Weekly Market Review | srei
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Weekly Market Review

March 27, 2015

Money Market 27-Mar-15 20-Mar-15
Call

7.40%

7.90%

CBLO 7.59% 7.36%
Mibor N.A. 7.47%
LAF o/s Repo (Rs Cr) 8,304 17,947

Benchmark Securities 25-Mar-15
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB  97.99 97.98 8.22 8.27
364 DTB  92.79 92.64 7.95 7.97
08.27%  2020 101.97 101.71 7.80 7.86
08.12%  2020 101.19 101.03 7.85 7.89
08.35%  2022 102.56 102.52 7.87 7.88
07.16%  2023 95.90 95.78 7.85 7.87
08.83%  2023 106.06 105.86 7.85 7.88
08.40%  2024 104.10 103.97 7.77 7.79
08.33%  2026 103.62 103.31 7.84 7.88
08.15%  2026 103.07 103.41 7.74 7.70
08.28%  2027 103.33 103.25 7.86 7.87
08.60%  2028 106.66 106.41 7.78 7.81
09.20%  2030 111.39 111.40 7.91 7.91
08.24%  2033 104.20 104.38 7.81 7.79
08.30%  2040 104.58 105.14 7.88 7.83
09.23%  2043 104.41 104.20 7.79 7.80

Data with two day lag

Demand for funds remained low

The interbank call money rate ended at 7.40% on March 27 as against 7.90% on March 20. Owing to ample liquidity in the banking system, the central bank conducted reverse repo auctions in every session of the week. Banks parked funds worth Rs 110,000 cr (notified) via auctions. In accordance with the liquidity management framework, the banking regulator also held its scheduled 14-day term repo auctions, providing funds worth Rs 31,000 cr (notified).

Gilts weakened due to conflict in Yemen

Government bonds weakened owing to escalating violence in Yemen. The 10-year benchmark 8.40% 2024 paper ended at 7.78% yield on March 27 as against 7.75% yield on March 20. Global crude oil prices and the US benchmark Treasury yields rose, providing gilts with additional negative cues. Lack of purchase interest towards the end of the financial year also weighed on bond prices. Further losses were capped by the release of the government‘s borrowing calendar for the first half of the next fiscal year. According to the borrowing calendar, the Centre will borrow Rs 3.60 lakh cr in the first half of FY16, which would be 66.7% of the full-year target announced in the annual budget last month. Value buying by some market players in the last session of the week and the rupee’s recovery against the US dollar also provided price support.

Top 5 Traded Securities

ZCYC curve tapered downwards at the short end

ZCYC curve tapered downwards at the near end, indicating lower yields for short term papers. The curve shifted above last week’s curve in the mid-section and far ends of the curve, conveying higher yields for intermediate and long term papers.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  25-Mar 18-Mar 25-Mar 18-Mar
1 year 8.70 8.67 0.54 0.40
3 year 8.29 8.36 0.34 0.36
5 year 8.37 8.41 0.40 0.40
10 year 8.34 8.35 0.37 0.35

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 453205
Budgeted Redemptions 138795
G-Sec Gross Borrowings till Date 606000
G-Sec Gross Borrowing Completed (%) 102.36%
Maturities till date 126273
Net G-Sec Borrowings till date 479727
364 Day T-Bill Gross Borrowings till date 152000
OMO Purchases till date 10345
SDL auction till date 240842

Term of the week

Non-parallel yield curve shift A type of yield curve shift in which yields do not change by the same number of basis points for every maturity.

Saturday, March 28, 2015