Weekly Market Review | srei
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Weekly Market Review

January 23, 2015

Money Market 23-Jan-15 16-Jan-15
Call

7.85%

7.55%

CBLO 7.80% 7.98%
Mibor 7.86% 7.97%
LAF o/s Repo (Rs Cr) 19,460 20,823

Benchmark Securities 21-Jan-15
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB  97.92 97.96 8.16 8.37
364 DTB  92.71 92.73 7.88 8.02
08.27%  2020 102.53 101.61 7.68 7.90
08.12%  2020 101.85 100.89 7.72 7.93
08.35%  2022 103.22 102.15 7.76 7.95
07.16%  2023 96.25 95.19 7.78 7.96
08.83%  2023 106.70 105.60 7.77 7.94
08.40%  2024 104.73 104.17 7.69 7.77
08.33%  2026 104.10 102.64 7.78 7.97
08.15%  2026 104.05 102.95 7.62 7.76
08.28%  2027 104.14 102.53 7.76 7.96
08.60%  2028 107.23 106.18 7.72 7.84
09.20%  2030 112.58 110.98 7.79 7.96
08.24%  2033 105.10 103.32 7.72 7.90
08.30%  2040 106.25 104.01 7.73 7.93
09.23%  2043 105.00 113.97 7.74 7.98

Data with two day lag

Tight liquidity kept call money rates elevated

The overnight borrowing rate remained slightly above the RBI’s repo rate through most of the week due to tight liquidity conditions. The interbank call money rate ended at 7.85% on January 23 as against 7.50-7.55% on January 16.Noting the liquidity deficit, the central bank disbursed a total of Rs 35,000 cr into the banking system through three overnight repo auctions. In addition, the banking regulator held three term repo auctions of variable tenor for a total notified amount of Rs 59,000 cr.

Gilts ended almost flat in the absence of major cues

The government bond market was relatively quiet in the absence of strong triggers following the surge in prices last week. The 10-year benchmark 8.40% 2024 paper ended at 7.70% yield on January 23 as against 7.71% yield on January 16.The underlying sentiment for gilts continued to remain upbeat due to the central bank’s decision to slash interest rates last week. Prices received further support from Finance Minister ArunJaitley, who said the government intended to maintain its fiscal deficit road map targets.The rupee’s sharp rise against the US dollar helped gilts extend gains.Among overseas cues, bonds benefitted from a decline in global crude oil prices after the IMF reduced its global growth forecast for 2015 to 3.5%. However, some gains were cut due to a sharp rise in US benchmark Treasury yields prior to the ECB’s monetary policy announcement and caution ahead of the RBI’s weekly debt sale.

Top 5 Traded Securities

ZCYC curve dipped at the near end of the curve

ZCYC curve sloped downwards at the near end of the curve, indicating sharply lower yields for short term papers compared to last week’s curve

Plot of the Estimated ZCYC

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  21-Jan 14-Jan 21-Jan 14-Jan
1 year 8.30 8.56 0.32 0.32
3 year 8.28 8.43 0.36 0.39
5 year 8.25 8.46 0.35 0.39
10 year 8.23 8.43 0.27 0.36

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 567000
G-Sec Gross Borrowing Completed (%) 95.78%
Maturities till date 84464
Net G-Sec Borrowings till date 482536
364 Day T-Bill Gross Borrowings till date 128000
OMO Purchases till date 10345
SDL auction till date 173006

Term of the week

Ex date The exchange sets the ex date for interest payment based on the record date. Bond trades that take place from the ex-date onwards are not eligible for interest payment for that period.

Saturday, January 24, 2015