Weekly Debt Market Review-20th december,2013 | srei

Weekly Debt Market Review-20th december,2013

 

December 20, 2013

Money Market 20-Dec-13 13-Dec-13
Call 8.78% 8.10%
CBLO 8.78% 7.53%
Mibor 8.89% 7.73%
LAF o/s Repo (Rs Cr) 41127 30224
Benchmark Securities 18-Dec-13
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.91 97.87 8.55 8.72
364 DTB 92.12 91.93 8.75 8.80
07.83%   2018 93.17 93.09 8.89 8.90
07.28%   2019 96.03 95.88 9.05 9.08
08.12%   2020 95.34 95.25 9.03 9.05
08.79%   2021 97.81 97.65 9.18 9.21
08.15%   2022 87.76 87.45 9.12 9.17
07.16%   2023 100.29 100.02 8.78 8.83
09.15%  2024 99.19 99.50 9.27 9.22
8.20%   2025 92.15 92.05 9.31 9.32
8.33%   2026 92.09 92.13 9.29 9.28
08.28%  2027 92.28 92.31 9.28 9.28
06.01%   2028 99.98 99.65 9.20 9.24
06.01%   2028 99.98 99.65 9.20 9.24
08.97%   2030 92.28 92.31 9.28 9.28
08.33%  2036 99.98 99.65 9.20 9.24
08.30%   2042 90.10 89.75 9.29 9.33

Data with two day lag

Call money rates ended higher on strong demand due to advance tax outflows

Indian call money rate ended higher in week to end at 8.75-8.78% on December 20 as compared with 8.10% on December 13 as liquidity deficit in the banking system was widened due to the corporate advance tax outflows. Firm demand from banks to meet daily reserve requirements also upward pressurized call rates.

Gilt prices rose on RBI’s decision to keep interest rates unchanged

Government bond prices rose sharply on positive sentiment after the RBI kept interest rates unchanged at its mid-quarter policy review on December 18. Strength in rupee against the dollar also supported rise in bond prices. Rise in bond prices, however, was capped on US Fed's announcement of tapering its bond purchases from January 2014 by $10 bn. Selling pressure was also seen as market accommodated Rs 15,000 cr of fresh supply after weekly gilt auction. Bonds were also under pressure earlier in the week on higher than expected November WPI inflation data and on cautiousness ahead of the RBI and US Fed’s policy rate announcement. Meanwhile, the 10 year benchmark 8.83%, 2023 gilt ended the week up at 8.80% yield on December 20 as compared with 8.91% yield on December 13.

ZCYC curve widened at the short end of the curve

ZCYC curve widened near the short end of the yield curve due to a rise in yields at short end, while the spread at longer end of the curve remained narrowed.

Source: NSE

AAA Corporate Bond Yields and Spread
 
Yield Spread
  18-Dec 11-Dec 18-Dec 11-Dec
1 year 9.60 9.63 0.56 0.65
3 year 9.52 9.45 0.87 0.88
5 year 9.71 9.71 0.72 0.84
10 year 9.65 9.63 0.15 0.17
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 468251
G-Sec Gross Borrowing Completed (%) 80.87%
Maturities till date 74735
Net G-Sec Borrowings till date 393516
364 Day T-Bill Gross Borrowings till date 101000
OMO Purchases till date 43339
SDL auction till date 137101

Term of the week

Inflation indexed bonds (IIB) – IIBs are bonds where the principal is indexed to inflation. They are designed to cut out the inflation risk of an investment.

Friday, December 20, 2013