Weekly Market Review | srei

Weekly Market Review

May 9, 2014

Money Market 9-May-14 2-May-14
Call

8.25%

7.50%

CBLO 8.13% 8.73%
Mibor 8.14% 8.11%
LAF o/s Repo (Rs Cr) 20,923 8,229
Benchmark Securities 7-May-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.85 97.83 8.80 8.81
364 DTB 91.99 91.84 8.87 8.88
07.28%  2019 93.79 93.79 8.82 8.81
08.19%  2020 96.70 96.30 8.94 9.03
08.12%   2020 94.80 95.76 8.94 8.98
08.79%   2021 96.60 96.39 8.95 8.99
07.16%   2023 88.89 87.99 9.03 9.13
08.83%   2023 100.17 99.85 8.80 8.85
09.15%  2024 100.90 99.87 9.02 9.17
08.20%   2025 94.00 93.35 9.05 9.15
08.24%   2027 93.67 93.34 9.08 9.13
08.28%   2027 93.63 93.50 9.08 9.13
09.20%   2030 101.52 100.91 9.02 9.09
08.32%   2032 93.60 92.85 9.04 9.13
08.33%  2036 93.25 92.35 9.04 9.14
08.30%   2042 101.95 91.84 9.04 9.10

Data with one day lag

Call money rate rose on increased demand for funds to meet excise and service tax payments

Interbank call money rate rose to 8.75-9.00% on May 9 from 7.5% on May 2 due to increased demand for funds to meet excise and service tax payments during the week and to meet weekend reserve requirements. However, the liquidity condition was comfortable for most of the week, with the call money rate trading mostly near the repo rate of 8%. Markets enjoyed comfortable liquidity conditions due to the RBI’s cash injection of Rs 75,000 cr through term repo auctions on May 2. Month-end spending in the last week of April by the government also supported liquidity conditions.

Gilt prices rose on hopes of favourable outcome from election results

Gilt prices strengthened during the week on hopes of a favourable outcome once election results are announced on May 16. Gilt prices also rose tracking sporadic gains in the rupee and after participants made purchases taking into consideration gilt redemptions next week. A cautious stance before the weekly gilt auction and the release of IIP and inflation data next week however capped further gains in bond prices. Gilt prices also fell on caution ahead of US Fed Chief Janet Yellen’s testimony before the congressional committee. Lower than expected cut off yields set by the RBI at the weekly gilt auction also dented sentiment. The yield of the 10-year benchmark 8.83% 2023 bond fell from 8.81% on May 2 to 8.75% on May 9.

Top 5 Traded Securities

ZCYC curve falls at both ends

ZCYC curve fell at both the short end and long end of the curve, indicating a drop in yields for shorter and longer maturity papers, compared to the previous week.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  7-May 30-Apr 7-May 30-Apr
1 year 9.30 9.40 0.41 0.46
3 year 9.31 9.40 0.50 0.56
5 year 9.42 9.52 0.47 0.61
10 year 9.43 9.58 0.23 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 100000
G-Sec Gross Borrowing Completed (%) 16.75%
Maturities till date 40751
Net G-Sec Borrowings till date 59249
364 Day T-Bill Gross Borrowings till date 18000
OMO Purchases till date 0
SDL auction till date 14301

Term of the week

Commercial paper (CP) This is a short term debt instrument that is not backed by any collateral, and issued primarily by high quality corporate entities. These are issued in denominations of Rs 5 lakh or multiples of Rs 5 lakh, and their maturity ranges from seven days to 1 year.

Saturday, May 10, 2014