Weekly Debt Market Review | srei
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Weekly Debt Market Review

December 16, 2016

Money Market 16-Dec-16 9-Dec-16
Call 6.35 5.80
CBLO 6.14 5.57
Mibor 6.28 6.25
LAF o/s Repo (Rs Cr) 7,032 9,061

Benchmark Securities 14-Dec-16
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB  98.49 98.48 6.17 6.20
364 DTB  95.97 94.80 6.25 6.22
07.80%  2021 105.30 105.25 6.37 6.39
08.08%  2022 107.18 107.55 6.53 6.46
7.68%  2023 106.68 106.66 6.48 6.48
07.72%  2025 107.02 107.10 6.62 6.61
07.59%  2026 107.16 106.98 6.53 6.56
06.97%  2026 104.04 104.00 6.40 6.41
08.28%  2027 111.15 111.41 6.80 6.77
08.60%  2028 113.45 114.05 6.88 6.82
07.59%  2029 107.22 107.45 6.71 6.69
07.61%  2030 107.96 108.30 6.70 6.66
09.20%  2030 120.20 120.67 6.90 6.86
07.73%  2034 108.30 109.20 6.92 6.83
08.30%  2040 114.07 116.11 7.06 6.91
08.13%  2045 113.87 116.00 7.00 6.85

Call money rate remained mostly low

Systemic liquidity remained comfortable in the holiday-shortened week. Money markets remained closed on December 12 on account of Eid-e-Milad. The call rate settled at 6.35% on December 16 as against 5.80% on December 9. Demand for funds remained low following the withdrawal of the incremental cash reserve ratio (CRR) requirement over the weekend. To drain away excess funds, the banking regulator conducted auctions of cash management bills and held reverse repo auctions. Some outflows were witnessed related to payment of advance taxes in the second half of the week, but did not impact liquidity significantly.

Gilts fell following US Fed interest rate policy announcement

Government bonds fell sharply following the outcome of the US FOMC policy meeting. The yield of the 10-year benchmark 6.97% 2026 paper settled at 6.50% on December 16 as against 6.44% on December 9. The US Fed's policy statement suggested that the central bank could tighten its monetary policy at a more aggressive pace than was previously expected. The dot plot of interest rate estimates by committee members suggested a cumulative increase of 75 basis points (bps) could be in store for 2017, as against 50 bps implied earlier. Favourable domestic consumer inflation figures, absence of a weekly bond sale and value buying in the week's last session prevented prices from falling further.

Top_5_Traded_Securities

ZCYC shifted upward

The latest week's ZCYC shifted upward indicating rise in yields across maturities. Rise in yields was nearly uniform at both shorter end and longer end.

Plot_of_the_ZCYC

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  14-Dec 7-Dec 14-Dec 7-Dec
1 year 6.71 6.72 0.47 0.45
3 year 6.94 6.90 0.63 0.63
5 year 7.10 6.97 0.67 0.58
10 year 7.27 7.22 0.76 0.57
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 273256
364 Day T-Bill Gross Borrowings till date 268000
OMO Purchases till date 110514
SDL auction till date 236259

Term of the week

Residual maturity - It is the time remaining till a bond matures. For example, a 10 year bond issued 5 years ago will have a current residual maturity of 5 years.

Saturday, December 17, 2016