Weekly Market Review | srei

Weekly Market Review

February 21, 2014

Money Market 21-Feb-14 14-Feb-14
Call 8.25% 8.85%
CBLO 7.46% 8.85%
Mibor 8.04% 9.04%
LAF o/s Repo (Rs Cr) 28228 40702
Benchmark Securities 18-Feb-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.77 97.79 9.06 9.04
364 DTB 91.74 91.93 9.00 8.98
07.28%  2019 93.14 92.98 8.93 8,97
08.19%  2020 95.62 95.75 9.16 9.13
08.12%   2020 94.86 94.90 9.15 9.14
08.79%   2021 97.62 97.88 9.22 9.18
07.16%   2023 87.53 87.45 9.19 9.20
08.83%   2023 100.38 100.10 8.77 8.81
09.15%  2024 99.70 99.79 9.19 9.18
08.20%   2025 92.70 92.52 9.24 9.26
08.24%   2027 92.52 92.25 9.24 9.28
08.28%   2027 92.61 92.34 9.24 9.28
09.20%   2030 99.83 99.90 9.22 9.21
08.32%   2032 91.93 92.00 9.24 9.23
08.33%  2036 91.37 91.50 9.25 9.23
08.30%   2042 90.80 90.75 9.21 9.22

Data with two day lag

Indian call money rate fell amid comfortable liquidity

The call rate fell over the week to end at 8.00-8.25% on February 21 as compared with 8.80-8.85% on February 14 indicating a low demand for funds by banks due to a comfortable liquidity position. Earlier in the week, liquidity deficit reduced due to inflow of around Rs 14600 cr towards coupon payments and redemption of gilts.

Gilt prices ended marginally higher due to positive sentiment following government’s vote-on-account

Gilt prices ended marginally higher in the week ended February 21 due to positive sentiment following the release of the government’s borrowing projections for the next fiscal year. Gilts rose after the government announced it would contain fiscal deficit for the current fiscal at 4.6% of GDP and pegged fiscal deficit for 2014-15 at 4.1% of GDP. Lack of debt supplies in the market sustained buying interest and helped bond prices gain further. However release of the US Federal Open Market Committee meeting’s minutes erased gains made by gilts earlier in the week. The US Fed announced its intention to continue tapering its monthly bond purchases. Fears that the RBI will continue to conduct term repo auctions and not hold any open market bond purchases as the financial year draws to a close also weighed on gilt prices. The 10-year benchmark 8.83% 2023 bond ended at 8.80% yield on February 21 as against 8.81% yield on February 14.

Top 5 Traded Securities

ZCYC curve fell at the shorter end

ZCYC curve fell at the short end due to a fall in yields of short-tenure securities while the curve rose at the longer end as compared with previous week’s yield curve.

ZCYC Curve Plot

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  18-Feb 12-Feb 18-Feb 12-Feb
1 year 9.88 9.79 1.05 0.63
3 year 9.80 9.72 0.81 0.98
5 year 9.74 9.70 0.54 0.65
10 year 9.65 9.64 0.25 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 125000
OMO Purchases till date 52816
SDL auction till date 179707

Term of the week

Liquid funds – Liquid funds are a type of mutual funds that invest in securities with a residual maturity of up to 91 days. These funds provide good liquidity, low interest rate risk and the prevailing yield in the market.

Monday, February 24, 2014