Weekly Market Review | srei
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Weekly Market Review

April 4, 2014

Money Market 4-Apr-14 28-Mar-14
Call 7.10% 10.50%
CBLO 6.94% 11.28%
Mibor 8.58% 8.53%
LAF o/s Repo (Rs Cr) 5,237 36,104
Benchmark Securities 2-Apr-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.85 97.85 8.81 8.81
364 DTB 91.79 92.09 8.96 8.78
07.28%  2019 92.98 93.53 9.01 8.86
08.19%  2020 95.42 96.11 9.23 9.06
08.12%   2020 94.64 95.39 9.21 9.05
08.79%   2021 97.36 98.17 9.28 9.13
07.16%   2023 87.03 87.84 9.30 9.15
08.83%   2023 99.14 100.28 8.96 8.78
09.15%  2024 99.50 100.41 9.22 9.09
08.20%   2025 92.40 93.50 9.29 9.12
08.24%   2027 92.06 93.21 9.31 9.15
08.28%   2027 92.16 93.47 9.31 9.13
09.20%   2030 99.70 100.80 9.24 9.11
08.32%   2032 91.88 93.00 9.25 9.11
08.33%  2036 91.62 92.59 9.22 9.11
08.30%   2042 91.04 91.91 9.19 9.09

Data with two day lag

Indian call money rates fell on comfortable liquidity

The interbank call money borrowing rate fell in the holiday-curtailed week, ending at 7.05-7.10% compared with the previous week’s closing of 10.00-10.50% due to improvement in the liquidity condition on government spending. Call rates also came down tracking falling CBLO rates and as some banks lent excess funds at lower rates. To improve liquidity, the RBI conducted 3 day and 13 day term repo auctions for notified amounts of Rs 20,000 cr and Rs 60,000 cr respectively on April 4.

Gilt prices fell on the RBI’s policy review and gilt sale

Gilt prices fell over the week taking cues from the RBI’s monetary policy review and the RBI’s first auction of government securities for the current financial year. The prospect of rising borrowing costs after the RBI cut the amount of funds banks can borrow via the LAF repo window dented sentiment for gilts. Following its monetary policy review, the RBI reduced the amount of funds that a bank can borrow via the LAF repo window to 0.25% of the bank's net demand and time liabilities even as it kept its key policy rate unchanged at 8.0%. Selling pressure as well as the choice of securities up for sales at the RBI’s gilt auction weighed on bond prices. Bonds extended losses after the auction was undersubscribed, triggering fears of weak demand. Caution ahead of US non-farm payroll data and profit sales also prevented bond price gains. The yield on the 10 year benchmark bond - 8.83% 2023 – rose to 9.07% on April 4 from 8.80% on March 28.

Top 5 Traded Securities

ZCYC curve rose across all maturities

ZCYC curve rose with higher yields across all maturity papers compared to the previous week. Yields rose more for papers maturing in the short and long end of the curve.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  02-Apr 26-Mar 02-Apr 26-Mar
1 year 9.40 9.40 0.25 0.22
3 year 9.45 9.46 0.62 0.59
5 year 9.60 9.57 0.63 0.56
10 year 9.66 9.61 0.36 0.31

Data with two day lag

Government Borrowing Programme (Rs. Cr.)
Budgeted G-Sec Gross Borrowings for 2013-14 597000
Budgeted G-Sec Net Borrowings for 2012-13 457000
Budgeted Redemptions 140000
G-Sec Gross Borrowings till Date 16000
G-Sec Gross Borrowing Completed (%) 2.68%
Maturities till date 0
Net G-Sec Borrowings till date 16000
364 Day T-Bill Gross Borrowings till date 6000
OMO Purchases till date 0
SDL auction till date 0

Term of the week

Interest rate risk – It is the risk that interest rates may rise thereby making investments, particularly bonds, less valuable due to a decline in their prices.

Saturday, April 5, 2014