The huge marked-to-market losses on derivatives that are coming to light raise troubling issues about the direction of financial liberalisation and inadequate regulation. The banks are estimated to have a total exposure of a mind-boggling Rs 1,27,86,000 crore or $ 3.16 trillion. If even only 1 per cent of the trade has a problem the marked-to-market losses will be a huge $ 3.16 billion. The genesis of the problem can be traced to two policy decisions - the sharp appreciation of the rupee in the first half of 2007 and the central bank's decision in April 2007 to expand hedging facilities in the foreign exchange market (including allowing small and medium enterprises to hedge even without underlying exposures or a record in exports/ imports). The corporates and banks then recklessly entered into contracts, which have landed them in trouble following the steep depreciation of the dollar against the yen and the Swiss franc.
MONEY MARKET REVIEWapril 26, 2008 EPW Economic & Political Weekly22Exotic Derivative ContractsEPW Research FoundationThe huge marked-to-market losses on derivatives that are coming to light raise troubling issues about the direction of financial liberalisation and inadequate regulation. The banks are estimated to have a total exposure of a mind-boggling Rs 1,27,86,000 crore or $ 3.16 trillion. If even only 1 per cent of the trade has a problem the marked-to-marketlosses will be a huge $ 3.16 billion. The genesis of the problem can be traced to two policy decisions – the sharp appreciation of the rupee in the first half of 2007 and the central bank’s decision in April 2007 to expand hedging facilities in the foreign exchange market (including allowing small and medium enterprises to hedge even without underlying exposures or a record in exports/imports). The corporates and banks then recklessly entered into contracts, which have landed them in trouble following the steep depreciation of the dollar against the yen and the Swiss franc. The recent revelations of colos-sal marked-to-market losses on exotic derivative contracts entered into by some corporates and the subse-quent dispute between the banks and corporates have opened up a Pandora’s box of a series of lacunae in the country’s foreign exchange markets, in the skill levels in banks and amongst corporates in risk management, and above all, in the nature of market regulation and quality of supervision giving rise to acute specu-lative tendencies. 1 Two Policy DevelopmentsThe genesis of the problem should be traced to two policy developments rele-vant to the operations of the domestic for-eign exchange market. First, the authori-ties resorted to a major turnabout in their exchange rate policy as a measure of fight-ing inflation; they allowed the rupee to appreciate from about Rs 44 per dollar in March 2007 to Rs 40 per dollar in May 2007. Just when the market expectations thus reinforced the prospects of further appreciation, there occurred the second event. The Reserve Bank of India (RBI), in its April 24, 2007 annual policy statement for 2007-08, sought to expand hedging facilities in the foreign exchange market. It said that a range of hedging instruments had been already permitted to market participants including foreign exchange forwards, swaps, and options, but these were permitted “mainly against crystal-lised foreign currency exposures”. That is, hedging had to be against the underlying exposures based on actuals or past records. The April 2007 policy expanded the scope of hedging considerably thus: “It is now proposed to expand the range of hedging tools available to the market par-ticipants as alsofacilitate dynamic hedging by theresidents”. Importers and exporters of goods and services were permitted to book contracts on the basis of declaration of an exposure actually in sight or based on past performance, but earlier forward contracts booked in excess of 50 per cent of the eligible limits had to be on delivera-ble basis; in the April 2007 statement, this limit was raised to 75 per cent and the con-tracts could be cancelled and rebooked. But, the most damaging aspect of the newly introduced expansion of hedging facilities, as revealed by the recent corporate turmoil, relates to the small and medium enterprises. The April 2007 policy statement said that, In order to enable small and medium enter-prises (SMEs) to hedge their foreign exchange exposures, it is proposed to permit them to book forward contracts without underly-ing exposures or past records of exports and imports. Such contracts may be booked through authorised dealers with whom the SMEs have credit facilities. The SMEs are also permitted to freely cancel and rebook the contracts (p 56).In such a free-for-all policy environ-ment, banks and the corporates, obviously hand-in-glove, have indulged in huge amounts of hedging. The banks appear to have sold contracts to corporates, particu-larly the SMEs, based hardly on underlying exposures. The stability of the currencies such as the Japanese yen or Swiss franc against the dollar further encouraged the corporates to hedge against not only the realisation of current orders but also on expectations of future orders. In the last 25 years, for instance, the Swiss franc had never moved below 1.11 to the dollar and hence corporates hedged the swap by buy-ing options, where the knockout will get activated if the Swiss franc moved below 1.10 to a dollar. The knockout stage implies that the buyer of the option has to bear the pre-determined payoff. In the previous year, the corporates gained as the knock-out stage had never been reached because of the stability of the above currencies against the dollar. With the disturbance in the exchange market this year due to the sharp depreciation of the dollar, these knockout stages were pierced through. The strategy worked well for companies in the last fiscal year, boosting their other incomes and profits. Once the franc broke below the 1.10 level against the dollar, the option protection thus got knocked out. So, corporates had to repay an equivalent Piyusha Hukeri drafted the initial note and V P Prasanth compiled the accompanying tables and graphs.
Call Rates Repo Rates – Outside the RBI Call Money Rates Volume (Rs 000 crore)
