Capital Market Segment 4

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4Capital Market Segment

The Capital Market (CM) segment (or the equity market segment) of NSE commenced its operations on November 4, 1995. The turnover in the Capital market segment witnessed a compound annual growth rate of 67.50% from ` 1,805 crore (US $ 574.29 million) in the year 1994-95 to ` 4,138,023 crore (US $ 916,709 million) in 2009-10. The CM segment of NSE provides an efficient and transparent platform for trading for various types of securities such as equity shares, preference shares, debentures, warrants, exchange traded funds as well as retail government securities.

NEAT – CM System

The trading system of NSE Capital Market segment is known as the National Exchange for Automated Trading – Capital Market (NEAT - CM). NEAT - CM is an on-line screen based trading system which is fully automated, nationwide, anonymous and order driven. Under the screen based trading system, a trading member can punch into the computer, the number of securities and the prices at which he would like to transact. The transaction is executed as soon as it finds a matching sell or buy order from a counter party. The various advantages of the screen based trading system are as follows:

• It electronically matches orders on a price/time priority and hence cuts down on time, cost and risk of error, as well as on fraud resulting in improved operational efficiency.

• It allows faster incorporation of price sensitive information into prevailing prices, thus increasing the informational efficiency of markets.

• It enables market participants to see the full market on real-time, making the market transparent. It allows a large number of participants, irrespective of their geographical locations, to trade with one another simultaneously, improving the depth and liquidity of the market.

• It provides tremendous flexibility to the users in terms of kinds of orders that can be placed on the system. It ensures full anonymity by accepting orders, big or small, from members without revealing their identity, thus providing equal access to everybody.

• It provides a perfect audit trail which helps to resolve disputes by logging in the trade execution process in entirety.

• The trading platform of the CM segment is accessed not only from the computer terminals from the premises of brokers spread across various cities, but also from the personal computers in the homes of investors through the Internet.

Market Performance

Trading Volume

In the year 2009-10, the trading volumes increased by 50.36 % to ` 4,138,023 crore (US $ 916,709 million) from ` 2,752,023 crore (US $ 540,142 million) during 2008-09. The average daily trading volume increased from ` 11,325 crore (US $ 2,223 million) during 2008-09 to ` 16,959 crore (US $ 3,757 million) during 2009-10. The remarkable aspect was that the trading volumes in the year 2009-10 showed a growth of 16.53 % over the trading volumes witnessed in 2007-08. The business growth of the CM segment from 1994-95 till 2009-10 is shown in Table 4-1 and Chart 4-1.

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Chart 4-1 : Business Growth of Capital Market Segment

Traded Quantity

The traded quantity registered in the year 2009-10 was 2,215,530 lakh which was 55.33% higher than the number of traded quantity in 2008-09 (1,426,355 lakh). As compared with 2007-08, traded quantity in 2009-10 was higher by 47.85%.

Liquidity

The liquidity in the CM segment, as measured by the turnover ratio, has witnessed a decrease and reached nearly 68.86 % during the year 2009-2010 as compared to 95.02 % during the year 2008-09. The companies available for trading for more than 100 days accounted for 92.86% as indicated in

the table below:

Frequency Distribution of Companies traded During 2009-10

No. of Days Traded No. of companies Traded

Above 100 1301

91-100 15

81-90 3

71-80 9

61-70 2

51-60 23

41-50 6

31-40 6

21-30 9

11-20 14

1-10 13

Total 1401

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The percentage of companies traded compared to the number of companies available for trading is quite high at more than 98% for all the months during the fiscal 2009-10. The month wise statistics are indicated in the table below:

Trading Frequency of Companies during the period 2009-10

Month/Year NSECompanies Available for

Trading* Companies

Traded% of Traded to Available

for Trading Apr-09 1,279 1,266 98.98

May-09 1,280 1,268 99.06

Jun-09 1,282 1,268 98.91

Jul-09 1,287 1,269 98.60

Aug-09 1,288 1,272 98.76

Sep-09 1,287 1,275 99.07

Oct-09 1,291 1,274 98.68

Nov-09 1,292 1,286 99.54

Dec-09 1,303 1,297 99.54

Jan-10 1,338 1,320 98.65

Feb-10 1,342 1,328 98.96

Mar-10 1,359 1,343 98.82

*At the end of the period includes listed/permitted to trade companies but excludes suspended companies

Advance- Decline Ratio

The market climate during 2009-10 can be gauged by the advance/decline ratio which was 1.07. On an average, 644 advances and 624 securities declined during the month. The largest advances took place on May 20, 2009 where 1,166 stocks advanced. The advance-decline ratio details during 2009-10 are presented below:

Month Advances Declines Advance/Decline Ratio

Apr-09 732 495 1.48

May-09 775 431 1.80

Jun-09 576 675 0.85

Jul-09 650 588 1.11

Aug-09 667 582 1.15

Sep-09 632 630 1.00

Oct-09 518 751 0.69

Nov-09 671 607 1.10

Dec-09 673 614 1.10

Jan-10 598 725 0.83

Feb-10 591 715 0.83

Mar-10 646 680 0.95

Average for 2009-10 644 624 1.07

Distribution of Turnover

The concentration of trading among top ‘N’ securities/member is presented in Table 4-2. It is observed that the top ‘5’ and ‘100’ securities account for about 15.43 % and 78.20 % of total turnover in the CM segment in 2009-10. The top ‘50’ securities accounted for 64.24 % of the total turnover, details of which are presented in Table 4-3.

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Member-wise distribution of turnover as presented in Table 4-2 indicates increasing diffusion of trades among a large number of trading members over the years. During 2009-10, top ‘5’ members accounted for only 14.63% of turnover, while top ‘100’ members accounted for 72.71% of total turnover.

City-wise Turnover in the CM Segment

The City wise turnover in the CM Segment of NSE is shown below:( ` crore)

City 2005-06 2006-07 2007-08 2008-09 2009-10

Ahmedabad 3.00 2.90 3.38 5.27 6.96

Bangalore 1.65 1.33 0.80 0.62 0.64

Baroda 0.77 0.89 0.80 0.70 0.58

Bhubaneshwar 0.02 0.02 0.01 0.00 0.00

Chennai 2.77 2.18 1.90 1.97 1.67

Cochin 0.61 0.54 0.51 0.76 1.44

Coimbatore 0.44 0.25 0.20 0.33 0.32

Delhi 13.37 13.54 14.67 14.97 14.88

Guwahati 0.02 0.03 0.02 0.01 0.01

Hyderabad 1.91 1.21 1.26 1.73 1.84

Indore 0.83 0.78 0.65 0.49 0.58

Jaipur 1.15 0.88 0.74 0.56 0.53

Kanpur 0.21 0.17 0.10 0.07 0.07

Kolkata/Howrah 11.39 10.59 10.96 9.24 8.26

Ludhiana 0.32 0.22 0.20 0.17 0.15

Mangalore 0.06 0.06 0.04 0.03 0.02

Mumbai / Thane 52.43 57.06 57.66 55.85 54.52

Patna 0.08 0.06 0.29 0.03 0.3

Pune 0.56 0.41 0.04 0.22 0.21

Rajkot 0.31 0.36 0.75 1.28 1.37

Others 8.10 6.54 5.01 5.70 5.91

Total 100 100 100 100 100.00

Market Capitalisation

The total market capitalisation of securities available for trading on the CM segment increased from ` 363,350 crore (US $ 115,606 million) as at end March 1995 to ` 6,009,173 crore (US $ 1,331,230 million) as at end March 2010. The Market capitalization witnessed an increase of 107.49 % during 2009-10 as compared to the market capitalization of ` 2,896,194 crore (US $ 568,439 million) in 2008-09. As compared with 2007-08, the market capitalization in 2009-10 increased by 23.69 %. The market capitalisation ratio of NSE was 97.49% as of March 31, 2010.

The details of ‘50’ top companies by market capitalisation, which accounted for 62.24 % of total market capitalisation as at end March 2010, are presented in Table 4-4. The companies with the highest market capitalisation as of March 2010 was Reliance Industries Limited followed by Oil and Natural Gas Corporation of India Limited and NTPC Ltd.

Sectoral Distribution of Top 50 Companies

Table 4-5 presents the sectoral distribution of ‘Top 50’ companies based on their trading value and on their market capitalization. In 2009-10, among the top 50 companies, in term of the total

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traded value, the manufacturing companies constituted a share of 27.23% (15.66% in 2008-09) followed by the infrastructure companies with a share of 18.74% (18.78% in 2008-09) and banks with the share of 13.12 % (14.98% in 2008-09).

During 2009-10, among the top 50 companies, in terms of market capitalisation, 31.29% (19.07% in 2008-09) of the total market capitalisation was from the manufacturing sector followed by petrochemicals sector with a share of 19.19% (26.67% in 2008-09) and banks with a share of 11.54% (9.09% in 2008-09).

Trading Records during 2009-10

Ten of NSE’s most active trading days in terms of trading values are presented in Table 4-6. During 2009-10, the highest trading value of ` 40,151.91 crore (US $ 8,894.97 million) was witnessed on May 19, 2009.

The individual securities single day trading records are presented in Table 4-7. Among the top 10 individual securities which registered single day trading records during 2009-10, Reliance Industries Limited was the equity share which recorded the first and the second highest single day trading values during 2009-10 while Reliance Natural Resources Ltd. registered the third highest trading value among the scrips.

Internet Trading

At the end of March 2010, a total number of 363 members were permitted to allow investor’s web based access to NSE’s trading system. The members of the exchange in turn had registered 5,143,705 clients for web based access as on March 31, 2010. During the year 2009-10, 11.13 % of the trading value in the Capital Market segment ( ` 692,789 - US $ 135,974 million) was routed and executed through the internet. The table below shows the growth of internet trading from the fiscal years 2006-07 till 2008-09. Chart 4-2 shows the internet trading volumes in the CM segment of NSE in comparison with the total traded volumes at NSE.

Chart 4-2 : Internet Trading Value in the CM Segment in comparisonwith total trading volumes at NSE

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Year Enabled Members*

Registered Clients*

Internet Trading Volume

( ` crore)

Internet Trading Volume

(US $ million)

% of total trading volume

2006-07 242 2,279,098 337,524 77,432 17.352007-08 305 4,405,134 668,399 167,225 18.822008-09 349 5,627,789 692,789 135,974 25.172009-10 363 5,143,705 921,380 204,116 11.13

* At the end of the financial year Trading volumes are calculated as buy side + sell side turnover

On-line IPOs

The on-line trading system of NSE is used by companies to make IPOs through book building. It is a fully automated screen based bidding system that allows trading members to enter bids on behalf of their clients. All bids received by the system are numbered, time stamped, and stored in the book till the last day of the book building process and the offer price is determined after the bid closing date. While ensuring efficient price discovery, this system reduces time taken for completion of the issue process. 342 companies have used the on-line IPO system of NSE by the end of March 2010. The details of resources raised through IPOs during 2009-10 are discussed in details in Chapter 3 on Listing.

Indices

India Index Services and Products Ltd. (IISL), in technical partnership with S&P, have developed and have been maintaining scientifically an array of indices of stock prices on NSE. The popular indices are the S&P CNX Nifty, CNX Nifty Junior, S&P CNX Defty, S&P CNX 500, CNX Midcap, CNX 100, Nifty Midcap 50, S&P CNX Industry indices and CNX segment indices. S&P CNX Nifty, introduced in April 1996, is based on 50 largest and highly liquid stocks. CNX Nifty Junior, introduced in December 1996, is built out of the next 50 large and liquid stocks. These indices are monitored and updated dynamically and are reviewed regularly. The comparative movement of major sectoral indices along with that of S&P CNX Nifty is presented in Chart 4-3.

