Weekly Debt Market Review | srei

Weekly Debt Market Review

January 31, 2014

Money Market 31-Jan-14 24-Jan-14
Call 8.90% 8.65%
CBLO 8.03% 7.44%
Mibor 8.12% 7.83%
LAF o/s Repo (Rs Cr) 31561 35335
Benchmark Securities 29-Jan-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.84 97.88 8.85 8.67
364 DTB 92.03 92.07 8.85 8.64
07.28%  2019 93.33 94.39 8.87 8.61
08.19%  2020 96.20 96.95 9.03 8.86
08.12%   2020 95.40 96.76 9.03 8.75
08.79%   2021 98.12 99.12 9.13 8.95
07.16%   2023 87.85 89.10 9.12 8.90
08.83%   2023 100.34 101.43 8.77 8.61
09.15%  2024 101.13 101.32 9.13 8.95
08.20%   2025 93.25 94.68 9.15 8.94
08.24%   2027 92.95 94.57 9.18 8.95
08.28%   2027 93.15 94.84 9.17 8.94
09.20%   2030 100.40 102.08 9.15 8.95
08.32%   2032 92.83 94.46 9.13 8.94
08.33%  2036 92.32 93.88 9.14 8.97
08.30%   2042 91.54 92.95 9.13 8.99

Data with two day lag

Indian call money rate fell due to increased liquidity

The Indian call money rate rose over the week to align itself with the RBI’s new repo rate of 8%. The call rate showed an erratic rise towards the end of the last session of the week (January 31) to end at 8.80-8.90% as compared with 8.60-8.65% on January 24. The call rate, however, remained around the repo rate as liquidity was comfortable in the banking system due to month-end spending by the government and fund infusion by the RBI through its term repo.

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

Gilt prices ended down in the week ended January 31 due to an unexpected repo rate hike by the RBI in its third quarter review of monetary policy. Fall in the rupee over the week also led to fall in bond prices. Bond prices weakened further on caution ahead of the Rs 15,000 cr weekly gilt auction and the US Fed’s announcement to further prune its monthly asset purchases. Higher-than-expected cutoff yields set by the RBI at the state loan and T-bill auction also weighed on the sentiment. However, further fall in bond prices was prevented by RBI Governor Raghuram Rajan's remark that the central bank would have room to be more accommodative if inflation falls faster than its expectations. Value buying and better than expected demand at the weekly gilt auction also lent support to bond prices. The 10-year benchmark 8.83%, 2023 bond ended at 8.77% yield on January 31 as against 8.74% yield on January 24.

Top 5 Traded Securities

ZCYC curve widened at short end of the curve

ZCYC curve sloped upward at the short end of the curve as yields rose due to the RBI’s repo rate hike while longer end of the curve remained flat.

Plot of the Estimated ZCYC

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  28-Jan 22-Jan 29-Jan 22-Jan
1 year 9.73 9.50 0.68 0.76
3 year 9.66 9.47 0.73 0.96
5 year 9.68 9.50 0.72 0.76
10 year 9.59 9.48 0.32 0.43

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 512251
G-Sec Gross Borrowing Completed (%) 88.47%
Maturities till date 74735
Net G-Sec Borrowings till date 437516
364 Day T-Bill Gross Borrowings till date 113000
OMO Purchases till date 52816
SDL auction till date 168162

Term of the week

Call money rate – Call money rate is the interest rate paid by the banks for lending and borrowing to meet their daily fund requirement.

Monday, February 3, 2014