Weekly Market Review | srei
  • <none>

Weekly Market Review

May 2, 2014

Money Market 2-May-14 25-Apr-14
Call

7.50%

8.50%

CBLO 8.73% 8.63%
Mibor 8.11% 8.44%
LAF o/s Repo (Rs Cr) 8,229 21,009
Benchmark Securities 30-Apr-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.83 97.83 8.81 8.81
364 DTB 91.84 92.00 8.88 8.89
07.28%  2019 93.79 93.79 8.81 8.81
08.19%  2020 96.30 96.30 9.03 9.03
08.12%   2020 95.76 95.76 8.98 8.98
08.79%   2021 96.39 96.39 8.99 8.99
07.16%   2023 87.99 87.99 9.13 9.13
08.83%   2023 99.85 99.85 8.85 8.85
09.15%  2024 99.87 99.87 9.17 9.17
08.20%   2025 93.35 93.35 9.15 9.15
08.24%   2027 93.34 93.34 9.13 9.13
08.28%   2027 93.50 93.50 9.13 9.13
09.20%   2030 100.91 100.91 9.09 9.09
08.32%   2032 92.85 92.85 9.13 9.13
08.33%  2036 92.35 92.35 9.14 9.14
08.30%   2042 91.84 91.84 9.10 9.10

Data with one day lag

Indian call money rates fell due to the RBI’s liquidity easing and government month end spending

Interbank call money rate fell from 8.45-8.50% on April 25 to 7.5% on May 2 due to the RBI’s actions to ease liquidity and the government’s month end spending. Over the week, liquidity conditions were initially tight as currency in circulation had increased due to the ongoing general elections. The outflow of Rs 16,000 cr following the RBI’s gilt sale on April 25 and the holiday on May 1 added to the stress on liquidity conditions. However call rates eased in the last session of the week as the central bank held a 7 day term repo auction worth Rs 15,000 cr in addition to a 14 day term repo auction worth Rs 60,000 cr on May 2.

Gilt prices rose due to the RBI’s additional term repo and strong demand at the weekly gilt auction

Gilt prices strengthened during the week taking cues from the RBI’s actions to improve liquidity by announcing an additional term repo auction and on strong demand at the weekly gilt auction. Bonds began the week on a strong note as yields on most papers fell due to fading selling pressure ahead of the weekly auction. Strong demand at the weekly auction, which saw the entire notified amount of Rs 16,000 cr sold, helped bonds extend their gains. Caution ahead of the release of key macro-economic data from the US and the US FOMC meeting’s minutes capped gilt price gains. The yield of the 10-year benchmark 8.83% 2023 bond fell from 8.88% on April 25 to 8.81% on May 2.

Top 5 Traded Securities

ZCYC curve almost identical to last week’s curve

ZCYC curve was almost identical to last week’s curve except for lower yield at the short end of the curve

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  30-Apr 23-Apr 30-Apr 23-Apr
1 year 9.40 9.40 0.46 0.46
3 year 9.40 9.40 0.56 0.56
5 year 9.52 9.52 0.61 0.61
10 year 9.58 9.58 0.29 0.29

Data with one day lag

Government Borrowing Programme (Rs. Cr.)
Budgeted G-Sec Gross Borrowings for 2013-14 597000
Budgeted G-Sec Net Borrowings for 2012-13 457000
Budgeted Redemptions 140000
G-Sec Gross Borrowings till Date 84000
G-Sec Gross Borrowing Completed (%) 14.07%
Maturities till date 40751
Net G-Sec Borrowings till date 43249
364 Day T-Bill Gross Borrowings till date 18000
OMO Purchases till date 0
SDL auction till date 14301

Term of the week

Cash Management Bill This is a short term instrument similar to a t-bill that is issued to satisfy temporary cash flow mismatches of the government. However, their maturity unlike a t-bill, is less than 91 days.

Saturday, May 3, 2014