Chart 4-3 : Movement of Sectoral Indices: 2009-10

(Index values rebased to 100 for March 31, 2009)

The composition of Nifty 50 and CNX Nifty Junior as at end March 2010 is presented in Table 4-8 and Table 4-9. The industry wise weightages of securities included in S&P CNX Nifty are presented in Table 4-10.

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The movements in S&P CNX Nifty and CNX Nifty Junior are presented in Table 4-11 and Table 4-12 respectively. The Performance of few of the indices is presented in Table 4-13. During 2009-10, the S&P CNX Nifty Index touched its peak of 5302.85 on March 29, 2010. It yielded a point to point positive return of 73.76 % over 2008-09 while CNX Nifty Junior gave returns of 148.45%.

Among the sectoral indices, the CNX IT index was the best performer which yielded returns of 152.55% followed by the S&P CNX Petrochemicals index which earned returns of 114.69% and the CNX Finance Index. which yielded returns of 102.06%.

India VIX*

India VIX is a measure of the implied volatility of Nifty 50 Index Option prices. From the best bid-ask prices of Nifty 50 Options contracts, a volatility figure (%) is calculated which indicates the expected market volatility over the next 30 calendar days. It is an estimate of investor sentiment and is a helpful indicator of the amount the market is expected to "fluctuate" in the near term. Higher the implied volatility, higher the India VIX value and vice-versa.

Volatility indices, such as the India VIX of the NSE, normally have an inverse relationship with the market. When the markets rise, investors get more complacent, which is reflected in lower prices paid to buy protection using options. Put differently, the markets lower their expectations of volatility in an uptrend. When the market corrects, on the other hand, volatility expectations rise, or higher prices are paid to buy protection using options.

Chart 4-4 with the India VIX on the one hand and NSE’s main S&P CNX Nifty index on the other shows that this relationship has largely been maintained during 2009-10. The index was in the range of 17% to 84% during 2009-10. However, on May 22, 2009 it rose sharply 83.71% and the lowest of 17.03 % was recorded on March 25, 2010 This high value of the index indicates that the investors perceive a significant risk of large price changes, causing option premiums to become pricier.

Chart 4-4 : Movement of India VIX and S&P CNX Nifty

* “VIX” is a trademark of Chicago Board Options Exchange, Incorporated ("CBOE") and Standard & Poor’s has granted a license to NSE, with permission from CBOE, to use such mark in the name of the India VIX and for purposes relating to the India VIX.

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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

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MFSS, investors can place an order through a registered NSE member who is eligible to participate in MFSS for subscription/redemption of units. In order to subscribe units, members are required to place buy orders. A member who wishes to redeem units of mutual fund scheme will be required to place sell orders in the system. Participants can choose between physical mode and depository mode while putting their subscription / redemption requests on the MFSS. All orders are settled on order to order basis, on T+1 (working days).

As many as 17 fund houses have joined the NSE MFSS Platform and as on March 31, 2010 and there were 908 sub schemes available for trading. During November 2009 to March 2010, there were 2,392 orders placed for subscription worth ` 91,932,291 and 274 orders worth `26,217,352 were redeemed.

Date Subscription Redemption Total orders

No of orders Total subscription

amount

No of orders Total redemption amount *

Nov 09 - Mar 10 2,392 91,932,291 274 26,217,352 2,666

* Approximate value based on latest NAV.

Charges

Brokerage Charges

The maximum brokerage chargeable by trading member in respect of trades effected in the securities admitted to dealing on the CM segment of the Exchange is fixed at 2.5% of the contract price, exclusive of statutory levies like, securities transaction tax, SEBI turnover fee, service tax and stamp duty. However, the brokerage charges as low as 0.10% are also observed in the market.

Transaction Charges

As per SEBI Regulations, every stockbroker, on the basis of his total turnover, is required to pay annual turnover charges, which are to be collected by the stock exchanges. In order to share the benefits of efficiency, NSE has been reducing the transaction charges over a period of time.

A member was required to pay the exchange, transaction charges at the rate of 0.0035% ( ̀ 3.5 per ` 1 lakh) of the turnover till September, 2009. NSE has, with effect from October, 2009, changed the transaction charges structure to a slab based one, as below:

Total Traded Value in a month Revised Transaction Charges ( ` per lakh of Traded Value)

Up to First ` 1250 crores ` 3.25 each side

More than ` 1250 crores up to ` 2500 crores (on incremental volume)

` 3.20 each side

More than ` 2500 crores up to ` 5000 crores (on incremental volume)

` 3.15 each side

More than ` 5000 crores up to ` 10000 crores (on incremental volume)

` 3.10 each side

More than ` 10000 crores up to ` 15000 crores(on incremental volume)

` 3.05 each side

Exceeding `15000 crores (on incremental volume)

` 3.00 each side

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Securities Transaction Tax (STT)

STT is levied on all transactions of sale and / or purchase of equity shares and units of equity oriented fund and sale of derivatives entered into in a recognised stock exchange.

The existing rates are as follows :-

Sr. No

Taxable securities transaction Rate (%) Payable by

1 Purchase of an equity share in a company or a unit of an equity oriented fund, where –

(a) the transaction of such purchase is entered into in a recognised stock exchange; and

(b) the contract for the purchase of such share or unit is settled by the actual delivery or transfer of such share or unit.

0.125 Purchaser.

2 Sale of an equity share in a company or a unit of an equity oriented fund, where –

(a) the transaction of such sale is entered into in a recognised stock exchange; and

(b) the contract for the sale of such share or unit is settled by the actual delivery or transfer of such share or unit.

0.125 Seller.

3 Sale of an equity share in a company or a unit of an equity oriented fund, where –

(a) the transaction of such sale is entered into in a recognised stock exchange; and

(b) the contract for the sale of such share or unit is settled otherwise than by the actual delivery or transfer of such share or unit.

0.025 Seller.

Clearing & Settlement

While NSE provides a platform for trading to its trading members, the National Securities Clearing Corporation Ltd. (NSCCL) determines the funds/securities obligations of the trading members and ensures that trading members meet their obligations. The core processes involved in clearing and settlement are:

(a) Trade Recording: The key details about the trades are recorded to provide basis for settlement. These details are automatically recorded in the electronic trading system of the exchanges.

(b) Trade Confirmation: The parties to a trade agree upon the terms of trade like security, quantity, price, and settlement date, but not the counterparty which is the NSCCL. The electronic system automatically generates confirmation by direct participants.

(c) Determination of Obligation: The next step is determination of what counter-parties owe, and what counter-parties are due to receive on the settlement date. The NSCCL interposes itself as a central counterparty between the counterparties to trades and nets the positions so that a member has security wise net obligation to receive or deliver a security and has to either pay or receive funds.

(d) Pay-in of Funds and Securities: The members bring in their funds/securities to the NSCCL. They make available required securities in designated accounts with the depositories by the prescribed pay-in time. The depositories move the securities available in the accounts of members to the account of the NSCCL. Likewise members with funds obligations make

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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.

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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

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the members approach their allowable limits. The system enables NSSCL to further check the micro-details of members’ positions, if required and take pro-active action.

The on-line surveillance mechanism also generates various alerts/reports on any price/volume movement of securities not in line with past trends/patterns. For this purpose the exchange maintains various databases to generate alerts. Alerts are scrutinised and if necessary taken up for follow up action. Open positions of securities are also analysed. Besides this, rumors in the print media are tracked and where they are price sensitive, companies are contacted for verification. Replies received are informed to the members and the public.

Off-line Monitoring

Off-line surveillance activity consists of inspections and investigations. As per regulatory requirement, trading members are to be inspected in order to verify the level of compliance with various rules, byelaws and regulations of the Exchange. The inspection verifies if investor interests are being compromised in the conduct of business by the members.

Margin Requirements

NSCCL imposes stringent margin requirements as a part of its risk containment measures. The categorization of stocks for imposition of margins has the structure as given below;

� The Stocks which have traded atleast 80% of the days for the previous six months constitute the Group I and Group II.

� Out of the scrips identified for Group I & II category, the scrips having mean impact cost of less than or equal to 1% are categorized under Group I and the scrips where the impact cost is more than 1, are categorized under Group II.

� The remaining stocks are classified into Group III.

� The impact cost is calculated on the 15th of each month on a rolling basis considering the order book snapshots of the previous six months. On the basis of the impact cost so calculated, the scrips move from one group to another group from the 1st of the next month.

� For securities that have been listed for less than six months, the trading frequency and the impact cost is computed using the entire trading history of the security

Categorisation of newly listed securities

For the first month and till the time of monthly review a newly listed security is categorised in that Group where the market capitalization of the newly listed security exceeds or equals the market capitalization of 80% of the securities in that particular group. Subsequently, after one month, whenever the next monthly review is carried out, the actual trading frequency and impact cost of the security is computed, to determine the liquidity categorization of the security.

In case any corporate action results in a change in ISIN, then the securities bearing the new ISIN shall be treated as newly listed security for group categorization.

Daily margin, comprises of VaR margin, Extreme Loss margin and Mark to Market margin.

1) Value at Risk Margin :

All securities are classified into three groups for the purpose of VaR margin

For the securities listed in Group I, scrip wise daily volatility calculated using the exponentially weighted moving average methodology is applied to daily returns in the same manner as in the

62

derivatives market. The scrip wise daily VaR would be 3.5 times the volatility so calculated subject to a minimum of 7.5%.

For the securities listed in Group II, the VaR margin is higher of scrip VaR (3.5 sigma) or three times the index VaR, and it is scaled up by root 3.

For the securities listed in Group III, the VaR margin is equal to five times the index VaR and scaled up by root 3.

The index VaR, for the purpose, would be the higher of the daily Index VaR based on NSE Nifty 50 or BSE Sensex. The index VaR would be subject to a minimum of 5%.

Security specific Margin: NSCCL may stipulate security specific margins for the securities from time to time.

The VaR margin rate computed as mentioned above will be charged on the net outstanding position (buy value-sell value) of the respective clients on the respective securities across all open settlements. There would be no netting off of positions across different settlements. The VaR margin shall be collected on an upfront basis by adjusting against the total liquid assets of the member at the time of trade. The VaR margin so collected shall be released on completion of pay-in of the settlement

The VaR numbers are recomputed six times during the day taking into account price and volatilities at various time intervals and are provided on the website of the Exchange.

2) Extreme Loss Margin

The Extreme Loss Margin for any security is be higher of 5%, or 1.5 times the standard deviation of daily logarithmic returns of the security price in the last six months. The Extreme Loss Margin is be collected/ adjusted against the total liquid assets of the member on a real time basis

3) Mark to Market Margin

Mark to market loss is calculated by marking each transaction in security to the closing price of the security at the end of trading. In case the security has not been traded on a particular day, the latest available closing price at the NSE is considered as the closing price. In case the net outstanding position in any security is nil, the difference between the buy and sell values is considered as notional loss for the purpose of calculating the mark to market margin payable.

The mark to market margin (MTM) is collected from the member before the start of the trading of the next day. The MTM margin is also collected/adjusted from/against the cash/cash equivalent component of the liquid net worth deposited with the Exchange.

The MTM margin so collected is be released on completion of pay-in of the settlement.

Close Out Facility

An online facility to close–out open positions of members in the capital market segment whose trading facility is withdrawn for any reason, has been provided with effect from June 13, 2007.

On disablement, the trading members will be allowed to place close-out orders through this facility. Only orders which result in reduction of existing open positions at the client level would be accepted through the close-out facility in the normal market. Members would not be allowed to create any fresh position when in the close-out mode, to place close out orders with custodial participant code and to close out open positions of securities in trade for trade segment.

