Weekly Market Review | srei
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Weekly Market Review

April 17, 2014

Money Market 17-Apr-14 11-Apr-14
Call 8.30% 8.30%
CBLO 7.63% 8.08%
Mibor 7.89 8.10%
LAF o/s Repo (Rs Cr) 11,200 17,793
Benchmark Securities 16-Apr-14
Security Closing price Previous price Closing yield (%) Previous yield (%)
91 DTB 97.85 97.84 8.85 8.85
364 DTB 91.81 91.94 8.95 8.96
07.28%  2019 93.27 92.95 8.94 9.02
08.19%  2020 95.80 95.09 9.14 9.30
08.12%   2020 95.00 94.58 9.14 9.22
08.79%   2021 95.38 95.10 9.17 9.22
07.16%   2023 87.25 86.84 9.26 9.33
08.83%   2023 99.13 98.70 8.96 9.03
09.15%  2024 99.37 99.11 9.24 9.28
08.20%   2025 92.41 91.98 9.29 9.35
08.24%   2027 92.16 91.70 9.30 9.36
08.28%   2027 92.42 91.81 9.28 9.36
09.20%   2030 99.63 99.09 9.24 9.31
08.32%   2032 91.60 90.80 9.28 9.38
08.33%  2036 91.12 90.25 9.28 9.38
08.30%   2042 90.30 89.29 9.27 9.38

Data with one day lag

Indian call money rates firm on strong demand for funds

Interbank call money rate ended at 8.25-8.30% on April 17 versus 8.20-8.30% on April 11. Demand for funds remained firm earlier in the week as banks borrowed to meet reserve requirements for a holiday-curtailed week. However, further rise in call rates was restricted due to improved liquidity condition following redemption of 7.37%, 2014 gilt worth over Rs 40,000 cr on April 16.

Gilt prices rose on lower-than-expected cut-off yield at weekly auction

Gilt prices ended higher in the week as lower-than-expected cut-off yield and strong demand at the weekly auction was well received by the market. The RBI auctioned Rs 5000 cr of 8.35%, 2022 bond, Rs 9000 cr of 8.24%, 2027 bond, Rs 3000 cr of 9.20%, 2030 bond and Rs 3000 cr of 9.23%, 2043 bond on April 17. A large gilt redemption on April 16 spurred demand for gilts and later improvement in liquidity also provided support to gilt prices. The yield of the 10-year benchmark 8.83% 2023 bond fell to 8.85% on April 17 from April 8.94% on April 11.

Bonds prices came under pressure earlier in the week due to rise in the WPI inflation data which stoked the fear that the central bank might not be done with monetary tightening just yet. Gilt prices also fell earlier as market participants braced themselves for the RBI’s weekly auction of Rs 20,000 cr on April 17.

Top 5 Traded Securities

ZCYC curve shifted downwards and tapered more

ZCYC curve shifted downwards indicating lower yields across all maturity papers. However the curve was flatter at the intermediate maturity section and tapered more at the short and long ends of the curve, compared to last week.

ZYCY Curve

Source: NSE

AAA Corporate Bond Yields and Spread
  Yield Spread
  16-Apr 09-Apr 16-Apr 09-Apr
1 year 9.43 9.46 0.29 0.19
3 year 9.52 9.61 0.64 0.60
5 year 9.72 9.79 0.62 0.64
10 year 9.75 9.77 0.31 0.20

Data with one 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 52000
G-Sec Gross Borrowing Completed (%) 8.71%
Maturities till date 40751
Net G-Sec Borrowings till date 11249
364 Day T-Bill Gross Borrowings till date 12000
OMO Purchases till date 0
SDL auction till date 5385

Term of the week

Liquidity Adjustment Facility (LAF) Banks can avail of this facility and borrow funds from the RBI or park excess funds with the RBI on an overnight basis to manage their daily liquidity needs. .

Friday, April 18, 2014