Weekly Market Review | srei
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Weekly Market Review

March 14, 2014

Money Market 14-Mar-14 7-Mar-14
Call 9.00% 8.40%
CBLO 8.72% 6.96%
Mibor 8.49% 8.02%
LAF o/s Repo (Rs Cr) 36,471 26,770
Benchmark Securities 12-Mar-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.75 97.76 9.22 9.18
364 DTB 91.95 91.74 8.95 9.03
07.28%  2019 93.50 93.00 8.86 8.98
08.19%  2020 96.06 95.39 9.07 9.22
08.12%   2020 95.25 94.60 9.07 9.21
08.79%   2021 98.07 97.36 9.14 9.28
07.16%   2023 87.77 87.20 9.15 9.25
08.83%   2023 100.72 99.90 8.72 8.84
09.15%  2024 99.69 99.37 9.19 9.24
08.20%   2025 93.20 92.30 9.17 9.30
08.24%   2027 93.00 92.11 9.17 9.30
08.28%   2027 93.20 92.42 9.17 9.27
09.20%   2030 100.45 99.70 9.15 9.23
08.32%   2032 92.80 91.80 9.13 9.25
08.33%  2036 92.09 91.45 9.17 9.24
08.30%   2042 91.49 91.02 9.14 9.19

Data with two day lag

Indian call money rate spikes on the last trading session due to extended weekend requirement

Inter-bank call money rate rose over the last session of the week to end at 8.95-9.00% on March 14 as compared with 8.30-8.40% on March 7 due to strong demand from banks to meet the extended weekend requirements. iquidity was however comfortable for most parts of the week despite demand for funds from companies for advance tax needs as banks had sufficient liquidity to meet their reserve requirement. Announcement and later conduction of an additional 21-day term repo tender on March 14 worth Rs 50,000 cr by the RBI also helped ease liquidity in the system.

Gilt prices rise due to fall in inflation

Gilt prices rose in the week ended March 14 on expectation of easing inflation numbers (both retail and wholesale) and later materialization of the same. CPI inflation declined to 8.10% in February (a 25-month low) vs 8.79% in January while WPI inflation fell to a nine month low of 4.68% in February versus 5.05% in January. The fall in inflation has fuelled hopes that the RBI will maintain the status quo at its monetary policy meet on April 1; this has resulted in positive momentum in gilt prices. However, further gains were capped on profit booking. Worries of further stimulus pullback in the US due to positive domestic economic indicators in that country and concerns over tensions in Ukraine also dragged down the gain in gilt prices during the week. The 10-year benchmark 8.83% 2023 bond ended at 8.79% yield on March 14 as against 8.81% yield on March 7.

Top 5 Traded Securities

ZCYC curve rose at both ends

ZCYC curve declined at the short and long ends due to a fall 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
  12-Mar 5-Mar 12-Mar 5-Mar
1 year 9.57 9.93 0.36 1.04
3 year 9.58 9.78 0.59 0.79
5 year 9.70 9.81 0.63 0.70
10 year 9.70 9.74 0.37 0.32

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

Duration – It is a measure of the sensitivity of bond prices to changes in interest rates.

Saturday, March 15, 2014