Weekly Debt Market Review | srei
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Weekly Debt Market Review

September 30, 2016

Money Market 7-Oct-16 30-Sept-16
Call 6.20 6.45
CBLO 6.20 6.00
Mibor 6.25 6.50
LAF o/s Repo (Rs Cr) 3,071 7,429

Benchmark Securities 5-Oct-16
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB  98.45 98.41 6.32 6.50
364 DTB  94.06 93.85 6.46 6.57
07.80%  2021 104.37 103.77 6.66 6.82
08.08%  2022 106.23 105.50 6.76 6.92
7.68%  2023 105.14 104.41 6.76 6.89
07.35%  2024 103.21 102.48 6.81 6.93
07.72%  2025 105.62 104.82 6.85 6.97
07.59%  2026 105.37 104.51 6.80 6.92
08.28%  2027 109.57 109.20 7.01 7.06
08.60%  2028 112.30 111.79 7.03 7.10
07.59%  2029 105.62 105.14 6.91 6.97
07.88%  2030 107.98 107.54 6.96 7.01
09.20%  2030 118.44 118.05 7.10 7.14
07.73%  2034 106.95 106.60 7.05 7.08
08.30%  2040 113.45 112.85 7.12 7.16
08.13% 2045 112.64 112.15 7.09 7.13

Liquidity remained mostly comfortable

The interbank call money rate settled at 6.20% on October 7 as against 6.45% on September 30. As comfortable liquidity conditions persisted, the RBI held reverse repo auctions in every session. Eight reverse repo auctions were conducted with durations ranging from overnight to 13 day durations, for a total notified Rs 3,70,000 crore. In addition, two term repo auctions of 14-day durations each were held for a total notified Rs 38,000 crore. Some indirect tax outflows pushed up the borrowing rate slightly in the second half of the week, but did not put systemic liquidity under much stress.

Gilts end up on RBI policy repo rate cut

Government bond prices strengthened in the week, with the yield of the 10-year benchmark 7.59% 2026 paper settling at 6.85% on October 7 as against 6.96% on September 30. Bonds registered sharp gains in the first four sessions, as sentiment for dated securities was buoyed by the RBI’s decision to slash interest rates. Comments made by RBI Governor Urjit Patel in the customary analyst conference call following the policy announcement hinted that the central bank may ease monetary policy further, thereby spurring further gilt buying. Expectation of benign domestic consumer inflation figures also supported prices intra-week. Prices gave up some gains in the last few sessions on profit sales, and as market players trimmed positions ahead of the weekly debt sale and the release of US non-farm payrolls data. In the weekly bond auction, the RBI sold the 6.84% 2022 paper, the 6.97% 2026 paper, the 7.73% 2034 paper, and the 7.06% 2046 paper for a total notified Rs 15,000 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
  5-Oct 28-Sept 5-Oct 28-Sept
1 year 7.10 7.23 0.73 0.66
3 year 7.12 7.30 0.47 0.51
5 year 7.24 7.40 0.51 0.55
10 year 7.34 7.47 0.44 0.42
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 355000
G-Sec Gross Borrowing Completed (%) 56.83%
Maturities till date 68744
Net G-Sec Borrowings till date 185256
364 Day T-Bill Gross Borrowings till date 130000
OMO Purchases till date 100514
SDL auction till date 133930

Term of the week

Step up bond - A step-up bond is a bond with a coupon that increases at regular intervals, while the bond is outstanding.

Wednesday, October 12, 2016