Date of Original Fixed Income

Portfolio 1-Apr-15

Security and Portfolio Details:

AFS Portfolio:

INSTRUMENT
Sl. No. SECURITY NAME CATAGORY FACEVALUE
TYPE

1 12.75% AU FIN INDIA LIMITED 2018 Bond PVT. CORPORATES 100000000

2 12.50% MANAPPURAM GEN.FINLEASING Bond PVT. CORPORATES 70000000
3 11.00% ACB INDIA LTD 2020 Bond PVT. CORPORATES 100000000
4 11.00% MAGMA FIN CORP LTD 2020 Bond PVT. CORPORATES 100000000
5 10.75% SHRIRAM CITY UNION FIN 2017 Bond PVT. CORPORATES 100000000
6 09.50% TATA CAPITAL FIN SER 2018 Bond PVT. CORPORATES 150000000
7 09.90% RELIANCE CAPITAL LTD 2023 Bond PVT. CORPORATES 100000000
8 09.25 % RELIANCE JIO LTD 2024 Bond PVT. CORPORATES 2500000000
9 11.25% MONNET ISPAT ENERGY LTD 18 Bond PVT. CORPORATES 100000000
10 13.00% CORE EDU TECH LTD Bond PVT. CORPORATES 100000000
11 07.96%IFCI2017 Bond PSU-TAXABLE 20000000
12 08.41%IFCI2018 Bond PSU-TAXABLE 20000000
13 08.92% HUDCO SERIRES A 2017 Bond PSU-TAXABLE 350000000
14 08.55 % PFC 2021 Bond PSU-TAXABLE 250000000
15 07.70%SAIL2019 Bond PSU-TAXABLE 100000000
16 09.90% ING VYSYA 2022 Bond TIER-II BONDS 50000000
17 09.10%YESBANK2016 Bond TIER-II BONDS 50000000
18 09.10%KOTAKBANK2017 Bond TIER-II BONDS 20000000
19 07.40%CANARABANK2015 Bond TIER-II BONDS 20000000
28 08.15 GOI 2026 G-Sec. CENTRAL GOVT. 300000000
29 07.16% GOI 2023 G-Sec. CENTRAL GOVT. 100000000
30 08.27% GOI 2020 G-Sec. CENTRAL GOVT. 508220000
31 08.08%GOI2022 G-Sec. CENTRAL GOVT. 1000000000
32 08.60% GOI 2028 G-Sec. CENTRAL GOVT. 1400000000
33 09.20% GOI 2030 G-Sec. CENTRAL GOVT. 2650000000
34 08.83% GOI 2023 G-Sec. CENTRAL GOVT. 3650000000
35 08.45% MADHYA PRADESH SDL 2024 G-Sec. STATE GOVT. 12070000
36 08.45% KARNATAKA SDL 2024 G-Sec. STATE GOVT. 31870000
37 08.97 % KERALA SDL 2024 G-Sec. STATE GOVT. 35000000
38 08.13% MAHARASHTRA SDL 2025 G-Sec. STATE GOVT. 43790000
39 08.14% GUJRAT SDL 2025 G-Sec. STATE GOVT. 71040000
40 08.46% ANDHRA PRADESH SDL 2024 G-Sec. STATE GOVT. 200000000

Total AFS Portfolio 14301990000.00

1430.199
 INSTRUMENT
SECURITY NAME CATAGORY FACEVALUE
TYPE

AFS - Corporate Bonds 342.0000

AFS - PSU Taxable 74.0000
AFS - Tier II Bank Bonds 14.0000
AFS - GOI Bonds (SLR Qualified) 960.8220
AFS - SDL (SLR Qualified) 39.3770

Total AFS Portfolio 1430.1990

 MATURITY Coupon MARKET_VALUE (April Proportion to Total
BOOKVALUE RATING
DATE Rate (%) 1 2015) Portfolio

98994266.00 18-Sep-18 A 12.75% 105750240.70 0.6977%

70000000.00 27-May-16 A+ 12.50% 71016120.98 0.4685%
100000000.00 18-Mar-20 A+ 11% 104856529.40 0.6918%
99530000.00 11-Mar-20 AA 11% 107357041.80 0.7083%
99650000.00 26-Jul-17 AA- 10.75% 102495037.70 0.6762%
150000000.00 16-Jan-18 AA+ 9.50% 152301303.45 1.0048%
99950000.00 24-Jan-23 AAA 9.90% 107808765.10 0.7112%
2466525000.00 16-Jun-24 AAA 9.25% 2640217395.00 17.4183%
99950000.00 20-Feb-18 BBB- 11.25% 99431010.30 0.6560%
100000000.00 30-Dec-16 D 13% 100000000.00 0.6597%
20000000.00 8-Oct-17 A 7.96% 19282188.50 0.1272%
20000000.00 14-Jun-18 A 8.41% 19382897.14 0.1279%
350000000.00 2-Nov-17 AA+ 8.92% 350248582.60 2.3107%
250407750.00 9-Dec-21 AAA 8.55% 252520086.75 1.6660%
100000000.00 11-May-19 AAA 7.70% 98184268.90 0.6478%
50000000.00 14-Dec-22 AA 9.90% 53617695.40 0.3537%
50000000.00 7-May-16 AA 9.10% 50238777.45 0.3314%
20000000.00 20-Apr-17 AAA 9.10% 20293087.96 0.1339%
20000000.00 29-Apr-15 AAA 7.40% 19979521.32 0.1318%
310752500.10 24-Nov-26 8.15% 309600000.00 2.0425%
96050000.00 20-May-23 7.16% 95950000.00 0.6330%
520261119.24 9-Jun-20 8.27% 519248374.00 3.4256%
1015650000.00 2-Aug-22 8.08% 1012937227.00 6.6827%
1498714224.00 2-Jun-28 8.60% 1497405000.00 9.8788%
2984582507.50 30-Sep-30 9.20% 2963230000.00 19.5493%
3891770014.00 25-Nov-23 8.83% 3880315000.00 25.5996%
12070000.00 26-Nov-24 8.45% 12420222.77 0.0819%
31870000.00 26-Nov-24 8.45% 32794739.00 0.2164%
35000000.00 23-Jul-24 8.97% 37202740.37 0.2454%
43790000.00 14-Jan-25 8.13% 44101055.61 0.2909%
71074999.99 14-Jan-25 8.14% 71592103.84 0.4723%
200260000.00 26-Nov-24 8.46% 205935724.40 1.3586%

14976852380.83 15157712737.44 100.00%

1497.685238083 15157712737.44
1515.771273744
 MATURITY MARKET_VALUE (April
BOOKVALUE RATING
DATE 1 2015)

338.4599 359.1233
74.0408 73.9618
14.0000 14.4129
1031.7780 1027.8686
39.4065 40.4047

1497.6852 1515.7713
 Market Risk Capital Charge (under Standard

Proportion to Residual Residual

Market Price
Respective Yield (%) Maturity Mat in SECURITY NAME
(Rs.)
Portfolio (Yrs.) Months

2.9447% 105.7502 10.71% 3.47 41.62 12.75% AU FIN INDIA LIMITED 2018
1.9775% 101.4516 11.09% 1.16 13.87 12.50% MANAPPURAM GEN.FINLEASING
2.9198% 104.8565 9.74% 4.97 59.61 11.00% ACB INDIA LTD 2020
2.9894% 107.3570 9.11% 4.95 59.38 11.00% MAGMA FIN CORP LTD 2020
2.8540% 102.4950 9.51% 2.32 27.85 10.75% SHRIRAM CITY UNION FIN 2017
4.2409% 101.5342 8.86% 2.80 33.57 09.50% TATA CAPITAL FIN SER 2018
3.0020% 107.8088 8.51% 7.82 93.86 09.90% RELIANCE CAPITAL LTD 2023
73.5184% 105.6087 8.36% 9.22 110.60 09.25 % RELIANCE JIO LTD 2024
2.7687% 99.4310 11.48% 2.89 34.72 11.25% MONNET ISPAT ENERGY LTD 18
2.7846% 100.0000 12.97% 1.75 21.01 13.00% CORE EDU TECH LTD
2.6070% 96.4109 9.60% 2.52 30.28 07.96%IFCI2017
2.6207% 96.9145 9.54% 3.21 38.47 08.41%IFCI2018
47.3553% 100.0710 8.88% 2.59 31.10 08.92% HUDCO SERIRES A 2017
34.1420% 101.0080 8.35% 6.70 80.35 08.55 % PFC 2021
13.2750% 98.1843 8.23% 4.11 49.35 07.70%SAIL2019
37.2012% 107.2354 8.59% 7.71 92.52 09.90% ING VYSYA 2022
34.8568% 100.4776 8.62% 1.10 13.22 09.10%YESBANK2016
14.0798% 101.4654 8.30% 2.05 24.66 09.10%KOTAKBANK2017
13.8622% 99.8976 8.63% 0.08 0.92 07.40%CANARABANK2015
3.0121% 103.2000 7.73% 11.66 139.89 08.15 GOI 2026
0.9335% 95.9500 7.84% 8.14 97.68 07.16% GOI 2023
5.0517% 102.1700 7.75% 5.19 62.33 08.27% GOI 2020
9.8547% 101.2937 7.84% 7.34 88.11 08.08%GOI2022
14.5681% 106.9575 7.75% 13.18 158.17 08.60% GOI 2028
28.8289% 111.8200 7.87% 15.51 186.12 09.20% GOI 2030
37.7511% 106.3100 7.81% 8.66 103.89 08.83% GOI 2023
3.0740% 102.9016 8.01% 9.66 115.96 08.45% MADHYA PRADESH SDL 2024
8.1166% 102.9016 8.01% 9.66 115.96 08.45% KARNATAKA SDL 2024
9.2075% 106.2935 8.00% 9.32 111.81 08.97 % KERALA SDL 2024
10.9148% 100.7103 8.02% 9.80 117.57 08.13% MAHARASHTRA SDL 2025
17.7188% 100.7772 8.02% 9.80 117.57 08.14% GUJRAT SDL 2025
50.9683% 102.9679 8.01% 9.66 115.96 08.46% ANDHRA PRADESH SDL 2024

8.1058% Total AFS Portfolio

 Residual Residual
Market Price
Proportion Yield (%) Maturity Mat in SECURITY NAME
(Rs.)
(Yrs.) Months

23.69% 8.82% AFS - Corporate Bonds

4.88% 8.65% AFS - PSU Taxable
0.95% 8.55% AFS - Tier II Bank Bonds
67.81% 7.81% AFS - GOI Bonds (SLR Qualified)
2.67% 8.01% AFS - SDL (SLR Qualified)

100.00% 8.1058% Total AFS Portfolio

ge (under Standard Approach):

General Market Risk Capital Charge Specific Risk Capita

Convexity GMRCC (M-

GMRCC (M- Saving in
Adj. M- Assumed Duration & Term to
M-Duration Duration) GMRCC due
Convexity Duration Change in Convexity) maturity in Band
(%) (Rs. In to
(%) due to Yield (BPS) (Rs. In months
Crore) Convexity
Rise in IR Crore)

