Weekly Debt Market Review | srei
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Weekly Debt Market Review

September 12, 2016

Money Market 9-Sept-16 2-Sept-16
Call 6.50 6.30
CBLO 6.44 5.12
Mibor 6.50 6.49
LAF o/s Repo (Rs Cr) 3,806 4,740

Benchmark Securities 7-Sept-16
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB  98.39 98.39 6.55 6.55
364 DTB  93.88 94.00 6.67 6.66
07.80%  2021 103.34 103.03 6.94 7.02
08.08%  2022 104.95 104.70 7.04 7.09
7.68%  2023 103.59 103.31 7.04 7.09
07.35%  2024 101.70 101.36 7.06 7.12
07.72%  2025 103.99 103.74 7.10 7.13
07.59%  2026 103.60 103.23 7.06 7.11
08.28%  2027 108.30 108.13 7.18 7.20
08.60%  2028 110.87 110.69 7.21 7.23
07.59%  2029 104.02 103.73 7.10 7.13
07.88%  2030 106.63 106.40 7.11 7.13
09.20%  2030 117.30 116.99 7.22 7.25
07.73%  2034 105.74 105.42 7.16 7.19
08.30%  2040 112.09 111.51 7.23 7.28
08.13% 2045 111.23 110.61 7.20 7.25

Banks continued to enjoy ample liquidity

The interbank call money rate settled at 6.50% on September 9 as against 6.30% on September 2. Reverse repo auctions were conducted by the RBI through the week, thereby pushing up fund demand in the call money market. Eight reverse repo auctions were held, with duration ranging from one day to eight days, for a total notified Rs 2,35,000 crore. In addition, two term repo auctions of 14-day duration each were conducted for a total notified Rs 38,000 crore.

Gilts end up on stronger rupee and RBI OMO auction

Government bonds strengthened, with the yield of the 10-year benchmark 7.59% 2026 paper settling at 7.06% on September 9 as against 7.12% on September 2. Prices rose tracking a sporadic decline in US benchmark treasury yields. The rupee's gain against the US dollar also augured well for bonds. Gilts received more buying support following the release of latest US non-farm payrolls data (released last week). The RBI's decision to conduct an open market bond purchase this week aided bonds. The central bank announced that it will hold an open market bond purchase auction for a notified Rs 10,000 crore on September 8. Market players purchased more gilt anticipating a decline in domestic consumer inflation figures. Some gains were erased on intermittent profit sales and as market players trimmed positions ahead of the weekly bond auction. The RBI sold the 6.84% 2022 paper, the 7.61% 2030 paper, the 7.50% 2034 paper, and the 8.17% 2044 paper for a total notified Rs 14,000 crore.

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_ZCYC

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  7-Sept 31-Aug 7-Sept 31-Aug
1 year 7.29 7.33 0.64 0.66
3 year 7.34 7.44 0.41 0.45
5 year 7.46 7.51 0.46 0.44
10 year 7.57 7.63 0.39 0.40
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 174819
G-Sec Gross Borrowings till Date 327000
G-Sec Gross Borrowing Completed (%) 52.17%
Maturities till date 68744
Net G-Sec Borrowings till date 156256
364 Day T-Bill Gross Borrowings till date 120000
OMO Purchases till date 100514
SDL auction till date 104755

Term of the week

Average maturity - The average time taken for bonds in a portfolio to reach maturity. Changes in interest rates have greater impact on securities with longer average maturity.

Monday, September 12, 2016