Professional Documents
Culture Documents
March 2018
March 2018 CONTENTS
S. No. Particulars Page No.
3. lobal News 2
a. Capital Raised 4
b. New Listings 4
a. Index Watch 5
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1. Key Highlights of the Report
1. The benchmark index NIFTY 50 depreciated by 3.61% in the current month and closed at 10113.7 experiencing a
2. During the month the volatility index India VIX appreciated by 14.14% and closed at 15.76 experiencing a high of
3. The average equity volume was seen at Rs 31308Cr vs Rs 25284 Cr; up by 23.8% on YoY basis.
4. The average equity derivative volume was seen at Rs 94527 Cr vs Rs 69675 Cr; up by 35.7% on YoY basis.
US Federal Reserve releases paper on ‘US Monetary Policy and International Bond Markets’
Among financially interconnected economies, unanticipated changes in the stance of monetary policy in one country
can quickly “spill over” to other countries. The 2008–09 global financial crisis and its aftermath--a period during
which the Federal Reserve and many other central banks implemented new and unconventional forms of monetary
stimulus has sparked intense interest in international monetary policy spillovers. One such spillover is called the
financial spillover channel. In general, monetary policy easing lowers domestic longer-term interest rates and raises
the price of risky financial assets in the home country. With highly integrated global financial markets, investor
portfolio rebalancing efforts will lead to capital flows to foreign countries, exerting downward pressure on foreign
longer-term yields (buying will increase bond prices and lower yields) and upward pressure on foreign asset prices.
In a paper by US Federal Reserve that attempted to analyze this international spillover channel, the sample period
used is from January 2, 1992, to May 30, 2014, which is divided into two distinct policy regimes:: (1) a conventional
monetary policy regime, a period in which the primary policy instrument was the federal funds rate; and (2) an
unconventional monetary policy regime, during which the funds rate has been stuck at the effective lower bound.
During the unconventional monetary policy regime (assumed to have begun on November 25, 2008), the Federal
Reserve implemented different forms of forward guidance regarding the future path of the federal funds rate. They
also implemented a number of Large-Scale Asset Purchase programs (LSAPs), the primary goal of which was to
influence longer-term yields on US Treasury and agency MBS securities through direct purchases of those assets.
The authors rely on the intraday changes in the two-year US Treasury yield within a narrow window surrounding
Federal Open Market Committee (FOMC) and other policy announcements to identify unanticipated US policy
actions.
The authors find that conventional US monetary policy is transmitted very effectively to both shorter- and longer-term
bond yields of advanced foreign economies. In comparison, US unconventional monetary policy operates primarily
through the long-end of the yield curve. In other words, there is virtually no passthrough of unconventional monetary
policy to yields on shorter-term government bonds issued by the advanced foreign economies. However, the degree
of passthrough is, on balance, roughly similar to that estimated for the conventional policy regime. US unconventional
monetary policy had large effects on longer-term interest rates in emerging markets, a finding consistent with that
for advanced foreign economies. To summarize, US unconventional monetary policy measures induced a significant
portfolio reallocation among investors and led to a notable repricing of risk in global financial markets.
For more details see :
https://www.federalreserve.gov/econres/feds/files/2018014pap.pdf
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3. Global News
Separate limit of Interest Rate Futures (IRFs) for Foreign Portfolio Investors (FPIs) (SEBI: March 8, 2018)
Reserve Bank of India, in its Statement on Developmental and Regulatory Policies, released on August 02, 2017,
proposed to allocate a separate limit of Rs. 50bn to Foreign Portfolio Investors (FPIs) for taking long position in
Interest Rate Futures (IRFs) in order to facilitate further market development and to ensure that FPIs’ access to bond
futures remains uninterrupted during the phase when FPI limits on Government securities are under auction. The
limits prescribed for investment by FPIs in Government Securities (currently Rs. 3015bn) are exclusively available for
investment in Govt. Securities only.
