Fact Book 2010
NATIONAL STOCK EXCHANGE OF INDIA LIMITED June 2010
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SECTION 1- NA NATIONAL TIONAL STOCK EXCHANGE OF INDIA
Introduction ............... ............................... ................................. ................................. ................................. ...........................3 ..........3 Incorporation and Management ............................................. .............................................................. ....................... ......3 3 Market Segments And Products ................ ................................ ................................. .................................. .................... ...3 3 Achievements/Milestones ............... ................................ ................................. ................................. ...........................5 ..........5 Developments during the year............ year............................ ................................. ................................. .........................6 .........6 Facts And Figures ..................................... ..................................................... ................................. ................................8 ...............8 Technology ................. ................................. ................................. .................................. ................................. ..........................8 ..........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 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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Contd...
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...
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Contd...
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 Specification ............................................................................ 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...
SPAN® is a registered trademark of the Chicago Mercantile Exchange (CME) used here under license.
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Contd...
SECTION 7- CURRENCY DERIVATIVES SEGMENT
Trading Mechanism ................................................................................143 Contract Specifications 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 Certification in Financial Markets (NCFM) ..................................... 163 New Modules introduced under NCFM in 2009-10 ............................................ 163 NSE’s Certified Capital Market Professionals (NCCMP) ...................................... 164 CBSE- NSE joint Certification in Financial Markets ........................................... 164 NSE’s Certified Capital Market Professionals (NCCMP) ...................................... 164 NSE – Manipal Education Training Programs ................................................... 165 NSE Research Initiative ...........................................................................166 Investor Awareness and Education Programmes ............................................. 166
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National Stock Exchange of India
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National Stock Exchange of India
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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 31 st 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. FIMMDANSE 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
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
9,520,664
16,923,833
14,260,729
24,151,088
Total
* Trading in Currency Futures commenced on August 28, 2008 ** Trading in Interest Rate Futures commenced on August 31,2009
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2008-09
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.
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2nd in terms of Number of Contracts traded in Single Stock Futures.
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3rd in terms of Number of Contracts traded in Stock Index Futures.
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2nd in terms of Number of Contracts traded in Stock Index Options.
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7th Largest Derivatives Exchange in the World.
Source:WFE & FIA
Achievements/Milestones Month/Year
Event
November 1 992
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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Contd... 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.
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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.
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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.
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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.
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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.
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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
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“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.
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.
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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 Finan cial 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, brokerdealers, 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
Market capitalisation
January 07, 2008
` 6,745,724.00
S&P CNX Nifty Index value
January 08, 2008
6357.10
CNX Nifty Junior Index value
January 04, 2008
13209.35
cr. (US $ 8,894.97 mn.) cr. (US $ 1,687,696.77 mn.)
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 redefine 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 first 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 fiber 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 office 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-today functioning of the Exchange can be divided into (a) Front end applications and (b) Back office applications. In the front office, 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 office, 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 offline 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
10
real time information on initial margin value, mark to market profit or loss, collateral amounts, contract-wise latest prices, contract-wise open interest and limits. The system also tracks online real time client level portfolio base upfront margining and monitoring. 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 office 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 traffic 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, flexible 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
11
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
12
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.
13
Table 1-1 : Board of Directors * 1
Dr. Vijay L Kelkar Former Chairman, Finance Commission, India Former Union Finance Secretar y and Advisor to the Finance Minister
Chairman
2
Mr. Ravi Narain National Stock Exchange of India Ltd.
Managing Director
3
Ms. Chitra Ramkrishna National Stock Exchange of India Ltd.
Joint Managing Director
4
Mr. C. Achuthan Former Presiding Officer, Securities Appellate Tribunal
Director
5
Mr. Anjan Barua Deputy Managing Director & Group Executive (Global Markets) State Bank of India
Director
6
Mr. A. P. Kurian Chairman Association of Mutual Funds in India
Director
7
Dr. Rajiv B. Lall Managing Director & CEO IDFC Limited
Director
8
Mr. Anand G. Mahindra Vice Chairman & Managing Director Mahindra & Mahindra Ltd.
Director
9
Mr. S. B. Mainak Executive Director (Investment-Risk Management and Research)
Director
10
Mr. Y. H. Malegam Chairman Emeritus M/s. S.B. Billimoria & Co. Chartered Accountants
Director
11
Mr. S. B. Mathur Secretary General, Life Insurance Council & Former Chairman, Life Insurance Corporation of India
Director
12
Dr. KRS Murthy Professor & Former Director Indian Institute of Management, Bangalore
Director
13
Dr. R. H. Patil Chairman The Clearing Corporation of India Ltd.
Director
14
Ms. Bhagyam Ramani General Manager & Director, GIC
Director
15
Dr. V. A. Sastry Director, MUSA Software Engineering Pvt. Ltd. Former Director, Infosys Technologies Ltd.
Director
16
Mr. Deepak M Satwalekar Former 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
14
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 Public Representative NV.
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
II
F&O MARKET SEGMENT
Other Nominees
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 Chairman of India Ltd.
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 Public Representative Limited
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 Officer & Director,Wipro Limited
Public Representative
8
Mr. V. Srikanth
Managing Director, Head of Markets, Citi Trading Member South Asia, Citibank N.A.
* As on July 8, 2010
15
16
Membership
2
18
Membership
2
The trading in NSE has a three tier structure-the trading platform provided by the Exchange, the broking and intermediary services and the investing community. The trading members have been provided exclusive rights to trade subject to their continuously fulfilling the obligation under the Rules, Regulations, Byelaws, Circulars, etc. of the Exchange. The trading members are subject to its regulatory discipline. Any person can become a trading member by complying with the prescribed eligibility criteria and exit by surrendering trading membership without any hidden/overt cost. There are no entry/exit barriers to trading membership.
Eligibility Criteria The Exchange stresses on factors such as corporate structure, capital adequacy, track record, education, experience, etc. while granting trading rights to its members. This reflects a conscious effort by the Exchange to ensure quality broking services which enables to build and sustain confidence in the Exchange’s operations. The standards stipulated by the Exchange for trading membership are substantially in excess of the minimum statutory requirements as also in comparison to those stipulated by other exchanges in India. The exposure and volume of transactions that can be undertaken by a trading member are linked to liquid assets in the form of cash, bank guarantees, etc. deposited by the member with the Exchange as part of the membership requirements. The trading members are admitted to the different segments of the Exchange subject to the provisions of the Securities Contracts (Regulation) Act, 1956, the Securities and Exchange Board of India Act, 1992, the rules, circulars, notifications, guidelines, etc., issued there under and the byelaws, Rules and Regulations of the Exchange. All trading members are registered with SEBI.
Trading Membership A prospective trading member is admitted to any of the following combinations of market segments: •
Wholesale Debt Market (WDM) segment,
•
Capital Market (CM) and the Futures and Options (F&O) segments,
•
CM Segment and the WDM segment, or
•
CM Segment, the WDM and the F&O segment.
•
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 firm/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.
19
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 fulfilling 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 profit 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 firms and 36,581 individuals) sub-brokers were affiliated to 609 trading members of the Exchange on March 31, 2010.
20
) h k a l
g n i r a ` e l n i C f t M n C l e u , S o t d n m O e n A ( & m a F t g g ) n n d e s i n d e a M a r m g M D T / e D W g s W n O n i , i & M i p d F C h a r n T i s r d p e i b n a h s m r e t n e e M b ( m 0 g m 0 e e 2 s m
t n O e & m g F e s n o M p i C h , t s n r e e b m m g e e s m M g n D i W r a n l e i c p i d h n s r a e g b n i ) m t e d n a r e M ( T m 0 d g 0 n e 3 a s
d n M 0 a D 0 M W 2 C
. . . d t n o C
22
r 5 ) e h t k n b 2 ` a l e s m d e ` m k n m n a n g e a i g h s S B n i k e O d 0 4 0 5 a 0 3 5 . d l u & e l 2 a s 3 r 9 a F i t ` n v g l r ( l d o n c e h A a p k ( e h l a M R k C / s a 5 l n . a 8 7 i 1 d ` o f ` t o f s u t C D o S D n C S e d d C . m e r l n d t g e 0 5 5 i a n 0 e t s 3 2 2 N h n a e S i g m k h O e a k g l & R e a F I 2 l s B 6 ` M E f ` C S o f e / E D o h S S D t N F n I S f I i o n F r i r e g d e b n t b n a n i r t m e m e b e n m m e o 5 5 5 g M 0 . 0 g e 3 2 2 2 t m n p S g d g i n i i e e d h s r d M r i a r C a e u O t r b T q & r e m r F e e s e p i h M s t ) ) r g M n e n i i C b r r m * P ( a a e ) e e r l D l e S c M C b F ) e l I o t D ( m t a S e t n s a i o M e r s C ( o i o t s g k a p s r p i s n s t r i o e o e r a r f D p l e c a d o u y e e n r r o c t D n l i i P C u f r y t r y r o l u e l a o i i c t t a h e f P n e r p v i s i S u o s r i c t e t s e e c n s s d c e e e e a b f r S l r p h F a u o t s y m t t r t r S r e e e i l l o s r e P i s r i e t a b o h u a u e h i W r l e l n h k q g t t a i e l l e n o n T w E N I C A * R
M 0 D 0 W 2
O & F d n a M C
n i p i h s r e b m e m g n i d a r T d n a t n e m g e s
M C n i p i ) h t s r n e e b m m g e e s M ( O 5 & 7 F
M C
S M R I F P I H S R E N T R A P / S L A U D I V I D N I
5 7
s r a l u c i t r a P
h t r o W t e N
f l e S d n a g n ) i d t n a r e T m d g n e a s t O n & e F m e g h e s t n i M C p n i h i s p i r e h b s r m e b e m m e g n M ( i r 0 a e 0 l 1 c
. . . d t n o C
. ) M C * S * 5 / . 5 5 1 * . M 1 . 6 0 T 7 1 ( 2 1 r e b m e m g n i r a e l c . f ) l e M S C S d / n 5 5 . L M a 5 . I 6 6 7 . T N 7 1 ( g 1 n 1 r i e d b a r T m 0 L L L e I I I r 5 1 o N 1 N N m f g d n n i r a a ) g e M n l i c C r a f l e M l e S T C ( d g d n n n a i a g r g n a n e i i d l d C a a r r T d T n r a d o n f g a n * d i * 5 t d n * 5 . 5 n 1 . 1 a a . 0 r e ) 5 6 7 ) T t 1 m n M r g e o C e f s m M d g M e T e ( i r C s g u n O n i q i & r e p F i r a h e i n s s l r i C L p e i d C b h n C m s r a S e e g N M b n h ( i d t i 0 m e a 0 r w 3 m T r h 5 5 o k L 5 . 6 . . I a f l 6 7 0 N d 5 2 1 e r 2 i L u f L C q o I e E C L r ) S S D r i s S N N C o C f L C ( h h S t s C t i t i N i e s w w h g C S o ) ) t e i N p r D D w a h e S S h D F I F ) t I C i y ( ( D S w t t t n i i r o s i s C ( s i o o t t h u c c p p i k e a e e s a S o l s D D p n 5 l y t y e a t r r 2 a D i e r i r y n T f t o o u u t i a m c c i t u t D l e e r i n S l p o S S u m e F c r i I C e e e c m n s i l l e a r e r S b M g e a u n n F F l S a o S o e i i r t s t s e l c s t t i i t a n e e e r d d r r l a u u d d e t e l n a v t t o n d u A A n I n C A A F I * * *
Table 2-2 : Distribution of Members Month/Year (end of period)
24
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
Listing of Securities
3
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.
27
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.
28
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
29
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
30
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
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
253
111,032
24,597
Preferential Allotment
Total
Chart 3-2 : No. of issues through various instruments during 2009-10
31
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
1
Shriram Transport Finance Co. Ltd.**
2 3
Date
Amount Mobilised ( ` crs)
4-Sep-09
1000
L&T Finance Limited*
24-Sep-09
1000
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.
32
Table 3-1 : Listing Criteria for Companies on the CM Segment of NSE Criteria
Initial Public Offerings (IPOs)
Paid-up PUEC ≥ ` 10 cr. and MC ≥ ` 25 cr. Equity Capital (PUEC)/Market Capitalisation (MC) /Net Worth
Company/ Promoter’s Track Record
Dividend Record / Net worth / Distributable Profits
PUEC ≥ ` 10 cr. and MC ≥ ` 25 cr. OR PUEC ≥ ` 25 cr. OR MC ≥ ` 50 cr. OR The company shall have a net worth of not less than ` 50 crores in each of the preceding financial years.
Atleast 3 years track record of either Atleast three years track record of either a) the applicant seeking listing OR b) the promoters/promoting a) the applicant seeking listing; OR company incorporated in or b) the promoters/promoting company, outside India OR incorporated in or outside India. 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. --
Listing
Other Requirements
Companies listed on other exchanges
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. 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.
(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
33
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 a s 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, clarifications etc. that may be issued by various regulatory authorities from time to time 4. Net worth means paid-up equity capital + reserves excluding revaluation reserve - miscellaneous expenses not written off - negative balance in profit and loss account to the extent not set off. 5. Promoters mean one or more persons with minimum 3 years of experience of each of them in the same line of business and shall be holding at least 20 % of the post issue equity share capital individually or severally. 6. In case a company approaches the Exchange for listing within six months of an IPO, the securities may be considered as eligible for listing if they were otherwise eligible for listing at the time of the IPO. If the company approaches the Exchange for listing after six months of an IPO, the norms for existing listed companies may be applied and market capitalisation be computed based on the period from the IPO to the time of listing.
34
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
1,470
37
1,359
6,009,173
1,331,230
2009-10
* At the end of the period @ Excludes suspended companies.
35
) t y e i n b s t s v d e d n s a e n o l a i c h u r e i a p s e y s g e h d r s i o a D o t p s t p n t i h s e d e e c n r i i c e ( a u n C a h h w S
e b R
r e h t O y n A
E S N n o d e t s i L s e i n a p m o c f o 0 1 0 2 h c r a M f o d n e e h t t a n r e t t a P g n i d l o h e r a h S : a 3 3 e l b a T
l a n o i t u t i t s n I n o N
c i l b u P
s l a u d i v i d n I
2 0 4 8 5 6 1 8 4 3 1 4 8 0 1 9 . 0 . 2 . 2 . 7 . 0 . 2 . 2 . 6 . 6 . 7 . 6 . 4 . 0 3 . 3 1 0 0 6 0 3 9 4 1 0 0 0 3 , 2 9 5 7 , 6 3 5 , 5 6 9 2 2 4 7 3 0 6 7 9 5 2 6 4 8 . 4 . 0 . 0 . 7 . 8 . 3 . 1 . 2 . 1 . 0 . 0 . 6 . 3 5 . 0 7 4 3 4 1 2 2 3 3 4 0 5 4 , 3 1 1 5 5 5 , 5 9 4 , 8 8 6 . 2 1
5 5 . 5 1
1 7 . 2 1
1 7 3 3 4 7 . 8 . 0 . 6 . 6 . 6 5 5 2 0 1 1 1 1
2 3 . 0 2
5 8 2 1 3 3 . 4 . 9 . 6 0 . 2 9 8 0 , 2 1 1 4 1 8 2 , 6 7 8 , 8 2
e s t a e i r d o o p B r o C
5 8 6 3 7 9 8 6 5 3 7 8 6 8 4 7 . 9 . 7 . 6 . 8 . 1 . 6 . 6 . 1 . 4 . 9 . 9 . 4 . 3 7 . 5 0 6 5 6 3 6 9 6 7 7 3 9 5 , 5 1 8 7 8 , 9 8 7 , 3 1
r e h t o y n A
0 1 7 0 7 0 0 0 1 0 0 0 4 1 9 4 . 6 . 6 . 0 . 1 . 0 . 3 . 0 . 3 . 4 . 0 . 0 . 0 . 9 1 . 0 0 0 0 0 0 0 0 0 0 0 0 0 6 , 0 7 8 1 , 6 5 4
s - l d a g n e t e n n r u i V i p s u F d n a d t l u g C n a l i n t u e i c e e F n r r V p i u o a C F t
0 0 0 0 5 5 2 6 0 2 0 0 0 5 5 0 . 0 . 0 . 0 . 1 . 4 . 0 . 1 . 0 . 1 . 6 . 0 . 0 . 9 1 . 0 0 0 0 0 0 0 0 0 0 0 0 0 3 , 0 0 6 1 , 3 6 3
s d n u F l a u t u M
0 2 5 8 2 3 4 2 7 5 0 7 2 3 7 5 . 8 . 3 . 1 . 3 . 0 . 4 . 7 . 4 . 8 . 9 . 5 . 9 . 0 0 . 3 0 3 7 2 2 3 4 2 3 3 1 2 0 , 3 1 2 8 3 , 9 7 3 , 7
l a n o i t u t i t s n - s I u r t o i t t s s e n I v n n I g i l e a r n o o F i t
2 8 3 9 8 0 9 6 8 8 5 4 0 0 8 0 . 2 . 5 . 0 . 6 . 9 . 7 . 0 . 0 . 7 . 0 . 6 . 1 . 8 5 . 6 8 6 4 1 8 8 7 6 8 8 8 8 6 , 9 1 1 1 1 7 9 1 , 3 9 9 , 2 2
5 / 8 u l / ) . t s a t 9 i ( s r t t n t e e s n c i n e n / e e n n I s e t a a l n C m a r p a o / n t m i n i s r e S r u c t k s m v e n n o n o v I C a a o n G B i G F
s r n e g i t e o r m o o F r s P r e t o m o r s P r e n t a i o d m n o I r P
4 5 0 7 9 3 7 2 5 9 9 8 6 7 8 . 1 . 9 . 4 . 8 . 4 . 5 . 9 . 2 . 4 . 2 . 9 . 8 5 . 0 8 1 2 3 6 1 4 4 5 5 1 2 , 5 1 1 9 2 2 , 5 6 3 , 3 1
8 6 2 4 8 5 2 4 8 5 8 0 6 5 9 0 . 7 . 8 . 9 . 3 . 5 . 8 . 5 . 7 . 7 . 5 . 8 . 2 . 9 1 . 1 1 1 4 6 2 8 3 6 0 1 7 2 1 , 6 1 1 1 3 0 5 , 9 6 8 , 4 1 4 9 . 5 4
s r o t c e S s k n a B
36
4 8 . 0 2
6 3 . 7 2
0 9 . 2 4
g n i r e e e c n n i g a n n i E F
4 2 . 0 2
G C M F
7 7 . 1 4
y g o l o n h c e T n o i t a m r o f n I
8 1 . 1 7
e r u t c u r t s a r f n I
8 9 . 4 4
g n i r u t c a f u n a M
8 2 . 9 4
t n e m n i a t r e t n E & a i d e M
3 7 . 4 5
s l a c i m e h c o r t e P
9 2 . 9 3
s l a c i t u e c a m r a h P
7 2 . 5 4
s e c i v r e S
5 5 . 2 5
n o i t a c i n u m m o c e l e T
1 2 . 0 5
s u o e n a l l e c s i M
8 6 2 , 4 8 5 , 5 9 9 , 3 2 1
s e r a h S f o r e b m u N
4 6 . 1 5
s e r a h S f o r e b m u N l a t o T o t %
Table 3-3 b : Sectorwise Pledged Shares of Promoters of Companies Listed at NSE ar the end of March 2010. Sectors
Banks
Indian Promoters (No.)
Foreign Promoters (No.)
Shares pledged (No.)