2.76 4.91 -2.7129 0.75 0.2191 0.2152 0.0039 41.62 >24

1.01 0.82 -1.0046 0.90 0.0647 0.0642 0.0005 13.87 6-24
3.78 9.12 -3.6908 0.70 0.2776 0.2709 0.0067 59.61 >24
3.79 9.16 -3.6963 0.70 0.2847 0.2778 0.0069 59.38 >24
1.99 2.64 -1.9589 0.80 0.1628 0.1606 0.0022 27.85 >24
2.37 3.67 -2.3363 0.80 0.2891 0.2847 0.0045 33.57 >24
5.39 19.41 -5.1969 0.60 0.3487 0.3362 0.0126 93.86 >24
6.07 25.35 -5.8120 0.60 9.6086 9.2070 0.4016 110.60 >24
2.38 3.69 -2.3443 0.75 0.1776 0.1748 0.0028 34.72 >24
1.48 1.56 -1.4612 0.90 0.1329 0.1315 0.0014 21.01 6-24
2.14 3.11 -2.1075 0.80 0.0330 0.0325 0.0005 30.28 >24
2.67 4.66 -2.6250 0.75 0.0388 0.0382 0.0007 38.47 >24
2.19 3.25 -2.1573 0.80 0.6136 0.6045 0.0091 31.10 >24
4.90 15.88 -4.7455 0.65 0.8050 0.7789 0.0261 80.35 >24
3.35 7.30 -3.2794 0.75 0.2469 0.2415 0.0054 49.35 >24
5.28 18.96 -5.0855 0.60 0.1697 0.1636 0.0061 92.52 >24
0.99 0.78 -0.9852 0.90 0.0449 0.0445 0.0004 13.22 6-24
1.77 2.21 -1.7510 0.80 0.0288 0.0284 0.0004 24.66 >24
0.07 0.02 -0.0733 1.00 0.0015 0.0015 0.0000 0.92 <6
7.31 37.66 -6.9334 0.60 1.3579 1.2880 0.0700 139.89 >24
5.87 22.77 -5.6398 0.60 0.3378 0.3247 0.0131 97.68 >24
4.07 10.72 -3.9651 0.70 1.4801 1.4412 0.0390 62.33 >24
5.40 18.81 -5.2169 0.60 3.2849 3.1706 0.1143 88.11 >24
7.79 43.86 -7.3516 0.60 6.9991 6.6050 0.3941 158.17 >24
8.59 52.75 -8.0603 0.60 15.2686 14.3306 0.9379 186.12 >24
5.90 23.75 -5.6640 0.60 13.7397 13.1869 0.5529 103.89 >24
6.39 28.15 -6.1082 0.60 0.0476 0.0455 0.0021 115.96 >24
6.39 28.15 -6.1082 0.60 0.1257 0.1202 0.0055 115.96 >24
6.25 26.26 -5.9843 0.60 0.1394 0.1336 0.0059 111.81 >24
6.57 29.03 -6.2756 0.60 0.1737 0.1661 0.0077 117.57 >24
6.56 29.02 -6.2741 0.60 0.2820 0.2695 0.0125 117.57 >24
6.39 28.14 -6.1067 0.60 0.7893 0.7546 0.0348 115.96 >24

6.2365 29.2929 57.5720 54.8909 2.6810

 Convexity GMRCC (M-
GMRCC (M- Saving in
Adj. M- Assumed Duration & Term to
M-Duration Duration) GMRCC due
Convexity Duration Change in Convexity) maturity in Band
(%) (Rs. In to
(%) due to Yield (BPS) (Rs. In months
Crore) Convexity
Rise in IR Crore)

5.2102 20.2971 11.5651 11.1222 0.4429

3.2801 8.1313 1.7361 1.6944 0.0417
2.5678 7.6361 0.2448 0.2380 0.0068
6.8518 34.3045 42.4681 40.3470 2.1212
6.4259 28.2208 1.5578 1.4894 0.0684

6.2365 29.2929 57.5720 54.8909 2.6810

Specific Risk Capital Charge Total Capital Charge

Total Capital Total Capital

Charge Charge Alternate Alternate Total
Rating_2 SRCC (%) SRCC (Amt.) (GMRCC+SRC (GMRCC+SRC Method Capital Charge
C) (only M- C) (M-Duration (Total Risk %) (ARCC)
Duration) & Convexity)

A 1.80 1903504 0.4094 0.4055 4.50 0.4759

A+ 1.14 809584 0.1457 0.1452 4.50 0.3196
A+ 1.80 1887418 0.4663 0.4596 4.50 0.4719
AA 1.80 1932427 0.4779 0.4710 2.70 0.2899
AA- 1.80 1844911 0.3473 0.3451 2.70 0.2767
AA+ 1.80 2741423 0.5633 0.5588 2.70 0.4112
AAA 1.80 1940558 0.5428 0.5302 1.80 0.1941
AAA 1.80 47523913 14.3610 13.9594 1.80 4.7524
BBB- 1.80 1789758 0.3565 0.3538 9.00 0.8949
D 13.50 13500000 1.4829 1.4815 13.50 1.3500
A 1.80 347079 0.0677 0.0672 4.50 0.0868
A 1.80 348892 0.0737 0.0730 4.50 0.0872
AA+ 1.80 6304474 1.2440 1.2349 2.70 0.9457
AAA 1.80 4545362 1.2595 1.2335 1.80 0.4545
AAA 1.80 1767317 0.4236 0.4182 1.80 0.1767
AA 9.00 4825593 0.6523 0.6462 9.00 0.4826
AA 5.65 2838491 0.3287 0.3284 9.00 0.4521
AAA 9.00 1826378 0.2114 0.2111 9.00 0.1826
AAA 1.40 279713 0.0294 0.0294 9.00 0.1798
0.00 0 1.3579 1.2880 1.3579
0.00 0 0.3378 0.3247 0.3378
0.00 0 1.4801 1.4412 1.4801
0.00 0 3.2849 3.1706 3.2849
0.00 0 6.9991 6.6050 6.9991
0.00 0 15.2686 14.3306 15.2686
0.00 0 13.7397 13.1869 13.7397
0.00 0 0.0476 0.0455 0.0476
0.00 0 0.1257 0.1202 0.1257
0.00 0 0.1394 0.1336 0.1394
0.00 0 0.1737 0.1661 0.1737
0.00 0 0.2820 0.2695 0.2820
0.00 0 0.7893 0.7546 0.7893

98956795 67.4676 64.7866 56.5105

2.6810
 Total Capital Total Capital
Charge Charge Alternate Alternate Total
Rating_2 SRCC (%) SRCC (Amt.) (GMRCC+SRC (GMRCC+SRC Method Capital Charge
C) (only M- C) (M-Duration (Total Risk %) (ARCC)
Duration) & Convexity)

75873496 19.1525 18.7095 9.4364

13313124 3.0674 3.0257 1.7509
9770175 1.2218 1.2150 1.2972
0 42.4681 40.3470 42.4681
0 1.5578 1.4894 1.5578

98956795 67.4676 64.7866 56.5105

Charge

MRCC on AFS
MRCC on AFS
Portfolio (only
Portfolio (only
M-Duration &
M-Duration)
Convexity)

0.4759 0.4759
0.3196 0.3196
0.4719 0.4719
0.4779 0.4710
0.3473 0.3451
0.5633 0.5588
0.5428 0.5302
14.3610 13.9594
0.8949 0.8949
1.4829 1.4815
0.0868 0.0868
0.0872 0.0872
1.2440 1.2349
1.2595 1.2335
0.4236 0.4182
0.6523 0.6462
0.4521 0.4521
0.2114 0.2111
0.1798 0.1798
1.3579 1.3579
0.3378 0.3378
1.4801 1.4801
3.2849 3.2849
6.9991 6.9991
15.2686 15.2686
13.7397 13.7397
0.0476 0.0476
0.1257 0.1257
0.1394 0.1394
0.1737 0.1737
0.2820 0.2820
0.7893 0.7893

67.4676 64.7866
 MRCC on AFS
MRCC on AFS
Portfolio (only
Portfolio (only
M-Duration &
M-Duration)
Convexity)

19.1525 18.7095
3.0674 3.0257
1.2972 1.2972
42.4681 42.4681
1.5578 1.5578

67.4676 64.7866
 Date of Original Fixed Income
Portfolio 1-Apr-15

Security and Portfolio Details:

AFS Portfolio:

INSTRUMENT
Sl. No. SECURITY NAME CATAGORY FACEVALUE
TYPE

1 12.75% AU FIN INDIA LIMITED 2018 Bond PVT. CORPORATES 100000000

2 12.50% MANAPPURAM GEN.FINLEASING Bond PVT. CORPORATES 70000000
3 11.00% ACB INDIA LTD 2020 Bond PVT. CORPORATES 100000000
4 11.00% MAGMA FIN CORP LTD 2020 Bond PVT. CORPORATES 100000000
5 10.75% SHRIRAM CITY UNION FIN 2017 Bond PVT. CORPORATES 100000000
6 09.50% TATA CAPITAL FIN SER 2018 Bond PVT. CORPORATES 150000000
7 09.90% RELIANCE CAPITAL LTD 2023 Bond PVT. CORPORATES 100000000
8 09.25 % RELIANCE JIO LTD 2024 Bond PVT. CORPORATES 2500000000
9 11.25% MONNET ISPAT ENERGY LTD 18 Bond PVT. CORPORATES 100000000
10 13.00% CORE EDU TECH LTD Bond PVT. CORPORATES 100000000
11 07.96%IFCI2017 Bond PSU-TAXABLE 20000000
12 08.41%IFCI2018 Bond PSU-TAXABLE 20000000
13 08.92% HUDCO SERIRES A 2017 Bond PSU-TAXABLE 350000000
14 08.55 % PFC 2021 Bond PSU-TAXABLE 250000000
15 07.70%SAIL2019 Bond PSU-TAXABLE 100000000
16 09.90% ING VYSYA 2022 Bond TIER-II BONDS 50000000
17 09.10%YESBANK2016 Bond TIER-II BONDS 50000000
18 09.10%KOTAKBANK2017 Bond TIER-II BONDS 20000000
19 07.40%CANARABANK2015 Bond TIER-II BONDS 20000000
28 08.15 GOI 2026 G-Sec. CENTRAL GOVT. 300000000
29 07.16% GOI 2023 G-Sec. CENTRAL GOVT. 100000000
30 08.27% GOI 2020 G-Sec. CENTRAL GOVT. 508220000
31 08.08%GOI2022 G-Sec. CENTRAL GOVT. 1000000000
32 08.60% GOI 2028 G-Sec. CENTRAL GOVT. 1400000000
33 09.20% GOI 2030 G-Sec. CENTRAL GOVT. 2650000000
34 08.83% GOI 2023 G-Sec. CENTRAL GOVT. 3650000000
35 08.45% MADHYA PRADESH SDL 2024 G-Sec. STATE GOVT. 12070000
36 08.45% KARNATAKA SDL 2024 G-Sec. STATE GOVT. 31870000
37 08.97 % KERALA SDL 2024 G-Sec. STATE GOVT. 35000000
38 08.13% MAHARASHTRA SDL 2025 G-Sec. STATE GOVT. 43790000
39 08.14% GUJRAT SDL 2025 G-Sec. STATE GOVT. 71040000
40 08.46% ANDHRA PRADESH SDL 2024 G-Sec. STATE GOVT. 200000000

Total AFS Portfolio 14301990000.00

1430.199
 INSTRUMENT
SECURITY NAME CATAGORY FACEVALUE
TYPE

AFS - Corporate Bonds 342.0000

AFS - PSU Taxable 74.0000
AFS - Tier II Bank Bonds 14.0000
AFS - GOI Bonds (SLR Qualified) 960.8220
AFS - SDL (SLR Qualified) 39.3770

Total AFS Portfolio 1430.1990

Objective Function:
Maximization of Portfolio Yield

Constraints:
1 Portfolio M-Duration <= 6%
2 Portfolio Convexity >= 25
3 MRCC (GMRCC+SRCC) (under M-Duration Approach) <= 65 Crore
4 Total Investments in Corporate Bonds <= 23%
5 Total Investments in PSU Taxable Bonds <= 5%
6 Total Investments in Tier II Bank Bonds <= 1%
7 Total Investments in GOI Bonds <= 67%
8 Total Investments in SDL <= 4%

9 Investment in Single Corporate Bond >= 0.5%, but <=10% of Total Investments
10 Investment in Single PSU Taxable Bond >= 0.25% of Total Investments
11 Investment in Single Tier II Bank Bond >= 0.1% of Total Investments
12 Investment in Single GOI Bond >= 5% of Total Investments
13 Investment in Single SDL >= 0.5% of Total Investments
14 Total Investments = 100%
 MATURITY Coupon MARKET_VALUE (April Proportion to Total
BOOKVALUE RATING
DATE Rate (%) 1 2015) Portfolio

