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Inverted Yield Curve

The recent behaviour of interest rates and the yield curve is a reflection of the monetary policy stance that has succumbed to market expectations. The monetary policy actions have naturally had an impact on shortterm interest rates, the upward revisions in benchmark rates leading to a rise in the former; but the long-term rates are restrained by what the market can bear. Hence, in a situation of sluggish economic activity, long-term rates rise in sympathy with short-term rates but only fractionally; this leads to narrowing of the spread and flattening of the yield curve, even at times leading to an inversion.

MONEY MARKET REVIEWjuly 26, 2008 EPW Economic & Political Weekly24Inverted Yield CurveEPW Research FoundationPiyusha Hukeri drafted the initial note and V P Prasanth compiled the accompanying tables and graphs.Table 1: Spread between 91-day and 364-day T-Bills (in %)Tenor 91-day 364-day Spread between 91-days and 364-daysMar-05 5.325.660.34Apr-05 5.165.650.49Dec-05 6.036.170.14Mar-06 6.116.420.31Apr-06 5.496.060.57Dec-06 7.107.240.14Mar-07 7.987.980.00Apr-07 7.357.700.35Dec-07 7.357.660.31Mar-08 7.237.350.12Apr-08 7.237.370.14Week ending Jun 04 7.56 7.61 0.05Jun 11 7.69 – – Jun 18 8.06 8.25 0.19Jun 25 8.73 – –Week ending July 04 8.81 9.17 0.36Source: RBI press releases. The recent behaviour of interest rates and the yield curve is a reflection of the monetary policy stance that has succumbed to market expectations. The monetary policy actions have naturally had an impact on short-term interest rates, the upward revisions in benchmark rates leading to a rise in the former; but the long-term rates are restrained by what the market can bear. Hence, in a situation of sluggish economic activity, long-term rates rise in sympathy with short-term rates but only fractionally; this leads to narrowing of the spread and flattening of the yield curve, even at times leading to an inversion. Adistinct aspect of the current inter-est rate scenario, noticeable now for some time, has been the steady increase in short-term interest rates while the long-term rates have been left behind, thus considerably and persistently nar-rowing the spread, and in the latest period, even leading to a situation of inverted yield curve. 1 An Odd Situation As depicted in Graph A, the market yield spread between the government of India’s one-year and 10-year securities has steadily fallen from a high of around 1.60 per cent in April 2006 to negative numbers in the last week of June and early July 2008. At the end of June, the one-year security had touched a yield rate of 9.16 per cent as against 9.13 per cent for a five-year security and 8.76 per cent for a 10-year security, thus showing a negative spread of 0.37 per cent with the benchmark scrip (Table 2, p 25).The narrowing of the yield spread is also found amongst different maturity treasury bills (TBs) at the level of primary issues. In the month of June 2008, the last three issues of 91-day TBs carried primary yield rates ranging from 7.69 per cent to 8.73 per cent – significantly higher than the rates of 7.61 per cent and 8.25 per cent fixed for the two fortnightly issues of 364-day TBs during the same month (Table 1).This odd situation has been the product of the dear money policy pursued by the Reserve Bank of India (RBI), which has since early 2006 switched to a monetarist policy framework and succumbed to mar-ket