Weekly Market Review | srei

Weekly Market Review

March 4, 2016

Money Market 4-Mar-16 26-Feb-16
Call 6.70% 5.90%
CBLO 5.71% 6.85%
Mibor 6.85% 6.94%
LAF o/s Repo (Rs Cr) 7,997 23,607

Benchmark Securities 2-Mar-16
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB  98.24 98.35 7.19 7.28
364 DTB  93.34 93.36 7.15 7.27
08.12%  2020 101.59 100.68 7.71 7.94
08.08%  2022 100.80 100.00 7.92 8.08
7.16%  2022 95.70 94.50 7.95 8.18
07.68%  2023 99.31 97.89 7.80 8.05
07.72%  2025 99.56 98.03 7.79 8.02
07.59%  2026 99.76 98.34 7.62 7.83
08.15%  2026 100.55 99.69 8.07 8.19
08.28%  2027 101.25 101.31 8.11 8.10
07.59%  2029 96.74 95.42 8.00 8.17
07.88%  2030 98.82 97.35 8.02 8.20
09.20%  2030 108.08 107.00 8.24 8.36
07.73%  2034 95.72 93.90 8.18 8.38
08.30%  2040 100.10 98.76 8.29 8.42
08.13% 2045 99.05 97.10 8.21 8.40

Data with two day lag

Liquidity was aided by the RBI’s OMO bond purchase

Systemic liquidity was tight at the start of the week as banks borrowed to meet their month-end funding requirements. Inflows from the government’s month-end spending and regular repo auctions conducted by the RBI brought down the demand for funds intra-week. The borrowing rate rose in the last session as banks tapped the call money market to cover their reserve needs ahead of the long weekend. However, funds entered the banking system as a result of the government’s open market bond purchase on March 3, 2016 and capped the rise in call rate. The call money rate settled at 6.70% on March 4, 2016 as against 5.90% on February 26, 2016.

Gilts ended up on Budget announcement

Government bonds strengthened as sentiment for dated securities improved, following announcement of the Union Budget at the start of the week. Yield on the benchmark 7.59% 2026 paper settled at 7.63% on March 4, 2016 as against 7.78% on February 26, 2016. Bonds rose sharply as the gilt market welcomed the Centre’s decision to retain its fiscal deficit target at 3.9% of GDP for 2015-16 and 3.5% for 2016-17. Comments made by RBI officials and expectation of a rate cut, given the government’s decision to choose fiscal discipline over increased spending in the Union Budget, also accelerated gains. Prices dipped later in the week as some market players trimmed positions, ahead of US non-farm payrolls data. In the last session, prices for bonds across maturities fluctuated owing to the Centre’s switch operations with the RBI.

Top 5 Traded Securities

ZCYC rose in the middle and long end of the curve

The latest week’s ZCYC shifted upward at medium and longer end as yields rose sharply for papers in these maturities.

Plot of the Estimated ZCYC

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  2-Mar 24-Feb 2-Mar 24-Feb
1 year 8.28 8.40 1.10 1.14
3 year 8.33 8.48 0.61 0.67
5 year 8.48 8.61 0.70 0.60
10 year 8.56 8.68 0.79 0.72

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 555383
G-Sec Gross Borrowing Completed (%) 92.56%
Maturities till date 144366
Net G-Sec Borrowings till date 398634
364 Day T-Bill Gross Borrowings till date 134000
OMO Purchases till date 65799
SDL auction till date 271907

Term of the week

Double-barreled bond A bond which is secured by the pledge of two (or more) sources of payment is termed a double barreled bond.

Saturday, March 5, 2016