I

Public Debt Management quarterly report

OCTOBER - December 2016

Government of India Ministry of finance

Budget Division Department of economic affairs

February 2017 www.finmin.nic.in

II

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

III

List of Tables and Charts

List of Tables Table No. Title Page No.

1 Fiscal Outcome during Oct-Dec 2016-17 6 2 Issuance of Dated Securities 7 3 Primary Issuance by Maturity Buckets, Q3 of 2016-17 7 4 Issuance of Treasury Bills 8 5 Repayments and Issuance of Treasury Bills in Oct - Dec 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 18 11 Top 10 Traded Securities 19 12 Maturity Pattern of Outright Transactions 19 13 Category wise – Buying and Selling 21

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 Outstanding 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 – Oct-Dec 2016 18 12a Maturity wise Trading Activity - Oct-Dec 16 20 12b Maturity wise Trading Activity - Jul-Sep 16 20 13 Trading Activity (Buy+Sell) by Category 20

List of Statements Statement No. Title Page No.

1 Issuance of Dated Securities During Q3 of FY17 i 2 Treasury Bills Issued During Q3 of FY17 ii 3 List of Dated Securities Outstanding at end-December 2016 iii 4 5

Maturity Profile of Government Securities at end-December 2016 Calendar for Auction of Treasury Bills during Jan-March 2017

v vi

1

Introduction

The Middle Office was set up in September 2008 in Department of Economic Affairs,

Ministry of Finance, Government of India. 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 Q3

of the fiscal year 2016-17, viz., October-December 2016 (Q3 FY 17). On establishment of

Public Debt Management Cell (PDMC) in Budget Division of Department of Economic Affairs

in October 2016, which subsumed Middle Office into it, these reports are being published by

PDMC now.

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

undertaken 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, if any, and also their valuable suggestions at mo-dea@nic.in

2

Section 1 – Macroeconomic Developments

1.1 As per Central Statistics Organisation (CSO) estimates, India’s real GDP growth in Q2 (Jul-

Sep) FY 17 (at constant price 2011-12) stood at 7.3 per cent, as against 7.6 per cent growth

in Q2 FY 16. Correspondingly, Gross Value Addition (GVA) stood at 7.1 per cent in Q2 FY 17

as against 7.3 per cent in Q2 FY 16. Of the sectors, agriculture output grew by 3.3 per cent,

manufacturing grew by 7.1 per cent, mining contracted by 1.5 per cent and construction

grew by 3.5 per cent. The growth in GDP during 2016-17 (advance estimate) is estimated to

be 7.1 per cent, which is lower than the growth rate of 7.9 per cent (revised on January 31,

2017) in 2015-16. The advance estimate of India’s FY17 GDP was pegged at 7.1 per cent

(Chart 1).

1.2 Headline inflation remained on a downward trajectory in the quarter as CPI (retail)

inflation (new base 2012=100) came in at 3.41 at end-December 2016, lower than 4.4 per

cent as at end-September 2016. The decline in retail inflation turned sharper than expected

and reached its lowest level since November 2014. Accordingly, with improvement in

inflation environment, average CPI inflation rate during Q3 FY 17 was lower at 3.7 per cent

as compared with average inflation rate of 5.2 per cent during Q2 of FY 17. Sharp and

unusual softening of food prices, especially vegetables and pulses, coupled with contained

services inflation helped stem any upside pressure to the headline inflation,

notwithstanding adverse statistical base. Food inflation, which accounts for about 46 per

cent of the overall CPI basket, eased off to grow at a lower pace of 1.37 per cent in Q3 FY

2016-17 from 3.88 per cent in Q2 FY 2016-17. Core CPI, indicative of demand side price

pressure, came in at 4.90 per cent in December 2016 as against 6.98 per cent in the

previous month (Chart 2). WPI inflation (y-o-y) moderated to 3.39 per cent (provisional) at

3

end quarter (in December, 2016) as compared to 3.80 per cent at end of previous quarter

(in Sep 2016) and -1.06 per cent during the corresponding month of the previous year (Dec

2015).

1.3 Industrial growth, as measured by index of industrial production (IIP), contracted to 4

month low of 0.4 per cent in December 2016 as against (-) 0.9 per cent a year ago. The

output of consumer durables declined by 10.3 per cent while consumer non-durable

contracted by 5.0 per cent with the overall growth in Consumer goods being (-) 6.8 percent

in December 2016 over Dec 2015. Manufacturing sector with a weight of 75.5 per cent in

IIP, contracted by about 2.0 per cent in December 2016 while growth rates in Mining

(weight 14.2 per cent) and Electricity sector (weight 10.3 per cent) was positive at 5.2 per

cent and 6.3 per cent, respectively, in December 2016. In the used-based industry

classification, growth in all the industry groups except Basic goods, were in negative in

December 2016 over previous year. IIP growth was 5.7 per cent in November 2016. On the

cumulative basis, IIP growth during Apr-Dec 2016 came in lower at 0.3 per cent, as against

3.2 per cent in the corresponding period of previous year (Chart 3).

4

1.4 India’s exports, in dollar terms, valued at USD 23.9 billion in December 2016 continue to

show a positive growth, for the fourth month in succession of 5.72 per cent over December

2015 (valued at USD 22.6 billion). Imports other than petroleum oil and lubricants (POL)

moderated in December 2016 (valued at USD 26.6 billion) as compared to a surge seen in

November 2016 and also showed a decline of 2.9 per cent, over Dec 2015. In contrast, there

was an increase of over 14.6 per cent in POL imports in Dec 2016 (valued at USD 7.6 billion),

in part reflecting the rise in international crude oil prices. The average monthly trade deficit

during Q3 of 2016-17 remained at USD 11.3 bn as against USD 7.9 bn in Q2 of 2016-17.

