Debt Mutual Fund Strategy
35
25
20
22
Yield (%)
7.50
6.70
5.90
5.10
4.30
3.50
Yield Curve flattened further as the short term yields continued to rise amidst negative banking liquidity...
3 M
6 M
1 Y
2 Y
3 Y
Tenor (Years)
6 Y
7 Y
9 Y
10 Y
13 Y
22 Y
Yield Movement MoM (Bps)
Oct-22
Classification - Restricted
G-sec Yield Curve
■G-sec Term Spreads (Bps) as on 30 Sept 2022 ■G-sec Term Spreads (Bps) as on 31 Oct 2022
50 46.00
-29-Apr-22
-30-Aug-22
-30-Sep-22 ---31-Oct-22
40
32.00
28.92
30
While the yield curve flattened further, the Shorter
end of the yield curve still has some steepness
especially upto the 4
years mark
10
20
16.00
9.43
2.90
19.60 17.47
14.382
10.57
10.32
5.60
6.82
5.47
3.85
6.45
5.88
6.07
3.91
1.59
1.08
1.43
0.16
0.23
1.69 1.91
1.01
0
-0.31
-10
-4.28
-5.93
-7.98
24 Y
28 Y
29 Y
Source: Cogencis
15
10
8
8
5
1
766
6
4
5 4
3
3
2
2
1
0
-5
-10
-8
-15
3 M 6 M 1 Y
2 Y
3 Y
4 Y
5 Y
6 Y
-12
Source: Cogencis
7 Y 9 Y 10 Y 13 Y 22 Y 24 Y 28 Y 29 Y 38 Y 39 Y
Confidential/Restricted
38 Y
39 Y
-20
3-6 Mths
6 Mths - 1 Yr
1-2 Yrs
2-3 Yrs
3-4 Yrs
4-5 Yrs
5-6 Yrs
6-7 Yrs
7-9 Yrs
9-10 Yrs
10-13 Yrs
13 - 22 Yrs
22-24 Yrs
24 - 28 Yrs
Source: Cogencis
28-29 Yrs
29 - 38 Yrs
38 - 39 Yrs
G-sec yield curve flattened further in October 2022 wherein term spreads
declined on a MoM basis.
That said the shorter end of the yield curve was relatively steep as
compared to the other segments of the yield curve.
■ Spread between the 1 year and the 4 years G-secs stood at 51 bps as of
31 Oct 2022.
■ Beyond 4 years the yield curve is almost flat.
The Shorter end of the yield curve is better placed from risk-reward
perspective due to relatively stability on account of lower duration
and benefit of reset in yields on the higher side due to monetary
policy tightening.
HDFC BANK RESEARCH
Classification - Restricted
HDFC BANK
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