Historical Data Dissemination of Wholesale Debt
Market Segment
Welcome
to the data dissemination effort at NSE Wholesale Debt Market Segment!
Motivation
NSE
started its WDM operations in June 1994.The WDM segment has grown rapidly in the
last two years. In the year 2001-2002 the growth was almost 121% as compared to
the previous year. This has led to a series of requests for historical data,
for use in research and analysis amongst market participants, researchers, and
policy makers. In response to these requests, NSE has now setup a formal
framework for historical data dissemination of Wholesale Debt Market segment of
the Exchange.
We
look forward to hearing about how you have found these CDs useful, and in having
your views about what we should focus on in our future releases.
It contains every single trade that took place in the WDM segment. The data is stored in a day wise manner in files. The file name indicates the year and month of the data it contains (trd200301 indicates trades file for the month of January 2003).
It gives the details about securities available for trading in the WDM segment. The data is on month end date. (iss200301 indicates file for the month of January 2003).
It contains the circulars issued by the WDM segment of the
Exchange.
This directory contains every trade that took place in
Central Government securities and Treasury Bills. The data is provided for the
period April 1999 to January 2003. There is a distinct file for each month. The
trade details for January 2003 will be found in trd200301.csv. The file is organized as follows:-
Trade No. :
A number of each trade is given.
Trade Time:
Time at which the trade took place. The format is hh:mm:ss
Sec Type:
Gives the Security type like GS for Govt.
security, TB for T-Bills, GD for Compensation Bond, GF for Floating Rate Bond, etc.
Security:
It gives the description of the security
e.g. CG 2032 gives the Central Govt. security with maturity year 2032
Issue Name:
Issue Name gives the Coupon in percentage
for Gsecs and date of maturity for a T-Bill
Trade Type:
This will indicate whether trade is
outright deal i.e. NR (Non-Repo) or Repurchase agreement i.e. RE (Repo)
Trade Date:
This indicates date on which trade took
place.
Settlement Date:
This date indicates date on which the trade was
settled. Currently settlement up to T+2 allowed in WDM segment.
Trade Quantity:
It gives trade value of the particular
trade. This is a face value of trade given in Rupees lakhs.
Price Rate:
For Non repo deals price rate indicates
price at which trade take place. The price given is clean price i.e. excluding accrued interest. In case of repo
deals price will indicates repo rate of
the trade.
Price yield:
Yield is calculated for maturity. In case
of repo deal there will not be any yield.
Issue Date:
This indicates allotment date of the
security.
Coupon Frequency:
This indicates the gap at which interest is
paid for coupon bearing bond.
Maturity Date:
This indicates date on which the security will mature.
This contains a list of all
Central Government securities and Treasury Bills which are listed on the WDM
segment of the Exchange. The data is provided for the period June 2000 to
January
2003. There is a distinct file for each month. The details are provided as on
last working day of that month. The details as on January
Sec Type:
Gives the Security type like GS for Govt.
security, TB for T-Bills, GD for Compensation Bond, GF for Floating Rate Bond, etc.
Security:
It gives the description of the security
e.g. CG 2032 gives the Central Govt. security with maturity year 2032
Issue Name:
Issue Name gives the Coupon in percentage
for Gsecs and date of maturity for a T-Bill
Issue Description:
A descriptive string about the product.
Issue Size:
This indicates total face value of that
security. Issue size is given in Rupees lakhs
Issue Date:
This indicates
the allotment date of the
security.
Maturity Date:
This indicates date
on which the security
will mature.
Coupon Frequency:
This indicates
the gap at which interest is
paid for coupon bearing bond.
Market Capitalization:
Market Capitalization is a product of
total issue size and last traded price divided by its face value. If the security is not traded at all
then issue size will be equal to market capitalization. Market capitalization is given in Rupees lakhs.
Circulars are a formal method of communication between NSE and its member brokerage firms. Circulars have been provided from the calendar year 1998.