However, the trade deficit shrank on a year-on-year basis, being lower by US$ 22.4 billion

for the period Apr-Dec 2016 from the levels for the corresponding period in previous FY

(Chart 4). On the whole, the current account deficit is likely to remain muted and below 1

per cent of GDP in 2016-17.

1.5 While the buoyancy in net foreign direct investment was sustained in Q3 FY 17, there

have been portfolio outflows beginning October 2016, mainly on account of uncertainties

relating to the direction of US macroeconomic policies and expectations of faster

normalisation of US monetary policy in the year ahead. With net capital flows being higher

than the external financing requirement, foreign exchange reserves rose by US $ 120.6

million during the period Apr-Dec 2016 of FY 2016-17 to reach USD 360.3 billion as on

December 30, 2016. Rupee traded in a range with some downward bias during the quarter.

As compared with previous quarter closing of INR at `66.66 per USD on Sep 30, 2016, INR

traded in range of `66.43-68.72 per USD during the quarter and closed at `67.95 per USD on

Dec 30, 2016. The average INR exchange rate was `67.46 per USD during the Q3 as

5

compared with `66.96 per USD during Q2 quarter. The INR slumped in the third week of

Nov 2016 as USD continued to create pressure on the domestic currency. INR hit an all-time

intra-day low of `68.86 per USD on Nov 24, 2016, on concerns of demonetization and also

about a possible US Fed Reserve rate hike in the near term. Intermittently, INR gained on

few occasions to touch a quarter high of `66.43 per USD on Nov 9, 2016, ahead of US

Presidential election result and on others occasions due to positive CPI, IIP data, etc. (Chart

5)

6

Section 2– Debt Management - Primary Market Operations

A. Government Finances 2.1 The gross fiscal deficit of the Central Government in budget estimates (BE) 2016-17

(FY16) was placed at ` 5,33,904 crore (3.5 per cent of GDP) as against ` 5,32,791crore (3.9

per cent of GDP) of (Actuals) 2015-16.

2.2 The fiscal outcome for the FY17 (April-Dec 2016) of Central government indicates

improvement with gross fiscal deficit during April-Dec 2016 at ` 5.01 trillion or 93.9 per cent

of 2016-17 BE as against 87.9 per cent during corresponding period of 2015-16 BE. Total

receipts (from tax and non-tax receipt) during the Apr- Dec 2016 were ` 9.3 trillion or 67.9

per cent of the BE vis-à-vis 70.4 per cent of BE over the corresponding period of previous

year. Total expenditure of the government during April-Dec 2016 was ` 14.69 trillion or

74.30 per cent of BE as against 73.9 per cent of BE in corresponding period of previous year

(Table 1).

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

Item 2016-17 BE

April-December 2015-16

April-December 2016-17 (% of BE)

April-December 2015-16 (% of BE)

Revenue Receipts 1377022 934566 67.87 70.4

Tax Receipts 1054101 752116 71.35 67.6

Non-Tax Receipts 322921 182450 56.50 81.9

Other Non-debt Receipts 67134 33932 50.54 27.4

Total Expenditure 1978060 1469748 74.30 73.9

Revenue Expenditure 1731036 1288862 74.46 72.05

Capital Expenditure 247024 180886 73.23 76.85

Revenue Deficit 354014 354296 100.08 81.7

Primary Deficit 41234 175566 425.78 186.8

Gross Fiscal Deficit 533904 501250 93.88 87.9

Financing Market Loans* 441830 438991 99.36 89.6

External Assistance 19094 8602 45.05 4¤2.3

Securities against Small Savings

22108 -2903 -13.13 22.9

Others 50872 56559 111.18 118.7

*:- Includes borrowings through treasury bills.

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

B. Issuance Details

2.3 This section discusses the issuance details of market borrowings during the Apr-Dec 2016.

7

2.4 Gross and net market borrowing requirements of the Government for FY17 were

budgeted at ` 6,00,000 (` 5,85,000 crore in FY 16) crore and ` 4,25,181 crore (` 4,40,608

crore in Y16). Gross borrowings were budgeted higher by 2.56 per cent and net borrowing

were budgeted lower by 3.5 per cent in FY17. During Q3 of FY17, the Government issued

dated securities worth ` 1,61,000 crore taking the gross borrowings from Apr-Dec of FY17

to ` 5,02,000 crore (83.7 per cent of BE), as compared to ` 5,01000 crore (85.6 per cent of

BE) during corresponding period of FY16 (Table 2). Net market borrowings during Apr-Dec of

FY17at 85.1 per cent of BE were higher than80.9 percent of net BE borrowing done during

the corresponding period of FY16.

Table 2: Issuance of Dated Securities (Amount in ` crore)

Item

2016-17 BE Q3 FY 16 Apr- Dec 2016

Apr-Dec FY 17 % of BE

Apr-Dec FY 16 % of BE

Gross Amount 6 ,00,000 1,61,000 5,02,000 83.7 85.6

Repayments 1,74,819 0 1,06,838 61.1 100.5

Repurchases/Buyback 75,000 33,150 - - -

Net Issuance 4,25,181 1,61,000 3,62,012 85.1 80.9

2.5 Auctions during Q3 of FY17 were held broadly in accordance with the pre-announced

calendar (Table 3). During Q3 FY 17, 11 tranches of auctions were held for issuances of GoI

dated securities worth ` 1,61,000 crore. Five new securities (including one floating rate

bond 8YR FRB 2024) were issued during the Q3 FY 17. The amount issued under new

securities in Q3 FY17 constituted ` 40,000 crore or 24.8 per cent of total issuances during

Q3 FY16. Around 50.9 per cent of total issuance was through securities falling in the

maturity bucket of 10-14 years. There was devolvement on PDs on two occasion (2

securities) during Q3 FY16 worth ` 2,461 crore as against ‘Nil’ devolvement during Q2 FY17.

