
2032
,267
,958
150,
843
33,4
177,
542
1670
.80
447,
812
2,10
946
7.21
Nov
-09
2033
,794
,926
157,
554
34,9
037,
878
1745
.24
493,
018
2,29
750
8.86
Dec
-09
2141
,004
,341
191,
415
42,4
059,
115
2019
.27
406,
200
1,89
642
0.03
Jan-
1020
60,2
23,7
1427
6,74
261
,307
13,8
3730
65.3
561
5,61
22,
852
631.
81
Feb-
1019
52,1
12,1
8524
6,87
554
,691
12,9
9328
78.3
863
7,46
52,
976
659.
28
Mar
-10
2061
,132
,852
283,
292
62,7
5914
,165
3138
.02
427,
873
1,96
443
5.09
2009
-10
240
378,
606,
983
1,78
2,60
839
4,90
77,
428
1645
.55
427,
873
1,96
443
5.09
* In
clud
es t
urno
ver
deta
ils f
or A
ugus
t 29
,200
8- t
he f
irst
day
of
trad
ing
of C
urre
ncy
futu
res
at N
SE.
154
Table 7-2 : Settlement Statistics In Currency Futures Segment
Month/Year Currency Futures
MTM Settlement Final Settlement
` cr US $ mn ` Cr US $ mn
Aug-08 0.22 0.05 --
Sep-08 22.86 5.06 0.77 0.17
Oct-08 52.33 11.59 0.04 0.01
Nov-08 58.56 12.97 0.95 0.21
Dec-08 58.00 12.85 1.14 0.25
Jan-09 33.76 7.48 0.31 0.07
Feb-09 59.89 13.27 0.54 0.12
Mar-09 76.19 16.88 1.82 0.40
Aug ‘08-Mar ‘09 361.80 80.15 5.57 1.23
Table 7-3 : Business Growth of Interest Rate Futures
Month/ Year
No. of trading
days
No. of Con-tracts Traded
Trading Value( ` Cr)
Trading Value (US $ mn)
Average Daily
Trading Value( ` Cr)
Average Daily
Trading Value(US $ mn)
Open Interest at the end of No. of Con-tracts
Trading Value( ` Cr.)
Trading Value(US $ mn)
Aug-09 1 14559 267.31 59.22 267.31 59.22 1,893 34.66 7.68
Sep-09 19 79,648 1,473.37 326.40 77.55 17.18 4,952 92.28 20.44
Oct-09 20 21,198 394.09 87.30 19.71 4.37 6,128 113.57 25.16
Nov-09 20 18,134 337 74.66 16.84 3.73 6,600 124 27.47
Dec-09 21 11,687 215.32 47.70 10.25 2.27 2,305 42.22 9.35
Jan-10 20 6443 118.82 26.32 5.94 1.32 2,576 47.77 10.58
Feb-10 19 3,124 57.415 12.72 3.02 0.67 3,547 64.92 14.38
Mar-10 20 6,101 111.38 24.67 5.57 1.23 758 14.15 3.13
Aug 2009- Mar2010
140 160,894 2,975.00 659.06 21.25 4.71 758 14.15 3.13
Note: Trading in Interest Rate Futures on Currency Derivatives Segment was introduced on August 31,2009
Table 7-4: Settlement Statistics in Interest Rate Futures Segment(Amount in ` Cr.)
Month/Year MTM Settlement Final Settlement
` Cr US $ mn ` Cr US $ mnAug-09 0.07 0.02 Not Applicable
Sep-09 3.86 0.86 Not Applicable
Oct-09 5.24 1.16 Not Applicable
Nov-09 7.15 1.58 Not Applicable
Dec-09 5.19 1.15 72.42 16.04
Jan-10 2.98 0.66 - --
Feb-10 1.36 0.30 - --
Mar-10 1.98 0.44 37.24 8.25
2009-10* 27.82 6.16 109.66 24.29
The final settlement in Interest Rate Futures is physical settlement* Figures are from August 31, 2009 commencement of IRF
Investor Services,Arbitration 8
156
157
8Investor Services, Arbitration
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. 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 Services
NSE has put in place a system for redressal of investor grievances for matters/issues related to/against trading members/companies. The Investor services 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 8-1.
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 ̀ 10 lakhs upto December 31, 2007 and same has been enhanced to ` 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
158
the parties and hearing them. The status of arbitration matters with the Exchange as at end March 2010 is presented in Table 8-2.
