CCIL Debt Market Quarterly

October - December 2021

A Full Circle in 2021
Calendar year 2021 saw the actions of the Reserve Bank of India (RBI) come a
full circle as it tried to balance its objective of sustaining growth with price
stability with that of managing the Central and State Governments’ massive
borrowings amid multiple waves of the pandemic and uncertain global macro
environment.

While RBI had started the calendar year 2021 with a plan for norm alization of
liquidity, it had to provide additional support during most of the year in order
to support the smooth conduct of the planned borrowings. However, domestic
and global developments especially on the inflation front, have forced the RBI
to tolerate higher yields and start addressing the massive liquidity surplus in
the banking system. As a result, interest rates have moved up across the board
during Q3-FY22.

The launch of the RBI Retail Direct Scheme on November 12, 2021 has brought
the Indian government bond market closer to a wide and stable pool of
investors. Throughout the year 2021, RBI supported the large borrowings with
conventional tools like OMOs along with unconventional measures like the G -
SAP and differentiated auction methodology. While interest rates continued to
rise gradually over the quarter, primary auctions have once again become the
platform for RBI to signal its discomfort with high yields to the market through
devolvement and complete rejection of bids while the negative mood
prevailing in the market has been conveyed to RBI through the spike in
underwriting commissions charged by Primary Dealers (PDs).

The sustained pick-up in credit during Q3-FY22 as well as improvement in

various high frequency indicators coupled with the trajectory of the Omicron
variant in most countries indicate that the economic impact may not be as
severe as during previous waves of the pandemic. The fiscal plan for FY23,
developments on the inflation front and the response of capital flows to the
reversal in policy support from global central banks are going to be the drivers
of uncertainty in the near-term.
 A Glance over the Quarter
Domestic economic activity continued its momentum in Q3 -FY22 with sustained improvement in various high
frequency indicators. Buoyant tax collections and sustained credit offtake indicate a broad -based recovery.
The rapid reach of vaccination in India and less severity of the Omicron variant have provided further support
to the macro outlook. Global reversal of policy supp ort in response to durable inflation that has led to
reversal of capital inflows into emerging economies like India since December 2021 coupled with weak
domestic demand conditions are the major triggers for the uncertainty in near -term economic prospects.

The economic impact of the local and global response to the new variants of the virus is going to be the major
headwind to swift and broad-based economic recovery.

1 C CI L D e b t M ar k e t Qu a rt er l y Oc to b er - D ec e m b er 2 0 2 1

Unless otherwise mentioned, the report is based on calculations by Economic Research Department, CCIL using information publicly available on the
websites of the Reserve Bank of India, CCIL, Clearcorp, SEBI, FIMMDA, FBIL and MOSPI.
 Market Borrowings
Rising yields and uncertainty in the secondary market sentiments pose the biggest challenge to the smooth
conduct of the massive borrowing plans of the Central and State Governments.

Primary Auctions - Central Government Dated Securities

Overall, primary market conditions were relatively benign until the last fortnight of Q3-FY22 when RBI failed
to raise the planned issuances on account of the rapid deterioration in market conditions due to various
domestic and global factors. RBI could raise ₹295000 crore against the planned issuances of ₹312000 crore
with ₹7268 crore devolving on the Primary dealers (PDs).

Table 1: G-Sec Issuance Summary (₹ crore)

Period Weekly Notified Gross Average Redemptions Net Additional
Auctions Amount Issuance Weekly Borrowing Greenshoe
Issuance Borrowing
(+)/Shortfall(-)
FY20 43 710000 710000 16512 236028 473972 0
FY21 49 1324000 1370324 27966 227210 1143114 46324
Q3-FY21 11 289000 283975 25816 67493 216482 -5025
Q4-FY21 13 337000 320349 24642 29145 291204 -16651
Q1-FY22 12 348000 318493 26541 105186 213307 -29507
Q2-FY22 13 376000 383863 29528 34070 349793 7863
Q3-FY22 13 312000 295000 22692 85700 209300 -17000

Auction Details
Overall the Central Government borrowed ₹295000 crore during the quarter through a mix of fixed (92% of
total issuances) and FRBs (8% of total issuances). New 2, 5, 7, 30 and 40 year securities were issued.

