Weekly Debt Market Review - 27 th December , 2013 | srei
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Weekly Debt Market Review - 27 th December , 2013

 

December 27, 2013

Money Market 27-Dec-13 20-Dec-13
Call 8.75% 8.78%
CBLO 8.23% 8.78%
Mibor 8.71% 8.89%
LAF o/s Repo (Rs Cr) 39804 41127
Benchmark Securities 24-Dec-13
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.86  97.91  8.67   8.55
364 DTB 91.89   92.12  8.83   8.75
07.28%   2019 92.88   93.17   8.96  8.89
08.19%  2020 95.85  96.03  9.09  9.05
08.12%   2020 95.17  95.34  9.07  9.03
08.79%   2021 98.13  97.81  9.13  9.18
07.16%   2023 87.50   87.76   9.17   9.12
08.83%   2023 99.75   100.29   8.87   8.78
09.15%  2024 99.67  99.19  9.20  9.27
08.20%   2025 92.20  92.15  9.30  9.31
08.24%   2027 92.30  92.09  9.26  9.29
08.28%   2027 92.20  92.28  9.29  9.28
09.20%   2030 99.25  99.98  9.29  9.20
08.32%   2032 91.64 91.25 9.27 9.32
08.33%  2036 91.25 90.63 9.26 9.33
08.30%   2042 90.33 90.10 9.27 9.29

Data with two day lag

Call money rates ended down in the week as some banks lent excess funds at lower rate

Indian call money rate remained firm for most of the week due to firm demand from banks to meet their daily reserve requirement amid widening of the liquidity deficit post payment of advance tax outflow last week. Strong demand from banks to meet mandatory reserve needs ahead of Christmas holiday (on December 25) also kept upward pressure on call rates. However call money rates retreated later in the week as some banks having excess funds lent at lower rates. Meanwhile, the interbank rate finished the holiday shortened week at 8.70-8.75% on December 27 as compared with 8.75-8.78% a week ago.

Gilt prices ended down due to selling ahead of the weekly gilt auction worth Rs 15000 cr

Gilt prices ended down in the week due to selling pressure as investors made room for fresh supply of gilts worth Rs 15,000 cr at weekly auctions. Bonds also fell after the RBI detailed the cutoffs of the weekly auction where it devolved Rs 615 cr of the 7.28%, 2019 bond on primary dealers. Sentiment was also dented after the RBI governor commented that the current status quo announced in the policy meet did not mean a pause in tightening of interest rates. Absence of any positive cues on interest rates also weighed on bond prices. However further fall in bond prices was capped due to value buying. The 10 year benchmark 8.83%, 2023 gilt ended at 8.96% yield on December 27 as against 8.80% yield on December 20.

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
  24-Dec 18-Dec 24-Dec 18-Dec
1 year 9.65 9.60 0.52 0.56
3 year 9.55 9.52 0.81 0.87
5 year 9.71 9.71 0.79 0.72
10 year 9.62 9.65 0.24 0.15
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 483251
G-Sec Gross Borrowing Completed (%) 83.46%
Maturities till date 74735
Net G-Sec Borrowings till date 408516
364 Day T-Bill Gross Borrowings till date 107000
OMO Purchases till date 43339
SDL auction till date 137101

Term of the week

Inflation indexed bonds (IIB) – Zero coupon bonds are bonds that do not pay interest during the life of the bonds. When the bond reaches maturity, its investor receives its par (or face) value..

Monday, December 30, 2013