Table 3 – Primary Issuance by Maturity Buckets, Q3 of FY 2016-17

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

2014-15 149000 237000 96,000 110000 592000

% of Total 25.2 40 16.2 18.6 100

2015-16 94000 266000 112000 113000 585000

% of Total 16.10 45.50 19.10 19.30 100.00

H1 FY17 (Projected) 48000-72000 168000-192000 48000-72000 48000-72000 355000

% of Total 13.5-20.3 47.3-54.1 13.5-20.3 13.5-20.3 100

H1 FY17 (Actual) 65000 183000 46000 47000 351000

% of Total 17.1 44.2 19.4 19.4 100

8

H2 FY 16 (Projected) 34000-51000 119000-136000 34000-51000 34000-51000 245000

% of Total 13.9-20.8 48.6-55.5

13.9-20.8 13.9-20.8 100

Q3 FY16 (Projected) 22000-33000 77000-88000 22000-33000 22000-33000 161000

% of Total 13.7-20.5 47.8-54.7 13.7-20.5 13.7-20.5 100

Q3 FY16 (Actual) 29000 82000 22000 28000 161000

% of Total 18.01 50.93 13.66 17.39 100

April-Dec 2016 (Projected)

70000-105000 245000-280000 70000-105000 70000-105000 516000

% of Total 13.6-20.3 47.5-54.3 13.6-20.3 13.6-20.3 100

April-Dec 2016 (Actual)

94000 265000 68000 75000 502000

% of Total 18.73 52.79 13.55 14.94 100.00

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

during Q3 of FY 17 amounted to ` 2,74,650 crore while total repayments amounted to `

2,57,853 crore resulting in net issuance of ` 16,797 crore compared with net issuance of `

23,702 crore in Q3 of last year (Table 4). The details of issuance of bills during Q3 of FY16

are given in Statement 2.

Table 4: Issuance of Treasury Bills* (Amount in ` crore)

Item 2016-17 BE Q3 FY 16 Apr- Dec 2015 Apr-Dec FY17% of

BE Apr-Dec FY 15 % of BE

364 DTB

Gross Amount 154033 36002 126524 82.1 71.5

Repayment 154033 36024 130031 84.4 78.1

Net Issuance 0 -22 -3507 - 26.3

182 DTB

182 DTB

Gross Amount 175146 51882 149488 85.4 78.7

Repayment 175146 46025 143832 82.1 72.4

Net Issuance 0 5857 5656 - -

91DTB

Gross Amount 770219 186766 605609 78.6 75.3

Repayment 753570 175805 582130 77.2 69.2

Net Issuance 16649 10961 23479 141.0 319.4

All T-Bills

Gross Amount 1099398 274650 881621 80.2 74.8

Repayment 1082749 257853 855993 79.1 69.6

Net Issuance 16649 16797 25628 153.9 253.5

:- including amount through non-competitive route

2.7 Although the aim is to elongate the tenor of the securities issued by the Government, the

tenor of new issuances depends on acceptable roll over risk levels as well as market appetite

across various maturity segments. Accordingly, the weighted average maturity of primary

issuance was kept long during this quarter. During the Q3 FY17, the weighted average

maturity of new issuance was 15.59 years as compared to 14.26 years in Q2 of FY 17. The

weighted average yield (cut-off) of issuance during Q3 of FY17, was at 6.78 per cent as

against 7.24 per cent in Q2 of FY17, reflecting softening in 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, availing 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 condition in the economy remained comfortable and in surplus mode during

the quarter (Chart 6). Continuing with the RBI’s stance, as stated in 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, liquidity

condition in the economy continued to improve during the quarter. The deficit in liquidity

(net borrowing from RBI under Liquidity Adjustment Facility (LAF)) including MSF was at an

average of ` 3,065 crore in October but turned into a surplus in November (average `

5,19,428 crore) post the demonetisation decision taken by GoI on November 8, 2016 and

increasing further in December 2016 (average ` 7,04,966 crore). The average net surplus

under LAF during Q3 of FY 16-17 was at ` 2,29,719 crore as against surplus of ` 24,396 crore

in the previous quarter (Q2 of FY 16-17). On policy front, RBI kept the Repo rate unchanged

at 6.25 per cent and cash reserve ratio (CRR) of scheduled banks also unchanged at 4.0 per

cent during the quarter.

10

3.3 The cash position of the Government during Q3 of FY 16-17 was comfortable and

remained mostly in surplus mode barring a few occasions. The net amount raised during the

quarter through Treasury Bills under competitive route was (-) ` 6,012 crore. The net

amount raised during the quarter through Treasury Bills under non-competitive route was `

22,808.97 crore. Overall, the net amount mobilised through treasury bills (under

competitive and non-competitive routes) during Q3 of FY 16-17 was ` 16,796.97 crore as

compared to mobilisation of (-) Rs 10364.90 during the previous quarter. Details of treasury

bills issued and matured in Q3 of FY 16-17 are given in Table 5.

Table 5: Repayments and Issuance Treasury Bills in October -December 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

6-Oct-16 9000 6000 0 8000 6000 0 -1000

13-Oct-16 9000 0 6000 8000 0 6000 - 1000

20-Oct-16 9000 6000 0 8000 6000 0 - 1000

27-Oct-16 9000 0 6000 8000 0 6000 -1000

3-Nov-16 9000 6000 0 8000 6000 0 -1000

10-Nov-16 9000 0 0 8000 0 6000 5000

11-Nov-16 0 0 6000 0 0 0 -6000

17-Nov-16 8000 6000 0 8000 6000 0 0

24-Nov-16 8000 0 6000 8000 0 6000 0

1-Dec-16 8000 6000 0 8000 6000 0 0

8-Dec-16 8000 0 6000 7995 0 6000 -5

15-Dec-16 8000 6000 0 8000 6000 0 0

22-Dec-16 8000 0 0 8000 0 5993 5993

26-Dec-16 0 0 6000 0 0 0 - 6000

29-Dec-16 8000 6000 0 8000 6000 0 0

Total Under Competitive Route

Q3 1,10,000.00 42,000.00 36,000.00 103,995.00 42,000.00 35,993.00 -6012.00

Total Under Non-Competitive Route

Q3 65,804.56 4,025.00 23.70 82,770.80 9,882.29 9.14 22,808.97

3.4 The calendar for issuance of Treasury Bills for quarter January - March 2017 was

announced on December 30, 2016, with gross borrowings at ` 1,30,000 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 ` 6,176,852 crore at end-December 2016 from ` 6,033,564 crore

