Weekly Market Review | srei
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Weekly Market Review

May 8, 2015

Money Market 8-May-15 30-Apr-15
Call 6.65% 7.75%
CBLO 7.63% 7.86%
Mibor 7.45% 7.52%
LAF o/s Repo (Rs Cr) 18,830 19,028

Benchmark Securities 6-May-15
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB  98.05 98.06 7.96 7.93
364 DTB  92.80 92.70 7.93 7.90
08.27%  2020 101.46 101.84 7.91 7.82
08.12%  2020 100.88 101.26 7.92 7.84
08.35%  2022 102.08 102.54 7.96 7.87
07.16%  2023 95.31 95.90 7.96 7.86
08.83%  2023 105.29 105.89 7.96 7.87
08.40%  2024 103.27 103.78 7.89 7.82
08.33%  2026 102.80 103.21 7.95 7.89
08.15%  2026 101.81 102.46 7.91 7.82
08.28%  2027 102.49 103.25 7.96 7.86
08.60%  2028 105.44 106.30 7.92 7.82
09.20%  2030 110.50 111.12 8.00 7.94
08.24%  2033 103.10 103.62 7.92 7.87
08.30%  2040 103.65 104.35 7.96 7.90
09.23%  2043 102.80 103.48 7.92 7.86

Data with two day lag

Liquidity conditions remained mostly comfortable

Liquidity conditions remained comfortable most of the week. Intermittently, the call money rate rose, briefly hovering near the RBI’s MSF rate as banks demanded funds to cover their reserve requirements. Outflows from the banking system toward payment of indirect taxes intra-week also created a liquidity deficit. The overnight borrowing rate ended at 6.60-6.65% on May 8 as against 7.65-7.75% on April 30.

Gilts weakened sharply owing to rupee weakness

Government bonds slumped during the week, impacted by the pronounced weakness in the Indian rupee against the US dollar. The yield of the benchmark 8.40% 2024 paper ended at 7.98% on May 8 as against 7.86% on April 30. A sharp intra-week rise in global crude oil prices and the US benchmark Treasury yields dented sentiment for bonds further. The fresh supply of bonds up for sale in the holiday-shortened week exerted additional pressure on prices. In the bond sale, the RBI auctioned the 7.68% 2023 gilt, the 8.24% 2033 gilt, the 8.17% 2044 gilt, and a new gilt maturing in 2030 for a total notified amount of Rs 16,000 cr. Caution ahead of the release of US non-farm payrolls data and trimming of positions ahead of the weekend also pulled prices down. Mild value buying at various points during the week lent bond prices some support and prevented a further decline.

Top 5 Traded Securities

ZCYC dipped sharply at the short end

ZCYC curve dipped sharply at the short end of the curve, indicating lower yields. Yields were sharply higher for intermediate term papers and slightly higher for long term papers.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  6-May 29-Apr 6-May 29-Apr
1 year 8.52 8.45 0.42 0.39
3 year 8.39 8.10 0.42 0.17
5 year 8.49 8.37 0.52 0.47
10 year 8.42 8.33 0.37 0.35

Data with two day lag

Government Borrowing Programme (Rs. Cr.)
Budgeted G-Sec Gross Borrowings for 2013-14 600000
Budgeted G-Sec Net Borrowings for 2012-13 456405
Budgeted Redemptions 143595
G-Sec Gross Borrowings till Date 80000
G-Sec Gross Borrowing Completed (%) 13.33%
Maturities till date 0
Net G-Sec Borrowings till date 80000
364 Day T-Bill Gross Borrowings till date 12000
OMO Purchases till date 6000
SDL auction till date 16740

Term of the week

Adjustable Rate Mortgage A mortgage loan in which interest rate charged varies according to predetermined criteria.  An ARM’s interest rate is usually tied to an interest rate index.

Saturday, May 9, 2015