Public Debt Management quarterly report

jULY- sEPTEMBER 2016

Government of India Ministry of finance

Budget Division Department of economic affairs

nOVEMBER 2016 www.finmin.nic.in

CONTENTS

Section

Page No.

Introduction

1

1

Macroeconomic Developments 2

2

Debt Management - Primary Market Operations 6

3

Cash Management 9

4

Trends in Outstanding Public Debt 11

5

Secondary Market 15

List of Tables and Charts

List of Tables Table No. Title Page No.

1 Fiscal Outcome during April-Sep 2016-17 6 2 Issuance of Dated Securities 7 3 Primary Issuance by Maturity Buckets, Q2 of 2016-17 7 4 Issuance of Treasury Bills 8 5 Repayments and Issuance of Treasury Bills in July-Sep 2016 10 6 Composition of Public Debt 11 7 Maturity and Yield of Central Government's Market Loans 12 8 Maturity Profile of GoI Outstanding Dated Securities 13 9 Ownership Pattern of Government of India Dated Securities 14 10 Transactions in Government Securities 17 11 Top 10 Traded Securities 18 12 Maturity Pattern of Outright Transactions 19 13 Category wise – Buying and Selling 20

List of Charts Chart No. Title Page No.

1 Growth Rate in GDP at constant (2011-12) prices 2 2 Inflation Rate Based on WPI and CPI 3 3 Growth Rate in IIP 3 4 Monthly Exports and Imports 4 5 Foreign Investment Flow and Exchange Rate 5 6 Liquidity in the System 9 7 Holding Pattern of Government Securities 14

8 Movement of G-Sec Yields – 10-year 16 9 Government Bond Yield Curve 16 10 Treasury Bill Yield Curve 17 11a Secondary Market Transaction - Outright 18 11b Secondary Market Transaction - July-Sep 2016 18 12a Maturity wise Trading Activity - July-Sep 16 19 12b Maturity wise Trading Activity - Apr-Jun 16 19 13 Trading Activity (Buy+Sell) by Category 20

List of Statements Statement No. Title Page No.

1 Issuance of Dated Securities During Q2 FY17 i 2 Treasury Bills Issued During Q2 FY17 iii 3 List of Dated Securities Outstanding at end-September 2016 iv 4 5

Maturity Profile of Government Securities at End-September 2016 Calendar for Auction of GoI Treasury Bills during Oct-Dec 2016

vi vii

1

Introduction

The Middle Office, set up in September 2008, in Budget Division, Department of Economic

Affairs, Ministry of Finance, Government of India stands subsumed in Public Debt

Management Cell (PDMC) since Oct 4, 2016. With the objective of enhancing transparency

of debt management operations, Middle Office began publishing on its website a quarterly

report titled “Public Debt Management - Quarterly Report” from the first quarter of the

fiscal year 2010-11. The previous reports are available on the website of Ministry of Finance

(http://finmin.nic.in/reports/Public_Debt_Management.asp). This report pertains to the Q2

of the fiscal year 2016-17, viz., July-September 2016 (Q2 FY 17).

The report gives an account of the debt management and cash management operations

during the quarter, and attempts a rationale for major activities. The report also tries to

provide detailed information on various aspects of debt management.

While all attempts have been made to provide authentic and accurate information, it is

possible that some errors might have crept in inadvertently. Readers may inform us of such

errors, as indeed their valuable suggestions, at mo-dea@nic.in.

2

Section 1 – Macroeconomic Developments

1.1 As per CSO estimates, India’s real GDP in Q1 (April-June) FY 17 (at constant price 2011-

12), grew by 7.1 per cent, as against 7.5 per cent growth in Q1 FY16 and provisional growth

of 7.6 per cent in FY 2016 (Chart 1). However, GVA (gross value addition) registered a

growth of 7.3 per cent in Q1 FY 17 against 7.2 per cent in Q1 FY 16. Of the sectors,

agricultural output grew by 1.8 per cent, manufacturing grew by 9.1 per cent, Electricity

(including Gas) grew by 9.4 per cent and Construction grew by 1.5 per cent, however,

mining & quarrying contracted by 0.4 per cent.

1.2 Headline CPI (retail) inflation eased to 13-month low of 4.39 per cent in September 2016

as against 4.41 per cent in September 2015 after touching a high of 6.07 per cent in July

2016. October 2016 CPI Inflation eased further to 4.20 per cent. Food remained a key

contributor to this sharp easing of price pressures. After 2 years of droughts, the good

monsoon rains this year provided relief and consequently food inflation, which accounts for

about 46 per cent of the overall CPI basket, eased off to grow at a moderate pace of 3.2 per

cent in October 2016 from 3.96 per cent in September 2016. Core CPI, indicative of demand

side price pressure, came in at 4.88 per cent in September 2016 as against 4.72 per cent in

the previous month. Core CPI inflation further increased marginally to 4.94 per cent in

October 2016. With improvement in inflation conditions, average CPI inflation rate during Q

2 of FY 17 (new base 2012=100) was lower at 5.2 per cent as compared with average

inflation rate of 5.7 per cent during Q 1 of FY 17 (Chart 2). WPI inflation moderated to 3.57

per cent (provisional) for the month of September, 2016 (over September, 2015) from 3.85

3

per cent in the previous month and -4.59 per cent during the corresponding month of the

previous year.

1.3 Industrial growth, as measured by index of industrial production (IIP), was lower at 0.7

per cent in September 2016 as against 3.7 per cent a year ago, however, it recovered in

September 2016 from -0.7 per cent in the previous month, mainly driven by consumer

durables. Manufacturing sector with a weight of 75.2 per cent in IIP, grew by about 0.9 per

cent in Sep 2016 vis-à-vis 2.7 per cent in Sep 2015. Growth rates in Mining (weight 14.2 per

cent) and Electricity sector (weight 10.3 per cent) was noted at (-) 3.1 per cent and 2.4 per

cent in Sep 2016. In the used-based industry classification, basic goods, Intermediate goods,

consumer durables and consumer non-durables registered positive growth during

September, 2016 while capital goods has shown negative growth during the month. On

cumulative basis, IIP contracted by 0.1 per cent during April-Sep 2016 as against positive

growth of 4.0 per cent in comparable period last year (Chart 3).

1.4 India’s exports during September, 2016 show sign of revival after it contracted in the

first two months of Q2. It registered a growth of 4.62 per cent in dollar terms valued at US$

4

22.9 billion (US$21.9 during September, 2015), mainly due to non-petroleum exports which

increased by 5.44 per cent. Imports during September 2016 was 2.54 per cent lower in

dollar terms over the level of imports in September 2015. Oil imports, at US$ 6.9 billion,

was 3.13 percent higher while non-oil imports estimated at US$ 24.3 billion was 4.04 per

cent lower in September 2016 than in Sep 2015. Cumulatively, exports during Q2 FY 17 (Jul-

Sep 2016) declined (y-o-y) by 2.0 per cent while imports contracted by 12.0 per cent during

the quarter. Subdued domestic demand was, however, reflected in a faster contraction in

imports. Overall, trade deficit, at US$ 23.7 billion, decreased by 31.5 per cent (y-o-y basis)

during Q2 FY17 (Jul -Sep) as compared with a decline of 41.9 per cent (y-o-y) in Q1 FY 17.