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

2.4 per cent (provisional) in Q3 FY 17 as compared with an increase of 2.1 per cent in the

previous quarter (Q2 of FY 17). Internal debt constituted 92.6 per cent of Public Debt at the

end of quarter, as compared with 92.4 per cent in the previous quarter. Marketable

securities (consisting of Rupee denominated dated securities and Treasury Bills) accounted

for 83.6 per cent of total Public Debt, higher than the level as on end-September 2016. The

outstanding internal debt of the Government at `5,717,100 crore constituted 38.82 per cent

of GDP at end-December 2016 as compared with 38.77 per cent at end-September 2016.

Table 6: Composition of Public Debt

Item At end-Dec 2016#

At end-Sep 2016 At end-Dec 2016#

At end-Sep 2016

(` crore) (% of Total)

1 2 3 4 5

Public Debt (1 + 2) 6,176,852 6,033,464 100.0 100.0

1. Internal Debt 5,717,100 5,573,712 92.6 92.4

Marketable 5,163,200 5,019,812 83.6 83.2

(a) Treasury Bills 437,711 420,959 7.1 7.0

(i) Cash Management Bills - - - -

(ii) 91-days Treasury Bills 186,721 175,805 3.0 2.9

(iii) 182-days Treasury Bills 94,456 88,599 1.5 1.5

(iv) 364-days Treasury Bills 156,534 156,555 2.5 2.6

(b) Dated Securities 4,725,490 4,598,854 76.5 76.2

Non-marketable* 553,899 553,899 9.0 9.2

(i) 14-days Treasury Bills* 96,092 96,092 1.6 1.6

(ii) Securities Issued to NSSF* 312,234 312,234 5.1 5.2

(iii) Compensation and other bonds*

37,020 37,020 0.6 0.6

(iv) Securities issued to International Financial Institutions*

108,554 108,554 1.8 1.8

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

2. External Debt 459,752 459,752 7.4 7.6

(i) Multilateral* 297,198 297,198 4.8 4.9

(ii) Bilateral* 124,975 124,975 2.0 2.1

(iii) IMF* 37,015 37,015 0.6 0.6

(iv) Rupee debt* 564 564 0.0 0.0

#: Data are provisional.

*These data are not available for end-December, 2016. So they are carried over from previous quarter.

12

Maturity Pattern for Outstanding Government Debt Stock

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

December 2016 remain same as at end of previous quarter at 10.54 years. However, over

the same period, the weighted average coupon of outstanding stock decreased to 8.02 per

cent from 8.05 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 Q3 6.78 15.59 8.02 10.54

2016-17(end-Dec 2016)

7.22 14.72 8.02 10.54

*As at end of period.

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

5.8 per cent at end-December 2016 from 6.7 per cent a quarter ago. However, proportion of

debt maturing within 1-5 years was higher at 20.8 per cent as against 19.6 per cent at end-

Sep 2016. Accordingly, debt maturing in next five years increased marginally to 26.6 per

cent in Q3 FY 17 from 26.6 per cent of outstanding during the previous quarter. The

proportion of outstanding debt maturing in less than 10 years was also higher at 57.7 per

cent as against 52.5 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

Q3 of FY17 as well as the maturity dynamics of outstanding securities. Overall, 26.6 per cent

of outstanding stock has a residual maturity of up to 5 years at end-December 2016, which

13

implies that over the next five years, on an average, 5.3 per cent of outstanding stock needs

to be repaid every year (Table 8). 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-Sep 2016 End-Dec 2016

Less than 1 Year 306851.6 273701.4

(6.7) (5.8)

1-5 Years 899578.0 982578.0

(19.6) (20.8)

5-10 Years 1207302.4 1468791.6

(26.3) (31.1)

10-20 Years 1643435.5 1431946.3

(35.7) (30.3)

20 Years and above 540472.28 568472.3

(11.8) (12.0)

Total 4,597,639.8 4,725,489.6

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-September 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, with their share in holding of Government securities at 40.0 per cent at

end-Sep 2016 from 39.9 per cent as at end-Jun 2016. Among the long-term investors, the

share of holding by insurance companies and provident funds increased during the quarter

to 22.7 per cent and 6.3 per, respectively (from 22.6 per cent and 6.3 per cent, respectively

at end-June 2016). The share of FPIs also increased to 3.8 per cent at end-Sep 2016 from 3.6

per cent at end-Jun 2016. The share of corporates decreased at end-September 2016 as

compared with a quarter ago. Proportion of securities held by the Reserve Bank at end-Sep

2016 decreased marginally to 14.8 per cent (from 14.9 per cent a quarter ago) mainly on

account of lesser OMOs purchases worth ` 20,000 crore made by RBI in Q2 FY 17 (as against

worth ` 80,013 crore OMO purchases in Q1 FY 17) for its liquidity operations aligned with

its revised monetary policy stance.

