Weekly Market Review | srei

Weekly Market Review

June 6, 2014

Money Market 6-Jun-14 30-May-14
Call

8.40%

8.40%

CBLO 7.91% 8.01%
Mibor 7.92% 7.95%
LAF o/s Repo (Rs Cr) 2,485 6,159
Benchmark Securities 4-Jun-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.94 97.91 8.45 8.58
364 DTB 92.27 92.05 8.57 8.66
07.28%  2019 95.38 94.75 8.43 8.59
08.19%  2020 98.35 97.60 8.56 8.73
08.12%   2020 96.48 95.80 8.57 8.72
08.79%   2021 98.63 97.88 8.59 8.72
07.16%   2023 90.59 89.65 8.69 8.85
08.83%   2023 101.55 100.81 8.59 8.70
09.15%  2024 103.13 101.90 8.69 8.87
08.20%   2025 96.45 95.25 8.70 8.87
08.24%   2027 96.44 94.95 8.71 8.91
08.28%   2027 96.64 95.19 8.71 8.90
09.20%   2030 104.60 103.05 8.67 8.84
08.32%   2032 96.75 95.10 8.68 8.87
08.33%  2036 96.58 94.78 8.68 8.87
08.30%   2042 105.80 103.75 8.68 8.87

Data with two day lag

Call money rate rose on firm demand from banks

The interbank call money rate ended higher in the week amid firm demand from banks to meet reserve needs. Banks also borrowed to cover outflow of funds over the weekend on account of excise and sales tax payment by companies. Inflows on account of the government's month-end spending and payment of oil subsidy had kept liquidity comfortable, but a term reverse repo auction of Rs 15,000 cr conducted by the RBI on June 2 sucked out excess liquidity.

Gilt prices rose on hopes of rate cut in months ahead

Gilt prices rose sharply with the yield on the 10 year benchmark 8.83%, 2023 bond falling to a four-month low of 8.51% on June 6 from 8.64% on May 30 as the underlying sentiment turned optimistic over the possibility of the RBI cutting interest rates in months ahead if the inflation rate fell faster than anticipated. In its second bi-monthly policy review on June 3, the RBI left the repo rate unchanged at 8%, and said a faster-than-anticipated disinflation could give it some headroom to ease the policy stance. The central bank also lowered SLR to 22.5% from 23% effective the fortnight beginning June 14. The market cheered the shift in the RBI's policy stance to dovish while taking the SLR cut in its stride. Gilt prices also soared as market participants were bullish on expectation of purchases from foreign institutional investors. However, gains in gilt prices were capped on that the RBI was considering the issue of a new 10-year bond as the current benchmark's outstanding figure has reached Rs 69,000 cr.

Top 5 Traded Securities

ZCYC curve fell at both ends

ZCYC curve tapered at both ends due to a fall in yields at shorter as well as longer maturity bonds.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  4-Jun 28-May 4-Jun 28-May
1 year 8.76 8.77 0.25 0.21
3 year 9.05 9.12 0.47 0.47
5 year 9.14 9.28 0.48 0.52
10 year 9.19 9.30 0.29 0.25

Data with two 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 168000
G-Sec Gross Borrowing Completed (%) 28.14%
Maturities till date 75113
Net G-Sec Borrowings till date 92887
364 Day T-Bill Gross Borrowings till date 30000
OMO Purchases till date 0
SDL auction till date 33286

Term of the week

Statutory Liquidity Ratio (SLR)it is the percentage of total deposits banks have to invest in government bonds and other approved securities. It restricts the bank's leverage in pumping more money into the economy.

Sunday, June 8, 2014