98994266.00 18-Sep-18 A 12.75% 105750240.70 0.6977%

70000000.00 27-May-16 A+ 12.50% 71016120.98 0.4685%
100000000.00 18-Mar-20 A+ 11% 104856529.40 0.6918%
99530000.00 11-Mar-20 AA 11% 107357041.80 0.7083%
99650000.00 26-Jul-17 AA- 10.75% 102495037.70 0.6762%
150000000.00 16-Jan-18 AA+ 9.50% 152301303.45 1.0048%
99950000.00 24-Jan-23 AAA 9.90% 107808765.10 0.7112%
2466525000.00 16-Jun-24 AAA 9.25% 2640217395.00 17.4183%
99950000.00 20-Feb-18 BBB- 11.25% 99431010.30 0.6560%
100000000.00 30-Dec-16 D 13% 100000000.00 0.6597%
20000000.00 8-Oct-17 A 7.96% 19282188.50 0.1272%
20000000.00 14-Jun-18 A 8.41% 19382897.14 0.1279%
350000000.00 2-Nov-17 AA+ 8.92% 350248582.60 2.3107%
250407750.00 9-Dec-21 AAA 8.55% 252520086.75 1.6660%
100000000.00 11-May-19 AAA 7.70% 98184268.90 0.6478%
50000000.00 14-Dec-22 AA 9.90% 53617695.40 0.3537%
50000000.00 7-May-16 AA 9.10% 50238777.45 0.3314%
20000000.00 20-Apr-17 AAA 9.10% 20293087.96 0.1339%
20000000.00 29-Apr-15 AAA 7.40% 19979521.32 0.1318%
310752500.10 24-Nov-26 8.15% 309600000.00 2.0425%
96050000.00 20-May-23 7.16% 95950000.00 0.6330%
520261119.24 9-Jun-20 8.27% 519248374.00 3.4256%
1015650000.00 2-Aug-22 8.08% 1012937227.00 6.6827%
1498714224.00 2-Jun-28 8.60% 1497405000.00 9.8788%
2984582507.50 30-Sep-30 9.20% 2963230000.00 19.5493%
3891770014.00 25-Nov-23 8.83% 3880315000.00 25.5996%
12070000.00 26-Nov-24 8.45% 12420222.77 0.0819%
31870000.00 26-Nov-24 8.45% 32794739.00 0.2164%
35000000.00 23-Jul-24 8.97% 37202740.37 0.2454%
43790000.00 14-Jan-25 8.13% 44101055.61 0.2909%
71074999.99 14-Jan-25 8.14% 71592103.84 0.4723%
200260000.00 26-Nov-24 8.46% 205935724.40 1.3586%

14976852380.83 15157712737.44 100.00%

1497.685238083 15157712737.44
1515.771273744
 MATURITY MARKET_VALUE (April
BOOKVALUE RATING
DATE 1 2015)

338.4599 359.1233
74.0408 73.9618
14.0000 14.4129
1031.7780 1027.8686
39.4065 40.4047

1497.6852 1515.7713
 Market Risk Capital Charge (under Standard

Proportion to Residual Residual

Market Price
Respective Yield (%) Maturity Mat in SECURITY NAME
(Rs.)
Portfolio (Yrs.) Months

2.9447% 105.7502 10.71% 3.47 41.62 12.75% AU FIN INDIA LIMITED 2018
1.9775% 101.4516 11.09% 1.16 13.87 12.50% MANAPPURAM GEN.FINLEASING
2.9198% 104.8565 9.74% 4.97 59.61 11.00% ACB INDIA LTD 2020
2.9894% 107.3570 9.11% 4.95 59.38 11.00% MAGMA FIN CORP LTD 2020
2.8540% 102.4950 9.51% 2.32 27.85 10.75% SHRIRAM CITY UNION FIN 2017
4.2409% 101.5342 8.86% 2.80 33.57 09.50% TATA CAPITAL FIN SER 2018
3.0020% 107.8088 8.51% 7.82 93.86 09.90% RELIANCE CAPITAL LTD 2023
73.5184% 105.6087 8.36% 9.22 110.60 09.25 % RELIANCE JIO LTD 2024
2.7687% 99.4310 11.48% 2.89 34.72 11.25% MONNET ISPAT ENERGY LTD 18
2.7846% 100.0000 12.97% 1.75 21.01 13.00% CORE EDU TECH LTD
2.6070% 96.4109 9.60% 2.52 30.28 07.96%IFCI2017
2.6207% 96.9145 9.54% 3.21 38.47 08.41%IFCI2018
47.3553% 100.0710 8.88% 2.59 31.10 08.92% HUDCO SERIRES A 2017
34.1420% 101.0080 8.35% 6.70 80.35 08.55 % PFC 2021
13.2750% 98.1843 8.23% 4.11 49.35 07.70%SAIL2019
37.2012% 107.2354 8.59% 7.71 92.52 09.90% ING VYSYA 2022
34.8568% 100.4776 8.62% 1.10 13.22 09.10%YESBANK2016
14.0798% 101.4654 8.30% 2.05 24.66 09.10%KOTAKBANK2017
13.8622% 99.8976 8.63% 0.08 0.92 07.40%CANARABANK2015
3.0121% 103.2000 7.73% 11.66 139.89 08.15 GOI 2026
0.9335% 95.9500 7.84% 8.14 97.68 07.16% GOI 2023
5.0517% 102.1700 7.75% 5.19 62.33 08.27% GOI 2020
9.8547% 101.2937 7.84% 7.34 88.11 08.08%GOI2022
14.5681% 106.9575 7.75% 13.18 158.17 08.60% GOI 2028
28.8289% 111.8200 7.87% 15.51 186.12 09.20% GOI 2030
37.7511% 106.3100 7.81% 8.66 103.89 08.83% GOI 2023
3.0740% 102.9016 8.01% 9.66 115.96 08.45% MADHYA PRADESH SDL 2024
8.1166% 102.9016 8.01% 9.66 115.96 08.45% KARNATAKA SDL 2024
9.2075% 106.2935 8.00% 9.32 111.81 08.97 % KERALA SDL 2024
10.9148% 100.7103 8.02% 9.80 117.57 08.13% MAHARASHTRA SDL 2025
17.7188% 100.7772 8.02% 9.80 117.57 08.14% GUJRAT SDL 2025
50.9683% 102.9679 8.01% 9.66 115.96 08.46% ANDHRA PRADESH SDL 2024

8.1058% Total AFS Portfolio

 Residual Residual
Market Price
Proportion Yield (%) Maturity Mat in SECURITY NAME
(Rs.)
(Yrs.) Months

23.69% 8.82% AFS - Corporate Bonds

4.88% 8.65% AFS - PSU Taxable
0.95% 8.55% AFS - Tier II Bank Bonds
67.81% 7.81% AFS - GOI Bonds (SLR Qualified)
2.67% 8.01% AFS - SDL (SLR Qualified)

100.00% 8.1058% Total AFS Portfolio

ge (under Standard Approach):

General Market Risk Capital Charge Specific Risk Capita

Convexity GMRCC (M-

GMRCC (M- Saving in
Adj. M- Assumed Duration & Term to
M-Duration Duration) GMRCC due
Convexity Duration Change in Convexity) maturity in Band
(%) (Rs. In to
(%) due to Yield (BPS) (Rs. In months
Crore) Convexity
Rise in IR Crore)

2.76 4.91 -2.7129 0.75 0.2191 0.2152 0.0039 41.62 >24

1.01 0.82 -1.0046 0.90 0.0647 0.0642 0.0005 13.87 6-24
3.78 9.12 -3.6908 0.70 0.2776 0.2709 0.0067 59.61 >24
3.79 9.16 -3.6963 0.70 0.2847 0.2778 0.0069 59.38 >24
1.99 2.64 -1.9589 0.80 0.1628 0.1606 0.0022 27.85 >24
2.37 3.67 -2.3363 0.80 0.2891 0.2847 0.0045 33.57 >24
5.39 19.41 -5.1969 0.60 0.3487 0.3362 0.0126 93.86 >24
6.07 25.35 -5.8120 0.60 9.6086 9.2070 0.4016 110.60 >24
2.38 3.69 -2.3443 0.75 0.1776 0.1748 0.0028 34.72 >24
1.48 1.56 -1.4612 0.90 0.1329 0.1315 0.0014 21.01 6-24
2.14 3.11 -2.1075 0.80 0.0330 0.0325 0.0005 30.28 >24
2.67 4.66 -2.6250 0.75 0.0388 0.0382 0.0007 38.47 >24
2.19 3.25 -2.1573 0.80 0.6136 0.6045 0.0091 31.10 >24
4.90 15.88 -4.7455 0.65 0.8050 0.7789 0.0261 80.35 >24
3.35 7.30 -3.2794 0.75 0.2469 0.2415 0.0054 49.35 >24
5.28 18.96 -5.0855 0.60 0.1697 0.1636 0.0061 92.52 >24
0.99 0.78 -0.9852 0.90 0.0449 0.0445 0.0004 13.22 6-24
1.77 2.21 -1.7510 0.80 0.0288 0.0284 0.0004 24.66 >24
0.07 0.02 -0.0733 1.00 0.0015 0.0015 0.0000 0.92 <6
7.31 37.66 -6.9334 0.60 1.3579 1.2880 0.0700 139.89 >24
5.87 22.77 -5.6398 0.60 0.3378 0.3247 0.0131 97.68 >24
4.07 10.72 -3.9651 0.70 1.4801 1.4412 0.0390 62.33 >24
5.40 18.81 -5.2169 0.60 3.2849 3.1706 0.1143 88.11 >24
7.79 43.86 -7.3516 0.60 6.9991 6.6050 0.3941 158.17 >24
8.59 52.75 -8.0603 0.60 15.2686 14.3306 0.9379 186.12 >24
5.90 23.75 -5.6640 0.60 13.7397 13.1869 0.5529 103.89 >24
6.39 28.15 -6.1082 0.60 0.0476 0.0455 0.0021 115.96 >24
6.39 28.15 -6.1082 0.60 0.1257 0.1202 0.0055 115.96 >24
6.25 26.26 -5.9843 0.60 0.1394 0.1336 0.0059 111.81 >24
6.57 29.03 -6.2756 0.60 0.1737 0.1661 0.0077 117.57 >24
6.56 29.02 -6.2741 0.60 0.2820 0.2695 0.0125 117.57 >24
6.39 28.14 -6.1067 0.60 0.7893 0.7546 0.0348 115.96 >24

6.2365 29.2929 57.5720 54.8909 2.6810

 Convexity GMRCC (M-
GMRCC (M- Saving in
Adj. M- Assumed Duration & Term to
M-Duration Duration) GMRCC due
Convexity Duration Change in Convexity) maturity in Band
(%) (Rs. In to
(%) due to Yield (BPS) (Rs. In months
Crore) Convexity
Rise in IR Crore)

5.2102 20.2971 11.5651 11.1222 0.4429

3.2801 8.1313 1.7361 1.6944 0.0417
2.5678 7.6361 0.2448 0.2380 0.0068
6.8518 34.3045 42.4681 40.3470 2.1212
6.4259 28.2208 1.5578 1.4894 0.0684

6.2365 29.2929 57.5720 54.8909 2.6810

Specific Risk Capital Charge Total Capital Charge

Total Capital Total Capital

Charge Charge Alternate Alternate Total
Rating_2 SRCC (%) SRCC (Amt.) (GMRCC+SRC (GMRCC+SRC Method Capital Charge
C) (only M- C) (M-Duration (Total Risk %) (ARCC)
Duration) & Convexity)

A 1.80 1903504 0.4094 0.4055 4.50 0.4759

A+ 1.14 809584 0.1457 0.1452 4.50 0.3196
A+ 1.80 1887418 0.4663 0.4596 4.50 0.4719
AA 1.80 1932427 0.4779 0.4710 2.70 0.2899
AA- 1.80 1844911 0.3473 0.3451 2.70 0.2767
AA+ 1.80 2741423 0.5633 0.5588 2.70 0.4112
AAA 1.80 1940558 0.5428 0.5302 1.80 0.1941
AAA 1.80 47523913 14.3610 13.9594 1.80 4.7524
BBB- 1.80 1789758 0.3565 0.3538 9.00 0.8949
D 13.50 13500000 1.4829 1.4815 13.50 1.3500
A 1.80 347079 0.0677 0.0672 4.50 0.0868
A 1.80 348892 0.0737 0.0730 4.50 0.0872
AA+ 1.80 6304474 1.2440 1.2349 2.70 0.9457
AAA 1.80 4545362 1.2595 1.2335 1.80 0.4545
AAA 1.80 1767317 0.4236 0.4182 1.80 0.1767
AA 9.00 4825593 0.6523 0.6462 9.00 0.4826
AA 5.65 2838491 0.3287 0.3284 9.00 0.4521
AAA 9.00 1826378 0.2114 0.2111 9.00 0.1826
AAA 1.40 279713 0.0294 0.0294 9.00 0.1798
0.00 0 1.3579 1.2880 1.3579
0.00 0 0.3378 0.3247 0.3378
0.00 0 1.4801 1.4412 1.4801
0.00 0 3.2849 3.1706 3.2849
0.00 0 6.9991 6.6050 6.9991
0.00 0 15.2686 14.3306 15.2686
0.00 0 13.7397 13.1869 13.7397
0.00 0 0.0476 0.0455 0.0476
0.00 0 0.1257 0.1202 0.1257
0.00 0 0.1394 0.1336 0.1394
0.00 0 0.1737 0.1661 0.1737
0.00 0 0.2820 0.2695 0.2820
0.00 0 0.7893 0.7546 0.7893