Table 2: G-Sec Issuance Details

Sr Security Amount (₹ crore) Bid Cut-off Range Outstanding at
No Notified Gross Devolve Cover Price Yield End-Quarter (₹
Amount Issuance ment Ratio crore)
1 6.10% GS 2031 91000 78000 0 2.18 97.85-99.03 6.2324-6.4034 148000
2 6.67% GS 2035 54000 54000 867 2.39 97.92-99.38 6.7390-6.9041 75081
3 6.95% GS 2061 28000 28000 0 2.69 98.08-100.00 6.9500-7.0948 28000
4 6.99% GS 2051 28000 28000 0 2.45 98.84-100.53 6.9481-7.0835 28000
5 5.74% GS 2026 24000 24000 4703 2.94 99.60-100.16 5.7010-5.8336 24000
6 6.76% GS 2061 21000 21000 0 2.88 94.90-96.93 6.9892-7.1481 147000
7 6.67% GS 2050 14000 14000 0 2.43 94.47-94.52 7.1175-7.1214 149162
8 5.63% GS 2026 12000 12000 0 3.47 99.61-99.62 5.7269-5.7296 149503
9 FRB 2028 16000 12000 0 3.18 99.30-100.00 4.0400-4.5468 20816
10 FRB 2034 12000 12000 0 2.53 98.10-100.13 4.4366-4.9872 38800
11 4.26% GS 2023 6000 6000 0 4.74 99.65-99.81 4.3818-4.5029 38887
12 4.56% GS 2023 6000 6000 1698 3.31 99.75-100.02 4.5482-4.6956 6000
Total 312000 295000 7268 3.28

2 C CI L D e b t M ar k e t Qu a rt er l y Oc to b er - D ec e m b er 2 0 2 1

Unless otherwise mentioned, the report is based on calculations by Economic Research Department, CCIL using information publicly available on the
websites of the Reserve Bank of India, CCIL, Clearcorp, SEBI, FIMMDA, FBIL and MOSPI.
 Auction Bidding
The market participants’ rising wariness over inflation and high borrowings amid RBI’s liquidity normalization
and the spread of the Omicron variant resulted in the auctions held over the last fortnight of December 2021
witnessing the first devolvement and complete rejection of bids since July 2021. The swift turn in sentiments
was evident in the cut-offs for commissions in the underwriting auctions for PDs for the 10Y benchmark which
increased from the quarter’s low of 0.33 paise on December 3, 2021 to the quarter’s high of 9.23 paise for the
auction scheduled on December 31, 2021 where RBI eventually rejected all bids.

Table 3: Bidding in G-Sec Auctions (₹ crore)

Period Notified Bids Received Bids Accepted Success Ratio BCR Devolve Comple Total Overall Average ACU
Amount ment on te Issuance Auction Commission
Competit Non Compe Non Comp Non
PDs Rejecti Failure Cut-off rate
ive Competi titive Competi etitiv Competi
on of (paise per
tive tive e tive
Bids ₹100)
Q3-FY21 289000 946241 454 283539 436 30% 96% 3.3 - - 283975 0.00% 1.34
Q4-FY21 337000 846141 273 248001 241 29% 88% 2.5 72107 30000 320349 30.30% 17.76
Q1-FY22 348000 1038685 373 271453 343 26% 92% 3.0 46698 53000 318493 28.65% 11.41
Q2-FY22 376000 1103989 307 354457 302 32% 98% 2.9 29104 14000 383863 11.46% 4.71
Q3-FY22 312000 807286 277 287462 270 36% 98% 2.6 7268 17000 295000 7.78% 1.67

Distribution of Issuances
10Y bonds accounted for 26% of issuances followed by 18% in the 14Y tenor. The share of short term
issuances in the 0-5 year bucket declined to 16%, while the very long bonds accounted for 21% of issuances.
Trading activity was concentrated in the 5-15 year maturity bucket led by the 10Y.

Maturity Profile of Outstanding G-Sec

There was a significant elongation in the maturity profile of outstanding Government debt during the quarter.