In order to ensure transparency in grievance redressal available at Stock Exchanges, SEBI has advised the exchanges to disclose complaints/arbitration/penal action against trading members/listed companies on their website. It is envisaged that transparency will also improve the general functioning of the market by providing investors the means to make informed choice. NSE has been disseminating on the website the investor complaints and arbitration details in the various prescribed reports.
159
Contd...
Table 8-1: Receipt and Disposal of Investor Grievance
Year Against Members Against Companies
Pending at the
beginning
Received Disposed 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
2008-09 967 5,191 5,020 1,138 309 734 983 60
2009-10 1138 5892 6226 804 60 881 772 169
Table 8-2: Status Report of Arbitration Matters
Year No. of Cases Received
Withdrawn Awards Pending
1998 164 2 162 0
1999 CM 153 5 148 0
1999 WDM 2 1 1 0
2000 CM 149 6 143 0
2000 WDM 1 0 1 0
2001 CM 342 19 323 0
2001 WDM 0 0 0 0
2001 F&O 1 0 1 0
2002 CM 275 7 268 0
2002 WDM 0 0 0 0
2002 F&O 5 0 5 0
2003 CM 136 4 132 0
2003 WDM 0 0 0 0
2003 F&O 17 0 17 0
2004 CM 119 6 113 0
2004 WDM 0 0 0 0
2004 F&O 42 3 39 0
2005 CM 138 3 135 0
160
Contd...
Year No. of Cases Received
Withdrawn Awards Pending
2005 WDM 0 0 0 0
2005 F&O 66 0 66 0
2006 CM 224 5 219 0
2006 WDM 0 0 0 0
2006 F&O 191 8 183 0
2006 CO 1 0 1 0
2007 CM 275 9 266 0
2007 F&O 221 3 218 0
2008 CM upto March 2008 61 1 60 0
2008 F&O upto March 2008 116 1 115 0
2008-09 CM 758 21 699 38
2008-09 F&O 2,433 98 2195 140
2009-10 CM 517 52 253 212
2009-10 F&O 502 43 260 199
Total 6,909 297 6,023 589
Knowledge Initiative 9
162
163
9Knowledge Initiative
An important aspect of fi nancial reforms is the development of a pool of human resources having right skills and expertise to help enhance quality intermediation in the fi nancial markets. Among the fi nancial markets, securities market is growing tremendously in terms of size, new asset classes and huge number of investors. Therefore, it has become quintessential to disseminate the related knowledge in such a way that increasing number of people can benefi t from it.
NSE aims at cultivating a culture of knowledge to help investors take informed decisions relating to the securities market. It has initiated a number of educational initiatives such as certifi cation programs, high school level courses and development of educational materials on fi nancial markets.
NSE began its journey towards its knowledge initiative in the year 1998, when it introduced NSE's Certifi cation in Financial Markets (NCFM), taking into account international experience and the needs of the Indian fi nancial markets. It was introduced with a view of protecting interests of investors in fi nancial markets and more importantly, for minimizing risks of losses arising out of defi cient understanding of markets and instruments.
About NSE’s Certification in Financial Markets (NCFM)
NCFM is an on-line testing system which tests the practical knowledge and skills required to operate in the fi nancial markets. NCFM has become extremely popular and is sought by the candidates as well as employers due to its unique on-line testing and certifi cation programme. NCFM offers a comprehensive range of modules covering many different areas in fi nance (Table 9-1). The entire process from generation of question paper, testing, assessing, scores reporting and certifying is fully automated. It allows tremendous fl exibility in terms of testing centres, test dates and test timing and provides easy accessibility and convenience to candidates. (As of June 2010, 5,05,989 candidates have taken 10,22,482 NCFM tests.)
New Modules introduced under NCFM in 2009-10
During the year 2009-10, there were a wide range of new NCFM modules introduced such as Currency Derivatives: A Beginner’s Module, Equity Derivatives: A Beginner’s Module, Interest Rate Derivatives : A Beginners module, Investment analysis and Portfolio Management and a module on Commercial Banking.
Currency Derivatives: A Beginner’s Module: This module has been designed with a view to improve awareness about the ‘Currency Derivatives’ product, which has been made available for trading in the Indian securities market in 2009. The course content is structured to help a beginner understand what the product is, how it is traded and what uses it can be put to.
Equity Derivatives: A Beginner’s Module: This module has been prepared with a view to equip candidates with basic but essential information and concepts pertaining to the equity derivatives markets.
