Weekly Market Review | srei
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Weekly Market Review

March 28, 2014

Money Market 28-Mar-14 21-Mar-14
Call 10.50% 9.00%
CBLO 11.28% 7.90%
Mibor 8.53% 8.85%
LAF o/s Repo (Rs Cr) 36,104 37,384
Benchmark Securities 12-Mar-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.85 97.78 8.81 9.09
364 DTB 92.09 91.88 8.78 8.86
07.28%  2019 93.53 93.34 8.86 8.90
08.19%  2020 96.11 95.89 9.06 9.11
08.12%   2020 95.39 95.21 9.05 9.08
08.79%   2021 98.17 97.70 9.13 9.21
07.16%   2023 87.84 87.87 9.15 9.14
08.83%   2023 100.28 100.32 8.78 8.78
09.15%  2024 100.41 100.23 9.09 9.11
08.20%   2025 93.50 93.25 9.12 9.16
08.24%   2027 93.21 93.10 9.15 9.16
08.28%   2027 93.47 93.23 9.13 9.16
09.20%   2030 100.80 100.70 9.11 9.12
08.32%   2032 93.00 92.82 9.11 9.13
08.33%  2036 92.59 92.40 9.11 9.13
08.30%   2042 91.91 91.69 9.09 9.12

Data with two day lag

Indian call money rates rose on strong demand for funds before the end of the current fiscal

The interbank call money rate traded near the reverse repo rate (7.00%) for most of the week due to improved liquidity thanks to the government's Rs 5,000 cr gilt re-purchases on March 24 and subsidy payments to oil marketing companies.The call money rate, however, rose at the week's last session to end at 10.00-10.50% on March 28 compared with 9% a week ago as banks stepped up borrowings to meet reserve requirement before the end of the current fiscal. In order to facilitate smooth and non-disruptive conduct of banking operations during the annual closing of accounts for the 2013-14 fiscal, the RBI conducted a five-day term repo auction for Rs 20,000 cr on March 28.

Gilt prices were range-bound during the week

Government bond prices were range-bound during the week due to lack of fresh cues and subdued participation as the financial year draws to a close. Sentiments for gilts improved due to consistent rise in the Indian rupee (up 1.6% against the dollar) during the week. However, gain in bond prices was restricted due to cautiousness ahead of the release of the government's borrowing calendar for April-September on March 28. As per the release, the RBI will auction Rs 3.68 lakh cr worth of securities in the first half of 2014-15, accounting for 61.6% of the total budgeted gross market borrowing of Rs 5.97 lakh cr. The yield on the 10-year benchmark 8.83% 2023 bond ended flat at 8.80% on March 28 as compared with the previous week's closing.

Top 5 Traded Securities

ZCYC curve fell sharply at short-end

ZCYC curve fell sharply at short end of the curve due to a steep fall in yields of short term bonds; however the fall was less at longer end of the curve.

ZYCY Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  26-Mar 19-Mar 26-Mar 19-Mar
1 year 9.40 9.53 0.22 0.45
3 year 9.46 9.53 0.59 0.59
5 year 9.57 9.67 0.56 0.60
10 year 9.61 9.70 0.31 0.36

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 135901
OMO Purchases till date 54535
SDL auction till date 208682

Term of the week

Non Convertible Debenture (NCD) – It is a debt instrument that pays interest over a predetermined period to the bondholder. They cannot be converted into equity shares.

Saturday, March 29, 2014