Weekly Market Review | srei
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Weekly Market Review

June 5, 2015

Money Market 5-Jun-15 29-May-15
Call

8.15%

7.50%

CBLO 7.18% 7.54%
Mibor 7.09% 7.59%
LAF o/s Repo (Rs Cr) 2,052 19,651

Benchmark Securities 27-May-15
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB  98.13 98.09 7.63 7.80
364 DTB  93.01 92.77 7.68 7.82
08.27%  2020 101.17 101.64 7.98 7.87
08.12%  2020 100.50 100.95 8.01 7.90
08.35%  2022 101.65 101.97 8.03 7.97
07.16%  2023 94.79 95.37 8.06 7.95
08.83%  2023 104.67 105.35 8.06 7.95
08.40%  2024 102.86 103.41 7.95 7.87
08.33%  2026 101.97 102.39 8.06 8.00
08.15%  2026 101.00 101.74 8.01 7.92
08.28%  2027 101.60 102.20 8.07 7.99
08.60%  2028 104.67 105.40 8.01 7.93
09.20%  2030 109.40 110.24 8.11 8.03
08.24%  2033 101.50 102.46 8.08 7.98
08.30%  2040 102.31 103.15 8.08 8.01
09.23%  2043 101.15 102.15 8.07 7.98

Data with two day lag

Call rates remained comfortable for most of the week

Liquidity conditions remained comfortable for most of the week. The overnight borrowing rate shifted downwards to align with RBI’s lower repo rate of 7.25% after the central bank cut rates on June 2. The interbank call money rate ended at 8.00-8.15% on June 5 as against 7.25-7.5% on May 29. In the last session of the week, banks increased their borrowing to cover their requirements for indirect tax payments. The one-day borrowing rate rose periodically as banks demanded funds to meet their mandatory reserve needs. In the first session of the week, outflows towards payment of gilts purchased in previous week’s bond auction were offset by inflows from the government’s month-end spending.

Gilts ended down on RBI’s hawkish tone on inflation

Gilt prices weakened as RBI's policy announcement dampened the appetite for dated securities. Yield on the benchmark 10 year 8.40% 2024 paper settled at 7.98% on June 5 as against 7.82% on May 29. Despite the reduction in the repo rate, RBI's forward guidance suggested that it would be a while before the policy is eased further. The apex bank said that the rate cut had been frontloaded and that the banking regulator will now wait for data to clarify uncertainty. Intra-week, rising global bond yields, particularly in Germany and the US, coupled with the rupee's weakness pushed gilt prices down. Prices rose following RBI's gilt auction as most papers up for sale were fully subscribed despite the prevailing weak sentiment for dated securities. The 8.24% 2033 gilt devolved partially on primary dealers.

Top 5 Traded Securities

ZCYC sloped downwards at the far end

ZCYC sloped downwards at the far end, with lower yields for long term papers and higher yields for short term securities.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  3-June 27-May 3-June 27-May
1 year 8.44 8.48 0.52 0.48
3 year 8.38 8.37 0.38 0.46
5 year 8.51 8.44 0.45 0.45
10 year 8.54 8.39 0.38 0.26

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 144000
G-Sec Gross Borrowing Completed (%) 24.00%
Maturities till date 0
Net G-Sec Borrowings till date 144000
364 Day T-Bill Gross Borrowings till date 18000
OMO Purchases till date 6000
SDL auction till date 34138

Term of the week

Masala bonds They are Indian rupee denominated bonds issued in capital markets outside India. As they are settled in dollars, the currency risk is borne by bondholders.

Saturday, June 6, 2015