Quarterly Report on Public Debt Management for the quarter Apr- June 2022

PUBLIC DEBT MANAGEMENT QUARTERLY REPORT April-June 2022 GOVERNMENT OF INDIA MINISTRY OF FINANCE BUDGET DIVISION DEPARTMENT OF ECONOMIC AFFAIRS September 2022 www.dea.gov.inContents Section 1: Macroeconomic Developments ..................................... 1 Section 2: Debt Management - Primary Market Operations ........... 3 Section 3: Cash Management ......................................................... 7 Section 4: Trends in Outstanding Debt ......................................... 10 Section 5: Secondary Market ........................................................ 14Introduction Since April-June (Q1) 2010-11, the Public Debt Management Cell (PDMC) (earlier Middle Office), Budget Division, Department of Economic Affairs, Ministry of Finance has been bringing out a quarterly report on public debt management on a regular basis. (https://dea.gov.in/public-debt- management). This report pertains to the Q1 of the fiscal year 2022-23, viz., April-June FY 2022-23. The report gives an account of the public debt management and cash management operations during the quarter, and provides 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 provide their valuable suggestions to improve the contents of this report at pdmc- dea@nic.in. iLIST OF TABLES Table 1.1: Foreign Investment Inflows .................................................................................................. 2 Table 2.1: Fiscal Outcome during April – June 2022-23....................................................................... 3 Table 2.2: Issuance of Dated Securities ................................................................................................. 4 Table 2.3: Issuances of Dated Securities by Maturity Buckets during 2016-17 to Q1 of 2022-23 ....... 5 Table 2.4: Issuance of Treasury Bills .................................................................................................... 6 Table 3.1 : Repayments and Issuances of Treasury Bills during April-June 2022 ................................ 9 Table 4.1: Total Liabilities of Central Government............................................................................. 10 Table 4.2: Yield and Maturity of Dated Securities of Central Government ........................................ 11 Table 4.3: Maturity Profile of Outstanding Dated Securities of Central Government ........................ 12 Table 4.4: Ownership Pattern of Government of India Dated Securities ............................................ 13 Table 5.1: Yield Spreads (bps)............................................................................................................. 16 Table 5.2: Yields on T-Bills of different tenors ................................................................................... 17 Table 5.3: Comparative Data …………………………………………………………………...........18 Table 5.4 Transactions in Government Securities (Volume in ₹ crore) .............................................. 19 Table 5.5: Top-10 Traded Securities (in ₹ crore) ................................................................................ 20 Table 5.6: Maturity-Wise Outright Trading Volume in G-Secs (in ₹ crore) ....................................... 20 Table 5.7: Category-wise Share (%) of Total Outright Trading Activity in G-Secs* ......................... 21 LIST OF CHARTS Chart 1.1 CPI and WPI Inflation………………………………………………………........................1 Chart 3.1: Outstanding Amount under LAF………………………………………………………...…8 Chart 5.1 : Movement of 10-Year Benchmark Yield in G-Sec market ............................................... 16 Chart 5.2: Comparative G-Sec Yield Curves ....................................................................................... 16 Chart 5.3 : Comparative T-Bill Yield Curve ....................................................................................... 17 Chart 5.4: US 10-Y Yield, GoI 10-Y G-secs, CPI Data and Crude ………………………………. ..18 Chart 5.5: Outright Trading Volume ……………………………………………… ……………….19 LIST OF STATEMENTS Statement 1: Issuance of Dated Securities during Q1 FY 2022-23 ..................................................... 22 Statement 2: Treasury Bills Issued during Q1 FY 2022-23 ................................................................. 24 Statement 3: List of Dated Securities outstanding at the end of June 2022 ......................................... 27 Statement 5: Calendar for Auction of Treasury Bills during July-September 2022 ............................ 28 iiSection 1: Macroeconomic Developments 1.1 As per the estimates of Gross Domestic Product (GDP) for the first quarter (April-June) of 2022-23, released by the National Statistical Office (NSO) on 31st August, 2022, the real GDP at constant prices showed a growth of 13.5 per cent during the Q1 2022-23 as compared to growth of 20.1 percent in Q1 2021-22. GDP at current prices in the Q1 2022-23 is estimated at ₹ 64.95 lakh crore, as against ₹ 51.27 lakh crore in Q1 2021-22, showing a growth of 26.7 percent as compared to growth of 32.4 percent in Q1 2021-22. GVA at basic price (at current prices) in Q1 2022-23, is estimated at ₹ 58.51 lakh crore, as against ₹ 46.23 lakh crore in Q1 2021-22, showing a growth of 26.5 percent. 1.2 Retail inflation, as per the Headline Consumer Price Index (CPI), decreased from 7.79 per cent in April 2022 to 7.01 per cent in June 2022 and 6.71 per cent in July 2022. The decrease in retail inflation from April to June 2022 was mainly on account of decrease in prices of „food and beverages‟ and „miscellaneous‟ sub-groups, whereas price of clothing and footwear‟ and „fuel and light‟ subgroups have increased. The Consumer Food Price Index (CFPI) showed a similar downward movement, from 8.31 per cent in April 2022 to 7.75 percent in June 2022. The Wholesale Price Index (WPI)-based inflation decreased during the quarter from 15.38 percent in April 2022 to 15.18 percent in June 2022. The marginal decline in WPI inflation was due to decline in prices of „manufactured products‟ group. Chart 1.1: CPI and WPI Inflation Inflation Trend 18 16 14 12 10 8 6 4 2 0 CPI CFPI WPI Source: MOSPI, Office of Economic Adviser 1.3 The index of industrial production (IIP) witnessed a growth of 12.30 per cent in June 2022 as compared to 6.74 percent registered in April 2022, largely due to increase in 1growth of manufacturing and electricity sector. The electricity sector witnessed a growth of 16.44 per cent in June 2022 as against growth of 23.47 per cent in May 2022 and 11.78 percent in April 2022. Manufacturing sector also registered a growth of 12.46 per cent in June 2022 as against 20.63 per cent in May 2022 and 5.78 per cent in April 2022. Mining sector also grew by 7.49 percent in June 2022 as against 11.17 per cent in May 2022 and 7.99 percent in April 2022. 