Weekly Market Review | srei
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Weekly Market Review

November 28, 2014

Money Market 28-Nov-14 21-Nov-14
Call

7.90%

8.00%

CBLO 7.95% 7.85%
Mibor 8.02% 7.83%
LAF o/s Repo (Rs Cr) 12,781 5,709
Benchmark Securities 26-Nov-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.99 97.99 8.24 8.25
364 DTB 92.37 92.47 8.28 8.33
07.28%  2019 96.79 96.63 8.14 8.18
08.27%  2020 100.22 100.11 8.22 8.24
08.79%   2021 102.66 102.60 8.28 8.29
08.35%  2022 100.40 100.33 8.28 8.29
08.83%  2023 103.66 103.54 8.25 8.26
08.40%  2024 101.68 101.54 8.16 8.16
08.20%  2025 99.53 99.40 8.26 8.28
08.33%  2026 100.48 100.30 8.26 8.29
08.28%  2027 100.10 99.99 8.26 8.28
08.60%  2028 103.19 102.91 8.21 8.24
09.20%  2030 108.15 108.01 8.27 8.28
08.32%  2032 100.70 100.50 8.24 8.26
08.33%  2036 100.68 100.70 8.26 8.26
09.23%  2043 110.67 110.48 8.26 8.27

Data with two day lag

Call rates fell on comfortable liquidity conditions

Liquidity conditions remained comfortable for most of the week, with the demand for funds staying near the RBI’s repo rate. The interbank call money rate ended at 7.90% on November 28 as against 8% on November 21. Outflows towards payment of gilts purchased at last week’s gilt auction and state development bonds exerted upward pressure on the overnight borrowing rate. The RBI’s fund infusions kept systemic liquidity in check. The banking regulator disbursed Rs 33,000 cr through two term repo auctions, each of 14-day tenor.

Gilt prices strengthen on rate cut hopes and fall in crude oil prices

After moving in a tight range for most of the week, the government bond prices rose sharply in the last session following the outcome of the Organization of the Petroleum Exporting Countries (OPEC) meeting in Vienna. The yield of the benchmark 8.40% 2024 paper ended at 8.09% on November 28 as against 8.17% on November 21. Gilts strengthened, primarily taking cues from global crude oil prices, which plummeted to multi-year lows amid speculation about the OPEC’s decision on oil production. A flurry of gilt buying was witnessed after the cartel decided to continue with present output levels. However, the RBI’s OMO bond sale announcement dented sentiment slightly. The central bank is scheduled to bring in a fresh supply of bonds to the tune of Rs 12,000 cr into the market on December 1.

Top 5 Traded Securities

ZCYC curve was upward sloping

ZCYC curve was upward sloping, with marginally higher yields for longer maturity papers, compared to last week’s curve.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  26-Nov 19-Nov 26-Nov 19-Nov
1 year 8.43 8.56 0.08 0.09
3 year 8.48 8.49 0.16 0.15
5 year 8.60 8.64 0.27 0.29
10 year 8.58 8.62 0.16 0.20

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 469000
G-Sec Gross Borrowing Completed (%) 79.22%
Maturities till date 84464
Net G-Sec Borrowings till date 384536
364 Day T-Bill Gross Borrowings till date 105000
OMO Purchases till date 10345
SDL auction till date 135826

Term of the week

Redemption value It is the amount received by the bond holder other than the coupon amount when the bond is redeemed. The redemption amount may be greater, equal to, or less than the face value of the bond.

Saturday, November 29, 2014