Investment Analysis and Portfolio Management: Investment Analysis and Portfolio Management is a growing fi eld in the area of fi nance. This module aims at creating a better understanding of the various concepts/principles related to investment analysis and portfolio management.
Interest Rate Derivatives: A Beginner’s Module: This module attempts to explain the fundamental concepts of the product in a simple, easy-to-understand way. Interest rate risk management is
164
becoming increasingly important not just for the fi nancial sector, but for the household sectors as well. Interest rate derivative products are the primary instruments available to manage such risks. This module aims at creating a better understanding of the concepts underlying the money market and giving insights into the motives of and operations related to the trading of interest rate derivatives.
Commercial Banking in India: A Beginner’s Module: For the fi rst time, the NSE introduced a new module relating to the banking sector. The module aims at familiarizing you about the fundamentals of banking as well as the policies and practices followed in the Indian banking system. The module would be a very useful resource for those who are contemplating a career as a banker and even to those who are already in the fi eld of banking or fi nance.
NSE Certified Market Professional (NCMP)
NCFM has gained extreme prominence among all the candidates and has led them to take more and more NCFM tests in various arenas. To further help the candidates demonstrate relative accomplishments in NCFM tests, a new certifi cation called NCMP (NSE Certifi ed Market Professional) was introduced in August 2009. NSE Certifi ed Market Professional (NCMP) certifi cate is issued to those candidates who have cleared NCFM modules in the following hierarchy.
• NCMP Level 1 : 3 – 4 modules
• NCMP Level 2 : 5 – 6 modules
• NCMP Level 3 : 7 – 8 modules
• NCMP Level 4 : 9 or more modules
CBSE – NSE joint certification in Financial markets
CBSE and NSE introduced a joint certifi cation in Financial Markets for std. XI and XII. The course, titled ‘Financial Markets Management’ had been introduced by CBSE during 2007-2008. This was the fi rst such exercise to introduce fi nancial literacy in schools. The new course comprises of various subjects, such as Languages, Economics, Business Studies, Accounting for Business etc. Besides these, two fi nancial market related subjects, ‘Introduction to Financial Markets – I’ and ‘Introduction to Financial Markets – II” are taught in Std. XI and XII respectively. Students opting for the course are required to take the NCFM on-line tests in ‘Financial Markets: A Beginners Module’ in Std. XI and both “Capital Markets (Dealers) Module and Derivatives Markets (Dealers) Module”, in Std. XII. This joint initiative has completed three years and till 2009-10, 93 schools have opted for CBSE-NSE certifi cation and 1,664 candidates have successfully completed the CBSE – NSE joint certifi cation in Financial markets.
NSE’s Certified Capital Market Professionals (NCCMP)
NSE Certifi ed Capital Market Professional (NCCMP) is a course launched as a joint-cooperation between National Stock Exchange of India Limited and reputed Educational Institutes across the country to impart knowledge and awareness about the securities market and thereby upgrade the skills and profi ciency of the participants (students) of the course. The NCCMP course covers the topics such as Introduction to Financial Markets, Derivatives, trading system, Macro Economics, Fundamental Analysis, Technical Analysis, Market Operations, Currency Futures, Discussions on Financial Newspapers / Journals and Practical Training.
It is a 100 hours program (5 – 6 months) comprising theory and practical training in capital markets. As of June 2010, NSE has tied up with the following colleges/ universities for NCCMP.
165
Sr. No. Name of Institute/College/University Location
1 The St. Xavier’s College Kolkata
2 The Loyola Institute of Vocational Education Chennai
3 Rajagiri Centre For Business Studies Cochin
4 PSG Institute of Management, PSG College of Technology Coimbatore
5 Karunya University Coimbatore
6 SCSVMV University Kanchipuram
7 Institute of Finance & International Management Bangalore
8 Manipal Universal Learning Pvt. Ltd. Bangalore
9 CMS College of Engineering Namakkal
10 Marwadi Education Foundation’s Group of Institutions Rajkot
11 Knowledge Academy Ahmedabad
12 Stratadigm Education & Training Pvt Ltd Hyderabad
13 Siva Sivani Institute of Management Hyderabad
14 Badruka Institute of Foreign Trade Hyderabad
15 Shaheed Sukhdev College of Business Studies, University of Delhi Delhi
16 Guru Nanak Institute of Management Delhi
17 Hubli Education Trust-Institute of Management Studies Hubli
18 MAEER’s MIT School of Business (MIT-SoB) Pune
19 Sydenham College of Commerce and Economics Mumbai
NSE – Manipal Education Training Programs
NSE has collaborated with Manipal Education to impart training relating to the stock markets with the objective of improving the participants’ understanding of how the stock markets function. These programs are designed to cater to people interested in a career in stock markets and other related fi nancial services and also to those who simply wish to learn about the functioning of the market.