The average monthly trade deficit during Q2 FY 17 (Jul-Sep 2016) remained at USD 7.9 bn as

against USD 6.3 bn in Q1 of 2016-17 (Chart 4).

1.5 While the pace of foreign direct investment slowed as compared to previous year,

portfolio flows were stronger after the Brexit vote, galvanised by a search for returns in an

expanding universe of negative yields. With net capital flows being significantly larger than

the shrinking external financing requirement, foreign exchange reserves rose by US $ 11.8

billion during the first half of 2016-17 to reach an all-time high of US$ 372 billion as at

September 30, 2016. Rupee traded in a narrow range with some upward bias during the

quarter. As compared with previous quarter closing of INR at `67.62 per USD on June 30,

2016, INR traded in range of `66.36-67.50 per USD during the quarter and closed at `66.66

per USD on Sep 30, 2016. The average INR exchange rate was `66.96 per USD during the Q2

as compared with `66.93 per USD during Q1 quarter. INR touched a low of `67.50 per USD

5

on July 7, 2016 following fears of global recession tracking global markets. INR touched a

quarter high of `66.36 per USD on Sep 7, 2016, buoyed by weak US jobs data sharply scaling

down fears of near term Fed rate hike. INR also gained intermittently in Q2 due to positive

CPI data, fall in international crude oil prices, etc (Chart 5).

Note: Data on FDI have been revised since April 2011 to expand the coverage.

6

Section 2– Debt Management - Primary Market Operations

A. Government Finances

2.1 The fiscal deficit of the Central Government in budget estimates (BE) 2016-17 (FY 17)

was placed at ` 5,33,904 crore (3.5 per cent of GDP) as against `5,35,090 crore (3.9 per cent

of GDP) in the revised estimates (RE) for 2015-16.

2.2 The fiscal outcome for first half year (HY1) of the FY17 (Apr-Sep 2016) of Central

government shows that gross fiscal deficit during Apr-Sep 2016 touched `4.48 trillion or

83.9 per cent of 2016-17 BE as against 68.1 per cent in Apr-Sep 2015 of 2015-16 BE. Total

receipts (from revenue and non-tax) during the first half was over ` 5.67 trillion or 41.2 per

cent of the BE vis-a-vis 45.0 per cent of BE last year. Total expenditure of the government

during April-Sep 2016 was nearly ` 10.3 trillion or 52.0 per cent of BE (Table 1).

Table 1: Fiscal Outcome during the April -Sep 2016-17 (Amount in ` crore)

Item 2016-17 BE

April-Sep 2016-17

April-Sep 2016-17 (% of BE)

April-Sep 2015-16 (% of BE)

Revenue Receipts 1,377,022 566,923 41.2 45.0

Tax Receipts 1,054,101 448,155 42.5 40.2

Non-Tax Receipts 322,921 118,768 36.8 64.8

Other Non-debt Receipts 67,134 12,817 19.1 23.2

Total Expenditure 1,978,060 1,027,728 52.0 51.2

Revenue Expenditure 1,731,036 892,803 51.6 50.9

Capital Expenditure 247,024 134,925 54.6 53.1

Revenue Deficit 354,014 325,880 92.1 68.2

Primary Deficit 41,234 234,759 569.3 181.8

Gross Fiscal Deficit 533,904 447,988 83.9 68.1

Financing

Market Loans* 441,830 293,281 66.4 55.0

External Assistance 19,094 5,462 28.6 15.0

Securities against Small Savings 22,108 -1,622 -7.3 3.0

Others 50,872 147,623 290.2 319.3

*:- Includes borrowings through treasury bills.

Source: Controller General of Accounts (CGA) website; cga.nic.in

B. Issuance Details

This section discusses the issuance details of market loans during the first half of FY17.

2.3 Gross and net market borrowing requirements of the Government for FY 17 were

budgeted at `6,00,000 crore and `4,25,181 crore respectively, which were higher by 2.6 per

cent and 6.0 per cent, respectively, than `5,92,000 crore and `4,40,634 crore in the revised

7

estimates for FY16. During Q2 of FY17, the Government issued dated securities worth `

176,000 crore taking the gross borrowings during H1 FY17 to ` 341,000 crore or 56.8 per

cent of BE, vis-a-vis 58.5 per cent of BE in H1 FY 16 (Table 2). Net market borrowings during

H1 FY 17 at 55.1 per cent of BE were, also higher than 46.9 per cent of BE in the previous

year.

Table 2: Issuance of Dated Securities

(Amount in ` crore)

Item 2016-17 BE Q2 FY 17 H1 FY 17 H1 FY 17 % of BE H1 FY 16 % of BE

Gross Amount 600,000 176,000 341000 56.8 58.5

Repayments 174,819 51,223 106,838 61.1 95.4

Switching 75,000 -

- -

Net Issuance 425,181 1,24,777 234,162 55.1 46.9

2.4 Auctions during Q2 of FY17 were held in accordance with the pre-announced calendar

(Table 3). During Q2 FY 17, 12 tranches of auctions were held for issuances of GoI dated

securities worth ` 176000 crore. Two new security, namely, 6.97% GS 2026 and 6.84% GS

2022 were issued during the quarter on Sep 6 and Sep 12, 2016, respectively. The amount

issued under new security constituted `20,000 crore or 11.36 per cent of total issuances in

Q2, remaining being re-issues in existing securities. There was no devolvement of G-

securities on PDs during Q2 FY 17.

Table 3 – Primary Issuance by Maturity Buckets, Q 2 of 2016-17

(Amount in ` crore)

5-9 years 10-14 years 15-19 Years 20-30 Years Total

2014-15 149,000 237,000 96,000 110,000 592,000

% of Total 25.2 40 16.2 18.6 100

2015-16 94,000 266,000 112,000 113,000 585,000

% of Total 16.1 45.5 19.1 19.3 100

H 1 FY17 (Projected) 46000-69000 161000-184000 46000-69000 46000-69000 3,41,000

% of Total 13.5-20.2 47.2-54.9 13.5-20.2 13.5-20.2 100

Q2 FY17 (Projected) 24000-36000 84000-96000 24000-36000 24000-36000 176,000

% of Total 13.6-20.4 47.7-54.5 13.5-20.3 13.5-20.3 100

Q2 FY17 (Actual) 32,000 95,000 24,000 25,000 176,000

% of Total 18.2 54.0 13.6 14.2 100.0

H 1 FY17-Actual 65,000 183,000 46,000 47,000 341,000

% of Total 19.1 53.7 13.5 13.8 100.0

8

2.5 The gross amount raised through treasury bills (91, 182 and 364 day treasury bills)

during Q2 of FY 17 amounted to ` 2,58,379 crore while total repayments amounted to `

2,68,744 crore resulting in net repayment of ` 10,365 crore in Q2 FY 17 as compared to net

issuance of ` 66,629 cr in Q1 FY 17 (Table 4). Net issuance of Treasury Bills in HY 1 FY 17

stood at ` 56,263. The details of issuance of bills during Q2 of FY17 are given in Statement

2.