%age of pledged shares
6,108,864,413
143,446,889
5,924,955
0.09
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
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
123,995,584,268
14,869,503,195
12,685,150,441
9.13
Engineering
Media & Entertainment
Total
37
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
●
Qualifies for listing under SEBI’s Regulations
Infrastructure companies ● ● Tax exemption and recognition as infrastructure company under ● related statutes/regulations
Qualifies 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
Banks
● ●
Private Placement
Qualifies for listing under the Credit rating respective Acts, Rules or Regulations under which the securities are issued.
●
Scheduled banks ● Networth of ` 50 crores or ● above Qualifies 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 Number
Government Securities
Amount
Amount
( ` cr)
(US $ mn)
Number
Amount
Amount
( ` cr)
(US $ mn)
1,391
2,272,333
445,993
1,461
2,472,978
547,846
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
1,000
107,782
21,154
992
133,428
29,559
6
795
156
21
3,117
690
3,954
2,848,315
559,041
4,140
3,150,880
698,024
T-Bills
Corporate Bonds Others
Total
38
2010
) % n i (
7 7 5 . 4 . 1 3 8 5 -
1 2 . 0 5 -
- - t e a i a s r g i n u c c fi i s e e e d i s r r a r h p p t t e e c i p e h r t A D n f p o e / o y h t c n n i i o a r i o d w P t i t
) % n i (
2 6 8 . 7 . 5 2 1
3 0 8 0 0 9 4 0 2 2 6 . 1 . 0 . 4 . 0 . 6 . 2 . 6 . 5 . 2 . 0 0 2 6 9 8 2 8 1 - 2 3 2 1 1 -
1 4 1 5 4 2 5 2 . 4 . 9 . 8 . 6 . 4 . 7 . 6 2 8 0 9 5 4 1 2 2 1 -
0 5 7 . 5 . 4 9 4 3 5
5 7 . 9 5
0 0 . 6 1 1
5 4 . 0 3
0 0 . 1 8
5 3 . 5 3 1
5 7 . 4 5 1 , 1
0 2 . 0 7
0 1 . 4 2
5 5 . 9 8 1
5 7 . 0 3
5 7 . 5 9 1
5 1 . 9 4
5 3 . 1 8 4
5 8 . 1 1 1
5 5 . 1 1 5
0 9 . 9 3 2
0 2 . 6 2 2
5 5 4 . 8 . 7 5 1 9 3
5 2 . 9 1 1
0 1 . 0 0 1
5 7 . 6 3
0 3 . 7 8
0 0 . 1 9
0 2 . 1 4 1 , 1
0 7 . 6 5
5 5 . 3 5
0 4 . 4 6 1
0 5 . 9 3
0 4 . 3 6 1
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e 0 c 1 n a 9 n 0 i 0 F 2 g n i r u d r e f f O c i l b u P l a i t i n I 1 2 3 4 e r d N N N N u s s s e t t s e i e i e i e n i i e m r r r r e e e e i b e L S - S - S - S D e E E E E c C C C C e l n N N N N a A A A A b i n t i I N I N I N I r F N F F F F e v T T T T T n & & & & & o L L L L L C 1 n o N
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
4892.81
1,083.92
Total
Table 3-8 : Preferential Allotments by NSE Listed Companies during 2009-10 S.No.
Company Name
1
GTL Infrastructure Limited
2
Geojit BNP Paribas Financial Services Limited
3
Amount Raised US $ mn ` Crore 6.00
1.33
36.17
8.01
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
-
Contd...
41
Contd...
S.No.
Company Name
19
Softpro Systems Limited
20
GTL Infrastructure Limited
21
Rana Sugars Limited
22
GMR Infrastructure Limited
23
Amount Raised US $ mn ` Crore 6.53
1.45
481.98
106.77
4.37
0.97
149.72
33.17
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...
42
Contd...
S.No.
Company Name
Amount Raised US $ mn ` Crore
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...
43
Contd...
S.No.
Company Name
101
K S Oils Limited
102
Bajaj Hindusthan Limited
103
135.22
29.96
75.60
16.75
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
15530.30
3,440.47
Total
44
Amount Raised US $ mn ` Crore
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...
45
Contd...
Sr.No
Name of the company
Amount Raised ( ` cr)
38
Larsen & Toubro Limited
39
Mahindra Forgings Limited
40
United Spirits Limited
41
1,872.80
414.89
175.00
38.77
1,615.60
357.91
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
42,484.45
9,411.71
Total
46
(US $ mn)
Capital Market Segment
4
48
Capital Market Segment
4
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.
49
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 Above 100
50
No. of companies Traded 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
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
Apr-09
Companies Available for Trading* 1,279
NSE Companies Traded 1,266
% of Traded to Available for Trading 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.
51
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
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
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
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
100
100
100
100
100.00
Delhi
Kolkata/Howrah
Mumbai / Thane
Total
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
52
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 comparison with total trading volumes at NSE
53
Year
2006-07 2007-08 2008-09 2009-10
Enabled Members*
Registered Clients*
242 305 349 363
2,279,098 4,405,134 5,627,789 5,143,705
Internet Trading Internet Trading % of total Volume Volume trading volume ( ` crore) (US $ million) 337,524 668,399 692,789 921,380
77,432 167,225 135,974 204,116
17.35 18.82 25.17 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.
54
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 bidask 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.
55
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
56
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 No of orders
Nov 09 - Mar 10
Total subscription amount
2,392
91,932,291
Redemption No of orders
Total orders
Total redemption amount *
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
57
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 –
0.125
Purchaser.
0.125
Seller.
0.025
Seller.
(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. 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.
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.
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
58
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.
59
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
60
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
61
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 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. tra ding. In case the security securi ty has not been traded on a particular parti cular 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.
62
Index-based Market-wide Circuit Breakers a.
An index based market-wide circuit 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 Price 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 selfinsurance 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.
63
n o i t a s i l a t i p a C t e k r a M
e u l a V g n i d a r T t a m e D
t n e m g e S M C f o h t w o r G s s e n i s u B : 1 4 e l b a T
) . r c
`
(
) . n m $ S U ( ) . r c
r e o v i o t n a r R u T y e l i l u a a D V e g g n a r i e d v a r A T
e u l a V g n i d a r T
6 0 6 , 5 1 1
3 7 8 , 6 1 1
0 8 8 , 6 1 1
7 0 8 , 1 2 1
0 6 7 , 5 1 1
3 3 9 , 3 3 2
8 4 0 , 1 4 1
4 0 5 , 0 3 1
1 8 0 , 3 1 1
9 4 3 , 8 5 2
9 1 4 , 2 6 3
1 2 6 , 0 3 6
5 0 5 , 2 7 7
2 4 4 , 5 1 2 , 1
9 5 2 , 8 6 0 , 1
0 6 7 , 0 0 0 , 1
7 2 4 , 5 0 8
6 5 9 , 9 6 8
4 1 8 , 7 7 8
3 9 4 , 5 6 7
0 5 3 , 3 6 3
9 5 4 , 1 0 4
7 6 3 , 9 1 4
3 0 5 , 1 8 4
5 7 1 , 1 9 4
6 2 4 , 0 2 0 , 1
7 4 8 , 7 5 6
1 6 8 , 6 3 6
3 3 1 7 3 5
6 7 9 , 0 2 1 , 1
5 8 5 , 5 8 5 , 1
1 0 2 , 3 1 8 , 2
0 5 3 , 7 6 3 , 3
2 2 1 , 8 5 8 , 4
0 8 7 , 2 4 4 , 5
3 7 8 , 8 9 0 , 5
1 5 6 , 3 0 1 , 4
7 2 4 , 2 3 4 , 4
1 6 4 , 2 7 4 , 4
5 8 1 , 0 0 9 , 3
–
–
–
– 3 1 6 , 5
9 5 1 , 3 6 1
4 8 0 , 1 7 2
5 9 0 , 5 0 1
2 0 1 , 0 3 1
7 0 4 , 3 5 2
8 8 5 , 0 6 2
0 4 8 , 1 5 3
9 6 2 , 6 4 4
6 2 4 , 8 8 8
4 3 2 , 3 5
8 4 5 , 4 5
0 0 9 , 1 5
0 6 0 , 8 5
7 7 9 , 5 4
4 7 4 , 1 5
0
0 6 1 8 6 7 5 1 0 3 3 8 , 7 , 3 , 3 1 4 2 1 6 7 2 , 1
6 6 8 , 2 1 5
4 8 9 , 7 1 6
4 3 5 , 9 9 0 , 1
2 7 0 , 0 4 1 , 1
8 5 5 , 9 6 5 , 1
7 8 2 , 5 4 9 , 1
8 3 0 , 1 5 5 , 3
7 2 2 , 1 7 2
3 2 9 , 7 7 2
8 2 4 , 4 6 2
6 1 8 , 5 9 2
1 5 2 , 4 3 2
1 6 2 , 2 6 2
0
0 2 5 2 2 2 1 4 7 2 3 5 , 7 , 2 , 8 3 7 5 0 1 3
7 1 7 , 7 7 2
9 4 0 , 4 6 3
0 0 3 , 3 1 7
5 8 6 , 7 9 7
6 8 4 , 4 4 8
6 5 4 , 5 5 8
9 6 4 , 8 9 4 , 1
0 8 2 , 4 1 1
4 1 0 , 5 1 1
8 4 5 , 8 0 1
5 8 2 , 4 3 1
2 5 3 , 4 0 1
2 0 2 , 2 0 1
0 5 . 0
6 7 . 6 1
3 2 . 0 7
8 5 . 0 8
5 0 . 5 1 1
9 0 . 8 9
0 9 . 1 7
9 7 . 5 5
7 7 . 7 5
9 – 0 . 3 7
–
–
–
–
–
–
–
–
– 9 7 4 6 8 8 0 2 8 5 4 2 1 9 3 0 3 7 1 , 4 5 9 0 , 4 , 1 1 1
2 9 7 , 1
0 4 5 , 3
2 6 6 , 2
7 2 7 , 2
1 7 4 , 2
4 2 5 , 2
9 9 2 , 2
1 5 4 , 2
`
(
y t d t ) a e i t h d k n m a a e r a l D T u ( Q
) % (
$ ) . S n U ( m ) . r c
7 1
`
(
) h k a l (
f s o e . d o a r N T
) h k a l (
2 6 . 3 0 2
3 0 3 , 3
7 3 3 , 5
8 7 0 , 2
2 6 4 , 2
9 2 3 , 4
6 0 5 , 4
3 5 2 , 6
2 1 8 , 7
8 4 1 , 4 1
1 6 5 , 3 1
6 9 8 , 3 1
2 9 5 , 2 1
2 6 8 , 2 1
3 1 7 , 1 1
9 8 4 , 2 1
3 5 3 , 2 9 1
2 0 2 , 7 8 2
7 5 1 , 5 0 1
3 0 1 , 0 3 1
7 0 4 , 3 5 2
8 8 5 , 0 6 2
0 4 8 , 1 5 3
9 6 2 , 6 4 4
6 2 4 , 8 8 8
4 3 2 , 3 5
8 4 5 , 4 5
0 0 9 , 1 5
0 6 0 , 8 5
7 7 9 , 5 4
4 7 4 , 1 5
–
5 0 8 , 1
7 8 2 , 7 6
3 0 5 , 4 9 2
3 9 1 , 0 7 3
4 7 4 , 4 1 4
2 5 0 , 9 3 8
0 1 5 , 9 3 3 , 1
7 6 1 , 3 1 5
9 8 9 , 7 1 6
4 3 5 , 9 9 0 , 1
2 7 0 , 0 4 1 , 1
8 5 5 , 9 6 5 , 1
7 8 2 , 5 4 9 , 1
8 3 0 , 1 5 5 , 3
7 2 2 , 1 7 2
3 2 9 , 7 7 2
8 2 4 , 4 6 2
6 1 8 , 5 9 2
1 5 2 , 4 3 2
1 6 2 , 2 6 2
1 9 3 , 1
2 1 9 , 9 3
1 6 5 , 5 3 1
5 8 6 , 5 3 1
7 2 3 , 5 6 1
4 0 7 , 2 4 2
6 3 5 , 9 2 3
8 0 4 , 8 7 2
6 6 0 , 4 6 3
0 0 3 , 3 1 7
5 8 6 , 7 9 7
6 8 4 , 4 4 8
6 5 4 , 5 5 8
9 6 4 , 8 9 4 , 1
0 8 2 , 4 1 1
4 1 0 , 5 1 1
8 4 5 , 8 0 1
5 8 2 , 4 3 1
2 5 3 , 4 0 1
2 0 2 , 2 0 1
3
6 4 1 6 4 6 6 6 8 4 8 7 2 3 5 9 6 , 1
3 5 7 , 1
7 9 3 , 2
0 8 7 , 3
9 0 5 , 4
9 8 0 , 6
7 4 8 , 7
7 2 7 , 1 1
9 7 0 , 1
1 7 0 , 1
5 1 1 , 1
7 3 3 , 1
7 6 0 , 1
2 3 1 , 1
9 9 4 6 8 4 4 0 1 9 0 5 2 1 4 4 2 0 , 8 8 8 9 1 , 2 , , 1 1 1 1
6 4 2 , 1
6 5 2 , 1
7 6 2 , 1
4 7 2 , 1
5 7 2 , 1
s e f i d o n e . a d o p a r N m o T c
–
f g n s o i . d y a o a D r N T
2 0 1
–
–
– 3 8 6 , 7 9
3 2 . 2 8
–
`
y t d i e t d n a r a T u Q
8 3 . 4 8
– $ ) . S n U ( m
) . r c
8 8 . 6 7
6 6 0 1 7 7 2 5 2 1 , 5 , 6 , 1 1 1
(
& h r t a e n Y o M
64
) . n m $ S U (
–
–
– 1 0 2 , 1
6 0 4 1 4 1 7 1 4 3 1 9 1 0 0 1 3 0 1 4 5 4 5 5 5 4 5 5 5 5 4 5 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2
) . r 5 a 6 9 9 - M . 5 4 v 9 o 9 9 N 9 1 ( 1
7 9 6 9 9 1
8 9 7 9 9 1
9 9 8 9 9 1
0 0 0 2 9 9 9 1
1 0 0 0 0 2
2 0 1 0 0 2
3 0 2 0 0 2
4 0 3 0 0 2
5 0 4 0 0 2
6 0 5 0 0 2
7 0 6 0 0 2
8 0 7 0 0 2
8 0 r p A
8 8 0 - 0 y a n u M J
8 0 l u J
8 0 g u A
8 0 p e S
. . . d t n o C
Table 4-2 : Percentage Share of Top ‘N’ Securities/Member in Turnover Year
No. of Securities/Brokers 5
10
25
50
100
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
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
Securities
Members
66
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
` cr.)
(US $ mn.)
1 Relia Reliance nce Ind Indust ustrie riess LtdLtd-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 Unit Unitec ech h Ltd Ltd--Infrastructure 4 Tata Ste Steel el Lim Limite ited-d-Manufacturing 5 DL DLF F Lim Limit ited ed--Infrastructure 6 St Stat ate e Bank Bank Of Of Indi Indiaa--Banks 7 Suz Suzlon lon Ene Energy rgy Lim Limite ited-d-Manufacturing 8 Rel elia ianc nce e Capi Capita tall Limited--Finance 9 Ho Hous usin ingg Develo Developm pmen entt Finance Corporation Ltd.--Finance 10 Bha Bharti rti Air Airtel tel Lim Limite ited-d-Telecommunication 11 Lar Larsen sen & Toub Toubro ro Ltd.Ltd.--Engineering 12 Jai Jaiprak prakash ash Ass Associa ociates tes Limited--Infrastructure 13 Inf Infosy osyss Tech Technol nologi ogies es Ltd--Information Technology 14 Aba Aban n Off Offsho shore re Ltd Ltd.-.-Petrochemicals 15 Re Relia liance nce Infr Infrast astruc ructur ture e Ltd--Infrastructure 16 Tata Mot Motors ors Ltd Ltd.. --Manufacturing 17 Ax Axis is Bank Bank Limi Limite tedd--Banks 18 Ed Educ ucom omp p Solut Solutio ions ns Limited--Information Technology
114,712
25,412
2.77
17,581.58
3,895
0.29
111,220
24,639
2.69
56,087.42
12,425
0.93
107,447
23,803
2.60
52,431.12
11,615
0.87
105,241
23,314
2.54
131,940.81
29,229
2.20
87,651
19,418
2.12
11,185.12
2,478
0.19
84,926
18,814
2.05
18,571.07
4,114
0.31
84,684
18,760
2.05
9,903.21
2,194
0.16
81,104
17,967
1.96
118,683.21
26,292
1.98
72,441
16,048
1.75
98,140.59
21,741
1.63
70,427
15,602
1.70
31,773.70
7,039
0.53
68,666
15,212
1.66
150,033.95
33,237
2.50
66,857
14,811
1.62
5,057.11
1,120
0.08
65,090
14,420
1.57
22,505.63
4,986
0.37
61,137
13,544
1.48
36,357.36
8,054
0.61
56,374
12,489
1.36
47,257.91
10,469
0.79
52,076
11,536
1.26
7,100.71
1,573
0.12
19 HDF HDFC C Ltd Ltd.. -- Fin Financ ance e
51,911 51, 911
11,500
1.25
77,840.42
17,244
1.30
20 Jind Jindal al Ste Steel el & Pow Power er Ltd.--Manufacturing 21 Ste Sterli rlite te Ind Indust ustrie riess ( India ) Limited-Manufacturing 22 JS JSW W Ste Steel el Lt Ltd. d. -Manufacturing 23 Sa Saty tyam am Co Comp mput uter er Services Ltd-Information Technology 24 Se Sesa sa Go Goa a Ltd Ltd..--Manufacturing 25 Bh Bhar arat at He Heav avyy Electricals Ltd-Manufacturing
51,864
11,489
1.25
65,475.07
14,505
1.09
48,581
10,762
1.17
71,429.11
15,824
1.19
47,868
10,604
1.16
23,096.77
5,117
0.38
47,786
10,586
1.15
10,859.07
2,406
0.18
47,456
10,513
1.15
38,696.80
8,573
0.64
45,966
10,183
1.11
117,027.10
25,925
1.95
(
(
` cr.)
(US $ mn.)
% Share in Total Market Capitalisation
Contd...
67
Contd... Rank
Name of Security
Trading Value (
(US $ mn.)
Market Capitalisation as on March 31,2010 (
` cr.)
(US $ mn.)
