Weekly Debt Market Review | srei

Weekly Debt Market Review

September 16, 2016

Money Market 16-Sept-16 9-Sept-16
Call 6.55 6.50
CBLO 5.62 6.44
Mibor 6.49 6.50
LAF o/s Repo (Rs Cr) 14,223 3,806

Benchmark Securities 14-Sept-16
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB  98.41 98.39 6.50 6.55
364 DTB  94.01 93.88 6.64 6.67
07.80%  2021 103.30 103.34 6.94 6.94
08.08%  2022 104.88 104.95 7.05 7.04
7.68%  2023 103.48 103.59 7.06 7.04
07.35%  2024 101.60 101.70 7.08 7.06
07.72%  2025 103.79 103.99 7.13 7.10
07.59%  2026 103.42 103.60 7.08 7.06
08.28%  2027 107.90 108.30 7.23 7.18
08.60%  2028 110.48 110.87 7.25 7.21
07.59%  2029 103.63 104.02 7.15 7.10
07.88%  2030 106.17 106.63 7.16 7.11
09.20%  2030 116.75 117.30 7.28 7.22
07.73%  2034 105.12 105.74 7.22 7.16
08.30%  2040 111.44 112.09 7.28 7.23
08.13% 2045 110.75 111.23 7.24 7.20

Systemic liquidity remains comfortable

Systemic liquidity remained comfortable during the holiday-curtailed week. The borrowing rate settled at 6.55% on September 16 as against 6.50% on September 9. Advance tax outflows in the second half of the week prompted increased fund demand, but did not put systemic liquidity under stress. The RBI continued to hold reverse repo auctions to drain away excess funds. Four reverse repo auctions with durations ranging from overnight to four days were conducted for a total notified Rs 1,80,000 crore.

Gilts traded in narrow range

Government bond prices moved in a narrow range, with the yield of the 10-year benchmark 7.59% 2026 paper settling at 7.05% on September 16 as against 7.06% on September 9. Domestic bonds began the week on a dim note, weighed down by a rise in US benchmark treasury yields. Weakness in the rupee and caution ahead of the US FOMC meeting announcement next week also pulled bond prices down. However, release of latest domestic consumer inflation figures triggered bond buying. Prices received further support from bond purchases made by state-owned banks intraweek. Absence of a weekly gilt sale and expectation of open market bond purchase announcements by the RBI also augured well for gilts. Some gains were also seen in response to comments made by Finance Minister Arun Jaitley, who said that he expects the central bank to take into account the recent fall in consumer inflation while deciding on interest rates at the next monetary policy meeting, scheduled for October 4.

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
  14-Sept 7-Sept 14-Sept 7-Sept
1 year 7.30 7.29 0.69 0.64
3 year 7.38 7.34 0.44 0.41
5 year 7.49 7.46 0.48 0.46
10 year 7.56 7.57 0.35 0.39
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 125000
OMO Purchases till date 100514
SDL auction till date 121530

Term of the week

Tranche - Tranche, means 'slice' in French. Bonds issued by various entities are often sold in tranches, wherein smaller portions of the total issue size are made available to investors for purchase.

Saturday, September 17, 2016