1.4 The cumulative value of merchandise exports stood at USD 121.17 billion in Q1 of 2022-23, while merchandise imports were valued at USD 189.92 billion during the same period. Trade deficit at USD 68.75 billion in Q1 of 2022-23 was higher as compared to USD 31.44 billion in the corresponding quarter of 2021-22. The significantly higher deficit in Q1 of 2022-23 was mainly due to higher import bill on account of surge in gold and crude oil import, which increased further due to increase in international commodity prices and depreciation of rupee. 1.5 The net foreign direct investment increased during the current financial year due to improvement in sentiments in comparison to FY 22. The lower FPIs investment was mainly attributed to outflow of amount USD 15,115 million during FY 23 in comparison to inflow of investment of USD 378 million in FY 22. Table 1.1: Foreign Investment Inflows (In USD Million) Year Net FDI Net FPI Apr – Jun FY 2021-22 11554 402 Apr – Jun FY 2022-23 13614 -15063 Source: Monthly Bulletin, RBI Note: Figures are on net basis 1.6 India‟s foreign exchange reserves stood at USD 593.32 billion as on Jun 24, 2022, down from USD 609.00 billion on Jun 25, 2021. Between April 4, 2022 and June 30, 2022, the Rupee depreciated by 4.48 per cent. The value of Rupee against dollar as on April 4, 2022 stood at 75.5565 as against 78.9421 as on June 30, 2022. 2Section 2: Debt Management - Primary Market Operations A. Government Finances 2.1 The gross fiscal deficit (FD) of the Central Government for FY 2022-23 was budgeted at ₹1661196 crore or 6.4 per cent of GDP as compared to the revised estimate of ₹15,91,089 crore (6.71 per cent of GDP) for FY 2021-22. The details are given in Table 2.1. Table 2.1: Fiscal Outcome during April-June 2022-23 (Amount in ₹ crore) Percentage of Actual Budget Actual upto to Budget Estimates Items Estimates June 2022 2021-22 2022-23 2022-23 (Coppy)** Revenue Receipts 2204422 568058 25.8 30.2 Tax Revenue (Net) 1934771 505898 26.1 26.7 Non-Tax Revenue 269651 62160 23.1 52.4 Non-Debt Capital Receipts 79291 27982 35.3 3.9 Total Expenditure 3944909 947911 24.0 23.6 Revenue Expenditure 3195257 772847 24.2 24.2 Capital Expenditure 749652 175064 23.4 20.1 Revenue Deficit 990835 204789 20.7 14.9 Primary Deficit 720545 123276 17.1 12.9 Fiscal Deficit 1661196 351871 21.2 18.2 Financing of GFD Market Borrowings including T- Bills 1158718.76 477006.56 41 36 External Assistance 19251.15 10444.51 54 -117 Securities against Small Savings 425449.00 -35321.47 -8 36 State Provident Funds 20000 -3974.29 -20 12 National Small Saving Fund 0.00 133806.61 - - Special Deposits 0.00 -115.10 Others 37025.30 70306.46 190 -14 Cash Balance: Decrease(+)/Increase(-) 751.74 4989.08 664 7 Investment (-) / Disinvestment (+) of Surplus Cash 0 -305271.00 Total 1661195.95 351871.36 21 18 Source: CGA, Ministry of Finance **COPPY: Corresponding Period of the Previous Year 3B. Issuance Details 2.3 This section discusses the issuance details of market borrowings undertaken during Q1 of FY23 and its comparison over corresponding quarter of FY22. 2.4 Gross and net market borrowings have been budgeted at ₹14,95,000 crore and ₹11,18,612 crore, respectively for FY 2022-23. Actual gross and net market borrowing during FY 2021-22 and Q1 FY 22 & Q1 FY 23 are tabled below (Table 2.2). Table 2.2: Issuance of Dated Securities (Amount in ₹ crore) Q1 As % of 2022-23 2021-22 FY 23 FY 22 Item BE Q1 FY 23 Actual Q1 FY22 (BE) (Actual) Gross Amount* 1495000 390000 1127381.53 318493.21 26.09 28.25 Repayments 376388 134989.71 264278.56 105186.31 35.86 39.80 Switches: Borrowing 100000 23,393.75 196,894.089 18044.30 23.39 9.16 Repayment 100000 23,200.60 197,184.689 17103.00 23.20 8.67 Net 0 193.16 -290.600 941.30 -323.92 Buyback 0 0 0 0 Net Issuance # 1118612 255203.45 1143115 213306.90 22.81 18.66 * Including Borrowing for providing back to back loans to States & UTs for GST compensation cess shortfall. # Excluding switches and buyback 2.5 During Q1 of F Y23, 12 weekly auctions of dated securities were held aggregating to ₹3,90,000 crore, same as notified in the borrowing calendar (Table 2.3). The net amount raised through issuance of dated securities was ₹2,55,203.35 crore during this quarter as compared to ₹2,13,306.90 crore during Q1 of FY22 (including switch). Like previous year, it was decided to continue distributing total issuance amount under securities of identified maturities in FY23. Government of India issued dated securities across the curve, keeping in view the demand from market and its own maturity preferences. The issuance under 10-year benchmark security was higher at 20.00 per cent of gross issuance in Q1 FY23 compared to 14.09 percent in Q1 FY 22. 4Table 2.3: Issuances of Dated Securities by Maturity Buckets / Maturities during FY 2016-17 to Q1 FY 2022-23 (Amount in Rs. Crore) Bucket- 1-4 5-9 10-14 15-19 20 yrs wise years years years years & above Total FY 2016- 17 108000 303000 82000 89000 582000 % of Total 18.5 52.1 14.1 15.3 100 FY 2017- 18 121000 307000 74000 86000 588000 % of Total 20.6 52.2 12.6 14.6 100 FY 2018- 19 50899 121000 178000 85101 136000 571000 % of Total 8.9 21.2 31.2 14.9 23.8 100 FY 2019- 20 56000 149000 257000 75000 173000 710000 % of Total 7.89 20.99 36.2 10.56 24.37 100 Tenor- 2Y 3Y 10Y 14Y G- 30Y G- 40Y G- wise BM BM 5Y BM BM sec sec sec FRB Total FY 2021- 22 60752 0 185503 231865 225264 156023 179598 88376 1127381 % of Total 5.39 16.45 20.57 19.98 13.84 15.93 7.84 100 Q1 FY 22 22752 0 57500 44865 74745 40282 52098 26250 318493 % of Total 7.14 18.05 14.09 23.47 12.65 16.36 8.24 100 2- 5-Year 7-Year 10- 14-year 30-year 40-year FRB Total Year Year Q1 FY 23 24000 54000 42000 78000 60000 54000 54000 24000 390000 % of Total 6.15 13.85 10.77 20.00 15.38 13.85 13.85 6.15 100 2.6 The tenor of new issuances of dated securities is a function of acceptable rollover risk as well as market appetite for various maturity segments. During Q1 FY23, the weighted average yield (WAY) on new issuances hardened to 7.23 per cent while the weighted average maturity (WAM) of issuances worked out to 15.69 years. 