MONEY MARKET REVIEWapril 26, 2008 EPW Economic & Political Weekly24to note that the company had made a profit of Rs 36 crore from forex fluctuations or through forex derivative products during the previous financial year. This implies that some of these corporates have enjoyed the benefits of derivatives earlier, and now when they have to bear the losses, they have begun protesting. The most trans-parent case is that of Hexaware Techno-logies. Like a rogue trader case, the com-pany official who indulged in “certain actively concealed and potentially fraudu-lent foreign exchange option transac-tions”has been suspended. The company admitted that “these transactions were unauthorised and outside the company’s normal hedging programme”. Yet the authorised dealers did not detect it. The company board has ordered a thorough investigation. As per the Mecklai Risk Management Survey conducted in December 2007 jointly between Business Standard and Mecklai Financial & Commercial Services, most Indian companies do not have good risk management processes. It is only recently that many companies have come to realise the need to create systems that will protect them when situation turns adverse. But it has to be made widely known that as the currency movements turn adverse, be theyOTC or exchange traded, the cost of hedging will go up and companies which indulge in these activi-ties ought to be ready to bear the conse-quent losses. The relevance of central banking regulation and supervision lies precisely in ensuring that the losses do not cross limits and do not become systemic. It is thus imperative that theRBI strength-ens its regulations and supervision so that it can check for the systemic risks, which could spill over to other segments of the financial markets and in the process have an impact on the exchange rate, interest rate, pace of economic activity, inflation and financial stability. Both the billions of dollars lost in derivatives pounded by the sub-prime mortgage crisis in the United States and similar losses faced by the corporates and banks inIndia, have one thing in com-mon – which is that despite the huge para-phernalia of super-visory systems, the central banks of the two coun-tries have failed to notice the crises let alone antici-pate them, until they have become systemic worries. This is because there is reluctance on the part of the both the sys-tems to impose any restraints on the operations of market players fol-lowing the ideo-logy of globalisa-tion, which India has also embraced for its financial sector. Otherwise, there is no expla-nation for permit-ting many multi-ples of underlying assets without any limit for corporates to indulge in exotic derivative contracts.2 Money,Gilt-Edged and Forex MarketsNotwithstanding the huge advance tax outflows and usual year-end pressures, there was comfortable liquidity in March, but the market sentiments remained cau-tious as the domestic inflation rate contin-ued to rise, even spurting to over 7 per cent towards the end of the month. Given Table 2: Money Market Operations (RBI’s Daily Data) Average March 2008 Average February 2008 Items for Four Weeks 28 (RF) 21 14 (RF) 7 for Five Weeks 29 (RF) 22 15 (RF) 8 1 (RF)*No of working days 20 5 4 6 5 29 6 6 6 6 5Call Money Weighted average of call rates: per cent (weekly range) per annum 5.71-8.30 6.20-7.92 7.72-8.30 5.97-6.16 5.71-7.34 4.82-8.54 4.82-8.54 7.36-7.86 6.09-6.39 6.02-6.48 6.90-7.64 (6.20)(6.12)(4.82)(6.09)(6.02)Daily averages (Rupees crore) 10,336 12,767 13,117 8,174 8,276 11,248 9,924 9,800 9,125 12,799 15,260 Total call market borrowings (742) (1,133) (1,867) (353) (601)Notice Money Weighted average of notice money rates: per cent (weekly range) per annum 5.14-8.98 6.25-8.98 7.10-8.91 5.14-9.57 5.72-7.25 5.00-8.68 5.00-8.68 6.53-7.94 5.94-6.54 5.00-6.16 5.50-7.72 (6.90)(6.25)(6.9)(6.4)(7.7)Daily averages (Rupees crore) 1,956 2,540 243 2,910 2,177 2,209 1,953 2,478 2,166 2,239 2,208 Total notice market borrowings (12,668) (14,516) (9,049) (12,316) (11,035)Turnover in term money market 269 170 181 368 410 260 170 300 368 410 153 (borrowings)$$ (795) (560) (65) (210) (255)*Data for reporting Fridays are given within brackets and they are also included in the weekly range/daily averages. $$ No of reporting/traded days is fewer than given above. Table 4: Comparison of Call, Overnight CBLO and Repo RatesWeek Ending Weighted Average Rates (in %) Daily Average Volumes (Rs Crore) Call Overnight CBLO Repo Call Overnight CBLO Repo 1-Feb-08 7.176.326.8817,46836,77618,9228-Feb-08 6.345.946.1415,03739,09215,15615-Feb-08 6.236.066.2211,29136,22820,01422-Feb-08 7.807.647.7012,27933,10217,86529-Feb-08 7.736.887.1511,87736,48417,5417-Mar-08 6.706.206.5310,45348,16416,95714-Mar-08 6.105.615.9810,59939,42219,27719-Mar-08 8.057.247.7813,36030,51510,32428-Mar-08 7.456.887.3415,30838,52514,872Source: The Clearing Corporation of India Ltd (CCIL).Table 3: Weighted Averages of Daily Call/Notice Rates in Per Cent Per Annum: Simple StatisticalCharacteristics Month/Week Simple Standard Coefficient of Simple Standard Coefficient of Mean*DeviationVariation Mean* Deviation Variation (in %)$ (in %)$ Call Money Notice Money **February2008 All five weeks 6.96 0.87 12.44 6.54 0.98 14.96 29(RF)* 7.461.3317.78 6.97 1.3419.22 227.710.192.467.340.648.78 15(RF)*6.170.111.856.240.243.83 8 6.300.182.885.710.569.83 1 (RF)* 7.210.28 3.856.411.1618.18March 2008 All four weeks 6.93 0.87 12.62 6.36 2.49 39.13 28 (RF)* 7.28 0.669.047.111.1215.76 218.080.253.098.180.789.49 14(RF)*6.060.071.194.413.7685.19 7 6.700.6810.096.500.578.84** Separate reportings began on March 15, 2005. * Including data for reporting Fridays (RF). $ Based on original unrounded figures.Source: RBI.
