Money Market

Instruments, Institutions and

Using the Market Activity Data

Money Market Basics

A market for short term financial assets
Money or close substitutes of money instruments
that can be quickly converted to money
Maturity - overnight to less than 1 year
Much of the activity in this market is concentrated
in overnight funds today
This will likely change - New Framework
Role of money market
Match short term surplus funds of lenders and the
requirements of the borrowers
Provides important clues for central bank intervention
Smoothening liquidity flows
Facilitates price discovery at short end
Signal movements in short term interest rates

Importance of Money Market

Short term interest rates and trading volumes in
different segments provide valuable signals to the
entire set of financial markets
Significant shocks to the financial system are first
felt at the shortest end overnight
Developments elsewhere get spilled over into the
money market
Large inflows or outflows of forex
A big institution facing payment crisis
A firm closing a big-sized IPO (say Rs.25 K cr)
Barometer of the health of the financial markets
Inefficiency or friction here, if not dealt with timely
and efficiently, may lead to long term adverse
consequences to the financial system

Money Market Instruments and Players

Call/Notice/Term Banks and PDs
Call Money Overnight
Notice Money 2-14 days
Term Money 15 days to 1 year
Major volumes in Call market Fridays and long
holidays result in notice money activity
Commercial Paper (rated unsecured instrument)
Discounted instrument
Issuers Corporates, PDs, All India FIs (7 day to one
year, Typical 90 day)
Investors Banks, Mutual Funds, Fis, Corporates
Instrument not widely used Volume of outstanding
CPs currently at 4.8% of bank credit. Two years ago it
was 3% - hence of late things seem to be changing
Find out reasons for its low popularity (its been
around for 25 years now) and recent growth in use

Money Market Instruments and Players

Certificate of Deposit (CD)
Issuers Scheduled Commercial Banks and select All
India FIs (7 day to one year)
Investors Non Bank Firms, Mutual Funds, Fis
Banks use this to mobilize bulk deposits
CBLO
Special instrument
CCIL is the single counterparty for all
Bank and non-bank participants
Most useful for non-bank players
Market Repo (G Secs) and Market Repo (Corp, Bonds)
Bank and non-bank participants
In possession of the required Collateral
Who cannot participate in LAF
Longer duration commitments possible
NCDs issuers are corporates and NBFCs, rating is
mandatory (90 days to one year)
T- Bills issued by GoI (91, 182 364 Day Maturity)

Average Daily Turnover in Select Financial Markets (Rs.B)

Item

2012-13

2015-16

1 Call Money

250.1

223.6

2 Notice Money

73.2

51.1

3 Term Money

9.4

5.8

4 CBLO

832.7

1288.4

5 Market Repo

747.8

1256.9

0.1

1.7

6 Repo in Corporate Bond

(Amount in billion, Rate in Per cent)

MONEY MARKETS as on aug 19, 2016
Wtd.Avg.
Volume
Range
Rate
A. Overnight Segment (I+II+III+IV)

93.54

6.01

1.90-6.70

I. Call Money

27.80

6.33

5.00-6.50

II. CBLO

48.38

5.58

1.90-6.50

17.36

6.67

6.60-6.70

III. Market Repo

IV. Repo in Corporate Bond

0.00

B. Term Segment
I. Notice Money**

215.25

6.40

5.00-6.60

II. Term Money@@

6.20

6.40-6.90

III. CBLO

613.64

4.79

2.00-6.10

IV. Market Repo

931.52

6.40

5.45-6.60

0.00

V. Repo in Corporate Bond

Call/Term/Notice Market - Limits

Player

Borrowing

Lending

Scheduled
Commercial
Banks

Not to exceed
100% of capital
(one day 125%)

Not to exceed
25% of capital
(one day 50%)

Cooperative
Banks

Not to exceed 2% No limit

of aggregate
deposits

Primary Dealers

Not to exceed
225% of NOF

Not to exceed
25% of NOF

Basis: Capital, Deposits and NOF as per Latest

Audited Accounts
Daily average on a reporting fortnight period

CBLO
Collateralized Borrowing and Lending Obligation
Instrument backed by G Secs as collaterals
Instrument developed by CCIL - for entities who do
not have access to the call money market
Discounted instrument in electronic book entry form
Maturity 1 day to 90 days (1 yr also possible)
CCIL provides trading, clearing, settlement system
CBLO
An obligation by the borrower to return the money
borrowed, at a specified future date
An authority to the lender to receive money lent,
at a specified future date with an option/privilege
to transfer the authority to another person
Creates charge on securities held in custody (with
CCIL) for the amount borrowed/lent

CCIL www.ccilindia.com
Monthly publication - rakshitra
Clearing Corporation of India Ltd
Set up in 2001 trading, clearing and settlement of
money, foreign exchange and government securities
market transactions
Trading platform NDS
All segments of money, forex, Gsec market and all
products under one platform
Since the launch of NDS, money market
instruments have shifted to this platform from the
earlier informal/phone mode.
Risk management
Information dissemination