% Share in Total Market Capitalisation
26 Rel elia ian nce Communications Limited-Telecommunication 27 Ind Indiabu iabulls lls Re Real al Esta Estate te Limited--Infrastructure 28 Rel elia ianc nce e Natu Natura rall Resources Limited-Manufacturing
44,386
9,833
1.07
35,078.14
7,771
0.58
43,977
9,742
1.06
6,124.50
1,357
0.10
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 Oil & Natu Natura rall Gas Cor Corpn pn Ltd--Petrochemicals 31 Tata Con Consul sultan tancy cy Services Limited-Information Technology
38,641
8,560
0.93
234,997.92
52,060
3.91
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 Steel Aut Author hority ity Of Of India India Ltd.--Manufacturing 34 Hin Hindalc dalco o Indu Industr stries ies Ltd Ltd.. -- Manufacturing 35 Pu Punj nj Lloy Lloyd d Limit Limited ed--Infrastructure 36 In Infr fras astr truc uctu ture re Development Finance Company Limited--Finance
36,448
8,075
0.88
104,313.27
23,109
1.74
33,113
7,336
0.80
34,681.00
7,683
0.58
29,419
6,517
0.71
5,887.83
1,304
0.10
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 Maru Maruti ti Suz Suzuk ukii India India Limited--Manufacturing 39 NT NTPC PC Limi Limite tedd--Infrastructure 40 Ma Mahi hind ndra ra & Mah Mahin indr dra a Ltd. -- Manufacturing 41 Es Essa sarr Oil Lim Limit ited ed--Petrochemicals 42 Baj Bajaj aj Hin Hindus dustan tan Ltd -Manufacturing 43 Hi Hind ndus usta tan n Unilev Unilever er Limited--FMCG 44 Cai Cairn rn Ind India ia Lim Limite ited-d-Petrochemicals 45 IVR IVRCL CL Inf Infrast rastruc ructur tures es & Projects Ltd.-Infrastructure 46 Lan Lanco co Infr Infrate atech ch Limi Limited ted - Infrastructure 47 Shr Shree ee Re Renuk nuka a Sug Sugars ars Limited--Manufacturing 48 He Hero ro Ho Hond nda a Mot Motor orss Ltd.-- Manufacturing 49 Ko Kota takk Mahin Mahindr dra a Bank Bank Limited--Banks 50 LIC Hou Housin singg Finan Finance ce Ltd Ltd -- Finance
26,599
5,893
0.64
40,966.00
9,075
0.68
25,552
5,661
0.62
170,887.25
37,857
2.84
24,710
5,474
0.60
31,313.55
6,937
0.52
24,220
5,366
0.59
16,605.14
3,679
0.28
22,243
4,928
0.54
2,596.72
575
0.04
21,851
4,841
0.53
52,256.44
11,577
0.87
21,630
4,792
0.52
57,974.86
12,843
0.96
21,349
4,729
0.52
4,432.36
982
0.07
20,162
4,467
0.49
12,556.70
2,782
0.21
19,933
4,416
0.48
4,518.99
1,001
0.08
19,101
4,231
0.46
38,827.24
8,602
0.65
18,744
4,152
0.45
26,024.50
5,765
0.43
17,816
3,947
0.43
8,273.85
1,833
0.14
2,658,320
588,906
64.24
2,942,388
651,836
48.96
Total
68
` cr.)
% Share in Total Trading Value
Table 4-4 : Top ‘50’ Companies by Market Capitalisation as on March 31, 2010 Rank
Name of Security and Industry
1
Reliance Industries Ltd-Petrochemicals Oil & Natural Gas Corpn Ltd--Petrochemicals NTPC Ltd--Infrastructure MMTC Ltd -Manufacturing Tata Consultancy Services Limited-Information Technology Infosys Technologies Ltd-Information Technology State Bank Of India-Banks Bharti Airtel Limited-Telecommunication Bharat Heavy Electricals Ltd--Manufacturing NMDC Ltd. -Manufacturing ICICI Bank Ltd.--Banks Steel Authority Of India Ltd.--Manufacturing Wipro Ltd.--Computers - Software ITC Ltd.--FMCG Larsen & Toubro Ltd.-Engineering HDFC Bank Ltd--Banks HDFC Ltd.-- Finance Indian Oil Corporation Ltd -- Petrochemicals Sterlite Industries (India) Limited--Manufacturing Jindal Steel & Power Ltd.--Manufacturing Cairn India Limited-Petrochemicals Tata Steel Limited-Manufacturing DLF Limited-Infrastructure Hindustan Unilever Limited--FMCG GAIL (India) Limited -Manufacturing Hindustan Zinc Ltd.-Manufacturing Hindustan Copper Ltd. -- Manufacturing Axis Bank Ltd. -- Banks
2 3 4 5
6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28
Market Capitalisation
% Share in Total (US $ mn.) Market ( ` cr.) Capitalisation 353,056 78,214 5.88
Trading Volume During 2009-10 (US $ mn.) ( ` cr.)
% Share in Total Trading Volume
175,590.43
38,899.08
4.24
234,998
52,060
3.91
38,641.29
8,560.32
0.93
170,887 157,174
37,857 34,819
2.84 2.62
25,552.00 62.56
5,660.61 13.86
0.62 0.00
152,790
33,848
2.54
37,384.19
8,281.83
0.90
150,034
33,237
2.50
68,666.34
15,211.86
1.66
131,941
29,229
2.20
105,240.76
23,314.30
2.54
118,683
26,292
1.98
81,104.33
17,967.29
1.96
117,027
25,925
1.95
45,965.85
10,182.95
1.11
116,721
25,858
1.94
8,133.46
1,801.83
0.20
106,124 104,313
23,510 23,109
1.77 1.74
129,475.59 36,448.42
28,683.12 8,074.53
3.13 0.88
103,777
22,990
1.73
17,706.01
3,922.47
0.43
100,075 98,141
22,170 21,741
1.67 1.63
29,068.38 72,440.99
6,439.61 16,048.07
0.70 1.75
88,279 77,840 71,807
19,557 17,244 15,908
1.47 1.30 1.19
38,978.62 51,911.36 6,912.75
8,635.05 11,500.08 1,531.40
0.94 1.25 0.17
71,429
15,824
1.19
48,581.20
10,762.34
1.17
65,475
14,505
1.09
51,863.57
11,489.49
1.25
57,975
12,843
0.96
21,629.80
4,791.71
0.52
56,087
12,425
0.93
111,219.68
24,638.83
2.69
52,431
11,615
0.87
107,446.56
23,802.96
2.60
52,256
11,577
0.87
21,851.50
4,840.83
0.53
52,084
11,538
0.87
15,898.16
3,521.97
0.38
50,888
11,273
0.85
4,016.34
889.75
0.10
49,314
10,925
0.82
3,883.42
860.31
0.09
47,258
10,469
0.79
56,374.18
12,488.74
1.36
Contd...
69
Contd... Rank
29
30 31 32 33 34
35 36 37
38 39 40 41 42
43 44
45 46 47 48
49 50
70
Name of Security and Industry
Market Capitalisation
% Share in Total (US $ mn.) Market ( ` cr.) Capitalisation 45,098 9,991 0.75
Power Grid Corporation of India Limited -Infrastructure Maruti Suzuki India Ltd. 40,966 -- Manufacturing Hero Honda Motors Ltd.38,827 - Manufacturing Sesa Goa Ltd.-38,697 Manufacturing NHPC Ltd. -37,456 Infrastructure Sun Pharmaceuticals 37,115 Industries Ltd -Pharmaceuticals Tata Motors Ltd. -36,357 Manufacturing Reliance Power Limited 35,820 -- Infrastructure Reliance 35,078 Communications Ltd. -Telecommunication Hindalco Industries Ltd.34,681 - Manufacturing Tata Power Co. Ltd. -32,598 Infrastructure Punjab National Bank 31,932 -- Banks Jaiprakash Associates 31,774 Ltd. -- Infrastructure Mundra Port and Special 31,638 Economic Zone Limited -- Services Mahindra & Mahindra 31,314 Ltd. -- Manufacturing Power Finance 29,653 Corporation Limited Finance Bajaj Auto Ltd. -29,151 Manufacturing Oil India Ltd. -27,766 Manufacturing Cipla Ltd. -27,167 Pharmaceuticals National Aluminium 26,252 Company Ltd. -Manufacturing Kotak Mahindra Bank 26,024 Ltd. -- Banks Grasim Industries Ltd.-25,807 Manufacturing Total 3,740,037
Trading Volume During 2009-10 (US $ mn.) ( ` cr.)
% Share in Total Trading Volume
8,787.62
1,946.75
0.21
9,075
0.68
26,598.99
5,892.55
0.64
8,602
0.65
19,100.79
4,231.46
0.46
8,573
0.64
47,455.67
10,513.00
1.15
8,298
0.62
8,189.68
1,814.29
0.20
8,222
0.62
9,099.82
2,015.91
0.22
8,054
0.61
61,137.31
13,543.93
1.48
7,935
0.60
15,394.35
3,410.36
0.37
7,771
0.58
44,385.55
9,832.86
1.07
7,683
0.58
33,112.66
7,335.55
0.80
7,221
0.54
15,112.33
3,347.88
0.37
7,074
0.53
12,836.66
2,843.74
0.31
7,039
0.53
70,427.00
15,601.90
1.70
7,009
0.53
6,173.15
1,367.56
0.15
6,937
0.52
24,709.75
5,474.03
0.60
6,569
0.49
4,427.32
980.80
0.11
6,458
0.49
7,864.06
1,742.15
0.19
6,151
0.46
4,913.74
1,088.56
0.12
6,018
0.45
11,200.63
2,481.31
0.27
5,816
0.44
3,630.84
804.35
0.09
5,765
0.43
18,743.54
4,152.31
0.45
5,717
0.43
11,309.72
2,505.48
0.27
62.24 1,876,658.94
415,741.90
31.23
828,542
0 n 5 ) o p s i o e t t T i e a l n s k i a r l t a a a t o p i t m M p o o a t c C % (
n o i t a s i l a t i p a C t e k r a M d n a e m u l o V g n i d a r T y b s e i n a p m o C ’ 0 5 ‘ p o T f o n o i t u b i r t s i D l a r o t c e S : 5 4 e l b a T
) t n u o m A ( n o i t a s i l a t i p a C t e k r a M
4 0 5 1 . 9 % 1 1 0 0 2 9 9 0 0 . 9 8 % 0 0 2
9 2 5 1 0 1 . 7 . 8 . 1 . 0 . 9 1 0 4 0 1 0 1
3 8 5 7 6 7 7 7 3 7 0 9 . 7 . 9 . 7 . 0 . 0 . 6 . 9 . 6 . 0 . 0 . 1 2 5 4 8 9 6 1 0 9 0 1 1 2 0 1 4 2 . 3 1 8 , 3 2
0 4 . 6 4 7 , 3 3
2 4 . 6 5 9 , 9 8
2 7 . 5 7 0 , 0 9
3 0 . 7 6 2 , 9 5 2
0 3 . 4 2 0 , 9 5 1
1 6 . 0 4 2 , 4 1
7 7 . 8 0 0 , 7
1 2 . 3 6 0 , 4 3
8 5 . 1 4 5 , 8 2 8
5 6 . 8 5 5 , 1 3 4
9 5 . 0 4 1 , 8 9
7 9 . 2 9 4 , 7 0 1
6 2 . 1 3 3 , 2 5 1
0 3 . 3 6 0 , 6 0 4
0 8 . 1 0 6 , 6 0 4
8 3 . 1 3 3 , 0 7 1 , 1
0 7 . 5 3 8 , 7 1 7
0 1 . 2 8 2 , 4 6
0 6 . 7 3 6 , 1 3
5 3 . 1 6 7 , 3 5 1
9 6 . 6 3 0 , 0 4 7 , 3
4 1 . 4 2 4 , 6 3
2 5 . 6 1 7 , 7
7 7 . 1 4 1 , 1 1
6 7 . 4 5 8 , 3 2
1 1 . 8 8 1 , 9 5
0 2 . 4 9 2 , 2 3
4 6 . 3 0 4 , 6 7
8 5 . 7 4 8 , 6 0 1
2 2 . 5 7 8 , 7
8 4 . 2 4 5 , 2
1 7 . 4 4 3 , 6 3
4 1 . 3 3 6 , 0 0 4
2 0 . 1 8 5 , 5 8 1
6 6 . 5 1 3 , 9 3
0 3 . 7 6 7 , 6 5
2 0 . 0 4 5 , 1 2 1
3 4 . 3 6 5 , 1 0 3
5 9 . 8 3 5 , 4 6 1
4 5 . 6 7 2 , 9 8 3
1 4 . 8 8 3 , 4 4 5
5 2 . 4 2 1 , 0 4
5 9 . 3 5 9 , 2 1
2 3 . 6 7 1 , 5 8 1
4 8 . 5 2 2 , 1 4 0 , 2
0 1 9 % 0 0 2
2 3 0 2 4 5 3 0 1 . 7 . 5 . 9 . 7 . 7 . 2 . 3 . 3 2 1 1 8 7 7 2 1 1 1 2 1
-
-
2 0 7 . 0 . 4 0 0 1
9 0 8 % 0 0 2
8 0 7 1 8 4 6 8 1 9 . 5 . 9 . 8 . 7 . 6 . 6 . 0 . 3 . 4 3 9 2 8 8 5 8 1 1 1 1 1
–
6 0 2 . 0 . 6 0 0 1
) . n m $ S 0 U ( 1 9 0 0 2 ) . r c
2 5 . 3 7 2 , 7 7
7 0 . 8 4 0 , 6 1
7 5 . 3 5 7 , 7 6
3 4 . 0 8 2 , 1 1
3 1 . 3 5 3 , 0 1 1
0 4 . 6 1 6 , 5 4
3 5 . 2 5 3 , 0 6 1
5 8 . 7 2 4 , 2 7
-
-
5 1 . 0 0 8 , 7 2
6 6 . 5 0 9 , 8 8 5
9 6 . 2 1 8 , 8 4 3
9 9 . 0 4 4 , 2 7
2 6 . 9 3 8 , 5 0 3
8 8 . 9 1 9 , 0 5
5 0 . 4 3 1 , 8 9 4
2 4 . 2 1 9 , 5 0 2
3 3 . 1 3 8 , 3 2 7
0 3 . 9 3 9 , 6 2 3
-
-
8 8 . 9 8 4 , 5 2 1
7 1 . 0 2 3 , 8 5 6 , 2
1 0 . 8 0 4 , 0 6
0 8 . 9 2 1 , 4 1
7 8 . 3 2 2 , 0 4
2 5 . 3 2 3 , 1 1
9 7 . 7 2 7 , 5 7
8 1 . 0 6 8 , 4 3
3 1 . 4 3 1 , 3 6
5 0 . 0 0 9 , 2 7
2 2 . 4 9 2 , 5
-
3 5 . 6 4 2 , 5 2
0 1 . 8 4 2 , 3 0 4
2 8 . 8 7 7 , 7 0 3
5 3 . 1 9 9 , 1 7
1 6 . 0 4 9 , 4 0 2
1 3 . 3 9 6 , 7 5
1 1 . 3 3 8 , 5 8 3
9 5 . 2 1 6 , 7 7 1
1 4 . 8 6 6 , 1 2 3
5 7 . 5 2 4 , 1 7 3
5 0 . 4 7 9 , 6 2
-
5 0 . 1 3 6 , 8 2 1
6 0 . 9 4 5 , 4 5 0 , 2
`
(
) . n m $ S 9 U ( 0 8 0 0 2 ) . r c
`
(
) . n m $ S 9 U ( 0 8 0 0 2 ) . r c `
(
y r t s u d n I
9 2 . 1 3
8 3 . 1 4 7 , 1 2
(
) t n u o m A ( e u l a V g n i d a r T
7 8 . 0 1
9 4 . 4 0 6 , 5 9
) . n m $ S 0 U ( 1 9 0 0 2 ) . r c
`
% ( 0 ) e 5 s u p i e l o n a T V l a a p g t n o m i d t o a o c r t T
2 7 7 6 6 . 8 . 0 . 8 . 2 2 4 0 1
s k n a B
g n i r e e n i g n E
s e c i v r e S l a i c n a n i F
G C M F
g e n r i u r t u c t u c r a t f s u a n r f a n T I I M
s l a c i m e h c o r t e P
s l a c i t u e c a m r a h P
s e c i v r e S
s n o i t a c i n u m m o c e l e T
l a t o T
71
Table 4-6 : NSE’s Most Active Trading days during the year 2009-10 Sr No.
Date
Highest Single Day Trading Value (US $ mn.)
( ` cr.) 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 (
(US $ mn.)
` cr.)
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
1 ABB Ltd.--Electrical Equipment 2 ACC Ltd.--Cement And Cement Products 3 Ambuja Cements Ltd.-Cement And Cement Products 4 Axis Bank Ltd.--Banks 5 Bharti Airtel Ltd.-Telecommunication - Services 6 Bharat Heavy Electricals Ltd.--Electrical Equipment
Issued Free Float Capital Market Cap( ` Cr.) italisation ( ` crore)
Weightage
Beta
R2
Volatility (%)
Monthly Impact Return Cost (%) (%)
42
8,424
0.55%
0.81
0.38
1.56
4.46
0.06
188
9,605
0.63%
0.80
0.38
1.51
3.03
0.06
305
9,783
0.64%
0.76
0.32
1.67
12.06
0.09
405
28,836
1.89%
1.18
0.56
1.55
3.89
0.06
3,797
38,170
2.50%
0.96
0.35
1.75
11.88
0.07
490
37,775
2.48%
0.93
0.58
1.14
1.76
0.05
Contd...
72
Contd... Sl. No.
Name of Security
7 Bharat Petroleum Corporation Ltd.-Refineries 8 Cairn India Ltd.--Oil Exploration/Production 9 Cipla Ltd.-Pharmaceuticals
Issued Free Float Capital Market Cap( ` Cr.) italisation ( ` crore)
Weightage
Beta
R2
Volatility (%)
Monthly Impact Return Cost (%) (%)
362
6,694
0.44%
0.45
0.12
1.64
-8.14
0.07
1,897
13,149
0.86%
0.94
0.46
1.74
14.88
0.07
161
17,169
1.13%
0.51
0.20
1.53
7.02
0.08
339
11,195
0.73%
1.64
0.56
1.92
3.50
0.06
1,268
18,446
1.21%
0.66
0.31
1.36
2.96
0.06
92
19,226
1.26%
0.80
0.41
0.90
4.39
0.06
135
7,604
0.50%
1.11
0.37
1.25
-2.37
0.07
286
68,753
4.51%
1.16
0.59
1.46
8.67
0.06
457
67,211
4.41%
0.78
0.55
1.29
13.42
0.06
40
17,488
1.15%
0.78
0.35
1.82
9.38
0.04
191
23,556
1.54%
1.29
0.46
2.16
11.44
0.07
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
93
27,117
1.78%
1.12
0.49
1.58
11.18
0.06
425
17,137
1.12%
1.66
0.34
2.24
13.17
0.07
120
98,141
6.43%
1.27
0.69
1.15
4.25
0.06
578
22,735
1.49%
1.27
0.55
2.17
7.44
0.08
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 31 Punjab National Bank-Banks 32 Power Grid Corporation Of India Ltd.--Power 33 Ranbaxy Laboratories Ltd.--Pharmaceuticals
2,139
37,059
2.43%
0.83
0.45
0.91
-1.69
0.05
315
13,476
0.88%
0.85
0.48
1.11
12.40
0.05
4,209
6,150
0.40%
0.80
0.53
1.03
-0.37
0.07
210
7,213
0.47%
0.82
0.26
1.32
1.06
0.05
10 DLF Ltd.--Construction 11 Gail (India) Ltd.--Gas 12 Grasim Industries Ltd.-Cement And Cement Products 13 HCL Technologies Ltd.-Computers - Software 14 Housing Development Finance Corporation Ltd.--Finance - Housing 15 HDFC Bank Ltd.--Banks 16 Hero Honda Motors Ltd.--Automobiles - 2 And 3 Wheelers 17 Hindalco Industries Ltd.--Aluminium 18 Hindustan Unilever Ltd.--Diversified
24 Jindal Steel Manufacturing 25 Jaiprakash Associates Limited-- Manufacturing 26 Larsen & Toubro Ltd.-Engineering 27 Mahindra & Mahindra Ltd. -- Manufacturing 28 Maruti Suzuki India Ltd.--Automobiles - 4 Wheelers
Contd...
73
Contd... Sl. No.