63

Index-based Market-wide Circuit Breakers

a. An index based market-wide circuit breaker system applies at three stages of the index movement either way at 10%, 15% and 20%. These circuit breakers bring about a coordinated trading halt in trading on all equity and equity derivatives markets across the country. The breakers are triggered by movements in either Nifty 50 or Sensex, whichever is breached earlier.

• In case of a 10% movement in either of these indices, there would be a one-hour market halt if the movement takes place before 1:00 p.m. In case the movement takes place at or after 1:00 p.m. but before 2:30 p.m. there would be trading halt for ½ hour. In case movement takes place at or after 2:30 p.m. there will be no trading halt at the 10% level and market would continue trading.

• In case of a 15% movement of either index, there should be a two-hour halt if the movement takes place before 1 p.m. If the 15% trigger is reached on or after 1:00 p.m. but before 2:00 p.m., there should be a one-hour halt. If the 15% trigger is reached on or after 2:00 p.m. the trading should halt for remainder of the day.

• In case of a 20% movement of the index, trading should be halted for the remainder of the day.

NSE may suo moto cancel the orders in the absence of any immediate confirmation from the members that these orders are genuine or for any other reason as it may deem fit. The Exchange views entries of non-genuine orders with utmost seriousness as this has market –wide repercussion. As an additional measure of safety, individual scrip-wise price bands have been fixed as below:

Daily price bands of 2% (either way) on a set of specified securities

Daily price bands of 5% (either way) on a set of specified securities

Daily price bands of 10% (either way) on a set of specified securities

Price bands of 20% (either way) on all the remaining securities (including debentures, preference shares etc. which are traded on CM segment of NSE).

No price bands are applicable on scrip on which derivative products are available or scrips included in indices on which derivative products are available. However in order to prevent members from entering orders at non-genuine prices in such securities, the Exchange has fixed operating range of 20% for such securities.

The price bands for the securities in the Limited Physical Market are the same as those applicable for the securities in the Normal Market. For Auction market the price bands of 20% are applicable.

Settlement Guarantee Fund

The Settlement Guarantee Fund provides a cushion for any residual risk and operates like a self-insurance mechanism wherein members themselves contribute to the fund. In the event of a trading member failing to meet his settlement obligation, then the fund is utilized to the extent required for successful completion of the settlement. This has eliminated counter-party risk of trading on the Exchange. The market has full confidence that settlement shall take place in time and shall be completed irrespective of default by isolated trading members.

64

Cont

d...

Tabl

e 4-

1 :

Busi

ness

Gro

wth

of

CM S

egm

ent

Mon

th &

Ye

arN

o. o

f Tr

adin

g D

ays

No.

of

com

pani

es

Trad

ed

No.

of

Trad

esTr

aded

Q

uant

ity

Tra

ding

Val

ueAv

erag

e D

aily

Tr

adin

g Va

lue

Turn

over

Ra

tio

Dem

at

Trad

ed

Qua

ntit

y

Dem

at T

radi

ng V

alue

Mar

ket

Capi

talis

atio

n

(lak

h)(l

akh)

( `

cr.)

(US

$ m

n.)

( `

cr.)

(U

S $

mn.

)(%

)(l

akh)

( `

cr.)

(U

S $

mn.

)(

` cr

.)

(US

$ m

n.)

1994

-95

(Nov

.-M

ar.)

102

–3

1,39

11,

805

–17

–0.

500

0–

363

,350

11

5,60

6

1995

-96

246

–66

39,9

1267

,287

–27

6–

16.7

60

0–

401

,459

11

6,87

3

1996

-97

250

–26

413

5,56

129

4,50

3–

1,17

6–

70.2

32

6–

419

,367

11

6,88

0

1997

-98

244

–38

113

5,68

537

0,19

3–

1,52

0–

76.8

831

535

1–

481

,503

12

1,80

7

1998

-99

251

–54

616

5,32

741

4,47

497

,683

1,65

138

984

.38

8,54

223

,818

5,61

3 4

91,1

75

115,

760

1999

-200

025

4–

984

242,

704

839,

052

192,

353

3,30

375

782

.23

153,

772

711,

706

163,

159

1,0

20,4

26

233,

933

2000

-01

251

1,20

1 1

,676

32

9,53

61,

339,

510

287,

202

5,33

71,

144

203.

6230

7,22

21,

264,

337

271,

084

657,

847

141,

048

2001

-02

247

1,01

91,

753

278,

408

513,

167

105,

157

2,07

842

680

.58

277,

717

512,

866

105,

095

636,

861

130,

504

2002

-03

251

899

2,39

736

4,06

661

7,98

913

0,10

32,

462

518

115.

0536

4,04

961

7,98

413

0,10

253

7133

113,

081

2003

-04

254

804

3,78

071

3,30

01,

099,

534

253,

407

4,32

999

898

.09

713,

300

1,09

9,53

425

3,40

71,

120,

976

258,

349

2004

-05

253

856

4,50

979

7,68

51,

140,

072

260,

588

4,50

61,

030

71.9

079

7,68

51,

140,

072

260,

588

1,5

85,5

85

362,

419

2005

-06

251

928

6,0

89

844

,486

1

,569

,558

35

1,84

0 6

,253

1,

402

55.7

9 8

44,4

86

1,56

9,55

8 35

1,84

0 2

,813

,201

63

0,62

1

2006

-07

249

1,1

14

7,8

47

855

,456

1

,945

,287

44

6,26

9 7

,812

1,

792

57.7

7 8

55,4

56

1,94

5,28

7 44

6,26

9 3

,367

,350

77

2,50

5

2007

-08

251

1,2

44

11,7

27

1,4

98,4

69

3,5

51,0

38

888

,426

1

4,14

8 3

,540

73

.09

1,49

8,46

9 3,

551,

038

888

,426

4

,858

,122

1

,215

,442

Apr-

0820

1,2

40

1,07

911

4,28

027

1,22

7 5

3,23

4 13

,561

2,6

62

–11

4,28

027

1,22

7 5

3,23

4 5,

442,

780

1,0

68,2

59

May

-08

20 1

,246

1,

071

115,

014

277,

923

54,

548

13,8

96 2

,727

–

115,

014

277,

923

54,

548

5,09

8,87

3 1

,000

,760

Jun-

0821

1,2

56

1,11

510

8,54

826

4,42

8 5

1,90

0 12

,592

2,4

71

–10

8,54

826

4,42

8 5

1,90

0 4,

103,

651

805

,427

Jul-

0823

1,2

67

1,33

713

4,28

529

5,81

6 5

8,06

0 12

,862

2,5

24

–13

4,28

529

5,81

6 5

8,06

0 4,

432,

427

869

,956

Aug-

0820

1,27

41,

067

104,

352

234,

251

45,

977

11,7

13 2

,299

–

104,

352

234,

251

45,

977

4,47

2,46

1 8

77,8

14

Sep-

0821

1,27

51,

132

102,

202

262,

261

51,

474

12,4

89 2

,451

–

102,

202

262,

261

51,

474

3,90

0,18

5 7

65,4

93

65

Cont

d...

Mon

th &

Ye

arN

o. o

f Tr

adin

g D

ays

No.

of

com

pani

es

Trad

ed

No.

of

Trad

esTr

aded

Q

uant

ity

Tra

ding

Val

ueAv

erag

e D

aily

Tr

adin

g Va

lue

Turn

over

Ra

tio

Dem

at

Trad

ed

Qua

ntit

y

Dem

at T

radi

ng V

alue

Mar

ket

Capi

talis

atio

n

(lak

h)(l

akh)

( `

cr.)

(US

$ m

n.)

( `

cr.)

(U

S $

mn.

)(%

)(l

akh)

( `

cr.)

(U

S $

mn.

)(

` cr

.)

(US

$ m

n.)