2.7 The gross amount raised through Treasury Bills (91-day, 182-day and 364-day Treasury Bills) during Q1 FY23 amounted to ₹524737.25 crore while total repayments were ₹259882.37 crore (Table 2.4). Net issuances during the quarter were at ₹264854.88 crore as 5compared to (-) ₹210376.66 crore in corresponding period of last FY. The details of issuance of Treasury Bills during Q1 FY23 are given in statement 2. Table 2.4: Issuance of Treasury Bills – Q1 of FY 23 (Amount in ₹crore) Q1 As 2022-23 2021-22 % of Q1 As % Item (BE) Q1 FY 23 (Actual) Q1 FY 22 FY 23 of FY 22 364 DTB Gross Amount 435918.38 111446.83 407796.43 74418 25.57 18.25 Repayment 399899.2 80418 458240 156705 20.11 34.20 Net Issuance 36019.18 31028.83 -50443.57 -82287 86.15 163.13 182 DTB Gross Amount 504945.48 172280.32 465678.81 182425 34.12 39.17 Repayment 468945.48 40728.42 394426.49 36000 8.69 9.13 Net Issuance 36000 131551.9 71252.32 146425 365.42 205.50 91 DTB Gross Amount 821251.38 241010.1 847904.18 239535.26 29.35 28.25 Repayment 843270.56 138735.95 802464.83 93296.6 16.45 11.63 Net Issuance -22019.18 102274.15 45439.35 146238.66 -464.48 321.83 All T-Bills Gross Amount 1762115.24 524737.25 1721379.422 496378.26 29.35 28.84 Repayment 1712115.24 259882.37 1655131.32 286001.6 15.18 17.28 Net Issuance 50000 264854.88 66248.102 210376.66 529.71 317.56 * Including amount raised through non-competitive bidding. 6Section 3: Cash Management 3.1 Government‟s cash account is maintained with the RBI. The temporary cash flow mismatches, in case of deficit in the cash account of the Central Government, are largely managed through a combination of issuance of Treasury Bills, Cash Management Bills and access to the Ways and Means Advances facility from RBI. Surplus cash balances in Government cash account are lent in market (through RBI) or may be used to buy-back of securities from the market. Further, the Reserve Bank conducts purchase/ sale of G-Secs under its Open Market Operations, whenever required, based on its assessment of prevailing and evolving liquidity conditions. 3.2 During Q1 FY23, the cash balance of the Central Government remained in surplus obviating the need of resorting to WMA or issuance of Cash Management Bills. 3.3 On a review of the liquidity conditions and market situation, RBI expedited the withdrawal of pandemic -era liquidity surplus to pre-Covid levels through a cash reserve ratio (CRR) hike as well as the launch of the uncollateralized SDF at 3.75 per cent on April 8th, which replaced the fixed rate reverse repo as the floor of the LAF corridor. 3.4 Market liquidity conditions remained in surplus mode during the quarter ended June 2022. The net average liquidity absorption by the Reserve Bank under Liquidity Adjustment Facility (LAF) including Marginal Standing Facility, Standing Deposit Facility and Special Liquidity Facility was ₹4,52,405.87 crore during Q1 FY23 (₹6,44,100.99 crore during Q4 FY22) 7Chart 3.1: Outstanding Amount under LAF Outstanding LAF 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 - - - - - - - - - - - - - - - - - - - 4 4 4 4 4 4 5 5 5 5 5 5 5 6 6 6 6 6 6 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - - - - - - - - - - - - - - - - - - - 1 6 1 6 1 6 1 6 1 6 1 6 1 5 0 5 0 5 0 0 0 1 1 2 2 0 0 1 1 2 2 3 0 1 1 2 2 3 0 -100000 -200000 -300000 -400000 -500000 -600000 -700000 -800000 -900000 Amount (in Rs Crore) 3.5 The MPC decided to remain focused on withdrawal of accommodation to ensure that inflation remains within the target going forward, while supporting growth. On April 8th, to restore the width of the liquidity adjustment facility (LAF) corridor to the pre-pandemic level of 50 bps, Monetary Policy Committee (MPC) in its policy announcement introduced the Standing Deposit Facility (SDF) at 3.75 per cent. On the basis of an assessment of the evolving macroeconomic situation, MPC on May 4th increased the policy repo rate under the liquidity adjustment facility (LAF) by 40 basis points to 4.40 per cent. Resultantly, the standing deposit facility (SDF) rate was adjusted to 4.15 per cent and the marginal standing facility (MSF) rate and the Bank Rate to 4.65 per cent. Further on June 8th, MPC increased the policy repo rate under the liquidity adjustment facility (LAF) by 50 basis points to 4.90 per cent consequently, the standing deposit facility (SDF) rate was adjusted to 4.65 per cent and the marginal standing facility (MSF) rate and the Bank Rate to 5.15 per cent. The MPC stated that its decisions were in consonance with the objective of achieving the medium-term target for consumer price index (CPI) inflation of 4 per cent within a band of +/- 2 per cent, while supporting growth. 3.6 The net amount mobilised through Treasury Bills (under competitive and non- competitive bidding) stood at ₹264854.88 crore in Q1FY23. Details of issuances and redemptions of treasury bills (tenor-wise) in Q1 FY23 are given in Table 3.1. 8Table 3.1: Issuance and Repayments of Treasury Bills during Apr-Jun 2022 Amount in ₹ crore Date of Variation Issue in Issued amount Issued amount Repayments over Repaymen 91 DTB 182 DTB 364 DTB 91 DTB 182 DTB 364 DTB ts 06-Apr-22 13000.00 13500.00 11895.00 5000.00 3000.00 6405.00 23990.00 12-Apr-22 15850.00 14500.00 8460.00 7200.00 3000.00 7115.00 21495.00 20-Apr-22 25200.00 13645.00 8532.50 8200.00 3000.00 6000.00 30177.50 27-Apr-22 15510.10 13000.00 8350.00 11310.00 3000.00 6000.00 16550.10 04-May-22 16150.00 13000.00 8000.00 8900.00 3000.00 6825.00 18425.00 11-May-22 14300.00 12000.00 8680.00 5800.00 3000.00 6000.00 20180.00 18-May-22 15850.00 13000.00 8000.00 13250.00 3000.00 6000.00 14600.00 25-May-22 21250.00 14200.00 8000.00 8070.00 3700.00 6000.00 25680.00 01-Jun-22 18000.00 13500.00 8000.00 11502.10 3000.00 6073.00 18924.90 08-Jun-22 25500.00 12000.00 8000.00 11000.00 3000.00 6000.00 25500.00 15-Jun-22 25100.00 13935.32 8000.00 9500.00 3000.00 6000.00 28535.32 22-Jun-22 15300.00 13000.00 8390.00 10500.00 3000.00 6000.00 17190.00 29-Jun-22 20000.00 13000.00 9139.33 28503.85 4028.42 6000.00 3607.06 Total 241010.10 172280.32 111446.83 138735.95 40728.42 80418.00 264854.88 Total Under Competitive Bidding Q1 168573.15 158809.31 103631.63 74874.25 38997.344 77994.71 239147.78 Total Under Non-competitive Bidding Q1 72436.94 13471.01 7815.20 63861.7 1731.08 2423.29 25707.09 9Section 4: Trends in Outstanding Debt 4.1 Total gross liabilities (including liabilities under the „Public Account‟) of the Government, as per provisional data, increased to ₹1,45,72,956 crore at end-June 2022 from ₹1,39,58,774 crore at end-March 2022 (Table 4.1). This represented a quarter-on-quarter increase of 4.40 per cent in Q1 FY23. Public debt accounted for 88.3 per cent of total gross liabilities at end-June 2022 slightly up from 88.1 per cent at end-March 2022. Table 4.1: Total Liabilities of Central Government (#) (Amount in ` crore) Components 2022-23 2021-22 Variation (June) (March) June 2022 over March 2022 (%) A. Public