Weekly Market Review | srei
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Weekly Market Review

May 20, 2016

Money Market 20-May-16 13-May-16
Call 6.35% 6.15%
CBLO 6.51% 5.55%
Mibor 6.55% 6.61%
LAF o/s Repo (Rs Cr) 15,690 18,373

Benchmark Securities 18-May-16
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB  98.33 98.33 6.82 6.82
364 DTB  93.64 93.54 6.95 6.93
08.12%  2020 102.61 102.68 7.43 7.42
08.08%  2022 102.32 102.42 7.60 7.58
7.16%  2022 97.51 97.58 7.63 7.61
07.68%  2023 100.49 100.60 7.59 7.57
07.72%  2025 100.46 100.70 7.65 7.61
07.59%  2026 100.77 101.09 7.48 7.43
08.15%  2026 102.68 102.85 7.77 7.75
08.28%  2027 103.62 103.71 7.79 7.78
07.59%  2029 99.34 99.70 7.67 7.63
07.88%  2030 100.87 101.18 7.77 7.74
09.20%  2030 111.01 111.20 7.90 7.88
07.73%  2034 99.60 99.75 7.77 7.75
08.30%  2040 104.49 104.29 7.88 7.90
08.13% 2045 103.00 103.24 7.87 7.84

Data with two day lag

Liquidity remained mostly comfortable

The borrowing rate remained mostly below the repo rate during the week as liquidity remained comfortable. The call money rate settled at 6.35% on May 20 as against 6.15% on May 13. Funds infused through term repo auctions by the central bank contributed to the fall in the call money rate. The RBI conducted three auctions – two of 14-day duration and one of 28-day duration – infusing a total of Rs 57,000 crore into the banking system. The call money rate rose briefly in the first session of the week owing to outflows towards payment of gilts purchased in the previous week's auction.

Gilts ended the week slightly higher

Government bond prices declined, with the yield of the 10-year benchmark 7.59% 2026 paper settling at 7.48% on May 20 as against 7.45% on May 13. Prices remained locked in a tight range for most of the week in the absence of strong triggers. Weakness in the rupee's exchange rate and the outcome of the auction for foreign institutional investment limits in sovereign debt lent negative cues. Prices fell as the minutes of the US Federal Open Market Committee's (FOMC's) April policy meeting led to investors scaling up expectation of a June rate hike by the US central bank. Bonds also dipped tracking a rise in global crude oil prices and US benchmark treasury yields. However, expectation of additional open market bond purchase announcements from the RBI provided support to prices and prevented a further fall.

Top 5 Traded Securities

ZCYC dipped at the short end

The latest week's ZCYC dipped at the short end, indicating lower yields for shorter term papers, and largely retaining its shape compared to the previous week's curve.

Plot of the Estimated ZCYC

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  18-May 11-May 18-May 11-May
1 year 7.66 7.70 0.74 0.80
3 year 7.85 7.87 0.47 0.50
5 year 8.10 8.09 0.61 0.61
10 year 8.17 8.16 0.56 0.60

Data with two day lag

Government Borrowing Programme (Rs. Cr.)
Budgeted G-Sec Gross Borrowings for 2016-17 600000
Budgeted G-Sec Net Borrowings for 2016-17 425181
Budgeted Redemptions 174,819
G-Sec Gross Borrowings till Date 90,000
G-Sec Gross Borrowing Completed (%) 12.50%
Maturities till date 49614
Net G-Sec Borrowings till date 25386
364 Day T-Bill Gross Borrowings till date 18000
OMO Purchases till date 40,014
SDL auction till date 24355

Term of the week

When Issued Security – The term refers to a conditional security which has been authorized for issuance but has not yet been actually issued. 

Monday, May 23, 2016