When Issued (WI) Market
A pre-auction segment in the Indian G-Sec market where participants trade a notified but yet-to-be-issued security on a conditional basis — transactions settle only after the security is actually issued in the auction — enabling price discovery before the auction and allowing PDs to hedge their underwriting risks.
The When Issued (WI) market for Indian G-Secs was introduced by RBI in 2006 to deepen the government securities market. Once RBI notified the details of an upcoming G-Sec auction (typically one week before), the security could be traded on a when-issued basis in the NDS-OM platform until the auction date. All WI trades were conditional — they settled only after RBI allotted the new security. If an auction was cancelled or the security was not allotted in the expected form, WI trades were annulled.
The WI market served several important functions. First, it served as a price discovery mechanism for the upcoming auction, with WI yields providing a signal of where the market expected the cut-off to be set. RBI and market analysts tracked WI yields closely relative to the existing yield curve to gauge auction sentiment. Second, primary dealers that committed to large underwriting bids could use WI markets to partially sell their expected allotments before the auction, reducing inventory risk and freeing capital for further underwriting.
Participants in the WI market included PDs, banks, insurance companies, provident funds, and mutual funds. CCIL acted as the central counterparty for WI trades. The settlement for WI trades followed the actual G-Sec issuance on T+1 from the auction date.
The size and liquidity of India's WI market were relatively limited compared to the US WI market, where when-issued trading of Treasury securities was deeply liquid and extended over a longer window before each auction. RBI periodically reviewed WI market guidelines and sought to increase participation, particularly from domestic institutional investors.
From a portfolio management perspective, fund managers used WI market prices to assess whether the upcoming auction would be well-absorbed (tight WI spread versus the existing benchmark) or likely to see yield backup. WI prices were therefore closely watched by fixed income mutual fund managers ahead of large G-Sec supply events.