MONEY MARKET REVIEWEconomic & Political Weekly EPW april 26, 200825Table 6: Auctions of 182-Day Treasury Bills(Amount in rupees crore) Date of Notified Bids Tendered Bids Accepted Subscription Cut-off Cut-off AmountAuction AmountDevolvedPriceYieldOutstanding No Face Value No Face Value on PDs (Rupees) Rate on the Date (Amount) (Amount)(Amount) (in%)ofIssue2007 March 7 1,500.00 53 2,265.00 49 1,500.00 0.00 96.28 7.75 19,112.83 (1) (500.00) (1) (500.00) [96.41] [7.47] March 21 1,500.00 107 4,195.00 13 530.00 0.00 96.07 8.20 18,175.69 (2) (325.00) (2) (325.00) [96.08] [8.18] 2008 March 5 500.00 56 1,827.50 33 500.00 0.00 96.38 7.53 17,585.00 (1) (855.00) (1) (855.00) [96.41] [7.47] March 19 500.00 41 2,340.00 5 500.00 0.00 96.46 7.36 16,785.00 (1) (1,200.00) (1)(1,200.00) [96.47] [7.34]Figures in the square brackets represent weighted average price and the respective yield. Figures in brackets represent numbers and amounts of non-competitive bids which are not included in the total.Table 5: Auctions of 91-Day Treasury Bills(Amount in rupees crore) Date of Notified Bids Tendered Bids Accepted Subscription Cut-off Cut-off AmountAuction AmountDevolvedPriceYieldOutstanding- No Face Value No Face Value on PDs (Rupees) Rate on the Date (Amount) (Amount)(Amount) (in%)ofIssue (1) (2) (3) (4) (5) (6) (7) (8) (9) (10)2007 February 28 2,000.00 103 6,127.05 31 2,000.00 0.00 98.17 7.48 35,082.57 (3) (4,250.00) (3) (4,250.00) [98.19] [7.39] March 7 2,000.00 78 2,843.55 65 2,000.00 0.00 98.17 7.48 33,582.57 (0) (0.00) (0) (0.00) [98.25] [7.14] March 14 2,000.00 100 4,035.44 35 2,000.00 0.00 98.17 7.48 83,693.93 (2) (5,000.50) (2) (5,000.50) [98.18] [7.44] March 21 2,000.00 118 5,035.00 18 821.50 0.00 98.05 7.98 85,058.82 (3) (1,800.00) (3) (1,800.00) [98.10] [7.77] March 28 2,000.00 101 4,705.40 53 2,000.00 0.00 98.05 7.98 90,228.57 (2) (6,000.00) (2) (6,000.00) [98.07] [7.89] 2008 March 5 500.00 63 2,417.51 29 500.00 0.00 98.19 7.39 42,067.00 (2) (2,200.00) (2) (2,200.00) [98.2] [7.35] March 12 500.00 63 2,120.72 22 500.00 0.00 98.19 7.39 40,467.00 (1) (200.00) (1) (200.00) [98.20] [7.35] March 19 500.00 53 1,573.75 12 500.00 0.00 98.21 7.31 16,785.00 (2) (700.00) (2) (700.00) [98.22] [7.27] March 26 500.00 59 1833.15 6 500.00 0.00 98.23 7.23 39,957.00 (3) (7,040.00) (3) (7,040.00) [98.23] [7.23] Figures in parentheses in cols 3 to 6 represent numbers and amounts of non-competitive bids which are not included in the total. Figures in the square brackets under cols 8 and 9 represent weighted average price and respective yield. Table 7: Auctions of 364-Day Treasury Bills(Amount in rupees crore) Date of Notified Bids Tendered Bids Accepted Subscription Cut-off Cut-off AmountAuction AmountDevolvedPriceYieldOutstanding No Face Value No Face Value on PDs (Rupees) Rate on the Date (Amount) (Amount)(Amount) (in%)ofIssue2007 February 28 2000.00 65 4575.00 28 2000.00 0.00 92.84 7.73 50758 (0) (0.00) (0) (0.00) [92.91] [7.65] March 14 2000.00 94 4970.00 29 2000.00 0.00 92.76 7.83 52012 (2) (271.00) (2) (271.00) [92.80] [7.78] March 28 2000.00 118 10510.60 20 2000.00 0.00 92.63 7.98 53812 (1) (1550.00) (1) (1550.00) [92.67] [7.93] 2008 March 12 1000.00 83 5816.82 3 1000.00 0.00 93.09 7.44 59755 (2) (272.65) (2) (272.65) [93.09] [7.44] March 26 1000.00 79 5573.36 5 1000.00 0.00 93.17 7.35 57205 (0) (0.00) (0) (0.00) [93.18] [7.34] Figures in the square brackets represent weighted average price and the respective yield. Figures in brackets represent numbers and amounts of non-competitive bids which are not included in the total.the good corporate performances, the size of advance tax outflows has risen; even so the skirmishes in the overnight market have been minimal. However, in a proac-tive step, the RBI undertook special liquid-ity support measures so as to minimise distortions in the money market apart from the normal liquidity adjustment facility (LAF) window (Table 1, p 23). But, as the inflation rate surged from 5.2 per cent in February to 7.41 per cent, the finance minister undertook a number of measures to combat inflation which was attributed to a global phenomenon and said that growth may have to be sacrificed to contain inflation and the RBI governor said that the spurt in inflation was unexpected. Thus, the market expectations of a rate cut following the easing of inter-est rates in the US were thwarted. The initial euphoria about the central govern-ment’s lower borrowing programme indi-cated in the budget waned due to the possible impact of the financing of loan waiver scheme, the impending burden of the Sixth Pay Commission recommenda-tions and oil bonds, given the record rise in international crude oil prices, on government finances – all portending heavy fiscal repercussions. In the forex market, the rupee-dollar ex-change rate touched a six-month low due to global risk aversion, weaknesses in the domestic stock markets and upsurge in inter-national crude oil prices. The turmoil in the US financial markets continued, adversely affecting the investors’ confidence and the downside risks to growth remained; the US Fed resorted to unconventional measures to restore the shaken confidence triggered by the collapse of one of the world’s largest investment banks, Bear Stearns & Co Inc, whose takeover was announced at a price of $ 2 per share, which shocked the markets globally. The Fed supported its takeover finally by another investment bank at a higher price as well as effected substantial cuts in the USFed rate. With some weaken-ing of the rupee,the exporters began bring-ing in their receivables and importers covering their positions. Consequently, the rupee edged up. 2.1 CallMoney Market Despite huge advance tax outflows follo-wed by the holiday-shortened week and year-end considerations, the money mar-ket rates ruled within the informal cor-ridor set by the RBI in the form of reverse repo (6.5 per cent) and repo (7.75 per cent) rates except for a few days during the month. While inter-bank call rates overshot the repo rate on six occasions, the market repo rates surged above it only on four instances and the collater-alised borrowing and lending obligation (CBLO) rates, only a couple of times dur-ing the month. The volatility in short-term rates,though higher than that in February 2008, has been much lower than that in March 2006 and March 2007 (Tables 2 and 3, p 24). With the improved liquidity situation due to increased government expenditure,
(Daily ) Working Days Mar 2008 Monthly Averages (Jan 2001 to February 2008)