Name of Security
34 Reliance Communications Ltd.-Telecommunication - Services 35 Reliance Capital Ltd.-Finance 36 Reliance Industries Ltd.-Refineries 37 Reliance Infrastructure Ltd.--Power 38 Reliance Power Ltd.-Power 39 Steel Authority Of India Ltd--Steel And Steel Products 40 State Bank Of India-Banks 41 Siemens Ltd.--Electrical Equipment 42 Sterlite Industries (India) Ltd.--Metals 43 Sun Pharmaceutical Industries Ltd.-Pharmaceuticals 44 Suzlon Energy Ltd.-Electrical Equipment 45 Tata Motors Ltd.-Automobiles - 4 Wheelers 46 Tata Power Co. Ltd.-Power 47 Tata Steel Ltd.--Steel And Steel Products 48 Tata Consultancy Services Ltd.-Computers - Software 49 Unitech Ltd.-Construction 50 Wipro Ltd.--Computers - Software
Total
Issued Free Float Capital Market Cap( ` Cr.) italisation ( ` crore)
Weightage
Beta
R2
Volatility (%)
Monthly Impact Return Cost (%) (%)
1,032
11,398
0.75%
1.39
0.56
1.27
7.87
0.07
246
8,638
0.57%
1.60
0.62
0.95
-3.87
0.05
3,287
181,677
11.91%
1.11
0.69
1.55
9.73
0.05
225
14,011
0.92%
1.42
0.61
1.26
-0.44
0.06
2,397
5,452
0.36%
1.01
0.49
1.48
8.22
0.06
4,130
14,792
0.97%
1.29
0.61
1.87
15.58
0.06
635
53,550
3.51%
1.16
0.62
0.84
5.26
0.04
67
11,185
0.73%
1.15
0.58
1.46
8.17
0.06
168
34,272
2.25%
1.37
0.53
1.12
8.69
0.06
104
13,468
0.88%
0.65
0.22
1.69
16.39
0.06
311
5,248
0.34%
1.53
0.42
2.04
0.00
0.06
480
20,574
1.35%
1.23
0.36
3.23
6.54
0.05
237
22,473
1.47%
0.76
0.44
1.79
13.23
0.06
887
38,599
2.53%
1.40
0.50
1.69
10.05
0.05
196
39,229
2.57%
0.83
0.38
1.26
2.47
0.06
478
9,873
0.65%
1.70
0.49
1.67
2.29
0.07
294
21,084
1.38%
0.76
0.35
1.38
4.35
0.07
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-March2010 * 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
74
Table 4-9 : Composition of CNX NIFTY Junior Index - as on March 31, 2010 Sl. No.
1
Name of Security
Issued Free Float WeightCapital Market Capiage talisation for March 2010 (%) ( ` cr.) ( ` cr.)
Beta
R2
Volatil- Returns Impact ity Cost
(%)
(%)
(%)
Aditya Birla Nuvo Ltd. -Textiles - Synthetic Adani Enterprises Ltd. --Trading
103
5,036
1.72%
1.13
0.49
0.91
7.62
0.09
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
Bharat Electronics Ltd. -Electronics - Industrial 10 Bharat Forge Ltd. -Castings/Forgings 11 Biocon Ltd. -Pharmaceuticals
80
4,253
1.45%
0.65
0.29
1.47
10.09
0.10
45
3,173
1.09%
1.08
0.32
2.19
3.54
0.10
100
2,223
0.76%
0.85
0.31
1.54
8.28
0.08
410
4,512
1.54%
0.93
0.45
1.68
4.38
0.08
2
9
12 Canara Bank --Banks 13 Colgate Palmolive (India) Ltd. --Personal Care 14 Container Corporation of India Ltd. --Travel And Transport
14
4,500
1.54%
0.33
0.14
1.05
-1.88
0.09
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 17 Cummins India Ltd. -Diesel Engines 18 Dr. Reddy’s Laboratories Ltd. --Pharmaceuticals 19 Federal Bank Ltd. -Banks 20 Glaxosmithkline Pharmaceuticals Ltd. -Pharmaceuticals 21 Glenmark Pharmaceuticals Ltd. -Pharmaceuticals 22 GMR Infrastructure Ltd. --Construction 23 Housing Development and Infrastructure Ltd. --Construction 24 Hindustan Petroleum Corporation Ltd. -Refineries
128
9,889
3.38%
1.03
0.42
2.19
9.67
0.12
40
4,980
1.70%
0.73
0.31
1.10
12.50
0.15
84
15,973
5.46%
0.43
0.15
1.35
11.61
0.07
171
4,569
1.56%
0.85
0.41
1.79
3.29
0.11
85
7,429
2.54%
0.02
0.00
0.95
3.98
0.11
27
3,739
1.28%
0.97
0.31
2.20
6.38
0.09
733
5,835
2.00%
1.23
0.56
1.79
14.42
0.08
346
5,115
1.75%
1.97
0.64
1.85
-5.28
0.07
339
5,274
1.80%
0.46
0.12
1.45
-8.16
0.08
Contd...
75
Contd... Sl. No.
Name of Security
Issued Free Float WeightCapital Market Capiage talisation for March 2010 (%) ( ` cr.) ( ` cr.)
Beta
R2
Volatil- Returns Impact ity Cost
(%)
(%)
(%)
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 28 Indian Hotels Co. Ltd. --Hotels 29 Indian Overseas Bank --Banks 30 JSW Steel Ltd. --Steel And Steel Products 31 Kotak Mahindra Bank Ltd. --Banks 32 LIC Housing Finance Ltd. --Finance - Housing 33 Lupin Ltd. -Pharmaceuticals 34 United Spirits Ltd. -Brew/Distilleries 35 Moser Baer India Ltd. -Computers - Hardware 36 Mphasis Ltd. -Computers - Software 37 Mangalore Refinery & Petrochemicals Ltd. -Refineries 38 Mundra Port and Special Economic Zone Ltd. -Travel And Transport 39 Oracle Financial Services Software Ltd. -Computers - Software 40 Patni Computer Systems Ltd. --Computers Software 41 Power Finance Corporation Ltd. -Financial Institution 42 Reliance Natural Resources Ltd. --Gas
738
3,193
1.09%
1.68
0.61
1.66
-3.11
0.08
72
5,213
1.78%
1.03
0.38
2.21
14.12
0.10
545
1,942
0.66%
1.19
0.53
1.49
4.25
0.09
187
12,700
4.34%
1.54
0.52
1.73
15.36
0.06
348
12,082
4.13%
1.42
0.66
1.51
0.52
0.07
95
5,251
1.80%
1.02
0.37
2.59
15.84
0.06
89
7,644
2.62%
0.26
0.06
1.53
8.44
0.08
126
11,299
3.87%
1.03
0.42
2.02
-2.42
0.08
168
1,028
0.35%
1.20
0.46
1.94
-3.76
0.10
210
5,118
1.75%
0.62
0.17
1.46
-6.41
0.09
1,753
1,527
0.52%
1.08
0.35
1.09
2.83
0.09
401
5,998
2.05%
0.84
0.36
1.79
17.18
0.07
42
3,758
1.29%
0.78
0.31
0.64
2.80
0.07
26
3,694
1.26%
0.78
0.17
2.47
12.55
0.08
1,148
3,031
1.04%
0.87
0.41
1.72
3.22
0.10
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 46 Tata Teleservices (Maharashtra) Ltd. -Telecommunication - Services 47 UltraTech Cement Ltd. --Cement And Cement Products 48 Union Bank of India -Banks
122
1,759
0.60%
1.08
0.29
1.35
-4.24
0.06
1,897
1,000
0.34%
0.96
0.38
1.54
1.72
0.12
124
6,501
2.22%
0.63
0.28
1.41
11.04
0.12
505
6,580
2.25%
0.71
0.32
1.58
14.29
0.08
Contd...
76
Contd... Sl. No.
Name of Security
Issued Free Float WeightCapital Market Capiage talisation for March 2010 (%) ( ` cr.) ( ` cr.)
49 United Phosphorous Ltd. --Pesticides And Agrochemicals 50 Zee Entertainment Enterprises Ltd. --Media & Entertainment Total
Beta
R2
Volatil- Returns Impact ity Cost
(%)
(%)
(%)
88
4,723
1.62%
0.98
0.40
1.81
-1.45
0.11
43
6,811
2.33%
0.74
0.20
2.58
8.60
0.09
292,316 100.00%
1.00
--
0.77
6.67
0.09
15,731
* 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-March2010 * 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
1,525,162
100.00
Total
77
Table 4-11 : S&P CNX NIFTY Index* Month & Year
Open
High
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
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
3023.85
5329.55
2965.70
5249.10
1.88
22.33
1995-96 (Nov.-Mar.)
2008-09
2009-2010
Low
Close
Volatility (%)
Price To Earning Ratio#
* S&P CNX Nifty commenced from November 3, 1995 # At the end of the period Note : Volatility is calculated as standard deviation of the Natural Log of returns for the respective month/ year
78
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 period Note : Volatility is calculated as standard deviation of the Natural Log of returns for the respective month/ year
79
Table 4-13 : Performance of NSE Indices during the year 2009-10 Indices
Record high
Date
Value S&P CNX Nifty
Closing Average index values Daily (31-03-10) Volatility (%)
Y-o-Y Returns %
5329.55
29/Mar/10
5249.10
1.88
73.76
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
CNX Nifty Junior
* Closing Record High, Other - Record Intra-day High Note : 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) No. of Trades
Trading Value (
2007-08
Exchange traded funds (ETF’s)
` cr.)
No. of Trades
(US $ mn.)
Trading Value (
` cr.)
(US $ mn.)
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
40,237
210.95
41.40
1,038,057
4,400.50
863.69
510
1.02
0.23
102,901
353.37
78.28
2008-09 Apr-09
Contd...
80
Contd... Month & Year
Mutual Funds (MF’s) No. of Trades
Exchange traded funds (ETF’s)
Trading Value (
` cr.)
No. of Trades
(US $ mn.)
Trading Value (
` 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
5,485
58.33
12.92
1,272,415
6,105.74
1,352.62
2009-2010
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.
81
s n d i n y u a F P
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82
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8 8 8 9 0 0 0 - - - 0 t v c c o e n a O N D J
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83
84
Wholesale Debt Market Segment
5
86
Wholesale Debt Market Segment
5
The Exchange started its trading operations in June 1994 by enabling the Wholesale Debt Market (WDM) segment of the Exchange. This segment provides a trading platform for a wide range of fixed income securities that includes Central government securities, treasury bills (T-bills), state development loans (SDLs), bonds issued by public sector undertakings (PSUs), floating rate bonds (FRBs), zero coupon bonds (ZCBs), index bonds, commercial papers (CPs), certificates of deposit (CDs), corporate debentures, SLR and non-SLR bonds issued by financial institutions (FIs), bonds issued by foreign institutions and units of mutual funds (MFs). To further encourage wider participation of all classes of investors, including the retail investors, the Retail Debt Market segment (RDM) was launched on January 16, 2003. This segment provides for a nation wide, anonymous, order driven, screen based trading system in government securities. In the first phase, all outstanding and newly issued central government securities were traded in the retail debt market segment. Other securities like state government securities, T-bills etc. will be added in subsequent phases.
Trading Mechanism The WDM trading system, known as NEAT (National Exchange for Automated Trading), is a fully automated screen based trading system that enables members across the country to trade simultaneously with enormous ease and efficiency. It supports an anonymous order driven market which operates on a price/time priority and provides tremendous flexibility to users in terms of orders with various time/price/quantity related conditions that can be placed on the system. It also provides on-line market information like total order depth, best buys and sells available, quantity traded, the high, low and last traded price for securities are available at all points of time. The WDM Trading system provides two market sub-types: continuous market and negotiated market. In the continuous market, the buyer and seller do not know each other and they put their best buy/sell orders, which are stored in order book with price/time priority. If orders match, it results into a trade. The trades in WDM segment are settled directly between the participants, who take an exposure to the settlement risk attached to any unknown counter-party. In the NEATWDM 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 counterparty risk associated with the counter-party to trade. A trade does not take place if both the buy/ sell participants do not invoke the counter-party exposure limit in the trading system. In the negotiated market, the trades are normally decided by the seller and the buyer outside the exchange, and reported to the Exchange through a trading member for approval. Thus, deals negotiated or structured outside the exchange are disclosed to the market through NEAT-WDM system. In negotiated market, as buyers and sellers know each other and have agreed to trade, no counter-party exposure limit needs to be invoked.
87
Market Performance Turnover
The trading volume on the WDM Segment of the Exchange witnessed a year on year increase of 67.00% from ` 563,816
`
335,952 crore (US $ 65,937 million) during 2008-09 to
crore (US $ 124,904 million) during 2009-10. The average daily trading volume also
accelerated from ` 1,412 crore (US $ 277 million) during 2008-09 to ` 2,359 crore (US $ 523 million) in fiscal 2009-10. The highest recorded WDM trading volume of ` 13,912 crore ( US $ 3,206 million) was registered on August 25, 2003. The business growth of the WDM segment is presented in Table 5-1 and Chart 5-1.
Chart 5-1 : Business Growth of WDM Segment
The transactions in government securities accounted for a substantial share of 58.15 % during 2009-10 on the WDM segment. The details of transactions in different securities are presented in Table 5-2. and Chart 5-2a There were no repo transactions recorded from the fiscal 2005-06 onwards till 2009-10. The participant-wise distribution of WDM trades is presented in Table 5-3 and Chart 5-2(b). The trading members accounted for 49.23 % of the total WDM trades followed by foreign banks which held a share of 23.67 %. Share of Indian banks in WDM trades increased to 19.84 % during 2009-10 as compared with its share of 18.11 % in the corresponding period last year.
88
Chart 5-2 (a) : Security-wise Distribution of WDM Trades (2009-10)
Chart 5-2 (b) : Participant-wise distribution of WDM trades (2009-10)
The share of top ‘N’ securities/trading members/participants in turnover in WDM segment is presented in Table 5-4. The share of top ‘5’ securities decreased from 31.31 % in 2008-09 to 24.19 % in 2009-10. The share of top ‘50’ and top ‘100’ securities accounted for 65.63% and 77.89% respectively in the current year.
89
Market Capitalisation
Market capitalisation of the WDM segment has witnessed an increase of 11.15 % from ` 2,848,315 crore (US $ 559,041 million) as on March 31, 2009 to ` 3,165,929 crore (US $ 701,358 million) as on March 31, 2010. Central Government securities accounted for the largest share of the market capitalisation with 61.61%. The details of market capitalisation of WDM securities are presented in Table 5-5.
Transaction Charges The Exchange has waived the transaction charges for the Wholesale Debt Market segment of the Exchange for the period April 1, 2010 to March 31, 2011.
Settlement NSE currently allows settlement periods ranging from same day (T+0) settlement to a maximum of (T+2) for non-government securities while settlement of all outright secondary market transactions in government securities was standardized to T+1. In case of repo transactions in government securities, first leg can be settled either on T+0 basis or T+1 basis. In case of government securities, the actual settlement of funds and securities are effected directly between participants or through Reserve Bank of India (RBI). Trades in government securities are reported to RBI-SGL through the Negotiated Dealing System (NDS) of RBI, and Clearing Corporation of India Limited (CCIL) provides settlement guarantee for transactions in government securities including repos. The trades are settled on a net basis through the DvP-III system. In the DvP-III, the settlement of Securities and Funds are carried out on a net basis. For securities other than government securities and T-bills, trades are settled on a gross basis directly between participants on delivery versus payment basis. On the scheduled settlement date, the Exchange provides data/information to the respective member/participant regarding trades to be settled on that day with details like security, counter party and consideration. The settlement details for non-government securities, i.e. certificate no., Cheque no., constituent etc. are reported by the member/participant to the Exchange. The Exchange closely monitors the settlement of transactions through the reporting of settlement details by members and participants. In case of deferment of settlement or cancellation of trade, participants are required to seek prior approval from the Exchange. For any dispute arising in respect of the trades or settlement, the exchange has established arbitration mechanism for resolving the same.
FIMMDA-NSE MIBID/MIBOR A reference rate is an accurate measure of the market price. In the fixed income market, it is an interest rate that the market respects and closely matches. On these lines, NSE has been computing and disseminating the NSE Mumbai Inter-bank Bid Rate (MIBID) and NSE Mumbai Interbank Offer Rate (MIBOR) for the overnight money market from June 15, 1998, the 14-day MIBID/ MIBOR from November 10, 1998, the 1 month and 3 month MIBID/MIBOR from December 1, 1998 and the 3 day MIBID/MIBOR from, from June 06, 2008 which is calculated and disseminated on every last working day of the week. In view of the robust methodology of computation of these
90
rates and their extensive use by market participants, these have been co-branded with Fixed Income and Money Market Dealers Association (FIMMDA) from March 4, 2002. These are now known as FIMMDA-NSE MIBID/MIBOR. These are presented in Table 5-6. The Chart 5-3 presents overnight MIBID/MIBOR for 2009-10.
Chart 5-3 : Overnight MIBID/MIBOR Rates, 2009-10 from 2 April 2009 to 31st March 2010
FIMMDA-NSE MIBID/MIBOR are based on rates polled by NSE from a representative panel of 33 banks /primary dealers. Overnight Rates for saturdays is calculated and disseminated at 1030Hrs (IST). The 3 day rates are polled and processed on the last working day of the week. The rates are broadcast through NEAT-WDM trading system immediately on release and also disseminated through websites of NSE and FIMMDA , through leading information vendors ,financial dailies and email. The FIMMDA-NSE MIBID/MIBOR is used as a benchmark rate for majority of deals struck for interest rate swaps, forward rate agreements, floating rate debentures and term deposits.
Zero Coupon Yield Curve Keeping in mind the requirements of the banking industry, financial institutions, mutual funds, insurance companies, etc. that have substantial investment in sovereign papers, NSE disseminates a ‘Zero Coupon Yield Curve’ (NSE Zero Curve) to help in valuation of securities across all maturities irrespective of its liquidity in the market. This product has been developed by using Nelson-Siegel functional form to estimate the term structure of interest rate at any given point of time and been successfully tested by using daily WDM trades data. This is being disseminated daily. The ZCYC depicts the relationship between spot interest rates in the economy and the associated term to maturity. It provides daily estimates of the term structure of interest rates using information on secondary market trades in government securities from the WDM segment. The term structure forms the basis for the valuation of all fixed income instruments. Modelled as a
91
series of cashflows due at different points of time in the future, the underlying price of such an instrument is calculated as the net present value of the stream of cashflows. Each cashflow, in such a formulation, is discounted using the interest rate for the associated term to maturity; the appropriate rates are read off the estimated ZCYC. Once estimated, the interest rate-maturity mapping is used to compute underlying valuations even for securities that do not trade on a given day. Changes in the economy cause shifts in the term structure, changing the underlying valuations of fixed income instruments. The daily ZCYC captures these changes, and is used to track the value of portfolios of government securities on a day-to-day basis. Chart 5-4 plots the spot interest rates at different maturities for the year 2009-10
Chart 5-4 : Zero Coupon Yield Curve, 2009-10
NSE-VaR System NSE has developed a VaR system for measuring the market risk inherent in Government of India (GOI) securities. NSE-VaR system builds on the NSE database of daily yield curves (ZCYC) and provides measures of VaR using 5 alternative methods (variance-covariance (normal), historical simulation method, weighted normal, weighted historical simulation and extreme value method). Together, these 5 methods provide a range of options for market participants to choose from. NSE-VaR system releases daily estimates of security-wise VaR at 1-day and multi-day horizons for securities traded on WDM segment of NSE and all outstanding GoI securities with effect from January 1, 2002. Participants can compute their portfolio risk as weighted average of security-wise VaRs, the weights being proportionate to the market value of a given security in their portfolio. 1-day VaR (99%) measure for GoI Securities traded on NSE-WDM on March 31, 2010 is presented in Table 5-7.