The limit of Rs. 50bn separately allocated to FPIs for taking long position in IRFs would be calculated as follows:
a. For each interest rate futures instrument, position of FPIs with a net long position will be aggregated. FPIs with a
net short position in the instrument will not be reckoned.
b. No FPI can acquire net long position in excess of Rs.18bn at any point of time
For monitoring the limit, Stock Exchanges, after consulting amongst themselves, have to adhere to the following
mechanism:
a. Put in place necessary mechanism for monitoring and enforcing limits of FPIs in IRFs.
b. Aggregate net long position in IRF of all FPIs taken together at end of the day and shall jointly publish/ disseminate
the same on their website on daily basis
c. Once 90% of the limit is utilized, Stock Exchanges shall put in place necessary mechanism to get alerts and
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publish on their websites the available limit, on a daily basis
d. In case, there is any breach of the threshold limit, the FPI/s whose investment caused the breach shall square off
their excess position/s within five trading days or by expiry of contract, whichever is earlier.
70% to less than 75% To be increased by 50% of the normal applicable Exposure margin from next
trading day
75% to less than 80% To be increased by 100% of the normal applicable Exposure margin from next
trading day
80% to less than 85% To be increased by 150% of the normal applicable Exposure margin from next
trading day
85% to less than 90% To be increased by 200% of the normal applicable Exposure margin from next
trading day
90% to less than 95% To be increased by 300% of the normal applicable Exposure margin from next
trading day
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6. Performance of Global Indices
Change
Indices Mar-18 Feb-18 Mar-17
MOM YOY
NIFTY 10113.70 10492.85 9173.75 -3.61% 10.25%
DJIA 24103.11 25029.20 20663.22 -3.70% 16.65%
NIKKEI 21454.30 22068.24 18909.26 -2.78% 13.46%
HANGSENG 30093.38 30844.72 24111.59 -2.44% 24.81%
NASDAQ 7063.45 7273.01 5911.738 -2.88% 19.48%
140
130
120
110
100
90
Jul-17
Nov-17
Apr-17
Jun-17
Sep-17
Dec-17
Feb-18
Mar-17
May-17
Oct-17
Jan-18
Mar-18
Aug-17
a. Capital Raised
b. New Listings
Sr. No. Symbol Name of the Company Series Date of Listing
1 GMMPFAUDLR GMM Pfaudler Limited EQ 05-Mar-2018
2 CKPLEISURE CKP Leisure Limited SM 06-Mar-2018
3 HGINFRA H.G. Infra Engineering Limited EQ 09-Mar-2018
4 HINDCON Hindcon Chemicals Limited SM 09-Mar-2018
5 SARVESHWAR Sarveshwar Foods Limited SM 15-Mar-2018
6 UNIINFO Uniinfo Telecom Services Limited SM 15-Mar-2018
7 MACPOWER Macpower CNC Machines Limited SM 22-Mar-2018
8 BDL Bharat Dynamics Limited EQ 23-Mar-2018
9 MDL Marvel Decor Limited SM 23-Mar-2018
10 TARACHAND Tara Chand Logistic Solutions Limited SM 23-Mar-2018
11 SUNDARMHLD Sundaram Finance Holdings Limited EQ 26-Mar-2018
12 ERFLNCDI Edelweiss Retail Finance Limited N1 26-Mar-2018
13 BANDHANBNK Bandhan Bank Limited EQ 27-Mar-2018
14 HAL Hindustan Aeronautics Limited EQ 28-Mar-2018
15 URAVI Uravi T and Wedge Lamps Limited SM 28-Mar-2018
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8. Equity & Equity Derivatives
a. Index Watch
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b. Trade Statistics & Growth
Cash Market
50000 10500
45000
10400
40000
Turnover (INR Crore)
35000
10300
Rs. 31308 Crore
NIFTY50 Index
30000
25000 10200
20000 Average Daily Turnover
10100
15000 for Mar 2018
10000
10000
5000
0 9900
Instrument Feb-18 Feb-17 YOY Change Instrument Feb-18 Jan-18 MOM Change
Daily Average T/O Rs Cr. 31308 25284 23.8% Daily Average T/O Rs Cr. 31308 33668 -7.0%
1800000
10400
1600000
Turnover Rs lacs
Index value
1400000
10300
1000000 10200
800000
10100
Average Daily Turnover
600000
400000
for Mar 2018
10000
200000
0 9900
Daily Average Turnover Rs. Crs Daily Average Turnover Rs. Crs
Instrument Instrument
Mar-18 Mar-17 % Change Mar-18 Feb-18 % Change
Index Futures 28021 15818 77.1% Index Futures 28021 29277 -4.3%
Stock Futures 62985 52188 20.7% Stock Futures 62985 71271 -11.6%
Index Options Premium 2958 1253 136.2% Index Options Premium 2958 3026 -2.2%
Stock Options Premium 562 417 34.8% Stock Options Premium 562 725 -22.5%
Total 94527 69675 35.7% Total 94527 104299 -9.4%
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c. Instrument wise Turnover
STK OPT
0.6%
IDX OPT
3.1%
IDX FUT
29.6%
Index derivatives contributed
STK FUT
32.77% of total
66.6%
equity derivatives turnover.