MONEY MARKET REVIEWEconomic & Political Weekly EPW april 26, 200827Appendix Table: Secondary Market Operations in Government Papers: NDS and NDS-OM Deals(Amount in rupees crore) Descriptions Week Ending March 2008: Yield to Maturity on Actual Trading Total for the Month 28 21 14 7 of March 2008 AMT YTM CY AMT YTM CYAMT YTM CY AMT YTM CYAMT YTM CY1TreasuryBills A 91-Day Bills 1350.11 7.11 84.65 7.08 347.42 7.16 356.78 7.25 2138.96 7.14 B 182-Day Bills 596.18 7.05 289.91 6.81 141.54 7.30 123.03 7.22 1150.66 7.04 C 364-Day Bills 877.91 7.19 688.69 7.26 1129.79 7.29 1497.45 7.29 4193.84 7.26 2 GOI Dated Securities A Regular (Per Cent: Year)10.80 , 2008 ---2.00 7.6510.69 20.007.4010.68 ---22.00 7.43 10.6812.00 , 2008 36.00 11.40 12.00 60.00 7.2411.94 10.00 7.3711.93 ---106.008.67 11.9612.10 , 2008 43.40 7.3711.98 ---------43.40 7.3711.9812.25 , 2008 80.50 7.3612.00 0.066.92 11.96 0.017.1011.96 ---80.57 7.3612.005.48, 2009 4790.00 7.49 5.61998.92 7.49 5.611680.00 7.51 5.61750.007.465.618218.92 7.49 5.61 6.65,2009 525.33 7.46 6.70 115.00 7.48 6.70 1462.55 7.51 6.71 340.00 7.51 6.71 2442.88 7.50 6.71 6.96, 2009 OMC SB ------25.00 8.15 7.04 50.00 8.12 7.04 75.00 8.13 7.04 7.33 , 2009 OIL MKT BONDS ---60.00 8.21 7.39 ------60.00 8.21 7.3911.99 , 2009 27.87 7.49 11.49 ---5.607.5411.48 ---33.47 7.5011.485.87 , 2010 672.00 7.486.03 605.00 7.486.03 865.00 7.51 6.03 2145.05 7.476.03 4287.05 7.486.037.55,2010 11.577.457.540.057.387.530.297.427.53 - --11.917.457.54 11.30 , 2010 75.00 7.54 10.47 200.00 7.50 10.46 325.00 7.60 10.47 245.00 7.54 10.45 845.00 7.55 10.4611.50 , 2010 ---225.007.5610.66 ------225.007.5610.66 12.25 , 2010 26.70 7.49 11.17 260.00 7.56 11.18 4.09 7.48 11.15 640.00 7.57 11.16 930.79 7.57 11.166.57, 2011 10.00 7.506.73 ---------10.00 7.506.73 9.39,2011 5.20 7.61 8.94 20.71 7.52 8.91 6.80 7.52 8.91 10.15 7.55 8.92 42.86 7.54 8.926.85, 2012 ---3.00 7.597.03 ---5.007.53 7.02 8.00 7.557.02 7.40,2012 125.00 7.47 7.42 50.00 7.54 7.44 45.92 7.56 7.44 0.38 7.92 7.54 221.30 7.51 7.43 7.47, 2012 OIL MKT BONDS ---500.00 8.56 7.75 180.00 8.53 7.74 ---680.00 8.55 7.759.40, 2012 0.607.748.86 ---15.00 7.688.83 ---15.60 7.688.83 10.25 , 2012 0.18 7.52 9.35 ---66.29 7.60 9.37 25.00 7.64 9.38 91.47 7.61 9.3711.03 , 2012 6.087.779.87 ---0.088.34 10.07 ---6.167.78 9.887.27,2013 794.80 7.627.39296.20 7.53 7.35533.20 7.52 7.35457.70 7.50 7.352081.90 7.567.3612.40 , 2013 2.307.7310.31 0.557.62 10.26 3.507.6810.28 ---6.35 7.6910.29 7.37,2014 123.15 7.75 7.51 - - - 95.00 7.53 7.43 163.00 7.52 7.42 381.15 7.59 7.4511.83 , 2014 10.37 7.729.78 35.00 7.729.7735.02 7.67 9.7595.00 7.639.73175.39 7.669.747.38,2015 145.91 7.677.50 1.00 7.57 7.46690.16 7.56 7.4548.25 7.57 7.46885.33 7.587.467.59,2016 5.207.777.67 ---151.807.567.58195.627.577.58352.627.577.58 7.46,2017 21.50 7.81 7.64 0.04 7.65 7.55 5.00 7.59 7.53 0.71 7.29 7.37 27.25 7.76 7.61 7.49,2017 1107.47 7.75 7.62 210.26 7.58 7.53 420.85 7.55 7.52 1032.12 7.53 7.51 2770.70 7.62 7.56 7.99,2017 12455.43 7.76 7.88 5079.57 7.61 7.79 10632.62 7.58 7.78 9728.59 7.56 7.77 37896.21 7.64 7.81 8.07,2017 6.19 7.77 7.92 10.00 7.65 7.86 405.29 7.57 7.82 240.00 7.54 7.81 661.48 7.56 7.826.25,2018 63.70 7.867.0114.70 7.887.023.60 7.74 6.957.787.596.8889.787.847.00 5.64,2019 6.09 7.97 6.77 0.40 7.71 6.64 5.90 7.79 6.68 0.60 7.73 6.65 12.99 7.87 6.72 6.05,2019 45.12 7.97 7.04 5.50 7.89 7.00 0.23 7.65 6.87 1.05 7.84 6.97 51.90 7.96 7.036.35,2020 5.728.067.291.037.737.100.447.677.07 - --7.197.997.257.75, 2021OMC SB ---------230.008.488.23230.008.488.23 7.94, 2021 45.00 8.04 8.01 0.25 7.74 7.81 ---25.00 7.81 7.86 70.25 7.96 7.958.13,2021OMCSB20.008.658.48 ---18.968.488.360.158.428.3339.118.578.4210.25 , 2021 30.20 8.008.68 ---0.047.82 8.560.187.82 8.5630.43 8.008.688.08, 2022 ------50.00 7.907.94---50.00 7.907.94 8.15, 2022 FCISB 4.61 8.52 8.41 3.35 8.51 8.40 1.61 8.50 8.39 11.16 8.47 8.38 20.73 8.49 8.39 8.20,2022 306.76 8.08 8.12 67.00 7.89 7.99 755.72 7.84 7.96 718.33 7.78 7.92 1847.81 7.86 7.97 8.35,2022 31.34 7.98 8.10 160.00 7.85 8.01 60.34 7.83 8.00 845.18 7.78 7.96 1096.86 7.80 7.98 6.17,2023 18.69 8.05 7.38 1.00 7.78 7.19 18.00 7.81 7.22 7.00 7.80 7.21 44.69 7.91 7.286.30, 2023 0.658.177.50 ---5.447.857.29---6.097.887.31 8.01, 2023 OMCSB 311.33 8.64 8.46 31.69 8.54 8.40 215.01 8.51 8.37 213.85 8.50 8.36 771.88 8.56 8.41 8.30, 2023 FERTSB 185.92 8.61 8.53 105.29 8.56 8.49 138.47 8.52 8.46 75.65 8.50 8.45 505.33 8.56 8.49 8.03, 2024 FCISB - - - 0.04 8.48 8.36 1.00 8.52 8.40 9.00 8.48 8.36 10.04 8.48 8.37 8.20, 2024 OMCSB 118.54 8.63 8.51 10.81 8.54 8.45 2.90 8.50 8.42 48.40 8.48 8.40 180.65 8.58 8.48 7.95, 2025 OMCSB 85.03 8.62 8.45 49.23 8.55 8.40 41.60 8.57 8.42 24.80 8.49 8.35 200.66 8.58 8.427.95, 2026 FERTSB157.45 8.78 8.59 ------0.558.558.41158.018.78 8.58 8.23, 2027 FCISB 195.92 8.61 8.53 28.21 8.55 8.48 28.15 8.50 8.44 36.97 8.48 8.43 289.25 8.57 8.508.26 , 2027 ------25.00 8.188.20---25.00 8.188.20 6.01,2028 9.75 8.12 7.56 1.50 8.15 7.60 5.05 7.79 7.32 0.23 8.03 7.51 16.53 8.02 7.496.13,2028 3.608.097.604.357.947.486.007.767.34 - --13.957.907.45 7.95,2032 145.00 8.13 8.10 20.50 8.02 8.02 285.00 8.00 7.99 285.10 7.94 7.94 735.60 8.00 8.00 8.33,2036 2200.22 8.29 8.30 732.35 8.11 8.13 4554.12 8.07 8.10 5027.55 7.97 8.01 12514.24 8.07 8.10 Sub-total 25110.72 7.78 7.44 9971.50 7.69 7.72 23910.51 7.70 7.61 23742.26 7.68 7.71 82734.98 7.72 7.60 B RBI’s OMO: Sales 369.00 - - 55.00 - - 30.00 - - - - - 454.00 Purchase ------840.00 --195 --1035.00 Sub-total 369.00 --55.00 --870.00 --1940.00 --3234.00 (A+B) 25479.72 7.78 7.44 10026.50 7.69 7.72 24780.51 7.70 7.61 25682.26 7.68 7.71 85968.98 7.72 7.603 MarketRepo 76188.01 41792.85 116455.90 85971.53 320408.29 4 State Govt Securities 592.58 8.13 9.01 86.22 8.18 8.31 318.82 8.17 8.42 116.71 7.98 8.55 1114.33 8.13 8.74 Grand total (1 to 4) 105084.51 52968.82 143173.97 113747.76 414975.06 (-) Means no trading. YTM = Yield to maturity in percentage per annum. CY = Current yield in per cent per annum. SGL = (RBI’s) Subsidiary General Ledger. OMO = Open Market Operations. OMC SB = Oil Marketing Companies Special Bonds. NDS = Negotiated Dealing System. OM = Order Matching Segment. Securities with small-size transactions (Rs 5 crore or less) have been dropped from the above list but included in the respective totals. (1) Yields are weighted yields, weighted by the amounts of each transaction. (2) Current yield has not been worked out for treasury bills. (3) For Floating Rate Bonds (FRB’s) Current yields are based on the latest half-year yield determined in the auction.
