EUpDates July 2021

Debt Market Yields
Constant Maturity Yields for Government Bonds Traded in the Secondary Market
3 months 6 months 1 year 2 Year 3 Year 4 Year 5 Year 7 Year 10 Year >10 &
<=15
Year
YTM (%)
>15 &
<= 20
Year
1-Jun-21 3.39 3.89 4.28 5.40 5.75 6.22 6.43 6.63 6.85 6.95
2-Jun-21 3.39 3.60 3.81 4.24 4.87 5.40 5.74 6.61 6.96
3-Jun-21 3.41 3.63 3.73 4.29 4.91 5.38 5.74 6.43 6.60
4-Jun-21 3.41 3.62 3.71 4.34 4.88 5.38 5.75 6.29 6.41 6.63 6.75
7-Jun-21 3.41 3.61 3.88 4.31 4.86 5.35 5.66 6.20 6.41 6.59 6.96
8-Jun-21 3.39 3.61 3.86 4.30 4.86 5.32 5.72 6.24 6.39
9-Jun-21 3.38 3.62 3.80 4.26 4.90 5.28 5.68 6.24
10-Jun-21 3.38 3.61 3.80 4.23 4.81 5.31 5.69 6.23
11-Jun-21 3.38 3.61 3.80 4.21 5.30 5.68 6.23 6.38 6.55 6.95
14-Jun-21 3.37 3.61 3.81 4.16 4.76 5.29 5.67 6.22 6.38 6.57
15-Jun-21 3.36 3.64 3.71 4.26 4.91 5.38 5.78 6.14 6.43 6.61 6.94
16-Jun-21 3.40 3.67 3.79 4.32 5.48 5.80 6.24 6.45
17-Jun-21 3.44 3.88 4.29 4.95 5.50 5.83 6.35 6.42 6.64
18-Jun-21 3.41 3.65 3.83 4.98 5.46 5.78 6.34 6.44 6.67 7.00
21-Jun-21 3.41 3.65 3.90 4.34 5.50 5.79 6.46 6.66 7.01
22-Jun-21 3.42 3.66 3.85 4.39 5.48 5.81 6.46 6.66 7.03
23-Jun-21 3.44 3.70 3.86 4.49 5.51 5.82 6.47 6.67 7.01
24-Jun-21 3.39 3.68 3.93 4.39 5.10 5.54 5.87 6.47 6.69 6.82 7.03
25-Jun-21 3.42 3.69 4.04 4.44 4.96 5.55 5.69 6.49 6.69 7.08
28-Jun-21 3.40 3.70 3.94 4.49 5.60 5.87 6.35 6.50 7.11
29-Jun-21 3.39 3.66 3.86 4.49 5.65 5.90 6.35
30-Jun-21 3.40 3.70 3.96 4.61 5.61 5.92 6.73
June 2021 3.40 3.65 3.85 4.34 4.90 5.44 5.77 6.26 6.44 6.64 6.81 7.00
>20
Year
Constant Maturity Yields relates the yield on a security to its time to maturity. The usual practice worldwide is to
provide yields of traded bonds for finely defined residual maturity brackets. The monthly CMYs given here provide
information on (Indian government) bond yields for several chosen residual maturities, like 3 & 6 months,
1/2/5/10/12/15 years. Say, the market determined YTMs for all traded Gilts with 340 to 380 days left to mature
would give the CMY for the 1 year maturity bracket. The monthly CMYs are estimated from marketwide data. For the
estimation methodology see:
On Developing Constant Maturity Yield Curves for India:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=300052
E-UpDates July 2021
15
Surge Research Support