Various programs offered under this training are given below:
S. No. Program Duration Program Contents
1 Basics of stock markets 1 day □ Capital markets : An overview □ National Stock Exchange (NSE) □ Membership at NSE, Listing & Depository □ Client – Broker relationship □ Stock market index □ Trading, Clearing & Settlement □ Investor services cell
2 Derivatives – Trading, Clearing & Settlement
2 days □ Introduction to Derivatives □ Introduction to Futures and Options □ Applications of Futures and Options □ Trading, Clearing & Settlement
3 Capital Markets – Trading, Clearing & Settlement
2 days □ Introduction to Capital Markets □ Trade management □ Clearing and Settlement □ Client management □ Risk management
Contd...
166
S. No. Program Duration Program Contents
4 Fundamental Analysis 2 days □ Economic analysis & Industry analysis □ Company analysis □ Interpretation of fi nancial Statements □ Ratio analysis & Funds fl ow analysis □ Time value of money & Equity valuation □ Economic Value Add (EVA)
5 Technical Analysis 4 days □ Basics of technical analysis □ Construction of charts □ Reversal and Continuation Pattern □ Moving Averages & Momentum oscillators
NSE Research Initiative
In order to improve market effi ciency and to set international benchmarks in the securities industry, NSE launched the NSE Research Initiative in January 2000 with a view to develop an information base and a better insight into the working of securities market in India. The studies completed/under progress under the initiative is presented in Table 9-2. The completed research papers and the paper under progress are provided on the NSE website www.nseindia.com.
Investor Awareness and Education Programmes
NSE has been carrying out investor awareness seminars on a regular basis in various parts of the country. During the seminars, the investors are educated about their rights and obligations, new fi nancial products, investment avenues and certifi cation programmes. Various informative booklets and material are also distributed at the seminars. Besides covering the investors, the Exchange also reaches out to a larger number of persons across the country as a part of a Financial Literacy campaign. The purpose is to educate the masses about investing, various investment avenues, benefi ts of investing in equities and upgrade the fi nancial literacy and awareness among the masses.
The higher secondary schools and colleges is also one of the focus areas in this exercise since an early education on investing helps the individual to take proper decision while investing in future. Further, this also helps in increasing the overall equity investor base in the country over a period of time with more people being acquainted with the benefi ts of investing in the equity markets.
During 2009-10, there were 949 investor awareness and education programmes conducted by NSE.
Visit to NSE
With the objective of creating awareness about the securities market among the students fraternity, NSE has been organizing ‘Visit to NSE’ programs. Under this program, students from various schools/ colleges / universities visit NSE to attend sessions on stock exchange structure, its operations, products traded on it etc. This program is conducted in the Mumbai offi ce as well as regional offi ces located at Delhi, Kolkatta and Chenai. 41 colleges have visited the Exchange since August 2009.
Contd...
167
Table 9-1 A : NCFM Modules
Sr. No.
Name of Module Fees( ` )
Test Duration
(in minutes)
No. of Questions
Maximum Marks
Pass Marks
(%)
Certifi cate Validity
(in years)
1 Financial Markets: A Beginners’ Module
1500 120 60 100 50 5
2 Mutual Funds : A Beginners’ Module
1500 120 60 100 50 5
3 Currency Derivatives: A Beginner’s Module
1500 120 60 100 50 5
4 Equity Derivatives: A Beginner’s Module
1500 120 60 100 50 5
5 Interest Rate Derivatives: A Beginner’s Module
1500 120 60 100 50 5
6 Commercial Banking in India: A Beginner’s Module
1500 120 60 100 50 5
7 Securities Market (Basic) Module 1500 105 60 100 60 58 Capital Market (Dealers) Module * 1500 105 60 100 50 59 Derivatives Market (Dealers)
Module **1500 120 60 100 60 3
10 FIMMDA-NSE Debt Market (Basic) Module
1500 120 60 100 60 5
11 Investment Analysis and Portfolio Management Module
1500 120 60 100 60 5
12 NSDL–Depository Operations Module
1500 75 60 100 60 # 5
13 Commodities Market Module 1800 120 60 100 50 314 Surveillance in Stock Exchanges
Module1500 120 50 100 60 5
15 Corporate Governance Module 1500 90 100 100 60 516 Compliance Offi cers (Brokers)
Module1500 120 60 100 60 5
17 Compliance Offi cers (Corporates) Module
1500 120 60 100 60 5
18 Information Security Auditors Module (Part-1)
2250 120 90 100 60 2
Information Security Auditors Module (Part-2)
2250 120 90 100 60
19 Options Trading Strategies Module 1500 120 60 100 60 520 FPSB India Exam 1 to 4*** 2000
per exam
120 75 140 60 NA
21 Examination 5/Advanced Financial Planning
5000 240 30 100 50 NA
* Candidates have the option to take the CMDM test in English, Gujarati or Hindi language. The workbook for the module is presently available in ENGLISH.