3/3 3/5 3/7 3/9 3/11 3/13 3/15 3/17 3/19 3/21 3/23 3/25 3/27 Weighted Averages of Call Rates (%) (Right axis) 1 month (Left axis) 6 month (Left axis)
7 7.5 8 8.5 9 2 4 6 8 10 12 14 16 18 20 25 29 Years to Maturity Week ending March 7 Week ending March 28
MONEY MARKET REVIEWapril 26, 2008 EPW Economic & Political Weekly22Exotic Derivative ContractsEPW Research FoundationThe huge marked-to-market losses on derivatives that are coming to light raise troubling issues about the direction of financial liberalisation and inadequate regulation. The banks are estimated to have a total exposure of a mind-boggling Rs 1,27,86,000 crore or $ 3.16 trillion. If even only 1 per cent of the trade has a problem the marked-to-marketlosses will be a huge $ 3.16 billion. The genesis of the problem can be traced to two policy decisions – the sharp appreciation of the rupee in the first half of 2007 and the central bank’s decision in April 2007 to expand hedging facilities in the foreign exchange market (including allowing small and medium enterprises to hedge even without underlying exposures or a record in exports/imports). The corporates and banks then recklessly entered into contracts, which have landed them in trouble following the steep depreciation of the dollar against the yen and the Swiss franc. The recent revelations of colos-sal marked-to-market losses on exotic derivative contracts entered into by some corporates and the subse-quent dispute between the banks and corporates have opened up a Pandora’s box of a series of lacunae in the country’s foreign exchange markets, in the skill levels in banks and amongst corporates in risk management, and above all, in the nature of market regulation and quality of supervision giving rise to acute specu-lative tendencies. 1 Two Policy DevelopmentsThe genesis of the problem should be traced to two policy developments rele-vant to the operations of the domestic for-eign exchange market. First, the authori-ties resorted to a major turnabout in their exchange rate policy as a measure of fight-ing inflation; they allowed the rupee to appreciate from about Rs 44 per dollar in March 2007 to Rs 40 per dollar in May 2007. Just when the market expectations thus reinforced the prospects of further appreciation, there occurred the second event. The Reserve Bank of India (RBI), in its April 24, 2007 annual policy statement for 2007-08, sought to expand hedging facilities in the foreign exchange market. It said that a range of hedging instruments had been already permitted to market participants including foreign exchange forwards, swaps, and options, but these were permitted “mainly against crystal-lised foreign currency exposures”. That is, hedging had to be against the underlying exposures based on actuals or past records. The April 2007 policy expanded the scope of hedging considerably thus: “It is now proposed to expand the range of hedging tools available to the market par-ticipants as alsofacilitate dynamic hedging by theresidents”. Importers and exporters of goods and services were permitted to book contracts on the basis of declaration of an exposure actually in sight or based on past performance, but earlier forward contracts booked in excess of 50 per cent of the eligible limits had to be on delivera-ble basis; in the April 2007 statement, this limit was raised to 75 per cent and the con-tracts could be cancelled and rebooked. But, the most damaging aspect of the newly introduced expansion of hedging facilities, as revealed by the recent corporate turmoil, relates to the small and medium enterprises. The April 2007 policy statement said that, In order to enable small and medium enter-prises (SMEs) to hedge their foreign exchange exposures, it is proposed to permit them to book forward contracts without underly-ing exposures or past records of exports and imports. Such contracts may be booked through authorised dealers with whom the SMEs have credit facilities. The SMEs are also permitted to freely cancel and rebook the contracts (p 56).In such a free-for-all policy environ-ment, banks and the corporates, obviously hand-in-glove, have indulged in huge amounts of hedging. The banks appear to have sold contracts to corporates, particu-larly the SMEs, based hardly on underlying exposures. The stability of the currencies such as the Japanese yen or Swiss franc against the dollar further encouraged the corporates to hedge against not only the realisation of current orders but also on expectations of future orders. In the last 25 years, for instance, the Swiss franc had never moved below 1.11 to the dollar and hence corporates hedged the swap by buy-ing options, where the knockout will get activated if the Swiss franc moved below 1.10 to a dollar. The knockout stage implies that the buyer of the option has to bear the pre-determined payoff. In the previous year, the corporates gained as the knock-out stage had never been reached because of the stability of the above currencies against the dollar. With the disturbance in the exchange market this year due to the sharp depreciation of the dollar, these knockout stages were pierced through. The strategy worked well for companies in the last fiscal year, boosting their other incomes and profits. Once the franc broke below the 1.10 level against the dollar, the option protection thus got knocked out. So, corporates had to repay an equivalent Piyusha Hukeri drafted the initial note and V P Prasanth compiled the accompanying tables and graphs.
Call Rates Repo Rates – Outside the RBI Call Money Rates Volume (Rs 000 crore) 