proclivities. A situation of high interest rates has been inflicted on the system on the ground of fighting inflation. As data in Table 3 shows, the rate of inflation has been continued to be high precisely after a regime of high interest rates began. It is not our contention that the interest rate has no role to play in fighting inflation; what is sought to be conveyed here is that the role is situation-specific, that if inflation is supply-induced, the pursuit of dear money policy in such a situation is sure to have a greater adverse impact on investment and production activities than the extent to which it would curb inflation.The way the various components of the interest rate structure have behaved speaks for their adverse consequences. The economic literature is full of evidence regarding the potentiality of the yield curve to predict the direction in which the real economy is moving. It is said that in advanced economies an inverted yield curve precedes, or predicts, recessionary conditions. It is also said that in the Indian situation, there is evidence to the effect that the yield spread has the ability to pre-dict the nature of industrial activity to come. In this light, it could be said that the current sluggishness in manufacturing activities has been preceded by a steady decline in the yield spread. The entire the-oretical edifice on the link between the yield curve and the state of the economy, is built on the theory of expectations.In the above respect, there are a number of theoretical, operational and monetary policy issues, the details of which are beyond the scope of this note. The one contour of the expectations theory, which is advanced to explain the explanatory power of the yield curve for a given expan-sionary or recessionary phase of the real
31/05 3/06 6/06 9/06 12/06 15/06 18/06 21/06 24/06 27/06 Call Rates (Left) Repo Rates – Outside the RBI (Left) Call Money Volume (Rs 000 crore) (Right)
MONEY MARKET REVIEWjuly 26, 2008 EPW Economic & Political Weekly26Table 6: Comparison of Call, Overnight CBLO and Repo RatesWeek Ending Weighted Average Rates (in %) Daily Average Volumes (Rs Crore) Call Overnight CBLO Repo Call Overnight CBLO Repo 2-May-08 6.15 5.98 6.09 13,51840,88414,7479-May-08 5.97 5.18 5.55 10,25138,51416,49516-May-08 6.78 6.59 6.67 13,281 38,333 16,10423-May-08 6.09 5.63 5.89 8,351 32,722 14,09030-May-08 7.61 7.36 7.48 13,27138,894 14,1746-Jun-08 6.335.80 6.1011,37040,95412,15113-Jun-08 7.77 7.61 7.65 11,04841,58012,82120-Jun-08 8.03 7.67 7.84 11,43635,804 11,81927-Jun-08 8.56 8.20 8.34 15,66925,244 8,526Source: The Clearing Corporation of India (CCIL).Table 5: Weighted Averages of Daily Call/Notice Rates in Per Cent Per Annum: Simple Statistical Characteristics Month/Week SimpleStandardCoefficientofSimpleStandardCoefficientof Mean*DeviationVariation Mean* Deviation Variation (in %)$ (in %)$ Call Money Notice Money **May 2008 All five weeks 6.57 0.71 10.76 6.31 0.82 12.96 30 7.630.253.217.260.7810.69 23(RF)*6.050.183.055.840.406.81 16 6.840.527.556.560.8012.14 9 (RF)* 5.97 0.081.425.600.53 9.44 2 6.190.243.956.110.101.70June 2008 All four weeks 7.57 0.96 12.73 7.65 1.05 13.67 27 8.49 0.344.03 8.561.1913.91 20(RF)*7.850.627.847.870.435.51 13 7.650.587.637.090.7710.93 6 (RF)* 6.28 0.589.196.930.97 14.05** Separate reportings began on March 15, 2005. * Including data for reporting Fridays (RF). $ Based on original unrounded figures.Source: RBI. Table 4: Money Market Operations (RBI’s Daily