Oct

-08

201,

277

1,17

810

9,29

921

6,19

8 4

2,43

3 10

,810

2,1

22

–10

9,29

921

6,19

8 4

2,43

3 2,

820,

388

553

,560

Nov

-08

18 1

,282

1,

099

106,

848

173,

123

33,

979

9,61

8 1

,888

–

106,

848

173,

123

33,

979

2,65

3,28

1 5

20,7

62

Dec

-08

21 1

,282

1,

302

144,

793

212,

956

41,

797

10,1

41 1

,990

–

144,

793

212,

956

41,

797

2,91

6,76

8 5

72,4

77

Jan-

0920

1,2

81

1,22

214

5,25

419

1,18

4 3

7,52

4 9,

559

1,8

76

–14

5,25

419

1,18

4 3

7,52

4 2,

798,

707

549

,305

Feb-

0919

1,2

80

969

111

,865

14

9,85

7 2

9,41

3 7

,887

1

,548

–

111

,865

1

49,8

57

29,

413

2,6

75,6

22

525

,147

Mar

-09

20 1

,283

1,

081

129

,614

20

2,79

9 3

9,80

3 1

0,14

0 1

,990

–

129

,614

2

02,7

99

39,

803

2,8

96,1

94

568

,439

2008

-09

243

1,2

77

13,6

50

1,4

26,3

55

2,7

52,0

23

540

,142

1

1,32

5 2

,223

95

.02

1,42

6,35

5 2,

752,

023

540

,142

2

,896

,194

5

68,4

39

Apr-

09 1

7 1

,266

1

,271

1

83,1

56

266

,697

5

9,08

2 1

5,68

8 3

,475

–

183

,156

2

66,6

97

59,

082

3,3

75,0

25

747

,679

May

-09

20

1,2

68

1,4

83

229

,028

3

82,5

61

84,

750

19,

128

4,2

37

– 2

29,0

28

382

,561

8

4,75

0 4

,564

,572

1

,011

,203

Jun-

09 2

2 1

,268

1

,800

2

74,8

51

482

,414

1

06,8

71

21,

928

4,8

58

– 2

74,8

51

482

,414

1

06,8

71

4,4

32,5

96

981

,966

Jul-

09 2

3 1

,269

1

,709

2

19,3

56

426

,143

9

4,40

5 1

8,52

8 4

,105

–

219

,356

4

26,1

43

94,

405

4,8

16,4

59

1,0

67,0

05

Aug-

09 2

1 1

,272

1

,475

1

94,4

27

364

,969

8

0,85

3 1

7,37

9 3

,850

–

194

,427

3

64,9

69

80,

853

4,9

75,8

00

1,1

02,3

04

Sep-

09 2

0 1

,275

1

,387

1

96,5

12

365

,063

8

0,87

4 1

8,25

3 4

,044

–

196

,512

3

65,0

63

80,

874

5,3

53,8

80

1,1

86,0

61

Oct

-09

20

1,2

74

1,3

47

168

,479

3

62,9

69

80,

410

18,

148

4,0

20

– 1

68,4

79

362

,969

8

0,41

0 5

,024

,830

1

,113

,166

Nov

-09

20

1,2

86

1,3

17

157

,401

3

24,4

77

71,

882

16,

224

3,5

94

– 1

57,4

01

324

,477

7

1,88

2 5

,430

,088

1

,202

,944

Dec

-09

21

1,2

97

1,2

56

150

,384

2

92,9

00

64,

887

13,

948

3,0

90

– 1

50,3

84

292

,900

6

4,88

7 5

,699

,637

1

,262

,658

Jan-

10 1

9 1

,320

1

,403

1

80,4

24

338

,443

7

4,97

6 1

7,81

3 3

,946

–

180

,424

3

38,4

43

74,

976

5,7

82,9

65

1,2

81,1

18

Feb-

10 2

0 1

,328

1

,133

1

23,5

41

245

,143

5

4,30

7 1

2,25

7 2

,715

–

123

,541

2

45,1

43

54,

307

5,7

55,3

05

1,2

74,9

90

Mar

-10

21

1,3

43

1,2

35

137

,971

2

86,2

46

63,

413

13,

631

3,0

20

– 1

37,9

71

286

,246

6

3,41

3 6

,009

,173

1

,331

,230

2009

-201

0 2

44

1,3

70

16,

816

2,2

15,5

30

4,1

38,0

23

916

,709

1

6,95

9 3

,757

6

8.86

2

,215

,530

4

,138

,023

9

16,7

09

6,0

09,1

73

1,3

31,2

30

66

Table 4-2 : Percentage Share of Top ‘N’ Securities/Member in Turnover

Year No. of Securities/Brokers

5 10 25 50 100

Securities

1994-95 (Nov.-Mar.) 48.77 55.92 68.98 81.14 91.07

1995-96 82.98 86.60 90.89 93.54 95.87

1996-97 84.55 91.96 95.70 97.03 98.19

1997-98 72.98 85.17 92.41 95.76 97.90

1998-99 52.56 67.11 84.71 92.03 95.98

1999-00 39.56 59.22 82.31 88.69 93.66

2000-01 52.15 72.90 88.93 94.57 97.46

2001-02 44.43 62.92 82.24 91.56 95.91

2002-03 40.58 55.41 77.8 89.16 95.38

2003-04 31.04 44.87 64.32 79.44 91.03

2004-05 25.88 41.65 57.98 72.40 84.26

2005-06 22.15 31.35 46.39 59.22 73.12

2006-07 16.97 25.25 43.46 61.94 77.22

2007-08 16.29 26.78 45.46 61.47 77.29

2008-09 20.48 32.58 56.36 74.66 87.69

2009-2010 15.43 26.15 46.80 64.24 78.20

Members

1994-95 (Nov.-Mar.) 18.19 26.60 44.37 61.71 81.12

1995-96 10.65 16.56 28.61 41.93 58.59

1996-97 5.94 10.08 19.67 30.57 45.95

1997-98 6.29 10.59 18.81 29.21 44.24

1998-99 7.73 11.96 20.77 31.66 47.02

1999-00 7.86 12.99 22.78 34.41 49.96

2000-01 7.78 12.76 23.00 33.86 48.79

2001-02 7.14 12.29 23.63 36.32 53.40

2002-03 10.26 16.41 29.07 42.49 59.15

2003-04 11.58 17.36 30.34 44.05 61.37

2004-05 13.52 20.20 34.97 49.01 65.09

2005-06 14.62 22.57 38.17 52.57 38.45

2006-07 14.72 24.27 42.61 56.71 71.22

2007-08 14.57 25.71 44.70 60.11 73.90

2008-09 13.56 23.62 43.55 61.21 75.42

2009-2010 14.63 23.48 41.00 57.01 72.71

67

Contd...

Table 4-3 : ‘50’ Most Active Securities during 2009-10 in Terms of Trading Value

Rank Name of Security Trading Value % Share in Total Trading Value

Market Capitalisation as on March 31,2010

% Share in Total Market

Capitali-sation

( ` cr.) (US $ mn.)

( ` cr.) (US $ mn.)

1 Reliance Industries Ltd--Petrochemicals

175,590 38,899 4.24 353,056.22 78,214 5.88

2 ICICI Bank Ltd.--Banks 129,476 28,683 3.13 106,123.67 23,510 1.77

3 Unitech Ltd--Infrastructure

114,712 25,412 2.77 17,581.58 3,895 0.29

4 Tata Steel Limited--Manufacturing

111,220 24,639 2.69 56,087.42 12,425 0.93

5 DLF Limited--Infrastructure

107,447 23,803 2.60 52,431.12 11,615 0.87

6 State Bank Of India--Banks

105,241 23,314 2.54 131,940.81 29,229 2.20

7 Suzlon Energy Limited--Manufacturing

87,651 19,418 2.12 11,185.12 2,478 0.19

8 Reliance Capital Limited--Finance

84,926 18,814 2.05 18,571.07 4,114 0.31

9 Housing DevelopmentFinance Corporation Ltd.--Finance

84,684 18,760 2.05 9,903.21 2,194 0.16

10 Bharti Airtel Limited--Telecommunication

81,104 17,967 1.96 118,683.21 26,292 1.98

11 Larsen & Toubro Ltd.--Engineering

72,441 16,048 1.75 98,140.59 21,741 1.63

12 Jaiprakash Associates Limited--Infrastructure

70,427 15,602 1.70 31,773.70 7,039 0.53

13 Infosys Technologies Ltd--Information Technology

68,666 15,212 1.66 150,033.95 33,237 2.50

14 Aban Offshore Ltd.--Petrochemicals

66,857 14,811 1.62 5,057.11 1,120 0.08

15 Reliance Infrastructure Ltd--Infrastructure

65,090 14,420 1.57 22,505.63 4,986 0.37

16 Tata Motors Ltd. -- Manufacturing

61,137 13,544 1.48 36,357.36 8,054 0.61

17 Axis Bank Limited--Banks

56,374 12,489 1.36 47,257.91 10,469 0.79

18 Educomp Solutions Limited--Information Technology

52,076 11,536 1.26 7,100.71 1,573 0.12

19 HDFC Ltd. -- Finance 51,911 11,500 1.25 77,840.42 17,244 1.30

20 Jindal Steel & Power Ltd.--Manufacturing

51,864 11,489 1.25 65,475.07 14,505 1.09

21 Sterlite Industries ( India ) Limited--Manufacturing

48,581 10,762 1.17 71,429.11 15,824 1.19

22 JSW Steel Ltd. -- Manufacturing

47,868 10,604 1.16 23,096.77 5,117 0.38

23 Satyam Computer Services Ltd--Information Technology

47,786 10,586 1.15 10,859.07 2,406 0.18

24 Sesa Goa Ltd.--Manufacturing

47,456 10,513 1.15 38,696.80 8,573 0.64

25 Bharat Heavy Electricals Ltd--Manufacturing

45,966 10,183 1.11 117,027.10 25,925 1.95

68

Contd...

Rank Name of Security Trading Value % Share in Total Trading Value

Market Capitalisation as on March 31,2010

% Share in Total Market

Capitali-sation

( ` cr.) (US $ mn.)

( ` cr.) (US $ mn.)

26 Reliance Communications Limited--Telecommunication

44,386 9,833 1.07 35,078.14 7,771 0.58

27 Indiabulls Real Estate Limited--Infrastructure

43,977 9,742 1.06 6,124.50 1,357 0.10

28 Reliance Natural Resources Limited--Manufacturing

39,943 8,849 0.97 10,166.24 2,252 0.17

29 HDFC Bank Ltd--Banks 38,979 8,635 0.94 88,279.50 19,557 1.47

30 Oil & Natural Gas Corpn Ltd--Petrochemicals

38,641 8,560 0.93 234,997.92 52,060 3.91

31 Tata Consultancy Services Limited--Information Technology

37,384 8,282 0.90 152,790.46 33,848 2.54

32 IFCI Limited--Finance 37,159 8,232 0.90 3,678.12 815 0.06

33 Steel Authority Of India Ltd.--Manufacturing

36,448 8,075 0.88 104,313.27 23,109 1.74

34 Hindalco Industries Ltd. -- Manufacturing

33,113 7,336 0.80 34,681.00 7,683 0.58

35 Punj Lloyd Limited--Infrastructure

29,419 6,517 0.71 5,887.83 1,304 0.10

36 Infrastructure Development Finance Company Limited--Finance

29,343 6,500 0.71 20,868.40 4,623 0.35

37 ITC Ltd.--FMCG 29,068 6,440 0.70 100,074.82 22,170 1.67

38 Maruti Suzuki India Limited--Manufacturing

26,599 5,893 0.64 40,966.00 9,075 0.68

39 NTPC Limited--Infrastructure

25,552 5,661 0.62 170,887.25 37,857 2.84

40 Mahindra & Mahindra Ltd. -- Manufacturing

24,710 5,474 0.60 31,313.55 6,937 0.52

41 Essar Oil Limited--Petrochemicals

24,220 5,366 0.59 16,605.14 3,679 0.28

42 Bajaj Hindustan Ltd -- Manufacturing

22,243 4,928 0.54 2,596.72 575 0.04

43 Hindustan Unilever Limited--FMCG

21,851 4,841 0.53 52,256.44 11,577 0.87

44 Cairn India Limited--Petrochemicals

21,630 4,792 0.52 57,974.86 12,843 0.96

45 IVRCL Infrastructures & Projects Ltd.-- Infrastructure

21,349 4,729 0.52 4,432.36 982 0.07

46 Lanco Infratech Limited - Infrastructure

20,162 4,467 0.49 12,556.70 2,782 0.21

47 Shree Renuka Sugars Limited--Manufacturing

19,933 4,416 0.48 4,518.99 1,001 0.08

48 Hero Honda Motors Ltd.-- Manufacturing

19,101 4,231 0.46 38,827.24 8,602 0.65

49 Kotak Mahindra Bank Limited--Banks

18,744 4,152 0.45 26,024.50 5,765 0.43

50 LIC Housing Finance Ltd -- Finance

17,816 3,947 0.43 8,273.85 1,833 0.14

Total 2,658,320 588,906 64.24 2,942,388 651,836 48.96

69

Table 4-4 : Top ‘50’ Companies by Market Capitalisation as on March 31, 2010

Rank Name of Security and Industry

Market Capitalisation % Share in Total Market

Capitali-sation

Trading Volume During 2009-10

% Share in Total Trading Volume

( ` cr.) (US $ mn.) ( ` cr.) (US $ mn.)

1 Reliance Industries Ltd--Petrochemicals

353,056 78,214 5.88 175,590.43 38,899.08 4.24

2 Oil & Natural Gas Corpn Ltd--Petrochemicals

234,998 52,060 3.91 38,641.29 8,560.32 0.93

3 NTPC Ltd--Infrastructure 170,887 37,857 2.84 25,552.00 5,660.61 0.624 MMTC Ltd --

Manufacturing 157,174 34,819 2.62 62.56 13.86 0.00

5 Tata Consultancy Services Limited--Information Technology

152,790 33,848 2.54 37,384.19 8,281.83 0.90

6 Infosys Technologies Ltd--Information Technology

150,034 33,237 2.50 68,666.34 15,211.86 1.66

7 State Bank Of India--Banks

131,941 29,229 2.20 105,240.76 23,314.30 2.54

8 Bharti Airtel Limited--Telecommunication

118,683 26,292 1.98 81,104.33 17,967.29 1.96

9 Bharat Heavy Electricals Ltd--Manufacturing

117,027 25,925 1.95 45,965.85 10,182.95 1.11

10 NMDC Ltd. -- Manufacturing

116,721 25,858 1.94 8,133.46 1,801.83 0.20

11 ICICI Bank Ltd.--Banks 106,124 23,510 1.77 129,475.59 28,683.12 3.1312 Steel Authority Of India

Ltd.--Manufacturing 104,313 23,109 1.74 36,448.42 8,074.53 0.88

13 Wipro Ltd.--Computers - Software

103,777 22,990 1.73 17,706.01 3,922.47 0.43

14 ITC Ltd.--FMCG 100,075 22,170 1.67 29,068.38 6,439.61 0.7015 Larsen & Toubro Ltd.--

Engineering 98,141 21,741 1.63 72,440.99 16,048.07 1.75

16 HDFC Bank Ltd--Banks 88,279 19,557 1.47 38,978.62 8,635.05 0.9417 HDFC Ltd.-- Finance 77,840 17,244 1.30 51,911.36 11,500.08 1.2518 Indian Oil Corporation

Ltd -- Petrochemicals 71,807 15,908 1.19 6,912.75 1,531.40 0.17

19 Sterlite Industries (India) Limited--Manufacturing

71,429 15,824 1.19 48,581.20 10,762.34 1.17

20 Jindal Steel & Power Ltd.--Manufacturing

65,475 14,505 1.09 51,863.57 11,489.49 1.25

21 Cairn India Limited--Petrochemicals

57,975 12,843 0.96 21,629.80 4,791.71 0.52

22 Tata Steel Limited--Manufacturing

56,087 12,425 0.93 111,219.68 24,638.83 2.69

23 DLF Limited--Infrastructure

52,431 11,615 0.87 107,446.56 23,802.96 2.60

24 Hindustan Unilever Limited--FMCG

52,256 11,577 0.87 21,851.50 4,840.83 0.53

25 GAIL (India) Limited -- Manufacturing

52,084 11,538 0.87 15,898.16 3,521.97 0.38

26 Hindustan Zinc Ltd.-- Manufacturing

50,888 11,273 0.85 4,016.34 889.75 0.10

27 Hindustan Copper Ltd. -- Manufacturing

49,314 10,925 0.82 3,883.42 860.31 0.09

28 Axis Bank Ltd. -- Banks 47,258 10,469 0.79 56,374.18 12,488.74 1.36

Contd...

