Weekly Market Review | srei
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Weekly Market Review

Aug 14, 2014

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

8.50%

8.40%

CBLO 8.50% 8.32%
Mibor 7.60% 8.35%
LAF o/s Repo (Rs Cr) 20,968 19,878
Benchmark Securities 12-Aug-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.89 97.90 8.65 8.61
364 DTB 92.16 92.02 8.70 8.70
07.28%  2019 94.63 94.29 8.67 8.75
08.27%  2020 98.42 97.80 8.62 8.76
08.12%   2020 97.04 96.63 8.74 8.82
08.35%  2022 97.24 96.92 8.85 8.90
07.16%  2023 89.83 89.35 8.85 8.93
08.83%  2023 100.39 99.76 8.76 8.87
08.20%  2025 95.15 94.93 8.89 8.93
08.33%  2026 96.00 95.73 8.88 8.92
08.28%  2027 95.40 95.05 8.88 8.93
08.60%  2028 98.76 98.20 8.75 8.83
09.20%  2030 102.89 102.40 8.86 8.91
08.32%  2032 95.35 95.00 8.84 8.88
08.33%  2036 95.05 94.75 8.84 8.88
09.23%  2043 104.00 103.60 8.4 8.88

Data with two day lag

Call rate fell due to RBI’s fund infusion before rising ahead of the weekend

After beginning the week above the RBI’s repo rate due to outflows towards payment of excise and service tax, the demand for funds reduced as a result of the RBI’s Rs 15,000 crore 7 day term repo auction. The central bank also provided an additional Rs 10,000 crore through two overnight variable rate repo auctions to support liquidity. Intermittently, the overnight borrowing rate rose as banks demanded funds to meet their daily and extended weekend reserve requirements. The call rate ended at 8.50% on August 14 as against 8.40% on August 8.

Gilts rose on speculation of lower borrowing

Government bond prices strengthened as the Centre’s lower borrowing through sale of gilts during the week improved sentiment. The RBI sold gilts worth only Rs 8,000 cr, lower than the scheduled amount of Rs 14,000 cr. The transfer of RBI’s excess profits to the government during the week supported the view that the Centre’s cash balances have improved, and lent prices support. Speculation that the central bank might announce similar cuts in borrowing next week helped bonds extend their gains. Rumours about the government’s reduced borrowing programme proved to be correct as the RBI after market hours on the last trading day of the week, released a new calendar for the August-September period, indicating lower borrowing. However some gains were cut on selling pressure ahead of CPI-based inflation data for July. The yield of the benchmark 8.83% 2023 paper fell to 8.71% on August 14 from 8.85% on August 8.

Top 5 Traded Securities

ZCYC curve was flatter

ZCYC curve was flatter, with higher yields for near term papers and lower yields for intermediate maturity papers.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  13-Aug 6-Aug 6-Aug 13-Aug
1 year 9.13 9.10 0.23 0.10
3 year 9.28 9.30 0.57 0.71
5 year 9.34 9.37 0.47 0.58
10 year 9.34 9.33 0.25 0.27

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 292000
G-Sec Gross Borrowing Completed (%) 48.91%
Maturities till date 75113
Net G-Sec Borrowings till date 216887
364 Day T-Bill Gross Borrowings till date 60000
OMO Purchases till date 0
SDL auction till date 65196

Term of the week

Real Time Gross SettlementIt is a type of fund transfer system in which the payment is processed without a waiting period and settled on a one to one basis without bunching with any other transaction.

Saturday, August 16, 2014