Table 4: Issuance of Treasury Bills*

(Amount in ` crore)

Item 2016-17 BE Q2 FY 17

H 1 FY 17

H1 FY 17 % of BE

H1 FY 16 % of

BE

364 DTB

Gross Amount 154,033 40,000 78,519 51.0 43.4

Repayment 154,033 38,016 75,998 49.3 42.6

Net Issuance 0 1,985 2,522 - 60.2

182 DTB

Gross Amount 175,146 42,574 88,599 50.6 52.5

Repayment 175,146 35,571 77,807 44.4 49.3

Net Issuance 0 7,003 10,792 - 176.1

91 DTB

Gross Amount 770,219 175,805 370,962 48.2 48.5

Repayment 753,570 195,157 328,012 43.5 44

Net Issuance 16,649 -19,353 42,949 - 226.1

All T-Bills

Gross Amount 1,099,398 258,379 538,080 48.9 48.3

Repayment 1,082,749 268,744 481,817 44.5 44.6

Net Issuance 16,649 -10,365 56,263 - 174.6

*:- Including amount through non-competitive route.

2.6 Taking cognisance of market demand and yield curve movements, the weighted average

maturity of primary issuance was kept long during the Q2 FY17, although it moderated

marginally as compared with Q1 FY 16. The weighted average maturity (WAM) of dated

securities issued during Q2 FY17 was 14.26 years as against 14.37 years for dated securities

issued in Q1 FY 17. The weighted average yield of issuance during Q2 FY17 was at 7.24 per

cent as against 7.64 per cent in Q1 FY17, reflecting easing of G-sec yields during the quarter.

9

Section 3 – Cash Management

3.1 Government’s cash account is maintained with RBI. The cash-flow mismatches of the

Government are largely managed through issuance of Treasury Bills, access to the Ways and

Means Advances (WMA) facility from the Reserve Bank and issuance of Cash Management

Bills when in deficit and through auctions of its cash balance in market (through RBI) and

buybacks of securities from market, when in surplus. The limits for Ways and Means

Advances (WMA) for the Second half of the financial year 2016-17 (October 2016-March

2017) has been fixed at ` 25,000 crore.

3.2 Liquidity conditions in the economy remained comfortable and in surplus mode during

the quarter (Chart 6). Liquidity conditions in the economy started improving since RBI’s

decision in its first bi-monthly monetary policy review on April 5, 2016 to progressively

lower the average ex ante liquidity deficit in the system (from one percent of NDTL) to a

position closer to neutrality. The liquidity conditions continued to improve in Q2 with RBI

front-loading the liquidity required to manage FCNR (B) redemptions. The liquidity surplus

(net borrowings of RBI under Liquidity Adjustment Facility (LAF)), was at an average of `

7,077 crore in July, average ` 27,709 crore in August and average ` 38,238 crore in

September 2016. The average net surplus under LAF during Q2 of FY 17 was at ` 24,396

crore as against an average deficit of ` 88,140 crore in the previous quarter (Q1 of FY 2016-

17). On policy front during the quarter, RBI kept the Repo rate unchanged at 6.50 per cent,

and cash reserve ratio (CRR) of scheduled banks also kept unchanged at 4.0 per cent in its

policy on August 9, 2016.

10

3.3 The cash position of the Government during Q2 of FY17 was comfortable and remained

mostly in surplus mode barring a few occasions. The Net amount of Treasury Bills issued

through competitive route during the quarter was ‘Nil’. The net amount of Treasury Bills

repaid through non-competitive route during the quarter was at `10,364.90 crore. Overall,

the net amount mobilised through treasury bills (under competitive and non-competitive

routes) during Q2 of FY17 was negative and stood at `(-) 10,364.90 crore as against

`66,629 crore in Q1 FY17. Net amount mobilised in first half HY1 stood at `56,264.10 crore.

Details of treasury bills issued and matured in Q2 of FY17 are given in Table 5.

Table 5: Repayments and Issuance Treasury Bills in July -September 2016

(Amount in ` crore)

Date of Issue Repayments Issued Amount Variation in Issued amount over Repayments 91 DTB 182 DTB 364 DTB 91 DTB 182 DTB 364 DTB

7-Jul-16 9000 0 6000 9000 0 6000 0

13-Jul-16 9000 0 0 0 0 0 - 9000

14-Jul-16 0 6000 0 9000 6000 0 9000

21-Jul-16 9000 0 6000 9000 0 6000 0

28-Jul-16 9000 6000 0 9000 6000 0 0

4-Aug-16 9000 0 6000 9000 0 6000 0

11-Aug-16 9000 6000 0 9000 6000 0 0

18-Aug-16 9000 0 5000 8000 0 6000 0

25-Aug-16 9000 0 0 8000 6000 0 5000

1-Sept-16 9000 0 5000 8000 0 6000 0

8-Sept-16 9000 6000 0 8000 6000 0 -1000

15-Sept-16 9000 0 0 8000 0 5000 4000

16-Sept-16 0 0 5000 0 0 0 -5000

22-Sept-16 9000 0 0 8000 5000 0 4000

26-Sept-16 0 6000 0 0 0 5000 -1000

29-Sept-16 9000 0 5000 8000 0 0 -6000

Total Under Competitive Route

Q2 1,17,000.00 30,000.00 38,000.00 110,000.00 35,000.00 40,000.00 0.00

Total Under Non-Competitive Route

Q2 78,157.08 5,570.87 15.75 65,804.56 7,573.77 0.47 -10,364.90

3.4 The calendar for issuance of treasury bills during October-December 2016 was

announced on September 29, 2016, with gross borrowings at `1,82,000 crore (Statement

5).

11

Section 4 – Trends in Outstanding Public Debt

4.1 The total Public Debt (excluding liabilities under the ‘Public Account’) of the Government

provisionally increased to `6,015,672 crore at end-September 2016 from `5,908,033 crore

at end-June 2016 (Table 6). This represented a quarter-on-quarter (QoQ) increase of 3.0 per

cent (provisional) in Q2 FY 17 as compared with an increase of 3.3 per cent in the previous

quarter (Q1 of FY 17). Internal debt constituted 92.3 per cent of Public Debt, as compared

with 92.1 per cent in the previous quarter. Marketable securities (consisting of Rupee

denominated dated securities and treasury bills) accounted for 83.4 per cent of total Public

Debt, higher than the level as on end-June 2016. The outstanding internal debt of the

Government at `5,555,306 crore constituted 38.8 per cent of GDP at end-September 2016

as compared with 39.0 per cent at end-June 2016.