Data) Average June 2008 Average May 2008 Items for Four Weeks 27 20 (RF) 13 6 (RF) for Five Weeks 30 23 (RF) 16 9 (RF) 2No of working days 246 6 6 6 28 6 5 6 6 5CallMoney Weighted average of call rates: 5.71-8.98 8.12-8.98 6.60-8.22 6.76-8.21 5.71-7.33 5.82-7.96 7.36-7.96 5.82-6.33 6.46-7.79 5.86-6.11 5.90-6.57 per cent (weekly range) per annum (6.60) (5.71) (5.82) (5.86) Daily averages (Rupees crore) 10,192 12,293 9,891 9,056 9,527 9,584 10,998 6,355 11,183 8,219 10,835 Total call market borrowings (174) (426) (137) (753)NoticeMoney Weighted average of notice money rates: 6.10-10.21 7.11-10.21 7.18-8.25 6.40-8.19 6.10-7.99 5.25-7.95 6.20-7.95 5.25-6.10 5.40-7.75 5.10-6.106.05-6.23 per cent (weekly range) per annum (7.75) (6.11) (6.03) (6.00) Daily averages (Rupees crore) 12,381 4,051 1,855 2,391 1,843 2,208 2,274 1,995 2,098 2,032 2,683 Total notice market borrowings (8,831) (10,253) (9,363) (12,045)Turnover in term money market 172 141 223 238 92 185 144 488 79 193 47 (borrowings)$$ (140) (10) (375) (300)*Data for reporting Fridays are given within brackets and they are also included in the weekly range/daily averages. $$ No of reporting/traded days is fewer than given above. public sector oil companies, the RBI had put in place unconventional measures such as instituting the special market auc-tions, which included open market opera-tions (OMO) in oil bonds to the extent of Rs 1,000 crore on any single day as well as providing equivalent foreign exchange to these companies. But, as the unprecedent-ed rise in international crude oil prices forced the government to effect a hike in domestic fuel prices, market sentiments turned cautious following the apprehen-sions of a further push to inflation and tighter monetary measures. Added to these, the government’s decision to issue oil bonds worth Rs 95,000 crore support-ed these apprehensions. Soon followed theRBI hike in repo rate for the first time since March 2007 by 25 basis points (bps) to 8 per cent effective from June 12 and theRBI governor reiterated his readiness to further tackle inflationary expectations. The yields jumpedacrossmaturities, though the short-term ones more than the long-term ones. However, the international oil prices continued to gallop, nullifying the effects of the marginal fuel price hike. As the oil companies faced further pressure, the RBI increased the OMO limit to Rs 1,500 crore. But with the unexpected jump in domestic inflation to 11.05 per cent, a 13-year high, the RBI responded swiftly in its pursuit of managing inflationary expec-tations and accorded high priority to price stability. The repo rate was raised by 50 bps to 8.50 per cent with immediate effect on June 25 and the cash reserve ratio (CRR) was hiked to 8.75 per cent in two tranches of 25 bps each on July 5 and 19, respectively, Table 3: Movement in Key Policy Rates and Inflation (% per annum)Effective since Reverse Repo Rate Cash Reserve Prime Deposit Rates WPI Repo Rate Ratio Lending Rates^ Inflation@(1) (2) (3) (4) (5) (6) (7)31-Mar-04 4.50 6.00 4.5010.25-11.00 5-5.5 4.6018-Sep-04 4.50 6.00 4.7510.25-10.755-5.5 7.902-Oct-04 4.506.005.0010.25-10.755-5.57.1027-Oct-044.75 6.005.0010.25-10.755-5.5 7.4029-Apr-05 5.00 6.005.0010.25-10.755.25-6.256.0026-Oct-05 5.25 6.25 5.0010.25-10.755.25-6.254.5024-Jan-06 5.506.505.0010.25-10.75 5.50-6.50 4.209-Jun-06 5.756.755.0010.75-11.256.25-7.004.9025-Jul-06 6.007.005.0010.75-11.256.25-7.004.7031-Oct-06 6.00 7.25 5.0011.00-11.506.75-8.005.3023-Dec-06 