Table 6: Maturity Profile of Outstanding Central Government Dated Securities *

Period Total Share (%)
Number Outstanding Weighted Weighted <=1 1-5 5-10 10-15 15- >30
of (₹ lakh Average Average Years Years Years Years 30 Years
Securities crore) Maturity of Coupon Years
Outstanding
(Years)
Q3-FY21 94 68.74 11.32 7.21 3.64 24.62 31.12 19.55 15.08 5.99
Q4-FY21 94 71.68 11.30 7.15 3.69 25.64 28.99 20.60 14.80 6.29
Q1-FY22 94 73.83 11.50 7.03 4.57 24.15 29.56 21.12 13.75 6.85
Q2-FY22 96 77.33 10.42 6.98 5.59 24.96 28.09 20.28 13.79 7.29
Q3-FY22 100 79.53 11.70 7.01 5.43 24.48 27.68 20.77 14.62 7.02
*Excluding Special Securities
3 C CI L D e b t M ar k e t Qu a rt er l y Oc to b er - D ec e m b er 2 0 2 1

Unless otherwise mentioned, the report is based on calculations by Economic Research Department, CCIL using information publicly available on the
websites of the Reserve Bank of India, CCIL, Clearcorp, SEBI, FIMMDA, FBIL and MOSPI.
Short Term Borrowings
Due to RBI’s liquidity normalization operations, shorter duration rates inched up during Q3 -FY22. The spread
of the cut-offs for 364 day T-Bill over the LAF Repo rate turned positive for the first time since April 8, 2020 in
the auction held on October 27, 2021 and have stayed in the positive territory since then.

Table 7: Primary Treasury Bill Auctions

91-DTB
Quarter Notified Gross Redemptions Net BCR Weighted Average Spread
Amount (₹ Issuance Borrowing Average Cut- over LAF Repo
crore) (₹ crore) (₹ crore) off Yield (%) (bps)

Q3-FY21 117000 228812 230783 -1971 6.27 3.13 -87

Q4-FY21 52000 84297 219812 -135516 4.14 3.27 -73
Q1-FY22 195000 256535 84297 172239 3.36 3.39 -61
Q2-FY22 117000 203566 256535 -52969 4.80 3.36 -63
Q3-FY22 130000 249067 203566 45501 5.30 3.55 -45
182-DTB
Quarter Notified Gross Redemptions Net BCR Weighted Average Spread
Amount (₹ Issuance Borrowing Average Cut- over LAF Repo
crore) (₹ crore) (₹ crore) off Yield (%) (bps)
Q3-FY21 39000 39781 190178 -150397 7.15 3.34 -66
Q4-FY21 91000 99632 159015 -59383 3.58 3.50 -50
Q1-FY22 195000 198313 36000 162313 3.23 3.61 -39
Q2-FY22 52000 56700 103414 -46714 5.71 3.49 -51
Q3-FY22 39000 40728 198313 -157584 3.79 3.82 -18
364-DTB
Quarter Notified Gross Redemptions Net BCR Weighted Average Spread
Amount (₹ Issuance Borrowing Average Cut- over LAF Repo
crore) (₹ crore) (₹ crore) off Yield (%) (bps)
Q3-FY21 52000 56830 47020 9810 4.24 3.45 -55
Q4-FY21 104000 106500 60380 46120 3.26 3.71 -29
Q1-FY22 78000 80418 156705 -76287 4.06 3.77 -23
Q2-FY22 52000 61255 138205 -76950 4.75 3.69 -31
Q3-FY22 91000 98200 56830 41370 3.24 4.10 10

Detailed analysis of market borrowings by the State Governments is covered in the CCIL SDL Quarterly report
available at: https://www.ccilindia.com/Research/CCILPublications/QuarterlyReports/Pages/IndiaSDLQuarterly.aspx

4 C CI L D e b t M ar k e t Qu a rt er l y Oc to b er - D ec e m b er 2 0 2 1

Unless otherwise mentioned, the report is based on calculations by Economic Research Department, CCIL using information publicly available on the
websites of the Reserve Bank of India, CCIL, Clearcorp, SEBI, FIMMDA, FBIL and MOSPI.
 Liquidity
RBI, while reiterating its stance to remain accommodative as long as necessary to revive and sustain growth
on a durable basis, commenced normalizing liquidity conditions by discontinuing its G -SAP operations and
resuming its longer term variable reverse repo auctions (VRRR ).

