Weekly Market Review | srei
  • <none>

Weekly Market Review

December 19, 2014

Money Market 19-Dec-14 12-Dec-14
Call

8.00%

8.00%

CBLO 8.39% 7.74%
Mibor 8.18% 8.06%
LAF o/s Repo (Rs Cr) 21,297 14,205

Benchmark Securities 17-Dec-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.97 97.99 8.33 8.23
364 DTB 92.56 92.43 8.22 8.21
07.28%  2019 100.73 101.25 8.10 7.98
08.27%  2020 100.04 100.52 8.11 8.01
08.79%   2021 103.50 103.99 8.11 8.02
08.35%  2022 101.39 101.90 8.09 8.00
08.83%  2023 104.65 105.26 8.09 8.00
08.40%  2024 102.84 103.26 7.97 7.91
08.20%  2025 100.95 101.30 8.06 8.01
08.33%  2026 101.95 102.39 8.07 8.01
08.28%  2027 101.69 102.13 8.06 8.01
08.60%  2028 104.81 105.38 8.01 7.94
09.20%  2030 110.20 110.60 8.05 8.00
08.32%  2032 103.00 103.45 8.00 7.95
08.33%  2036 103.16 103.73 8.02 7.97
09.23%  2043 113.56 114.17 8.02 7.97

Data with two day lag

Call rates stayed above repo rate on tight liquidity

The interbank call money rate traded above the repo rate of 8% for most of the week as liquidity remained tight. The overnight borrowing rate, however, ended at 8.00% on December 19 as against 7.85-8.00% on December 12. Demand for funds was strong due to payment towards advance tax outflows. However, a sharp rise in the call rates was restricted as the RBI infused liquidity in the market via series of repo rate auctions during the week. The banking regulator infused liquidity to the tune of Rs 1.55 lakh cr through a repo auction on every day of the week (four overnight and one of three-day tenor in the week's last session).

Gilt prices ended down due to fall in the rupee

Gilt prices were highly volatile tracking sharp movements in the Indian currency. The benchmark 8.40% 2024 gilt ended at 7.96% on December 19 as against 7.83% on December 12. Bond market onset the week on a weaker note due to a sharp downfall in the rupee due to global factors. Sentiment for bonds dented further as persistent fall in the rupee led to concerns of heavy FIIs selling in Indian debt positions. Bond prices also came under pressure on view that a weak rupee may deter the RBI from cutting interest rates in the near term. However, further fall in bond prices was restricted after the rupee recovered later in the week. Market sentiment improved after the US Fed adopted a dovish tone in its policy statement announced on December 17.

Top 5 Traded Securities

ZCYC curve shifted upward at short end

ZCYC curve shifted upward at short end due to a sharp rise in yield of short term maturity bonds however at longer end the curve remained flat.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  17-Dec 10-Dec 17-Dec 10-Dec
1 year 8.59 8.39 0.25 0.01
3 year 8.61 8.45 0.39 0.36
5 year 8.65 8.55 0.42 0.43
10 year 8.60 8.43 0.38 0.28

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 497000
G-Sec Gross Borrowing Completed (%) 83.95%
Maturities till date 84464
Net G-Sec Borrowings till date 412536
364 Day T-Bill Gross Borrowings till date 110000
OMO Purchases till date 10345
SDL auction till date 144256

Term of the week

Broken period It is the price of the bond excluding Accrued interest. The trading in the Wholesale Debt market takes place at this price.

Saturday, December 20, 2014