6.00 7.25 5.2511.00-11.507.00-8.005.506-Jan-07 6.007.255.5011.50-12.007.00-8.006.1017-Feb-07 6.007.50 5.7511.50-12.50 7.50-9.00 6.733-Mar-07 6.007.506.0012.25-12.507.50-9.006.5031-Mar-07 6.00 7.75 6.0012.25-12.50 7.50-9.00 5.9014-Apr-076.00 7.75 6.2512.50-13.257.50-9.006.3028-Apr-07 6.00 7.75 6.5012.75-13.257.50-9.006.004-Aug-07 6.007.757.0012.75-13.257.50-9.604.4010-Nov-07 6.00 7.75 7.5012.75-13.25 8.00-9.00 3.2026-Apr-08 6.00 7.75 7.7512.25-12.758.25-9.007.3310-May-08 6.00 7.75 8.0012.25-12.758.25-9.007.6124-May-086.00 7.75 8.2512.25-12.758.25-8.757.8212-Jun-08 6.008.008.2512.25-12.758.25-9.008.2425-Jun-08 6.008.508.2512.50-12.758.25-9.0011.055-Jul-08 6.008.508.5012.75-13.258.25-9.5011.6319-Jul-08 6.008.508.75 NA NA11.91@: As on the date of change in policy rates. ^ : Prime Lending Rate related to five major banks. Source: RBI publications
MONEY MARKET REVIEWEconomic & Political Weekly EPW july 26, 200827Table 7: Auctions of 91-Day Treasury Bills(Amount in rupees crore) Date of Notified Bids Tendered Bids Accepted Subscription Cut-off Cut-off AmountAuction AmountDevolvedPriceYieldOutstanding- No Face Value No Face Value on PDs (Rupees) Rate on the Date (Amount) (Amount)(Amount) (in%)ofIssue (1) (2) (3) (4) (5) (6) (7) (8) (9) (10)2007 June6 3,500.00 143 9,986.80 29 3,500.00 0.00 98.23 7.23 50,928.00 (5) (5,993.08) (5) (5,993.08) [98.25] [7.14] June11 3,000.00 119 6,492.00 88 3,000.00 0.00 98.11 7.73 53,928.00 (0) (0.00) (0) (0.00) [98.15] [7.7.56] June13 3,500.00 117 9,997.75 45 3,500.00 0.00 98.10 7.77 52,028.00 (2) (1,600.00) (2) (1,600.00) [98.11] [7.73] June20 3,500.00 164 13,942.63 23 3,500.00 0.00 98.24 7.19 64,356.00 (6)(11,450.00) (6)(11,450.00) [98.25] [7.14] June25 5,000.00 190 18,850.00 32 5,000.00 0.00 98.25 7.14 69,356.00 (0) (0.00) (0) (0.00) [98.26] [7.10] June27 3,500.00 140 11,682.00 49 3,500.00 0.00 98.19 7.39 65,956.00 (3) (1,100.00) (3) (1,100.00) [98.2] [7.25] 2008 June4 3,000 76 5,569.37 61 3,000.00 0.00 98.15 7.56 56,679.00 (6) (4,426.94) (6)(4,426.94) [98.17] [7.48] June11 3,000 71 5,211.37 46 3,000.00 0.00 98.12 7.69 60,429.00 (4) (1,450.00) (4) (1,450.00) [98.13] [7.64] June18 3,000 78 4,164.30 53 2,000.00 0.00 98.03 8.06 61,944.00 (2) (715.38) (2) (715.38) [98.05] [7.98] June25 500 58 2,068.80 7 500.00 0.00 97.87 8.7360,204.00 (2) (5,300.00) (2) (5,300.00) [97.87] [8.73]Figures in parentheses in cols 3 to 6 represent numbers and amounts of non-competitive bids which are not included in the total. Figures in the square brackets under cols 8 and 9 represent weighted average price and respective yield. Table 8: Auctions of 182-Day Treasury Bills(Amount in rupees crore) Date of Notified Bids Tendered Bids Accepted Subscription Cut-off Cut-off AmountAuction AmountDevolvedPriceYieldOutstanding No Face Value No Face Value on PDs (Rupees) Rate on the Date (Amount) (Amount)(Amount) (in%)ofIssue2007 May30 1,500.00 66 4,295.00 431,500.00 0.00 96.34 7.6218,711.44 (1) (235.95) (1) (235.95) [96.39] [7.51] June11 2,000.00 113 7,145.00 562,000.00 0.00 96.25 7.8120,711.00 (0) (0.00) (0) (0.00) [96.28] [7.75] June13 2,500.00 114 9,925.00 152,500.00 0.00 96.25 7.8121,711.00 (0) (0.00) (0) (0.00) [96.26] [7.79] June27 2,500.00 12011,687.00 332,500.00 0.00 96.32 7.6623,701.00 (0) (0.00) (0) (0.00) [96.34] [7.62] 2008 June11 500.00 511,366.20 16 500.00 0.00 96.31 7.6818,788.00 (1)(1,125.00) (1)(1,125.00) [96.32] [7.66] June25 500.00 40 1,393.00 17 500.00 0.00 95.63 9.1619,788.00 (1)(1,000.00) (1)(1,000.00) [95.68] [9.05]Figures