Weekly Market Review | srei

Weekly Market Review

July 4, 2014

Money Market 4-Jul-14 27-Jun-14
Call

8.00%

8.80%

CBLO 7.79% 8.39%
Mibor 7.64% 8.23%
LAF o/s Repo (Rs Cr) 2,025 18,663
Benchmark Securities 2-Jul-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.93 97.92 8.47 8.52
364 DTB 92.24 92.05 8.60 8.66
07.28%  2019 94.98 94.83 8.55 8.58
08.19%  2020 98.04 97.73 8.64 8.71
08.12%   2020 95.98 95.73 8.69 8.74
08.79%   2021 98.00 97.70 8.70 8.76
07.16%   2023 90.25 90.08 8.76 8.79
08.83%   2023 101.08 100.80 8.66 8.70
09.15%  2024 96.05 95.72 8.76 8.80
08.20%   2025 96.85 96.58 8.76 8.80
08.24%   2027 96.20 95.95 8.74 8.77
08.28%   2027 96.59 96.13 8.72 8.78
09.20%   2030 104.30 104.00 8.70 8.73
08.32%   2032 96.55 96.21 8.70 8.74
08.33%  2036 96.30 96.05 8.71 8.74
08.30%   2042 105.50 105.11 8.71 8.74

Data with two day lag

Call money rate fell on comfortable liquidity

The interbank call money rate remained below the RBI’s repo rate for most of the week, indicating comfortable liquidity conditions in the banking system. The central bank held a 4-day term reverse repo auction for a notified amount of Rs 20,000 cr to get rid of excess liquidity. Overnight borrowing rates were elevated at the start of the week as banks stepped up their short-term loan disbursements towards the quarter-end. Call rates also rose in the last session of the week as banks borrowed to meet weekend reserve needs. The interbank call money rate ended at 7.90-8.00% on July 4 as against 8.80% on June 27.

Gilts rose on favorable global and domestic cues

Sentiment surrounding domestic and international economic data dictated the direction of bond prices during the week; yield on the benchmark 8.83% 2023 paper fell to 8.66% on July 4 from 8.75% on June 27. Sentiment for gilts improved considerably following finance minister ArunJaitley’s comments on fiscal consolidation during the week. Quarter-end buying by participants and a strengthening rupee, together with reduced volatility in global crude oil prices, also supported gilts. Some gains were cut after the release of discouraging fiscal deficit figures for the first two months of the financial year. Prices came under pressure after the RBI conveyed to some banks that it would reduce the limit on held-to-maturity bond requirements. Strong employment data from the US weighed on gilts. Caution before the RBI’s weekly gilt auction and the Union Budget next week also prevented gains.

Top 5 Traded Securities

ZCYC curve tapered at the short end of the curve

ZCYC curve tapered at the short end of the curve, with a marked decrease in yields for near term papers, compared to a flatter curve last week.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  2-Jul 25-Jun 2-Jul 25-Jun
1 year 8.96 9.03 0.38 0.48
3 year 9.07 9.12 0.55 0.61
5 year 9.16 9.19 0.39 0.40
10 year 9.16 9.14 0.17 0.17

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 213000
G-Sec Gross Borrowing Completed (%) 35.86%
Maturities till date 75113
Net G-Sec Borrowings till date 137887
364 Day T-Bill Gross Borrowings till date 42000
OMO Purchases till date 0
SDL auction till date 43896

Term of the week

Junk bondsSuch bonds are typically issued by companies with a low credit rating. They offer a high yield to bondholders as compensation for bearing greater risk.

Saturday, July 5, 2014