MONEY MARKET REVIEWapril 26, 2008 EPW Economic & Political Weekly24to note that the company had made a profit of Rs 36 crore from forex fluctuations or through forex derivative products during the previous financial year. This implies that some of these corporates have enjoyed the benefits of derivatives earlier, and now when they have to bear the losses, they have begun protesting. The most trans-parent case is that of Hexaware Techno-logies. Like a rogue trader case, the com-pany official who indulged in “certain actively concealed and potentially fraudu-lent foreign exchange option transac-tions”has been suspended. The company admitted that “these transactions were unauthorised and outside the company’s normal hedging programme”. Yet the authorised dealers did not detect it. The company board has ordered a thorough investigation. As per the Mecklai Risk Management Survey conducted in December 2007 jointly between Business Standard and Mecklai Financial & Commercial Services, most Indian companies do not have good risk management processes. It is only recently that many companies have come to realise the need to create systems that will protect them when situation turns adverse. But it has to be made widely known that as the currency movements turn adverse, be theyOTC or exchange traded, the cost of hedging will go up and companies which indulge in these activi-ties ought to be ready to bear the conse-quent losses. The relevance of central banking regulation and supervision lies precisely in ensuring that the losses do not cross limits and do not become systemic. It is thus imperative that theRBI strength-ens its regulations and supervision so that it can check for the systemic risks, which could spill over to other segments of the financial markets and in the process have an impact on the exchange rate, interest rate, pace of economic activity, inflation and financial stability. Both the billions of dollars lost in derivatives pounded by the sub-prime mortgage crisis in the United States and similar losses faced by the corporates and banks inIndia, have one thing in com-mon – which is that despite the huge para-phernalia of super-visory systems, the central banks of the two coun-tries have failed to notice the crises let alone antici-pate them, until they have become systemic worries. This is because there is reluctance on the part of the both the sys-tems to impose any restraints on the operations of market players fol-lowing the ideo-logy of globalisa-tion, which India has also embraced for its financial sector. Otherwise, there is no expla-nation for permit-ting many multi-ples of underlying assets without any limit for corporates to indulge in exotic derivative contracts.2 Money,Gilt-Edged and Forex MarketsNotwithstanding the huge advance tax outflows and usual year-end pressures, there was comfortable liquidity in March, but the market sentiments remained cau-tious as the domestic inflation rate contin-ued to rise, even spurting to over 7 per cent towards the end of the month. Given Table 2: Money Market Operations (RBI’s Daily Data) Average March 2008 Average February 2008 Items for Four Weeks 28 (RF) 21 14 (RF) 7 for Five Weeks 29 (RF) 22 15 (RF) 8 1 (RF)*No of working days 20 5 4 6 5 29 6 6 6 6 5Call Money Weighted average of call rates: per cent (weekly range) per annum 5.71-8.30 6.20-7.92 7.72-8.30 5.97-6.16 5.71-7.34 4.82-8.54 4.82-8.54 7.36-7.86 6.09-6.39 6.02-6.48 6.90-7.64 (6.20)(6.12)(4.82)(6.09)(6.02)Daily averages (Rupees crore) 10,336 12,767 13,117 8,174 8,276 11,248 9,924 9,800 9,125 12,799 15,260 Total call market borrowings (742) (1,133) (1,867) (353) (601)Notice Money Weighted average of notice money rates: per cent (weekly range) per annum 5.14-8.98 6.25-8.98 7.10-8.91 5.14-9.57 5.72-7.25 5.00-8.68 5.00-8.68 6.53-7.94 5.94-6.54 5.00-6.16 5.50-7.72 (6.90)(6.25)(6.9)(6.4)(7.7)Daily averages (Rupees crore) 1,956 2,540 243 2,910 2,177 2,209 1,953 2,478 2,166 2,239 2,208 Total notice market borrowings (12,668) (14,516) (9,049) (12,316) (11,035)Turnover in term money market 269 170 181 368 410 260 170 300 368 410 153 (borrowings)$$ (795) (560) (65) (210) (255)*Data for reporting Fridays are given within brackets and they are also included in the weekly range/daily averages. $$ No of reporting/traded days is fewer than given above. Table 4: Comparison of Call, Overnight CBLO and Repo RatesWeek Ending Weighted Average Rates (in %) Daily Average Volumes (Rs Crore) Call Overnight CBLO Repo Call Overnight CBLO Repo 1-Feb-08 7.176.326.8817,46836,77618,9228-Feb-08 6.345.946.1415,03739,09215,15615-Feb-08 6.236.066.2211,29136,22820,01422-Feb-08 7.807.647.7012,27933,10217,86529-Feb-08 7.736.887.1511,87736,48417,5417-Mar-08 6.706.206.5310,45348,16416,95714-Mar-08 6.105.615.9810,59939,42219,27719-Mar-08 8.057.247.7813,36030,51510,32428-Mar-08 7.456.887.3415,30838,52514,872Source: The Clearing Corporation of India Ltd (CCIL).Table 3: Weighted Averages of Daily Call/Notice Rates in Per Cent Per Annum: Simple StatisticalCharacteristics Month/Week Simple Standard Coefficient of Simple Standard Coefficient of Mean*DeviationVariation Mean* Deviation Variation (in %)$ (in %)$ Call Money Notice Money **February2008 All five weeks 6.96 0.87 12.44 6.54 0.98 14.96 29(RF)* 7.461.3317.78 6.97 1.3419.22 227.710.192.467.340.648.78 15(RF)*6.170.111.856.240.243.83 8 6.300.182.885.710.569.83 1 (RF)* 7.210.28 3.856.411.1618.18March 2008 All four weeks 6.93 0.87 12.62 6.36 2.49 39.13 28 (RF)* 7.28 0.669.047.111.1215.76 218.080.253.098.180.789.49 14(RF)*6.060.071.194.413.7685.19 7 6.700.6810.096.500.578.84** Separate reportings began on March 15, 2005. * Including data for reporting Fridays (RF). $ Based on original unrounded figures.Source: RBI. 
MONEY MARKET REVIEWEconomic & Political Weekly EPW april 26, 200825Table 6: Auctions of 182-Day Treasury Bills(Amount in rupees crore) Date of Notified Bids Tendered Bids Accepted Subscription Cut-off Cut-off AmountAuction AmountDevolvedPriceYieldOutstanding No Face Value No Face Value on PDs (Rupees) Rate on the Date (Amount) (Amount)(Amount) (in%)ofIssue2007 March 7 1,500.00 53 2,265.00 49 1,500.00 0.00 96.28 7.75 19,112.83 (1) (500.00) (1) (500.00) [96.41] [7.47] March 21 1,500.00 107 4,195.00 13 530.00 0.00 96.07 8.20 18,175.69 (2) (325.00) (2) (325.00) [96.08] [8.18] 2008 March 5 500.00 56 1,827.50 33 500.00 0.00 96.38 7.53 17,585.00 (1) (855.00) (1) (855.00) [96.41] [7.47] March 19 500.00 41 2,340.00 5 500.00 0.00 96.46 7.36 16,785.00 (1) (1,200.00) (1)(1,200.00) [96.47] [7.34]Figures in the square brackets represent weighted average price and the respective yield. Figures in brackets represent numbers and amounts of non-competitive bids which are not included in the total.Table 