Table 6: Composition of Public Debt

Item At end-Sep 2016#

At end-Jun 2016 At end-Sep 2016#

At end-Jun 2016

(` crore) (% of Total)

1 2 3 4 5

Public Debt (1 + 2) 6,015,672 5,908,033 100.0 100.0

1. Internal Debt 5,555,306 5,440,774 92.3 92.1

Marketable 5,018,598 4,904,066 83.4 83.0

(a) Treasury Bills 420,959 431,065 7.0 7.3

(i) Cash Management Bills - - - -

(ii) 91-days Treasury Bills 175,805 194,898 2.9 3.3

(iii) 182-days Treasury Bills 88,599 81,596 1.5 1.4

(iv) 364-days Treasury Bills 156,555 154,571 2.6 2.6

(b) Dated Securities 4,597,640 4,473,001 76.4 75.7

Non-marketable* 536,708 536,708 8.9 9.1

(i) 14-days Treasury Bills* 82,508 82,508 1.4 1.4

(ii) Securities Issued to NSSF* 312,895 312,895 5.2 5.3

(iii) Compensation and other bonds*

34,505 34,505 0.6 0.6

(iv) Securities issued to International Financial Institutions*

106,801 106,801 1.8 1.8

(v) Ways and Means Advances* - - - -

2. External Debt** 460,366 467,259 7.7 7.9

(i) Multilateral 297,198 303,739 4.9 5.1

(ii) Bilateral 124,975 125,326 2.1 2.1

(iii) IMF* 37,628 37,628 0.6 0.6

(iv) Rupee debt 564 566 0.0 0.0 #: Data are provisional.

*These data are not available for end-Sep 30, 2016. So they are carried over from previous quarter. ** Forex debt at quarter-end current exchange rate.

12

Maturity Pattern for Outstanding Government Debt Stock

4.2 The weighted average maturity of outstanding stock of dated securities as at end-

September 2016 increased marginally to 10.54 years from 10.53 years at end-June 2016.

Over the same period, the weighted average coupon of outstanding stock decreased to 8.05

per cent from 8.07 per cent (Table 7).

Table 7: Maturity and Yield of Central Government's Market Loans

Year Issues during the year Outstanding Stock*

Weighted Average Yield (%)

Weighted Average

Maturity (yrs)

Weighted Average

Coupon (%)

Weighted Average

Maturity (yrs)

1 2 3 4 5

2010-11 7.92 11.62 7.81 9.64

2011-12 8.52 12.66 7.88 9.6

2012-13 8.36 13.5 7.97 9.66

2013-14 8.48 14.28 7.98 10.00

2014-15 8.51 14.66 8.09 10.23

2015-16 7.89 16.07 8.08 10.50

2016-17 Q1 7.64 14.37 8.07 10.53

2016-17 Q2 7.24 14.26 8.05 10.54

2016-17 H1 7.43 14.31 8.05 10.54

*As at end of period.

4.3 The proportion of debt (dated securities) maturing in less than one year increased to 6.7

per cent at end-September 2016 from 3.9 per cent a quarter ago. However, proportion of

debt maturing within 1-5 years was lower at 19.6 per cent as against 24.0 per cent at end-

June 2016. Accordingly, debt maturing in next five years reduced to 26.2 per cent in Q2 FY

17 from 27.9 per cent of outstanding during the previous quarter. The proportion of

outstanding debt maturing in less than 10 years was lower at 52.5 per cent as against 55.3

per cent a quarter ago, with corresponding increase in share in proportion of debt maturing

in more than 10 years. The change in composition of debt in terms of various maturity

buckets reflects the maturity structure of securities issued during Q2 of FY17 as well as the

maturity dynamics of outstanding securities. Overall, 26.2 per cent of outstanding stock has

a residual maturity of up to 5 years, which implies that over the next five years, on an

average, 5.2 per cent of outstanding stock needs to be rolled over every year (Table 8).

13

Thus, the rollover risk in the debt portfolio continues to be low. The implementation of

budgeted buy back/ switches in coming period is expected to reduce roll over risk further.

Table 8: Maturity Profile of GoI Outstanding Dated Securities

(Amount in ` crore)

Maturity Buckets End-Jun 2016 End-Sep 2016

Less than 1 Year 176187.9 306851.6

(3.9) (6.7)

1-5 Years 1072464.8 899578.0

(24.0) (19.6)

5-10 Years 1223302.4 1207302.4

(27.3) (26.3)

10-20 Years 1485435.5 1643435.5

(33.2) (35.7)

20 Years and above 515472.3 540472.28

(11.5) (11.8)

Total 4,472,862.9 4,597,639.8

Note: 1. Figures in parentheses represent per cent to total.

Holding Pattern

4.4 The holding pattern of Government securities is available with a lag of a quarter; the

latest data are available for end-June 2016 (Table 9 and Chart 7). Banks (including banks

that are primary dealers and co-operative banks) continue to dominate as the major

investor category, however, their share in holding of Government securities declined further

to 39.9 per cent at end-June 2016 from 41.8 per cent as at end-March 2016. Among the

long-term investors, while the share of holding by insurance companies increased during the

quarter to 22.6 per cent from 22.2 per cent at end-March 2016, the share of provident

funds marginally decreased to 5.9 per cent at end-Jun 2016 from 6.0 per cent at end-Mar

2016. The share of corporates remained same at 1.3 per cent at end-June 2016 as compared

a quarter ago. Proportion of securities held by the Reserve Bank at end-June 2016 increased

to 14.9 per cent from 13.5 per cent a quarter ago on account of OMOs purchases worth `

80,013 crore made by RBI in Q1 FY 17 for its liquidity operations aligned with its revised

monetary policy stance.

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Table 9: Ownership Pattern of Government of India Dated Securities (Per cent of Outstanding Securities)

Category 2015 2015 2016

Mar. Jun. Sep. Dec. Mar. Jun.

1. Commercial Banks 43.3 43.1 43.0 43.6 41.8 39.9

2. Non-Bank PDs 0.3 0.4 0.5 0.4 0.3 0.5

3. Insurance Companies 20.9 21.4 22.1 21.9 22.2 22.6

4. Mutual Funds 1.9 2.4 2.7 2.5 2.1 2.1

5. Co-operative Banks 2.6 2.7 2.6 2.7 2.8 2.7

6. Financial Institutions 2.1 0.7 0.6 0.7 0.72 0.71

7. Corporates 1.3 1.1 0.8 0.9 1.3 1.3

8. FPIs 3.7 3.6 3.6 3.7 3.7 3.6

9. Provident Funds 7.6 7.1 7.2 7.1 6.0 5.9

10. RBI 13.5 13.1 12.1 12.1 13.5 14.9

11. Others 3.0 4.5 4.8 4.5 5.7 5.8

Total 100.0 100.0 100.0 100.0 100.0 100.0

Source: RBI Bulletin, Volume LXX No. 10, October 2016. Note: The holdings of RBI have been revised since December 2014, based on the revised liquidity management.

15

Section 5 – Secondary Market

A. Government security yields

5.1 G-sec market witnessed one-sided sharp gains during the quarter after opening the

quarter on steady note. Chart 8 depicts the movement in Government bond yields (10-year

yield as benchmark) during the July- September 2016 quarter (Q2 FY 17).