in the square brackets represent weighted average price and the respective yield. Figures in brackets represent numbers and amounts of non-competitive bids which are not included in the total.Table 9: Auctions of 364-Day Treasury Bills(Amount in rupees crore) Date of Notified Bids Tendered Bids Accepted Subscription Cut-off Cut-off AmountAuction AmountDevolvedPriceYieldOutstanding No Face Value No Face Value on PDs (Rupees) Rate on the Date (Amount) (Amount)(Amount) (in%)ofIssue2007 June6 3,000.00 119 10,936.40 27 3,000.00 0.00 92.88 7.69 55,744 (1) (118.54) (1) (118.54) [92.91] [7.65] June20 3,000.00 128 12,910.00 443,000.00 0.00 92.91 7.65 56,325 (3) (495.96) (3) (495.96) [92.96] [7.59] 2008 June4 1,000.00 77 3,695.00 3 1,000.00 0.00 92.95 7.61 58,707 (2)(1,400.00) (2)(1,400.00) [92.96] [7.59] June18 1,000.00 68 1,900.70 541,000.00 0.00 92.40 8.25 56,211 (0) (0.00) (0) (0.00) [92.53] [8.10] Figures in the square brackets represent weighted average price and the respective yield. Figures in brackets represent numbers and amounts of non-competitive bids which are not included in the total.thus sucking out Rs 17,000-Rs 18,000 crore of liquidity from the system. The RBIgovernor conceded that the widening spread between the repo and reverse repo ratessharply from 100 bps to 250 bps high-lighted the prevailing anxiety on inflation. Apart from these unusual develop-ments, the market grappled with advance tax outflows and dated security outflows. But as the market participants expected higher yields in the second dated security issue, theRBI choose to partially devolve the paper on to primary dealers. 2.1 CallMoney Market The call money market rates generally ruled around the prevailing repo rate, though the repo rate itself was raised, as referred to above, from 7.75 per cent to 8.50 per cent during the month. As a result, the call rates were more volatile in June as compared with May (Tables 4 and 5, p 26). The weighted average call rates eased from 7.33 per cent on June 2 to 6 per cent on June 5, and despite the dated security auctions, further to 5.71 per cent on June 6, the first reporting Friday of the month, as the liquidity situation improved due to increased government expenditure as well as due to the extraordinary measures undertaken by theRBI to ease the volatili-ties generated on account of the working capital needs of the oil marketing compa-nies. Ahead of the advance tax outflows, there was increased demand, which pushed the overnight rates higher; they rose from 7.13 per cent on June 9 to 7.81 per cent on June 10. Following the 25 bps hike in repo rate, the call rate jumped to 8.21 per cent on June 12 but eased thereafter to 8.07 per cent on June 16 as the RBI con-tinued to support the market through the Liquidity Adjustment Facility (LAF) repo window. As market participants had already covered their positions, the over-night quote slipped to 6.60 per cent on the second reporting Friday, June 20. After the emergency measures undertaken by the RBI wherein the repo rate was increasedby 50 bps on June 24, the call rate jumped to 8.98 per cent on June 25 but it slipped to 8.30 per cent on June 30 as the liquidity situation was comfortable (Graph B, p 25). In June, the Collateralised Borrowing and Lending Obligation (CBLO) and repo rates ruled below the call rates and the former two segments accounted for more than 75 per cent of the market. Also, the spread of call over theCBLO and repo rates appear to have somewhat narrowed in June as compared to May (Table 6, p 26).

