Weekly Market Review | srei
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Weekly Market Review

July 11, 2014

Money Market 11-Jul-14 4-Jul-14
Call

8.70%

8.00%

CBLO 8.21% 7.79%
Mibor 8.92% 7.64%
LAF o/s Repo (Rs Cr) 18,367 2,025
Benchmark Securities 9-Jul-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.92 97.93 8.54 8.47
364 DTB 92.07 92.24 8.64 8.60
07.28%  2019 94.78 94.98 8.61 8.55
08.19%  2020 95.70 98.04 8.76 8.64
08.12%   2020 97.10 95.98 8.72 8.69
08.79%   2021 97.64 98.00 8.77 8.70
07.16%   2023 90.02 90.25 8.80 8.76
08.83%   2023 100.63 101.08 8.73 8.66
09.15%  2024 95.79 96.05 8.80 8.76
08.20%   2025 96.73 96.85 8.78 8.76
08.24%   2027 96.21 96.20 8.77 8.74
08.28%   2027 99.94 96.59 8.61 8.72
09.20%   2030 103.90 104.30 8.74 8.70
08.32%   2032 96.35 96.55 8.72 8.70
08.33%  2036 96.10 96.30 8.73 8.71
08.30%   2042 105.15 105.50 8.74 8.71

Data with two day lag

Call money rate rose on excise and service tax outflows

The interbank call money rate remained around the RBI’s MSF rate of 9% for most of the week amid strong demand for funds from banks to meet excise and service tax outflows; the overnight borrowing rate ended at 8.50-8.70% on July 11 as against 7.90-8.00% on July 4. Outflows to the tune of around Rs 25,000 cr from the banking system on account of tax payments widened the liquidity deficit. To prop up liquidity, the RBI held a 14-day repo auction on July 11 for a notified amount of Rs 61,000 cr. The auction saw good demand; bids worth over Rs 84,000 cr were received.

Giltsfell on doubt about ambitious fiscal deficit target

Government bond prices weakened during the week taking cues from important domestic announcements including the pre-budget economic survey and the Union Budget. The yield of the benchmark 8.83% 2023 gilt rose to 8.77% on July 11 from 8.66% on July 4. Bond prices received support on the expectation that the government will introduce fiscally prudent and non-populist reforms. Bond prices, however, came under pressure amid persisting doubts about the government’s fiscal deficit target of 4.1% for the current financial year. Uncertainty about the government’s road map for fiscal consolidation, which outlined a fiscal deficit target of 3.6% for FY16 and 3% for FY17, weighed on gilts. Bond prices also fell on caution as participants eyed the RBI’s Rs 15,000 cr weekly gilt auction and domestic inflation data due for release next week.

Top 5 Traded Securities

ZCYC curve tapered upwards at the short end

ZCYC curve tapered upwards at the short end of the curve, with a marked increase in yields for near term papers.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  9-Jul 2-Jul 9-Jul 2-Jul
1 year 8.96 8.96 0.29 0.38
3 year 9.09 9.07 0.58 0.55
5 year 9.19 9.16 0.45 0.39
10 year 9.13 9.16 0.20 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 228000
G-Sec Gross Borrowing Completed (%) 38.19%
Maturities till date 75113
Net G-Sec Borrowings till date 152887
364 Day T-Bill Gross Borrowings till date 48000
OMO Purchases till date 0
SDL auction till date 50146

Term of the week

Floating Rate BondsIntroduced in India in 1995, these bonds pay interest that varies according to market interest rates unlike regular bonds. The coupon interest rate payable is reset at periodic intervals such as 6 months or 1 year

Saturday, July 12, 2014