98956795 67.4676 64.7866 56.5105

2.6810
 Total Capital Total Capital
Charge Charge Alternate Alternate Total
Rating_2 SRCC (%) SRCC (Amt.) (GMRCC+SRC (GMRCC+SRC Method Capital Charge
C) (only M- C) (M-Duration (Total Risk %) (ARCC)
Duration) & Convexity)

75873496 19.1525 18.7095 9.4364

13313124 3.0674 3.0257 1.7509
9770175 1.2218 1.2150 1.2972
0 42.4681 40.3470 42.4681
0 1.5578 1.4894 1.5578

98956795 67.4676 64.7866 56.5105

Charge

MRCC on AFS
MRCC on AFS
Portfolio (only
Portfolio (only
M-Duration &
M-Duration)
Convexity)

0.4759 0.4759
0.3196 0.3196
0.4719 0.4719
0.4779 0.4710
0.3473 0.3451
0.5633 0.5588
0.5428 0.5302
14.3610 13.9594
0.8949 0.8949
1.4829 1.4815
0.0868 0.0868
0.0872 0.0872
1.2440 1.2349
1.2595 1.2335
0.4236 0.4182
0.6523 0.6462
0.4521 0.4521
0.2114 0.2111
0.1798 0.1798
1.3579 1.3579
0.3378 0.3378
1.4801 1.4801
3.2849 3.2849
6.9991 6.9991
15.2686 15.2686
13.7397 13.7397
0.0476 0.0476
0.1257 0.1257
0.1394 0.1394
0.1737 0.1737
0.2820 0.2820
0.7893 0.7893

67.4676 64.7866
 MRCC on AFS
MRCC on AFS
Portfolio (only
Portfolio (only
M-Duration &
M-Duration)
Convexity)

19.1525 18.7095
3.0674 3.0257
1.2972 1.2972
42.4681 42.4681
1.5578 1.5578

67.4676 64.7866
 Date of Original Fixed Income
Portfolio 1-Apr-15

Security and Portfolio Details:

AFS Portfolio:

INSTRUMENT
Sl. No. SECURITY NAME CATAGORY FACEVALUE
TYPE

1 12.75% AU FIN INDIA LIMITED 2018 Bond PVT. CORPORATES 100000000

2 12.50% MANAPPURAM GEN.FINLEASING Bond PVT. CORPORATES 70000000
3 11.00% ACB INDIA LTD 2020 Bond PVT. CORPORATES 100000000
4 11.00% MAGMA FIN CORP LTD 2020 Bond PVT. CORPORATES 100000000
5 10.75% SHRIRAM CITY UNION FIN 2017 Bond PVT. CORPORATES 100000000
6 09.50% TATA CAPITAL FIN SER 2018 Bond PVT. CORPORATES 150000000
7 09.90% RELIANCE CAPITAL LTD 2023 Bond PVT. CORPORATES 100000000
8 09.25 % RELIANCE JIO LTD 2024 Bond PVT. CORPORATES 2500000000
9 11.25% MONNET ISPAT ENERGY LTD 18 Bond PVT. CORPORATES 100000000
10 13.00% CORE EDU TECH LTD Bond PVT. CORPORATES 100000000
11 07.96%IFCI2017 Bond PSU-TAXABLE 20000000
12 08.41%IFCI2018 Bond PSU-TAXABLE 20000000
13 08.92% HUDCO SERIRES A 2017 Bond PSU-TAXABLE 350000000
14 08.55 % PFC 2021 Bond PSU-TAXABLE 250000000
15 07.70%SAIL2019 Bond PSU-TAXABLE 100000000
16 09.90% ING VYSYA 2022 Bond TIER-II BONDS 50000000
17 09.10%YESBANK2016 Bond TIER-II BONDS 50000000
18 09.10%KOTAKBANK2017 Bond TIER-II BONDS 20000000
19 07.40%CANARABANK2015 Bond TIER-II BONDS 20000000
28 08.15 GOI 2026 G-Sec. CENTRAL GOVT. 300000000
29 07.16% GOI 2023 G-Sec. CENTRAL GOVT. 100000000
30 08.27% GOI 2020 G-Sec. CENTRAL GOVT. 508220000
31 08.08%GOI2022 G-Sec. CENTRAL GOVT. 1000000000
32 08.60% GOI 2028 G-Sec. CENTRAL GOVT. 1400000000
33 09.20% GOI 2030 G-Sec. CENTRAL GOVT. 2650000000
34 08.83% GOI 2023 G-Sec. CENTRAL GOVT. 3650000000
35 08.45% MADHYA PRADESH SDL 2024 G-Sec. STATE GOVT. 12070000
36 08.45% KARNATAKA SDL 2024 G-Sec. STATE GOVT. 31870000
37 08.97 % KERALA SDL 2024 G-Sec. STATE GOVT. 35000000
38 08.13% MAHARASHTRA SDL 2025 G-Sec. STATE GOVT. 43790000
39 08.14% GUJRAT SDL 2025 G-Sec. STATE GOVT. 71040000
40 08.46% ANDHRA PRADESH SDL 2024 G-Sec. STATE GOVT. 200000000

Total AFS Portfolio 14301990000.00

1430.199
 INSTRUMENT
SECURITY NAME CATAGORY FACEVALUE
TYPE

AFS - Corporate Bonds 342.0000

AFS - PSU Taxable 74.0000
AFS - Tier II Bank Bonds 14.0000
AFS - GOI Bonds (SLR Qualified) 960.8220
AFS - SDL (SLR Qualified) 39.3770

Total AFS Portfolio 1430.1990

Objective Function:
Maximization of Portfolio Yield

Constraints:
1 Portfolio M-Duration <= 6%
2 Portfolio Convexity >= 25
3 MRCC (Higher of GMRCC+SRCC and ATCC) (under M-Duration Approach) = 70 Crore
4 Total Investments in Corporate Bonds <= 23%
5 Total Investments in PSU Taxable Bonds <= 5%
6 Total Investments in Tier II Bank Bonds <= 1%
7 Total Investments in GOI Bonds <= 67%
8 Total Investments in SDL <= 4%

9 Investment in Single Corporate Bond >= 0.5%, but <=10% of Total Investments
10 Investment in Single PSU Taxable Bond >= 0.25% of Total Investments
11 Investment in Single Tier II Bank Bond >= 0.1% of Total Investments
12 Investment in Single GOI Bond >= 5% of Total Investments
13 Investment in Single SDL >= 0.5% of Total Investments
14 Total Investments = 100%
 MATURITY Coupon MARKET_VALUE (April Proportion to Total
BOOKVALUE RATING
DATE Rate (%) 1 2015) Portfolio

98994266.00 18-Sep-18 A 12.75% 105750240.70 0.6977%

70000000.00 27-May-16 A+ 12.50% 71016120.98 0.4685%
100000000.00 18-Mar-20 A+ 11% 104856529.40 0.6918%
99530000.00 11-Mar-20 AA 11% 107357041.80 0.7083%
99650000.00 26-Jul-17 AA- 10.75% 102495037.70 0.6762%
150000000.00 16-Jan-18 AA+ 9.50% 152301303.45 1.0048%
99950000.00 24-Jan-23 AAA 9.90% 107808765.10 0.7112%
2466525000.00 16-Jun-24 AAA 9.25% 2640217395.00 17.4183%
99950000.00 20-Feb-18 BBB- 11.25% 99431010.30 0.6560%
100000000.00 30-Dec-16 D 13% 100000000.00 0.6597%
20000000.00 8-Oct-17 A 7.96% 19282188.50 0.1272%
20000000.00 14-Jun-18 A 8.41% 19382897.14 0.1279%
350000000.00 2-Nov-17 AA+ 8.92% 350248582.60 2.3107%
250407750.00 9-Dec-21 AAA 8.55% 252520086.75 1.6660%
100000000.00 11-May-19 AAA 7.70% 98184268.90 0.6478%
50000000.00 14-Dec-22 AA 9.90% 53617695.40 0.3537%
50000000.00 7-May-16 AA 9.10% 50238777.45 0.3314%
20000000.00 20-Apr-17 AAA 9.10% 20293087.96 0.1339%
20000000.00 29-Apr-15 AAA 7.40% 19979521.32 0.1318%
310752500.10 24-Nov-26 8.15% 309600000.00 2.0425%
96050000.00 20-May-23 7.16% 95950000.00 0.6330%
520261119.24 9-Jun-20 8.27% 519248374.00 3.4256%
1015650000.00 2-Aug-22 8.08% 1012937227.00 6.6827%
1498714224.00 2-Jun-28 8.60% 1497405000.00 9.8788%
2984582507.50 30-Sep-30 9.20% 2963230000.00 19.5493%
3891770014.00 25-Nov-23 8.83% 3880315000.00 25.5996%
12070000.00 26-Nov-24 8.45% 12420222.77 0.0819%
31870000.00 26-Nov-24 8.45% 32794739.00 0.2164%
35000000.00 23-Jul-24 8.97% 37202740.37 0.2454%
43790000.00 14-Jan-25 8.13% 44101055.61 0.2909%
71074999.99 14-Jan-25 8.14% 71592103.84 0.4723%
200260000.00 26-Nov-24 8.46% 205935724.40 1.3586%

14976852380.83 15157712737.44 100.00%

1497.685238083 15157712737.44
1515.771273744
 MATURITY MARKET_VALUE (April
BOOKVALUE RATING
DATE 1 2015)

338.4599 359.1233
74.0408 73.9618
14.0000 14.4129
1031.7780 1027.8686
39.4065 40.4047

1497.6852 1515.7713

ach) = 70 Crore
 Market Risk Capital Charge (under Standard

Proportion to Residual Residual

Market Price
Respective Yield (%) Maturity Mat in SECURITY NAME
(Rs.)
Portfolio (Yrs.) Months

2.9447% 105.7502 10.71% 3.47 41.62 12.75% AU FIN INDIA LIMITED 2018
1.9775% 101.4516 11.09% 1.16 13.87 12.50% MANAPPURAM GEN.FINLEASING
2.9198% 104.8565 9.74% 4.97 59.61 11.00% ACB INDIA LTD 2020
2.9894% 107.3570 9.11% 4.95 59.38 11.00% MAGMA FIN CORP LTD 2020
2.8540% 102.4950 9.51% 2.32 27.85 10.75% SHRIRAM CITY UNION FIN 2017
4.2409% 101.5342 8.86% 2.80 33.57 09.50% TATA CAPITAL FIN SER 2018
3.0020% 107.8088 8.51% 7.82 93.86 09.90% RELIANCE CAPITAL LTD 2023
73.5184% 105.6087 8.36% 9.22 110.60 09.25 % RELIANCE JIO LTD 2024
2.7687% 99.4310 11.48% 2.89 34.72 11.25% MONNET ISPAT ENERGY LTD 18
2.7846% 100.0000 12.97% 1.75 21.01 13.00% CORE EDU TECH LTD
2.6070% 96.4109 9.60% 2.52 30.28 07.96%IFCI2017
2.6207% 96.9145 9.54% 3.21 38.47 08.41%IFCI2018
47.3553% 100.0710 8.88% 2.59 31.10 08.92% HUDCO SERIRES A 2017
34.1420% 101.0080 8.35% 6.70 80.35 08.55 % PFC 2021
13.2750% 98.1843 8.23% 4.11 49.35 07.70%SAIL2019
37.2012% 107.2354 8.59% 7.71 92.52 09.90% ING VYSYA 2022
34.8568% 100.4776 8.62% 1.10 13.22 09.10%YESBANK2016
14.0798% 101.4654 8.30% 2.05 24.66 09.10%KOTAKBANK2017
13.8622% 99.8976 8.63% 0.08 0.92 07.40%CANARABANK2015
3.0121% 103.2000 7.73% 11.66 139.89 08.15 GOI 2026
0.9335% 95.9500 7.84% 8.14 97.68 07.16% GOI 2023
5.0517% 102.1700 7.75% 5.19 62.33 08.27% GOI 2020
9.8547% 101.2937 7.84% 7.34 88.11 08.08%GOI2022
14.5681% 106.9575 7.75% 13.18 158.17 08.60% GOI 2028
28.8289% 111.8200 7.87% 15.51 186.12 09.20% GOI 2030
37.7511% 106.3100 7.81% 8.66 103.89 08.83% GOI 2023
3.0740% 102.9016 8.01% 9.66 115.96 08.45% MADHYA PRADESH SDL 2024
8.1166% 102.9016 8.01% 9.66 115.96 08.45% KARNATAKA SDL 2024
9.2075% 106.2935 8.00% 9.32 111.81 08.97 % KERALA SDL 2024
10.9148% 100.7103 8.02% 9.80 117.57 08.13% MAHARASHTRA SDL 2025
17.7188% 100.7772 8.02% 9.80 117.57 08.14% GUJRAT SDL 2025
50.9683% 102.9679 8.01% 9.66 115.96 08.46% ANDHRA PRADESH SDL 2024