Cash Markets
Cash Market Equity Derivatives
EQUITY DERIVATIVES
DII
RETAIL 4.15%
42.84%
RETAIL
Proprietary Client FII
PRO Client DII 37.05%
26.75% 73.25% 17.95%
18.73% 81.27% 11.43%
CORPORATES
9.68% FII CORPORATES
17.32%
14.11%
IndexFUTIDX
Futures StockFUTSTK
Futures
DII
5.5%
RETAIL
Client 43.3% RETAIL
Proprietary DII Proprietary Client
70.8% 34.6% FII
29.2% 1.7% 24.8% 75.23%
20.4%
Index Options
OPTIDX DII Stock Options
0.1% OPTSTK
DII
0.0%
Proprietary RETAIL
Client 31.1% FII Client FII
43.1% Proprietary RETAIL
56.9% 15.4% 60.26% 35.6% 11.9%
39.7%
CORPORATES,
10.4% CORPORATES
12.8%
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Currency Derivatives
CURRENCY DERIVATIVES
FII
DII 3.33%
1.03%
PRO Client
CORPORATES
69.00% 31.00% RETAIL
9.87%
16.77%
e. Participant wise Open interest - as on Mar 27, 2018, i.e. one day prior to equity derivatives expiry
Future Index Long Future Index Short Future Stock Long Future Stock Short
70.0% 60.0%
59.4% 52.2%
60.0% 50.0%
50.0% 40.0%
40.0% 28.0%
31.1% 30.0%
21.2%
30.0% 20.0% 14.3%
20.0% 14.1% 9.3%
9.4% 10.0% 5.5%
7.4% 0.0%
10.0%
0.1% 0.0% 0.0%
0.0% Client DII FII Pro
Client DII FII Pro
Option Index Put Long Option Index Put Short
Option Stock Call Long Option Stock Call Short
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f. Internet Based Trading Turnover
Number of Trades
10000
Peak Turnover (Rs Cr.) 10821.00 Peak Turnover (Rs Cr.) 516340.00
Average Traded value (Rs Cr.) 9407.16 Average Traded Value (Rs Cr.) 274797.11
80
1.0%
Spread Points
60
0.5%
40
20 0.0%
-20
INDEX NIFTY50 NIFTY BANK NIFTY IT NIFTY INFRA NIFTY PSE NIFTY MIDCAP 50 INDIA VIX
NIFTY50 100% 90% 39% 95% 76% 84% -59%
NIFTY BANK 90% 100% 22% 84% 57% 89% -49%
NIFTY IT 39% 22% 100% 37% 20% 30% -16%
NIFTY INFRA 95% 84% 37% 100% 72% 83% -55%
NIFTY PSE 76% 57% 20% 72% 100% 68% -43%
NIFTY MIDCAP 50 84% 89% 30% 83% 68% 100% -45%
INDIA VIX -59% -49% -16% -55% -43% -45% 100%
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11. Most Active Securities based on Turnover
Sr. No. Symbol Gross Traded Quantity (Lacs) Gross Traded Value (Cr) % Contribution
1 TCS 727 20984 3.53%
2 TATASTEEL 2137 12942 2.18%
3 SBIN 4911 12350 2.08%
4 RELIANCE 1328 12055 2.03%
5 HDFC 598 10845 1.83%
NIFTY
BANKNIFTY 38.6%
35.8%
NIFTY BANKNIFTY
64.1% 61.4%
NIFTY FUTURE - EXPIRY WISE VOLUME NIFTY OPTIONS - EXPIRY WISE VOLUME
NIFTY Futures expiry
(NUMBER wise trading
OF CONTRACTS ) volume NIFTY Options expiry
(NUMBER wise trading
OF CONTRACTS ) volume
May Others
Apr
Apr 2.21% 0.25%
7.45%
14.83%
May
0.30%
Mar Mar
82.96% 92.00%
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13. Currency Derivatives
30
18,000 25
OI Contracts lacs
16,000 32 40
OI contracts Lacs
14,000 20
12,000 24 30
15
10,000
8,000 16
20
10
6,000
4,000 8
10 5
2,000
0 0
- -
Daily Average Turnover Rs. Crs Daily Average Notional Turnover Rs. Crs
Instrument Instrument
Mar-18 Mar-17 YOY Change Mar-18 Mar-17 YOY Change
11191.48 9497.14 17.84% 25.48 34.64 -26.43%
Currency Currency Op-
Mar-18 Feb-18 MOM Change Mar-18 Feb-18 MOM Change
Futures tions