92
GOI-Bond Index The increased activity in the government securities market in India and simultaneous emergence of mutual (gilt) funds has given rise to the need for a well defined Bond Index to measure returns in the bond market. The NSE-Government Securities Index prices components off the NSE Benchmark ZCYC, so that the movements reflect returns to an investor on account of change in interest rates only, and not those arising on account of the impact of idiosyncratic factors. The index provides a benchmark for portfolio management by various investment managers and gilt funds. It also forms the basis for designing index funds and for derivative products such as options and futures. Some of the salient features of this index are: •
The base date for the index is 1st January 1997 and the base date index value is 100
•
The index is calculated on a daily basis from 1st January 1997 onwards; weekends and holidays are ignored.
•
The index uses all Government of India bonds issued after April 1992. These were issued on the basis of an auction mechanism that imparted some amount of market-relatedness to their pricing. Bonds issued prior to 1992 were on the basis of administered interest rates.
•
Each day, the prices for all these bonds are estimated off the NSE Benchmark-ZCYC for the day.
•
The constituents are weighted by their market capitalisation.
•
Computations are based on arithmetic and not geometric calculations.
•
The index uses a chain-link methodology i.e. today’s values are based on the previous value times the change since the previous calculations. This gives the index the ability to add new issues and remove old issues when redeemed.
•
Coupons and redemption payments are assumed to be re-invested back into the index in proportion to the constituent weights.
•
Both the Total Returns Index and the Principal Returns Index are computed.
•
The indices provided are: Composite, 1-3, 3-8, 8+ years, TB index, GS index
93
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s r e h t O
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5 7 2 , 2 3
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2 4 8 , 4 2 1
3 3 2 , 5 0 1
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1 5 7 , 3
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5 4 1 , 3
4 3 0 , 3
3 4 6 , 2
6 2 0 , 3
9 2 7 , 7
2 5 3 , 7 2
6 1 7 , 4 8
6 7 5 , 4 8
1 9 8 , 2 8 2
2 5 9 , 0 9 3
5 0 1 , 2 0 9
8 1 5 , 0 0 0 , 1
5 0 7 , 8 1 2 , 1
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3 6 5 , 5 4 3
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7 9 6 9 9 1
8 9 7 9 9 1
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7 3 . 1 1
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6 1 . 4 1
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2 6 0 6 4 2 4 0 3 3 0 9 2 y s 2 6 7 2 5 4 9 9 3 5 5 r r 0 1 1 0 6 4 1 5 0 0 5 8 8 1 . . . . . . . . . . . . . 9 e a l . 2 . 9 . 2 . 6 . 2 . 5 . 9 . 1 . 0 . 7 . 8 . 0 1 6 2 4 9 2 2 2 7 8 1 9 6 1 2 2 7 5 5 6 7 7 7 4 a m 1 1 1 2 2 2 1 1 2 1 1 1 1 1 i r e P D
/ s 3 0 1 0 3 8 8 6 7 6 4 2 0 6 7 5 0 3 0 6 1 1 7 5 8 s e 4 6 8 3 9 1 1 1 7 5 1 9 7 8 7 5 4 8 0 5 9 4 8 1 7 F t . . . . . . . . . . . . . . . . . . . . . . . . . a 6 7 3 4 4 4 4 4 3 4 5 3 2 1 0 1 3 2 2 1 1 2 2 3 1 M / r s o I F p r o C g s n r i e d b a r m T e M
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l r a e t o v T o n r u T
1 8 7 , 6
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3 6 4 , 1
3 8 1 9 5 0 9 6 7 0 6 0 1 5 5 0 8 1 7 6 6 1 5 6 7 9 0 7 8 3 1 9 1 0 9 7 2 0 0 4 9 3 4 6 0 1 7 6 4 6 2 0 7 4 2 4 4 0 0 0 9 1 4 6 2 2 2 7 6 9 1 1 , , , , , , , , , , , , , , , , , , , , , , , , 4 5 5 4 5 2 5 3 5 1 7 5 3 4 3 5 5 4 5 5 0 2 8 7 1 2 2 4 7 2 1 9 1 6 4 1 1 1 1 1
s 0 9 8 5 4 1 6 2 6 3 2 9 3 1 2 4 2 7 6 7 5 6 9 7 8 n k 6 6 8 8 2 6 4 7 3 3 1 7 3 1 4 1 7 8 7 5 1 6 2 4 1 a i n 9 5 , 6 , 8 , 4 , 9 , 7 , 6 , 3 , 5 , 2 , 4 , 0 , 8 d a , 1 , 8 , 2 , 0 , 7 , 0 , 0 , 4 , 4 , 0 , 2 , 3 2 5 4 9 3 6 4 8 5 3 7 4 n B 4 4 9 4 3 6 3 8 9 6 3 I 1 4 4 2 4 4 1 7 6 3 5 ) . 1 1 3 4 4 2 1 r C `
n I ( r e v o n r u T
y s 1 8 9 8 1 9 8 8 5 1 9 2 7 2 2 7 9 3 7 2 8 3 4 3 5 r r 3 7 1 4 7 8 1 3 3 4 9 2 0 6 4 4 3 8 1 3 6 0 6 4 e a l 1 5 , 4 , 4 , 0 , 8 , 1 , 4 , 1 , 1 , 0 , 4 , 9 , 9 , 2 , 1 , 6 , 8 4 , 2 , 3 , 0 , 8 , 7 a m 2 3 5 9 4 3 5 4 4 4 3 2 i e 1 2 4 1 1 1 2 3 1 1 1 5 9 1 3 2 6 0 4 r 2 2 2 1 1 P D
/ s 6 2 1 4 0 6 5 3 0 4 7 1 6 9 5 9 0 6 8 8 8 2 6 7 3 s e 3 0 1 8 0 1 1 0 9 1 0 4 1 1 3 6 5 0 3 9 3 9 2 5 7 F t 7 2 7 9 4 2 0 6 6 9 a 4 9 6 , , , , , , , , , , , 3 1 2 1 , 6 3 3 3 7 2 , 7 2 M 1 4 5 2 7 9 0 0 5 8 5 / r 1 1 o s 1 1 3 4 6 4 1 I p F r o C g s n r i e d b a r m T e M
r a e Y / h t n o M
98
1 2 9 , 3
e n u J (
7 3 5 7 5 2 9 5 1 5 5 0 6 0 0 4 7 0 0 7 9 4 1 9 8 0 7 2 7 0 7 4 0 2 1 6 0 4 0 0 0 7 8 4 3 5 0 5 7 1 0 3 2 6 , 7 , 9 , 3 , 6 , 6 , 7 , , , , , , 2 , 1 , 6 , 6 , 8 , 6 , 3 , 3 , 6 , 1 , 2 , 9 , 2 9 1 6 6 9 2 5 8 1 2 7 5 7 6 3 9 7 2 7 0 6 7 3 2 1 5 9 2 6 5 0 5 6 1 1 1 1 2 2 4 3 1
5 ) 6 7 8 9 0 1 2 3 4 5 6 7 7 7 7 7 7 7 7 8 8 8 9 h 9 9 9 9 0 0 0 0 0 0 0 0 7 7 0 0 0 0 0 - - - - - - - - - - - - 0 0 0 - 0 - 0 - - - - 0 - 0 - 4 c 5 6 7 8 9 0 1 2 3 4 5 6 - g p t v c n b r r y n l 9 r 9 9 9 9 9 0 0 0 0 0 0 0 a c a o e p u u u a e a 9 9 9 9 9 9 0 0 0 0 0 0 0 e 1 M 1 1 1 1 1 2 2 2 2 2 2 2 A M J J A S O N D J F M
. . . d t n o C
) % n I ( r e v o n r u T
s n k g i e n a r B o F
9 3 8 0 7 5 6 9 0 9 0 9 4 6 0 6 8 0 6 7 7 2 5 8 2 7 7 9 9 4 1 8 5 0 2 1 0 0 4 7 6 4 5 8 3 9 5 9 5 8 6 0 . . . . . . . . . . . . . 2 . . . . . . . . . . . . . 6 . 5 8 6 6 9 9 4 6 0 5 9 7 2 5 8 4 1 5 2 2 3 5 4 3 3 7 0 4 3 3 2 2 2 2 3 1 3 2 1 2 2 2 2 2 2 2 2 1 2 2 2 2 2 2
s n k a i n d a n B I
8 5 2 3 1 4 4 0 0 6 7 6 4 1 5 1 0 6 1 1 1 9 1 6 9 8 4 2 8 1 6 1 4 8 1 8 9 2 8 0 0 6 8 5 0 0 8 5 6 8 1 7 . . . . . . . . . . . . . 1 . . . . . . . . . . . . . 8 . 6 8 8 6 5 8 6 0 1 6 1 8 7 9 8 4 2 7 6 0 2 5 0 2 9 3 6 1 2 1 1 1 1 1 1 2 1 1 2 2 1 1 1 1 2 2 2 1 2 2 1 2 1 1
4 2 1 3 5 2 0 7 0 8 2 0 8 8 7 0 6 9 0 1 0 4 3 9 1 3 y s r r 4 5 4 6 6 2 9 7 5 7 5 6 1 0 7 3 4 8 2 0 2 3 9 4 2 e 6 a l . . . . . . . . . . . . . 5 . . . . . . . . . . . . . 6 . 5 8 4 7 9 3 8 6 9 7 5 3 6 6 4 5 5 4 4 4 5 5 1 3 5 4 8 a m i r e P D
/ s 4 1 5 1 3 5 8 7 0 9 5 0 7 0 8 2 6 1 0 9 4 0 8 2 9 7 3 s e 3 0 7 8 9 9 6 1 2 3 0 5 6 4 9 1 9 5 5 7 4 8 5 4 2 3 6 F t . . . . . . . . . . . . . . . . . . . . . . . . . . . a 2 2 1 1 0 0 0 6 6 4 3 3 4 3 2 3 2 2 2 2 2 2 3 1 2 2 2 M / r s o I F p r o C g s 5 7 3 5 6 1 0 4 3 6 0 3 5 5 9 4 6 7 4 3 7 9 2 1 1 7 3 2 0 0 6 8 4 2 9 8 4 5 9 1 4 6 6 2 6 5 5 6 4 5 5 n r i e 1 . . . . . . . . . . . . . 6 . . . . . . . . . . . . . 2 . d b 8 5 7 7 6 6 0 7 6 8 7 9 0 4 1 7 4 2 8 0 4 8 4 5 8 6 9 3 2 3 4 4 5 3 3 4 4 4 5 5 4 4 4 4 4 5 4 5 5 4 5 a 4 4 r m 3 T e M
) . r C
l r a e t o v T o n r u T
7 3 6 3 5 2 9 6 3 4 5 9 5 2 3 6 8 2 2 4 1 9 7 6 0 8 6 1 9 5 3 4 0 7 6 4 6 1 4 0 5 5 6 6 2 3 7 3 9 6 3 0 6 1 8 6 2 7 5 7 9 1 8 0 9 2 9 6 2 5 2 2 6 7 9 5 0 8 0 8 3 , , , , , , , , , , , , , , , , , , , , , , , , , , , 0 8 8 1 9 9 3 6 5 2 9 5 5 0 4 1 8 8 3 4 7 7 4 7 3 2 9 1 2 1 1 1 1 1 2 4 4 4 4 3 4 4 4 5 3 5 4 6 3 5 3 4 6 8 2 3 5
s n k g i e n a r B o F
0 2 2 2 6 8 7 8 5 7 5 6 6 3 3 2 3 9 8 6 5 8 1 0 7 1 2 8 4 3 0 0 8 4 0 1 8 0 7 6 7 6 3 9 4 5 8 4 3 4 9 3 4 7 1 4 0 9 0 8 8 9 5 5 7 5 5 3 3 6 5 3 8 0 6 2 5 6 1 4 4 , , , , , , , , , , , , , , , , , , , , , , , , , , , 0 9 1 0 0 2 2 8 4 0 4 5 4 8 1 3 6 8 7 7 4 3 5 5 7 7 3 1 1 1 1 1 1 1 3 7 9 1 1 1 1 1
s n k a i n d a n B I
5 3 0 6 8 6 4 4 6 6 8 3 6 1 4 5 0 4 6 8 1 8 6 2 0 3 6 3 3 4 0 8 5 5 5 2 7 8 8 4 5 8 5 9 3 0 4 0 7 5 3 7 3 8 2 5 3 4 8 0 7 7 7 3 9 7 7 1 , 6 , 2 , 7 , 6 , 8 , 0 , 5 , 4 , 9 , 2 , 7 , 8 , , , , , , , , , , , , , 8 , 7 , 7 8 2 8 5 7 3 8 8 7 5 1 7 3 5 3 3 1 3 3 3 9 5 6 0 0 1 1 1 1 6 6 1 1
y s r r e a l m a i r e P D
2 2 9 1 0 4 5 7 1 6 2 4 5 6 6 1 2 7 0 4 4 0 6 1 5 2 6 9 0 3 4 3 6 7 3 2 4 1 1 2 0 7 2 6 9 7 6 5 8 0 0 1 5 9 1 7 8 4 7 3 , 0 , 7 7 , 5 , 5 , 4 , 4 , 5 , 1 , 9 , 3 , 7 , 8 , 4 , 7 , 3 , 0 , 1 , 2 , 4 , 0 , , , , 2 , 1 1 1 1 4 3 2 1 2 1 2 2 1 2 1 3 2 1 1 2 6 4 1 1 2 2 2
/ s s e F t a M / r s I o F p r o C
6 0 1 0 4 9 5 2 5 7 3 3 8 8 0 6 9 6 6 7 7 0 5 0 7 6 9 0 0 6 3 7 0 3 3 3 5 7 0 9 0 6 5 1 8 5 3 6 2 4 1 9 1 6 4 3 3 1 1 1 2 4 0 3 5 2 4 3 2 3 2 9 6 0 8 3 8 7 1 7 6 , , , , , , , , , , , , , , , , , , 1 1 2 1 1 2 1 1 1 1 1 1 1 1 1 1 4 6 1 1
`
n I ( r e v o n r u T
g s 4 6 3 5 6 4 9 5 7 8 7 3 0 4 0 2 4 6 3 9 4 3 9 4 1 6 2 1 8 5 4 8 6 3 4 9 3 7 7 1 7 0 0 5 4 3 6 8 1 0 8 2 9 n r i e 0 0 5 7 7 3 9 4 5 8 3 2 0 0 3 1 9 8 4 8 8 5 5 6 8 6 5 , , , , , , , , , , , , , , , , , , , , , , , , , , d b 7 , 7 5 6 8 5 9 7 8 2 1 1 5 0 3 9 9 1 8 3 3 1 0 1 6 6 a r m 7 2 2 2 2 5 2 1 1 2 1 2 2 3 2 3 1 2 7 0 7 T e 1 2 M 1
. . . d t n o C
r a e Y / h t n o M
0 1 8 9 0 0 8 8 8 8 8 8 8 9 9 9 0 9 9 9 9 9 9 9 0 0 0 2 9 9 - 8 8 0 0 0 0 0 0 0 0 0 1 0 0 - - 0 0 0 0 - - 1 1 0 7 0 - 0 - - - 0 - - - 8 0 - - - 9 - - - 0 - - 0 r y n l g p t v c n b r 0 r y n l g p t v c n b r 0 0 p a u u u e c o e a e a 0 p a u u u e c o e a e a 0 2 A M J J A S O N D J F M 2 A M J J A S O N D J F M 2
99
Table 5-4 : Share of Top ‘N’ Securities/Trading Members/ Participants in Turnover in WDM Segment. Year
In Percent Top 5
Top 10
Top 25
Top 50
Top 100
42.84 57.59 32.93 30.65 26.81 37.11 42.20 51.61 43.10 37.06 43.70 47.42 40.90 39.65 31.31 24.19
61.05 69.46 48.02 46.92 41.89 55.57 58.30 68.50 65.15 54.43 57.51 59.78 51.29 53.31 43.05 35.14
80.46 79.60 65.65 71.25 64.30 82.12 80.73 88.73 86.91 81.58 71.72 72.02 65.82 68.35 60.42 53.05
89.81 86.58 78.32 85.00 78.24 90.73 89.97 94.32 92.74 90.66 80.59 81.04 77.15 79.64 72.45 65.63
97.16 93.24 90.17 92.15 86.66 95.28 95.13 97.19 96.13 95.14 89.55 89.36 86.91 89.55 83.87 77.89
51.99 44.36 30.02 27.17 29.87 32.38 35.17 35.18 31.77 30.72 35.75 39.68 57.75 65.32 69.92 73.72
73.05 68.58 51.27 47.85 50.45 53.41 54.25 58.68 53.71 53.01 56.84 60.63 78.01 80.24 82.89 85.28
95.37 96.10 91.57 83.38 86.55 84.46 86.82 88.36 85.49 86.71 86.74 89.38 96.43 97.60 98.38 97.98
100.00 100.00 99.96 99.82 99.98 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
– – 100.00 100.00 100.00 – – – – – – – – – – –
18.37 29.66 25.27 23.60 22.47 15.54 17.51 17.49 17.27 16.66 16.82 17.5 25.85 28.36 24.08 23.40
27.38 47.15 44.92 38.96 37.39 27.87 28.85 29.25 28.29 25.96 28.64 30.53 40.65 40.64 38.24 36.87
38.40 70.49 67.00 65.59 62.79 52.51 50.64 50.19 49.22 44.25 47.24 53.61 59.99 55.58 51.19 47.64
42.20 76.32 76.33 77.96 79.27 74.76 69.72 69.16 68.14 59.87 61.71 65.84 68.17 61.77 55.34 50.77
– 76.58 77.10 80.22 84.51 81.32 76.78 76.49 75.20 65.17 66.00 67.97 69.09 61.84 55.38 –
Securities
1994-95 1995-96 1996-97 1997-98 1998-99 1999-00 2000-01 2001-02 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09 2009-2010 Trading Members 1994-95 1995-96 1996-97 1997-98 1998-99 1999-00 2000-01 2001-02 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09 2009-2010 Participants 1994-95 1995-96 1996-97 1997-98 1998-99 1999-00 2000-01 2001-02 2002-03 2003-04 2004-05 2005-06 2006-07 2007-08 2008-09 2009-2010
100
s r e h t O
0 5 . 6 1
5 7 . 4 1
s l l i b T
0 2 . 5 1
3 7 0 0 4 1 5 5 4 9 3 8 5 5 9 7 6 0 1 0 0 7 0 1 0 0 8 . 0 . 6 . 1 . 7 . 1 . 0 . 0 . 6 . 0 . 4 . 4 . 2 . . . . . . . . 1 0 4 4 5 2 3 3 3 4 2 5 4 6 5 5 5 6 6 6 6 1
s n a o l e t a t S
s e i t i r u c e S M D W f o n o i t a s i l a t i p a C t e k r a M : 5 5 e l b a T