G-Sec market opened the quarter on steady note on the back of softening of crude prices

and increase in risk appetite globally after sharp correction post Brexit, on expectations of

more liquidity easing measures by central banks. FPIs did not show any haste to exit India

post-Brexit, US equity markets made record highs and U.S. Treasury yields fell to record low

levels post Brexit (10 Yr yield falling to 1.37%). The expectation of easy monetary policy

from RBI also supported the market with 10 year benchmark yield touching 3 year lows.

Towards July end, further decline in Global crude prices and decision to keep interest rates

unchanged by the US FOMC, while maintaining an accommodative monetary policy stance,

provided impetus to the market.

Passage of GST Bill by Upper House of Parliament in August First week and RBI August

Monetary policy Statement providing for continued front-loading of liquidity requirements

for maturing FCNR (B) deposits through OMO Purchases allowed market to gain further in

August. On these positive news flows, 10 year bench mark yield reduced further to record

seven year lows during earlier half of August. However, higher July CPI and WPI inflation

figures moderated the gains.

With weak US employment Data (NFP) release in September 2016 beginning, greatly

reducing expectations of an immediate Fed rate hike, liquidity easing on account of RBI

OMO purchases, dovish comments of RBI Governor suggesting to maintain a adjusting

stance on interest rates and liquidity, with inflation now a lesser risk, etc., leading to an

expectation of a near term rate cut, etc., G-sec market further gains in September 2016.

Ten year benchmark yield closed at 6.81 per cent on September 30, 2016 as against 7.45 per

cent on June 30, 2016 after trading between 6.79 per cent and 7.42 per cent during the

quarter.

16

5.2 Due to reasons mentioned above, yields moderated across the curve during the

quarter compared to the previous quarter with 10 yr segment gaining the most. The 1yr-

10yr spread decreased to 17 bps at end-September 2016 from 48 bps at end-June 2016,

while 10yr-30yr spread increased to 33 bps from 20 bps over the same period. Overall, 1yr-

30yr spread at end of Q2 of FY16 decreased to 50 bps from 68 bps at the end of the

previous quarter (Chart 9).

5.3 With easing in liquidity condition and rate cut hopes toward the end of the quarter,

Treasury Bills yields also saw decline across the curve during the quarter as compared to

previous quarter with 91, 182 and 364 day yields moderating by 23, 29 and 33 bps

respectively. The 1m-12m spread increased to 15 bps at end September 2016 as compared

with 13 bps at end June 2016. The 1m-3m spread was up at 2 bps from (-) 10 bps as at

17

previous quarter end, while 3m-6m spread contracted to 9 bps at September 2016 end from

13 bps as at previous quarter end.

B. Trading Pattern for domestic securities

5.4 The total volume of Government securities transacted on an outright basis during Q2 of

FY16-17 stood at ` 56.69 lakh crore, an increase of 78.45 per cent over volume of ` 31.77

lakh crores during the preceding quarter (Table 10). G-Secs, showing an increase of 84.08

per cent, mainly contributed to the increase in trading activity during the quarter. The

annualised outright turnover ratio1 for Central Government dated securities (G-Secs) for Q2

of FY16-17 increased to 9.18 from 5.12 during Q1 of FY16-17. Including repo transactions,

the annualised total turnover ratio2 for Q2 of FY 16-17 increased to 18.64 from 12.59 during

Q1 of FY16-17.

Table 10 : Transactions in Government Securities (volumes in `Crore)

Period

Outright Repo

G-Sec T-Bills SDL Total G-Sec T-Bills SDL Total

2011-12 3099107 345237 43859 3488203 2186877 1554121 22878 3763877

2012-13 5920929 552943 118159 6592032 2918337 2413144 71282 5402764

2013-14 7968661 833191 154847 8956699 3364069 3832478 31580 7228127

2014-15 9149608 823470 183084 10156161 4471896 3259007 144343 7875246

Apr-Jun 15 2280746 225239 56618 2562604 1267888 773487 10096 2051471

July-Sept 15 2154202 226051 77147 2457401 1456168 533733 41476 2031377

Oct – Dec 15 1931991 215039 87056 2234116 1622568 495476 45462 2163506

Jan – Mar 16 2190732 188060 95627 2474420 1884073 445508 45731 2375312

Apr – Jun 16 2827815 235855 113275 3176946 2064067 435971 118263 2618301

July-Sept 16 5205354 276679 187322 5669355 2681221 327322 180494 3189037

1 Annualised Outright Turnover Ratio = 4*[Quarterly Outright Volume *2/(Average of outstanding stock)]

2 Annualised Total Turnover Ratio = 4* [(Quarterly Outright Volume *2 + Quarterly Repo Volume * 4) /

(Average of outstanding stock)]

18

5.5 Central Government dated securities continued to account for a dominant portion of

total trading volumes (Chart 11a and 11b). During Q2 of FY16-17, their share stood at 91.82

per cent of total outright volumes as compared to 89.01 per cent in Q1 of FY16-17. Central

Government securities accounted for 84.08 per cent of the total repo volumes during Q2 of

FY16-17 as compared to 78.83 per cent in Q1 of FY16-17.

5.6 The top 10 traded securities accounted for 81.72 per cent of the total outright

transaction volume during the quarter as compared with 72.07 per cent during Q1 of FY16-

17. The share of top three traded securities increased to 53.44 per cent from 45.82 per cent

during Q1 of FY16-17 (Table 11).

Table 11 - Top 10 Traded Securities (in ` Crore)

Security July – Sept 16 Security Apr - Jun 16

7.59 G.S. 2026 14,11,673 7.59 G.S. 2026 5,83,628

7.59 G.S. 2029 10,04,099 7.88 G.S. 2030 4,81,637

7.88 G.S. 2030 6,14,202 7.59 G.S. 2029 3,90,472

7.61 G.S. 2030 5,24,636 8.27 G.S. 2020 2,21,839

7.68 G.S. 2023 3,74,173 7.68 G.S. 2023 2,00,965

7.72 G.S. 2025 2,27,412 7.72 G.S. 2025 1,78,023

8.27 G.S. 2020 1,92,499 7.35 G.S. 2024 73,913

7.35 G.S. 2024 1,14,651 7.28 G.S. 2019 65,508

7.80 G.S. 2021 86,048 7.61 G.S. 2030 49,667

6.97 G.S. 2026 83,673 7.80 G.S. 2021 44,042

5.7 The trend in outright trading volumes in Government securities under

different maturity buckets is given in Table 12.

19

5.8 The maturity distribution of Government securities transactions in the

secondary market is represented in Chart 12a and 12b. Trading increased in medium and

longer end of bond market (> 7 year) during the quarter vis-à-vis previous quarter.