49 47 45 43 41 39

(Daily ) Working
Days June
2008
Monthly Averages
(Jan 2001 to May 2008)
2/06 5/06 8/06 11/06 14/06 17/06 20/06 23/06 26/06 Weighted Averages of Call Rates (Right Axis) 1 month 6 month
MONEY MARKET REVIEWEconomic & Political Weekly EPW july 26, 200829Appendix Table: Secondary Market Operations in Government Papers: NDS and NDS-OM Deals(Amount in rupees crore) Descriptions Week Ending June 2008: Yield to Maturity on Actual Trading Total for the Month 27 20 13 6 of June 2008 AMT YTM CY AMT YTM CYAMT YTM CY AMT YTM CYAMT YTM CY1TreasuryBills A 91-Day Bills 1162.01 8.36 1092.43 7.98 1168.47 7.71 2125.95 7.38 5548.86 7.77 B 182-Day Bills 605.70 8.92 3.90 7.85 202.78 7.67 129.00 7.26 941.38 8.42 C 364-Day Bills 819.51 8.88 245.51 8.07 220.74 7.50 1956.61 7.44 3242.37 7.86 2 GOI Dated Securities A Regular (Per Cent: Year) 5.48, 2009 4596.16 8.89 5.65 220.00 8.24 5.62 1565.00 8.02 5.61 350.00 7.84 5.61 6731.16 8.61 5.64 6.65,2009 285.00 9.22 6.78 320.70 8.19 6.73 640.00 8.06 6.72 2440.00 7.84 6.71 3685.70 8.01 6.726.96, 2009OMC SB ------50.00 8.32 7.03 50.00 8.27 7.03 100.008.30 7.03 7.07 , 2009 OMC SB 40.00 9.72 7.20 ---------40.00 9.72 7.20 7.33 , 2009 OMC SB ---51.13 8.64 7.40 170.00 8.53 7.39 250.00 8.30 7.38 471.13 8.42 7.39 7.33 , 2009 OIL MKT BONDS 55.00 9.50 7.44 ---------55.00 9.50 7.44 5.87,2010 995.00 9.03 6.14 115.12 8.79 6.12 428.10 8.13 6.07 2372.10 7.98 6.06 3910.32 8.29 6.08 7.5 , 2010 ---0.45 8.22 7.60 22.15 8.27 7.60 ---22.60 8.27 7.607.55, 2010 0.107.647.56 ---------0.107.647.56 11.3, 2010 251.00 9.33 10.90 80.00 8.53 10.74 125.00 8.23 10.67 750.00 8.03 10.63 1206.00 8.35 10.7011.5, 2010 15.00 8.6610.95 ---------15.00 8.6610.9512.25 , 2010 65.00 8.8011.53 20.00 8.30 11.42 105.00 8.32 11.42 ---190.00 8.4811.46 6.57,2011 205.00 9.08 6.98 945.00 8.55 6.89 195.00 8.20 6.84 10.00 7.99 6.80 1355.00 8.57 6.907.39 , 2011 ------510.03 8.257.17---510.03 8.257.17 9.39,2011 376.01 9.15 9.33 119.78 8.79 9.24 215.60 8.37 9.14 - - - 711.39 8.85 9.2612.32 , 2011 ------0.03 8.02 11.20 ---0.03 8.02 11.207.4 , 2012 ---85.00 8.757.74 ------85.00 8.757.749.4 , 2012 ---------0.508.008.960.508.008.96 7.27,2013 100.00 8.64 7.71 250.00 8.44 7.64 450.00 8.23 7.58 280.00 8.10 7.53 1080.00 8.28 7.599.81, 2013 15.00 8.809.44 ---------15.00 8.809.4412.4 , 2013 3.008.2910.61 0.148.0410.50 0.05 8.06 10.50 ---3.198.2810.607.37, 2014 ---45.00 8.42 7.74 ------45.00 8.42 7.7411.83 , 2014 10.00 8.43 10.16 60.00 8.37 10.12 ------70.00 8.38 10.13 7.38,2015 389.35 8.82 7.98 53.00 8.42 7.82 135.00 8.32 7.77 561.10 8.15 7.70 1138.45 8.41 7.81 7.61 , 2015 OIL MKT BONDS 381.00 8.97 8.16 10.00 8.88 8.13 ------391.00 8.97 8.16 8.01, 2015 FRB AUG 305.00 6.88 7.75 ---------305.00 6.88 7.75 8.01, 2015 FRB JUL 150.00 7.53 7.86 ---------150.00 7.53 7.869.85, 2015 10.00 8.82 9.34 ---------10.00 8.82 9.34 7.59,2016 130.32 8.81 8.14 80.55 8.46 7.98 15.00 8.27 7.90 695.36 8.15 7.84 921.23 8.27 7.8912.3, 2016 ---238.008.62 10.16 ------238.008.62 10.167.46, 2017 ---0.05 8.558.01 ------0.05 8.558.01 7.49 , 2017 90.92 8.88 8.18 20.00 8.41 7.94 62.00 8.32 7.90 80.03 8.10 7.79 252.95 8.46 7.97 7.99,2017 8.06 8.61 8.31 118.50 8.54 8.27 185.90 8.36 8.18 40.10 8.23 8.11 352.56 8.41 8.218.01, 2017FRB 455.007.45 7.78 ---------455.007.45 7.78 8.07,2017 25.00 8.61 8.34 40.00 8.56 8.32 35.00 8.38 8.22 201.00 8.16 8.12 301.00 8.28 8.175.69, 2018 0.208.53 7.04 ---------0.208.53 7.046.25, 