0 4 . 4 1
7 5 . 8 1
2 4 . 0 2
5 1 . 8 1
9 1 . 6 1
2 6 . 4 1
6 6 1 9 2 8 7 7 9 5 0 4 8 5 5 5 5 4 4 7 . 0 . 2 . 1 . 8 . 2 . 7 . . . . . . . 1 7 7 6 6 8 9 9 9 9 9 9 9 1
) t n e 1 1 7 5 9 2 9 8 1 4 3 7 3 0 c 5 7 6 4 9 4 9 6 1 3 5 2 4 0 r . . . . . . . . . . . . . . e 1 3 6 6 6 7 7 7 8 8 6 5 5 4 p 1 1 1 n i (
7 8 . 4 1
1 5 . 4 1
0 5 . 4 1
5 4 . 4 1
3 6 . 4 1
9 4 . 4 1
4 4 . 4 1
s d n o b U S P
2 8 . 6 1
3 2 . 6 1
7 4 . 4 1
7 3 . 2 1
9 0 7 6 8 4 7 8 6 2 3 4 1 1 3 7 1 5 5 6 6 6 8 2 . 5 . 9 . 2 . 2 . 4 . 6 . 6 . 6 . 0 . 5 . . . . . . . 0 8 7 6 5 4 4 4 5 5 4 4 4 4 4 4 4 1
s e . i t t i v r o u G c e s
7 9 . 9 4
8 4 . 4 5
0 4 . 0 6
1 0 . 8 5
0 2 . 7 5
9 1 . 3 6
5 7 . 4 6
9 3 . 8 6
0 7 . 1 7
2 1 . 6 7
0 9 . 8 7
3 8 . 8 6
1 6 . 7 6
4 2 . 6 6
7 5 . 5 6
9 2 . 6 6
3 6 . 5 6
3 3 . 5 6
4 1 . 5 6
9 3 . 5 6
8 2 . 5 6
) 3 n 6 6 m , 8 $ 3 S U (
8 2 3 , 0 5
0 9 4 , 0 6
8 9 5 , 1 8
8 1 8 , 6 8
6 7 9 , 6 9
8 5 2 , 3 1 1
8 5 2 , 3 1 1
9 1 7 , 5 5 1
6 9 9 , 1 8 1
8 1 2 , 0 8 2
1 1 1 , 4 3 3
5 9 3 , 1 5 3
2 5 4 , 9 0 4
5 3 2 , 1 3 5
3 4 6 , 5 2 4
2 6 2 , 0 3 4
7 0 8 , 0 3 4
1 9 1 , 9 2 4
9 1 8 , 6 3 4
7 4 4 , 2 4 4
8 1 5 , 1 2 1
1 8 1 , 8 5 1
3 8 7 , 7 0 2
2 7 7 , 2 9 2
1 9 1 , 3 4 3
0 7 4 , 1 1 4
3 3 0 , 4 9 4
6 3 8 , 0 8 5
4 9 7 , 6 5 7
1 8 4 , 4 6 8
4 6 8 , 5 1 2 , 1
4 3 7 , 1 6 4 , 1
4 7 5 , 7 6 5 , 1
1 0 8 , 4 8 7 , 1
6 4 3 , 3 2 1 , 2
1 5 6 , 8 6 1 , 2
3 8 1 , 2 9 1 , 2
1 6 9 , 4 9 1 , 2
7 2 7 , 6 8 1 , 2
5 9 5 , 5 2 2 , 2
5 6 2 , 4 5 2 , 2
2 5 0 , 0 2
4 3 3 , 3 2
5 1 9 , 9 2
0 8 3 , 4 5
1 9 0 , 0 7
6 6 6 , 4 7
9 8 9 , 9 7
4 9 8 , 4 8
6 1 0 , 9 8
4 8 0 , 1 6
8 9 6 , 7 8
9 1 5 , 0 9
6 5 9 , 6 0 1
5 6 8 , 7 4 1
6 3 6 , 7 0 2
8 8 4 , 7 0 2
4 5 1 , 0 1 2
8 4 6 , 9 0 2
3 4 8 , 7 0 2
7 1 1 , 0 1 2
8 0 7 , 3 1 2
6 7 4 , 8 1
9 2 1 , 7 1
2 5 4 , 8
0 6 4 , 3 1
7 9 4 , 7 1
2 9 2 , 1 1
5 4 3 , 5 1
5 2 7 , 7 1
9 4 8 , 3 2
9 1 9 , 4 3
2 9 6 , 2 3
2 0 5 , 3 7
6 8 1 , 0 7
3 8 1 , 5 1 1
2 6 5 , 1 1 1
0 8 2 , 0 1 1
9 6 4 , 6 2 1
1 6 0 , 3 3 1
8 8 4 , 3 3 1
8 6 7 , 3 3 1
7 8 1 , 5 3 1
7 ( 3 3 6 8 , 8 , 1 5
0 5 8 , 3 1
1 9 8 , 8 1
9 8 9 , 3 2
6 1 5 , 0 3
7 7 4 , 9 3
4 2 6 , 4 4
5 8 3 , 1 6
4 9 0 , 2 7
0 4 3 , 9 7
8 0 2 , 3 2 2
7 2 9 , 1 4 2
7 4 8 , 9 4 2
1 6 6 , 5 1 3
6 1 7 , 4 1 3
2 7 9 , 7 1 3
5 9 0 , 7 1 3
7 2 8 , 9 1 3
7 4 4 , 2 2 3
5 7 4 , 5 2 3
s d n o b U S P
9 3 4 , 0 2
5 7 6 , 5 2
4 7 0 , 0 3
1 1 2 , 6 3
3 2 3 , 5 3
4 9 9 , 4 3
7 5 3 , 9 3
5 6 3 , 6 3
4 4 9 , 9 3
3 8 3 , 8 3
2 3 8 , 6 5
8 9 3 , 8 6
6 1 7 , 8 8
8 2 6 , 9 8
8 6 2 , 6 9
4 2 5 , 8 9
5 4 8 , 8 9
5 8 0 , 1 0 1
0 0 2 , 1 0 1
6 6 8 , 3 0 1
0 3 3 , 8 0 1
s e . i t t i v r o u G c e s
9 1 7 , 0 6
5 7 1 , 6 8
2 9 4 , 5 2 1
0 3 8 , 9 6 1
0 9 2 , 6 9 1
2 0 0 , 0 6 2
5 6 8 , 9 1 3
8 2 2 , 7 9 3
1 0 6 , 2 4 5
2 0 0 , 8 5 6
2 0 3 , 9 5 9
7 0 1 , 6 0 0 , 1
9 8 7 , 9 5 0 , 1
8 7 2 , 2 8 1 , 1
9 1 2 , 2 9 3 , 1
3 4 6 , 7 3 4 , 1
3 4 7 , 8 3 4 , 1
2 7 0 , 4 3 4 , 1
9 6 3 , 4 2 4 , 1
7 9 3 , 5 5 4 , 1
5 6 5 , 1 7 4 , 1
4 9 n u J
5 6 7 8 9 0 1 2 3 4 5 6 7 8 8 9 - 9 - 9 - 9 - 9 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 r r r r r r r r r r r r r r a a a a a a a a a a a a a a r p M M M M M M M M M M M M M M A
8 0 y a M
8 0 n u J
8 0 l u J
8 0 g u A
8 0 p e S
l a t o T
l a t o T
s r e h t O
s l l i b T s n a o l e t a t S
r a e Y / h t n o M
) r c `
. . . d t n o C
101
s r e h t O
0 3 5 4 4 9 2 4 4 5 6 3 4 4 . . . . . . . 9 9 9 9 0 0 0 1 1 1
s l l i b T
8 8 2 7 4 8 1 7 3 8 3 5 5 8 9 5 2 9 0 9 3 2 1 1 4 8 7 4 6 5 3 2 2 2 2 2 . . . . . . . . . . . . . . . . . . 6 5 5 5 5 5 5 4 4 4 4 4 4 4 4 4 4 4
s n a o l e t a t S
) t n e 2 c 9 r . e 3 p 1 n i (
3 2 . 3 1
1 4 . 3 1
3 8 . 4 1
8 1 . 4 1
4 3 . 4 1
1 2 . 4 1
0 5 . 0 1
2 3 . 4 1
0 2 . 1 1
1 4 . 5 1
1 1 . 1 1
2 6 . 5 1
7 0 . 1 1
3 8 . 5 1
5 1 . 1 1
6 0 . 6 1
9 1 . 1 1
9 2 . 6 1
7 4 . 1 1
7 4 . 6 1
2 7 . 1 1
1 8 . 6 1
0 0 . 2 1
6 9 . 6 1
8 5 6 9 1 5 2 9 4 5 7 1 3 6 8 6 9 5 6 4 4 4 4 8 8 9 9 9 1 1 . 5 . 4 . 6 . 6 . 5 . . . . . . . . . . . . 1 . 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 5 5 5
s e . i t t i v r o u G c e s
3 9 . 5 6
0 4 . 6 6
5 7 . 7 6
6 1 . 7 6
0 5 . 6 6
5 9 . 4 6
7 5 . 5 6
4 9 . 5 6
3 1 . 6 6
4 2 . 6 6
0 9 . 3 6
0 9 . 3 6
3 8 . 3 6
6 5 . 3 6
4 2 . 3 6
5 6 . 2 6
6 0 . 2 6
1 6 . 1 6
) 3 n 3 2 , m 7 $ 5 4 S U (
5 0 4 , 9 7 4
0 3 8 , 3 2 5
5 1 1 , 0 4 5
8 1 5 , 1 5 5
1 4 0 , 9 5 5
4 1 0 , 2 6 6
1 6 4 , 6 6 6
4 1 4 , 1 8 6
0 9 6 , 0 9 6
5 5 0 , 8 5 6
8 0 0 , 0 7 6
2 1 7 , 0 8 6
8 7 5 , 6 8 6
2 4 3 , 3 9 6
0 1 2 , 5 9 6
3 7 5 , 8 9 6
8 5 3 , 1 0 7
4 0 6 , 9 2 3 , 2
9 6 5 , 2 4 4 , 2
6 1 9 , 8 6 6 , 2
8 8 8 , 1 5 7 , 2
7 8 9 , 9 0 8 , 2
5 1 3 , 8 4 8 , 2
2 3 3 , 8 8 9 , 2
7 0 4 , 8 0 0 , 3
5 0 9 , 5 7 0 , 3
6 7 7 , 7 1 1 , 3
9 5 4 , 0 7 9 , 2
7 1 4 , 4 2 0 , 3
3 3 7 , 2 7 0 , 3
4 1 2 , 9 9 0 , 3
7 4 7 , 9 2 1 , 3
7 7 1 , 8 3 1 , 3
0 6 3 , 3 5 1 , 3
9 2 9 , 5 6 1 , 3
9 5 9 , 8 1 2
2 7 3 , 0 3 2
2 7 8 , 4 5 2
4 6 3 , 5 6 2
8 3 5 , 0 9 2
7 6 8 , 8 9 2
6 2 5 , 1 1 3
6 2 6 , 1 1 3
9 1 8 , 2 2 3
7 7 3 , 7 2 3
1 6 6 , 2 3 3
9 3 1 , 6 3 3
2 4 0 , 0 4 3
4 4 4 , 5 4 3
2 7 3 , 0 5 3
4 2 0 , 0 6 3
0 3 6 , 9 6 3
3 2 8 , 9 7 3
0 8 6 , 1 4 1
4 5 1 , 6 4 1
8 8 8 , 1 4 1
1 2 1 , 5 4 1
6 3 3 , 4 4 1
7 1 6 , 7 4 1
1 9 5 , 1 6 1
1 3 5 , 6 4 1
1 9 3 , 5 4 1
6 1 8 , 9 3 1
2 9 4 , 7 3 1
0 8 5 , 7 3 1
5 1 6 , 3 3 1
8 3 5 , 2 3 1
8 8 3 , 4 3 1
4 2 2 , 3 3 1
6 8 1 , 3 3 1
6 9 6 , 5 3 1
3 1 4 0 2 8 ( 8 1 2 2 0 2 6 8 2 9 7 2 8 3 6 , , , , , , , 3 4 2 4 4 6 2 2 3 4 6 7 2 2 3 3 3 3 3 4 4
1 7 3 , 1 3 4
6 4 9 , 6 3 4
0 1 6 , 6 4 4
1 3 7 , 7 5 4
2 9 3 , 2 7 4
3 6 3 , 6 8 4
2 5 6 , 7 9 4
2 2 7 , 9 0 5
4 3 9 , 6 1 5
1 9 0 , 0 3 5
6 9 9 , 6 3 5
l a t o T
s r e h t O
s l l i b T s n a o l e t a t S
102
2 9 . 2 1
0 5 . 0 1
s d n o b U S P
l a t o T
. . . d t n o C
3 6 . 3 1
6 3 . 0 1
) r c `
s d n o b U S P
2 2 9 , 8 0 1
8 7 1 , 1 1 1
5 6 1 , 9 1 1
0 7 0 , 9 2 1
9 0 6 , 9 2 1
9 9 4 , 9 2 1
3 9 9 , 1 3 1
9 3 1 , 5 3 1
7 8 5 , 6 3 1
8 1 7 , 8 3 1
2 7 5 , 4 4 1
4 2 6 , 5 4 1
4 6 3 , 1 5 1
7 7 5 , 3 5 1
7 2 9 , 5 5 1
6 5 8 , 1 6 1
0 9 5 , 3 6 1
9 7 9 , 2 6 1
s e . i t t i v r o u G c e s
6 2 8 , 5 3 5 , 1
2 4 9 , 1 2 6 , 1
0 7 2 , 8 0 8 , 1
8 2 1 , 8 4 8 , 1
4 8 6 , 8 6 8 , 1
1 7 9 , 9 4 8 , 1
4 3 5 , 9 5 9 , 1
0 4 7 , 3 8 9 , 1
3 6 1 , 4 3 0 , 2
5 5 2 , 5 6 0 , 2
3 0 0 , 8 9 8 , 1
1 8 6 , 2 3 9 , 1
9 4 3 , 1 6 9 , 1
2 0 0 , 0 7 9 , 1
9 3 3 , 9 7 9 , 1
0 4 1 , 6 6 9 , 1
2 6 8 , 6 5 9 , 1
6 3 4 , 0 5 9 , 1
8 0 t c O
8 0 v o N
8 0 c e D
9 0 n a J
9 9 9 9 0 0 0 - - 0 - r y b r e a p a F M A M
9 0 n u J
9 0 l u J
9 0 g u A
9 0 p e S
9 0 t c O
9 0 v o N
9 0 c e D
0 1 n a J
0 0 1 1 - b r e a F M
r a e Y / h t n o M
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.
MIBID
MIBID
MIBOR
MIBOR
14 DAY AT 11.30 a.m. MIBID
MIBOR
1 MONTH RATE AT 11.30 a.m.
3 MONTH RATE AT 11.30 a.m.
MIBID
MIBID
MIBOR
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 3 day
14 Day 1 month 3 month
: Disseminated since June 15, 1998. : disseminated since June 06, 2008 is calculated and disseminated on every last working day of the week The 3 day rates in the table are rates of the last working day of the week at the end of the month : Disseminated since November 10, 1998. : Disseminated since December 1, 1998. : Disseminated Since December 1, 1998.
Table 5-7 : 1-day Value-at-Risk (99%) for Government of India Securities Traded as on March 31, 2010 Security Security Type Name
Issue Name
Normal Weighted Historical Normal Simulation
Weighted Historical Simulation
EVT
Clean Accrued_ Price (off Interest NSE-ZCYC)
GS
CG2010
12.25%
0.31
0.584
0.398
0.508
0.337
102.279
2.9534
GS
CG2010
7.55%
0.164
0.315
0.207
0.271
0.176
100.565
2.8338
GS
CG2011
11.50%
0.845
1.333
1.040
0.914
0.913
108.148
1.7889
GS
CG2012
7.40%
0.985
1.489
1.265
1.049
1.065
102.821
3.0422
GS
CG2013
7.27%
1.108
1.669
1.340
1.133
1.12
101.313
0.5654
GS
CG2016
7.02%
1.302
1.626
1.391
2.353
1.141
96.48
0.858
GS
CG2016
7.59%
1.263
1.643
1.396
1.497
1.061
99.701
3.5631
TB
182D
240610
0.28
0.530
0.357
0.459
0.306
99.242
0
TB
364D
180610
0.264
0.500
0.333
0.432
0.285
99.304
0
TB
364D
250311
0.75
1.234
0.918
0.921
0.819
95.553
0
TB
91D
160410
0.062
0.120
0.082
0.104
0.067
99.876
0
TB
91D
180610
0.264
0.500
0.333
0.432
0.285
99.304
0
103
104
Futures & Options Segment
6
106
6
Futures & 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 world 1, 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 S&P CNX Nifty Futures S&P CNX Nifty Options Single Stock Options Single Stock Futures CNX IT Futures & Options Bank Nifty Futures & Options Nifty Midcap 50 Futures & Options Mini Nifty Futures & Options on S&P CNX Nifty Long term Options on S&P CNX Nifty
Date of Launch June 12, 2000 June 4, 2001 July 2, 2001 November 9, 2001 August 29, 2003 June 13, 2005 October 5, 2007 January 1, 2008 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 2
FIA, March 2010 WFE
107
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
108
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
109
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)
110
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 US $ mn
` cr.
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
520,343,617
11,978,985
2,653,740
TOTAL
* 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 .
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Sectorwise Classification of turnover of the Single Stock Futures during 2009-10 Classification
Total Turnover (
Manufacturing
` cr)
Total Turnover ( US $ mn)
1,183,445
401,738
675,955
149,746
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
5,701,312
1,263,209
Petrochemicals Infrastructure
TOTAL
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
112
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 Internet Trading Value Value (
% to Total Trading Value
(US $ mn)
` cr)
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
166,193
36,817
28-Jan-10
Total F&O Traded Value
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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.
114
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) More than ` 7500 crores up to ` 15000 crores (on incremental volume) Exceeding ` 15000 crores (on incremental volume)
` 1.85
each side
` 1.80
each side
` 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
115
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 markedto-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
116
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.
117
•
•
•
•
•
•
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
118
SPAN ® is a registered trademark of the Chicago Mercantile Exchange (CME) used here under license.
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.
119
•
•
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.
120
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) le ss 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
121
Table 6-1 : List of Securities Securi ties 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
Contd...
122
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
G TL
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
H DI L
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
I DEA
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
I TC
02-Jul-01
1125
95
IVRCL INFRAST & PROJ LTD.
IVRCLINFRA
27-May-05
2000
Contd...
123
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
Contd...
