Weekly Market Review | srei
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Weekly Market Review

March 21, 2014

Money Market 21-Mar-14 14-Mar-14
Call 9.00% 9.00%
CBLO 7.90% 8.72%
Mibor 8.85% 8.49%
LAF o/s Repo (Rs Cr) 37,384 36,471
Benchmark Securities 12-Mar-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.78 97.75 9.09 9.22
364 DTB 91.88 91.95 8.86 8.95
07.28%  2019 93.34 93.50 8.90 8.86
08.19%  2020 95.89 96.06 9.11 9.07
08.12%   2020 95.21 95.25 9.08 9.07
08.79%   2021 97.70 98.07 9.21 9.14
07.16%   2023 87.87 87.77 9.14 9.15
08.83%   2023 100.32 100.72 8.78 8.72
09.15%  2024 100.23 99.69 9.11 9.19
08.20%   2025 93.25 93.20 9.16 9.17
08.24%   2027 93.10 93.00 9.16 9.17
08.28%   2027 93.23 93.20 9.16 9.17
09.20%   2030 100.70 100.45 9.12 9.15
08.32%   2032 92.82 92.80 9.13 9.13
08.33%  2036 92.40 92.09 9.13 9.17
08.30%   2042 91.69 91.49 9.12 9.14

Data with two day lag

Indian call money rates remain high amid strong demand

Interbank call money borrowing market rate traded higher throughout the current week, ending at 9% compared with the previous week’s closing of 8.95-9.00% indicating a liquidity deficit in the banking system due to outflows towards corporate advance tax. To ease the tight liquidity situation, the central bank conducted two term repos during the week. A 7 day term repo auction for a notified sum of Rs 10,000 cr was held on March 19, followed closely by a 14 day term repo auction for a notified sum of Rs 40,000 cr on March 21.

Gilt prices fall slightly during the week

Gilt prices fell marginally in the week as gains from the RBI’s g-sec repurchase auction and easing tensions between Ukraine-Russia were offset by worries of interest rate rise in the US. Bond prices gained taking cues from the easing Russia-Ukraine tussle and RBI’s g-sec repurchase auction for Rs 15,000 cr on March 18. Gains were capped however after Fed Chief Janet Yellen announced that the central bank may hike interest rates as early as March-April 2015, around 6 months after winding up its asset purchases. Lack of buying support as the financial year draws to a close and caution ahead of the release of the government’s borrowing plans for the next fiscal on March 28 also dashed sentiment for gilts. The yield on the 10 year benchmark bond - 8.83% 2023 – rose to 8.80% on March 21 from 8.79% on March 14.

Top 5 Traded Securities

ZCYC curve remains flat

ZCYC curve remained mostly flat across the maturity spectrum except for a small rise at the shorter end compared to the previous week.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  19-Mar 12-Mar 19-Mar 12-Mar
1 year 9.53 9.57 0.45 0.36
3 year 9.53 9.58 0.59 0.59
5 year 9.67 9.70 0.60 0.63
10 year 9.70 9.70 0.36 0.37

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 129901
OMO Purchases till date 54535
SDL auction till date 208682

Term of the week

Credit risk – It is the risk that the bond issuer will not respect its obligation of repaying the bond holder the principal and/or accrued interest in whole or in part in a timely manner.

Saturday, March 22, 2014