Weekly Market Review | srei
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Weekly Market Review

June 13, 2014

Money Market 13-Jun-14 6-Jun-14
Call

8.75%

8.40%

CBLO 7.62% 7.91%
Mibor 8.07% 7.92%
LAF o/s Repo (Rs Cr) 14,125 2,485
Benchmark Securities 11-Jun-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.93 97.94 8.49 8.45
364 DTB 92.14 92.27 8.56 8.57
07.28%  2019 95.49 95.38 8.41 8.43
08.19%  2020 98.53 98.35 8.52 8.56
08.12%   2020 96.62 96.48 8.54 8.57
08.79%   2021 98.87 98.63 8.55 8.59
07.16%   2023 91.08 90.59 8.61 8.69
08.83%   2023 101.88 101.55 8.53 8.59
09.15%  2024 97.00 103.13 8.62 8.69
08.20%   2025 97.83 96.45 8.62 8.70
08.24%   2027 97.83 96.44 8.62 8.71
08.28%   2027 97.46 96.64 8.60 8.71
09.20%   2030 105.50 104.60 8.57 8.67
08.32%   2032 97.55 96.75 8.59 8.68
08.33%  2036 97.63 96.58 8.57 8.68
08.30%   2042 107.20 105.80 8.56 8.68

Data with two day lag

Call money rate rose on increased demand to meet corporate advance tax payments

Call money rates remained close to the RBI’s reverse repo rate of 7% for most of the week tracking an intermittent fall in CBLO rates, a comfortable liquidity condition, and due to the RBI’s market intervention to prevent rupee appreciation against the dollar. Call rates however rose in the last session of the week as demand for funds increased to make corporate advance tax payments over the weekend; the call money rate ended at 8.70-8.75% on June 13 as against 8.40% on June 6.

Gilt prices fell on subdued FII participation and fall in the rupee

Gilt prices moved down due to subdued FII participation in the markets with the yield of the 8.83% 2023 benchmark paper rising to 8.60% on June 13 as against 8.51% on June 6. At the start of the week, FIIs were forced to halt their bond purchases after they crossed the gilt investment limit of 90%. Hopes that the government may raise FII debt limits were dashed after Finance Secretary ArvindMayaram and RBI Deputy Governor H R Khan clarified that no discussions for the same had taken place, causing gilt prices to fall further. Gilt yields rose in the last session of the week on the back of crude oil prices which rose to a nine-month high owing to geopolitical tension in Iraq. Fall in gilt prices was, however, capped by positive CPI-based inflation data for May. Data showed that retail inflation for May had eased to 8.28% after coming in at 8.59% in April. Absence of a weekly gilt auction and intermittent value buying also helped restrict losses.

Top 5 Traded Securities

ZCYC curve shifted upwards

ZCYC curveshifted upwards and was flatter with higher yields for papers at the short end and long end of the curve.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  11-Jun 4-Jun 11-Jun 4-Jun
1 year 8.67 8.76 0.29 0.25
3 year 9.06 9.05 0.58 0.47
5 year 9.12 9.14 0.53 0.48
10 year 9.06 9.19 0.25 0.29

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 36000
OMO Purchases till date 0
SDL auction till date 37766

Term of the week

Credit qualityIt indicates the bond issuer’s ability to repay bondholders; in other words, it conveys to investors the likelihood that the issuer will default. Credit quality of debt instruments is assessed by ratings agencies such as CRISIL. Investors unwilling to take on more risk should invest in higher credit quality instruments.

Saturday, June 14, 2014