11,191.48 15772.48 -29.04% 25.48 39.29 -35.14%
EURUSD
0.41% EURUSD
2.83%
GBPINR
2.55% GBPINR
JPYINR GBPUSD 8.48%
JPYINR GBPUSD
2.21% 2.29%
0.91% 0.30%
SPREAD
65.1 0.4
SPREAD
0.15
65.0 90.5 0.2
0.10
64.9 0.05
64.8 0.0
0.00 89.5
64.7 -0.05 -0.2
64.6 -0.10 88.5 -0.4
64.5 -0.15
80.5
EURINR RATE
SPREAD
0.2
SPREAD
61.5 0.0
80.0
0.1 -0.1
79.5 61.0
0.0 -0.2
79.0 -0.1
60.5 -0.3
78.5 -0.2
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14. NSE Bond Futures II
3500
185000
3000
Turnover Rs. Crs
165000
2500
OI Contracts
145000
2000 125000 Rs. 1211 Crore
105000
1500
85000
Average Daily Turnover
1000
65000 for mar 2018
500 45000
0 25000
15.00
LOW 11.30
14.75
14.79
CLOSE 15.76
14.50
10 day 30 day 60 day 90 day
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17. Global Perspective
EMEA
7.27%
Index Option
Index Option Index Future
Index Future
EMEA
25.08%
EMEA
14.91% NSE
37.23% Rest of Asia- Pacific
Asia - Pacific Rest of Asia- 28.22%
Asia - Pacific
60.19% Pacific 30.51%
Americas 22.96%
24.90% Americas
44.41%
NSE
2.29%
NSE
EMEA
46.46%
30.90%
EMEA
Asia - Pacific
11.15% Rest of NSE Rest of Asia-
85.98% Asia - Pacific
Americas Asia- 22.77% Pacific
46.26%
2.87% Pacific 23.49%
39.51% Americas
22.84%
Disclaimer:
“The National Stock Exchange of India Limited is proposing, subject to receipt of requisite approvals, market conditions and other considerations, an initial public offer of its equity shares and has filed a Draft Red Herring Prospectus
dated December 28, 2016 (“DRHP”) with the Securities and Exchange Board of India (“SEBI”). The DRHP is available on the websites of SEBI and the BSE Limited at www.sebi.gov.in and www.bseindia.com, respectively and of the
Managers, Citigroup Global Markets India Private Limited at http://www.online.citibank.co.in/rhtm/citigroupglobalscreen1.htm, JM Financial Institutional Securities Limited at www.jmfl.com, Kotak Mahindra Capital Company Limited
at http://www.investmentbank.kotak.com, Morgan Stanley India Company Private Limited at http://www.morganstanley.com/about-us/global-offices/india/, HDFC Bank Limited at www.hdfcbank.com, ICICI Securities Limited at www.
icicisecurities.com, IDFC Bank Limited at www.idfcbank.com and IIFL Holdings Limited at www.iiflcap.com. Investors should not rely on the DRHP for making any investment decision, and should note that investment in equity shares
involves a high degree of risk, and for details see the section titled “Risk Factors” in the red herring prospectus, when available.
Any securities referred to herein have not been and will not be registered under the U.S. Securities Act of 1933, as amended (the “Securities Act”), and may not be offered or sold in the United States absent registration or an exemption
from registration under the Securities Act. There is no intention to register any securities referred to herein in the United States or to make a public offering of the securities in the United States.”
Incase you have any feedback on this reports please feel free to drop a mail to feedback@nse.co.in.
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