Weekly Market Review | srei
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Weekly Market Review

April 11, 2014

Money Market 11-Apr-14 4-Apr-14
Call 8.30% 7.10%
CBLO 8.08% 6.94%
Mibor 8.10% 8.58%
LAF o/s Repo (Rs Cr) 17,793 5,237
Benchmark Securities 9-Apr-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.84 97.85 8.85 8.81
364 DTB 91.94 91.79 8.96 8.96
07.28%  2019 92.95 92.98 9.02 9.01
08.19%  2020 95.09 95.42 9.30 9.23
08.12%   2020 94.58 94.64 9.22 9.21
08.79%   2021 95.10 97.36 9.22 9.28
07.16%   2023 86.84 87.03 9.33 9.30
08.83%   2023 98.70 99.14 9.03 8.96
09.15%  2024 99.11 99.50 9.28 9.22
08.20%   2025 91.98 92.40 9.35 9.29
08.24%   2027 91.70 92.06 9.36 9.31
08.28%   2027 91.81 92.16 9.36 9.31
09.20%   2030 99.09 99.70 9.31 9.24
08.32%   2032 90.80 91.88 9.38 9.25
08.33%  2036 90.25 91.62 9.38 9.22
08.30%   2042 89.29 91.04 9.38 9.19

Data with two day lag

Indian call money rates rose despite comfortable liquidity through most of the week

Interbank call money rates ended higher at 8.20-8.30% on April 11 as compared with 7.05-7.10% on April 4 on demand for funds from banks to meet their weekend reserve needs. The call money market began the week on a high note with rates rising above the MSF rate due to strong demand from banks for payment towards the previous week’s Rs 16,000 cr gilt auction. The call rates however eased as the week progressed due to comfortable liquidity on government spending.

Gilt prices rose due to strong demand at the state loan and weekly gilt auctions

Gilt prices rose during the week taking cues from the state loan auctions conducted on April 9 and the RBI’s gilt auction on April 11. The RBI set lower-than-expected cut-off yields at the state loan auction which saw seven state governments raised Rs 5,385 cr. A fully subscribed weekly gilt auction of Rs 16,000 cr helped gilts extend gains. Bond prices also rose due to intermittent value buying throughout the week and the release of slightly lower-than-expected US jobs data. Persistent buying by mutual funds and strong demand ahead of the long weekend helped bonds rise further. However, further gains were restricted due to caution ahead of the release of critical WPI and CPI inflation data next week. Heavy supply of gilts for auction in the weeks ahead also capped further price gains. The 10-year benchmark 8.83% 2023 bond ended at 8.94% yield on April 11 versus 9.07% yield on April 4.

Top 5 Traded Securities

ZCYC curve was flatter than that of the previous week

ZCYC curve was flatter with higher yields at the short and long ends of the curve, but lower yields in the intermediate maturity section of the curve, compared to the previous week.

ZCYC Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  09-Apr 02-Apr 09-Apr 02-Apr
1 year 9.46 9.40 0.19 0.25
3 year 9.61 9.45 0.60 0.62
5 year 9.79 9.60 0.64 0.63
10 year 9.77 9.66 0.20 0.36

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 32000
G-Sec Gross Borrowing Completed (%) 5.36%
Maturities till date 0
Net G-Sec Borrowings till date 32000
364 Day T-Bill Gross Borrowings till date 6000
OMO Purchases till date 0
SDL auction till date 5385

Term of the week

Interest rate risk It is the risk that bond issuers may have to reinvest at the lower prevailing interest rate when yields on bonds fall. .

Saturday, April 12, 2014