Reflecting the increased trading activity in 10-year benchmark securities, share of ‘10

years and above’ maturity range increased and accounted for the highest share of trading

volumes during Q2 of FY 16-17 (44.65 per cent, higher than 36.88 per cent in Q1 of FY16-

17). Share of ‘7-10 years’ maturity range was also higher at 36.66 percent from 31.96

percent in previous quarter. The below 3 years maturity bracket continued to have

lowest share of trading volume at 1.47 per cent. Share of ‘3-7 years’ maturity range saw

decrease from 27.29 percent to 17.22 percent during the quarter.

5.9 Public sector banks were the dominant trading category during the quarter with a

share in total outright trading activity at 28.9 per cent (of total trading volumes),higher

than 26.8 per cent during Q1 of FY 16-17(Chart 13). Foreign banks share decreased to 24.9

per cent during the quarter from 28.0 per cent in the previous quarter. Public Sector Banks

were the largest net buyer (` 36,637 crore) in secondary market during the quarter,

Table 12 : Maturity –wise outright trading volumes in G-Sec (in ` Crore)

Maturity/Quarter July -Sept 16 Apr-Jun 16 July-Sep 15 2015-16 2014-15 2013-14 2012- 13 2011-12

Less than 3 Years 76,389 109,611 41,227 224,817 106,086 95,703 11,865 35,545

3-7 Years 896,473 771,652 259,519 1,568,708 1,182,377 1,316,068 500,159 234,437

7-10 Years 1908,203 903,690 1,435,526 4,272,320 4,821,218 3,207,229 2,331,557 1,743,886

above 10 Years 2,324,288 1,042,860 417,930 2,491,828 3,039,926 3,349,661 3,077,349 1,085,239

Total 5,205,353 2,827,813 2,154,202 8,557,673 9,149,607 7,968,661 5,920,929 3,099,107

20

followed by `Others' category comprising of FIs, Insurance Cos and Others (` 36,186

crore). Private Sector Banks (excluding primary dealers) were the largest net sellers

category in secondary market (` 24,276 crore) during the quarter, followed by Foreign

Banks (` 17, 214 crore).

Table 13: Category wise - Buying and Selling (% of total )

July-Sept 16 Apr – Jun 16 Jan-Mar 16 Oct -Dec 15 July -Sept 15 Apr-Jun 15 Jan-Mar 15 Oct-Dec 14

Buy Sell Buy Sell Buy Sell Buy Sell Buy Sell Buy Sell Buy Sell Buy Sell

Co-operative

Banks

4.97 4.89 3.54 3.41 3.6 3.45 3.72 3.35 3.73 3.54 3.32 2.9 3.5 3.39 4.04 3.96

FIs 0.35 0.31 0.26 0.03 0.12 0.09 0.43 0.13 0.16 0.07 0.28 0.16 0.14 0.09 0.27 0.05

Foreign Banks 24.74 25.04 27.47 28.56 31 31.1 27.6 29.3 28.3 28 30.5 32.4 28.7 29.5 25 25

Ins. Cos 1.07 0.95 1.46 1.31 2.01 1.82 1.82 2.11 1.57 1.23 1.69 1.51 1.53 1.64 1.25 1.13

Mutual Funds 8.24 7.69 8.4 7.08 10.4 11.5 10.7 10.5 9.65 8.25 10.3 8.31 8.93 8.51 9.78 7.93

Primary Dealers 16.92 18.11 13.56 15.64 13.3 15.6 14.3 18 17.9 20.7 16.3 19.5 13.9 16.3 18.4 20.7

Pvt. Sector Banks 13.32 13.75 16.65 16.48 14.4 13.5 13.8 13.6 12.3 12.4 12.4 12.9 11.2 10.8 12.4 12.4

Pub. Sector Banks 29.23 28.59 27.11 26.54 22.4 21.3 25.4 22.4 24.1 23.7 22.1 20.3 29.2 28.2 26.9 26.4

Others 1.15 0.69 1.55 0.94 2.71 1.73 2.26 0.62 2.26 2.11 3.17 1.97 2.91 1.64 2.45 2.47

Total 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100

5.10 Quarterly share of various categories/participants in the secondary market trading

activity (buy + sell) for government securities is shown in Table 13.

i

Statement 1: Issuance of Dated securities During Q2 FY17 (Amount in `Crore)

Name of Stock Date of Auction

Date of Issue

Amount Raised

Devolvement on PDs

Cut off price

Cut off yield (%)

Date of Maturity

Residual Maturity (Years)