70

Rank Name of Security and Industry

Market Capitalisation % Share in Total Market

Capitali-sation

Trading Volume During 2009-10

% Share in Total Trading Volume

( ` cr.) (US $ mn.) ( ` cr.) (US $ mn.)

29 Power Grid Corporation of India Limited -- Infrastructure

45,098 9,991 0.75 8,787.62 1,946.75 0.21

30 Maruti Suzuki India Ltd. -- Manufacturing

40,966 9,075 0.68 26,598.99 5,892.55 0.64

31 Hero Honda Motors Ltd.-- Manufacturing

38,827 8,602 0.65 19,100.79 4,231.46 0.46

32 Sesa Goa Ltd.-- Manufacturing

38,697 8,573 0.64 47,455.67 10,513.00 1.15

33 NHPC Ltd. -- Infrastructure

37,456 8,298 0.62 8,189.68 1,814.29 0.20

34 Sun Pharmaceuticals Industries Ltd -- Pharmaceuticals

37,115 8,222 0.62 9,099.82 2,015.91 0.22

35 Tata Motors Ltd. -- Manufacturing

36,357 8,054 0.61 61,137.31 13,543.93 1.48

36 Reliance Power Limited -- Infrastructure

35,820 7,935 0.60 15,394.35 3,410.36 0.37

37 Reliance Communications Ltd. -- Telecommunication

35,078 7,771 0.58 44,385.55 9,832.86 1.07

38 Hindalco Industries Ltd.-- Manufacturing

34,681 7,683 0.58 33,112.66 7,335.55 0.80

39 Tata Power Co. Ltd. -- Infrastructure

32,598 7,221 0.54 15,112.33 3,347.88 0.37

40 Punjab National Bank -- Banks

31,932 7,074 0.53 12,836.66 2,843.74 0.31

41 Jaiprakash Associates Ltd. -- Infrastructure

31,774 7,039 0.53 70,427.00 15,601.90 1.70

42 Mundra Port and Special Economic Zone Limited -- Services

31,638 7,009 0.53 6,173.15 1,367.56 0.15

43 Mahindra & Mahindra Ltd. -- Manufacturing

31,314 6,937 0.52 24,709.75 5,474.03 0.60

44 Power Finance Corporation Limited - Finance

29,653 6,569 0.49 4,427.32 980.80 0.11

45 Bajaj Auto Ltd. -- Manufacturing

29,151 6,458 0.49 7,864.06 1,742.15 0.19

46 Oil India Ltd. -- Manufacturing

27,766 6,151 0.46 4,913.74 1,088.56 0.12

47 Cipla Ltd. -- Pharmaceuticals

27,167 6,018 0.45 11,200.63 2,481.31 0.27

48 National Aluminium Company Ltd. -- Manufacturing

26,252 5,816 0.44 3,630.84 804.35 0.09

49 Kotak Mahindra Bank Ltd. -- Banks

26,024 5,765 0.43 18,743.54 4,152.31 0.45

50 Grasim Industries Ltd.-- Manufacturing

25,807 5,717 0.43 11,309.72 2,505.48 0.27

Total 3,740,037 828,542 62.24 1,876,658.94 415,741.90 31.23

Contd...

71

Tabl

e 4-

5 :

Sect

oral

Dis

trib

utio

n of

Top

‘50

’ Co

mpa

nies

by

Trad

ing

Volu

me

and

Mar

ket

Capi

tali

sati

on

Indu

stry

Trad

ing

Valu

e (A

mou

nt)

Trad

ing

Valu

e (%

to

tot

al T

op 5

0 co

mpa

nies

)

Mar

ket

Capi

talis

atio

n (A

mou

nt)

Mar

ket

Capi

talis

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n (%

to

tota

l Top

50

com

pani

es)

2008

-09

2009

-10

2008

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2009

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2008

-09

2009

-10

2008

-09

2009

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( `

cr.)

(US

$ m

n.)

( `

cr.)

(US

$ m

n.)

%%

( `

cr.)

(US

$ m

n.)

( `

cr.)

(US

$ m

n.)

%%

Bank

s30

7,77

8.82

60,4

08.0

1 3

48,8

12.6

9 7

7,27

3.52

14

.98

13.1

2 1

85,5

81.0

2 3

6,42

4.14

4

31,5

58.6

5 9

5,60

4.49

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1.54

Engi

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71,9

91.3

514

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72,

440.

99

16,

048.

07

3.50

2.73

39,

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66

7,7

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2

1,74

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93 2

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ncia

l Ser

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56,

767.

30

11,

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77

107

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23,

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2.78

2.8

7

FMCG

57,6

93.3

111

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50,

919.

88

11,

280.

43

2.81

1.92

121

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23,

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76

152

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33,

746.

40

5.95

4.0

7

Infr

astr

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5,83

3.11

75,7

27.7

9 4

98,1

34.0

5 1

10,3

53.1

3 18

.78

18.7

4 3

01,5

63.4

3 5

9,18

8.11

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06,0

63.3

0 8

9,95

6.42

14

.77

10.

86

IT17

7,61

2.59

34,8

60.1

8 2

05,9

12.4

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5,61

6.40

8.

647.

75 1

64,5

38.9

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4.20

4

06,6

01.8

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0,07

5.72

8.

06 1

0.87

Man

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turi

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1,66

8.41

63,1

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31.3

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52.5

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27.2

3 3

89,2

76.5

4 7

6,40

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1

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259

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371,

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7572

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326

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12,

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2,5

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7.60

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com

mun

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128,

631.

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125

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27,

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36,

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84

400

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82

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1.58

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0.00

100.

00

72

Contd...

Table 4-6 : NSE’s Most Active Trading days during the year 2009-10

Sr No. Date Highest Single Day Trading Value

( ` cr.) (US $ mn.)

1 19-May-2009 40,151.91 8,894.97

2 20-May-2009 28,398.75 6,291.26

3 29-May-2009 27,356.32 6,060.33

4 5-Jun-2009 26,776.46 5,931.87

5 4-Jun-2009 26,357.67 5,839.09

6 3-Jun-2009 26,272.58 5,820.24

7 2-Jun-2009 25,721.06 5,698.06

8 10-Jun-2009 25,673.64 5,687.56

9 28-May-2009 25,664.96 5,685.63

10 1-Jun-2009 24,877.16 5,511.11

Table 4-7 : Individual Securities Single day Trading Records- 2009-10

Rank Symbol Name of Company Date Traded Value

( ` cr.) (US $ mn.)

1 RELIANCE Reliance Industries Ltd. 11-Jan-2010 4,570 1,013

2 RELIANCE Reliance Industries Ltd. 17-Sep-2009 3,509 777

3 RNRL Reliance Natural Resources Ltd. 15-Jun-2009 2,603 577

4 BHARTIARTL Bharti Airtel Ltd. 6-Oct-2009 2,504 555

5 RELIANCE Reliance Industries Ltd. 19-May-2009 2,395 531

6 ICICIBANK ICICI Bank Ltd. 19-May-2009 2,278 505

7 OIL Oil India Ltd. 30-Sep-2009 2,239 496

8 DLF DLF Ltd 19-May-2009 2,109 467

9 UNITECH Unitech Ltd. 31-Aug-2009 1,977 438

10 NHPC NHPC LTD 1-Sep-2009 1,902 421

Table 4-8 : Composition of S&P CNX Nifty Index as on March 2010

Sl. No.

Name of Security Issued Capital ( ` Cr.)

Free Float Market Cap-italisation ( ` crore)

Weight-age

Beta R2 Vola-tility (%)

Monthly Return

(%)

Impact Cost (%)

1 ABB Ltd.--Electrical Equipment

42 8,424 0.55% 0.81 0.38 1.56 4.46 0.06

2 ACC Ltd.--Cement And Cement Products

188 9,605 0.63% 0.80 0.38 1.51 3.03 0.06

3 Ambuja Cements Ltd.--Cement And Cement Products

305 9,783 0.64% 0.76 0.32 1.67 12.06 0.09

4 Axis Bank Ltd.--Banks 405 28,836 1.89% 1.18 0.56 1.55 3.89 0.06

5 Bharti Airtel Ltd.--Telecommunication - Services

3,797 38,170 2.50% 0.96 0.35 1.75 11.88 0.07

6 Bharat Heavy Electricals Ltd.--Electrical Equipment

490 37,775 2.48% 0.93 0.58 1.14 1.76 0.05

73

Contd...

Contd...

Sl. No.

Name of Security Issued Capital ( ` Cr.)