5: Auctions of 91-Day Treasury Bills(Amount in rupees crore) Date of Notified Bids Tendered Bids Accepted Subscription Cut-off Cut-off AmountAuction AmountDevolvedPriceYieldOutstanding- No Face Value No Face Value on PDs (Rupees) Rate on the Date (Amount) (Amount)(Amount) (in%)ofIssue (1) (2) (3) (4) (5) (6) (7) (8) (9) (10)2007 February 28 2,000.00 103 6,127.05 31 2,000.00 0.00 98.17 7.48 35,082.57 (3) (4,250.00) (3) (4,250.00) [98.19] [7.39] March 7 2,000.00 78 2,843.55 65 2,000.00 0.00 98.17 7.48 33,582.57 (0) (0.00) (0) (0.00) [98.25] [7.14] March 14 2,000.00 100 4,035.44 35 2,000.00 0.00 98.17 7.48 83,693.93 (2) (5,000.50) (2) (5,000.50) [98.18] [7.44] March 21 2,000.00 118 5,035.00 18 821.50 0.00 98.05 7.98 85,058.82 (3) (1,800.00) (3) (1,800.00) [98.10] [7.77] March 28 2,000.00 101 4,705.40 53 2,000.00 0.00 98.05 7.98 90,228.57 (2) (6,000.00) (2) (6,000.00) [98.07] [7.89] 2008 March 5 500.00 63 2,417.51 29 500.00 0.00 98.19 7.39 42,067.00 (2) (2,200.00) (2) (2,200.00) [98.2] [7.35] March 12 500.00 63 2,120.72 22 500.00 0.00 98.19 7.39 40,467.00 (1) (200.00) (1) (200.00) [98.20] [7.35] March 19 500.00 53 1,573.75 12 500.00 0.00 98.21 7.31 16,785.00 (2) (700.00) (2) (700.00) [98.22] [7.27] March 26 500.00 59 1833.15 6 500.00 0.00 98.23 7.23 39,957.00 (3) (7,040.00) (3) (7,040.00) [98.23] [7.23] Figures in parentheses in cols 3 to 6 represent numbers and amounts of non-competitive bids which are not included in the total. Figures in the square brackets under cols 8 and 9 represent weighted average price and respective yield. Table 7: Auctions of 364-Day Treasury Bills(Amount in rupees crore) Date of Notified Bids Tendered Bids Accepted Subscription Cut-off Cut-off AmountAuction AmountDevolvedPriceYieldOutstanding No Face Value No Face Value on PDs (Rupees) Rate on the Date (Amount) (Amount)(Amount) (in%)ofIssue2007 February 28 2000.00 65 4575.00 28 2000.00 0.00 92.84 7.73 50758 (0) (0.00) (0) (0.00) [92.91] [7.65] March 14 2000.00 94 4970.00 29 2000.00 0.00 92.76 7.83 52012 (2) (271.00) (2) (271.00) [92.80] [7.78] March 28 2000.00 118 10510.60 20 2000.00 0.00 92.63 7.98 53812 (1) (1550.00) (1) (1550.00) [92.67] [7.93] 2008 March 12 1000.00 83 5816.82 3 1000.00 0.00 93.09 7.44 59755 (2) (272.65) (2) (272.65) [93.09] [7.44] March 26 1000.00 79 5573.36 5 1000.00 0.00 93.17 7.35 57205 (0) (0.00) (0) (0.00) [93.18] [7.34] Figures in the square brackets represent weighted average price and the respective yield. Figures in brackets represent numbers and amounts of non-competitive bids which are not included in the total.the good corporate performances, the size of advance tax outflows has risen; even so the skirmishes in the overnight market have been minimal. However, in a proac-tive step, the RBI undertook special liquid-ity support measures so as to minimise distortions in the money market apart from the normal liquidity adjustment facility (LAF) window (Table 1, p 23). But, as the inflation rate surged from 5.2 per cent in February to 7.41 per cent, the finance minister undertook a number of measures to combat inflation which was attributed to a global phenomenon and said that growth may have to be sacrificed to contain inflation and the RBI governor said that the spurt in inflation was unexpected. Thus, the market expectations of a rate cut following the easing of inter-est rates in the US were thwarted. The initial euphoria about the central govern-ment’s lower borrowing programme indi-cated in the budget waned due to the possible impact of the financing of loan waiver scheme, the impending burden of the Sixth Pay Commission recommenda-tions and oil bonds, given the record rise in international crude oil prices, on government finances – all portending heavy fiscal repercussions. In the forex market, the rupee-dollar ex-change rate touched a six-month low due to global risk aversion, weaknesses in the domestic stock markets and upsurge in inter-national crude oil prices. The turmoil in the US financial markets continued, adversely affecting the investors’ confidence and the downside risks to growth remained; the US Fed resorted to unconventional measures to restore the shaken confidence triggered by the collapse of one of the world’s largest investment banks, Bear Stearns & Co Inc, whose takeover was announced at a price of $ 2 per share, which shocked the markets globally. The Fed supported its takeover finally by another investment bank at a higher price as well as effected substantial cuts in the USFed rate. With some weaken-ing of the rupee,the exporters began bring-ing in their receivables and importers covering their positions. Consequently, the rupee edged up. 2.1 CallMoney Market Despite huge advance tax outflows follo-wed by the holiday-shortened week and year-end considerations, the money mar-ket rates ruled within the informal cor-ridor set by the RBI in the form of reverse repo (6.5 per cent) and repo (7.75 per cent) rates except for a few days during the month. While inter-bank call rates overshot the repo rate on six occasions, the market repo rates surged above it only on four instances and the collater-alised borrowing and lending obligation (CBLO) rates, only a couple of times dur-ing the month. The volatility in short-term rates,though higher than that in February 2008, has been much lower than that in March 2006 and March 2007 (Tables 2 and 3, p 24). With the improved liquidity situation due to increased government expenditure, 
(Daily ) Working Days Mar 2008 Monthly Averages (Jan 2001 to February 2008) 