Debt (A1+A2) 12872723 12294091 4.71 A1. Internal Debt (a+b) 12020918 11462343 4.87 a. Marketable Securities (i+ii) 9337341 8817283 5.90 (i) Dated Securities 8315288 8060085 3.17 (ii) Treasury Bills 1022053 757198 34.98 (iii) Cash Management Bills 0 0 0.00 b. Non-marketable Securities (i to vi) 2683577 2645059 1.46 (i) 14 Day Intermediate T-Bills 173715 216766 -19.86 (ii) Compensation & Other Bonds 135716 131202 3.44 (iii) Securities issued to Intl. Fin. Institutions 100786 101329 -0.54 (iv) Securities against small savings 1961518 1883921 4.12 (v) Special Sec. against POLIF 20894 20894 0.00 (vi) Special Securities issued to PSB/ EXIM Bank/ IDBI Bank/ 290948 290948 IIFCL 0.00 A2. External Debt 851806 831748 2.41 B. Public Account - Other Liabilities (a to d) 1700233 1664682 2.14 (a) National Small Savings Fund 530847 536304 -1.02 (b) State Provident Fund 253254 257260 -1.56 (c) Other Accounts 451354 451354 0.00 (i) Spl Securities in lieu of subsidies (OMCs/Fert.Cos, FCI) 124105 124105 0.00 (ii) Other items 327249 327249 0.00 (d) Reserve Funds and Deposit (i+ii) 464777 419765 10.72 (i) Bearing Interest 254488 248846 2.27 (ii) Not bearing interest 210289 170919 23.03 C. Total Gross Liabilities (A+B) 14572956 13958774 4.40 D. Pakistan Pre-partition debt 300 300 0.00 E. Investment in special securities of States under NSSF 384106 390930 -1.75 F. NSSF Investment in public Agencies 85000 85000 0.00 G. Extra-Budgetary Resources (EBRs) 139287 139287 0.00 10H. Cash Balance (Year end/ Quarter end) 340634 40352 744.16 Net Adjusted Liabilities (C-D-E-F+G-H) 13902203 13581479 2.36 # Data are provisional and the table format has been updated in line with Annual Status Paper on Government Debt/Budget Document. Source: Ministry of Finance and RBI Note: (i) External Debt is shown at current exchange rate, Including net cumulative SDR allocation f rom March 2004 onwards ( ₹173414.54 crore for 31st March 2022 and ₹173450.95 crore for 30th June 2022). (SDR allocation are not part of the Govt. borrowings for its fiscal operations) (ii) EBR - Liabilities on account of Govt. Fully Serviced Bonds Yield on Primary Issuances of G-Secs and Maturity of Outstanding Stock of Market Loans 4.2 The weighted average yield on primary issuances of dated securities showed an increase to 6.95 per cent in Q1 of FY23 from 6.66 per cent in Q4 of FY22 (Table 4.2). The weighted average maturity of issuances of dated securities was lower at 14.90 years in Q1of FY23 (17.56 years in Q4 of FY22). The weighted average maturity of outstanding stock of dated securities was higher at 11.87 years at the end of Q1 of FY23 as compared to 11.71 years at the end of Q4 of FY22. Table 4.2: Yield and Maturity of Dated Securities of Central Government Year Issues during the year/ HY/ Qtr Outstanding Stock* Weighted Weighted Weighted Weighted Average Yield Average Average Average (%) Maturity (years) Coupon (%) Maturity (years) 1 2 3 4 5 2010-11 7.92 11.62 7.81 9.64 2011-12 8.52 12.66 7.88 9.60 2012-13 8.36 13.50 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 7.16 14.76 7.99 10.65 2017-18 6.98 14.13 7.85 10.62 2018-19 7.77 14.73 7.84 10.40 2019-20 6.84 16.15 7.71 10.72 2020-21 5.79 14.49 7.27 11.31 2021-22 6.28 16.99 7.12 11.71 2021-22 Q1 6.11 16.92 7.21 11.51 2021-22 Q2 6.26 16.51 7.15 12.31 112021-22 Q3 6.33 16.88 7.09 11.69 2021-22 Q4 6.66 17.56 7.12 11.71 2022-23 Q1 6.95 15.69 7.12 11.87 * As at end of period 4.3 The proportion of debt (dated securities) maturing in less than one year was higher at 4.14 per cent at end-June 2022 (3.88 per cent at end-March 2022). The proportion of debt maturing within 1-5 years at 24.76 per cent at end- June 2022 was lower than its level of 25.43 per cent at end- March 2022. Debt maturing in the next five years worked out to 28.9 per cent of total outstanding debt at end-June 2022 i.e.,5.78 per cent of outstanding stock, on an average, needs to be repaid every year over the next five years. Thus, the roll-over risk in dated securities portfolio remains low (Table 4.3). Table 4.3: Maturity Profile of Outstanding Dated Securities of Central Government (Amount in crore) Maturity Bucket s Quarter at the end- Quarter at the end- (Residual maturity) March 2022 June 2022 Less than 1 year 312738.9 (3.88) 344176.65 (4.14) 1-5 years 2049252 (25.43) 2058558.89 (24.76) 5-10 years 2322947 (28.82) 2341484.68 (28.16) 10-20 years 1842541 (22.86) 1930132.47 (23.21) Above 20 years 1532507 (19.01) 1640771.94 (19.73) Total 8059986 8315124.62 Note: Figures in parentheses represent per cent of total. Ownership Pattern 4.4 The ownership pattern of Central Government securities indicates that the share of commercial banks stood at 38.04 per cent at end-June 2022, higher than 37.75 per cent at end-March 2022. Share of insurance companies and provident funds at end-June 2022 stood at 26.34 per cent and 16.06 per cent, respectively. Share of mutual funds was 2.32 per cent at the end of quarter June 2022 as against was 2.91 per cent at the end of quarter March 2022. Share of RBI went downward at 16.06 per cent at end June 2022 from 16.62 per cent at end March 2022 (Table 4.4). 12Table 4.4: Ownership Pattern of Government of India Dated Securities (Per Cent of outstanding dated securities) Mar. Jun. Sep. Dec. Mar. Jun. Sep. Dec. Mar. Jun. Category 20 20 20 20 21 21 21 21 22 22 1. Commercial Banks 40.4 39.0 38.6 37.8 37.77 35.99 37.82 35.40 37.75 38.04 2. Non-Bank PDs 0.4 0.4 0.3 0.3 0.27 0.34 0.35 0.27 0.29 0.33 3. Insurance 25.1 26.2 25.3 25.6 25.3 25.83 24.18 25.74 25.89 26.34 Companies 4. Mutual Funds 1.4 2.0 2.4 2.6 2.94 2.82 2.91 3.08 2.91 2.32 5. Co-operative Banks 1.9 1.9 1.9 1.8 1.82 1.82 1.50 1.82 1.81 1.84 6. Financial 0.5 1.2 1.4 1.0 1.00 1.43 1.17 1.69 0.94 1.09 Institutions 7. Corporates 0.8 0.8 0.9 1.0 1.06 1.39 0.72 1.37 1.47 1.52 8. FPIs 2.4 1.8 2.0 2.1 1.87 1.79 1.81 1.66 1.56 1.43 9. Provident Funds 4.7 5.0 4.8 4.6 4.44 4.04 3.77 4.33 4.60 4.77 10. RBI 15.1 14.7 15.0 15.7 16.2 17.11 16.98 16.92 16.62 16.06 11. Others 7.2 7.1 7.3 7.37 7.33 7.43 8.79 7.73 6.15 6.30 Total 100 100 100 100 100 100 100 100 100 100 13Section 5 Secondary Market A. Government security yields 5.1 During April –June 2022 quarter, yields on government securities hardened across the curve due to following factors. i) MPC decision to hike policy Repo rate by 40 bps, i.e., from 4.00% to 4.40% on 4th May, 2022 largely with an intention to contain inflation. This was the first reversal in policy rate action since May 2020. Subsequently, in its third Monetary Policy meeting for FY 2023 on 8th June, 2022, MPC decision to further hike policy Repo rate by 50 bps, i.e., from 4.40% to 4.90% affected