14

Table 9: Ownership Pattern of Government of India Dated Securities

(Per cent of Outstanding Securities)

Category 2015 2016

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

1. Commercial Banks 43.1 43.0 43.6 41.8 39.9 40.0

2. Non-Bank PDs 0.4 0.5 0.4 0.3 0.5 0.1

3. Insurance Companies 21.4 22.1 21.9 22.2 22.6 22.7

4. Mutual Funds 2.4 2.7 2.5 2.1 2.09 2.13

5. Co-operative Banks 2.7 2.6 2.7 2.8 2.7 2.5

6. Financial Institutions 0.7 0.6 0.7 0.7 0.7 0.8

7. Corporates 1.1 0.8 0.9 1.3 1.3 1.1

8. FPIs 3.6 3.6 3.7 3.7 3.6 3.8

9. Provident Funds 7.1 7.2 7.1 6.0 5.9 6.3

10. RBI 13.1 12.1 12.1 13.5 14.9 14.8

11. Others 4.5 4.8 4.5 5.7 5.8 5.8

Total 100.0 100.0 100.0 100.0 100.0 100.0

Source: RBI Bulletin, Volume LXX No. 12, December 2016.

15

Section 5 – Secondary Market

A. Government security yields

5.1 G-sec market witnessed gains during the quarter after opening the quarter on a

positive note. Chart 8 depicts the movement in Government bond yields (10-year yield as

benchmark) during the October- December 2016 quarter (Q3 FY17).

G-Sec market opened the quarter on positive note on the back of supposedly dovish

comments by RBI Governor at the pre-policy analyst meet raising expectations of a near

term rate cuts and US Fed’s continued cautiousness on rate moves, after easing of concerns

over Geo-political tension on account of surgical strikes by India in PoK had resulted in yields

rising at September end. However, rise in US Treasury yields on the back of expectations of

Fed rate hike, along with rising global crude oil prices adversely affected the market

sentiment, notwithstanding release of lower than expected September CPI and WPI inflation

figures. OMO and repurchase auction announcements by RBI in October second half

provided some support to the market. However, towards October end the market saw some

correction with caution ahead of US FOMC outcome and uncertainties in the US Presidential

election results.

The FOMC meeting kept the interest rates unchanged. Even though there was intermittent

fall in US Treasury yields and crude prices, the cautious mood continued with investors

refraining from building up positions. The Government’s decision on November 8, 2016 to

demonetize high denomination value notes was viewed positively by the market as deposits

were expected to surge in banks and led to bullish market sentiment, particularly for short

end bonds. The bullish market sentiment was however, restrained to a certain extent with

US 10 yr Treasury yield rising to 2.15% level which led to dollar strengthening adversely

affecting the market. The release Mid-November of lower October inflation figures—both

WPI and CPI further supported the market with yields making fresh 7-1/2 year lows.

However, the market was restrained to a certain extent on hardening of US Treasury yields

on likely expectations of adoption of stimulative economic policies by the New US President

elect. Rupee continued to trade with volatility during November and breached all time low

levels, however ample system liquidity ensured position building across securities in the

bond market.

Beginning December, the rise in Global crude prices on OPEC agreement (November end)

16

with Russia in its meeting to cut oil output from January 2017 adversely affected the

market. There were hopes of rate cut ahead of fifth Bimonthly Monetary policy review on

December 7, 2016. However, RBI in its fifth Bimonthly Monetary Policy Review maintained

status quo on policy rates which was viewed negatively by the market and the yields rose.

The release of lower November CPI and WPI inflation figures with falling food inflation

provided some support to the market. The US Fed hiked key policy rate by 25 bps and FOMC

commentary suggested that further rate hikes may be at a faster pace adversely affecting

the market. The MPC minutes released in India with individual MPC members commentary

being perceived hawkish, indicated limited scope for any rate cuts in near future further

adversely affected the market. However, towards month end, the market showed some

momentum on account of value buying and recovery in domestic currency ending the

quarter with gains.

Ten year benchmark yield closed at 6.51 on December 30, 2016 as against 6.81 on

September 30, 2016 after trading between 6.18 and 6.84 during the quarter.

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 5 bps at end-December 2016 from 17 bps at end-September 2016,

while 10yr-30yr spread decreased marginally to 32 bps from 33 bps over the same period.

Overall, 1yr-30yr spread at end of Q3 of FY 16-17 decreased to 37 bps from 50 bps at the

end of the previous quarter (Chart 9).

17

5.3 With easing in liquidity condition and rate cut hopes toward 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, 22 and 22 bps

respectively. The 1m-12m spread at end December 2016 continued to remain at 15 bps,

same as at end September 2016. The 1m-3m spread at end December 2016 continued to

remain at 2 bps, same as at end September 2016, while 3m-6m spread decreased

marginally to 8 bps at December 2016 end from 9 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 Q3 of

FY 16-17 stood at ` 49.96 lakh crore, an decrease of 11.87 per cent over volume of ` 56.69

lakh crores during the preceding quarter (Table 10). G-Secs, showing decrease of 11.77 per

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

annualised outright turnover ratio1 for Central Government dated securities (G-Secs) for Q3

of FY16-17 decreased to 8.92 from 9.18 during Q2 of FY16-17. Including repo transactions,

the annualised total turnover ratio2 for Q3 of FY 16-17 decreased to 18.11 from 12.59 during

Q2 of FY16-17.

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

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

1015769

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

Oct- Dec 16 4592866 260525 142809 4996200 2444862 378260 134363 2957485

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

total trading volumes (Chart 11a and 11b). During Q3 of FY 16-17, their share stood at 91.93

per cent of total outright volumes as compared to 91.82 per cent in Q2 of FY16-17. Central

Government securities accounted for 82.67 per cent of the total repo volumes during Q3 of

FY16-17 as compared to 84.08 per cent in Q2 of FY16-17.

5.6 The top 10 traded securities accounted for 82.17 per cent of the total outright

transaction volume during the quarter as compared with 81.72 per cent during Q2 of FY 16-

17. The share of top three traded securities decreased to 52.10 per cent from 53.44 per cent

during Q2 of FY 16-17 (Table 11).