Free Float Market Cap-italisation ( ` crore)

Weight-age

Beta R2 Vola-tility (%)

Monthly Return

(%)

Impact Cost (%)

7 Bharat Petroleum Corporation Ltd.--Refineries

362 6,694 0.44% 0.45 0.12 1.64 -8.14 0.07

8 Cairn India Ltd.--Oil Exploration/Production

1,897 13,149 0.86% 0.94 0.46 1.74 14.88 0.07

9 Cipla Ltd.--Pharmaceuticals

161 17,169 1.13% 0.51 0.20 1.53 7.02 0.08

10 DLF Ltd.--Construction 339 11,195 0.73% 1.64 0.56 1.92 3.50 0.06

11 Gail (India) Ltd.--Gas 1,268 18,446 1.21% 0.66 0.31 1.36 2.96 0.06

12 Grasim Industries Ltd.--Cement And Cement Products

92 19,226 1.26% 0.80 0.41 0.90 4.39 0.06

13 HCL Technologies Ltd.--Computers - Software

135 7,604 0.50% 1.11 0.37 1.25 -2.37 0.07

14 Housing Development Finance Corporation Ltd.--Finance - Housing

286 68,753 4.51% 1.16 0.59 1.46 8.67 0.06

15 HDFC Bank Ltd.--Banks 457 67,211 4.41% 0.78 0.55 1.29 13.42 0.06

16 Hero Honda Motors Ltd.--Automobiles - 2 And 3 Wheelers

40 17,488 1.15% 0.78 0.35 1.82 9.38 0.04

17 Hindalco Industries Ltd.--Aluminium

191 23,556 1.54% 1.29 0.46 2.16 11.44 0.07

18 Hindustan Unilever Ltd.--Diversified

218 25,071 1.64% 0.38 0.14 1.97 1.42 0.06

19 ICICI Bank Ltd.--Banks 1,114 106,124 6.96% 1.41 0.66 1.34 9.21 0.06

20 Idea Cellular Ltd.--Telecommunication - Services

3,100 10,347 0.68% 1.08 0.45 2.16 7.20 0.08

21 IDFC 1,297 15,080 0.99% 1.41 0.55 1.50 0.85 0.06

22 Infosys Technologies Ltd.--Computers - Software

287 125,945 8.26% 0.68 0.36 1.28 0.54 0.04

23 I T C Ltd.--Cigarettes 380 68,261 4.48% 0.61 0.28 1.30 13.26 0.06

24 Jindal Steel - Manufacturing

93 27,117 1.78% 1.12 0.49 1.58 11.18 0.06

25 Jaiprakash Associates Limited-- Manufacturing

425 17,137 1.12% 1.66 0.34 2.24 13.17 0.07

26 Larsen & Toubro Ltd.--Engineering

120 98,141 6.43% 1.27 0.69 1.15 4.25 0.06

27 Mahindra & Mahindra Ltd. -- Manufacturing

578 22,735 1.49% 1.27 0.55 2.17 7.44 0.08

28 Maruti Suzuki India Ltd.--Automobiles - 4 Wheelers

144 18,758 1.23% 0.71 0.32 1.40 -2.88 0.06

29 NTPC Ltd.--Power 8,245 17,944 1.18% 0.61 0.44 1.07 2.07 0.05

30 Oil & Natural Gas Corporation Ltd.--Oil Exploration/Production

2,139 37,059 2.43% 0.83 0.45 0.91 -1.69 0.05

31 Punjab National Bank--Banks

315 13,476 0.88% 0.85 0.48 1.11 12.40 0.05

32 Power Grid Corporation Of India Ltd.--Power

4,209 6,150 0.40% 0.80 0.53 1.03 -0.37 0.07

33 Ranbaxy Laboratories Ltd.--Pharmaceuticals

210 7,213 0.47% 0.82 0.26 1.32 1.06 0.05

74

Contd...

Sl. No.

Name of Security Issued Capital ( ` Cr.)

Free Float Market Cap-italisation ( ` crore)

Weight-age

Beta R2 Vola-tility (%)

Monthly Return

(%)

Impact Cost (%)

34 Reliance Communications Ltd.--Telecommunication - Services

1,032 11,398 0.75% 1.39 0.56 1.27 7.87 0.07

35 Reliance Capital Ltd.--Finance

246 8,638 0.57% 1.60 0.62 0.95 -3.87 0.05

36 Reliance Industries Ltd.--Refineries

3,287 181,677 11.91% 1.11 0.69 1.55 9.73 0.05

37 Reliance Infrastructure Ltd.--Power

225 14,011 0.92% 1.42 0.61 1.26 -0.44 0.06

38 Reliance Power Ltd.--Power

2,397 5,452 0.36% 1.01 0.49 1.48 8.22 0.06

39 Steel Authority Of India Ltd--Steel And Steel Products

4,130 14,792 0.97% 1.29 0.61 1.87 15.58 0.06

40 State Bank Of India--Banks

635 53,550 3.51% 1.16 0.62 0.84 5.26 0.04

41 Siemens Ltd.--Electrical Equipment

67 11,185 0.73% 1.15 0.58 1.46 8.17 0.06

42 Sterlite Industries (India) Ltd.--Metals

168 34,272 2.25% 1.37 0.53 1.12 8.69 0.06

43 Sun Pharmaceutical Industries Ltd.--Pharmaceuticals

104 13,468 0.88% 0.65 0.22 1.69 16.39 0.06

44 Suzlon Energy Ltd.--Electrical Equipment

311 5,248 0.34% 1.53 0.42 2.04 0.00 0.06

45 Tata Motors Ltd.--Automobiles - 4 Wheelers

480 20,574 1.35% 1.23 0.36 3.23 6.54 0.05

46 Tata Power Co. Ltd.--Power

237 22,473 1.47% 0.76 0.44 1.79 13.23 0.06

47 Tata Steel Ltd.--Steel And Steel Products

887 38,599 2.53% 1.40 0.50 1.69 10.05 0.05

48 Tata Consultancy Services Ltd.--Computers - Software

196 39,229 2.57% 0.83 0.38 1.26 2.47 0.06

49 Unitech Ltd.--Construction

478 9,873 0.65% 1.70 0.49 1.67 2.29 0.07

50 Wipro Ltd.--Computers - Software

294 21,084 1.38% 0.76 0.35 1.38 4.35 0.07

Total 48,504 1,525,165 100.00% 1.00 – 0.70 6.64 0.06

* Beta & R2 are calculated for the period 01-April-2009 to 31-March-2010* Beta measures the degree to which any portfolio of stocks is affected as compared to the effect

on the market as a whole.* The coefficient of determination (R2) measures the strength of relationship between two

variables the return on a security versus that of the market.* Volatility is the Std. deviation of the daily returns for the period 01-March- 2010 to 31-March-

2010* Last day of trading was 31-March-2010* Impact Cost for S&P CNX Nifty is for a portfolio of ` 50 Lakhs * Impact Cost for S&P CNX Nifty is the weightage average impact cost

75

Table 4-9 : Composition of CNX NIFTY Junior Index - as on March 31, 2010

Sl. No.

Name of Security Issued Capital

Free Float Market Capi-talisation for March 2010

Weight-age

Beta R2 Volatil-ity

Returns Impact Cost

( ` cr.) ( ` cr.) (%) (%) (%) (%)

1 Aditya Birla Nuvo Ltd. --Textiles - Synthetic

103 5,036 1.72% 1.13 0.49 0.91 7.62 0.09

2 Adani Enterprises Ltd. --Trading

53 6,329 2.16% 1.15 0.08 1.47 -3.47 0.13

3 Andhra Bank --Banks 485 2,543 0.87% 0.94 0.49 1.54 9.24 0.08

4 Ashok Leyland Ltd. --Automobiles - 4 Wheelers

133 3,639 1.24% 1.16 0.44 2.02 12.39 0.10

5 Asian Paints Ltd. --Paints 96 9,789 3.35% 0.36 0.14 1.88 12.65 0.14

6 Bajaj Auto Ltd. --Automobiles - 2 And 3 Wheelers

145 14,687 5.02% 0.56 0.19 1.56 10.85 0.07

7 Bank of Baroda --Banks 364 10,753 3.68% 0.82 0.40 1.47 9.51 0.07

8 Bank of India --Banks 525 6,349 2.17% 1.03 0.45 1.93 2.07 0.08

9 Bharat Electronics Ltd. --Electronics - Industrial

80 4,253 1.45% 0.65 0.29 1.47 10.09 0.10

10 Bharat Forge Ltd. --Castings/Forgings

45 3,173 1.09% 1.08 0.32 2.19 3.54 0.10

11 Biocon Ltd. --Pharmaceuticals

100 2,223 0.76% 0.85 0.31 1.54 8.28 0.08

12 Canara Bank --Banks 410 4,512 1.54% 0.93 0.45 1.68 4.38 0.08

13 Colgate Palmolive (India) Ltd. --Personal Care

14 4,500 1.54% 0.33 0.14 1.05 -1.88 0.09

14 Container Corporation of India Ltd. --Travel And Transport

130 6,324 2.16% 0.34 0.14 1.10 9.30 0.17

15 Corporation Bank --Banks 143 2,952 1.01% 0.75 0.38 2.41 9.05 0.13

16 Crompton Greaves Ltd. --Electrical Equipment

128 9,889 3.38% 1.03 0.42 2.19 9.67 0.12

17 Cummins India Ltd. --Diesel Engines

40 4,980 1.70% 0.73 0.31 1.10 12.50 0.15

18 Dr. Reddy’s Laboratories Ltd. --Pharmaceuticals

84 15,973 5.46% 0.43 0.15 1.35 11.61 0.07

19 Federal Bank Ltd. --Banks

171 4,569 1.56% 0.85 0.41 1.79 3.29 0.11

20 Glaxosmithkline Pharmaceuticals Ltd. --Pharmaceuticals

85 7,429 2.54% 0.02 0.00 0.95 3.98 0.11

21 Glenmark Pharmaceuticals Ltd. --Pharmaceuticals

27 3,739 1.28% 0.97 0.31 2.20 6.38 0.09

22 GMR Infrastructure Ltd. --Construction

733 5,835 2.00% 1.23 0.56 1.79 14.42 0.08

23 Housing Development and Infrastructure Ltd. --Construction

346 5,115 1.75% 1.97 0.64 1.85 -5.28 0.07

24 Hindustan Petroleum Corporation Ltd. --Refineries

339 5,274 1.80% 0.46 0.12 1.45 -8.16 0.08

Contd...

76

Sl. No.

Name of Security Issued Capital

Free Float Market Capi-talisation for March 2010

Weight-age

Beta R2 Volatil-ity

Returns Impact Cost

( ` cr.) ( ` cr.) (%) (%) (%) (%)

25 Indiabulls Real Estate Ltd. --Construction

80 5,100 1.74% 1.67 0.53 2.83 -4.78 0.08

26 IDBI Bank Ltd. --Banks 725 3,945 1.35% 1.44 0.62 1.42 -3.40 0.07

27 IFCI Ltd. --Financial Institution

738 3,193 1.09% 1.68 0.61 1.66 -3.11 0.08

28 Indian Hotels Co. Ltd. --Hotels

72 5,213 1.78% 1.03 0.38 2.21 14.12 0.10

29 Indian Overseas Bank --Banks

545 1,942 0.66% 1.19 0.53 1.49 4.25 0.09

30 JSW Steel Ltd. --Steel And Steel Products

187 12,700 4.34% 1.54 0.52 1.73 15.36 0.06

31 Kotak Mahindra Bank Ltd. --Banks

348 12,082 4.13% 1.42 0.66 1.51 0.52 0.07

32 LIC Housing Finance Ltd. --Finance - Housing

95 5,251 1.80% 1.02 0.37 2.59 15.84 0.06

33 Lupin Ltd. --Pharmaceuticals

89 7,644 2.62% 0.26 0.06 1.53 8.44 0.08

34 United Spirits Ltd. --Brew/Distilleries

126 11,299 3.87% 1.03 0.42 2.02 -2.42 0.08

35 Moser Baer India Ltd. --Computers - Hardware

168 1,028 0.35% 1.20 0.46 1.94 -3.76 0.10

36 Mphasis Ltd. --Computers - Software

210 5,118 1.75% 0.62 0.17 1.46 -6.41 0.09

37 Mangalore Refinery & Petrochemicals Ltd. --Refineries

1,753 1,527 0.52% 1.08 0.35 1.09 2.83 0.09

38 Mundra Port and Special Economic Zone Ltd. --Travel And Transport

401 5,998 2.05% 0.84 0.36 1.79 17.18 0.07

39 Oracle Financial Services Software Ltd. --Computers - Software

42 3,758 1.29% 0.78 0.31 0.64 2.80 0.07

40 Patni Computer Systems Ltd. --Computers - Software

26 3,694 1.26% 0.78 0.17 2.47 12.55 0.08

41 Power Finance Corporation Ltd. --Financial Institution

1,148 3,031 1.04% 0.87 0.41 1.72 3.22 0.10

42 Reliance Natural Resources Ltd. --Gas

817 4,591 1.57% 1.31 0.49 1.81 2.38 0.08

43 Sesa Goa Ltd. --Mining 82 16,456 5.63% 1.18 0.42 2.23 17.51 0.06

44 Syndicate Bank --Banks 522 1,508 0.52% 1.02 0.56 1.50 2.80 0.09

45 Tech Mahindra Ltd. --Computers - Software

122 1,759 0.60% 1.08 0.29 1.35 -4.24 0.06

46 Tata Teleservices (Maharashtra) Ltd. --Telecommunication - Services

1,897 1,000 0.34% 0.96 0.38 1.54 1.72 0.12

47 UltraTech Cement Ltd. --Cement And Cement Products

124 6,501 2.22% 0.63 0.28 1.41 11.04 0.12

48 Union Bank of India --Banks

505 6,580 2.25% 0.71 0.32 1.58 14.29 0.08

Contd...