MONEY MARKET REVIEWEconomic & Political Weekly EPW april 26, 200827Appendix Table: Secondary Market Operations in Government Papers: NDS and NDS-OM Deals(Amount in rupees crore) Descriptions Week Ending March 2008: Yield to Maturity on Actual Trading Total for the Month 28 21 14 7 of March 2008 AMT YTM CY AMT YTM CYAMT YTM CY AMT YTM CYAMT YTM CY1TreasuryBills A 91-Day Bills 1350.11 7.11 84.65 7.08 347.42 7.16 356.78 7.25 2138.96 7.14 B 182-Day Bills 596.18 7.05 289.91 6.81 141.54 7.30 123.03 7.22 1150.66 7.04 C 364-Day Bills 877.91 7.19 688.69 7.26 1129.79 7.29 1497.45 7.29 4193.84 7.26 2 GOI Dated Securities A Regular (Per Cent: Year)10.80 , 2008 ---2.00 7.6510.69 20.007.4010.68 ---22.00 7.43 10.6812.00 , 2008 36.00 11.40 12.00 60.00 7.2411.94 10.00 7.3711.93 ---106.008.67 11.9612.10 , 2008 43.40 7.3711.98 ---------43.40 7.3711.9812.25 , 2008 80.50 7.3612.00 0.066.92 11.96 0.017.1011.96 ---80.57 7.3612.005.48, 2009 4790.00 7.49 5.61998.92 7.49 5.611680.00 7.51 5.61750.007.465.618218.92 7.49 5.61 6.65,2009 525.33 7.46 6.70 115.00 7.48 6.70 1462.55 7.51 6.71 340.00 7.51 6.71 2442.88 7.50 6.71 6.96, 2009 OMC SB ------25.00 8.15 7.04 50.00 8.12 7.04 75.00 8.13 7.04 7.33 , 2009 OIL MKT BONDS ---60.00 8.21 7.39 ------60.00 8.21 7.3911.99 , 2009 27.87 7.49 11.49 ---5.607.5411.48 ---33.47 7.5011.485.87 , 2010 672.00 7.486.03 605.00 7.486.03 865.00 7.51 6.03 2145.05 7.476.03 4287.05 7.486.037.55,2010 11.577.457.540.057.387.530.297.427.53 - --11.917.457.54 11.30 , 2010 75.00 7.54 10.47 200.00 7.50 10.46 325.00 7.60 10.47 245.00 7.54 10.45 845.00 7.55 10.4611.50 , 2010 ---225.007.5610.66 ------225.007.5610.66 12.25 , 2010 26.70 7.49 11.17 260.00 7.56 11.18 4.09 7.48 11.15 640.00 7.57 11.16 930.79 7.57 11.166.57, 2011 10.00 7.506.73 ---------10.00 7.506.73 9.39,2011 5.20 7.61 8.94 20.71 7.52 8.91 6.80 7.52 8.91 10.15 7.55 8.92 42.86 7.54 8.926.85, 2012 ---3.00 7.597.03 ---5.007.53 7.02 8.00 7.557.02 7.40,2012 125.00 7.47 7.42 50.00 7.54 7.44 45.92 7.56 7.44 0.38 7.92 7.54 221.30 7.51 7.43 7.47, 2012 OIL MKT BONDS ---500.00 8.56 7.75 180.00 8.53 7.74 ---680.00 8.55 7.759.40, 2012 0.607.748.86 ---15.00 7.688.83 ---15.60 7.688.83 10.25 , 2012 0.18 7.52 9.35 ---66.29 7.60 9.37 25.00 7.64 9.38 91.47 7.61 9.3711.03 , 2012 6.087.779.87 ---0.088.34 10.07 ---6.167.78 9.887.27,2013 794.80 7.627.39296.20 7.53 7.35533.20 7.52 7.35457.70 7.50 7.352081.90 7.567.3612.40 , 2013 2.307.7310.31 0.557.62 10.26 3.507.6810.28 ---6.35 7.6910.29 7.37,2014 123.15 7.75 7.51 - - - 95.00 7.53 7.43 163.00 7.52 7.42 381.15 7.59 7.4511.83 , 2014 10.37 7.729.78 35.00 7.729.7735.02 7.67 9.7595.00 7.639.73175.39 7.669.747.38,2015 145.91 7.677.50 1.00 7.57 7.46690.16 7.56 7.4548.25 7.57 7.46885.33 7.587.467.59,2016 5.207.777.67 ---151.807.567.58195.627.577.58352.627.577.58 7.46,2017 21.50 7.81 7.64 0.04 7.65 7.55 5.00 7.59 7.53 0.71 7.29 7.37 27.25 7.76 7.61 7.49,2017 1107.47 7.75 7.62 210.26 7.58 7.53 420.85 7.55 7.52 1032.12 7.53 7.51 2770.70 7.62 7.56 7.99,2017 12455.43 7.76 7.88 5079.57 7.61 7.79 10632.62 7.58 7.78 9728.59 7.56 7.77 37896.21 7.64 7.81 8.07,2017 6.19 7.77 7.92 10.00 7.65 7.86 405.29 7.57 7.82 240.00 7.54 7.81 661.48 7.56 7.826.25,2018 63.70 7.867.0114.70 7.887.023.60 7.74 6.957.787.596.8889.787.847.00 5.64,2019 6.09 7.97 6.77 0.40 7.71 6.64 5.90 7.79 6.68 0.60 7.73 6.65 12.99 7.87 6.72 6.05,2019 45.12 7.97 7.04 5.50 7.89 7.00 0.23 7.65 6.87 1.05 7.84 6.97 51.90 7.96 7.036.35,2020 5.728.067.291.037.737.100.447.677.07 - --7.197.997.257.75, 2021OMC SB ---------230.008.488.23230.008.488.23 7.94, 2021 45.00 8.04 8.01 0.25 7.74 7.81 ---25.00 7.81 7.86 70.25 7.96 7.958.13,2021OMCSB20.008.658.48 ---18.968.488.360.158.428.3339.118.578.4210.25 , 2021 30.20 8.008.68 ---0.047.82 8.560.187.82 8.5630.43 8.008.688.08, 2022 ------50.00 7.907.94---50.00 7.907.94 8.15, 2022 FCISB 4.61 8.52 8.41 3.35 8.51 8.40 1.61 8.50 8.39 11.16 8.47 8.38 20.73 8.49 8.39 8.20,2022 306.76 8.08 8.12 67.00 7.89 7.99 755.72 7.84 7.96 718.33 7.78 7.92 1847.81 7.86 7.97 8.35,2022 31.34 7.98 8.10 160.00 7.85 8.01 60.34 7.83 8.00 845.18 7.78 7.96 1096.86 7.80 7.98 6.17,2023 18.69 8.05 7.38 1.00 7.78 7.19 18.00 7.81 7.22 7.00 7.80 7.21 44.69 7.91 7.286.30, 2023 0.658.177.50 ---5.447.857.29---6.097.887.31 8.01, 2023 OMCSB 311.33 8.64 8.46 31.69 8.54 8.40 215.01 8.51 8.37 213.85 8.50 8.36 771.88 8.56 8.41 8.30, 2023 FERTSB 185.92 8.61 8.53 105.29 8.56 8.49 138.47 8.52 8.46 75.65 8.50 8.45 505.33 8.56 8.49 8.03, 2024 FCISB - - - 0.04 8.48 8.36 1.00 8.52 8.40 9.00 8.48 8.36 10.04 8.48 8.37 8.20, 2024 OMCSB 118.54 8.63 8.51 10.81 8.54 8.45 2.90 8.50 8.42 48.40 8.48 8.40 180.65 8.58 8.48 7.95, 2025 OMCSB 85.03 8.62 8.45 49.23 8.55 8.40 41.60 8.57 8.42 24.80 8.49 8.35 200.66 8.58 8.427.95, 2026 FERTSB157.45 8.78 8.59 ------0.558.558.41158.018.78 8.58 8.23, 2027 FCISB 195.92 8.61 8.53 28.21 8.55 8.48 28.15 8.50 8.44 36.97 8.48 8.43 289.25 8.57 8.508.26 , 2027 ------25.00 8.188.20---25.00 8.188.20 6.01,2028 9.75 8.12 7.56 1.50 8.15 7.60 5.05 7.79 7.32 0.23 8.03 7.51 16.53 8.02 7.496.13,2028 3.608.097.604.357.947.486.007.767.34 - --13.957.907.45 7.95,2032 145.00 8.13 8.10 20.50 8.02 8.02 285.00 8.00 7.99 285.10 7.94 7.94 735.60 8.00 8.00 8.33,2036 2200.22 8.29 8.30 732.35 8.11 8.13 4554.12 8.07 8.10 5027.55 7.97 8.01 12514.24 8.07 8.10 Sub-total 25110.72 7.78 7.44 9971.50 7.69 7.72 23910.51 7.70 7.61 23742.26 7.68 7.71 82734.98 7.72 7.60 B RBI’s OMO: Sales 369.00 - - 55.00 - - 30.00 - - - - - 454.00 Purchase ------840.00 --195 --1035.00 Sub-total 369.00 --55.00 --870.00 --1940.00 --3234.00 (A+B) 25479.72 7.78 7.44 10026.50 7.69 7.72 24780.51 7.70 7.61 25682.26 7.68 7.71 85968.98 7.72 7.603 MarketRepo 76188.01 41792.85 116455.90 85971.53 320408.29 4 State Govt Securities 592.58 8.13 9.01 86.22 8.18 8.31 318.82 8.17 8.42 116.71 7.98 8.55 1114.33 8.13 8.74 Grand total (1 to 4) 105084.51 52968.82 143173.97 113747.76 414975.06 (-) Means no trading. YTM = Yield to maturity in percentage per annum. CY = Current yield in per cent per annum. SGL = (RBI’s) Subsidiary General Ledger. OMO = Open Market Operations. OMC SB = Oil Marketing Companies Special Bonds. NDS = Negotiated Dealing System. OM = Order Matching Segment. Securities with small-size transactions (Rs 5 crore or less) have been dropped from the above list but included in the respective totals. (1) Yields are weighted yields, weighted by the amounts of each transaction. (2) Current yield has not been worked out for treasury bills. (3) For Floating Rate Bonds (FRB’s) Current yields are based on the latest half-year yield determined in the auction.
3/3 3/5 3/7 3/9 3/11 3/13 3/15 3/17 3/19 3/21 3/23 3/25 3/27 Weighted Averages of Call Rates (%) (Right axis) 1 month (Left axis) 6 month (Left axis) 
7 7.5 8 8.5 9 2 4 6 8 10 12 14 16 18 20 25 29 Years to Maturity Week ending March 7 Week ending March 28 
