10 Yr benchmark closes below 8%: Edelweiss

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10 Yr benchmark closes below 8%, optimism on FII demand post auction of

limits

Government securities
 Sovereign bond yields were 2-3 bps lower today on speculation that auction of FII
limits in the debt market by the month end will generate demand. The benchmark
10 Yr bond closed 3 basis points lower at 7.99% with the total volumes on the
central banks trading platform at INR 9.6bn level. The 8.13 GOI 2022 bond closed
at 8.05%.


 INR 30bn of 10 year State Development Loans were auctioned today at a cut-off
yield of 8.39%. The SDLs were issued by Andhra Pradesh, Gujarat, Rajasthan and
Tamil Nadu.
Non-SLR market
 OBC, UCO Bank, Central Bank, Corporation Bank and PNB placed INR 5bn 90 day
CDs each at 8.22%.
Money markets
 Call rates and CBLO rates closed higher at 6.90% and 6.31% respectively on tight
liquidity and borrowing to meet bank reserve requirements. Banks borrowed INR
1.5tn via the repo auction.
Swaps
 The swap rate curve flattened 3bps as traders received the longer tenure tracking
the sovereign bond market while the shorter tenures remained flat on the
uncertain liquidity situation. One year swap closed 2 bps lower at 6.73% while the
five year swap closed 5bps lower at 7.21%.