Weekly Market Review | srei
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Weekly Market Review

Aug 1, 2014

Money Market 1-Aug-14 25-Jul-14
Call

7.10%

8.50%

CBLO 8.00% 8.74%
Mibor 8.00% 8.90%
LAF o/s Repo (Rs Cr) 15,379 17,235
Benchmark Securities 30-Jul-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.89 97.91 8.62 8.57
364 DTB 92.21 92.04 8.64 8.67
07.28%  2019 95.40 95.30 8.45 8.48
08.19%  2020 96.20 96.27 8.65 8.63
08.12%   2020 97.55 97.73 8.63 8.59
08.79%   2021 97.87 98.25 8.73 8.66
07.16%   2023 90.25 90.55 8.77 8.71
08.83%   2023 100.62 101.05 8.73 8.66
09.15%  2024 95.73 96.20 8.84 8.74
08.20%   2025 96.77 97.15 8.77 8.72
08.24%   2027 96.14 96.75 8.78 8.70
08.28%   2027 99.55 100.44 8.65 8.54
09.20%   2030 103.90 104.70 8.74 8.65
08.32%   2032 96.15 96.95 8.75 8.66
08.33%  2036 96.08 96.85 8.73 8.65
08.30%   2042 105.25 106.00 8.73 8.66

Data with two day lag

Call money rate fell due to the RBI’s term repo

The interbank call money rate began the week on the higher side due to outflows towards payment of gilts purchased in last week’s gilt sale. Demand for funds also rose intermittently as banks borrowed to meet weekend and daily reserve needs, amid month-end outflows. However, the central bank’s Rs 20,000 cr term repo and the government’s month end spending eased the pressure on call rates. The call money rate fell from 8.20-8.50% on July 25 to 7.10% on August 1.

Gilts fell due to the RBI’s unexpected gilt reissue and multiple price auction method

Gilts began the week on a weak note as participants exercised caution amid tight liquidity, ahead of several US data releases. The central bank dented sentiment for gilts by unexpectedly deciding to reissue the new 10-year 8.40% 2024 paper at the weekly gilt sale and adopt a multiple-price approach method for the auction. Significant devolvement to primary dealers at the gilt auction further curbed the appetite for gilts. Caution ahead of the RBI’s monetary policy review next week and the rupee’s weak performance against the dollar also added pressure on gilt prices. However, some losses were erased after liquidity conditions were boosted by the RBI’s term repo. Intermittent value buying, including purchases by FIIs, also supported prices. The yield of the benchmark 8.83% 2023 gilt rose to 8.75% on August 1 from 8.67% on July 25. The 10-year 8.40% 2024 gilt ended at 8.52% yield on August 1 from 8.39% yield on July 25.

Top 5 Traded Securities

ZCYC curve sloped upwards

ZCYC curve sloped upwards with lower yields for short maturity papers and higher yields for longer maturity papers.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  30-Jul 23-Jul 30-Jul 23-Jul
1 year 9.05 8.91 0.21 0.18
3 year 9.20 9.22 0.73 0.71
5 year 9.30 9.28 0.68 0.60
10 year 9.28 9.21 0.36 0.31

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 270000
G-Sec Gross Borrowing Completed (%) 45.23%
Maturities till date 75113
Net G-Sec Borrowings till date 194887
364 Day T-Bill Gross Borrowings till date 54000
OMO Purchases till date 0
SDL auction till date 59946

Term of the week

Mortgage Backed SecuritiesThey are types of asset-backed securities wherein investors receive periodic interest and principal payments from a pool of underlying mortgage loans.

Saturday, August 2, 2014