FIXED INCOME RESEARCH

Transcription

1 New 1yr benchmark closed almost flat at % vs. previous day's close of 6.829% while the old 1yr benchmark closed almost flat at 6.984% vs. previous day's close of 6.983%. The 1yr benchmark remained range bound and closed almost flat at %.The benchmark yield opened %, touched a low of 6.963%, and touched a high of % before closing at %. The benchmark five-year overnight indexed swap rate closed at 6.625% vs. previous day s close of %, while the oneyear overnight indexed swap rate closed at 6.4% vs. previous day s close of 6.425%. Top 3 Traded Securities:.59% GS 226 6,95 Crs 6.9% GS 226 3,2 Crs.61% GS 23 1,9 Crs Market Volumes Volume (Rs Crs) Today Previous NDS OM 1,44 3,595 Net Liquidity-LAF Auction 23,114 16,49 Call 12,69 16,59 CBLO 16,85 154,816 Repo 3,938 38,236 Friday March 24, 21 Key Market Rates Today Previous 6.9 GS % 6.82%.59 GS % 6.98% CP(3m) 6.65% 6.6% CP(6m).1%.1% CP(12m).3%.3% CD(3m) 6.23% 6.25% CD(6m) 6.45% 6.45% CD(12m) 6.5% 6.5% Call Money 5.92% 5.99% CBLO #VALUE! 5.88% MIBOR Overnight 6.21% 6.22% US1yrG-Sec 2.41% 2.42% Commodities Crude(WTI)-$/bl Gold-$/toz Silver-$/toz USD/INR (Annualized) USD/INR(SPOT) USD/INR(1MFWD) USD/INR(3MFWD) USD/INR(6MFWD) USD/INR(1MNDF) USD/INR(3MNDF) USD/INR(6MNDF) Equity NIFTY 9,3.45 9,121.5 SENSEX 29, , Corp Bond Yields AAA1Y 6.1% 6.1% AAA5Y.9%.% AAA1Y 6% 6% Economic Factors Current WPI (Sep) 4.1% CPI (Sep) 4.3% IIP (July) -2.4% Instrument Rate CRR 4.% SLR 21.25% Rev Repo 5.5% Repo 6.25% MSF 6.5% Source: CCIL, Bloomberg, Almondz Research 1

2 I. GOVERNMENT BONDS - STATISTICS G-Secs Last 1D 5D 1M 3M 6M 1Y 3Y 5Y QTD YTD 1Y Gsec Change in bps Y Gsec Change in bps Y Gsec Change in bps Y Gsec Change in bps Y Gsec #N/A N/A #N/A N/A #N/A N/A #N/A N/A Change in bps #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! US 1Y Gsec Change in bps Y Gsec -.59 GS Yield Cuve Y Gsec 5Y Gsec 1Y Gsec 3Y Gsec 3/24/21 3/23/ Net Liquidity (in ' Crs)

3 Spread Matrix G-Secs Last 1D 5D 1M 3M 6M 1Y 3Y 5Y QTD YTD 5Y - 1Y Y - 3Y Y - 5Y Y - 3Y #VALUE! 688. #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! in bps II. MONEY MARKET - STATISTICS Short term rates Last 1D 5D 1M 3M 6M 1Y 3Y 5Y QTD YTD 3M CP Change in bps M CP Change in bps M CP Change in bps M CD Change in bps M CD Change in bps M CD Change in bps Commercial Paper Certificate of Deposit 3m cp 6m cp 12m cp 3m cd 6m cd 12m cd 3

4 Short term rates Last 1D 5D 1M 3M 6M 1Y 3Y 5Y QTD YTD CALL Change in bps CBLO Change in bps Repo Change in bps III. PRIMARY ISSUANCE- STATISTICS Primary Certificate of Deposits Reported Name Amt Tenor Rate OBC - 2M 6.22% Primary Commercial Papers Reported Name Amt Tenor Rate RELIANCE JOI 2.5M 6.39% L&T FIN LTD 2M 6.65% ABFL 2M 6.64% TCFSL 2M 6.66% IV. OIS & USD/INR- STATISTICS OIS Last 1D 5D 1M 3M 6M 1Y 3Y 5Y QTD YTD OIS 3m Change in bps OIS 6m Change in bps OIS 1Y Change in bps OIS 5Y Change in bps USDINR Last 1D 5D 1M 3M 6M 1Y spot Future 1m Future 3m Future 6m #N/A N/A #N/A N/A #N/A N/A NDF outright 1m #N/A N/A #N/A N/A NDF outright 3m NDF outright 6m NDF outright 9m

5 V. MUTUAL FUND, FOREIGN INVESTMENT & GLOBAL INDICATORS- STATISTICS MF investment in Debt and Equity MF net equity MF net debt 9 FII investment in Debt (USD Mn) Brent crude (in $) 43 6-Mar -Mar 8-Mar 9-Mar 1-Mar 11-Mar 12-Mar 13-Mar 14-Mar 15-Mar 16-Mar 1-Mar 18-Mar 19-Mar 2-Mar 21-Mar 22-Mar 23-Mar 24-Mar Disclaimer: This document has been prepared by Almondz Global Securities Ltd. The information, analysis and estimates contained here in are sourced from information data bases which are believed to be reliable. This document is meant for use of the intended receipt only. Financial products and instruments are subject to market risks and yields may fluctuate depending on various factors affecting capital/debt markets. Please note that past performance of the financial products and instruments does not necessarily indicate the future prospects and performance thereof. Almondz expressly disclaims any and all liabilities that may arise from information, errors or omissions in this connection. This document is not to be considered as an offer to sell or a solicitation to buy any securities. Almondz, its affiliates and their employees may from time to time hold positions in securities referred to herein. Almondz or it affiliates may from time to time solicit from or perform investment banking or other services for any company mentioned in this document. For more information mail us at:debtresearch@almondz.com 5