the sentiments. During the meeting all the members unanimously voted to hike rates. The members decided to remain focused on withdrawal of accommodation to ensure that inflation remains within the target going forward while supporting growth. ii) Announcement of government borrowing of 59% in the first half of the financial year against the market expectation of 55%. iii) The introduction of Standing Deposit Facility (SDF) in order to restore the width of the LAF corridor to its pre pandemic configuration of 50 bps. iv) RBI decision to increase the Cash Reserve Ratio (CRR) by 50 bps from 4.00% of NDTL to 4.50% of NDTL, effective from the fortnight starting May 21, 2022, which resulted in effective absorption of liquidity to the tune of ₹87,000 crores. v) On global front Federal Reserve of USA intensified its drive to tackle worst inflation in last 40 years in USA, by raising its benchmark policy rate by half percentage point in its policy meeting on 4th May, 2022 and subsequently by 75 bps in its policy meeting on 15th June, 2022. Similarly, the Bank of England and the Swiss National Bank hiked interest rate by 25 bps and 50 bps respectively. The BoE hiked its policy rate for the fifth time in a row while the Swiss National Bank hiked its interest rate for the first time in fifteen years. vi) The hike in rates by the Federal Reserve, prompted hardening of 10-year US treasury yields from 2.35% at the closing on 31st March to 3.02% on 30th June, 2022, i.e., hardening by 67 bps during the quarter, affecting yields across the 14globe and more particularly in emerging market as higher yields in USA, generally trigger the FPI‟s outflow from these markets vii) The Brent crude prices also remained above the psychological level of 100$/bbl. during the quarter. Due to the above factors, the yields on the 10-year benchmark security increased from 6.84%, at the end of quarter on 31st March 2022, to 7.45% at the end of quarter on 30th June 2022, thus hardening by 61 bps only during the quarter. 5.2 The other factors which affected secondary market during the quarter were as under: a) Growth in Gross Domestic Product (GDP) Q4 of 2021-22: As per the Press Note released by the National Statistical Office (MoSPI) on 31st May, 2022, the growth rate in GDP at constant prices showed a growth of 4.1 per cent during the Q4 2021-22 as compared to growth of 2.5 percent in Q4 2020-21. b) Inflation: The headline retail (CPI) inflation for the month of April, May and June 2022 was registered at 7.79%, 7.04% and 7.01% respectively, which indicates gradual decrease of retail inflation during the quarter. Inflation is one of the major factor affecting yields as higher inflation generally leads to higher interest rates in economy. c) Wholesale Price Index (WPI) inflation stood at 15.08% in April, 15.88% in May and 15.18% in June 2022, reflecting elevated level of WPI, which was due to inflationary pressure in food and primary articles. 5.3 The spread in yields between 10-1 year was at 122 bps as on June 30, 2022 against 235 bps as on March 31st, 2022 showing more hardening of yields in shorter tenure security due to liquidity measures taken by RBI. In a similar manner spread in 30-10 year segment reduced to 21 bps as on 30th June, 2022 against 40 bps as on 31st March, 2022, reflecting more hardening of yields in 10 year security in comparison to 30 year security. The spread between 10-5 year yields also reduced from 55 bps as on 31st March 2022 to 26 bps as on 30th June 2022 reflecting more hardening of yields in shorter tenure of 5 year security in comparison to 10 year security (Table 5.1 and Chart 5.2). 15Chart 5.1: Movement in 10-Year Benchmark Yield in G-Sec Market 10-Yr Benchmark 7.8 7.6 7.4 7.2 7 6.8 6.6 6.4 Table 5.1: Yield Spreads (bps) Yield spread between March 31st , 2022 June 30th, 2022 June 30th, 2021 10-1 year 235 122 231 30-10 year 40 21 71 30-1 year 275 143 302 10-5 year 55 26 56 5.4 Yields were higher at the close of June 2022 as compared to close of March 2022 due to rate hike by MPC and other factors discussed above. Hardening of yields was observed more in shorter term security in comparison to longer term security. Chart 5.2: Comparative G-Sec Yield Curves 8.0 7.5 7.0 6.5 ) % 6.0 ( d 5.5 le iY 5.0 4.5 4.0 3.5 50505050505050505050505050505050 25702570257025702570257025702570 .0.1.2.4.5.6.7.9.0.1.2.4.5.6.7.9.0.1.2.4.5.6.7.9.0.1.2.4.5.6.7.9 111111112222222233333333 Tenor (Yrs) YTM March 31, 2022 YTM June 30th , 2022 YTM June 30, 2021 165.5 The hardening of yields was prominent at the short end of curve due to various measures taken by RBI to suck out surplus liquidity from the banking system. This has resulted in hardening of T Bills yields also. The yields of 91 days T-Bills was at 5.11 as on 30th June, 2022 against 3.77 as on 31st March , 2022, thus hardening by 134 bps. The yields on 182 days T-Bills and 364 days T-Bills were at 5.73 per cent and 6.24 per cent on June 30, 2022, i.e., higher by 153 bps and 179 bps, respectively, as compared to their closing levels on March 31st, 2022. In a similar manner, the yields for 91 DTB, 182 DTB and 364 DTB on June 30, 2022 were higher by 168 bps, 202 bps and 236 bps, respectively over their corresponding levels as on June 30, 2021 (Chart 5.3). Chart 5.3: Comparative T-Bill Yield Curve 6.8 6.3 5.8 5.3 4.8 4.3 3.8 3.3 2.8 30-Jun-22 31-Mar-22 30-Jun-21 Table 5.2: Yields on T-Bills of different tenors Date 3 Months 6 Months 9 Months 12 Months 30-June 22 5.11 5.73 5.93 6.24 31-March 22 3.77 4.20 4.45 4.45 30th June 21 3.43 3.71 3.78 3.88 5.6 US 10 year yield hardened during the quarter and touched a high of 3.45 on 14thJune, 2022 though, some softening was observed afterwards before closing at 3.02 at the end of quarter on 30th June, 2022. Crude oil prices also remained at elevated level during the quarter, touching a high of 123.72 $/bbl before moderating slightly and closing at 109.16 $ / bbl at the end of the quarter. The elevated level of crude prices contributed in hardening of G-Sec yield in domestic market. 17Table 5.3: Comparative data during the quarter Parameter Open High Low Close 10 Year US Yield ( In percentage) 2.40 3.45 2.40 3.02 10 year GOI bond (In Percentage) 6.90 7.62 6.90 7.45 Brent Crude per barrel ( In US $) 107.57 123.72 99.29 109.16 Chart 5.4: Comparative Chart of US 10-Yr Yield, GOI 10-Yr G -Sec, CPI data and Crude Oil price Comparative Chart of US 10 Yr Yield, GOI 10 Yr G -Sec , CPI and Crude Oil price 9.00 140 8.00 120 7.00 100 e )% c ir n i e 6.00 80 p lio t a R ( 45 .. 