Wekly Market Review | srei
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Wekly Market Review

November 21, 2014

Money Market 21-Nov-14 14-Nov-14
Call

8.00%

7.75%

CBLO 7.85% 7.86%
Mibor 7.83% 7.92%
LAF o/s Repo (Rs Cr) 5,709 14,307
Benchmark Securities 19-Nov-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.99 97.97 8.25 8.31
364 DTB 92.47 92.33 8.33 8.33
07.28%  2019 96.63 96.67 8.18 8.17
08.27%  2020 100.11 100.15 8.24 8.23
08.79%   2021 102.60 102.65 8.29 8.28
08.35%  2022 100.33 100.39 8.29 8.28
08.83%  2023 103.54 103.57 8.26 8.26
08.40%  2024 101.54 101.58 8.16 8.16
08.20%  2025 99.40 99.47 8.28 8.27
08.33%  2026 100.30 100.37 8.29 8.28
08.28%  2027 99.99 100.06 8.28 8.27
08.60%  2028 102.91 102.92 8.24 8.24
09.20%  2030 108.01 108.20 8.28 8.26
08.32%  2032 100.50 100.60 8.26 8.25
08.33%  2036 100.70 100.70 8.26 8.26
09.23%  2043 110.48 110.60 8.27 8.26

Data with two day lag

Call rates rise on firm demand for funds

After beginning the week on the higher side, the interbank call money rate reduced as demand for funds subsided, indicating comfortable liquidity in the banking system. The overnight borrowing rate ended at 8% on November 21 as against 7.60-7.75% on November 14. Call rates were slightly elevated at the start of the week as banks borrowed to pay for gilts purchased in the last week’s gilt auction. Banks’ demand for funds rose intermittently to satisfy mandatory reserve needs. Call rates also rose in the last session of the week as banks preferred to lend to the RBI through the reverse repo auction.

Gilt prices strengthen on rate cut hopes

Government bond prices strengthened as sentiment was supported by expectation of a softer policy stance from the RBI, low global crude oil prices and moderation in domestic inflation data. The yield of the benchmark 8.40% 2024 paper ended at 8.17% on November 21 as against 8.22% on November 14. Appetite for bonds improved following Finance Minister ArunJaitley’s comments. The finance minister called for a rate cut by the central bank, saying lower interest rates will help boost the economy. Further, he expressed hope that the Centre could achieve its divestment target set for the fiscal. These remarks were viewed positively as they indicated that the government might meet its fiscal deficit target. However, further gains in bonds were restricted by the rupee’s weakness against the dollar, sporadic profit sales, and trimming of positions before the RBI’s Rs 14,000 cr gilt sale.

Top 5 Traded Securities

ZCYC curve was flatter

ZCYC curve was flatter, with lower yields for papers across almost the entire maturity spectrum, compared to last week.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  19-Nov 12-Nov 19-Nov 12-Nov
1 year 8.56 8.59 0.09 0.15
3 year 8.49 8.50 0.15 0.16
5 year 8.64 8.62 0.29 0.25
10 year 8.62 8.66 0.20 0.21

Data with two day lag

Government Borrowing Programme (Rs. Cr.)
Budgeted G-Sec Gross Borrowings for 2013-14 592000
Budgeted G-Sec Net Borrowings for 2012-13 465727
Budgeted Redemptions 126273
G-Sec Gross Borrowings till Date 441000
G-Sec Gross Borrowing Completed (%) 74.49%
Maturities till date 84464
Net G-Sec Borrowings till date 356536
364 Day T-Bill Gross Borrowings till date 99000
OMO Purchases till date 10345
SDL auction till date 120301

Term of the week

Issue price Issue Price is the price at which corporate bonds are issued to investors. Issue price is mostly the same as face value in case of coupon bearing bonds. In case of non-coupon bearing bonds (zero coupon bonds),the security is generally issued at a discount.

Saturday, November 22, 2014