124
Contd... 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
125
s n o i t p O x e d n I m r e T g n o L
s n o i t p O d n a s e r u t u F x e d n I r o f n o i t a c i f i c e p S t c a r t n o C : 2 6 e l b a T
s n o i t p O x e d n I i n i M
s e r u t u F x e d n I i n i M
X D I T U F
s n o i t p O x e d n I
X D I T P O
s e r u t u F x e d n I
X D I T U F
s r a l u c i t r a P
126
X D I T P O -
n o i t p i r c s e D y t i r u c e S
y t f i N X N C P & S -
y l t n e e r r h u t c t I a n B s i o E h t S k c a u y l b 2 d o r d ` t e i n f i i m f c u e m o - p i e n s i n m a s i e A m t p o r e u m E i t e h t t a h k a l 1 ` m u n o m i i t n c i u m d y o r l t t n n i e f r r o u c I B E 5 S 0 . A y 0 N b ` d e i f i c e p s s A
0 5 p a c d i M y t f i N / T I X N C / y t f i N k n a B / y t f i N X N C P & S
e h t t a s n h k a a e l p 2 o r ` u E m u n o m i i t n i c u m d y o r l t t n n i e r f r o u c e , i m I B t E S y A b N d e i f i c e p s s A
x e d n I g n i y l r e d n U
n o e i t i z p S O t f c o a r e t l y n t o S C
p e t S e c i r P
y a d i l o h g n i d a r t a s i y a d s r u h T t s a l f i , y a d g n i d a r t g n i d e c e r p e h t r o h t n o m y r i p x e e h t f o y a d s r u h T t s a L
y a D n o i t a r i p x E / g n i d a r T t s a L
y s l r i a c ) e s e e a u e l 2 e D y l i a f c r l y v 6 i & a p t h c a e s l x p t l i e 8 c b s e e e a a y S t D d b T l r , x , s n y e e e n t l i s t r r n n u i i s n a a a u d J a e u J n ( o d y q , a s d a e c e e i 5 e h i n r c ) r s o e i r l o e p a t r a c p b g p h M y x d e n u T ( c e e t i g a y l n d r a p e r u d e n c d u i r n e p a h d t c i e f n i t o c u p e ) g p m e n s o i e r d t c h n c t e a ( r p t h e n t D o n c o A m r a f e h t f o d n % a 0 1 ) o f o w t e A ( g e N h n t c a i n r r o g p m n e i t s s t a a h x r b t e e n n e p h o e O t m h t 3 , g ) o n i t e y p n l o s r u ( e a i c t e i l d s d h r e n a t a p d a b n 2 n u o c y s i l e 6 t d f m e i i i t a h e r c n u d t l a b e o p n e a a p s d m o T n n g e t o n e c s c o n i h a a s d i s t r b e d t i t n a n e e a e e e o g l u d p i l c c n a p e r c a y A r v u D p c g n i d f a o r t % h 0 t 1 n f o o m e A 3 g e N n c a i r r g p n e i t s a a r b e e p h O t
d o i r e e P l c n y C o i t g a i r n i p d x a r E T
s d n a B e c i r P
s l a v r e t n I e c i r P e k i r t S
s n o i t p O x e d n I r o f s l a v r e t n I e c i r P e k i r t S : a 2 6 e l b a T
d e e c h t u d f o o r t e n u i l a e v b 4 6 6 7 g o - - - n i t 1 1 1 1 s e - - - 7 o l k c i 4 6 6 r s t ’ S y . a f o d o s l s e a u m o s i t e v c h e a c r r S p t n n o i c e s g n m r a r e t e g h t n l o n a L o v l r l d a e e s : t 0 0 0 r n 0 a e I 5 0 0 0 f o b l 1 1 1 e s b k e i l a i b r x t t a e g S c i d i n l n i w p p o n l a o l o e s f b n l o e l i t h a p t h s o r e e n p i m s d a e e h e d c i l s v b s o a r r i c e p l l t p s e e t p v 0 0 c a e m 0 0 a a 0 0 r d L r 4 6 t n a n a x o o p e 0 t t o e c x d 0 p p k n 0 u u f e I i d 2 1 1 0 r o t n r i o 0 0 0 s t 0 0 0 e e g p b n 2 4 6 i u > > > v m o y u l b n r a e e d e h n h T u T
Table 6-3 : Contract Specification for Stock Futures and Options Particulars Security Description
Stock Futures
Stock Options
FUTSTK
OPTSTK
Underlying
Individual Securities
Style of Option
NA
Contract Size
American
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
Strike Price Intervals
NA
A contract specific price range based on its delta value is computed and updated on a daily basis 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
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
Less than or equal to ` 50
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.
127
Table 6-4 : Settlement Price Equity Derivatives Product
Settlement
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 Final Settlement on Index or Individual Securities
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
Closing price of such underlying security on the day of exercise of the options contract.
Interim Exercise Settlement
Options Contracts Final Exercise Settlement on Index and Individual Securities
128
Schedule
Closing price of such underlying security (or index) on the last trading day of the options contract.
Table 6-6 : Sectorwise Trading Value of Top 5 companiesin the F&O Segment (2009-10) BANKS Company Name
FMCG 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 Company Name
MEDIA & ENTERTAINMENT 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
Sun TV Network Limited
1,497.73
Jaiprakash Associates Limited
95,597.96
Pharmaceuticals Company Name
TELECOMMUNICATION 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.
FINANCE Company Name Reliance Capital Limited
9,601.25
INFORMATION TECHNOLOGY Turnover ( ` cr) 113,514.36
Company Name Infosys Technologies Ltd.
Turnover ( ` cr) 111,475.86
IFCI Limited
97,642.65
Tata Consultancy Services Limited
69,647.99
Infrastructure Development Finance Company Limited Housing Development Finance Corporation Ltd.
58,062.63
Educomp Solutions Limited
47,565.59
54,183.50
Tech Mahindra Limited
26,905.02
LIC Housing Finance Ltd
27,147.21
Wipro Ltd
25,019.12
Contd...
131
Contd... PETROCHEMICALS Company Name Reliance Industries Ltd
MANUFACTURING Turnover ( ` cr) 354,860.32
Turnover ( ` cr)
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
ENGINEERING (4 companies in this sector trade in the F&O segment)
SERVICES 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 Mercator Lines Limited
7,217.86
Praj Industries Ltd
11,421.71
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
132
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
9 0 8 7 9 0 2 4 7 9 9 5 7 0 2 5 0 6 7 8 1 5 0 0 4 4 3 0 8 2 6 5 0 6 7 8 2 4 8 5 5 8 9 6 6 1 4 4 1 8 8 5 . . . . . . . . . . . . . 0 . . . . . . . . . . . . . 6 . s r 4 7 7 1 1 0 1 2 2 2 2 0 0 2 2 3 3 0 0 1 1 3 1 9 8 1 s 2 2 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 2 2 1 2 3 o e r v G o n o r t u T %
) 0 1 9 0 0 2 ( t n e m g e S O & F e h t n i e u l a V g n i d a r T e s i w t n a p i c i t r a P : 7 6 e l b a T
7 8 4 0 2 6 2 3 3 5 2 0 6 0 1 8 2 9 7 4 6 0 4 9 4 7 0 0 3 1 7 2 2 5 6 9 5 2 6 2 4 5 1 4 7 4 0 2 0 6 2 7 9 3 y 2 7 0 , 3 , 0 , 3 , 6 , 8 , 6 , 8 , 0 , 6 , 1 , 0 , 8 , 0 , 4 , 7 , 2 , 7 , 2 , 6 , 6 , 3 , 5 , 3 , 7 r , 1 , 4 , n 7 3 4 4 5 0 5 7 8 5 6 9 7 9 6 0 8 8 1 5 5 7 0 5 a 1 t 8 8 3 4 1 4 2 9 0 9 8 2 6 7 2 3 0 8 0 3 2 0 0 0 m 1 3 7 e 1 1 1 1 1 1 1 3 1 1 2 2 2 1 2 2 2 2 2 2 4 i r e $ 6 , , , u S 1 p l 1 2 o a U r P V d e d a r 6 6 3 1 0 1 8 6 4 4 7 1 3 4 5 0 9 9 5 9 2 2 9 5 9 3 7 T 9 0 6 9 2 2 1 7 7 4 7 9 0 8 8 6 9 1 1 0 3 4 4 5 8 9 4 6 1 9 s , 8 , 9 , 3 , 0 , 1 , 7 , 5 , 4 , 4 , 8 , 1 , 4 , 0 , 6 , 8 , 9 , 8 , 9 , 4 , 6 , 8 , 9 , 5 , 4 , 3 , s e , 3 7 5 4 3 4 8 5 2 3 2 6 9 5 8 3 1 9 5 8 6 6 4 5 o r 9 1 4 7 3 8 4 1 8 4 0 3 4 2 4 9 3 6 0 5 3 4 1 2 3 0 7 r o 3 4 4 4 6 7 5 7 6 4 5 5 4 6 8 7 7 0 , 0 , 9 8 9 0 , 0 , 9 9 9 1 G r 4 , , c , 1 1 1 1 6 6 1 ` 1
7 4 0 3 3 0 5 5 4 4 4 6 7 3 5 5 2 4 4 3 2 8 5 4 6 7 6 6 4 3 4 7 1 7 1 1 4 3 0 7 9 . 9 . 4 . 5 . 4 . 8 . 9 . 0 . 3 . 8 . 6 . 4 . 6 . 5 . . . . . . . . . . . . . 8 . s r 2 4 3 4 6 6 4 6 6 5 6 6 5 4 3 3 1 5 4 5 5 4 4 7 8 4 s 5 5 5 5 5 5 5 5 5 5 5 5 5 5 5 5 5 5 5 5 5 5 5 5 5 6 5 o e r v G o n o r t u T % 4 3 6 1 7 0 4 5 2 9 1 8 8 4 1 5 4 8 9 9 9 0 5 9 4 7 1 2 0 6 6 1 6 0 2 7 8 7 3 1 2 2 1 1 4 1 6 8 9 7 9 1 2 8 4 8 5 , 9 , 3 , 3 , 9 , 3 , 1 , 9 , 3 , 5 , 4 , 5 , 3 , 1 , 6 , 7 , 0 , 6 , 8 , 2 , 8 , 7 , 9 , 3 , 0 , 7 , 5 , n 4 1 7 8 1 7 3 3 3 0 8 0 4 0 2 0 0 6 8 6 7 8 6 8 3 l i 6 7 2 4 1 6 0 6 8 7 5 3 7 9 6 6 6 3 6 0 6 5 9 0 m 2 0 9 a 1 1 2 2 2 2 2 1 1 1 1 2 4 2 2 3 3 3 3 3 4 3 3 3 4 2 t $ 1 , , , e e u 4 2 4 R l S a U V d e d a r 4 7 7 5 3 4 4 3 9 7 9 3 8 9 6 0 0 7 7 6 5 2 6 9 2 6 6 T 2 1 6 0 7 3 1 2 3 6 5 4 8 2 5 8 4 1 2 2 6 9 8 1 7 8 6 0 7 9 s , 1 , 4 , 1 , 9 , 9 , 9 , 4 , 3 , 0 , 2 , 4 , 0 , 5 , 8 , 4 , 1 , 7 , 1 , 9 , 5 , 6 , 6 , 1 , 9 , 5 , s e , 2 8 5 9 1 4 5 4 9 7 4 0 9 6 8 5 9 5 3 0 9 1 3 8 o r 5 5 6 5 6 7 6 3 3 3 6 0 7 5 4 0 3 2 2 1 6 3 6 1 9 4 7 r o 8 8 7 8 1 , 2 , 0 , 3 , 0 , 8 9 8 8 1 , 2 2 , 3 , 6 , 6 , 6 , 5 , 6 , 8 , 6 , 6 , 7 , 8 , 3 G r 4 c , 1 1 1 1 1 1 , 1 1 1 1 1 1 1 1 1 1 1 1 , 6 2 9 ` 1 1 1
4 6 2 0 8 0 3 0 8 7 7 9 6 7 3 9 8 9 9 9 6 6 6 6 0 9 1 3 0 0 7 2 1 5 7 3 1 5 1 3 4 . 2 . 3 . 7 . 1 . 1 . 4 . 1 . 7 . 8 . 8 . 6 . 3 . 7 . . . . . . . . . . . . . 5 . s r 2 7 5 3 3 2 2 1 0 1 2 2 3 3 4 2 4 4 4 3 3 2 4 3 2 3 s 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 o e r v G o n o r t u T % s r o t 9 6 3 0 8 1 8 8 8 8 1 7 2 1 4 0 3 2 6 0 0 4 9 2 0 9 8 s 1 1 3 1 7 5 5 4 1 3 5 3 7 1 1 2 1 4 5 7 0 0 2 7 7 6 5 e 2 0 6 , 9 , 1 , 7 , 2 , 0 , 8 , 7 , 0 , 2 , 0 , 6 , 9 , 6 , 7 , 6 , 6 , 7 , 1 , 4 , 1 , 1 , 0 , 0 , 3 v , 2 , 6 , n 4 3 5 2 9 7 5 2 5 6 6 1 6 6 9 2 9 2 8 2 6 1 n 7 6 7 8 9 9 8 9 9 8 9 9 6 7 i 5 5 6 6 4 5 4 3 3 3 3 5 8 m 1 7 5 l 5 0 a e $ 8 , n l u S 1 o i a t V U u t d i t e s d n a I r 4 9 7 3 4 5 3 4 0 1 1 7 0 4 5 4 2 2 9 1 8 7 0 0 1 6 5 T 3 3 8 3 5 3 1 9 0 2 0 0 7 5 8 6 2 8 4 2 3 9 3 2 9 1 1 9 0 0 s , 7 , 7 , 8 , 9 , 7 , 5 , 7 , 5 , 7 , 6 , 2 , 4 , 8 , 4 , 7 , 2 , 2 , 7 , 1 , 7 , 1 , 0 , 5 , 9 , 7 , s e , 6 5 1 9 8 5 5 4 0 4 1 8 2 1 9 0 0 3 6 8 4 3 3 4 o r 6 6 4 3 1 5 9 3 6 7 8 8 6 4 9 4 9 4 1 0 1 4 7 3 1 8 7 r o 5 2 7 2 3 3 2 2 2 1 1 1 1 2 9 2 3 3 4 4 4 4 4 3 4 4 3 7 G r 2 , , c , 3 2 4 `
r a e Y / h t n o M
8 9 0 0 9 9 8 8 8 8 8 9 9 9 0 9 9 9 9 9 0 0 0 1 8 9 - 8 8 8 9 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 1 7 0 - 0 - - - - 0 - - - - 1 - 0 - 0 - - - 8 0 - - - 9 - - 0 r y n l g p t v c n b r 0 r y n l g p t v c n b r 0 0 p a u u u e c o e a e a 0 p a u u u e c o e a e a 0 2 A M J J A S O N D J F M 2 A M J J A S O N D J F M 2
133
Table 6-8a : Number of Members in different turnover brackets during 2009-10 Upto ` 10 crores
134
` 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
d 0 n 0 a e 0 s r o 1 e r ` o m r c
5 5 1 6 4 1 5 3 6 8 3 6 3 2 9 2 0 0 8 7 4 2 5 2 1 0 1 9 5 6 0 1 0 2 1 0 9 0 0 4 8 2 2 4 6 4 4 6 7 7 7 0 2 1 1 1 1 1 1 1 1 1 1 3 1 1 1 1 1 1 1 1 1 1 2 2 5 2
1 5 3 3 1 7 0 8 5 7 6 5 6 0 2 9 6 1 0 5 3 0 4 5 2 4 4 o t 9 3 3 4 6 5 7 3 2 4 4 5 4 9 6 5 5 7 7 6 6 7 7 7 7 7 9 p s 0 0 u e 0 0 r 5 s 0 o e 1 r ` r ` c o r c
t n e m g e S s n o i t p O d n a s e r u t u F n i s t e k c a r b r e v o n r u t t n e r e f f i d n i s r e b m e m f o r e b m u N : b 8 6 e l b a T
0 s 0 s 0 5 s r e t e 5 e r ` n b 2 o r o e o r ` r t m c c m e p g u e M S f s o s n r e 0 o e r 5 s i 2 e t b o p m r c ` r O u 0 o o r N 5 t c p ` u s e 0 r 5 s o e r ` r c o o r 0 t 1 p c ` u 0 1 s ` e r o o r t p c U d 0 n 0 a e 0 s r o 1 e r ` o m r c
6 3 8 9 4 3 3 6 8 3 8 8 7 3 9 4 2 7 1 2 8 4 4 8 9 2 8 9 4 3 6 6 6 7 7 6 7 6 4 6 0 5 6 8 8 9 8 7 9 8 8 8 9 8 1
6 7 4 0 6 9 5 1 5 1 7 1 6 2 6 6 3 1 7 5 1 4 5 9 4 1 6 9 8 9 0 9 8 7 7 7 9 9 6 0 9 0 1 0 1 1 1 0 1 0 9 4 7 8 1 1 1 1 1 2 1 1 1 1 1 1 1 1 2 1 2 2 2 2 2 2 2 2 2 1 1
6 9 9 9 3 4 3 2 0 8 0 2 9 9 0 2 4 4 0 2 1 8 8 4 8 7 5 9 8 8 7 6 5 6 8 9 7 8 8 7 9 8 0 9 8 8 9 9 6 7 7 8 5 8 1 1 1 1 1 1 1 1 1 1 1 1 1 2 1 1 1 1 1 1 1 1 1 1
8 6 5 1 2 1 0 7 4 6 4 4 0 1 2 3 0 9 5 1 8 4 9 8 3 5 6 9 1 2 7 6 9 6 9 1 1 2 1 7 1 8 8 6 2 5 5 4 4 4 4 2 4 9 3 3 2 2 2 2 2 3 3 3 3 2 1 2 2 2 2 2 2 2 2 2 2 2 2
6 3 2 8 3 5 3 9 0 0 6 6 7 3 2 8 8 4 9 7 8 8 6 2 4 8 5 1 3 4 2 3 8 7 8 7 5 0 1 2 3 8 7 6 5 6 6 5 6 4 4 1 7 1 6 2 2 2 2 2 2 1 1 1 1 1 2 6 2 2 2 2 2 2 2 2 2 2 2 2 7
7 1 5 8 7 2 1 5 2 4 7 3 4 4 1 3 3 4 6 5 4 9 7 0 2 5 8 o t 5 0 1 9 9 0 9 9 8 9 8 9 0 0 9 1 3 1 0 0 2 1 1 1 2 1 8 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 0 s 0 p u 0 0 e 5 s 0 r e 1 o r ` r ` c o r c 0 s 0 s 0 5 s r e t e 5 e r ` n b 2 o r o e o ` r t r m c c m e p g u M e S f s o s e r e 0 r e r 5 s u b o 2 e t r u m c ` r F u 0 o o r N 5 t c p ` u s e 0 r 5 s o e r ` r c o o 0 t r 1 p c ` u 0 1 s ` e r o o r t p c U
h t n o M
2 5 6 7 6 6 8 9 5 2 7 8 8 0 2 7 4 3 1 8 2 7 9 6 1 3 5 4 1 0 9 0 0 1 9 0 0 9 9 0 7 2 3 1 2 3 3 1 1 1 3 2 4 5 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
0 6 0 4 2 9 5 1 5 9 9 3 1 5 9 1 3 6 2 7 5 1 3 3 8 6 3 5 2 3 3 2 2 4 5 5 6 6 7 4 9 5 4 2 4 4 4 4 5 5 3 5 4 9 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2
4 0 1 9 1 3 1 0 2 2 8 6 2 6 0 3 2 8 9 8 8 3 1 2 0 9 1 1 1 2 3 2 5 5 4 5 5 4 3 3 1 0 0 1 2 2 3 3 4 3 3 4 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
3 0 6 2 1 0 8 3 4 6 1 0 9 9 4 4 5 7 4 7 8 4 9 3 2 8 8 1 6 6 6 7 8 7 0 1 9 1 2 9 2 9 8 7 7 8 7 7 7 8 9 0 8 2 1 1 1 1 1
8 9 0 0 8 8 8 8 8 8 8 9 9 9 0 9 9 9 9 9 9 9 0 0 0 1 - 8 8 - 9 9 0 0 0 0 0 0 0 0 0 1 0 1 0 0 0 0 0 0 0 0 0 1 7 - - - 0 - - - - - - - - 8 - - - 0 - - - - - - - - 9 - g p t v c n b r 0 r y n l - g p t v c n b r 0 0 r y n l 0 p a u u u e c o e a e a 0 p a u u u e c o e a e a 0 2 A M J J A S O N D J F M 2 A M J J A S O N D J F M 2
135
Table 6-8c : Segment wise Contribution of Top ‘N’ Members to turnover on Futures and Options segment (in percent)
Month
136
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
Table 6-9 : Top 20 Futures contracts according to number of contracts 2009-10 S. No.