Contd...

77

Contd...

Sl. No.

Name of Security Issued Capital

Free Float Market Capi-talisation for March 2010

Weight-age

Beta R2 Volatil-ity

Returns Impact Cost

( ` cr.) ( ` cr.) (%) (%) (%) (%)

49 United Phosphorous Ltd. --Pesticides And Agrochemicals

88 4,723 1.62% 0.98 0.40 1.81 -1.45 0.11

50 Zee Entertainment Enterprises Ltd. --Media & Entertainment

43 6,811 2.33% 0.74 0.20 2.58 8.60 0.09

Total 15,731 292,316 100.00% 1.00 -- 0.77 6.67 0.09

* Beta & R2 are calculated for the period 01-April-2009 to 31-March-2010* Beta measures the degree to which any portfolio of stocks is affected as compared to the effect

on the market as a whole.* The coefficient of determination (R2) measures the strength of relationship between two

variables, the return on a security versus that of the market.* Volatility is the Std. deviation of the daily returns for the period 01-March-2010 to 31-March-

2010* Last day of trading was 31-March-2010* Impact Cost for CNX Nifty Junior is for a portfolio of ` 25 lakhs * Impact Cost for CNX Nifty Junior is the weightage average impact cost

Table 4-10 : Industry-wise Weightages of S&P CNX NIFTY Securities as on 31st March, 2010

Sl. No. Industry Market Cap ( ` Cr.) Weightage

1 Banks 269,197 17.65

2 Computers - Software 193,862 12.71

3 Refineries 188,371 12.35

4 Engineering 98,141 6.43

5 Steel And Steel Products 80,508 5.28

6 Finance - Housing 68,753 4.51

7 Cigarettes 68,261 4.48

8 Power 66,030 4.33

9 Electrical Equipment 62,632 4.11

10 Automobiles - 4 Wheelers 62,068 4.07

11 Telecommunication - Services 59,915 3.93

12 Oil Exploration/Production 50,208 3.29

13 Diversified 42,208 2.77

14 Cement And Cement Products 38,613 2.53

15 Pharmaceuticals 37,849 2.48

16 Metals 34,272 2.25

17 Aluminium 23,556 1.54

18 Construction 21,068 1.38

19 Gas 18,446 1.21

20 Automobiles - 2 And 3 Wheelers 17,488 1.15

21 Financial Institution 15,080 0.99

22 Finance 8,638 0.57

Total 1,525,162 100.00

78

Table 4-11 : S&P CNX NIFTY Index*

Month & Year Open High Low Close Volatility (%)

Price To Earning Ratio#

1995-96 (Nov.-Mar.) 1000.00 1067.49 813.12 985.30 1.62 –

1996-97 988.33 1203.11 775.43 968.30 1.67 –

1997-98 931.95 1297.10 929.05 1116.90 1.52 –

1998-99 1117.15 1247.15 800.10 1078.05 1.86 16.53

1999-2000 1082.55 1818.15 916.00 1528.45 1.93 24.60

2000-01 1528.70 1636.95 1098.75 1148.20 1.98 17.21

2001-02 1148.10 1207.00 849.95 1129.55 1.40 18.10

2002-03 1129.85 1153.30 920.10 978.20 0.99 13.36

2003-04 977.40 2014.65 920.00 1771.90 1.43 20.70

2004-05 1771.45 2183.45 1292.20 2035.65 1.61 14.60

2005-06 2035.90 3433.85 1896.30 3402.55 1.04 20.26

2006-07 3403.15 4245.30 2595.65 3821.55 1.77 18.40

2007-08 3820.00 6357.100 3617.000 4734.500 2.02 20.63

Apr-08 4735.65 5230.75 4628.75 5165.90 1.28 22.20

May-08 5265.30 5298.85 4801.90 4870.10 1.21 20.74

Jun-08 4869.25 4908.80 4021.70 4040.55 1.91 17.28

Jul-08 4039.75 4539.45 3790.20 4332.95 2.97 18.22

Aug-08 4331.60 4649.85 4201.85 4360.00 1.61 18.43

Sep-08 4356.10 4558.00 3715.05 3921.20 2.32 16.85

Oct-08 3921.85 4000.50 2252.75 2885.60 5.03 12.57

Nov-08 2885.40 3240.55 2502.90 2755.10 3.83 12.08

Dec-08 2755.15 3110.45 2570.70 2959.15 2.46 12.97

Jan-09 2963.30 3147.20 2661.65 2874.80 2.73 13.40

Feb-09 2872.35 2969.75 2677.55 2763.65 1.81 13.12

Mar-09 2764.60 3123.35 2539.45 3020.95 2.34 14.30

2008-09 4735.65 5298.85 2252.75 3020.95 2.66 14.30

Apr-09 3023.85 3517.25 2965.70 3473.95 2.18 16.53

May-09 3478.70 4509.40 3478.70 4448.95 4.15 20.82

Jun-09 4450.40 4693.20 4143.25 4291.10 1.92 19.97

Jul-09 4292.30 4669.75 3918.75 4636.45 2.22 20.68

Aug-09 4633.80 4743.75 4353.45 4662.10 1.78 20.94

Sep-09 4662.20 5087.60 4576.60 5083.95 0.92 22.90

Oct-09 5087.20 5181.95 4687.50 4711.70 1.08 20.45

Nov-09 4712.25 5138.00 4538.50 5032.70 1.58 22.37

Dec-09 5039.70 5221.85 4943.95 5201.05 1.05 23.17

Jan-10 5200.90 5310.85 4766.00 4882.05 1.03 21.00

Feb-10 4882.05 4992.00 4675.40 4922.30 1.18 20.92

Mar-10 4935.60 5329.55 4935.35 5249.10 0.70 22.33

2009-2010 3023.85 5329.55 2965.70 5249.10 1.88 22.33

* S&P CNX Nifty commenced from November 3, 1995# At the end of the periodNote : Volatility is calculated as standard deviation of the Natural Log of returns for the respective month/

year

79

Table 4-12 : CNX NIFTY Junior Index*

Month & Year Open High Low Close Volatility (%)

Price To Earning Ratio#

1996-97 (Nov.-Mar.) 1000.00 1208.87 907.02 1032.95 1.76 --

1997-98 1028.30 1395.25 1016.65 1339.40 1.44 --

1998-99 1339.75 2079.10 1177.20 2069.20 2.14 18.92

1999-00 2099.75 5365.90 1631.90 3695.75 2.46 33.47

2000-01 3720.45 3771.80 1570.20 1601.80 2.75 9.69

2001-02 1601.40 1676.25 1038.75 1566.95 1.60 6.80

2002-03 1568.40 1690.35 1231.95 1259.55 1.23 11.68

2003-04 1260.75 3702.60 1259.75 3392.05 1.57 11.93

2004-05 3398.00 4705.25 2493.70 4275.15 1.83 13.82

2005-06 4275.35 6437.40 3998.80 6412.10 0.95 20.25

2006-07 6415.25 7566.65 4463.75 6878.05 2.05 18.48

2007-08 6675.85 13209.35 6559.55 7975.75 2.41 16.69

Apr-08 7982.75 9272.25 7699.35 9170.95 1.40 18.96

May-08 9236.40 9541.00 8075.50 8221.35 1.72 16.27

Jun-08 8228.20 8305.15 6201.05 6233.20 2.43 12.08

Jul-08 6239.20 7363.20 5756.85 6936.80 3.68 13.15

Aug-08 6877.80 7177.15 6799.55 7138.30 2.02 13.68

Sep-08 7118.20 7400.25 5633.10 6043.15 2.48 12.13

Oct-08 6070.10 6203.65 3603.20 4291.30 4.83 8.44

Nov-08 4435.40 4937.65 3706.70 3848.85 3.19 7.53

Dec-08 3853.85 4695.30 3675.50 4555.70 2.30 8.99

Jan-09 4568.55 5007.25 3964.95 4230.15 2.94 8.60

Feb-09 4214.15 4337.65 3869.25 3980.55 1.70 8.12

Mar-09 3941.55 4405.60 3587.60 4336.45 2.38 8.69

2008-09 7982.75 9541.00 3587.60 4336.45 2.80 8.69

Apr-09 4343.20 5466.40 4297.45 5281.80 2.55 10.46

May-09 5380.05 7544.45 5380.05 7474.30 3.51 15.02

Jun-09 7581.80 8169.25 7326.80 7794.70 2.52 15.36

Jul-09 7791.90 8537.45 6931.70 8473.65 2.51 14.95

Aug-09 8475.45 8697.40 7971.60 8542.40 1.86 15.00

Sep-09 8580.40 9373.50 8360.50 9360.65 1.02 16.48

Oct-09 9380.35 10094.90 9044.70 9162.40 1.44 14.21

Nov-09 9144.65 10096.50 8865.50 9933.20 1.61 15.57

Dec-09 9952.80 10456.75 9952.80 10382.70 0.96 16.28

Jan-10 10372.40 10896.50 9646.60 9985.70 1.37 14.71

Feb-10 9954.45 10287.25 9712.25 10099.95 1.20 14.75

Mar-10 10137.45 10822.40 10137.45 10773.75 0.77 15.76

2009-2010 4343.20 10896.50 4297.45 10773.75 1.97 15.76

* CNX Nifty Junior commenced from November 4, 1996# At the end of periodNote : Volatility is calculated as standard deviation of the Natural Log of returns for the respective month/

year

80

Contd...

Table 4-13 : Performance of NSE Indices during the year 2009-10

Indices Record high Date Closing index values(31-03-10)

Average Daily

Volatility (%)

Y-o-Y Returns

%Value

S&P CNX Nifty 5329.55 29/Mar/10 5249.10 1.88 73.76

CNX Nifty Junior 10896.50 19/Jan/10 10773.75 1.97 148.45

CNX 100 5251.65 29/Mar/10 5188.05 1.87 83.09

S&P CNX 500 4524.30 19/Jan/10 4313.25 1.79 87.95

CNX Midcap 7885.35 19/Jan/10 7704.90 1.73 126.12

Nifty Midcap 50 2813.45 19/Jan/10 2692.95 2.09 131.15

CNX FMCG 7526.72 25/Nov/09 7273.30 1.46 41.65

CNX IT 6223.50 26/Mar/10 5855.95 2.02 152.55

CNX Finance* 4057.50 18/Jan/10 3687.36 2.16 102.06

S&P CNX Petrochemicals* 7036.80 17/Feb/10 6918.33 1.67 114.69

S&P CNX Pharmaceuticals* 6805.61 29/Mar/10 6804.07 1.37 96.36

* Closing Record High, Other - Record Intra-day HighNote : Volatility is calculated as standard deviation of the Natural Log of returns for the respective month/

year

Table 4-14 : Mutual Funds/ETFs: No of Trades and Trading Value

Month & Year

Mutual Funds (MF’s) Exchange traded funds (ETF’s)

No. of Trades Trading Value No. of Trades Trading Value

( ` cr.) (US $ mn.) ( ` cr.) (US $ mn.)