00 00 46 00 e d u r c 3.00 20 2.00 0 Axis Title US Yield 10 year Gsec CPI data Brent Crude Oil B. Trading Pattern of Government Securities 5.7 The total outright volume of trading in G-Secs (including T-Bills and SDLs) at ₹25.47 lakh crore during Q1 FY 23, showed a y-o-y growth of 14 per cent compared to ₹ 22.25 lakh crore during Q1 of FY22 (Table 5.4). This is also higher than ₹19.51 lakh crore registered during previous quarter. The higher trading volume in Q1 of FY 23 in compare to previous quarter despite the rising yields may reflect as continuing interest of market players in government securities market. 5.8 The share of Central Government dated securities in the total outright volume of transactions increased to 76 percent during Q 1 FY 23 in comparison to 72 per cent registered in Q4 FY 22. The share is also higher than 71 percent registered in corresponding period of FY 22. 18The share of Central Government securities in repo transactions declined to 70 per cent during Q1 FY 23 in compare to 72 per cent registered in Q4 FY 22 but it is higher than the level of 68 per cent registered in the corresponding period of FY 22. 5.9 The annualised outright turnover ratio for G-Secs (including T-Bills and SDLs) for Q1 of FY23 was higher at 2.96 (2.89 during Q1 FY21-22). The annualised total turnover ratio (outright plus repo transactions) also increased to 11.62 during Q1 of FY23 from 11.19 during Q1 of FY22. Table 5.4: Transactions in Government Securities (Volume in ₹ crore) Outright Repo Period G-Sec T-Bills SDL Total G-Sec T-Bills SDL Total Apr-Jun 21 15,81,505 4,45,025 1,98,060 22,24,590 43,32,022 9,49,424 11,01,561 63,83,007 Share (%) 71% 20% 9% 68% 15% 17% July Sept 21 20,53,041 3,91,281 1,58,315 26,02,638 42,35,160 4,59,422 8,81,685 55,76,267 Share (%) 79% 15% 6% 76% 8% 16% Oct-Dec 21 15,85,791 2,84,109 1,44,971 20,14,871 49,96,262 5,49,270 10,51,595 65,97,127 Share (%) 79% 14% 7% 76% 8% 16% Jan–Mar 22 14,09,747 3,63,879 1,77,576 19,51,202 50,23,754 9,63,841 9,81,643 69,69,238 Share (%) 72% 19% 9% 72% 14% 14% Apr-Jun 22 19,34,598 4,06,786 2,05,443 25,46,827 52,28,238 11,39,245 10,78,479 74,45,962 Share (%) 76% 16% 8% 70% 15% 14% Chart 5.5: Outright Trading Volume in ₹ crore 2500000 2000000 1500000 1000000 500000 0 Apr-June July-Sep Oct -Dec Jan - April - July -Sept Oct -Dec Jan - Apr-June 20 20 20 March 21 June 21 21 21 March 22 22 G-Sec T-Bills SDL 195.10 The top-10 traded Central Government securities accounted for 81.56 per cent of the total outright trading volume in secondary market during Q1 FY23 (77.53 per cent during Q4 FY22). The share of top-3 traded securities also increased and stood at 66.9 per cent of the total outright trading volume in the secondary market during Q1 FY23, reflecting the concentration of trading pattern in top three liquid securities (58.8 per cent during Q4 FY22) (Table 5.5). Table 5.5: Top-10 Traded Securities (in ₹ crore) Apr– June 2022 Jan – March 2022 Apr– June 2021 Security Volume Security Volume Security Volume 6.54% GS 2032 9,43,458 6.10% GS 2031 3,93,716 5.85% GS 2030 3,38,222 6.67% GS 2035 1,79,252 6.54% GS 2032 2,66,462 6.64% GS 2035 2,68,046 5.74% GS 2026 1,71,869 6.67% GS 2035 1,68,393 5.63% GS 2026 1,91,292 6.10% GS 2031 1,00,555 5.63% GS 2026 1,19,462 5.15% GS 2025 77,678 7.54% GS 2036 60,324 5.74% GS 2026 58,088 5.22% GS 2025 68,905 5.63% GS 2026 57,722 6.64% GS 2035 20,030 6.22% GS 2035 67,241 6.95% GS 2061 18,329 7.59% GS 2026 19,260 7.59% GS 2026 41,468 5.22% GS 2025 16,697 8.15% GS 2022 18,914 6.97% GS 2026 25,846 7.17% GS 2028 15,917 6.67% GS 2050 14,446 6.76% GS 2061 25,566 6.99% GS 2051 13,644 6.99% GS 2051 14,171 7.17% GS 2028 23,848 Total 15,77,767 Total 10,92,942 Total 11,28,112 5.11 The trend in outright trading volumes in central G-Secs under different maturity bucket is given in Table 5.6. Table 5.6: Maturity Buckets-Wise Outright Trading Volume in G-Secs (in ₹ crore) Apr –June % Jan – March % Apr–June % Maturity 2022 share 2022 share 2021 share Less than 3 years 1,40,393 7.26 1,62,992 11.56 1,38,135 8.73 3-7 years 3,65,990 18.92 2,78,034 19.72 5,58,282 35.30 7-10 years 10,69,337 55.27 6,83,221 48.46 4,34,590 27.48 Above 10 years 3,58,877 18.55 2,85,500 20.25 4,50,498 28.49 Total 19,34,557 100.00 14,09,747 100.00 15,81,505 100.00 205.12 The maturity distribution of secondary market transactions in Central G-Secs, as presented above, shows that the trading activity was concentrated in 7-10 year maturity bucket during Q1 FY23, mainly because of more trading in 10 year benchmark security. 5.13 Private Sector Banks emerged as dominant trading segment in secondary market during quarter under review with a share of 24.30 per cent in “Buy” deals and 23.81 per cent in “Sell” deals in the total outright trading activity (Table 5.7), followed by foreign banks, public sector banks, primary dealers and mutual funds. On a net basis, foreign banks and primary dealers were net sellers while public sector banks ,co-operative banks, FIs, insurance companies, mutual funds, private sector banks and „Others‟ were net buyers in the secondary market. Table 5.7: Category-wise Share (%) of Total Outright Trading Activity in G-Secs* Apr– June 2022 Jan– March 2022 Apr– June 2021 Category Buy Sell Buy Sell Buy Sell Co-operative Banks 3.13 2.77 2.53 2.20 2.50 2.14 Financial Institutions 0.63 0.01 0.46 0.42 0.82 0.13 Foreign Banks 20.53 22.65 24.15 26.60 17.14 21.55 Insurance Companies 3.39 2.20 4.15 2.24 3.34 2.62 Mutual Funds 12.71 8.51 16.45 12.53 17.88 9.26 Others 4.07 3.28 5.49 3.61 6.56 2.89 Primary Dealers 13.93 20.33 11.93 17.33 10.02 17.69 Private Sector Banks 24.30 23.81 20.69 20.03 25.98 25.51 Public Sector Banks 17.30 16.44 14.15 15.03 15.75 18.22 Total 100.0 100.0 100.0 100.0 100.0 100.0 *: Includes T-Bills and SDLs. 21Statement 1: Amount Raised through Issuance/settlement of Dated Securities during Q1 FY 2022-23 (Amount i n ₹ Crore) Name of Stock Date of Date of Notified Amount Devolvement Cut Cut off Date of Residual Auction Issue Amount Raised on PDs off yield Maturity Maturity price (%) (Years) 5.74% GS 2026 08-Apr-22 11-Apr-22 9000.00 9000 0.00 97.3 6.4262 15-Nov-26 4.59 GOI FRB 2028 08-Apr-22 11-Apr-22 4000.00 4000 0.00 98.4 5.2055 04-Oct-28 6.48 6.67% GS 2035 08-Apr-22 11-Apr-22 10000.00 10000 0.00 94.42 7.321 15-Dec-35 13.68 6.99% GS 2051 08-Apr-22 11-Apr-22 9000.00 9000 0.00 95.22 7.3831 15-Dec-51 29.68 4.56% GS 2023 13-Apr-22 18-Apr-22 4000.00 4000 0.00 98.65 5.4415 29-Nov-23 1.61 7.1 GS 2029 (new issue) 13-Apr-22 18-Apr-22 7000.00 7000 0.00 100.00 7.1 18-Apr-29 7.00 6.54% GS 2032 13-Apr-22 18-Apr-22 13000.00 13000 1553.203 95.12 7.2446 17-Jan-32 9.75 6.95% GS 2061 13-Apr-22 18-Apr-22 9000.00 9000 0.00 92.46 7.5142 16-Dec-61 39.66 5.74% GS 2026 22-Apr-22 25-Apr-22 9000.00 