Liquidity Adjustment Facility

Net Injection (+) Net Absorption (-)
Week ending
(Fixed plus Variable rate repos and
(average daily amounts reverse repos)
during the week)
Amount in Rs crore
Mar 31, 2016
Mar 24, 2016
Mar 18, 2016
Mar 11, 2016
Mar 4, 2016
Feb 26, 2016
Feb 19, 2016
Feb 12, 2016
Feb 5, 2016
Jan 29, 2016
Jan 22, 2016
Jan 15, 2016
Jan 8, 2016
Jan 1, 2016
Dec 23, 2015

15208
14503
30876
29283
27474
24465
21885
56337
8610
35559
32440
37462
24316
19463
43785

Week ending
(average daily amounts
during the week)
Aug 19, 2016
Aug 12, 2016
Aug 5, 2016
Jul 29, 2016
Jul 22, 2016
Jul 15, 2016
Jul 8, 2016
Jul 1, 2016
Jun 24, 2016
May 27, 2016
May 20, 2016
May 13, 2016
May 6, 2016
Apr 29, 2016
Apr 22, 2016
Apr 15, 2016

Liquidity Adjustment Facility

Net Injection (+) Net Absorption (-)
Amount in Rs crore
-20404
5508
-17063
-3729
-5631
-6785
-31160
-17788
-3663
7548
21496
26167
12056
8261
13171
1833

Certificates of Deposit (Rupees Billion; Rate in per cent)

Fortnight
ended
Jul 8, 2016
Jun 24, 2016
Jun 10, 2016
May 27, 2016
May 13, 2016
Apr 29, 2016
Apr 15, 2016
Apr 1, 2016
Mar 18, 2016
Mar 4, 2016
Feb 19, 2016
Feb 5, 2016
Jan 22, 2016
Jan 8, 2016
Dec 25, 2015
Dec 11, 2015

Total amount Issued during Minimum Rate Maximum Rate

Outstanding the fortnight
of Interest
of Interest
1
2
3
4
1,760.4
129.2
6.52
7.57
1,802.4
170.1
6.76
7.56
1,875.3
216.3
6.96
7.66
2,305.0
93.2
7.12
7.66
2,516.4
77.8
7.30
7.62
2,541.3
206.6
7.10
7.80
2,383.2
142.3
7.06
8.03
2,446.7
567.0
7.79
8.53
2,105.9
678.6
7.18
8.55
2,059.7
492.7
7.50
8.71
2,243.8
282.4
7.30
8.51
2,177.3
182.1
7.25
8.25
2,174.9
106.3
7.20
7.90
2,002.2
297.8
7.09
7.77
2,065.6
299.2
7.25
7.78
1,892.6
296.6
7.24
7.75

Auctions of Government of India Treasury Bills (Rupees crore)

Received
Implicit Yield
Spread
Bid to
Date of
Notified
at Cut-off
from
Total FV
Notified
Auction
Amount
Price (Per
Repo in
Ratio
Competitive
cent)
BP
91-day Treasury Bills
23-Dec-2015
8000
34025
7.2274
4.3
48
06-Jan-2016

9000

31318

7.2274

3.5

48

20-Jan-2016

9000

23687

7.3105

2.6

56

03-Feb-2016

8000

25139

7.3521

3.1

60

17-Feb-2016

8000

32914

7.3521

4.1

60

02-Mar-2016

8000

50308

7.2689

6.3

52

16-Mar-2016

8000

32097

7.2689

4.0

52

30-Mar-2016

2.3

52

23-Dec-2015

8000
18764
7.2689
364-day Treasury Bills
6000
24891
7.2470

4.1

50

06-Jan-2016

6000

36596

7.2124

6.1

46

20-Jan-2016

6000

31713

7.2124

5.3

46

03-Feb-2016

6000

23922

7.2700

4.0

52

17-Feb-2016

6000

18224

7.2816

3.0

53

02-Mar-2016

6000

29356

7.1893

4.9

44

Auctions of Government of India Treasury Bills (Rupees crore)

Received
Implicit Yield
Spread
Bid to
Date of
Notified
at Cut-off
from
Total FV
Notified
Auction
Amount
Price (Per
Repo in
Ratio
Competitive
cent)
BP
91-day Treasury Bills
11-May-2016
9000
44548
6.8536
4.9
35
25-May-2016

9000

50213

6.8536

5.6

35

08-Jun-2016

9000

96503

6.8121

10.7

31

22-Jun-2016

9000

62552

6.7706

7.0

27

05-Jul-2016

9000

107456

6.6048

11.9

10

20-Jul-2016

9000

82710

6.5634

9.2

03-Aug-2016

9000

79378

6.5634

8.8

16-Aug-2016

7.5

11-May-2016

8000
59674
6.5634
364-day Treasury Bills
6000
21620
6.9480

3.6

45

25-May-2016

6000

16626

6.9595

2.8

46

08-Jun-2016

6000

30961

6.9480

5.2

45

22-Jun-2016

6000

21363

6.9022

3.6

40

05-Jul-2016

6000

20846

6.8106

3.5

31

20-Jul-2016

6000

26099

6.7421

4.3

24