Weekly Debt Market Review | srei
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Weekly Debt Market Review

December 2, 2016

Money Market 2-Dec-16 25-Nov-16
Call 6.00 5.90
CBLO 6.06 5.57
Mibor 6.19 6.21
LAF o/s Repo (Rs Cr) 2,741 2,167

Benchmark Securities 30-Nov-16
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB  98.55 98.56 5.90 5.85
364 DTB  94.46 94.44 6.00 5.90
07.80%  2021 106.02 105.93 6.20 6.23
08.08%  2022 108.25 108.20 6.32 6.34
7.68%  2023 107.80 107.71 6.29 6.31
07.72%  2025 108.42 108.50 6.42 6.41
07.59%  2026 108.37 108.29 6.36 6.38
06.97%  2026 105.24 104.99 6.24 6.28
08.28%  2027 113.12 112.53 6.56 6.64
08.60%  2028 115.70 115.50 6.63 6.65
07.59%  2029 109.31 109.44 6.48 6.47
07.61%  2030 110.22 110.40 6.46 6.44
09.20%  2030 121.90 121.75 6.74 6.76
07.73%  2034 111.50 110.85 6.63 6.69
08.30%  2040 117.70 117.00 6.78 6.84
08.13%  2045 118.80 117.20 6.65 6.76

Call money rate rose on incremental CRR move

The inter-bank call money rate rose sharply early in the week after the RBI, on November 26, announced an incremental CRR of 100% on deposits with banks between September 16 and November 11 in an attempt to suck out excess liquidity following the withdrawal of Rs 500 and Rs 1,000 notes from circulation. However, improvement in systematic liquidity due to series of repo auctions, month-end government spending and reversal of previously held reverse repos resulting in fall in call rates. The call rate ended at 6.00% on December 2 against 5.90% on November 25.

Gilts ended lower on MSS annoucement

Government bond prices ended volatile week marginally lower in the week with the 10-year benchmark 6.97%, 2026 bond ended at 6.24% yield on December 2 compared with 6.23% yield on November 25. Prices fell sharply earlier in the week due to the RBI's decision to impose an additional CRR requirement for banks, which may impound most of the surplus liquidity of the banking system. Sentiment also turned sour after RBI Governor Urjit Patel said the central bank would issue securities under Market Stabilisation Scheme (MSS) to further manage the liquidity condition. The RBI's announcement that it has revised the ceiling on issuance of securities under MSS to Rs 6 lakh crore, from the previous limit of Rs 30,000 crore for FY2016-17 also weighed on bond prices. However, further fall in bond prices was capped on value buying, improved systematic liquidity condition and hopes of rate cut by MPC policy makers.

Top_5_Traded_Securities

ZCYC shifted upward

The latest week's ZCYC shifted upward indicating rise in yields across maturities. Rise in yields was higher at shorter end vis-a-vis longer end.

Plot of the ZCYC

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  30-Nov 23-Nov 30-Nov 23-Nov
1 year 6.59 6.52 0.56 0.59
3 year 6.71 6.70 0.61 0.52
5 year 6.74 6.75 0.57 0.49
10 year 7.03 6.99 0.58 0.54
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 400000
G-Sec Gross Borrowing Completed (%) 56.83%
Maturities till date 68744
Net G-Sec Borrowings till date 259256
364 Day T-Bill Gross Borrowings till date 262000
OMO Purchases till date 110514
SDL auction till date 218938

Term of the week

Market Stabilisation Scheme - MSS (Market Stabilisation Scheme) securities are issued with the objective of providing the RBI with a stock of securities with which it can intervene in the market for managing liquidity.

Saturday, December 3, 2016