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 | ||||||
|---|---|---|---|---|---|---|
|
||||||
| 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