Name of the Contract
Number of Contracts
Turnover (
(US $ mn)
` cr.)
Percentage of contracts to Top 20 contracts
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
163,689,347
3,571,658.52
791,240.26
100.00
TOTAL
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
1 NIFTY February 2010 CE 4900
5,449,250
135,003.53
29,907.74
2 NIFTY December 2009 CE 5200
5,149,244
135,253.46
29,963.11
Percentage of contracts to Top 20 contracts 7.00 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
77,875,812 1,902,203.71
421,400.91
100.00
(
TOTAL
` cr)
(US $ mn)
137
Table 6-11 : Number of trades in the Futures & Options Segment Month/Year 2007-08
Stock Futures
Index Options
Stock Options
Total
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
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
57,564,449
120,163,033
76,949,992
11,494,712
266,172,186
2008-09
2009-10
138
Index Futures
Table 6-12 : Settlement Statistics in F&O Segment Month/Year
Index/Stock Futures MTM Settlement (
` cr)
Final Settlement (
` cr)
Index/Stock Options Premium Settlement (
` cr)
Total
Exercise Settlement ( ` 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
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
60,655.70
1,395.27
11,011.04
3,880.77
76,942.78
17,045.37
2008-09
2009-10
139
140
Currency Derivatives Segment
7
142
Currency Derivatives Segment
7
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.
143
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 Tenure upto 6 range months
+/-3 % of base price.
Tenure greater than 6 months Position limits
Clients
+/- 5% of base price. higher of 6% of higher total open interest of 6% of or USD 10 million total open interest or EURO 5 million
Trading Members higher of 15% of the total open interest or USD 50 million
Banks
Initial margin Extreme loss margin
higher of 15% of the total open interest or USD 100 million
higher of 6% of total open interest or GBP 5 million
higher of 6% of total open interest or JPY 200 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
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
SPAN Based Margin 1% of MTM value of 0.3% of MTM 0.5% of MTM 0.7% of MTM value gross open position value of value of gross of gross open gross open open position position position
Contd...
144
Contd...
Symbol Calendar spreads
USD-INR
EUR-INR
for spread of ` 700 for 1 month spread of 1 month
GBP-INR
` 400
` 1500
` 600
` 500
` 1800
` 1000
` 800
` 2000
` 1500
for spread of ` 1000 for 2 months spread of 2 months for spread of ` 1500 for 3 months spread of 3 months and more
for spread of 1 month
JPY-INR
for spread of 2 months for spread of 3 months and more
for spread of 1 month for spread of 2 months for spread of 3 months and more
` 1000
for spread of 4 months and more
Daily settlement : T + 1
Settlement
Final settlement : T + 2 Mode of settlement Daily settlement price (DSP) Final settlement price (FSP)
Cash settled in Indian Rupees Calculated on the basis of the last half an hour weighted average price. RBI reference rate RBI Exchange rate Exchange rate reference published published by RBI rate by RBI in its in its Press Release Press Release captioned RBI captioned reference Rate for RBI reference US$ and Euro 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
145
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 Instrument Type Contract Symbol
Expiry
Total Traded Quantity
Total Traded Value ( ` Crs)
Total Traded Value (US $ mn)
Total Traded Value (%) to Currency Futures Total Traded Value
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.
146
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-tomarket 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
147
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
148
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 Fri day on working days)
Contract trading cycle
Four fixed 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 specified by the Exchange. If not traded in specified 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 15% of the total open interest or ` 1000 crores whichever is higher 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 Securities Conversion Factor
GoI securities maturing at least 8 years but not more than 10.5 years from the first day of the delivery month with • Minimum total outstanding stock of ` 10,000 crore. The conversion factor would be equal to the price of the deliverable security (per rupee of principal) on the first 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).
149
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 Instrument Type
Contract Symbol
Expiry
Total Traded Quantity
Turnover ` cr
US $ mn
Total Traded Value (%) to Currency Futures Total Traded Value
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 final 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 day’s daily settlement 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 securities 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 determined by the Exchanges, would be considered as Daily Settlement Price. Theoretical pricing is
150
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 futures settlement price of that day and of the preceding day. day. These gains (or losses) of each client are credited into (or debited from) that particular client’s 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 Office (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 specified by the exchange. The underlying notional notional bond may not exist in reality and therefore, a basket of bonds is identified 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 margin 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 member. 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 specified 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.
151
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 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 Corporation. SPAN is a portfolio based margining system. Initial Margin shall include SPAN margins and such other additional margins that may be specified 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 fixed percentage as specified 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.
152
e u ) l a n V m g $ n i S d U a ( r T e u l a ) . V r g C n ` i d ( a r T
7 1 . 0 3 2
9 1 . 3 3 3
7 6 . 4 8 2
7 1 . 9 3 3
2 2 . 8 2 4
5 2 . 5 8 3
1 2 . 7 6 4
6 8 . 8 0 5
3 0 . 0 2 4
1 8 . 1 3 6
8 2 . 9 5 6
9 0 . 5 3 4
9 0 . 5 3 4
8 1 7 7 7 2 3 3 2 5 3 6 4 1 1 1 4 8 7 8 2 6 3 3 , , , , 1 1 1 1
9 3 0 , 1
4 0 5 , 1
5 8 2 , 1
1 3 5 , 1
3 3 9 , 1
9 3 7 , 1
9 0 1 , 2
7 9 2 , 2
6 9 8 , 1
2 5 8 , 2
6 7 9 , 2
4 6 9 , 1
4 6 9 , 1
3 0 . 7 6 1
5 6 . 4 4 1
7 1 . 0 7 1
5 7 . 4 4 2
9 3 . 6 1 3
0 7 . 7 5 2
2 0 2 , 0 7 1
2 6 2 , 6 4 1
0 2 5 , 7 7 1
7 9 7 , 4 5 2
7 1 3 , 5 1 3
4 5 5 , 7 5 2
4 5 5 , 7 5 2
0 2 6 , 6 0 2
3 0 2 , 8 1 3
0 0 4 , 7 6 2
8 9 2 , 8 1 3
6 5 7 , 4 9 3
3 0 6 , 0 6 3
2 1 8 , 7 4 4
8 1 0 , 3 9 4
0 0 2 , 6 0 4
2 1 6 , 5 1 6
5 6 4 , 7 3 6
3 7 8 , 7 2 4
3 7 8 , 7 2 4
2 2 3 . 9 0 1
9 0 . 4 7 1
4 5 . 3 1 2
3 3 . 5 3 2
6 1 . 8 2 3
2 0 . 5 2 5
5 0 . 9 2 2
1 4 . 5 4 5
3 9 . 5 3 7
7 9 . 8 5 7
7 7 . 9 2 9
3 3 . 1 0 0 1
6 7 . 6 5 2 1
0 8 . 0 7 6 1
4 2 . 5 4 7 1
7 2 . 9 1 0 2
5 3 . 5 6 0 3
8 3 . 8 7 8 2
2 0 . 8 3 1 3
5 5 . 5 4 6 1
2 7 7 8 9 2 5 7 6 5 8 8 9 7 7 6 y e l 2 5 8 0 i l u , 1 , 6 , 6 , 1 , a a 1 1 1 2 1 D V ) r e g C g n ` a r i ( e d v a r A T
2 6 4 , 2
2 2 3 , 3
6 2 4 , 3
7 9 1 , 4
0 2 5 , 4
3 7 6 , 5
2 4 5 , 7
8 7 8 , 7
5 1 1 , 9
7 3 8 , 3 1
3 9 9 , 2 1
5 6 1 , 4 1
8 2 4 , 7
n o s C t f c o a r . t o N
s e r u t u F y c n e r r u C f o h t w o r G s s e n i s u B : 1 7 e l b a T
0 7 . 7 5 2
0 0 . 4 8
1 7 8 , 0 9
4 y e l . i l u ) 1 a a n 5 D V m e g $ g n a S r i U e d a v r ( T A
e u ) l a n V m g $ n i S d U a r ( T e u l a ) V r g C n ` i d ( a r T
1 3 1 , 1
7 8 1 , 2
4 3 1 , 3
3 8 4 , 4
7 0 7 , 4
4 3 2 , 6
4 7 9 , 9
9 4 8 , 1 3
5 2 7 , 8
7 1 7 , 4 1
5 9 6 , 6 1
3 8 3 , 1 2
6 2 0 , 0 2
9 7 8 , 3 2
7 1 4 , 3 3
3 0 9 , 4 3
5 0 4 , 2 4
7 0 3 , 1 6
1 9 6 , 4 5
9 5 7 , 2 6
7 0 9 , 4 9 3
3 6 7 , 5
2 4 1 , 1 1
9 6 9 , 5 1
0 4 8 , 2 2
0 8 9 , 3 2
1 6 7 , 1 3
7 1 8 , 0 5
2 7 2 , 2 6 1
6 8 3 , 9 3
1 3 4 , 6 6
3 6 3 , 5 7
3 2 5 , 6 9
6 9 3 , 0 9
9 8 7 , 7 0 1
3 4 8 , 0 5 1
4 5 5 , 7 5 1
5 1 4 , 1 9 1
2 4 7 , 6 7 2
5 7 8 , 6 4 2
2 9 2 , 3 8 2
8 0 6 , 2 8 7 , 1
9 1 6 2 , 5 7 2 , 2
9 7 6 , 3 3 2 , 3
3 9 5 , 1 8 6 , 4
4 0 9 , 0 0 9 , 4
9 5 0 , 6 1 4 , 6
3 7 1 , 7 0 9 , 9
8 6 7 , 2 7 6 , 2 3
2 0 5 , 1 5 8 , 7
8 6 4 , 2 8 6 , 3 1
7 0 5 , 4 2 7 , 5 1
1 1 0 , 8 8 8 , 9 1
3 2 6 , 2 7 6 , 8 1
6 9 8 , 1 5 2 , 2 2
8 5 9 , 7 6 2 , 2 3
6 2 9 , 4 9 7 , 3 3
1 4 3 , 4 0 0 , 1 4
4 1 7 , 3 2 2 , 0 6
5 8 1 , 2 1 1 , 2 5
2 5 8 , 2 3 1 , 1 6
3 8 9 , 6 0 6 , 8 7 3
9 0 , n o s d 8 5 C t e 2 d , f c a 1 o a r . t r o T N
g n i d a r s y t a f d o . o N
r a e Y / h t n o M
2 0 8 1 0 9 9 9 6 0 2 3 0 9 0 0 1 0 9 0 0 2 2 1 2 2 1 1 3 1 2 2 2 2 1 2 2 2 2 1 2 4
1
* 8 0 p e S
8 0 t c O
8 0 v o N
8 0 c e D
9 0 n a J
9 0 b e F
9 0 r a M
9 0 h c r a M 8 9 0 - 0 g r u p A A
2
9 0 y a M
9 0 n u J
9 0 l u J
9 0 g u A
9 0 p e S
9 0 t c O
9 0 v o N
9 0 c e D
0 1 n a J
0 1 b e F
0 1 r a M
0 1 9 0 0 2
. E S N t a s e r u t u f y c n e r r u C f o g n i d a r t f o y a d t s r i f e h t 8 0 0 2 , 9 2 t s u g u A r o f s l i a t e d r e v o n r u t s e d u l c n I *
153
Table 7-2 : Settlement Statistics In Currency Futures Segment Month/Year
Currency Futures MTM Settlement
Final Settlement
US $ mn
` cr
US $ mn
` Cr
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
361.80
80.15
5.57
1.23
Aug ‘08-Mar ‘09
--
Table 7-3 : Business Growth of Interest Rate Futures Month/ Year
No. of trading days
Aug-09
1
Sep-09
No. of Contracts Traded
14559
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 Trading Trading ConValue Value tracts ( ` Cr.) (US $ mn)
267.31
59.22
267.31
59.22
1,893
34.66
7.68
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 2009140 160,894 2,975.00 659.06 21.25 4.71 758 14.15 3.13 Mar2010 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 Aug-09
MTM Settlement US $ mn ` Cr 0.07 0.02
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
27.82
6.16
109.66
24.29
2009-10*
The final settlement in Interest Rate Futures is physical settlement * Figures are from August 31, 2009 commencement of IRF
154
Final Settlement US $ mn ` Cr Not Applicable
Investor Services, Arbitration
8
156
Investor Services, Arbitration
8
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 countercheck 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 en hanced 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
157
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.
158
Table 8-1: Receipt and Disposal of Investor Grievance Year
Against Members Pending at the beginning
Received
Against Companies
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
2
1
1
0
149
6
143
0
1
0
1
0
342
19
323
0
2001 WDM
0
0
0
0
2001 F&O
1
0
1
0
275
7
268
0
2002 WDM
0
0
0
0
2002 F&O
5
0
5
0
136
4
132
0
2003 WDM
0
0
0
0
2003 F&O
17
0
17
0
119
6
113
0
2004 WDM
0
0
0
0
2004 F&O
42
3
39
0
138
3
135
0
1999 WDM 2000 CM 2000 WDM 2001 CM
2002 CM
2003 CM
2004 CM
2005 CM
Contd...
159
Contd... Year
Withdrawn
Awards
Pending
2005 WDM
0
0
0
0
2005 F&O
66
0
66
0
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
61
1
60
0
2008 F&O upto March 2008
116
1
115
0
2008-09 CM
758
21
699
38
2,433
98
2195
140
2009-10 CM
517
52
253
212
2009-10 F&O
502
43
260
199
6,909
297
6,023
589
2006 CM
2008 CM upto March 2008
2008-09 F&O
Total
160
No. of Cases Received
Knowledge Initiative
9
162
Knowledge Initiative
9
An important aspect of financial reforms is the development of a pool of human resources having right skills and expertise to help enhance quality intermediation in the financial markets. Among the financial 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 benefit 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 certification programs, high school level courses and development of educational materials on financial markets. NSE began its journey towards its knowledge initiative in the year 1998, when it introduced NSE's Certification in Financial Markets (NCFM), taking into account international experience and the needs of the Indian financial markets. It was introduced with a view of protecting interests of investors in financial markets and more importantly, for minimizing risks of losses arising out of deficient 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 financial markets. NCFM has become extremely popular and is sought by the candidates as well as employers due to its unique on-line testing and certification programme. NCFM offers a comprehensive range of modules covering many different areas in finance (Table 9-1). The entire process from generation of question paper, testing, assessing, scores reporting and certifying is fully automated. It allows tremendous flexibility in terms of testing centres, test dates and test timing and provides easy accessibility and convenience to candidates. (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 field in the area of finance. 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
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becoming increasingly important not just for the financial 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 first 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 field of banking or finance.
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 certification called NCMP (NSE Certified Market Professional) was introduced in August 2009. NSE Certified Market Professional (NCMP) certificate 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 certification 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 first such exercise to introduce financial literacy in schools. The new course comprises of various subjects, such as Languages, Economics, Business Studies, Accounting for Business etc. Besides these, two financial 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 certification and 1,664 candidates have successfully completed the CBSE – NSE joint certification in Financial markets.
NSE’s Certified Capital Market Professionals (NCCMP) NSE Certified 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 proficiency 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.
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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 financial services and also to those who simply wish to l earn 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...
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Contd... S. No.
Program
Duration
Program Contents
4
Fundamental Analysis
2 days
□ □ □ □ □ □
Economic analysis & Industry analysis Company analysis Interpretation of financial Statements Ratio analysis & Funds flow 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 efficiency 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 financial products, investment avenues and certification 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, benefits of investing in equities and upgrade the financial 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 office as well as regional offices located at Delhi, Kolkatta and Chenai. 41 colleges have visited the Exchange since August 2009.
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Table 9-1 A : NCFM Modules Sr. No.
Name of Module
Fees ( ` )
Test Duration (in minutes)
No. of Maximum Questions Marks
Pass Marks (%)
Certificate 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
5
8
Capital Market (Dealers) Module *
1500
105
60
100
50
5
9
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
3
14
Surveillance in Stock Exchanges Module
1500
120
50
100
60
5
15
Corporate Governance Module
1500
90
100
100
60
5
16
Compliance Officers (Brokers) Module
1500
120
60
100
60
5
17
Compliance Officers (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
5
20
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 certified as ‘Trainers’.
***
Modules of Financial Planning Standards Board India (Certified Financial Planner Certification) i.e. (i) Risk Analysis & Insurance Planning (ii) Retirement Planning & Employee Benefits (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.
Contd...
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Contd...
Table 9-1 B NISM Modules Sr. No.
Name of Module
Fees ( ` )
Test Duration (in minutes)
No. of Maximum Questions Marks
Pass Marks (%)
Certificate Validity
(in years) 1
NISM-Series-I: Currency Derivatives Certification 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
1000
120
100
100
50
3
Corporate Certification Examination 3
NISM-Series-II-B: Registrars to an Issue and Share Transfer Agents – Mutual Fund Certification Examination
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4
NISM-Series-IV: Interest Rate Derivatives Certification Examination
1000
120
100
100
60
3
5
NISM-Series-V-A: Mutual Fund Distributors Certification Examination
1000
120
100
100
50
3
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
Efficiency of the Market for Small Stocks
4
Determinants of Financial Performance of Indian Corporate Sector in the Post-Liberalization Era: An Exploratory Study
5
Should pension funds invest in equities? An analysis of risk-return tradeoff and asset allocation decisions
6
Changes in liquidity following exposure to foreign shareholders: The effect of foreign listings, inclusion in country funds and issues of American Depositary Receipts
7
Is the Spread Between E/P Ratio and Interest Rate Informative for Future Movement of Indian Stock Market?
8
Merger Announcements and Insider Trading Activity in India: An Empirical Investigation
9
Achieving an Individual Investor Friendly System using the power of the Internet
10
Improved Techniques for using Monte Carlo in VaR estimation
11
Short selling and its Regulation in India in International Perspective
12
Empirical investigation of multi-factor asset pricing models using Artificial Neural Network
13
Idiosyncratic Factors in Pricing Sovereign Bonds: An Analysis of the Government of India Bond Market
14
The Extreme Value Volatility Estimators and Their Empirical Performance in Indian Capital Markets
15
Equity Market Interlinkages: Transmission of Volatility - A Case Of US and India
16
Institutional Investors and Corporate Governance in India
17
Dividend policy of Indian Corporate Firms : An Analysis of Trends & Determinants
18
Market Microstructure Effects of Transparency of Indian Banks
19
Futures Trading, Information and Spot Price Volatility of NSE-50 Index Futures Contract
20
Measuring productive efficiency of stock exchanges using price adjustment coefficients
21
Do Futures and Options trading increase stock market volatility?
22
Section switching stock market price effect in the Indian capital market and the policy implications thereof
23
Study of Common Stochastic Trend and Co-integration in the Emerging Markets - A case study India, Singapore and Taiwan
24
Market Discipline in the Indian Banking Sector: An Empirical Exploration
25
Conditional CAPM and Cross sectional returns - A study on Indian Securities Market
26
Evaluating index fund implementation in India
27
Measuring Volumes in the Indian Financial Markets Some Terminological and Conceptual Issues
28
Corporate Social Responsibility Initiatives by NSE NIFTY Companies - Content, Implementation Strategies & Impact.
29
Measures for Improving Common Investor Confidence in Indian Primary Market : A Survey
30
Informational Content of Trading Volume And Open Interest – An Empirical Study of Stock Options Market In India
31
An analysis of the Dynamic Relationships Between South Asian and Developed Equity Markets
32
Corporate Governance and Market reactions
33
Insider Ownership and Corporate Governance
34
Improving Index Fund Implementation in India
Contd...
169