Weekly Debt Market Review | srei

Weekly Debt Market Review

 

January 17, 2014

Money Market 17-Jan-14 10-Jan-14
Call 8.80% 8.10%
CBLO 8.73% 7.33%
Mibor 8.79% 8.31%
LAF o/s Repo (Rs Cr) 40758 34509
Benchmark Securities 15-Jan-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.88 97.87  8.68 8.72
364 DTB 92.28 92.02 8.55 8.70
07.28%  2019 93.97 93.16 8.70 8.90
08.19%  2020 96.95 96.06 8.86 9.05
08.12%   2020 96.39 95.38 8.83 9.03
08.79%   2021 98.82 97.84 9.00 9.18
07.16%   2023 88.84 87.87 8.94 9.11
08.83%   2023 101.23 100.17 8.64 8.80
09.15%  2024 100.98 100.15 9.00 9.21
08.20%   2025 94.20 92.85 9.01 9.21
08.24%   2027 94.43 92.71 8.97 9.21
08.28%   2027 94.72 93.04 8.95 9.18
09.20%   2030 101.76 100.10 8.99 9.19
08.32%   2032 94.00 92.18 8.99 9.21
08.33%  2036 9.62 91.68 9.00 9.21
08.30%   2042 92.58 91.18 9.03 9.17

Data with two day lag

Call money rates rose on tight liquidity condition

Call money rate ended the week on higher side at 8.75-8.80% on January 17 as compared with 7.95-8.10% on January 10 due to high liquidity deficit in the banking system. Demand for funds was also firm as banks borrowed to meet reserve needs. Strong demand ahead of the Id-e-Milad holiday also put upward pressure on call rates. Owing to tight liquidity the RBI conducted a 28-day term repo variable rate auction for a notified amount of Rs 10,000 cr on January 17.

Gilt prices rose on lower than expected inflation data and deferment of weekly gilt auction

Gilt prices rallied during the week as lower-than-expected WPI inflation for December strengthened hope that the RBI may not hike rates further. Deferment of this week's auction also boosted bond prices. Gains were also seen on weaker than expected US jobs data which eased concerns of faster tapering of Fed's stimulus programme. However further rise in bond prices was restricted on profit sales. The 10-year benchmark 8.83%, 2023 bond closed at 8.63% yield on January 17 as against 8.76% yield on January 10. After market-hours on January 17, the RBI announced that it will conduct OMO purchases up to Rs 10,000 cr on January 22.

ZCYC curve widened at short end of the curve

ZCYC curve spread widened at short end due to rise in yields while long end of the curve steepened.

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  15-Jan 8-Jan 15-Jan 8-Jan
1 year 9.53 9.61 0.51 0.72
3 year 9.49 9.54 0.64 0.86
5 year 9.53 9.64 0.64 0.70
10 year 9.51 9.59 0.31 0.27

Data with two day lag

Government Borrowing Programme (Rs. Cr.)
Budgeted G-Sec Gross Borrowings for 2013-14 579009
Budgeted G-Sec Net Borrowings for 2012-13 484000
Budgeted Redemptions 95009
G-Sec Gross Borrowings till Date 498251
G-Sec Gross Borrowing Completed (%) 86.05%
Maturities till date 74735
Net G-Sec Borrowings till date 423516
364 Day T-Bill Gross Borrowings till date 110000
OMO Purchases till date 43339
SDL auction till date 156632

Term of the week

Open market operation (OMO) – An OMO is an activity by the RBI to buy or sell government bonds on the open market with an objective to adjust the rupee liquidity conditions in the market on a durable basis..

Friday, January 17, 2014