8.1058% Total AFS Portfolio

 Residual Residual
Market Price
Proportion Yield (%) Maturity Mat in SECURITY NAME
(Rs.)
(Yrs.) Months

23.69% 8.82% AFS - Corporate Bonds

4.88% 8.65% AFS - PSU Taxable
0.95% 8.55% AFS - Tier II Bank Bonds
67.81% 7.81% AFS - GOI Bonds (SLR Qualified)
2.67% 8.01% AFS - SDL (SLR Qualified)

100.00% 8.1058% Total AFS Portfolio

ge (under Standard Approach):

General Market Risk Capital Charge Specific Risk Capita

Convexity GMRCC (M-

GMRCC (M- Saving in
Adj. M- Assumed Duration & Term to
M-Duration Duration) GMRCC due
Convexity Duration Change in Convexity) maturity in Band
(%) (Rs. In to
(%) due to Yield (BPS) (Rs. In months
Crore) Convexity
Rise in IR Crore)

2.76 4.91 -2.7129 0.75 0.2191 0.2152 0.0039 41.62 >24

1.01 0.82 -1.0046 0.90 0.0647 0.0642 0.0005 13.87 6-24
3.78 9.12 -3.6908 0.70 0.2776 0.2709 0.0067 59.61 >24
3.79 9.16 -3.6963 0.70 0.2847 0.2778 0.0069 59.38 >24
1.99 2.64 -1.9589 0.80 0.1628 0.1606 0.0022 27.85 >24
2.37 3.67 -2.3363 0.80 0.2891 0.2847 0.0045 33.57 >24
5.39 19.41 -5.1969 0.60 0.3487 0.3362 0.0126 93.86 >24
6.07 25.35 -5.8120 0.60 9.6086 9.2070 0.4016 110.60 >24
2.38 3.69 -2.3443 0.75 0.1776 0.1748 0.0028 34.72 >24
1.48 1.56 -1.4612 0.90 0.1329 0.1315 0.0014 21.01 6-24
2.14 3.11 -2.1075 0.80 0.0330 0.0325 0.0005 30.28 >24
2.67 4.66 -2.6250 0.75 0.0388 0.0382 0.0007 38.47 >24
2.19 3.25 -2.1573 0.80 0.6136 0.6045 0.0091 31.10 >24
4.90 15.88 -4.7455 0.65 0.8050 0.7789 0.0261 80.35 >24
3.35 7.30 -3.2794 0.75 0.2469 0.2415 0.0054 49.35 >24
5.28 18.96 -5.0855 0.60 0.1697 0.1636 0.0061 92.52 >24
0.99 0.78 -0.9852 0.90 0.0449 0.0445 0.0004 13.22 6-24
1.77 2.21 -1.7510 0.80 0.0288 0.0284 0.0004 24.66 >24
0.07 0.02 -0.0733 1.00 0.0015 0.0015 0.0000 0.92 <6
7.31 37.66 -6.9334 0.60 1.3579 1.2880 0.0700 139.89 >24
5.87 22.77 -5.6398 0.60 0.3378 0.3247 0.0131 97.68 >24
4.07 10.72 -3.9651 0.70 1.4801 1.4412 0.0390 62.33 >24
5.40 18.81 -5.2169 0.60 3.2849 3.1706 0.1143 88.11 >24
7.79 43.86 -7.3516 0.60 6.9991 6.6050 0.3941 158.17 >24
8.59 52.75 -8.0603 0.60 15.2686 14.3306 0.9379 186.12 >24
5.90 23.75 -5.6640 0.60 13.7397 13.1869 0.5529 103.89 >24
6.39 28.15 -6.1082 0.60 0.0476 0.0455 0.0021 115.96 >24
6.39 28.15 -6.1082 0.60 0.1257 0.1202 0.0055 115.96 >24
6.25 26.26 -5.9843 0.60 0.1394 0.1336 0.0059 111.81 >24
6.57 29.03 -6.2756 0.60 0.1737 0.1661 0.0077 117.57 >24
6.56 29.02 -6.2741 0.60 0.2820 0.2695 0.0125 117.57 >24
6.39 28.14 -6.1067 0.60 0.7893 0.7546 0.0348 115.96 >24

6.2365 29.2929 57.5720 54.8909 2.6810

 Convexity GMRCC (M-
GMRCC (M- Saving in
Adj. M- Assumed Duration & Term to
M-Duration Duration) GMRCC due
Convexity Duration Change in Convexity) maturity in Band
(%) (Rs. In to
(%) due to Yield (BPS) (Rs. In months
Crore) Convexity
Rise in IR Crore)

5.2102 20.2971 11.5651 11.1222 0.4429

3.2801 8.1313 1.7361 1.6944 0.0417
2.5678 7.6361 0.2448 0.2380 0.0068
6.8518 34.3045 42.4681 40.3470 2.1212
6.4259 28.2208 1.5578 1.4894 0.0684

6.2365 29.2929 57.5720 54.8909 2.6810

Specific Risk Capital Charge Total Capital Charge

Total Capital Total Capital

Charge Charge Alternate Alternate Total
Rating_2 SRCC (%) SRCC (Amt.) (GMRCC+SRC (GMRCC+SRC Method Capital Charge
C) (only M- C) (M-Duration (Total Risk %) (ARCC)
Duration) & Convexity)

A 1.80 1903504 0.4094 0.4055 4.50 0.4759

A+ 1.14 809584 0.1457 0.1452 4.50 0.3196
A+ 1.80 1887418 0.4663 0.4596 4.50 0.4719
AA 1.80 1932427 0.4779 0.4710 2.70 0.2899
AA- 1.80 1844911 0.3473 0.3451 2.70 0.2767
AA+ 1.80 2741423 0.5633 0.5588 2.70 0.4112
AAA 1.80 1940558 0.5428 0.5302 1.80 0.1941
AAA 1.80 47523913 14.3610 13.9594 1.80 4.7524
BBB- 1.80 1789758 0.3565 0.3538 9.00 0.8949
D 13.50 13500000 1.4829 1.4815 13.50 1.3500
A 1.80 347079 0.0677 0.0672 4.50 0.0868
A 1.80 348892 0.0737 0.0730 4.50 0.0872
AA+ 1.80 6304474 1.2440 1.2349 2.70 0.9457
AAA 1.80 4545362 1.2595 1.2335 1.80 0.4545
AAA 1.80 1767317 0.4236 0.4182 1.80 0.1767
AA 9.00 4825593 0.6523 0.6462 9.00 0.4826
AA 5.65 2838491 0.3287 0.3284 9.00 0.4521
AAA 9.00 1826378 0.2114 0.2111 9.00 0.1826
AAA 1.40 279713 0.0294 0.0294 9.00 0.1798
0.00 0 1.3579 1.2880 1.3579
0.00 0 0.3378 0.3247 0.3378
0.00 0 1.4801 1.4412 1.4801
0.00 0 3.2849 3.1706 3.2849
0.00 0 6.9991 6.6050 6.9991
0.00 0 15.2686 14.3306 15.2686
0.00 0 13.7397 13.1869 13.7397
0.00 0 0.0476 0.0455 0.0476
0.00 0 0.1257 0.1202 0.1257
0.00 0 0.1394 0.1336 0.1394
0.00 0 0.1737 0.1661 0.1737
0.00 0 0.2820 0.2695 0.2820
0.00 0 0.7893 0.7546 0.7893

98956795 67.4676 64.7866 56.5105

2.6810
 Total Capital Total Capital
Charge Charge Alternate Alternate Total
Rating_2 SRCC (%) SRCC (Amt.) (GMRCC+SRC (GMRCC+SRC Method Capital Charge
C) (only M- C) (M-Duration (Total Risk %) (ARCC)
Duration) & Convexity)

75873496 19.1525 18.7095 9.4364

13313124 3.0674 3.0257 1.7509
9770175 1.2218 1.2150 1.2972
0 42.4681 40.3470 42.4681
0 1.5578 1.4894 1.5578

98956795 67.4676 64.7866 56.5105

Charge

MRCC on AFS
MRCC on AFS
Portfolio (only
Portfolio (only
M-Duration &
M-Duration)
Convexity)

0.4759 0.4759
0.3196 0.3196
0.4719 0.4719
0.4779 0.4710
0.3473 0.3451
0.5633 0.5588
0.5428 0.5302
14.3610 13.9594
0.8949 0.8949
1.4829 1.4815
0.0868 0.0868
0.0872 0.0872
1.2440 1.2349
1.2595 1.2335
0.4236 0.4182
0.6523 0.6462
0.4521 0.4521
0.2114 0.2111
0.1798 0.1798
1.3579 1.3579
0.3378 0.3378
1.4801 1.4801
3.2849 3.2849
6.9991 6.9991
15.2686 15.2686
13.7397 13.7397
0.0476 0.0476
0.1257 0.1257
0.1394 0.1394
0.1737 0.1737
0.2820 0.2820
0.7893 0.7893

67.4676 64.7866
 MRCC on AFS
MRCC on AFS
Portfolio (only
Portfolio (only
M-Duration &
M-Duration)
Convexity)

19.1525 18.7095
3.0674 3.0257
1.2972 1.2972
42.4681 42.4681
1.5578 1.5578

67.4676 64.7866
 Date of Original Fixed Income
Portfolio 1-Apr-15

Security and Portfolio Details:

AFS Portfolio:

INSTRUMENT
Sl. No. SECURITY NAME CATAGORY FACEVALUE
TYPE

1 12.75% AU FIN INDIA LIMITED 2018 Bond PVT. CORPORATES 100000000

2 12.50% MANAPPURAM GEN.FINLEASING Bond PVT. CORPORATES 70000000
3 11.00% ACB INDIA LTD 2020 Bond PVT. CORPORATES 100000000
4 11.00% MAGMA FIN CORP LTD 2020 Bond PVT. CORPORATES 100000000
5 10.75% SHRIRAM CITY UNION FIN 2017 Bond PVT. CORPORATES 100000000
6 09.50% TATA CAPITAL FIN SER 2018 Bond PVT. CORPORATES 150000000
7 09.90% RELIANCE CAPITAL LTD 2023 Bond PVT. CORPORATES 100000000
8 09.25 % RELIANCE JIO LTD 2024 Bond PVT. CORPORATES 2500000000
9 11.25% MONNET ISPAT ENERGY LTD 18 Bond PVT. CORPORATES 100000000
10 13.00% CORE EDU TECH LTD Bond PVT. CORPORATES 100000000
11 07.96%IFCI2017 Bond PSU-TAXABLE 20000000
12 08.41%IFCI2018 Bond PSU-TAXABLE 20000000
13 08.92% HUDCO SERIRES A 2017 Bond PSU-TAXABLE 350000000
14 08.55 % PFC 2021 Bond PSU-TAXABLE 250000000
15 07.70%SAIL2019 Bond PSU-TAXABLE 100000000
16 09.90% ING VYSYA 2022 Bond TIER-II BONDS 50000000
17 09.10%YESBANK2016 Bond TIER-II BONDS 50000000
18 09.10%KOTAKBANK2017 Bond TIER-II BONDS 20000000
19 07.40%CANARABANK2015 Bond TIER-II BONDS 20000000
28 08.15 GOI 2026 G-Sec. CENTRAL GOVT. 300000000
29 07.16% GOI 2023 G-Sec. CENTRAL GOVT. 100000000
30 08.27% GOI 2020 G-Sec. CENTRAL GOVT. 508220000
31 08.08%GOI2022 G-Sec. CENTRAL GOVT. 1000000000
32 08.60% GOI 2028 G-Sec. CENTRAL GOVT. 1400000000
33 09.20% GOI 2030 G-Sec. CENTRAL GOVT. 2650000000
34 08.83% GOI 2023 G-Sec. CENTRAL GOVT. 3650000000
35 08.45% MADHYA PRADESH SDL 2024 G-Sec. STATE GOVT. 12070000
36 08.45% KARNATAKA SDL 2024 G-Sec. STATE GOVT. 31870000
37 08.97 % KERALA SDL 2024 G-Sec. STATE GOVT. 35000000
38 08.13% MAHARASHTRA SDL 2025 G-Sec. STATE GOVT. 43790000
39 08.14% GUJRAT SDL 2025 G-Sec. STATE GOVT. 71040000
40 08.46% ANDHRA PRADESH SDL 2024 G-Sec. STATE GOVT. 200000000