2007-08 107,172 288.84 72.26 294,091 1,912.55 478.50

Apr-08 5,632 18.97 3.72 34,930 588.88 115.58

May-08 4,605 17.19 3.37 52,396 221.75 43.52

Jun-08 5,247 26.29 5.16 50,864 252.92 49.64

Jul-08 4,685 68.13 13.37 67,007 584.22 114.67

Aug-08 2,742 14.18 2.78 81,896 237.00 46.52

Sep-08 5,622 21.35 4.19 88,739 486.11 95.41

Oct-08 5,253 20.47 4.02 147,770 541.54 106.29

Nov-08 2,513 7.09 1.39 119,429 277.60 54.48

Dec-08 2,338 14.99 2.94 111,034 309.10 60.67

Jan-09 685 0.90 0.18 85,273 268.22 52.64

Feb-09 384 0.47 0.09 102,870 310.93 61.03

Mar-09 531 0.92 0.18 95,849 322.24 63.25

2008-09 40,237 210.95 41.40 1,038,057 4,400.50 863.69

Apr-09 510 1.02 0.23 102,901 353.37 78.28

81

Table 4-15 : Settlement Cycle and Process in CM Segment

Activity T+2 Rolling Settlement (From April 1, 2003)

Trading T

Custodial Confirmation T+1

Determination of Obligation T+1

Securities/Funds Pay-in T+2

Securities/Funds Pay-out T+2

Valuation Debit T+2

Auction T+3

Bad Delivery Reporting T+4

Auction Pay-in/Pay-out T+5

Close Out T+5

Rectified Bad Delivery Pay-in/Pay-out T+6

Re-bad Delivery Reporting T+8

Close Out of Re-bad Delivery T+9

T+1 means one working day after the trade day. Other T+ terms have similar meanings.

Month & Year

Mutual Funds (MF’s) Exchange traded funds (ETF’s)

No. of Trades Trading Value No. of Trades Trading Value

( ` cr.) (US $ mn.) ( ` cr.) (US $ mn.)

May-09 604 1.01 0.22 96,214 431.84 95.67

Jun-09 709 1.58 0.35 87,312 425.83 94.34

Jul-09 521 0.56 0.12 101,505 494.88 109.63

Aug-09 296 0.47 0.10 86,985 428.36 94.90

Sep-09 382 0.49 0.11 101,674 567.58 125.74

Oct-09 729 0.79 0.18 105,332 504.82 111.84

Nov-09 330 0.50 0.11 131,787 645.99 143.11

Dec-09 535 0.57 0.13 149,751 639.06 141.57

Jan-10 351 0.53 0.12 109,970 579.35 128.34

Feb-10 348 0.55 0.12 96,808 466.31 103.30

Mar-10 170 50.26 11.14 102,176 568.33 125.90

2009-2010 5,485 58.33 12.92 1,272,415 6,105.74 1,352.62

Contd...

82

Cont

d...

Tabl

e 4-

16 :

Set

tlem

ent

Stat

isti

cs o

f th

e Ca

pita

l M

arke

t Se

gmen

t

Mon

th/Y

ear

No.

of

Trad

es

Trad

ed

Qua

ntit

y Q

uant

ity

of S

hare

s D

eliv

er-

able

% o

f Sh

ares

D

eliv

er-

able

to

Tota

l Sh

ares

Tr

aded

Trad

ing

Vol-

ume

Trad

ing

Vol-

ume

Valu

e of

Sh

ares

D

eliv

er-

able

% o

f D

eliv

er-

able

to

Valu

e of

Sh

ares

Tr

aded

Secu

riti

es

Paid

-in

/ Va

lue

of

Shar

es d

e-liv

ered

Shor

t D

e-liv

ery

(Auc

-ti

oned

qu

an-

tity

)

% o

f Sh

ort

Del

iver

y to

Tot

al

Del

iver

-ab

le

Unr

ecti

-fi

ed B

ad

Del

iver

y (A

uc-

tion

ed

quan

tity

)

% o

f U

nrec

ti-

fied

Bad

D

eliv

ery

to D

eliv

-er

able

Fund

s Pa

y-in

(lak

h)(l

akh)

(lak

h)(

` cr

.)(U

S $

mn.

)(

` cr

.)(

` cr

.)(l

akh)

(lak

h)(

` cr

.)

Nov

94-

Mar

95

3

1,3

30

688

51

.74

1,7

28

– 8

98

51.9

7 6

11

6

0.85

1.7

6 0.

26 3

00

1995

-96

64

39,

010

7,2

64

18.6

2 6

5,74

2 –

11,

775

17.9

1 5

,805

1

79

2.46

32.

17

0.44

3,2

58

1996

-97

262

1

34,3

17

16,

453

12.2

5 2

92,3

14

– 3

2,64

0 11

.17

13,

790

382

2.

3266

.25

0.40

7,2

12

1997

-98

383

1

35,2

17

22,

051

16.3

1 3

70,0

10

– 5

9,77

5 16

.15

21,

713

333

1.

51 7

2.90

0.

33 1

0,82

7

1998

-99

550

165,

310

27,9

9116

.93

413,

573

–66

,204

16.0

130

,755

305

1.09

69.7

30.

2512

,175

1999

-00

958

238,

605

48,7

1320

.42

803,

050

184,

099

82,6

0710

.29

79,7

8363

51.

3011

0.13

0.23

27,9

92

2000

-01

1,61

430

4,19

650

,203

16.5

01,

263,

898

270,

990

106,

277

8.41

94,9

6233

90.

6811

.58

0.02

345

,937

2001

-02

1,72

027

4,69

559

,299

21.5

950

8,12

110

4,12

371

,766

14.1

264

,353

364

0.61

0.08

0.00

0128

,048

2002

-03

2,39

736

5,40

382

,353

22.5

462

1,56

913

0,85

787

,956

14.1

587

,447

469

0.57

0.00

0.00

0034

,092

2003

-04

3,75

070

4,53

317

5,55

024

.92

1,09

0,96

325

1,43

222

1,36

420

.29

220,

341

1,01

40.

580.

000.

0081

,588

2004

-05

4,50

378

7,99

620

2,27

725

.67

1,14

0,96

926

0,79

327

7,10

124

.29

276,

120

871

0.43

0.00

0.00

97,2

41

2005

-06

6,00

081

8,43

822

7,24

027

.77

1,51

6,83

934

0,02

240

9,35

326

.99

407,

976

894

0.39

0.00

0.00

131,

426

2006

-07

7,8

57

850

,515

23

9,07

4 28

.11

1,94

0,09

4 44

5,07

854

4,43

4 28

.06

543

,048

7

69

0.32

0.00

0.00

173,

188

2007

-08

11,6

45

1,48

1,22

9 36

7,97

1 24

.84

3,51

9,91

9 8

80,6

40

972,

803

27.

64

970

,618

9

97

0.27

0.00

0.00

309,

543

Apr-

08 1

,069

1

11,3

64

24,

919

22.3

8 2

62,4

23

51,

506

63,

492

24.1

9 6

3,38

3 5

5 0.

220.

000.

00 1

9,33

9

May

-08

1,0

79

115

,499

2

5,37

9 21

.97

278

,962

5

4,75

2 6

8,90

3 24

.70

68,

799

54

0.21

0.00

0.00

21,

745

Jun-

08 1

,122

1

10,6

85

23,

871

21.5

7 2

72,6

97

53,

522

64,

330

23.5

9 6

4,21

7 5

5 0.

230.

000.

00 2

2,21

6

Jul-

08 1

,329

1

31,9

98

25,

311

19.1

8 2

90,6

99

57,

056

61,

406

21.1

2 6

1,31

1 5

5 0.

220.

000.

00 2

1,01

5

Aug-

08 1

,082

1

06,9

09

22,

822

21.3

5 2

38,2

79

46,

767

54,

447

22.8

5 5

4,36

9 4

3 0.

190.

000.

00 1

7,86

2

83

Mon

th/Y

ear

No.

of

Trad

es

Trad

ed

Qua

ntit

y Q

uant

ity

of S

hare

s D

eliv

er-

able

% o

f Sh

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(lak

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mn.

)(

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akh)

(lak

h)(

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Sep-

08 1

,054

9

5,55

6 2

4,07

4 25

.19

247

,189

4

8,51

6 6

1,03

9 24

.69

60,

934

44

0.18

0.00

0.00

26,

208

Oct

-08

1,2

26

111

,157

2

8,65

5 25

.78

230

,192

4

5,18

0 5

4,69

0 23

.76

54,

585

67

0.23

0.00

0.00

25,

889

Nov

-08

1,1

19

109

,968

2

4,72

4 22

.48

178

,208

3

4,97

7 3

6,88

0 20

.69

36,

811

40

0.16

0.00

0.00

14,

772

Dec

-08

1,2

90

142

,294

2

8,14

8 19

.78

213

,387

4

1,88

2 4

0,85

4 19

.15

40,

800

47

0.17

0.00

0.00

15,

075

Jan-

09 1

,211

1

41,9

64

27,

642

19.4

7 1

87,3

93

36,

780

36,

529

19.4

9 3

6,46

4 4

8 0.

170.

000.

00 1

2,72

6

Feb-

09 1

,002

1

16,8

96

21,

798

18.

65

152

,625

2

9,95

6 3

0,26

0 1

9.83

3

0,20

8 4

2 0.

190.

000.

00 1

0,52

5

Mar

-09

1,0

57

124

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2

6,58

1 2

1.33

19

7395

.5 3

8,74

3 3

8,70

6 1

9.61

3

8,61

7 75

0.28

0.00

0.00

13,

332

2008

-09

13,6

39

1,41

8,92

8 30

3,92

5 21

.42

2,74

9,45

0 5

39,6

37

611,

535

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4 6

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98

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0.

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4

Apr-

091,

261

179,

344

34,4

1319

.19

261,

310

57,8

8848

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348

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680.

200.

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0016

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May

-09

1,44

021

9,07

245

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20.7

935

7,93

279

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74,4

3620

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Jun-

091,

819

281,

124

53,1

1018

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496,

589

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98,7

6181

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29,6

32

Jul-

091,

695

216,

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39,7

5518

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419,

077

92,8

3980

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480

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580.

150.

000.

0025

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Aug-

091,

477

191,

710

39,6

1420

.66

371,

474

82,2

9378

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21.1

878

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710.

180.

000.

0023

,751

Sep-

091,

337

191,

597

43,4

3622

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349,

940

77,5

2382

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23.4

982

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620.

140.

000.

0024

,853

Oct

-09

1,39

517

3,20

840

,219

23.2

237

3,95

382

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89,9

4024

.05

89,8

3468

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0.00

0.00

26,9

65

Nov

-09

1,33

216

1,04

335

,594

22.1

033

2,24

873

,603

74,6

5022

.47

74,5

6551

0.14

0.00

0.00

22,9

13

Dec

-09

1,27

215

0,73

334

,290

22.7

529

8,21

566

,064

68,8

5323

.09

68,7

4865

0.19

0.00

0.00

17,9

95

Jan-

101,

360

175,

715

44,2

7625

.20

324,

584

71,9

0585

,206

26.2

585

,101

810.

180.

000.

0025

,887

Feb-

101,

155

125,

909

28,3

5722

.52

253,

467

56,1

5158

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23.1

958

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520.

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000.

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Mar

-10

1,24

613

9,60

236

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25.9

329

0,42

464

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77,7

5126

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77,6

1993

0.26

0.00

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21,1

16

2009

-201

016

,788

2,20

5,87

847

4,81

421

.52

4,12

9,21

491

4,75

791

7,70

522

.22

916,

460

862

0.18

0.00

0.00

278,

387

Cont

d...

84