Weekly Market Review | srei

Weekly Market Review

January 29, 2016

Money Market 29-Jan-16 22-Jan-16
Call 7.20% 7.40%
CBLO 7.01% 6.75%
Mibor 7.00% 6.90%
LAF o/s Repo (Rs Cr) 13,214 19,551

Benchmark Securities 27-Jan-16
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB  98.36 98.22 7.23 7.28
364 DTB  93.47 93.30 7.15 7.20
08.12%  2020 101.87 101.94 7.65 7.63
08.35%  2020 102.59 102.55 7.82 7.83
08.08%  2022 101.27 101.31 7.83 7.82
07.68%  2023 99.67 99.68 7.74 7.73
08.40%  2024 103.10 103.21 7.89 7.88
07.72%  2025 99.54 99.76 7.79 7.75
08.15%  2026 101.45 101.58 7.95 7.93
08.28%  2027 102.14 102.15 7.99 7.99
07.59%  2028 97.78 97.73 7.86 7.87
07.88%  2030 99.24 99.31 7.97 7.96
09.20%  2030 108.90 108.90 8.15 8.15
07.73%  2033 96.28 96.69 8.12 8.07
08.30%  2040 101.25 100.99 8.18 8.20
08.13% 2044 99.45 99.64 8.18 8.16

Data with two day lag

Call rate remained below RBI’s repo rate for most part of the week

The call money rate remained below the RBI's repo rate for most part of the holiday shortened week as the government’s month-end spending supported cash conditions. Earlier in the week, liquidity was tightened on increased demand for funds from banks on account of a truncated week. Also demand for funds usually remains strong at the beginning of a reporting fortnight as banks prefer to meet most of their reserve requirements in the first week itself. However the central bank's liquidity infusion via the variable rate repo window helped eased the liquidity condition. Meanwhile the call rate ended at 7.20% on January 29, 2016 vis-à-vis 7.30-7.40% on January 22, 2016.

Gilts ended steady on mixed cues

Government bond prices were range bound due to mixed cues in the shortened trading week. The 10-year benchmark - 7.72%, 2025 bond - ended at 7.78% on January 29, 2016, flat as compared with the previous week’s close, while the newly issued 10-year 7.59%, 2026 bond too ended steady at 7.64% on January 29, 2016 as compared with the previous week’s close. Weakness in the rupee and caution ahead of the US FOMC meeting outcome weighed on buying support. However sentiment remained positive on expectation of more open market bond purchase auctions by the RBI. Gilts also rose sharply in last session of the week due to recovery in the rupee, a favourable auction cut-offs at the weekly auction and positive cues from Japan.

Top 5 Traded Securities

ZCYC rose at the medium and longer end

The latest week’s ZCYC shifted upward at medium to longer end as yields rose sharply for medium term and long term securities.

Plot of the Estimated ZCYC

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  27-Jan 20-Jan 27-Jan 20-Jan
1 year 8.10 8.10 0.89 0.87
3 year 8.16 8.22 0.70 0.71
5 year 8.26 8.29 0.51 0.53
10 year 8.39 8.38 0.45 0.45

Data with two day lag

Government Borrowing Programme (Rs. Cr.)
Budgeted G-Sec Gross Borrowings for 2013-14 600000
Budgeted G-Sec Net Borrowings for 2012-13 456405
Budgeted Redemptions 143595
G-Sec Gross Borrowings till Date 541383
G-Sec Gross Borrowing Completed (%) 90.23%
Maturities till date 144366
Net G-Sec Borrowings till date 398634
364 Day T-Bill Gross Borrowings till date 116000
OMO Purchases till date 28270
SDL auction till date 232937

Term of the week

LIBOR It is a benchmark rate that some of the world’s leading banks charge each other for short-term loans. It is based on five currencies: U.S. dollar (USD), Euro (EUR), pound sterling (GBP), Japanese yen (JPY) and Swiss franc (CHF).

Saturday, January 30, 2016