Weekly Market Review | srei
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Weekly Market Review

February 28, 2014

Money Market 28-Feb-14 21-Feb-14
Call 7.90% 8.25%
CBLO 7.98% 7.46%
Mibor 8.08% 8.04%
LAF o/s Repo (Rs Cr) 22159 28228
Benchmark Securities 26-Feb-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.758 97.77 9.10 9.06
364 DTB 91.943 91.74 8.96 9.00
07.28%  2019 92.70 93.14 9.05 8.93
08.19%  2020 95.26 95.62 9.25 9.16
08.12%   2020 94.28 94.86 9.27 9.15
08.79%   2021 97.14 97.62 9.31 9.22
07.16%   2023 86.81 87.53 9.32 9.19
08.83%   2023 99.42 100.38 8.92 8.77
09.15%  2024 99.30 99.70 9.25 9.19
08.20%   2025 92.22 92.70 9.31 9.24
08.24%   2027 91.81 92.52 9.34 9.24
08.28%   2027 91.99 92.61 9.33 9.24
09.20%   2030 99.30 99.83 9.28 9.22
08.32%   2032 91.37 91.93 9.31 9.24
08.33%  2036 91.00 91.37 9.29 9.25
08.30%   2042 90.25 90.80 9.27 9.21

Data with two day lag

Indian call money rate fell amid comfortable liquidity

The call rate fell over the week to end at 7.75-7.90% on February 28 as compared with 8.00-8.25% on February 21 indicating a low demand for funds by banks due to a comfortable liquidity position. In addition to the RBI’s fund infusion through its term repo auctions, liquidity has improved due to gilt redemptions worth Rs 15,200 cr on February 24.

Gilt prices fell sharply due to fears regarding OMOs and the state loan auction results

Gilt prices fell sharply in the week ended February 28 on waning hopes of gilt purchases by the RBI and on caution before the release of the state loan auction results. Earlier in the week, gilt prices fell on caution ahead of the state loan auction on February 25, which saw 11 states raise Rs 7,650 cr. RBI’s announcement to conduct term repo auctions in March also dented the appetite for gilts as it dashed hopes of further gilt purchases by the central bank via open market operations. However further losses were capped after the RBI announced cutoff yields along expected lines at the auction and due to the RBI chief’s bullish remarks about the central bank’s policies and the present interest rate environment. Bond prices also took cues from a fall in US treasury yields following US Fed chief Janet Yellen’s remarks that the FOMC would closely monitor the US economy and review its stimulus programme if the need arose. The 10-year benchmark 8.83% 2023 bond ended at 8.86% yield on February 28 as against 8.80% yield on February 21.

Top 5 Traded Securities

ZCYC curve rose at the shorter end

ZCYC curve rose at the short end due to a rise in yields of short-term papers while the curve fell marginally at the longer end as compared to the previous week’s yield curve.

ZCYC Curve Plot

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  26-Feb 18-Feb 26-Feb 18-Feb
1 year 9.93 9.88 1.06 1.05
3 year 9.78 9.80 0.78 0.81
5 year 9.80 9.74 0.65 0.54
10 year 9.74 9.65 0.29 0.25

Data with two day lag

Government Borrowing Programme (Rs. Cr.)
Budgeted G-Sec Gross Borrowings for 2013-14 563911
Budgeted G-Sec Net Borrowings for 2012-13 468902
Budgeted Redemptions 95009
G-Sec Gross Borrowings till Date 563504
G-Sec Gross Borrowing Completed (%) 99.93%
Maturities till date 95009
Net G-Sec Borrowings till date 468495
364 Day T-Bill Gross Borrowings till date 123901
OMO Purchases till date 54535
SDL auction till date 192101

Term of the week

CBLO – A CBLO (Collateralized Borrowing and Lending Obligation) is an instrument for borrowing and lending money. It is useful for those entities that can’t borrow from the call money market due to various restrictions.

Saturday, March 1, 2014