Weekly Market Review | srei

Weekly Market Review

March 7, 2014

Money Market 7-Mar-14 28-Feb-14
Call 8.40% 7.90%
CBLO 6.96% 7.98%
Mibor 8.02% 8.08%
LAF o/s Repo (Rs Cr) 26,770 22159
Benchmark Securities 5-Mar-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.76 97.73 9.18 9.10
364 DTB 91.74 91.94 9.03 8.96
07.28%  2019 93.00 92.70 8.98 9.05
08.19%  2020 95.39 95.26 9.22 9.25
08.12%   2020 94.60 94.28 9.21 9.27
08.79%   2021 97.36 97.14 9.28 9.31
07.16%   2023 87.20 86.81 9.25 9.32
08.83%   2023 99.90 99.42 8.84 8.92
09.15%  2024 99.37 99.30 9.24 9.25
08.20%   2025 92.30 92.22 9.30 9.31
08.24%   2027 92.11 91.81 9.30 9.34
08.28%   2027 92.42 91.99 9.27 9.33
09.20%   2030 99.70 99.30 9.23 9.28
08.32%   2032 91.80 91.37 9.25 9.31
08.33%  2036 91.45 91.00 9.24 9.29
08.30%   2042 91.02 90.25 9.19 9.27

Data with two day lag

Indian call money rate rose due to weekend fund needs and advance tax obligations

The call rate rose over the week to end at 8.30-8.40% on March 7 as compared with 7.75-7.90% on February 28 as demand for funds by banks increased in the last session of the week to meet weekend reserve needs and corporate advance tax obligations next week. Earlier in the week, liquidity was comfortable due to government month-end spending in the previous week (last week of February).

Gilt prices rose due to positive domestic economic data and easing of tensions between Russia-Ukraine

Gilt prices rose in the week ended March 7 on easing tensions between Russia and Ukraine, domestic third quarter GDP data, and domestic current account deficit data. Gilts started the week in negative due to subdued participation by state-owned banks with the end of the financial year in sight and rise in global crude oil prices due to geopolitical turmoil in Ukraine. Cautiousness ahead of the release of domestic consumer and wholesale inflation figures also weighed on bond prices. But bond prices recovered tracking the rise in the rupee after government data showed that the country’s CAD had fallen to its lowest level in eight years to 0.9% of GDP from 6.5% a year earlier. Decline in domestic GDP growth to 4.7% in Q3 of FY14 compared with 4.8% in Q2 FY14 also augured well for gilts. The 10-year benchmark 8.83% 2023 bond ended at 8.81% yield on March 7 as against 8.86% yield on February 28.

Top 5 Traded Securities

ZCYC curve rose at both ends

ZCYC curve rose at the short and long ends due to a rise in yields of short-term and long-term papers compared to the previous week’s yield curve.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  5-Mar 26-Feb 5-Mar 26-Feb
1 year 9.93 9.93 1.04 1.06
3 year 9.78 9.78 0.79 0.78
5 year 9.81 9.80 0.70 0.65
10 year 9.74 9.74 0.32 0.29

Data with two day lag

Government Borrowing Programme (Rs. Cr.)
Budgeted G-Sec Gross Borrowings for 2013-14 563911
Budgeted G-Sec Net Borrowings for 2012-13 468902
Budgeted Redemptions 95009
G-Sec Gross Borrowings till Date 563504
G-Sec Gross Borrowing Completed (%) 99.93%
Maturities till date 95009
Net G-Sec Borrowings till date 468495
364 Day T-Bill Gross Borrowings till date 123901
OMO Purchases till date 54535
SDL auction till date 209200

Term of the week

Marginal Standing Facility – It is a penal rate at which banks can borrow from the RBI by pledging securities. It is fixed at 100 basis points above the repo rate.

Saturday, March 8, 2014