7.68% GS 2023 $ M 30-Jun-16 1-Jul-16 3000 0.0 100.85 7.5279 15-Dec-23 7.46

7.59% GS 2026 $ M 30-Jun-16 1-Jul-16 8000 0.0 100.93 7.4514 11-Jan-26 9.53

7.50% GS 2034$ M 30-Jun-16 1-Jul-16 2000 0.0 98.12 7.6929 10-Aug-34 18.11

7.72% GS 2055$ M 30-Jun-16 1-Jul-16 2000 0.0 99.62 7.7496 26-Oct-55 39.32

7.80% GS 2021 $ M 8-Jul-16 11-Jul-16 3000 0.0 102.30 7.2151 11-Apr-21 4.75

7.59% GS 2029 $ M 8-Jul-16 11-Jul-16 7000 0.0 100.38 7.5409 20-Mar-29 12.69

7.73% GS 2034 $ M 8-Jul-16 11-Jul-16 2000 0.0 100.78 7.6496 19-Dec-34 18.44

8.13% GS 2045 $ M 8-Jul-16 11-Jul-16 3000 0.0 104.91 7.7034 22-Jun-45 28.95

7.35% GS 2024 $ M 15-Jul-16 18-Jul-16 3000 0.0 100.23 7.3099 22-Jun-24 7.93

7.61% GS 2030 $ M 15-Jul-16 18-Jul-16 8000 0.0 101.63 7.4174 9-May-30 13.81

7.50% GS 2034 $ M 15-Jul-16 18-Jul-16 2000 0.0 100.08 7.4911 10-Aug-34 18.06

8.17% GS 2044 $ M 15-Jul-16 18-Jul-16 2000 0.0 106.20 7.6314 1-Dec-44 28.37

7.68% GS 2023 $ M 22-Jul-16 25-Jul-16 3000 0.0 102.58 7.2212 15-Dec-23 7.39

7.59% GS 2026 $ M 22-Jul-16 25-Jul-16 8000 0.0 102.29 7.2506 11-Jan-26 9.46

7.73% GS 2034 $ M 22-Jul-16 25-Jul-16 2000 0.0 102.90 7.4371 19-Dec-34 18.40

8.13% GS 2045 $ M 22-Jul-16 25-Jul-16 2000 0.0 107.05 7.5273 22-Jun-45 28.91

7.80% GS 2021 $ M 29-Jul-16 1-Aug-16 3000 0.0 102.95 7.0469 11-Apr-21 4.69

7.59% GS 2029 $ M 29-Jul-16 1-Aug-16 8000 0.0 102.54 7.2776 20-Mar-29 12.64

7.50% GS 2034 $ M 29-Jul-16 1-Aug-16 2000 0.0 101.72 7.3263 10-Aug-34 18.03

7.72% GS 2055 $ M 29-Jul-16 1-Aug-16 2000 0.0 104.69 7.3523 26-Oct-55 39.24

7.35% GS 2024 $ M 5-Aug-16 8-Aug-16 3000 0.0 101.04 7.1727 22-Jun-24 7.87

7.61% GS 2030 $ M 5-Aug-16 8-Aug-16 8000 0.0 103.47 7.2062 9-May-30 13.75

7.73% GS 2034 $ M 5-Aug-16 8-Aug-16 2000 0.0 103.77 7.3512 19-Dec-34 18.36

8.13% GS 2045 $ M 5-Aug-16 8-Aug-16 2000 0.0 109.12 7.3623 22-Jun-45 28.87

7.68% GS 2023 $ M 12-Aug-16 16-Aug-16 3000 0.0 103.30 7.0923 15-Dec-23 7.33

7.59% GS 2026 $ M 12-Aug-16 16-Aug-16 8000 0.0 103.33 7.0971 11-Jan-26 9.40

7.50% GS 2034 $ M 12-Aug-16 16-Aug-16 2000 0.0 103.04 7.1958 10-Aug-34 17.98

8.17% GS 2044 $ M 12-Aug-16 16-Aug-16 2000 0.0 111.00 7.2485 1-Dec-44 28.29

7.80% GS 2021 $ M 19-Aug-16 22-Aug-16 3000 0.0 102.85 7.0649 11-Apr-21 4.64

7.59% GS 2029 $ M 19-Aug-16 22-Aug-16 8000 0.0 102.97 7.2255 20-Mar-29 12.58

7.73% GS 2034 $ M 19-Aug-16 22-Aug-16 2000 0.0 104.90 7.2413 19-Dec-34 18.33

8.13% GS 2045 $ M 19-Aug-16 22-Aug-16 2000 0.0 110.01 7.2927 22-Jun-45 28.83

7.68% GS 2023 $ M 26-Aug-16 29-Aug-16 2000 0.0 103.22 7.1039 15-Dec-23 7.29

7.59% GS 2026 $ M 26-Aug-16 29-Aug-16 8000 0.0 103.11 7.1273 11-Jan-26 9.37

7.50% GS 2034 $ M 26-Aug-16 29-Aug-16 2000 0.0 102.58 7.2403 10-Aug-34 17.95

7.72% GS 2055 $ M 26-Aug-16 29-Aug-16 2000 0.0 106.10 7.2477 26-Oct-55 39.16

7.35% GS 2024 $ M 2-Sep-16 6-Sep-16 2000 0.0 101.35 7.1187 22-Jun-24 7.79

6.97% GS 2026 # M 2-Sep-16 6-Sep-16 8000 0.0 100.00 6.9700 6-Sep-26 10.00

ii

7.73% GS 2034 $ M 2-Sep-16 6-Sep-16 2000 0.0 105.16 7.2158 19-Dec-34 18.29

8.13% GS 2045 $ M 2-Sep-16 6-Sep-16 2000 0.0 110.53 7.2522 22-Jun-45 28.79

6.84% GS 2022 # M 9-Sep-16 12-Sep-16 2000 0.0 100.00 6.8372 19-Dec-22 6.27

7.61% GS 2030 $ M 9-Sep-16 12-Sep-16 8000 0.0 104.97 7.0361 9-May-30 13.66

7.50% GS 2034 $ M 9-Sep-16 12-Sep-16 2000 0.0 103.10 7.1886 10-Aug-34 17.91

8.17% GS 2044 $ M 9-Sep-16 12-Sep-16 2000 0.0 111.49 7.2102 1-Dec-44 28.22

6.84% GS 2022 $ M 23-Sep-16 26-Sep-16 2000 0.0 100.50 6.7414 19-Dec-22 6.23

6.97% GS 2026 $ M 23-Sep-16 26-Sep-16 8000 0.0 101.16 6.8067 6-Sep-26 9.94

7.73% GS 2034 $ M 23-Sep-16 26-Sep-16 2000 0.0 106.15 7.1207 19-Dec-34 18.23

8.13% GS 2045 $ M 23-Sep-16 26-Sep-16 2000 0.0 111.68 7.1642 22-Jun-45 28.74

Gross Nominal Amount Raised 176000

Weighted Average Yield 7.24

Weighted Average Maturity 14.26

$ - Reissues/Price based auctions # New Issue/Yield Based Auction M-Multiple Price based auction

iii

Statement 2:Treasury Bills Issued During Q2 FY17

(Amount in `crore)

Name of Security Date of Auction Date of

Issue

Competitive amount raised

Non-Competiti

ve amount raised

Gross Nominal amount raised

Cut off Yield (%)

364 DTB 5-Jul-16 7-Jul-16 6000 0.1 6000.1 6.81

364 DTB 20-Jul-16 21-Jul-16 6000 0.0 6000.0 6.74

364 DTB 3-Aug-16 4-Aug-16 6000 0.2 6000.2 6.68

364 DTB 16-Aug-16 18-Aug-16 6000 0.0 6000.0 6.67

364 DTB 31-Aug-16 1-Sep-16 6000 0.1 6000.1 6.67

364 DTB 14-Sep-16 15-Sep-16 5000 0.0 5000.0 6.64

364 DTB 28-Sep-16 29-Sep-16 5000 0.1 5000.1 6.58

182 DTB 13-Jul-16 14-Jul-16 6000 1000.0 7000.0 6.72

182 DTB 27-Jul-16 28-Jul-16 6000 0.0 6000.0 6.69

182 DTB 10-Aug-16 11-Aug-16 6000 1000.0 7000.0 6.65

182 DTB 24-Aug-16 25-Aug-16 6000 0.0 6000.0 6.67

182 DTB 7-Sep-16 8-Sep-16 6000 4000.0 10000.0 6.65

182 DTB 21-Sep-16 22-Sep-16 5000 1573.8 6573.8 6.63

91 DTB 5-Jul-16 7-Jul-16 9000 3202.5 12202.5 6.60

91 DTB 13-Jul-16 14-Jul-16 9000 5900.0 14900.0 6.56

91 DTB 20-Jul-16 21-Jul-16 9000 6700.0 15700.0 6.56

91 DTB 27-Jul-16 28-Jul-16 9000 3200.0 12200.0 6.56

91 DTB 3-Aug-16 4-Aug-16 9000 7370.0 16370.0 6.56

91 DTB 10-Aug-16 11-Aug-16 9000 3000.0 12000.0 6.56

91 DTB 16-Aug-16 18-Aug-16 8000 300.0 8300.0 6.56

91 DTB 24-Aug-16 25-Aug-16 8000 7101.3 15101.3 6.56

91 DTB 31-Aug-16 1-Sep-16 8000 7030.0 15030.0 6.56

91 DTB 7-Sep-16 8-Sep-16 8000 1230.0 9230.0 6.56

91 DTB 14-Sep-16 15-Sep-16 8000 8110.0 16110.0 6.52

91 DTB 21-Sep-16 22-Sep-16 8000 5530.0 13530.0 6.52

91 DTB 28-Sep-16 29-Sep-16 8000 7130.8 15130.8 6.52

Total 185,000.0 73378.8 258,378.8

iv

Statement 3: List of Dated Securities Outstanding at end-September 2016

Nomenclature Date of maturity Outstanding Stock (` Crore)