** Candidates have the option to take the DMDM test in English, Gujarati or Hindi language. The workbook for the module is also available in ENGLISH, GUJARATI and HINDI languages.
# Candidates securing 80% or more marks in NSDL-Depository Operations Module ONLY will be certifi ed as ‘Trainers’.
*** Modules of Financial Planning Standards Board India (Certifi ed Financial Planner Certifi cation) i.e. (i) Risk Analysis & Insurance Planning (ii) Retirement Planning & Employee Benefi ts (iii) Investment Planning and (iv) Tax Planning & Estate Planning.
The curriculum for each of the module (except FPSB India Exam 1 to 4 and Examination 5/Advanced Financial Planning) is available on our website: www.nseindia.com > NCFM > Curriculum & Study Material.
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Table 9-1 B NISM Modules
Sr. No.
Name of Module Fees ( ` )
Test Duration
(in minutes)
No. of Questions
Maximum Marks
Pass Marks
(%)
Certifi cate Validity
(in years)
1 NISM-Series-I: Currency Derivatives Certifi cation Examination
1000 120 60 100 60 3
2 NISM-Series-II-A: Registrars to an Issue and Share Transfer Agents –
1000 120 100 100 50 3
Corporate Certifi cation Examination
3 NISM-Series-II-B: Registrars to an Issue and Share Transfer Agents –
1000 120 100 100 50 3
Mutual Fund Certifi cation Examination
4 NISM-Series-IV: Interest Rate Derivatives Certifi cation Examination
1000 120 100 100 60 3
5 NISM-Series-V-A: Mutual Fund Distributors Certifi cation Examination
1000 120 100 100 50 3
169
Table 9-2: 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 Effi ciency 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 Artifi cial 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 effi ciency of stock exchanges using price adjustment coeffi cients
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
28 Corporate Social Responsibility Initiatives by NSE NIFTY Companies - Content, Implementation Strategies & Impact.
29 Measures for Improving Common Investor Confi dence 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
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170
SL. No.
Title of Study
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.
47 Pricing of Options on Defty
48 Price Limits Are they Worth the Price?
49 Volatility Persistence and the Feedback trading Hypothesis: Evidence from Indian Markets
50 Dynamic Interaction among Mutual Fund Flows, Stock Market Return and Volatility
51 Correlation Dynamics in Equity Markets: Evidence from India
52 Price Discovery and Arbitrage Effi ciency of Indian Equity Futures and Cash Markets
53 Do Hetrogeneous beliefs affects trading volume and asset prices.
55 Forecasting Of Indian Stock Market Index Using Artifi cial Neural Network
56 Global Stock Futures : A Diagnostic Analysis Of a Selected Emerging And Developed Markets With Special Reference To India
57 Price Behaviour around Block Trades on the National Stock Exchange of India.
58 Does the Stock Market Overreact? An empirical evidence of the Contrarian Returns from the Indian Markets
59 Dynamic Relationship between Stock Return, Trading Volume and Volatility:Evidence from Indian Stock Market
60 Stock Market Seasonality: A Study of the Indian Stock Market
61 Determinants and the Stability of Dividends in India
62 Optimal Investment Horizons for S&P CNX Nifty and its Components
63 Examining Association between S&P CNX Nifty and selected Asian and US Stock Markets
Papers Under Progress
1 Some Preliminary Examination of Predictive Ability of India VIX
2 Forecasting Volatility using High Frequency Data
3 Imbalance created because of structured products in India equity market
4 Effi ciency of Indian Stock Market: A study of NSE
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