Total AFS Portfolio 14301990000.00

1430.199
 INSTRUMENT
SECURITY NAME CATAGORY FACEVALUE
TYPE

AFS - Corporate Bonds 342.0000

AFS - PSU Taxable 74.0000
AFS - Tier II Bank Bonds 14.0000
AFS - GOI Bonds (SLR Qualified) 960.8220
AFS - SDL (SLR Qualified) 39.3770

Total AFS Portfolio 1430.1990

Objective Function:
Minimization of MRCC (Higher of GMRCC+SRCC and ATCC) (under M-Duration Approach)

Constraints:
1 Portfolio Yield >= 8%
2 Portfolio M-Duration <= 6%
3 Portfolio Convexity >= 20
4 Total Investments in Corporate Bonds <= 23%
5 Total Investments in PSU Taxable Bonds <= 5%
6 Total Investments in Tier II Bank Bonds <= 1%
7 Total Investments in GOI Bonds <= 67%
8 Total Investments in SDL <= 4%

9 Investment in Single Corporate Bond >= 0.5%, but <=10% of Total Investments
10 Investment in Single PSU Taxable Bond >= 0.25% of Total Investments
11 Investment in Single Tier II Bank Bond >= 0.1% of Total Investments
12 Investment in Single GOI Bond >= 5% of Total Investments
13 Investment in Single SDL >= 0.5% of Total Investments
14 Total Investments = 100%
 MATURITY Coupon MARKET_VALUE (April Proportion to Total
BOOKVALUE RATING
DATE Rate (%) 1 2015) Portfolio

98994266.00 18-Sep-18 A 12.75% 105750240.70 0.6977%

70000000.00 27-May-16 A+ 12.50% 71016120.98 0.4685%
100000000.00 18-Mar-20 A+ 11% 104856529.40 0.6918%
99530000.00 11-Mar-20 AA 11% 107357041.80 0.7083%
99650000.00 26-Jul-17 AA- 10.75% 102495037.70 0.6762%
150000000.00 16-Jan-18 AA+ 9.50% 152301303.45 1.0048%
99950000.00 24-Jan-23 AAA 9.90% 107808765.10 0.7112%
2466525000.00 16-Jun-24 AAA 9.25% 2640217395.00 17.4183%
99950000.00 20-Feb-18 BBB- 11.25% 99431010.30 0.6560%
100000000.00 30-Dec-16 D 13% 100000000.00 0.6597%
20000000.00 8-Oct-17 A 7.96% 19282188.50 0.1272%
20000000.00 14-Jun-18 A 8.41% 19382897.14 0.1279%
350000000.00 2-Nov-17 AA+ 8.92% 350248582.60 2.3107%
250407750.00 9-Dec-21 AAA 8.55% 252520086.75 1.6660%
100000000.00 11-May-19 AAA 7.70% 98184268.90 0.6478%
50000000.00 14-Dec-22 AA 9.90% 53617695.40 0.3537%
50000000.00 7-May-16 AA 9.10% 50238777.45 0.3314%
20000000.00 20-Apr-17 AAA 9.10% 20293087.96 0.1339%
20000000.00 29-Apr-15 AAA 7.40% 19979521.32 0.1318%
310752500.10 24-Nov-26 8.15% 309600000.00 2.0425%
96050000.00 20-May-23 7.16% 95950000.00 0.6330%
520261119.24 9-Jun-20 8.27% 519248374.00 3.4256%
1015650000.00 2-Aug-22 8.08% 1012937227.00 6.6827%
1498714224.00 2-Jun-28 8.60% 1497405000.00 9.8788%
2984582507.50 30-Sep-30 9.20% 2963230000.00 19.5493%
3891770014.00 25-Nov-23 8.83% 3880315000.00 25.5996%
12070000.00 26-Nov-24 8.45% 12420222.77 0.0819%
31870000.00 26-Nov-24 8.45% 32794739.00 0.2164%
35000000.00 23-Jul-24 8.97% 37202740.37 0.2454%
43790000.00 14-Jan-25 8.13% 44101055.61 0.2909%
71074999.99 14-Jan-25 8.14% 71592103.84 0.4723%
200260000.00 26-Nov-24 8.46% 205935724.40 1.3586%

14976852380.83 15157712737.44 100.00%

1497.685238083 15157712737.44
1515.771273744
 MATURITY MARKET_VALUE (April
BOOKVALUE RATING
DATE 1 2015)

338.4599 359.1233
74.0408 73.9618
14.0000 14.4129
1031.7780 1027.8686
39.4065 40.4047

1497.6852 1515.7713

Duration Approach)
 Market Risk Capital Charge (under Standard

Proportion to Residual Residual

Market Price
Respective Yield (%) Maturity Mat in SECURITY NAME
(Rs.)
Portfolio (Yrs.) Months

2.9447% 105.7502 10.71% 3.47 41.62 12.75% AU FIN INDIA LIMITED 2018
1.9775% 101.4516 11.09% 1.16 13.87 12.50% MANAPPURAM GEN.FINLEASING
2.9198% 104.8565 9.74% 4.97 59.61 11.00% ACB INDIA LTD 2020
2.9894% 107.3570 9.11% 4.95 59.38 11.00% MAGMA FIN CORP LTD 2020
2.8540% 102.4950 9.51% 2.32 27.85 10.75% SHRIRAM CITY UNION FIN 2017
4.2409% 101.5342 8.86% 2.80 33.57 09.50% TATA CAPITAL FIN SER 2018
3.0020% 107.8088 8.51% 7.82 93.86 09.90% RELIANCE CAPITAL LTD 2023
73.5184% 105.6087 8.36% 9.22 110.60 09.25 % RELIANCE JIO LTD 2024
2.7687% 99.4310 11.48% 2.89 34.72 11.25% MONNET ISPAT ENERGY LTD 18
2.7846% 100.0000 12.97% 1.75 21.01 13.00% CORE EDU TECH LTD
2.6070% 96.4109 9.60% 2.52 30.28 07.96%IFCI2017
2.6207% 96.9145 9.54% 3.21 38.47 08.41%IFCI2018
47.3553% 100.0710 8.88% 2.59 31.10 08.92% HUDCO SERIRES A 2017
34.1420% 101.0080 8.35% 6.70 80.35 08.55 % PFC 2021
13.2750% 98.1843 8.23% 4.11 49.35 07.70%SAIL2019
37.2012% 107.2354 8.59% 7.71 92.52 09.90% ING VYSYA 2022
34.8568% 100.4776 8.62% 1.10 13.22 09.10%YESBANK2016
14.0798% 101.4654 8.30% 2.05 24.66 09.10%KOTAKBANK2017
13.8622% 99.8976 8.63% 0.08 0.92 07.40%CANARABANK2015
3.0121% 103.2000 7.73% 11.66 139.89 08.15 GOI 2026
0.9335% 95.9500 7.84% 8.14 97.68 07.16% GOI 2023
5.0517% 102.1700 7.75% 5.19 62.33 08.27% GOI 2020
9.8547% 101.2937 7.84% 7.34 88.11 08.08%GOI2022
14.5681% 106.9575 7.75% 13.18 158.17 08.60% GOI 2028
28.8289% 111.8200 7.87% 15.51 186.12 09.20% GOI 2030
37.7511% 106.3100 7.81% 8.66 103.89 08.83% GOI 2023
3.0740% 102.9016 8.01% 9.66 115.96 08.45% MADHYA PRADESH SDL 2024
8.1166% 102.9016 8.01% 9.66 115.96 08.45% KARNATAKA SDL 2024
9.2075% 106.2935 8.00% 9.32 111.81 08.97 % KERALA SDL 2024
10.9148% 100.7103 8.02% 9.80 117.57 08.13% MAHARASHTRA SDL 2025
17.7188% 100.7772 8.02% 9.80 117.57 08.14% GUJRAT SDL 2025
50.9683% 102.9679 8.01% 9.66 115.96 08.46% ANDHRA PRADESH SDL 2024

8.1058% Total AFS Portfolio

 Residual Residual
Market Price
Proportion Yield (%) Maturity Mat in SECURITY NAME
(Rs.)
(Yrs.) Months

23.69% 8.82% AFS - Corporate Bonds

4.88% 8.65% AFS - PSU Taxable
0.95% 8.55% AFS - Tier II Bank Bonds
67.81% 7.81% AFS - GOI Bonds (SLR Qualified)
2.67% 8.01% AFS - SDL (SLR Qualified)

100.00% 8.1058% Total AFS Portfolio

ge (under Standard Approach):

General Market Risk Capital Charge Specific Risk Capita

Convexity GMRCC (M-

GMRCC (M- Saving in
Adj. M- Assumed Duration & Term to
M-Duration Duration) GMRCC due
Convexity Duration Change in Convexity) maturity in Band
(%) (Rs. In to
(%) due to Yield (BPS) (Rs. In months
Crore) Convexity
Rise in IR Crore)

2.76 4.91 -2.7129 0.75 0.2191 0.2152 0.0039 41.62 >24

1.01 0.82 -1.0046 0.90 0.0647 0.0642 0.0005 13.87 6-24
3.78 9.12 -3.6908 0.70 0.2776 0.2709 0.0067 59.61 >24
3.79 9.16 -3.6963 0.70 0.2847 0.2778 0.0069 59.38 >24
1.99 2.64 -1.9589 0.80 0.1628 0.1606 0.0022 27.85 >24
2.37 3.67 -2.3363 0.80 0.2891 0.2847 0.0045 33.57 >24
5.39 19.41 -5.1969 0.60 0.3487 0.3362 0.0126 93.86 >24
6.07 25.35 -5.8120 0.60 9.6086 9.2070 0.4016 110.60 >24
2.38 3.69 -2.3443 0.75 0.1776 0.1748 0.0028 34.72 >24
1.48 1.56 -1.4612 0.90 0.1329 0.1315 0.0014 21.01 6-24
2.14 3.11 -2.1075 0.80 0.0330 0.0325 0.0005 30.28 >24
2.67 4.66 -2.6250 0.75 0.0388 0.0382 0.0007 38.47 >24
2.19 3.25 -2.1573 0.80 0.6136 0.6045 0.0091 31.10 >24
4.90 15.88 -4.7455 0.65 0.8050 0.7789 0.0261 80.35 >24
3.35 7.30 -3.2794 0.75 0.2469 0.2415 0.0054 49.35 >24
5.28 18.96 -5.0855 0.60 0.1697 0.1636 0.0061 92.52 >24
0.99 0.78 -0.9852 0.90 0.0449 0.0445 0.0004 13.22 6-24
1.77 2.21 -1.7510 0.80 0.0288 0.0284 0.0004 24.66 >24
0.07 0.02 -0.0733 1.00 0.0015 0.0015 0.0000 0.92 <6
7.31 37.66 -6.9334 0.60 1.3579 1.2880 0.0700 139.89 >24
5.87 22.77 -5.6398 0.60 0.3378 0.3247 0.0131 97.68 >24
4.07 10.72 -3.9651 0.70 1.4801 1.4412 0.0390 62.33 >24
5.40 18.81 -5.2169 0.60 3.2849 3.1706 0.1143 88.11 >24
7.79 43.86 -7.3516 0.60 6.9991 6.6050 0.3941 158.17 >24
8.59 52.75 -8.0603 0.60 15.2686 14.3306 0.9379 186.12 >24
5.90 23.75 -5.6640 0.60 13.7397 13.1869 0.5529 103.89 >24
6.39 28.15 -6.1082 0.60 0.0476 0.0455 0.0021 115.96 >24
6.39 28.15 -6.1082 0.60 0.1257 0.1202 0.0055 115.96 >24
6.25 26.26 -5.9843 0.60 0.1394 0.1336 0.0059 111.81 >24
6.57 29.03 -6.2756 0.60 0.1737 0.1661 0.0077 117.57 >24
6.56 29.02 -6.2741 0.60 0.2820 0.2695 0.0125 117.57 >24
6.39 28.14 -6.1067 0.60 0.7893 0.7546 0.0348 115.96 >24

6.2365 29.2929 57.5720 54.8909 2.6810

 Convexity GMRCC (M-
GMRCC (M- Saving in
Adj. M- Assumed Duration & Term to
M-Duration Duration) GMRCC due
Convexity Duration Change in Convexity) maturity in Band
(%) (Rs. In to
(%) due to Yield (BPS) (Rs. In months
Crore) Convexity
Rise in IR Crore)