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

Security Oct – Dec 16 Security July - Sept 16

7.59 % G.S. 2026 11,40,041 7.59 % G.S. 2026 14,11,673

19

7.61 % G.S. 2030 8,03,561 7.59 % G.S. 2029 10,04,099

6.97 % G.S. 2026 6,59,363 7.88 % G.S. 2030 6,14,202

7.59 % G.S. 2029 5,34,200 7.61 % G.S. 2030 5,24,636

7.68 % G.S. 2023 2,93,469 7.68 % G.S. 2023 3,74,173

7.88 % G.S. 2030 2,64,357 7.72 % G.S. 2025 2,27,412

7.72 % G.S. 2025 1,35,957 8.27 % G.S. 2020 1,92,499

8.27 % G.S. 2020 1,18,891 7.35 % G.S. 2024 1,14,651

7.35 % G.S. 2024 1,02,063 7.80 % G.S. 2021 86,048

7.80 % G.S. 2021 53, 336 6.97 % G.S. 2026 83,673

5.7 The trend in outright trading volumes in Government securities under

different maturity buckets is given in Table 12.

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 accounted for the second highest share of trading

volumes during Q3 of FY 16-17 (38.38 per cent, lower than 44.65 per cent in Q2 of FY16-

17) Share of ‘7-10 years’ maturity range was highest at 43.15 percent, up from 36.66

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

lowest share of trading volume at 1.85 per cent. Share of ‘3-7 years’ maturity range saw

decrease from 17.22 percent to 16.62 percent during the quarter.

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

Maturity/Qu

arter

Oct-Dec 16 July -Sept 16 Apr-Jun 16 Oct-Dec 15 2015-16 2014-15 2013-14 2012- 13 2011-12

Less than 3

Years

84,902 76,389 109,611 41,599 224,817 106,086 95,703 11,865 35,545

3-7 Years 763,849 896,473 771,652 269,286 1,568,708 1,182,377 1,316,068 500,159 234,437

7-10 Years 1,981,604 1,908,203 903,690 1,003,441 4,272,320 4,821,218 3,207,229 2,331,557 1,743,886

above 10

Years

1,762,511 2,324,288 1,042,860 617,666 2,491,828 3,039,926 3,349,661 3,077,349 1,085,239

Total 4,592,866 5,205,353 2,827,813 1,931,992 8,557,673 9,149,607 7,968,661 5,920,929 3,099,107

20

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

share in total outright trading activity at 28.4 per cent (of total trading volumes),

marginally lower than 28.9 per cent during Q2 of FY 16-17(Chart 13). Foreign banks share

marginally increased to 25.9 per cent during the quarter from 24.9 per cent in the previous

quarter. Public Sector Banks were the largest net buyer (` 1,06,772 crore) in secondary

market during the quarter, followed by `Others' category comprising of FIs, Insurance Cos

and Others (` 27,009 crore). Foreign Banks were the only net sellers category in secondary

market (` 95,543 crore) during the quarter (ignoring the primary dealers).

21

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

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

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

Oct-Dec 16 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 Buy Sell

Co-operative Banks 4.98 4.72 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 0.45 0.36 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 24.90 26.81 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 1.19 1.14 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 9.64 9.47 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 14.65 16.22 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 13.51 13.27 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 29.49 27.36 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 1.19 0.65 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 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100

i

Statement 1: Issuance of Dated securities During Q3 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)