Table 8: Durable Liquidity Flows (₹ crore)

Inflows Redemptions Coupons OMO + GSAP
G-Sec SDL DTB CMBs G-Sec SDL Coupon Purchase
Coupon
Q3-FY21 67493 45666 467981 - 152655 65160 130000
Q4-FY21 33245 46765 439207 - 117750 81023 115000
Q1-FY22 105186 33468 277002 - 153236 65857 110000
Q2-FY22 34070 39763 498154 - 119990 85394 120001
Q3-FY22 85700 53266 458709 - 145810 47209 -
Outflows Auctions OMO + GSAP
G-Sec SDL DTB CMBs Sale
Q3-FY21 283975 202256 325424 - 60000
Q4-FY21 320349 242964 290429 - 70645
Q1-FY22 318493 144550 535266 - 10000
Q2-FY22 383863 164422 321521 - 30000
Q3-FY22 295000 157336 387996 - -

Banking System Liquidity

The massive liquidity overhang in the banking system was offset by healthy credit growth driven by economic
recovery witnessed throughout Q3-FY22 with a surge in the last fortnight of December. RBI has also started to
gradually drain out the excess liquidity in the system through VRRR operations.

Note: Negative values indicate liquidity surplus

RBI Support = LAF Repo + MSF + Term Repo + Overnight Variable Repo + LTRO
+ TLTRO + TLTRO2 - LAF Reverse - Term Reverse Repo - Overnight Variable
Reverse Repo

5 C CI L D e b t M ar k e t Qu a rt er l y Oc to b er - D ec e m b er 2 0 2 1

Unless otherwise mentioned, the report is based on calculations by Economic Research Department, CCIL using information publicly available on the
websites of the Reserve Bank of India, CCIL, Clearcorp, SEBI, FIMMDA, FBIL and MOSPI.
 Real Rates
Despite an overall increase in interest rates, real rates witnessed significant erosion during Q3 -FY22 as CPI
readings maintained an uptrend.

Yield Movement
The sovereign yield curve flattened further during the quarter with the spreads narrowing between the
medium to long term rates. Unwinding of RBI’s liquidity support led to a rise in the short term rates.

Indices Movement
Table 9: CCIL Principal Return Index (Month-over-month Returns (%))
TBILL (LIQ
Period BROAD LIQUID CASBI TENOR 1 TENOR 2 TENOR 3 TENOR 4 TENOR 5 SDL
WEIGHT)
Dec-20 0.01% -0.08% 0.23% -0.10% 0.11% -0.10% 0.00% 0.59% 0.83% 0.14%
Jan-21 -0.53% -0.63% -0.33% -0.92% -0.73% -0.66% 0.28% 0.04% -1.10% 0.11%
Feb-21 -2.41% -2.52% -3.27% -1.24% -2.73% -3.37% -4.30% -3.84% -3.32% 0.18%
Mar-21 0.32% 0.33% 0.68% 0.04% 0.18% 0.30% 0.97% 1.03% 1.34% 0.19%
Apr-21 0.59% 0.93% 0.37% 0.33% 0.43% 0.43% 0.61% 0.07% 0.39% 0.14%
May-21 0.21% -0.08% -0.39% 0.10% 0.34% 0.40% -0.53% -0.95% 0.90% 0.13%
Jun-21 -0.45% -0.62% -1.17% -0.65% -0.79% -0.96% -0.89% -1.79% -0.72% 0.19%
Jul-21 -0.20% -0.20% -0.67% 0.33% -0.07% -0.63% -1.32% -1.40% -1.74% 0.24%
Aug-21 0.62% 0.44% 0.85% 0.29% 0.77% 0.79% 0.86% 0.95% 1.03% 0.20%
Sep-21 0.29% 0.11% 0.77% -0.37% 0.12% 0.40% 1.46% 1.57% 0.38% 0.13%
Oct-21 -0.54% -0.71% -1.06% -0.52% -0.71% -1.08% -1.00% -1.43% -1.12% 0.14%
Nov-21 0.64% 0.89% 0.92% 0.17% 0.53% 0.79% 0.15% 1.46% 0.46% 0.18%
Dec-21 -1.13% -1.09% -1.10% -0.87% -1.03% -0.79% -0.59% -1.35% -0.77% 0.20%

