Flows, rates and credit

Code: pipeline/tipsheet/compute/flows.py, publish/flows.py.

Bundles: flows/*, rates/*.

All inputs are India Data Hub series in the Data bank. The series IDs are listed in SERIES, SPREADS and CURVE_TENORS in the code. Values are converted to ₹ crore. Yields are in per cent and spreads in basis points.

Investor flows

• Net purchases in the cash market by investor category, daily:
  • categories: FPI, mutual funds, insurers, banks, AIFs, PMS, retail and others
  • NSE from 2023-01-31; NSE plus BSE from 2023-12-04
  • before 2023-12-04 only the NSE figure is shown, labelled as such
• DII net purchases: daily from 2007-04.
• FPI equity (NSDL, primary plus secondary): daily from 2021.
  • NSDL dates trades one day after the exchanges. Same-day correlation with the exchange FPI figure is 0.41; shifted one day it rises to 0.87–0.91. So never compare the two on the same date.
• Check: mutual funds + insurers + banks + AIFs + PMS together track the DII series (daily correlation 0.96, ratio about 0.9).

Mutual funds, SIPs, NPS and demat

• Monthly net inflows by fund category, from AMFI via India Data Hub:
  • equity, total, balanced advantage, arbitrage, multi-asset and hybrid
• SIPs:
  • SIP inflow, SIP AUM, and new and closed SIP accounts
  • SIP stoppage ratio: accounts closed ÷ new accounts in the month
• NPS:
  • total and equity AUM, and the equity share
  • Estimated NPS equity flow: the change in equity AUM, minus last month’s equity AUM times the Nifty 500 total return that month. This is labelled an estimate, because NPS equity is mostly large and mid caps, not exactly Nifty 500.
• Demat accounts: CDSL and NSDL, total and active.

Rates and credit

• G-sec curve: FBIL par yields at 1, 2, 3, 5, 7, 10, 15, 20 and 30 years, weekly from 2018-04.
  • Snapshots for the latest date, one month ago and one year ago.
  • Curve slope: 10-year minus 1-year.
• Corporate and NBFC bond spreads over G-secs, from 2021:
  • ratings AAA, AA and A
  • 3- and 5-year tenors
• Money market:
  • call rate
  • 91-, 182- and 364-day T-bill yields (carried forward between auctions)
  • commercial paper yield range
  • Term spread: 10-year minus 91-day.

Known limits

• Investor-category data is short: under three years.
• The NPS flow is an estimate, not a disclosure.
• Spreads are India Data Hub’s computed series. We use them as published.