7.35% GS 2024 $

M

30-Sep-16 03-Oct-16 2000.0 0.0 102.0

300

7.002

5

22-Jun-24 7.72 7.61% GS 2030 $

M

30-Sep-16 03-Oct-16 8000.0 0.0 105.4

000

6.987

2

09-May-30 13.60 7.50% GS 2034 $

M

30-Sep-16 03-Oct-16 2000.0 0.0 103.9

000

7.109

6

10-Aug-34 17.85 7.72% GS 2055 $

M

30-Sep-16 03-Oct-16 2000.0 0.0 107.4

400

7.150

9

26-Oct-55 39.06 6.84% GS 2022 $

M

07-Oct-16 10-Oct-16 3000.0 0.0 100.8

000

6.680

5

19-Dec-22 6.19 6.97% GS 2026 $

M

07-Oct-16 10-Oct-16 7000.0 0.0 101.7

200

6.728

1

06-Sep-26 9.91 7.73% GS 2034 $

M

07-Oct-16 10-Oct-16 2000.0 0.0 106.4

800

7.089

0

19-Dec-34 18.19 7.06% GS 2046 #

M

07-Oct-16 10-Oct-16 3000.0 0.0 100.0

000

7.060

0

10-Oct-46 30.00 7.35% GS 2024 $

M

21-Oct-16 24-Oct-16 3000.0 0.0 102.7

400

6.881

5

22-Jun-24 7.66 7.61% GS 2030 $

M

21-Oct-16 24-Oct-16 7000.0 0.0 105.5

700

6.967

4

09-May-30 13.54 7.50% GS 2034 $

M

21-Oct-16 24-Oct-16 2000.0 0.0 103.4

200

7.155

6

10-Aug-34 17.79 7.06% GS 2046 $

M

21-Oct-16 24-Oct-16 3000.0 0.0 99.64

00

7.088

8

10-Oct-46 29.96 6.84% GS 2022 $

M

28-Oct-16 01-Nov-16 3000.0 1212.0 100.2

500

6.789

1

19-Dec-22 6.13 6.97% GS 2026 $

M

28-Oct-16 01-Nov-16 7000.0 0.0 101.0

800

6.815

9

06-Sep-26 9.85 7.73% GS 2034 $

M

28-Oct-16 01-Nov-16 2000.0 0.0 105.6

100

7.170

9

19-Dec-34 18.13 7.72% GS 2055 $

M

28-Oct-16 01-Nov-16 3000.0 0.0 106.4

900

7.219

8

26-Oct-55 38.99 6.51% FRB 2024 #

M

04-Nov-16 07-Nov-16 3000.0 0.0 96.40

00

6.510

0

07-Nov-24 8.00 7.61% GS 2030 $

M

04-Nov-16 07-Nov-16 7000.0 0.0 104.9

800

7.032

8

09-May-30 13.51 7.50% GS 2034 $

M

04-Nov-16 07-Nov-16 2000.0 0.0 103.1

400

7.182

6

10-Aug-34 17.76 7.06% GS 2046 $

M

04-Nov-16 07-Nov-16 3000.0 0.0 97.85

00

7.236

0

10-Oct-46 29.93 6.84% GS 2022 $

M

11-Nov-16 15-Nov-16 3000.0 0.0 101.0

000

6.637

1

19-Dec-22 6.09 6.97% GS 2026 $

M

11-Nov-16 15-Nov-16 7000.0 0.0 101.9

400

6.695

1

06-Sep-26 9.81 7.73% GS 2034 $

M

11-Nov-16 15-Nov-16 2000.0 0.0 106.3

700

7.098

3

19-Dec-34 18.09 7.72% GS 2055 $

M

11-Nov-16 15-Nov-16 3000.0 0.0 107.4

600

7.149

2

26-Oct-55 38.95 6.51% FRB 2024 $

M

18-Nov-16 21-Nov-16 3000.0 0.0 98.25

00

6.600

9

07-Nov-24 7.96 7.61% GS 2030 $

M

18-Nov-16 21-Nov-16 7000.0 0.0 107.9

400

6.705

0

09-May-30 13.47 7.50% GS 2034 $

M

18-Nov-16 21-Nov-16 2000.0 0.0 105.7

500

6.930

0

10-Aug-34 17.72 7.06% GS 2046 $

M

18-Nov-16 21-Nov-16 3000.0 1249.0 101.4

300

6.945

0

10-Oct-46 29.89 6.84% GS 2022 $

M

25-Nov-16 28-Nov-16 3000.0 0.0 103.5

500

6.128

6

19-Dec-22 6.06 6.97% GS 2026 $

M

25-Nov-16 28-Nov-16 8000.0 0.0 105.5

300

6.205

0

06-Sep-26 9.77 7.73% GS 2034 $

M

25-Nov-16 28-Nov-16 2000.0 0.0 111.9

000

6.592

5

19-Dec-34 18.06 6.62% GS 2051 #

M

25-Nov-16 28-Nov-16 2000.0 0.0 100.0

000

6.620

0

28-Nov-51 35.00 6.51% FRB 2024 $

M

02-Dec-16 05-Dec-16 2000.0 0.0 98.55

00

6.428

1

07-Nov-24 7.92 7.61% GS 2030 $

M

02-Dec-16 05-Dec-16 8000.0 0.0 110.2

200

6.459

4

09-May-30 13.43 6.57% GS 2033 #

M

02-Dec-16 05-Dec-16 2000.0 0.0 100.0

000

6.570

0

05-Dec-33 17.00 7.06% GS 2046 $

M

02-Dec-16 05-Dec-16 2000.0 0.0 104.8

800

6.679

7

10-Oct-46 29.85 6.84% GS 2022 $

M

09-Dec-16 13-Dec-16 2000.0 0.0 102.1

300

6.406

9

19-Dec-22 6.02 6.97% GS 2026 $

M

09-Dec-16 13-Dec-16 8000.0 0.0 103.7

400

6.444

7

06-Sep-26 9.73 7.73% GS 2034 $

M

09-Dec-16 13-Dec-16 2000.0 0.0 108.2

800

6.918

8

19-Dec-34 18.02 6.62% GS 2051 $

M

09-Dec-16 13-Dec-16 2000.0 0.0 95.31

00

6.979

7

28-Nov-51 34.96 6.51% FRB 2024 $

M

23-Dec-16 26-Dec-16 2000.0 0.0 96.54

00

6.705

4

07-Nov-24 7.86 6.79% GS 2029 #

M

23-Dec-16 26-Dec-16 8000.0 0.0 100.0

000

6.790

0

26-Dec-29 13.00 6.57% GS 2033 $

M

23-Dec-16 26-Dec-16 2000.0 0.0 95.55

00

7.022

7

05-Dec-33 16.94 7.72% GS 2055 $

M

23-Dec-16 26-Dec-16 2000.0 0.0 108.1

400

7.099

7

26-Oct-55 38.83 Gross Nominal Amount Raised 161000.0

Weighted Average Yield 6.78

Weighted Average Maturity 15.59

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

ii

Statement 2:Treasury Bills Issued During Q3 FY17

(Amount in `crore)

Name of Security Date of Auction Date of

Issue

Competitive amount raised

Non-Competitive

amount raised

Gross Nominal amount raised

Cut off Yield (%)