6 C CI L D e b t M ar k e t Qu a rt er l y Oc to b er - D ec e m b er 2 0 2 1

Unless otherwise mentioned, the report is based on calculations by Economic Research Department, CCIL using information publicly available on the
websites of the Reserve Bank of India, CCIL, Clearcorp, SEBI, FIMMDA, FBIL and MOSPI.
 Spread Behavior
While interest rates increased across the curve throughout Q3 -FY22, spreads narrowed mirroring RBI's
increased tolerance for higher yields in the 10 -year benchmark. Short-term spreads narrowed in line with the
RBI's liquidity draining measures. Overall, the yield curve flattened in the medium to longer term. The India -
US spread was steady as the rise in domestic yields was higher than the rise in US yields.

Table 10: Spread Behavior - Basis Points

Spread/Quarter Q3-FY22 Q2-FY22 Q1-FY22 Q4-FY21 Q3-FY21
10Y-LAF Repo 244 231 225 220 199
10Y-1Y 239 265 251 255 256
10Y-3Y 128 141 133 132 149
10Y-5Y 59 47 49 51 72
15Y-10Y 37 48 42 38 32
40Y-10Y 58 78 63 49 65
10Y-CPI 141 193 57 132 -32
LAF Repo-CPI -103 -108 -168 -88 -231
10Y-US10Y 490 499 467 489 513

India – US Spread
Surging inflation triggered by their massive liquidity infusion measures prompted most central banks in
advanced economies to announce or signal tapering of these programmes coupled with interest rate hikes
throughout December 2021 despite the rapid spread of the omicron variant. These developments triggered a
sell-off in foreign investments in Indian debt instruments.

WACR
Money market rates inched up during the quarter as RBI stopped infusing fresh liquidity through G-SAP and
OMO operations while resuming its liquidity draining variable-rate reverse repo (VRRR) auctions.

7 C CI L D e b t M ar k e t Qu a rt er l y Oc to b er - D ec e m b er 2 0 2 1

Unless otherwise mentioned, the report is based on calculations by Economic Research Department, CCIL using information publicly available on the
websites of the Reserve Bank of India, CCIL, Clearcorp, SEBI, FIMMDA, FBIL and MOSPI.
Market Activity
Trading activity was subdued in the secondary market throughout the quarter as sentiments deteriorated
rapidly due to rising inflation prompting central banks across the globe including the RBI to start unwinding
pandemic-era stimulus measures. The swift spread of the Omicron variant added further to the uncertainty on
economic recovery. The 10-year benchmark yield witnessed a sustained rise over the quarter.

Table 11: Trading Summary -Government Bond Market (₹ Lakh Crore)

Period Outright Market Repo TREP
G-Sec SDL T-Bill
Q3-FY21 18 2 4 59 142
Q4-FY21 15 2 4 60 191
Q1-FY22 16 2 5 64 163
Q2-FY22 21 2 4 56 191
Q3-FY22 16 1 3 66 233

Bid-Ask Spread
On an average basis, the bid-ask spread for liquid securities remained steady at 0.02 bps during the quarter
and also compared to the spreads in Q2-FY22. The average spreads widened to 0.16 bps for semi -liquid
securities compared to 0.11 bps in the previous quarter, while it remained unchanged at 0.22 bps for illiquid
securities.

Table 12: Bid-Ask Spread Analysis: Q3-FY22

Spread (paise) Oct-21 Nov-21 Dec-21
Liquid Securities 0.02 0.02 0.02
Semi-Liquid Securities 0.18 0.15 0.14
Illiquid Securities 0.17 0.24 0.22

Corporate Borrowings
Primary market issuances increased further in Q3-FY22. Issuances were broad-based with all categories of
entities accessing the primary market, although nearly 60% of the issuances were from finance companies.
The two major issuers in Q3-FY22 were - National Highways Authority of India and Housing Development
Finance Corporation Limited.