9000.00 0.00 96.4 6.6681 15-Nov-26 4.56 GOI FRB 2034 22-Apr-22 25-Apr-22 4000.00 4000.00 0.00 97.17 5.6473 30-Oct-34 12.51 6.67% GS 2035 22-Apr-22 25-Apr-22 10000.00 10000.00 0.00 94.15 7.3552 15-Dec-35 13.64 6.99% GS 2051 22-Apr-22 25-Apr-22 9000.00 9000.00 0.00 94.3 7.464 15-Dec-51 29.64 4.56% GS 2023 29-Apr-22 02-May-22 4000.00 4000.00 0.00 98.7 5.4297 29-Nov-23 1.58 7.10% GS 2029 29-Apr-22 02-May-22 7000.00 7000.00 0.00 100.05 7.09 18-Apr-29 6.96 6.54% GS 2032 29-Apr-22 02-May-22 13000.00 13000.00 0.00 95.63 7.1705 17-Jan-32 9.71 6.95% GS 2061 29-Apr-22 02-May-22 9000.00 9000.00 0.00 93.67 7.4381 16-Dec-61 39.62 5.74% GS 2026 06-May-22 09-May-22 9000.00 9000.00 0.00 94.45 7.2008 15-Nov-26 4.52 GOI FRB 2028 06-May-22 09-May-22 4000.00 4000.00 0.00 98.55 5.301 04-Oct-28 6.40 6.67% GS 2035 06-May-22 09-May-22 10000.00 10000.00 0.00 92.1 7.6114 15-Dec-35 13.60 6.99% GS 2051 06-May-22 09-May-22 9000.00 9000.00 0.00 91.54 7.7087 15-Dec-51 29.60 4.56% GS 2023 13-May-22 17-May-22 4000.00 4000.00 0.00 97.7 6.1533 29-Nov-23 1.53 7.10% GS 2029 13-May-22 17-May-22 7000.00 7000.00 0.00 99.24 7.24 18-Apr-29 6.92 6.54% GS 2032 13-May-22 17-May-22 13000.00 13000.00 0.00 94.59 7.329 17-Jan-32 9.67 6.95% GS 2061 13-May-22 17-May-22 9000.00 9000.00 0.00 91.52 7.6204 16-Dec-61 39.58 5.74% GS 2026 20-May-22 23-May-22 9000.00 9000.00 0.00 94.82 7.1105 15-Nov-26 4.48 GOI FRB 2034 20-May-22 23-May-22 4000.00 4000.00 0.00 96.52 6.4072 30-Oct-34 12.44 22New GS 2036 20-May-22 23-May-22 10000.00 10000.00 0.00 100 7.54 23-May-36 14.00 6.99% GS 2051 20-May-22 23-May-22 9000.00 9000.00 0.00 92.53 7.6174 15-Dec-51 29.56 4.56% GS 2023 27-May-22 30-May-22 4000.00 4000 2,235.99 97.76 6.1488 29-Nov-23 1.50 7.10% GS 2029 27-May-22 30-May-22 7000.00 7000 0.00 99.29 7.2307 18-Apr-29 6.88 6.54% GS 2032 27-May-22 30-May-22 13000.00 13000 0.00 94.54 7.339 17-Jan-32 9.63 6.95% GS 2061 27-May-22 30-May-22 9000.00 9000 0.00 91.56 7.626 16-Dec-61 39.54 5.74% GS 2026 03-Jun-22 06-Jun-22 9000.00 9000 0.00 94.44 7.2242 15-Nov-26 4.44 GOI FRB 2028 03-Jun-22 06-Jun-22 4000.00 4000 0.00 97.62 6.452 04-Oct-28 6.33 7.54% GS 2036 03-Jun-22 06-Jun-22 10000.00 10000 0.00 98.78 7.6834 23-May-36 13.96 6.99% GS 2051 03-Jun-22 06-Jun-22 9000.00 9000 0.00 90.93 7.7593 15-Dec-51 29.53 4.56% GS 2023 10-Jun-22 13-Jun-22 4000.00 4000 0.00 97.45 6.4143 29-Nov-23 1.46 7.10% GS 2029 10-Jun-22 13-Jun-22 7000.00 7000 0.00 98.38 7.4033 18-Apr-29 6.85 6.54% GS 2032 10-Jun-22 13-Jun-22 13000.00 13000 0.00 93.38 7.5195 17-Jan-32 9.59 6.95% GS 2061 10-Jun-22 13-Jun-22 9000.00 9000 0.00 89.37 7.8173 16-Dec-61 39.51 New GS 2027 17-Jun-22 20-Jun-22 9000.00 9000 0.00 100 7.38 20-Jun-27 5.00 GOI FRB 2034 17-Jun-22 20-Jun-22 4000.00 4000 0.00 95.25 7.0816 30-Oct-34 12.36 7.54% GS 2036 17-Jun-22 20-Jun-22 10000.00 10000 0.00 97.95 7.7826 23-May-36 13.93 6.99% GS 2051 17-Jun-22 20-Jun-22 9000.00 9000.00 0.00 89.7 7.8896 15-Dec-51 29.49 New GS 2024 24-Jun-22 27-Jun-22 4000.00 4000 0.00 100 6.69 27-Jun-24 2.00 7.10% GS 2029 24-Jun-22 27-Jun-22 7000.00 7000 0.00 98.56 7.3699 18-Apr-29 6.81 6.54% GS 2032 24-Jun-22 27-Jun-22 13000.00 13000 0.00 93.98 7.4302 17-Jan-32 9.56 6.95% GS 2061 24-Jun-22 27-Jun-22 9000.00 9000 0.00 90.69 7.7053 16-Dec-16 5.53 Total 390000.00 390000.00 3789.20 Weighted Average Yield % 7.23 23Statement 2: Treasury Bills Issued during Q 1 FY 2022-23 Date of Cut off Security Auction Issue Date Outstanding Amount (₹ Crore) Yield (%) Competitive Non-Competitive Total 364DTB 05-Jan-22 06-Jan-22 10995.59 527.84 11523.43 4.34 364DTB 12-Jan-22 13-Jan-22 10964.78 35.22 11000.00 4.38 364DTB 19-Jan-22 20-Jan-22 10999.52 0.48 11000.00 4.47 364DTB 25-Jan-22 27-Jan-22 10963.78 1136.22 12100.00 4.51 364DTB 02-Feb-22 03-Feb-22 10973.30 26.71 11000.00 4.66 364DTB 09-Feb-22 10-Feb-22 10969.73 30.27 11000.00 4.67 364DTB 16-Feb-22 17-Feb-22 10998.84 1.16 11000.00 4.49 364DTB 23-Feb-22 24-Feb-22 10999.74 0.26 11000.00 4.52 364DTB 02-Mar-22 03-Mar-22 15999.53 2300.47 18300.00 4.63 364DTB 09-Mar-22 10-Mar-22 14999.66 0.34 15000.00 4.71 364DTB 16-Mar-22 17-Mar-22 14999.73 0.27 15000.00 4.65 364DTB 23-Mar-22 24-Mar-22 14999.50 0.50 15000.00 4.62 364DTB 30-Mar-22 31-Mar-22 14999.17 0.83 15000.00 4.58 182 DTB 05-Jan-22 06-Jan-22 9980.40 19.60 10000.00 4.02 182 DTB 12-Jan-22 13-Jan-22 9999.79 0.21 10000.00 4.03 182 DTB 19-Jan-22 20-Jan-22 9999.45 0.55 10000.00 4.12 182 DTB 25-Jan-22 27-Jan-22 9999.70 700.30 10700.00 4.18 182 DTB 02-Feb-22 03-Feb-22 9999.31 0.69 10000.00 4.40 182 DTB 09-Feb-22 10-Feb-22 9999.53 0.47 10000.00 4.40 182 DTB 16-Feb-22 17-Feb-22 9999.67 1800.33 11800.00 4.16 182 DTB 23-Feb-22 24-Feb-22 9995.20 4004.81 14000.00 4.19 182 DTB 02-Mar-22 03-Mar-22 14999.74 1000.27 16000.00 4.29 182 DTB 09-Mar-22 10-Mar-22 14999.31 1000.69 16000.00 4.38 182 DTB 16-Mar-22 17-Mar-22 14999.38 3000.62 18000.00 4.33 182 DTB 23-Mar-22 24-Mar-22 14989.70 2447.94 17437.64 4.32 182 DTB 30-Mar-22 31-Mar-22 14999.10 1000.90 16000.00 4.27 91 DTB 05-Jan-22 06-Jan-22 4998.88 1.12 5000.00 3.56 91 DTB 12-Jan-22 13-Jan-22 4999.35 2200.65 7200.00 3.57 91 DTB 19-Jan-22 20-Jan-22 4998.71 3201.29 8200.00 3.69 91 DTB 25-Jan-22 27-Jan-22 4997.20 6312.81 11310.00 3.71 91 DTB 02-Feb-22 03-Feb-22 4999.30 3900.70 8900.00 3.88 91 DTB 09-Feb-22 10-Feb-22 4998.98 801.02 5800.00 3.89 91 DTB 16-Feb-22 17-Feb-22 4969.29 8280.71 13250.00 3.68 91 DTB 23-Feb-22 24-Feb-22 4994.55 3075.46 8070.00 3.70 91 DTB 02-Mar-22 03-Mar-22 6993.87 4508.23 11502.10 3.74 91 DTB 09-Mar-22 10-Mar-22 6986.70 4013.30 11000.00 3.81 91 DTB 16-Mar-22 17-Mar-22 6992.70 2507.30 9500.00 3.77 91 DTB 23-Mar-22 24-Mar-22 6948.24 3551.76 10500.00 3.80 91 DTB 30-Mar-22 31-Mar-22 6996.49 21507.36 28503.85 3.84 Total 393697.38 82899.64 476597.02 24Statement 3: G-Secs outstanding balance as on June 30, 2022 Coupon Amount in Rs. Sl. No. Date of issue Maturity date Name of security rate % Crore 1 8.08% GS 2022 8.08 2-Aug-2007 2-Aug-2022 38,697.347 2 5.87% GS 2022 (conv) 5.87 28-Aug-2003 28-Aug-2022 8,672.040 3 8.13% GS 2022 8.13 21-Sep-2007 21-Sep-2022 45,001.765 4 3.96% GS 2022 3.96 9-Nov-2020 9-Nov-2022 28,410.108 5 6.84% GS 2022 6.84 12-Sep-2016 19-Dec-2022 56,967.760 6 6.30% GS 2023 6.30 9-Apr-2003 9-Apr-2023 12,710.000 7 7.37% GS 2023 7.37 16-Apr-2018 16-Apr-2023 31,642.813 8 4.26% GS 2023 4.26 17-May-2021 17-May-2023 38,887.268 9 7.16% GS 2023 7.16 20-May-2013 20-May-2023 70,035.000 10 1.44% IIGS 2023 1.44 5-Jun-2013 5-Jun-2023 1,152.553 11 6.17% GS 2023 (conv) 6.17 12-Jun-2003 12-Jun-2023 12,000.000 12 4.48% GS 2023 4.48 2-Nov-2020 2-Nov-2023 53,925.286 13 4.56% GS 2023 4.56 29-Nov-2021 29-Nov-2023 32,500.000 14 8.83% GS 2023 8.83 25-Nov-2013 25-Nov-2023 59,789.649 15 7.68% GS 2023 