5.2102 20.2971 11.5651 11.1222 0.4429

3.2801 8.1313 1.7361 1.6944 0.0417
2.5678 7.6361 0.2448 0.2380 0.0068
6.8518 34.3045 42.4681 40.3470 2.1212
6.4259 28.2208 1.5578 1.4894 0.0684

6.2365 29.2929 57.5720 54.8909 2.6810

Specific Risk Capital Charge Total Capital Charge

Total Capital Total Capital

Charge Charge Alternate Alternate Total
Rating_2 SRCC (%) SRCC (Amt.) (GMRCC+SRC (GMRCC+SRC Method Capital Charge
C) (only M- C) (M-Duration (Total Risk %) (ARCC)
Duration) & Convexity)

A 1.80 1903504 0.4094 0.4055 4.50 0.4759

A+ 1.14 809584 0.1457 0.1452 4.50 0.3196
A+ 1.80 1887418 0.4663 0.4596 4.50 0.4719
AA 1.80 1932427 0.4779 0.4710 2.70 0.2899
AA- 1.80 1844911 0.3473 0.3451 2.70 0.2767
AA+ 1.80 2741423 0.5633 0.5588 2.70 0.4112
AAA 1.80 1940558 0.5428 0.5302 1.80 0.1941
AAA 1.80 47523913 14.3610 13.9594 1.80 4.7524
BBB- 1.80 1789758 0.3565 0.3538 9.00 0.8949
D 13.50 13500000 1.4829 1.4815 13.50 1.3500
A 1.80 347079 0.0677 0.0672 4.50 0.0868
A 1.80 348892 0.0737 0.0730 4.50 0.0872
AA+ 1.80 6304474 1.2440 1.2349 2.70 0.9457
AAA 1.80 4545362 1.2595 1.2335 1.80 0.4545
AAA 1.80 1767317 0.4236 0.4182 1.80 0.1767
AA 9.00 4825593 0.6523 0.6462 9.00 0.4826
AA 5.65 2838491 0.3287 0.3284 9.00 0.4521
AAA 9.00 1826378 0.2114 0.2111 9.00 0.1826
AAA 1.40 279713 0.0294 0.0294 9.00 0.1798
0.00 0 1.3579 1.2880 1.3579
0.00 0 0.3378 0.3247 0.3378
0.00 0 1.4801 1.4412 1.4801
0.00 0 3.2849 3.1706 3.2849
0.00 0 6.9991 6.6050 6.9991
0.00 0 15.2686 14.3306 15.2686
0.00 0 13.7397 13.1869 13.7397
0.00 0 0.0476 0.0455 0.0476
0.00 0 0.1257 0.1202 0.1257
0.00 0 0.1394 0.1336 0.1394
0.00 0 0.1737 0.1661 0.1737
0.00 0 0.2820 0.2695 0.2820
0.00 0 0.7893 0.7546 0.7893

98956795 67.4676 64.7866 56.5105

2.6810
 Total Capital Total Capital
Charge Charge Alternate Alternate Total
Rating_2 SRCC (%) SRCC (Amt.) (GMRCC+SRC (GMRCC+SRC Method Capital Charge
C) (only M- C) (M-Duration (Total Risk %) (ARCC)
Duration) & Convexity)

75873496 19.1525 18.7095 9.4364

13313124 3.0674 3.0257 1.7509
9770175 1.2218 1.2150 1.2972
0 42.4681 40.3470 42.4681
0 1.5578 1.4894 1.5578

98956795 67.4676 64.7866 56.5105

Charge

MRCC on AFS
MRCC on AFS
Portfolio (only
Portfolio (only
M-Duration &
M-Duration)
Convexity)

0.4759 0.4759
0.3196 0.3196
0.4719 0.4719
0.4779 0.4710
0.3473 0.3451
0.5633 0.5588
0.5428 0.5302
14.3610 13.9594
0.8949 0.8949
1.4829 1.4815
0.0868 0.0868
0.0872 0.0872
1.2440 1.2349
1.2595 1.2335
0.4236 0.4182
0.6523 0.6462
0.4521 0.4521
0.2114 0.2111
0.1798 0.1798
1.3579 1.3579
0.3378 0.3378
1.4801 1.4801
3.2849 3.2849
6.9991 6.9991
15.2686 15.2686
13.7397 13.7397
0.0476 0.0476
0.1257 0.1257
0.1394 0.1394
0.1737 0.1737
0.2820 0.2820
0.7893 0.7893

67.4676 64.7866
 MRCC on AFS
MRCC on AFS
Portfolio (only
Portfolio (only
M-Duration &
M-Duration)
Convexity)

19.1525 18.7095
3.0674 3.0257
1.2972 1.2972
42.4681 42.4681
1.5578 1.5578

67.4676 64.7866
 Date of Original Fixed Income
Portfolio 1-Apr-15

Security and Portfolio Details:

AFS Portfolio:

INSTRUMENT
Sl. No. SECURITY NAME CATAGORY FACEVALUE
TYPE

1 12.75% AU FIN INDIA LIMITED 2018 Bond PVT. CORPORATES 100000000

2 12.50% MANAPPURAM GEN.FINLEASING Bond PVT. CORPORATES 70000000
3 11.00% ACB INDIA LTD 2020 Bond PVT. CORPORATES 100000000
4 11.00% MAGMA FIN CORP LTD 2020 Bond PVT. CORPORATES 100000000
5 10.75% SHRIRAM CITY UNION FIN 2017 Bond PVT. CORPORATES 100000000
6 09.50% TATA CAPITAL FIN SER 2018 Bond PVT. CORPORATES 150000000
7 09.90% RELIANCE CAPITAL LTD 2023 Bond PVT. CORPORATES 100000000
8 09.25 % RELIANCE JIO LTD 2024 Bond PVT. CORPORATES 2500000000
9 11.25% MONNET ISPAT ENERGY LTD 18 Bond PVT. CORPORATES 100000000
10 13.00% CORE EDU TECH LTD Bond PVT. CORPORATES 100000000
11 07.96%IFCI2017 Bond PSU-TAXABLE 20000000
12 08.41%IFCI2018 Bond PSU-TAXABLE 20000000
13 08.92% HUDCO SERIRES A 2017 Bond PSU-TAXABLE 350000000
14 08.55 % PFC 2021 Bond PSU-TAXABLE 250000000
15 07.70%SAIL2019 Bond PSU-TAXABLE 100000000
16 09.90% ING VYSYA 2022 Bond TIER-II BONDS 50000000
17 09.10%YESBANK2016 Bond TIER-II BONDS 50000000
18 09.10%KOTAKBANK2017 Bond TIER-II BONDS 20000000
19 07.40%CANARABANK2015 Bond TIER-II BONDS 20000000
28 08.15 GOI 2026 G-Sec. CENTRAL GOVT. 300000000
29 07.16% GOI 2023 G-Sec. CENTRAL GOVT. 100000000
30 08.27% GOI 2020 G-Sec. CENTRAL GOVT. 508220000
31 08.08%GOI2022 G-Sec. CENTRAL GOVT. 1000000000
32 08.60% GOI 2028 G-Sec. CENTRAL GOVT. 1400000000
33 09.20% GOI 2030 G-Sec. CENTRAL GOVT. 2650000000
34 08.83% GOI 2023 G-Sec. CENTRAL GOVT. 3650000000
35 08.45% MADHYA PRADESH SDL 2024 G-Sec. STATE GOVT. 12070000
36 08.45% KARNATAKA SDL 2024 G-Sec. STATE GOVT. 31870000
37 08.97 % KERALA SDL 2024 G-Sec. STATE GOVT. 35000000
38 08.13% MAHARASHTRA SDL 2025 G-Sec. STATE GOVT. 43790000
39 08.14% GUJRAT SDL 2025 G-Sec. STATE GOVT. 71040000
40 08.46% ANDHRA PRADESH SDL 2024 G-Sec. STATE GOVT. 200000000

Total AFS Portfolio 14301990000.00

1430.199
 INSTRUMENT
SECURITY NAME CATAGORY FACEVALUE
TYPE

AFS - Corporate Bonds 342.0000

AFS - PSU Taxable 74.0000
AFS - Tier II Bank Bonds 14.0000
AFS - GOI Bonds (SLR Qualified) 960.8220
AFS - SDL (SLR Qualified) 39.3770

Total AFS Portfolio 1430.1990

Objective Function:
Minimization of MRCC (Higher of GMRCC+SRCC and ATCC) (under M-Duration Approach)

Constraints:
1 Portfolio Yield >= 8%
2 Portfolio M-Duration <= 6%
3 Portfolio Convexity >= 20
4 Total Investments in Corporate Bonds <= 10%
5 Total Investments in PSU Taxable Bonds <= 5%
6 Total Investments in Tier II Bank Bonds <= 1%
7 Total Investments in GOI Bonds <= 60%
8 Total Investments in SDL <= 4%

9 Investment in Single Corporate Bond >= 0.5%, but <=10% of Total Investments
10 Investment in Single PSU Taxable Bond >= 0.25% of Total Investments
11 Investment in Single Tier II Bank Bond >= 0.1% of Total Investments
12 Investment in Single GOI Bond >= 5% of Total Investments
13 Investment in Single SDL >= 0.5% of Total Investments
14 Total Investments = 100%
 MATURITY Coupon MARKET_VALUE (April Proportion to Total
BOOKVALUE RATING
DATE Rate (%) 1 2015) Portfolio

98994266.00 18-Sep-18 A 12.75% 105750240.70 0.6977%

70000000.00 27-May-16 A+ 12.50% 71016120.98 0.4685%
100000000.00 18-Mar-20 A+ 11% 104856529.40 0.6918%
99530000.00 11-Mar-20 AA 11% 107357041.80 0.7083%
99650000.00 26-Jul-17 AA- 10.75% 102495037.70 0.6762%
150000000.00 16-Jan-18 AA+ 9.50% 152301303.45 1.0048%
99950000.00 24-Jan-23 AAA 9.90% 107808765.10 0.7112%
2466525000.00 16-Jun-24 AAA 9.25% 2640217395.00 17.4183%
99950000.00 20-Feb-18 BBB- 11.25% 99431010.30 0.6560%
100000000.00 30-Dec-16 D 13% 100000000.00 0.6597%
20000000.00 8-Oct-17 A 7.96% 19282188.50 0.1272%
20000000.00 14-Jun-18 A 8.41% 19382897.14 0.1279%
350000000.00 2-Nov-17 AA+ 8.92% 350248582.60 2.3107%
250407750.00 9-Dec-21 AAA 8.55% 252520086.75 1.6660%
100000000.00 11-May-19 AAA 7.70% 98184268.90 0.6478%
50000000.00 14-Dec-22 AA 9.90% 53617695.40 0.3537%
50000000.00 7-May-16 AA 9.10% 50238777.45 0.3314%
20000000.00 20-Apr-17 AAA 9.10% 20293087.96 0.1339%
20000000.00 29-Apr-15 AAA 7.40% 19979521.32 0.1318%
310752500.10 24-Nov-26 8.15% 309600000.00 2.0425%
96050000.00 20-May-23 7.16% 95950000.00 0.6330%
520261119.24 9-Jun-20 8.27% 519248374.00 3.4256%
1015650000.00 2-Aug-22 8.08% 1012937227.00 6.6827%
1498714224.00 2-Jun-28 8.60% 1497405000.00 9.8788%
2984582507.50 30-Sep-30 9.20% 2963230000.00 19.5493%
3891770014.00 25-Nov-23 8.83% 3880315000.00 25.5996%
12070000.00 26-Nov-24 8.45% 12420222.77 0.0819%
31870000.00 26-Nov-24 8.45% 32794739.00 0.2164%
35000000.00 23-Jul-24 8.97% 37202740.37 0.2454%
43790000.00 14-Jan-25 8.13% 44101055.61 0.2909%
71074999.99 14-Jan-25 8.14% 71592103.84 0.4723%
200260000.00 26-Nov-24 8.46% 205935724.40 1.3586%

14976852380.83 15157712737.44 100.00%

1497.685238083 15157712737.44
1515.771273744
 MATURITY MARKET_VALUE (April
BOOKVALUE RATING
DATE 1 2015)

338.4599 359.1233
74.0408 73.9618
14.0000 14.4129
1031.7780 1027.8686
39.4065 40.4047