8 C CI L D e b t M ar k e t Qu a rt er l y Oc to b er - D ec e m b er 2 0 2 1

Unless otherwise mentioned, the report is based on calculations by Economic Research Department, CCIL using information publicly available on the
websites of the Reserve Bank of India, CCIL, Clearcorp, SEBI, FIMMDA, FBIL and MOSPI.
 Short-term Corporate Borrowings (CDs & CPs)
Fundraising through Certificates of Deposit (CDs) saw an uptrend of nearly 80% during the quarter with 211 issuances
amounting to ₹47845 crore. CD issuances hit a nine-month high in December 2021 with issuances amounting to ₹33300
crore as banks took recourse to the short-term debt market to meet the increasing credit demand on account of an uptick
in business activity amid the festive season and as surplus liquidity declined due to tax payments. The weighted average
cost of borrowing stood at 4.30%. Private banks were the main issuers of CDs in Q3-FY22, with the major issuers being
Axis Bank Limited and HDFC Bank Limited.

There was a slowdown in short-term debt raising through commercial papers (CPs) during the quarter because of
relatively lower issuances by non-banking financial companies and housing finance companies. In Q3-FY22, there were
3242 issuances amounting to ₹648540 crore against 3320 issuances amounting to ₹621493 crore in Q2-FY22. The
weighted average cost of borrowing increased by 40 bps over the previous quarter to 4.6%. Top issuers during the quarter
were – Bajaj Finance Limited and Aditya Birla Finance Limited.

Corporate Debt Trading Activity

Activity remained subdued in the corporate bond market in Q3-FY22, with trading volumes down by 10% over the
previous quarter. Deals averaging ₹4245 crore were reported on NSE in Q3-FY22, against ₹4547 crore in Q2-FY22, while
BSE recorded daily average deals of ₹2249 crore against ₹2712 crore in the previous quarter. Bonds issued by Housing
Development Finance Corporation Limited and National Bank for Agriculture and Rural Development were traded the
most during Q3-FY22.

Secondary market activity in the CD market increased by 13%, while activity in the CP market slowed down by 31% in
Q3-FY22. Rates firmed up by 15-20 bps in the CD market, while it remained range bound in the CP market due to low
issuances. Activity in the corporate bond repo market which picked up pace in Q1-FY22, moderated in Q2-FY22 and
almost halved in Q3-FY22.

Table 13: Trading Activity in Corporate Debt Market (₹ Crore)

Quarter Corporate Certificates Commercial Corporate
Bonds of Deposit Papers Bond Repo
Q3-FY21 310439 26999 83928 47906
Q4-FY21 299957 28528 80850 46769
Q1-FY22 284196 35490 105875 124449
Q2-FY22 314371 21840 115708 90076
Q3-FY22 280372 24760 80085 45500

9 C CI L D e b t M ar k e t Qu a rt er l y Oc to b er - D ec e m b er 2 0 2 1

Unless otherwise mentioned, the report is based on calculations by Economic Research Department, CCIL using information publicly available on the
websites of the Reserve Bank of India, CCIL, Clearcorp, SEBI, FIMMDA, FBIL and MOSPI.
 Corporate Bond Spreads

Yields on corporate bonds were confined to a narrow range amid muted trading activity owing to the slump in crude oil
prices and US Treasury yields due to the resurgence of coronavirus in Europe, and the uncertainty over the impact of the
new strain of COVID-19 weighed on yields. The spreads on AAA rated corporate bonds of five-year and 10-year maturities
over corresponding maturity government bonds was at 25 bps and 60 bps, same levels as in Q2-FY22, while yields on
bonds of 1-year maturities widened by nearly 10 bps to 57 bps during the quarter. The yield spreads across tenors
moderated during the quarter for bonds of PSU, FI and Banks and NBFCs, while it remained high in case of Corporates.

OIS Spreads

Spreads remained negative at the longer end of the curve, with the average OIS-G-sec spread for the 5-year segment at 40
bps, although narrower by 20 bps compared to spreads in Q2-FY22. Short-term spreads widened by 5 bps to 20 bps during
the quarter.