2018 ---------0.408.02 7.080.408.02 7.08 8.24,2018 4374.84 8.64 8.46 3150.20 8.34 8.30 12794.47 8.32 8.28 8421.15 8.14 8.18 28740.66 8.32 8.285.64, 2019 ---4.75 8.617.085.00 8.39 6.967.108.35 6.9516.85 8.446.996.05, 2019 ------5.008.37 7.2510.00 8.507.3215.00 8.467.29 6.35 , 2020 1.70 8.60 7.58 67.65 8.46 7.50 ---10.00 8.50 7.53 79.35 8.47 7.51 7.75, 2021OMC SB 280.00 9.17 8.70 1940.00 8.73 8.39 1540.00 8.74 8.40 ---3760.00 8.77 8.42 7.94, 2021 ---10.00 8.35 8.21 ---130.00 8.25 8.14 140.00 8.26 8.158.13, 2021OMC SB ---5351.15 8.738.53 ------5351.15 8.738.53 10.25 , 2021 50.00 9.05 9.40 ------10.00 8.18 8.81 60.00 8.91 9.305.87 , 2022 ------3.008.647.573.008.247.306.008.447.44 8.15 , 2022 FCI SB 105.05 9.73 9.27 20.14 9.15 8.85 ------125.19 9.63 9.20 8.2 , 2022 0.57 9.05 8.78 5.73 8.62 8.48 ------6.30 8.66 8.518.35 , 2022 ---10.00 8.52 8.47 ------10.00 8.52 8.47 6.17, 2023 ---0.16 9.20 8.16 2.40 8.53 7.69 13.00 8.60 7.74 15.56 8.59 7.73 8.01, 2023 OMC SB ---1180.00 8.71 8.51 ------1180.00 8.71 8.51 8.3,2023FERTSB 1.26 9.12 8.90 27.90 9.11 8.89 3.77 9.01 8.82 10.05 9.00 8.81 42.98 9.07 8.87 8.03, 2024 FCI SB 22.39 9.79 9.36 1208.06 8.72 8.54 42.12 9.10 8.83 1.05 9.02 8.77 1273.62 8.75 8.568.2 , 2024OMC SB 1.45 9.609.245.008.958.75 ------6.45 9.108.86 7.95, 2025OMC SB 2147.70 9.26 8.93 6.83 9.27 8.94 0.25 9.00 8.73 140.00 9.03 8.76 2294.78 9.25 8.92 8.4,2025OMCSB 1645.47 9.32 9.10 3895.30 9.15 8.97 5731.41 8.76 8.67 1900.26 8.62 8.56 13172.44 8.92 8.80 7.95,2026FERTSB 12.55 9.64 9.27 1.05 9.12 8.85 141.23 9.14 8.87 1004.60 9.11 8.84 1159.43 9.12 8.85 8.4,2026OMCSB 551.00 9.58 9.33 1078.15 8.82 8.73 2280.00 8.88 8.77 0.80 9.16 9.00 3909.95 8.96 8.848.23, 2027 ---------1.009.018.851.009.018.85 8.23, 2027 FCI SB 4.38 9.39 9.16 4.51 9.17 8.98 13.66 9.10 8.93 10.00 9.02 8.86 32.55 9.13 8.94 8.24, 2027 1342.53 9.36 9.14 66.00 9.19 8.99 ------1408.53 9.35 9.13 6.01,2028 0.07 8.61 7.96 0.56 8.44 7.81 0.90 8.52 7.89 81.40 8.62 7.91 82.93 8.61 7.916.13, 2028 0.089.018.34 ---------0.089.018.34 7.95,2032 238.55 9.41 9.23 240.55 8.90 8.76 1239.45 8.79 8.68 560.00 8.65 8.56 2278.55 8.83 8.727.5 , 2034 ---0.069.229.02 ------0.069.229.02 8.33,2036 925.00 8.98 8.88 1095.05 8.76 8.68 844.30 8.68 8.64 1470.30 8.51 8.49 4334.65 8.70 8.65 Sub-total 20660.70 8.93 7.90 22241.19 8.72 8.46 29555.82 8.48 8.20 21864.30 8.21 7.88 94322.00 8.57 8.12 B RBI’s OMO: Sales 6.00 - - - - - - - - 208.00 - - 214.00 - - Purchase 4670.00 --4140.00 --4770.00 --189.00 --13769.00 --Sub-total 4676.00 --4140.00 --4770.00 --397.00--13983.00 -- (A+B) 25336.70 8.93 7.90 26381.19 8.72 8.46 34325.82 8.48 8.20 22261.30 8.21 7.88 108305.00 8.57 8.123 MarketRepo 53709.87 71900.06 78802.54 235037.00 439449.47 4 State Govt Securities 287.90 9.14 9.02 143.28 8.82 8.68 159.76 8.64 8.65270.84 8.51 8.52861.78 8.80 8.74 Grand total (1 to 4) 81921.69 99766.37 114880.11 261780.70 558348.86 (-) Means no trading. YTM = Yield to maturity in percentage per annum. CY = Current yield in per cent per annum. SGL = (RBI’s) Subsidiary General Ledger. OMO = Open Market Operations. OMC SB= Oil Marketing Companies Special Bonds. NDS = Negotiated Dealing System. OM = Order Matching Segment. (1) Yields are weighted yields, weighted by the amounts of each transaction. (2) Current yield has not been worked out for treasury bills. (3) For Floating Rate Bonds (FRB’s) Current yields are based on the latest half-year yield determined in the auction.
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