1497.6852 1515.7713

Duration Approach)
 Market Risk Capital Charge (under Standard

Proportion to Residual Residual

Market Price
Respective Yield (%) Maturity Mat in SECURITY NAME
(Rs.)
Portfolio (Yrs.) Months

2.9447% 105.7502 10.71% 3.47 41.62 12.75% AU FIN INDIA LIMITED 2018
1.9775% 101.4516 11.09% 1.16 13.87 12.50% MANAPPURAM GEN.FINLEASING
2.9198% 104.8565 9.74% 4.97 59.61 11.00% ACB INDIA LTD 2020
2.9894% 107.3570 9.11% 4.95 59.38 11.00% MAGMA FIN CORP LTD 2020
2.8540% 102.4950 9.51% 2.32 27.85 10.75% SHRIRAM CITY UNION FIN 2017
4.2409% 101.5342 8.86% 2.80 33.57 09.50% TATA CAPITAL FIN SER 2018
3.0020% 107.8088 8.51% 7.82 93.86 09.90% RELIANCE CAPITAL LTD 2023
73.5184% 105.6087 8.36% 9.22 110.60 09.25 % RELIANCE JIO LTD 2024
2.7687% 99.4310 11.48% 2.89 34.72 11.25% MONNET ISPAT ENERGY LTD 18
2.7846% 100.0000 12.97% 1.75 21.01 13.00% CORE EDU TECH LTD
2.6070% 96.4109 9.60% 2.52 30.28 07.96%IFCI2017
2.6207% 96.9145 9.54% 3.21 38.47 08.41%IFCI2018
47.3553% 100.0710 8.88% 2.59 31.10 08.92% HUDCO SERIRES A 2017
34.1420% 101.0080 8.35% 6.70 80.35 08.55 % PFC 2021
13.2750% 98.1843 8.23% 4.11 49.35 07.70%SAIL2019
37.2012% 107.2354 8.59% 7.71 92.52 09.90% ING VYSYA 2022
34.8568% 100.4776 8.62% 1.10 13.22 09.10%YESBANK2016
14.0798% 101.4654 8.30% 2.05 24.66 09.10%KOTAKBANK2017
13.8622% 99.8976 8.63% 0.08 0.92 07.40%CANARABANK2015
3.0121% 103.2000 7.73% 11.66 139.89 08.15 GOI 2026
0.9335% 95.9500 7.84% 8.14 97.68 07.16% GOI 2023
5.0517% 102.1700 7.75% 5.19 62.33 08.27% GOI 2020
9.8547% 101.2937 7.84% 7.34 88.11 08.08%GOI2022
14.5681% 106.9575 7.75% 13.18 158.17 08.60% GOI 2028
28.8289% 111.8200 7.87% 15.51 186.12 09.20% GOI 2030
37.7511% 106.3100 7.81% 8.66 103.89 08.83% GOI 2023
3.0740% 102.9016 8.01% 9.66 115.96 08.45% MADHYA PRADESH SDL 2024
8.1166% 102.9016 8.01% 9.66 115.96 08.45% KARNATAKA SDL 2024
9.2075% 106.2935 8.00% 9.32 111.81 08.97 % KERALA SDL 2024
10.9148% 100.7103 8.02% 9.80 117.57 08.13% MAHARASHTRA SDL 2025
17.7188% 100.7772 8.02% 9.80 117.57 08.14% GUJRAT SDL 2025
50.9683% 102.9679 8.01% 9.66 115.96 08.46% ANDHRA PRADESH SDL 2024

8.1058% Total AFS Portfolio

 Residual Residual
Market Price
Proportion Yield (%) Maturity Mat in SECURITY NAME
(Rs.)
(Yrs.) Months

23.69% 8.82% AFS - Corporate Bonds

4.88% 8.65% AFS - PSU Taxable
0.95% 8.55% AFS - Tier II Bank Bonds
67.81% 7.81% AFS - GOI Bonds (SLR Qualified)
2.67% 8.01% AFS - SDL (SLR Qualified)

100.00% 8.1058% Total AFS Portfolio

ge (under Standard Approach):

General Market Risk Capital Charge Specific Risk Capita

Convexity GMRCC (M-

GMRCC (M- Saving in
Adj. M- Assumed Duration & Term to
M-Duration Duration) GMRCC due
Convexity Duration Change in Convexity) maturity in Band
(%) (Rs. In to
(%) due to Yield (BPS) (Rs. In months
Crore) Convexity
Rise in IR Crore)

2.76 4.91 -2.7129 0.75 0.2191 0.2152 0.0039 41.62 >24

1.01 0.82 -1.0046 0.90 0.0647 0.0642 0.0005 13.87 6-24
3.78 9.12 -3.6908 0.70 0.2776 0.2709 0.0067 59.61 >24
3.79 9.16 -3.6963 0.70 0.2847 0.2778 0.0069 59.38 >24
1.99 2.64 -1.9589 0.80 0.1628 0.1606 0.0022 27.85 >24
2.37 3.67 -2.3363 0.80 0.2891 0.2847 0.0045 33.57 >24
5.39 19.41 -5.1969 0.60 0.3487 0.3362 0.0126 93.86 >24
6.07 25.35 -5.8120 0.60 9.6086 9.2070 0.4016 110.60 >24
2.38 3.69 -2.3443 0.75 0.1776 0.1748 0.0028 34.72 >24
1.48 1.56 -1.4612 0.90 0.1329 0.1315 0.0014 21.01 6-24
2.14 3.11 -2.1075 0.80 0.0330 0.0325 0.0005 30.28 >24
2.67 4.66 -2.6250 0.75 0.0388 0.0382 0.0007 38.47 >24
2.19 3.25 -2.1573 0.80 0.6136 0.6045 0.0091 31.10 >24
4.90 15.88 -4.7455 0.65 0.8050 0.7789 0.0261 80.35 >24
3.35 7.30 -3.2794 0.75 0.2469 0.2415 0.0054 49.35 >24
5.28 18.96 -5.0855 0.60 0.1697 0.1636 0.0061 92.52 >24
0.99 0.78 -0.9852 0.90 0.0449 0.0445 0.0004 13.22 6-24
1.77 2.21 -1.7510 0.80 0.0288 0.0284 0.0004 24.66 >24
0.07 0.02 -0.0733 1.00 0.0015 0.0015 0.0000 0.92 <6
7.31 37.66 -6.9334 0.60 1.3579 1.2880 0.0700 139.89 >24
5.87 22.77 -5.6398 0.60 0.3378 0.3247 0.0131 97.68 >24
4.07 10.72 -3.9651 0.70 1.4801 1.4412 0.0390 62.33 >24
5.40 18.81 -5.2169 0.60 3.2849 3.1706 0.1143 88.11 >24
7.79 43.86 -7.3516 0.60 6.9991 6.6050 0.3941 158.17 >24
8.59 52.75 -8.0603 0.60 15.2686 14.3306 0.9379 186.12 >24
5.90 23.75 -5.6640 0.60 13.7397 13.1869 0.5529 103.89 >24
6.39 28.15 -6.1082 0.60 0.0476 0.0455 0.0021 115.96 >24
6.39 28.15 -6.1082 0.60 0.1257 0.1202 0.0055 115.96 >24
6.25 26.26 -5.9843 0.60 0.1394 0.1336 0.0059 111.81 >24
6.57 29.03 -6.2756 0.60 0.1737 0.1661 0.0077 117.57 >24
6.56 29.02 -6.2741 0.60 0.2820 0.2695 0.0125 117.57 >24
6.39 28.14 -6.1067 0.60 0.7893 0.7546 0.0348 115.96 >24

6.2365 29.2929 57.5720 54.8909 2.6810

 Convexity GMRCC (M-
GMRCC (M- Saving in
Adj. M- Assumed Duration & Term to
M-Duration Duration) GMRCC due
Convexity Duration Change in Convexity) maturity in Band
(%) (Rs. In to
(%) due to Yield (BPS) (Rs. In months
Crore) Convexity
Rise in IR Crore)

5.2102 20.2971 11.5651 11.1222 0.4429

3.2801 8.1313 1.7361 1.6944 0.0417
2.5678 7.6361 0.2448 0.2380 0.0068
6.8518 34.3045 42.4681 40.3470 2.1212
6.4259 28.2208 1.5578 1.4894 0.0684

6.2365 29.2929 57.5720 54.8909 2.6810

Specific Risk Capital Charge Total Capital Charge

Total Capital Total Capital

Charge Charge Alternate Alternate Total
Rating_2 SRCC (%) SRCC (Amt.) (GMRCC+SRC (GMRCC+SRC Method Capital Charge
C) (only M- C) (M-Duration (Total Risk %) (ARCC)
Duration) & Convexity)

A 1.80 1903504 0.4094 0.4055 4.50 0.4759

A+ 1.14 809584 0.1457 0.1452 4.50 0.3196
A+ 1.80 1887418 0.4663 0.4596 4.50 0.4719
AA 1.80 1932427 0.4779 0.4710 2.70 0.2899
AA- 1.80 1844911 0.3473 0.3451 2.70 0.2767
AA+ 1.80 2741423 0.5633 0.5588 2.70 0.4112
AAA 1.80 1940558 0.5428 0.5302 1.80 0.1941
AAA 1.80 47523913 14.3610 13.9594 1.80 4.7524
BBB- 1.80 1789758 0.3565 0.3538 9.00 0.8949
D 13.50 13500000 1.4829 1.4815 13.50 1.3500
A 1.80 347079 0.0677 0.0672 4.50 0.0868
A 1.80 348892 0.0737 0.0730 4.50 0.0872
AA+ 1.80 6304474 1.2440 1.2349 2.70 0.9457
AAA 1.80 4545362 1.2595 1.2335 1.80 0.4545
AAA 1.80 1767317 0.4236 0.4182 1.80 0.1767
AA 9.00 4825593 0.6523 0.6462 9.00 0.4826
AA 5.65 2838491 0.3287 0.3284 9.00 0.4521
AAA 9.00 1826378 0.2114 0.2111 9.00 0.1826
AAA 1.40 279713 0.0294 0.0294 9.00 0.1798
0.00 0 1.3579 1.2880 1.3579
0.00 0 0.3378 0.3247 0.3378
0.00 0 1.4801 1.4412 1.4801
0.00 0 3.2849 3.1706 3.2849
0.00 0 6.9991 6.6050 6.9991
0.00 0 15.2686 14.3306 15.2686
0.00 0 13.7397 13.1869 13.7397
0.00 0 0.0476 0.0455 0.0476
0.00 0 0.1257 0.1202 0.1257
0.00 0 0.1394 0.1336 0.1394
0.00 0 0.1737 0.1661 0.1737
0.00 0 0.2820 0.2695 0.2820
0.00 0 0.7893 0.7546 0.7893

98956795 67.4676 64.7866 56.5105

2.6810
 Total Capital Total Capital
Charge Charge Alternate Alternate Total
Rating_2 SRCC (%) SRCC (Amt.) (GMRCC+SRC (GMRCC+SRC Method Capital Charge
C) (only M- C) (M-Duration (Total Risk %) (ARCC)
Duration) & Convexity)

75873496 19.1525 18.7095 9.4364

13313124 3.0674 3.0257 1.7509
9770175 1.2218 1.2150 1.2972
0 42.4681 40.3470 42.4681
0 1.5578 1.4894 1.5578

98956795 67.4676 64.7866 56.5105

Charge

MRCC on AFS
MRCC on AFS
Portfolio (only
Portfolio (only
M-Duration &
M-Duration)
Convexity)

0.4759 0.4759
0.3196 0.3196
0.4719 0.4719
0.4779 0.4710
0.3473 0.3451
0.5633 0.5588
0.5428 0.5302
14.3610 13.9594
0.8949 0.8949
1.4829 1.4815
0.0868 0.0868
0.0872 0.0872
1.2440 1.2349
1.2595 1.2335
0.4236 0.4182
0.6523 0.6462
0.4521 0.4521
0.2114 0.2111
0.1798 0.1798
1.3579 1.3579
0.3378 0.3378
1.4801 1.4801
3.2849 3.2849
6.9991 6.9991
15.2686 15.2686
13.7397 13.7397
0.0476 0.0476
0.1257 0.1257
0.1394 0.1394
0.1737 0.1737
0.2820 0.2820
0.7893 0.7893

67.4676 64.7866
 MRCC on AFS
MRCC on AFS
Portfolio (only
Portfolio (only
M-Duration &
M-Duration)
Convexity)

19.1525 18.7095
3.0674 3.0257
1.2972 1.2972
42.4681 42.4681
1.5578 1.5578

67.4676 64.7866