Weekly Debt Market Review | srei
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Weekly Debt Market Review

 

January 24, 2014

Money Market 24-Jan-14 17-Jan-14
Call 8.65% 8.80%
CBLO 7.44% 8.73%
Mibor 7.83% 8.79%
LAF o/s Repo (Rs Cr) 35335 40758
Benchmark Securities 22-Jan-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.88 97.88 8.67 8.68
364 DTB 92.07 92.28 8.64 8.55
07.28%  2019 94.39 93.97 8.61 8.70
08.19%  2020 96.95 96.06 8.86 9.05
08.12%   2020 96.76 96.39 8.75 8.83
08.79%   2021 99.12 98.82 8.95 9.00
07.16%   2023 89.10 88.84 8.90 8.94
08.83%   2023 101.43 101.23 8.61 8.64
09.15%  2024 101.32 100.98 8.95 9.00
08.20%   2025 94.68 94.20 8.94 9.01
08.24%   2027 94.57 94.43 8.95 8.97
08.28%   2027 94.84 94.72 8.94 8.95
09.20%   2030 102.08 101.76 8.95 8.99
08.32%   2032 94.46 94.00 8.94 8.99
08.33%  2036 93.88 93.62 8.97 9.00
08.30%   2042 92.95 92.58 8.99 9.03

Data with two day lag

Indian call money rate fell due to increased liquidity

Indian call money rate receded during the week to end at 8.60-8.65% on January 24 as against 8.75-8.80% on January 17 due to an improvement in the liquidity condition. Liquidity was improved due to fund infusion by the RBI through its term repo window and purchase of gilts via open market operations (OMOs). The RBI conducted a 28-day term repo auction for Rs 20,000 cr on January 21 and purchased gilts worth Rs 9477 cr on January 22.

Gilt prices fell on governor’s comments and impending monetary policy review

Gilt prices ended down over a volatile week due to cautiousness ahead of the RBI’s third-quarter monetary policy review on January 28. Sentiment for bonds turned negative following the RBI panel's recommendation that headline CPI (Combined) inflation be brought down to 8% within 12 months and 6% within 24 months before adopting it as the nominal monetary policy anchor. Losses were further aggravated by RBI Governor Raghuram Rajan's hawkish comments about taming inflation which gave rise to apprehensions that a hike in interest rates was a possibility. However further fall in bond prices were restricted on expectation that the RBI would keep the repo rate unchanged at the policy review. Bond prices had risen earlier in the week on the back of liquidity infusing measures announced by the RBI. The 10-year benchmark 8.83%, 2023 bond ended at 8.74% yield on January 24 as against 8.63% yield on January 17.

Top 5 Traded Securities

ZCYC curve steepen at both end of the curve

ZCYC curve steepened at short as well as long end of the curve as yields fell at short end and had risen at long end of the curve.

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  22-Jan 15-Jan 22-Jan 15-Jan
1 year 9.50 9.53 0.76 0.51
3 year 9.47 9.49 0.96 0.64
5 year 9.50 9.53 0.76 0.64
10 year 9.48 9.51 0.43 0.31

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 113000
OMO Purchases till date 52816
SDL auction till date 156632

Term of the week

Repo rate – Repo rate is the rate at which RBI lends to commercial banks generally against government securities.

Friday, January 24, 2014