364 DTB 10-Oct-16 13-Oct-16 6000 0.00 6000.00 6.4573

364 DTB 26-Oct-16 27-Oct-16 6000 0.00 6000.00 6.4573

364 DTB 9-Nov-16 10-Nov-16 6000 0.045 6000.05 6.3665

364 DTB 23-Nov-16 24-Nov-16 6000 0.00 6000.00 5.9598

364 DTB 7-Dec-16 8-Dec-16 6000 0.085 6000.09 6.0048

364 DTB 21-Dec-16 22-Dec-16 5993 9.00 6002.00 6.3438

182 DTB 5-Oct-16 6-Oct-16 6000 207.79 6207.79 6.4373

182 DTB 19-Oct-16 20-Oct-16 6000 2 6002.00 6.4587

182 DTB 2-Nov-16 3-Nov-16 6000 1250 7250.00 6.4587

182 DTB 16-Nov-16 17-Nov-16 6000 0 6000.00 5.9684

182 DTB 30-Nov-16 1-Dec-16 6000 3000 9000.00 6.0748

182 DTB 14-Dec-16 15-Dec-16 6000 3915 9915.00 6.2879

182 DTB 28-Dec-16 29-Dec-16 6000 1507.5 7507.50 6.3519

91 DTB 5-Oct-16 6-Oct-16 8000 5430.00 13430.00 6.3563

91 DTB 10-Oct-16 13-Oct-16 8000 10000.00 18000.00 6.3563

91 DTB 19-Oct-16 20-Oct-16 8000 1030.00 9030.00 6.3977

91 DTB 26-Oct-16 27-Oct-16 8000 2502.85 10502.85 6.3563

91 DTB 2-Nov-16 3-Nov-16 8000 9851.00 17851.00 6.3977

91 DTB 9-Nov-16 10-Nov-16 8000 1500.00 9500.00 6.3149

91 DTB 16-Nov-16 17-Nov-16 8000 6230.00 14230.00 5.9428

91 DTB 23-Nov-16 24-Nov-16 8000 9120.95 17120.95 5.8602

91 DTB 30-Nov-16 1-Dec-16 8000 7035.00 15035.00 5.9428

91 DTB 7-Dec-16 8-Dec-16 7995 5565.00 13560.00 5.9428

91 DTB 14-Dec-16 15-Dec-16 8000 7767.00 15767.00 6.1908

91 DTB 21-Dec-16 22-Dec-16 8000 5582.00 13582.00 6.2322

91 DTB 28-Dec-16 29-Dec-16 8000 11157.00 19157.00 6.2735

181,988.0 92,662.2 274,650.2

iii

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

Nomenclature Date of maturity Outstanding Stock (` Crore) of which: MSS

8.07% 2017 15-Jan-17 62,488.954 - 7.49% 2017 (con) 16-Apr-17 52,271.168 - FRB-2017 02-Jul-17 3,000.00 - 8.07% GS 2017 JUL 03-Jul-17 42,289.903 - 7.99% 2017 09-Jul-17 66,723.970 - 7.46% 2017 28-Aug-17 46,927.392 - 6.25% 2018 (conv) 02-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 02-Jan-19 10,000.00 - 6.05% GS 2019 02-Feb-19 53,000.00 - 7.28% GS 2019 03-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 09-Aug-19 6,000.00 - 6.35% GS 2020 (con) 02-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 03-May-20 75,000.00 - 8.27% GS 2020 09-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 08-Nov-21 83,000.00 - 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 02-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 - 6.84% GS 2022 19-Dec-22 18,000.00 - 6.30% GS 2023 09-Apr-23 13,000.00 - 7.16% GS 2023 20-May-23 77,000.00 - 1.44% II GS 2023 05-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 - 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 90,168.02 - 8.40% GS 2024 28-Jul-24 90,000.00 - 6.51% FRB 2024 07-Nov-24 10,000.00 - 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 - 7.59% GS 2026 11-Jan-26 87,000.00 - 8.33% GS 2026 09-Jul-26 90,000.00 - 6.97% GS 2026 06-Sep-26 53,000.00 - 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 02-Aug-27 73,427.33 -

Contd.

iv

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

Nomenclature Date of maturity Outstanding Stock (` Crore) of which: MSS

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

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

8.60% GS 2028 02-Jun-28 84,000.00 -

6.13% GS 2028 04-Jun-28 11,000.00 -

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

6.79% GS 2029 26-Dec-29 8,000.00 -

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

7.61% GS 2030 09-May-30 85,000.00 -

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

8.97% GS 2030 05-Dec-30 90,000.00 -

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

8.32% GS 2032 02-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 -

6.57% GS 2033 05-Dec-33 4,000.00 -

7.50% GS 2034 10-Aug-34 90,000.00 -

7.73% GS 2034 19-Dec-34 54,000.00 -

FRB, 2035 25-Jan-35 350.00 -

7.40% GS 2035 09-Sep-35 52,000.00 -

8.33% GS 2036 07-Jun-36 86,000.00 -

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

8.30% GS 2040 02-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 01-Dec-44 86,000.00 -

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

7.06% GS 2046 10-Oct-46 14,000.00 -

6.62% GS 2051 28-Nov-51 4,000.00 -

7.72% GS 2055 26-Oct-55 29,000.00 -

Total 4,725,490

v

Statement 4: Maturity Profile of Government Securities

as on End-December 2016

Year of maturity Outstanding Stock (` crore)

2016-17 62,489

2017-18 228,099

2018-19 243,478

2019-20 250,000

2020-21 248,000

2021-22 281,846

2022-23 328,465

2023-24 276,349

2024-25 282,168

2025-26 279,688

2026-27 337,878

2027-28 177,680

2028-29 183,000

2029-30 97,000

2030-31 236,885

2031-32 90,687

2032-33 179,957

2033-34 91,000

2034-35 144,350

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 86,000

2045-46 73,000

2046-47 14,000

2051-52 4,000

2055-56 29,000

Total 4,725,490

vi

Statement 5: Calendar for Auction of Treasury Bills during January-March 2017

(Amount in ` crore)

Date of Auction 91 Days 182 Days 364 Days Total

Jan. 4, 2017 6,000 4,000 10,000

Jan 11, 2017 6,000 4,000 10,000

Jan 18, 2017 6,000 4,000 10,000

Jan 25, 2017 6,000 4,000

10,000

Feb 1, 2017 6,000 4,000 10,000

Feb 8, 2017 6,000 4,000 10,000

Feb 15, 2017 6,000 4,000 10,000

Feb 22, 2017 6,000 4,000 10,000

Mar 1, 2017 6,000 4,000 10,000

Mar 8, 2017 6,000 4,000 10,000

Mar 15, 2017 6,000 4,000 10,000

Mar 22, 2017 6,000 4,000 10,000

Mar 29, 2017 6,000 4,000 10,000

Total 78,000 24,000 28,000 1,30,000