Weekly Market Review | srei

Weekly Market Review

May 23, 2014

Money Market 23-May-14 16-May-14
Call

8.40%

7.50%

CBLO 8.01% 8.73%
Mibor 7.95% 8.11%
LAF o/s Repo (Rs Cr) 11,701 20,891
Benchmark Securities 21-May-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.91 97.82 8.57 8.84
364 DTB 92.13 91.86 8.73 8.86
07.28%  2019 94.35 93.98 8.69 8.78
08.19%  2020 97.13 96.74 8.84 8.93
08.12%   2020 95.33 94.98 8.82 8.90
08.79%   2021 97.32 96.87 8.82 8.91
07.16%   2023 89.05 88.51 8.96 9.05
08.83%   2023 100.39 100.29 8.77 8.78
09.15%  2024 101.20 101.00 8.97 9.00
08.20%   2025 94.40 94.00 9.00 9.05
08.24%   2027 94.35 93.78 8.99 9.07
08.28%   2027 94.62 93.93 8.98 9.07
09.20%   2030 102.25 101.50 8.93 9.02
08.32%   2032 94.15 93.48 8.98 9.05
08.33%  2036 93.88 93.30 8.97 9.03
08.30%   2042 102.55 101.95 8.98 9.04

Data with one day lag

Call money rate stays below RBI’s repo rate amid improvement in liquidity

Call money rate stayed below the RBI’s repo rate of 8% for most part of the week due to improvement in the liquidity conditions. The call rate however rose to 8.30-8.40% on last trading session of the week on May 23 as compared with 7.50% on May 16 due to demand from banks to cover weekend reserve needs. Liquidity improved due to the oil subsidy payment by the government.

Gilts rose on hopes that the new government will be enforcing fiscal discipline

Gilt prices rallied over the week on hopes that the new government will be enforcing fiscal discipline. The yield on the 10-year benchmark 8.83% 2023 bond fell to 8.64% (lowest since January 22) on May 23 from 8.83% on May 16. Gilt prices got a fillip after it was reported that the Finance Ministry plans to reduce India's fiscal deficit target for 2014-15 (Apr-Mar). Although the Finance Ministry later denied the media report, market participants are hopeful that the new government may adopt a more prudent stance on public spending and consequently lower its market borrowing. The aggressive cut-off yield set for the auction of Andhra Pradesh state development loans, improvement in liquidity, rise in the rupee and the buying support from public sector banks augured well for bond prices. Gilt also maintained positive momentum after the RBI set lower-than-expected yields at Rs 16,000 cr gilt auction on May 23.

Top 5 Traded Securities

ZCYC curve saw fall in yields across maturities

ZCYC curve for latest week saw fall in yields across maturities amid positive sentiments prevailing in the gilt market on hopes of improving financial discipline by new government.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  21-May 13-May 21-May 13-May
1 year 8.96 8.95 0.31 0.21
3 year 9.16 9.26 0.31 0.53
5 year 9.39 9.43 0.50 0.49
10 year 9.39 9.42 0.18 0.24

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 136000
G-Sec Gross Borrowing Completed (%) 22.78%
Maturities till date 40751
Net G-Sec Borrowings till date 95249
364 Day T-Bill Gross Borrowings till date 24000
OMO Purchases till date 0
SDL auction till date 23271

Term of the week

Fixed Maturity Plans (FMPs) FMPs are closed-ended mutual fund schemes with a pre-defined maturity. They invest in a portfolio of debt securities whose maturity or tenure matches that of the scheme. The most commonly offered tenures are 30, 180, 370 and 395 days.

Saturday, May 24, 2014