Weekly Market Review | srei

Weekly Market Review

February 7, 2014

Money Market 7-Feb-14 31-Jan-14
Call 8.50% 8.90%
CBLO 7.95% 8.03%
Mibor 8.15% 8.12%
LAF o/s Repo (Rs Cr) 34974 31561
Benchmark Securities 5-Feb-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.82 97.84 8.95 8.85
364 DTB 91.83 92.03 8.92 8.85
07.28%  2019 93.52 93.33 8.83 8.87
08.19%  2020 96.26 96.20 9.01 9.03
08.12%   2020 95.54 95.40 9.00 9.03
08.79%   2021 98.25 98.12 9.11 9.13
07.16%   2023 88.00 87.85 9.10 9.12
08.83%   2023 100.78 100.34 8.71 8.77
09.15%  2024 100.25 100.13 9.11 9.13
08.20%   2025 93.38 93.25 9.13 9.15
08.24%   2027 93.23 92.95 9.14 9.18
08.28%   2027 93.46 93.15 9.13 9.17
09.20%   2030 100.60 100.40 9.13 9.15
08.32%   2032 92.37 92.83 9.15 9.13
08.33%  2036 92.81 92.32 9.13 9.14
08.30%   2042 91.54 91.54 9.11 9.13

Data with two day lag

Indian call money rate fell amid comfortable liquidity

The call rate fell over the week to end at 8.30-8.50% on February 7 as compared with 8.80-8.90% on January 31. The call rate remained below the RBI’s repo rate through most of the week as liquidity was comfortable in the banking system due to the government’s month-end spending and fund infusion by the central bank through its term repo. However a further fall in the call rates was prevented due to a strong demand for funds from banks to meet their reserve requirements for the weekend.

Gilt prices rose as gilt supply come to end

Gilt prices ended up in the week ended February 7 amid optimism that the government’s supply of gilts for the current fiscal year ended after this week’s scheduled auction. Gilts gained after the RBI cancelled the deferred auction scheduled on January 17, 2014 amounting to Rs 15,000 cr, indicating a comfortable government cash position and low funding requirements. The RBI also announced that gilts worth Rs 27,000 cr maturing in 2014-15 and 2015-16 had been switched to a longer tenor. Bond prices also gained tracking the rise in the rupee over the week. Further gains were capped however on caution ahead of the US non-farm payroll data to be released after market hours on February 7 and domestic inflation and industrial production data to be released next week. Some gains were also cut as market participants booked profits. The 10-year benchmark 8.83% 2023 bond ended at 8.74% yield on February 7 as against 8.77% yield on January 31.

Top 5 Traded Securities

ZCYC curve stabilized to an upward trend

ZCYC curve stabilized to an upward trend in the week ended February 7 following a distortion seen in last week’s yield curve due to the RBI’s repo rate hike.

Plot of the Estimated ZYCY

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  5-Feb 29-Jan 5-Feb 29-Jan
1 year 9.78 9.73 0.70 0.68
3 year 9.67 9.66 0.90 0.73
5 year 9.68 9.68 0.75 0.72
10 year 9.56 9.59 0.33 0.32

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 (%) 90.20%
Maturities till date 74735
Net G-Sec Borrowings till date 447516
364 Day T-Bill Gross Borrowings till date 119000
OMO Purchases till date 52816
SDL auction till date 168162

Term of the week

T-bill – A T-bill is a type of government security used for managing short-term liquidity needs. Generally, they are issued with tenures of 91-days, 182-days and 364-days.

Friday, February 7, 2014