7.68 27-Apr-2015 15-Dec-2023 83,404.480 16 7.32% GS 2024 7.32 28-Jan-2019 28-Jan-2024 62,136.887 17 7.35% GS 2024 7.35 22-Jun-2009 22-Jun-2024 52,448.331 18 6.69% GS 2024 6.69 27-Jun-2022 27-Jun-2024 4,000.000 19 8.40% GS 2024 8.40 28-Jul-2014 28-Jul-2024 79,533.528 20 6.18% GS 2024 6.18 4-Nov-2019 4-Nov-2024 102,090.282 21 FRB 2024 4.41 7-Nov-2016 7-Nov-2024 87,635.031 22 9.15% GS 2024 9.15 14-Nov-2011 14-Nov-2024 84,062.541 23 7.72% GS 2025 7.72 25-May-2015 25-May-2025 90,031.814 24 5.22% GS 2025 5.22 15-Jun-2020 15-Jun-2025 118,000.000 25 8.20% GS 2025 8.20 24-Sep-2012 24-Sep-2025 90,000.000 26 5.97% GS 2025 (Conv) 5.97 25-Sep-2003 25-Sep-2025 16,687.948 27 5.15% GS 2025 5.15 9-Nov-2020 9-Nov-2025 116,465.237 28 7.59% GS 2026 7.59 11-Jan-2016 11-Jan-2026 119,000.000 29 7.27% GS 2026 7.27 8-Apr-2019 8-Apr-2026 60,248.949 30 5.63% GS 2026 5.63 12-Apr-2021 12-Apr-2026 149,503.141 31 8.33% GS 2026 8.33 9-Jul-2012 9-Jul-2026 87,000.000 32 6.97% GS 2026 6.97 6-Sep-2016 6-Sep-2026 89,743.393 33 10.18% GS 2026 10.18 11-Sep-2001 11-Sep-2026 15,000.000 34 5.74% GS 2026 5.74 15-Nov-2021 15-Nov-2026 81,000.000 35 8.15% GS 2026 8.15 24-Nov-2014 24-Nov-2026 82,963.846 36 8.24% GS 2027 8.24 15-Feb-2007 15-Feb-2027 111,388.550 37 6.79% GS 2027 6.79 15-May-2017 15-May-2027 121,000.000 38 7.38% GS 2027 7.38 20-Jun-2022 20-Jun-2027 9,000.000 39 8.26% GS 2027 8.26 2-Aug-2007 2-Aug-2027 97,726.614 40 8.28% GS 2027 8.28 21-Sep-2007 21-Sep-2027 91,866.433 6.01% GS 2028 41 (C Align) 6.01 8-Aug-2003 25-Mar-2028 15,000.000 42 7.17% GS 2028 7.17 8-Jan-2018 8-Jan-2028 115,583.727 43 8.60% GS 2028 8.60 2-Jun-2014 2-Jun-2028 106,230.301 44 6.13% GS 2028 6.13 4-Jun-2003 4-Jun-2028 11,000.000 45 FRB 2028 4.93 4-Oct-2021 4-Oct-2028 40,816.462 46 7.59% GS 2029 7.59 19-Oct-2015 20-Mar-2029 124,321.027 47 7.26% GS 2029 7.26 14-Jan-2019 14-Jan-2029 130,708.881 48 7.10% GS 2029 7.10 18-Apr-2022 18-Apr-2029 43,999.391 49 6.45% GS 2029 6.45 7-Oct-2019 7-Oct-2029 114,840.157 50 6.79% GS 2029 6.79 26-Dec-2016 26-Dec-2029 118,801.123 2551 7.88% GS 2030 7.88 11-May-2015 19-Mar-2030 120,303.339 52 7.61% GS 2030 7.61 9-May-2016 9-May-2030 100,989.438 53 5.79% GS 2030 5.79 11-May-2020 11-May-2030 11,618.586 54 5.77% GS 2030 5.77 3-Aug-2020 3-Aug-2030 123,000.000 55 9.20% GS 2030 9.20 30-Sep-2013 30-Sep-2030 61,884.550 56 5.85% GS 2030 5.85 1-Dec-2020 1-Dec-2030 119,270.508 57 8.97% GS 2030 8.97 5-Dec-2011 5-Dec-2030 90,000.000 58 6.10% GS 2031 6.10 12-Jul-2021 12-Jul-2031 148,000.000 59 6.68% GS 2031 6.68 4-Sep-2017 17-Sep-2031 107,921.309 60 FRB 2031 6.42 7-May-2018 7-Dec-2031 139,915.719 61 6.54% GS 2032 6.54 17-Jan-2022 17-Jan-2032 117,000.000 62 8.28% GS 2032 8.28 15-Feb-2007 15-Feb-2032 90,687.110 63 8.32% GS 2032 8.32 2-Aug-2007 2-Aug-2032 89,434.050 64 7.95% GS 2032 7.95 28-Aug-2002 28-Aug-2032 130,733.174 65 8.33% GS 2032 8.33 21-Sep-2007 21-Sep-2032 1,522.480 66 7.57% GS 2033 7.57 20-May-2019 17-Jun-2033 124,519.981 67 FRB 2033 5.53 22-Jun-2020 22-Sep-2033 149,481.966 68 8.24% GS 2033 8.24 10-Nov-2014 10-Nov-2033 99,275.000 69 6.57% GS 2033 6.57 5-Dec-2016 5-Dec-2033 95,960.478 70 7.50% GS 2034 7.50 10-Aug-2004 10-Aug-2034 99,101.130 71 6.19% GS 2034 6.19 1-Jun-2020 16-Sep-2034 127,000.000 72 FRB 2034 5.38 30-Aug-2021 30-Oct-2034 54,800.053 73 7.73% GS 2034 7.73 12-Oct-2015 19-Dec-2034 100,000.000 74 FRB, 2035 6.58 25-Jan-2005 25-Jan-2035 350.000 75 6.22% GS 2035 6.22 2-Nov-2020 16-Mar-2035 112,654.564 76 6.64% GS 2035 6.64 12-Apr-2021 16-Jun-2035 145,353.992 77 7.40% GS 2035 7.40 9-Sep-2005 9-Sep-2035 99,245.000 78 6.67% GS 2035 6.67 13-Sep-2021 15-Dec-2035 153,549.695 79 7.54% GS 2036 7.54 23-May-2022 23-May-2036 30,000.000 80 8.33% GS 2036 8.33 7-Jun-2006 7-Jun-2036 86,000.000 81 6.83% GS 2039 6.38 19-Jan-2009 19-Jan-2039 13,000.000 82 7.62% GS 2039 7.62 8-Apr-2019 15-Sep-2039 38,150.903 83 8.30% GS 2040 8.30 2-Jul-2010 2-Jul-2040 90,000.000 84 8.83% GS 2041 8.83 12-Dec-2011 12-Dec-2041 90,000.000 85 8.30% GS 2042 8.30 31-Dec-2012 31-Dec-2042 104,529.440 86 7.69% GS 2043 7.69 30-Apr-2019 17-Jun-2043 37,000.000 87 9.23% GS 2043 9.23 23-Dec-2013 23-Dec-2043 79,472.280 88 8.17% GS 2044 8.17 1-Dec-2014 1-Dec-2044 97,000.000 89 8.13% GS 2045 8.13 22-Jun-2015 22-Jun-2045 98,000.000 90 7.06% GS 2046 7.06 10-Oct-2016 10-Oct-2046 100,000.000 91 7.72% GS 2049 7.72 15-Apr-2019 15-Jun-2049 84,000.000 92 7.16% GS 2050 7.16 20-Apr-2020 20-Sep-2050 99,798.361 93 6.67% GS 2050 6.67 2-Nov-2020 17-Dec-2050 149,162.330 94 6.62% GS 2051 6.62 28-Nov-2016 28-Nov-2051 55,000.000 95 6.99% GS 2051 6.99 15-Nov-2021 15-Dec-2051 104,525.000 96 7.72% GS 2055 7.72 26-Oct-2015 26-Oct-2055 100,000.000 97 7.63% GS 2059 7.63 6-May-2019 17-Jun-2059 83,461.952 98 7.19% GS 2060 7.19 13-Apr-2020 15-Sep-2060 98,381.042 99 6.80% GS 2060 6.80 31-Aug-2020 15-Dec-2060 101,176.429 100 6.76% GS 2061 6.76 22-Feb-2021 22-Feb-2061 146,999.929 101 6.95% GS 2061 6.95 22-Nov-2021 16-Dec-2061 102,265.173 Total 8,315,124.624 *Excludes special securities 26Statement 4: Maturity Profile of Government Securities as on End-June 2022 Year of M aturity Outstanding Stock (₹ Crore) 2022-23 177749.02 2023-24 458183.936 2024-25 409769.713 2025-26 550184.999 2026-27 676847.879 2027-28 450176.774 2028-29 413076.671 2029-30 397944.01 2030-31 606763.082 2031-32 603524.138 2032-33 221689.704 2033-34 469,237.425 2034-35 493905.747 2035-36 398148.687 2036-37 116000 2038-39 13,000.000 2039-40 38,150.903 2040-41 90,000.000 2041-42 90,000.000 2042-43 104,529.440 2043-44 116472.28 2044-45 97000 2045-46 98,000.000 2046-47 100,000.000 2049-50 84,000.000 2050-51 248960.691 2051-52 159525 2055-56 100,000.000 2059-60 83,461.952 2060-61 346557.4 2061-62 102,265.173 Total 8315124.624 27Statement 5: Calendar for Auction of Treasury Bills during July - September 2022 Amount in ₹ Crore Date of Auction Issue Date 91 Days 182 Days 364 Days Total July 06, 2022 July 07, 2022 9,000 7,000 5,000 21,000 July 13, 2022 July 14, 2022 9,000 7,000 5,000 21,000 July 20, 2022 July 21, 2022 9,000 7,000 5,000 21,000 July 27, 2022 July 28, 2022 9,000 7,000 5,000 21,000 August 03, 2022 August 04, 2022 9,000 7,000 5,000 21,000 August 10, 2022 August 11, 2022 9,000 7,000 5,000 21,000 August 17, 2022 August 18, 2022 9,000 7,000 5,000 21,000 August 24, 2022 August 25, 2022 9,000 7,000 5,000 21,000 August 30, 2022 September 01, 2022 9,000 7,000 5,000 21,000 September 07, 2022 September 08, 2022 9,000 7,000 5,000 21,000 September 14, 2022 September 15, 2022 9,000 7,000 5,000 21,000 September 21, 2022 September 22, 2022 9,000 7,000 5,000 21,000 September 28, 2022 September 29, 2022 9,000 7,000 5,000 21,000 Total 1,17,000 91,000 65,000 2,73,000 ************************* 28