Weekly Market Review | srei

Weekly Market Review

October 16, 2015

Money Market 16-Oct-15 9-Oct-15
Call 6.70% 6.75%
CBLO 6.50% 6.66%
Mibor 6.84% 6.85%
LAF o/s Repo (Rs Cr) 12,839 15,358

Benchmark Securities 14-Oct-15
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB  98.27 98.28 7.05 7.04
364 DTB  93.37 93.47 7.12 7.14
08.27%  2020 102.40 102.34 7.64 7.66
08.12%  2020 101.76 101.78 7.70 7.69
08.35%  2022 103.05 102.91 7.75 7.78
07.68%  2023 100.56 100.45 7.58 7.60
08.40%  2024 104.13 104.20 7.74 7.73
07.72%  2025 101.11 101.20 7.55 7.54
08.15%  2026 102.53 102.54 7.80 7.80
08.28%  2027 103.49 103.48 7.82 7.83
08.60%  2028 106.18 106.04 7.82 7.84
07.88%  2030 101.24 101.56 7.73 7.70
09.20%  2030 111.35 111.50 7.89 7.88
08.24%  2033 104.02 104.00 7.82 7.82
08.30%  2040 104.86 104.89 7.85 7.85
08.13% 2044 103.65 103.72 7.81 7.80

Data with two day lag

Call rate remained around the repo rate

The interbank call money rate hovered around the repo rate for most of the week owing to a systemic liquidity deficit. The one day borrowing rate ended at 6.50-6.70% on October 16 as against 6.75% on October 9. Outflows towards payment of gilts purchased in the previous week’s bond sale and state development bonds pushed up the overnight rate. Demand for funds also increased because banks opted to park funds with the RBI through its reverse repo auctions rather than lend to other banks in the overnight market. However, inflows from reversals of reverse repo auctions conducted by the RBI in earlier sessions ensured the one-day borrowing rate did not rise further.

Gilts ended slightly lower on lack of purchase support

Government bonds ended slightly lower due to absence of buying support. The yield on the benchmark 7.72% 2025 paper ended at 7.56% on October 16 as against 7.54% on October 9. Caution ahead of domestic consumer inflation figures and fresh supply of dated securities in the weekly auction also exerted pressure on gilts. In the bond sale, the RBI auctioned the 7.35% 2024 paper, the 8.24% 2033 paper, the 8.13% 2045 paper, and a new paper maturing in 2029. The coupon rate for the 2029 security has been set at 7.59%. However, a decline in global crude oil prices and US benchmark treasury yields supported gilts. Prices also got a boost on expectation of increased demand from foreign portfolio investors after the first tranche of fresh gilt limits was released at the start of the week.

Top 5 Traded Securities

ZCYC dipped at the near end

The ZCYC’s shape largely mirrored last week’s curve; yields were lower at the near end and flatter for medium term and long term securities.

Plot of the Estimated ZCYC

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  14-Oct 7-Oct 14-Oct 7-Oct
1 year 7.71 7.69 0.61 0.57
3 year 8.09 8.12 0.44 0.44
5 year 8.21 8.26 0.42 0.46
10 year 8.10 8.12 0.41 0.45

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 381000
G-Sec Gross Borrowing Completed (%) 63.50%
Maturities till date 91279
Net G-Sec Borrowings till date 203721
364 Day T-Bill Gross Borrowings till date 80000
OMO Purchases till date 8270
SDL auction till date 129155

Term of the week

Transfer agent A party appointed by an issuer for various functions such as record maintenance and cancellation of issue certificates.

Saturday, October 17, 2015