10 C CIL D e b t M ark e t Q u a rte r l y Oc to be r - D ec e m b er 2 0 2 1

Unless otherwise mentioned, the report is based on calculations by Economic Research Department, CCIL using information publicly available on the
websites of the Reserve Bank of India, CCIL, Clearcorp, SEBI, FIMMDA, FBIL and MOSPI.
RBI Actions during Q3-FY22
Date Action

Statement on Developmental and Regulatory Policies

Liquidity Measures
 On Tap Special Long-Term Repo Operations (SLTRO) for Small Finance Banks (SFBs) extended till
December 31, 2021.
Debt Management
 RBI to continue with the enhanced WMA limits for State Governments/UTs as well as the liberalized
measures introduced to deal with the pandemic up to March 31, 2022.
Liquidity Guidance
 No need for undertaking further G-SAP operations.
 RBI to undertake the 14-day VRRR auctions on a fortnightly basis.
 RBI to consider complementing the 14-day VRRR auctions with 28-day VRRR auctions.
 The VRRR auctions should not be interpreted as a reversal of the accommodative policy stance.
8-Oct-21  RBI to continue focus on orderly evolution of the yield curve as a public good.
8-Nov-21 RBI reviewed norms on investment by Foreign Portfolio Investors (FPIs) in debt.
12-Nov-21 RBI activated the RBI Retail Direct Scheme with effect from November 12, 2021.
RBI notified the updated Scheme for Non-Competitive Bidding Facility in the auctions of Government
12-Nov-21 Securities and Treasury Bills.
Statement on Developmental and Regulatory Policies
Liquidity Stance
 The objective is to re-establish the 14-day VRRR auction as the main liquidity management operation.
 RBI to continue to rebalance liquidity conditions in a non-disruptive manner while maintaining
adequate liquidity to meet the needs of the productive sectors of the economy.
 The 14-day VRRR auction amounts to be enhanced on a fortnightly basis till December 31st.
 From January 2022 onwards, liquidity absorption to be undertaken mainly through the auction route.
 Going forward, the main operation of 14-day VRRRs to be complemented by longer term VRRRs.
 RBI to provide one more option to banks to prepay the outstanding amount of funds availed under
the Targeted Long-Term Repo Operations (TLTRO 1.0 and 2.0) announced on 27th March and 17th
April, 2020.
 RBI to revert to the normal dispensation under the MSF whereby banks will be able to dip up to 2% of
8-Dec-21 NDTL for overnight borrowing under the MSF from January 1, 2022.
Banks were advised to exercise the option for repayment of funds availed under TLTRO 1.0 and 2.0 on
8-Dec-21 or before December 17, 2021.
20-Dec-21 RBI rejected all bids in the scheduled switch auction.
24-Dec-22 First devolvement on PDs since July 2021.
RBI rejected all bids for the 10-year security in the scheduled G-Sec auction; in total RBI rejected bids for
31-Dec-21 securities worth ₹17000 crore out of the scheduled ₹24000 crore.

11 C CIL D e b t M ark e t Q u a rte r l y Oc to be r - D ec e m b er 2 0 2 1

Unless otherwise mentioned, the report is based on calculations by Economic Research Department, CCIL using information publicly available on the
websites of the Reserve Bank of India, CCIL, Clearcorp, SEBI, FIMMDA, FBIL and MOSPI.
Disclaimer
This document contains information relating to the operations of The Clearing Corporation of India Ltd. (CCIL), its
Members and the Reserve Bank of India. While CCIL has taken every care to ensure that the information and/or data
provided are accurate and complete, CCIL does not warrant or make any representation as to the accuracy and
completeness of the same. Accordingly, CCIL assumes no responsibility for any errors and omissions in any section or sub-
section of this document. CCIL shall not be liable to any member or any other person for any direct, consequential or
other damages arising out of the use of this document.

Authors
Payal Ghose
Priyanka Shiraly
Published by Economic Research Department, CCIL. Suggestions and feedback are welcome at –
E-mail: research@ccilindia.co.in |Website: www.ccilindia.com

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12 C CIL D e b t M ark e t Q u a rte r l y Oc to be r - D ec e m b er 2 0 2 1

Unless otherwise mentioned, the report is based on calculations by Economic Research Department, CCIL using information publicly available on the
websites of the Reserve Bank of India, CCIL, Clearcorp, SEBI, FIMMDA, FBIL and MOSPI.