Weekly Market Review | srei

Weekly Market Review

Aug 8, 2014

Money Market 8-Aug-14 1-Aug-14
Call

8.40%

7.10%

CBLO 8.32% 8.00%
Mibor 8.35% 8.00%
LAF o/s Repo (Rs Cr) 19,878 15,379
Benchmark Securities 6-Aug-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.90 97.89 8.61 8.62
364 DTB 92.02 92.21 8.70 8.64
07.28%  2019 94.29 95.40 8.75 8.45
08.27%  2020 97.80 96.20 8.76 8.65
08.12%   2020 96.63 97.55 8.82 8.63
08.35%  2022 96.92 97.87 8.90 8.73
07.16%  2023 89.35 90.25 8.93 8.77
08.83%  2023 99.76 100.62 8.87 8.73
08.20%  2025 94.93 95.73 8.93 8.84
08.33%  2026 95.73 96.77 8.92 8.77
08.28%  2027 95.05 96.14 8.93 8.78
08.60%  2028 98.20 99.55 8.83 8.65
09.20%  2030 102.40 103.90 8.91 8.74
08.32%  2032 95.00 96.15 8.88 8.75
08.33%  2036 94.75 96.08 8.88 8.73
09.23%  2043 103.60 105.25 8.88 8.73

Data with two day lag

Call rate rose on payment towards indirect taxes

After starting the week below the RBI’s repo rate, the call money rate increased as the liquidity deficit widened on account of outflows towards payment of indirect taxes. Liquidity was also under stress as the RBI redeemed funds provided through last week’s term repo on August 6, leading to an outflow of Rs 20,000 cr from the banking system. The government’s food subsidy payments and funds from last week’s term repo ensured comfortable liquidity at the start of the week. The call rate ended at 8.40% on August 8 as against 7.10% on August 1.

Gilts fell on RBI’s hawkish policy stance

Gilt prices mainly took cues from the RBI’s bi-monthly monetary policy review this week. The yield of the benchmark 8.83% 2023 bond rose to 8.85% on August 8 from 8.75% on August 1. The yield of the 10-year 8.40% 2024 paper also ended higher at 8.64% on August 8 compared with 8.52% on August 1. Sentiment for gilts was dented as participants expressed disappointment on the RBI’s policy decisions. The RBI’s hawkish policy stance quelled all hopes of an interest rate cut in the near future even as gilt sales by FIIs put more pressure on bond prices later in the week. A rise in crude oil prices in the last session of the week after the US ordered air strikes against Iraq weighed on prices. Gilts received respite, however, as some participants made purchases believing the fall in prices, as a result of the policy review, was excessive. Bonds were also supported by the rupee’s recovery against the dollar and the RBI’s successful gilt sale, which was fully subscribed.

Top 5 Traded Securities

ZCYC curve sloped upwards at the short end of the maturity spectrum and was flatter at the intermediate and long ends.

Plot of the Estimated ZCYC

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  6-Aug 30-Jul 6-Aug 30-Jul
1 year 9.10 9.05 0.10 0.21
3 year 9.30 9.20 0.71 0.73
5 year 9.37 9.30 0.58 0.68
10 year 9.33 9.28 0.27 0.36

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 284000
G-Sec Gross Borrowing Completed (%) 47.57%
Maturities till date 75113
Net G-Sec Borrowings till date 208887
364 Day T-Bill Gross Borrowings till date 60000
OMO Purchases till date 0
SDL auction till date 59946

Term of the week

Pass Through CertificateA PTC is a certificate that is given to an investor against certain mortgaged-backed securities that lie with the issuer.

Saturday, August 9, 2014