8.07% 2017 15-Jan-17 66,964.80

7.49% 2017 (con) 16-Apr-17 58,000.00

FRB-2017 2-Jul-17 3,000.00

8.07% GS 2017 JUL 3-Jul-17 50,000.00

7.99% 2017 9-Jul-17 71,000.00

7.46% 2017 28-Aug-17 57,886.80

6.25% 2018 (conv) 2-Jan-18 16,886.80

7.83% GS 2018 11-Apr-18 73,000.00

8.24% GS 2018 22-Apr-18 75,000.00

10.45% GS 2018 30-Apr-18 3,716.00

5.69 % GS 2018(Conv)] 25-Sep-18 16,130.00

12.60% GS 2018 23-Nov-18 12,631.88

5.64% GS 2019 2-Jan-19 10,000.00

6.05% GS 2019 2-Feb-19 53,000.00

7.28% GS 2019 3-Jun-19 53,000.00

6.05% GS 2019 (con) 12-Jun-19 11,000.00

6.90% GS 2019 13-Jul-19 45,000.00

10.03% GS 2019 9-Aug-19 6,000.00

6.35% GS 2020 (con) 2-Jan-20 61,000.00

8.19% GS 2020 16-Jan-20 74,000.00

10.70% GS 2020 22-Apr-20 6,000.00

7.80% GS 2020 3-May-20 75,000.00

8.27% GS 2020 9-Jun-20 73,000.00

8.12% GS 2020 10-Dec-20 76,000.00

FRB - 2020 21-Dec-20 13,000.00

11.60% GS 2020 27-Dec-20 5,000.00

7.80% GS 2021 11-Apr-21 66,000.00

7.94% GS 2021 24-May-21 49,000.00

10.25% GS 2021 30-May-21 26,213.32

8.79% GS 2021 8-Nov-21 83,000.00

6.84% GS 2022 19-Dec-22 4,000.00

8.20% GS 2022 15-Feb-22 57,632.33

8.35% GS 2022 14-May-22 77,000.00

8.15% GS 2022 11-Jun-22 83,000.00

8.08% GS 2022 2-Aug-22 68,969.41

5.87% GS 2022 (conv) 28-Aug-22 11,000.00

8.13% GS 2022 21-Sep-22 70,495.28

6.30% GS 2023 9-Apr-23 13,000.00

7.16% GS 2023 20-May-23 77,000.00

1.44% II GS 2023 5-Jun-23 1,152.55

6.17% GS 2023 (conv) 12-Jun-23 14,000.00

8.83% GS 2023 25-Nov-23 83,000.00

v

7.68% GS 2023 15-Dec-23 88,132.01

IINSS -Cumulative 1.5% GS 2023 25-Dec-23 64.84

7.35% GS 2024 22-Jun-24 85,168.02

8.40% GS 2024 28-Jul-24 90,000.00

9.15% GS 2024 14-Nov-24 92,000.00

7.72% GS 2025 25-May-25 86,000.00

8.20% GS 2025 24-Sep-25 90,000.00

5.97 % GS 2025 (Conv) 25-Sep-25 16,687.95

6.97% GS 2026 6-Sep-26 16,000.00

7.59% GS 2026 11-Jan-26 87,000.00

8.33% GS 2026 9-Jul-26 90,000.00

10.18% GS 2026 11-Sep-26 15,000.00

8.15% GS 2026 24-Nov-26 86,489.21

8.24% GS 2027 15-Feb-27 93,388.55

8.26% GS 2027 2-Aug-27 73,427.33

8.28% GS 2027 21-Sep-27 89,252.24

6.01% GS GS 2028 (C Align) 25-Mar-28 15,000.00

6.13% GS 2028 4-Jun-28 11,000.00

8.60% GS 2028 2-Jun-28 84,000.00

7.59% GS 2029 20-Mar-29 88,000.00

7.61% GS 2030 9-May-30 48,000.00

7.88% GS 2030 19-Mar-30 89,000.00

9.20% GS 2030 30-Sep-30 61,884.55

8.97% GS 2030 5-Dec-30 90,000.00

8.28% GS 2032 15-Feb-32 90,687.11

8.32% GS 2032 2-Aug-32 89,434.05

7.95% GS 2032 28-Aug-32 89,000.00

8.33% GS 2032 21-Sep-32 1,522.48

8.24% GS 2033 10-Nov-33 87,000.00

7.50% GS 2034 10-Aug-34 82,000.00

7.73% GS 2034 19-Dec-34 44,000.00

FRB, 2035 25-Jan-35 350.00

7.40% GS 2035 9-Sep-35 52,000.00

8.33% GS 2036 7-Jun-36 86,000.00

6.83% GS 2039 19-Jan-39 13,000.00

8.30% GS 2040 2-Jul-40 90,000.00

8.83% GS 2041 12-Dec-41 90,000.00

8.30% GS 2042 31-Dec-42 90,000.00

9.23% GS 2043 23-Dec-43 79,472.28

8.17% GS 2044 1-Dec-44 86,000.00

8.13% GS 2045 22-Jun-45 73,000.00

7.72% GS 2055 26-Oct-55 19,000.00

Total 4,597,640

vi

Statement 4: Maturity Profile of Government Securities at End-September 2016

Year of maturity Outstanding Stock (` Crore)

2016-17 66,965

2017-18 256,774

2018-19 243,478

2019-20 250,000

2020-21 248,000

2021-22 285,846

2022-23 310,465

2023-24 276,349

2024-25 267,168

2025-26 279,688

2026-27 300,878

2027-28 177,680

2028-29 189,000

2029-30 89,000

2030-31 199,885

2031-32 90,687

2032-33 179,957

2033-34 87,000

2034-35 126,350

2035-36 52,000

2036-37 86,000

2037-38 -

2038-39 13,000

2039-40 -

2040-41 90,000

2041-42 90,000

2042-43 90,000

2043-44 79,472

2044-45 80,000

2045-46 73,000

2055-56 19,000

Total 4,597,640

vii

Statement 5: Calendar for Auction of Government of India Treasury Bills during Oct-Dec 2016

(` crore)

Date of Auction 91 Days 182 Days 364 Days Total

5-Oct-16 8000 6000 14000

10-Oct-16 8000 6000 14000

19-Oct-16 8000 6000 14000

26-Oct-16 8000 6000 14000

2-Nov-16 8000 6000 14000

9-Nov-16 8000 6000 14000

16-Nov-16 8000 6000 14000

23-Nov-16 8000 6000 14000

30-Nov-16 8000 6000 14000

7-Dec-16 8000 6000 14000

14-Dec-16 8000 6000 14000

21-Dec-16 8000 6000 14000

28-Dec-16 8000 6000 14000

Total 104000 42000 36000 182000