New 1yr benchmark closed 1bps higher at 6.5333 % vs. previous day close of 6.529%. 1yr benchmark yield hits a 6week high as July retail inflation accelerates more than expectations diminishing hopes of another rate cut in the near future. The benchmark yield opened at 6.549%, touched a low of 6.5239% and closed at 6.5333%. The benchmark five-year overnight indexed swap rate closed at 6.25% vs. previous day s close of 6.1825%, while the oneyear overnight indexed swap rate closed at 6.1625% vs. previous day s close of 6.155%. Top 3 Traded Securities: 6.9% GS 22-12,88 Crs 6.9% GS 229-8,345 Crs.68% GS 223-9 Crs Market Volumes Volume (Rs Crs) Today Previous NDS OM 29,54 25,495 Net Liquidity-LAF Auction 2,853 2,62 Call 11,684 12,18 CBLO 115,9 123,439 Repo 48,969 54,84 Auction Result of tbill Scrip Amount (Rs Cr) Auction Date Cut-Off 91 Days T-Bills 1, 16-Aug 6.14% 364 Days T-Bills 6, 16-Aug 6.24% Total 1, Wednesday 16 August, 21 Key Market Rates Today Previous 6.9 GS 226 6.3% 6.2% 6.9 GS 22 6.53% 6.52% CP(3m) 6.55% 6.55% CP(6m) 6.4% 6.3% CP(12m) 6.94% 6.93% CD(3m) 6.15% 6.15% CD(6m) 6.32% 6.32% CD(12m) 6.45% 6.45% Call Money 5.84% 5.86% CBLO #VALUE! 5.93% MIBOR Overnight 6.% 6.% US1yrG-Sec 2.28% 2.22% Commodities Crude(WTI)-$/bl 4.68 4.59 Gold-$/toz. 12.14 1282.14 Silver-$/toz. 16.6 1.815 USD/INR (Annualized) USD/INR(SPOT) 64.1525 64.1225 USD/INR(1MFWD) 64.2325 64.225 USD/INR(3MFWD) 64. 64.6825 USD/INR(6MFWD) 65.385 65.35 USD/INR(1MNDF) 64.4 64.38 USD/INR(3MNDF) 64.8 64.8 USD/INR(6MNDF) 65.45 65.43 Equity NIFTY 9,89.3 9,94.15 SENSEX 31,.89 31,449.3 Corp Bond Yields AAA1Y 6.1% 6.1% AAA5Y.9%.% AAA1Y.26%.26% Economic Factors Current WPI (Sep) 4.1% CPI (Sep) 4.3% IIP (July) -2.4% Instrument Rate CRR 4.% SLR 2.% Rev Repo 5.5% Repo 6.% MSF 6.25% Source: CCIL, Bloomberg, Almondz Research 1
I. GOVERNMENT BONDS - STATISTICS G-Secs Last 1D 5D 1M 3M 6M 1Y 3Y 5Y QTD YTD 1Y Gsec 6.25 6.29 6.25 6.42 6.5 6.41 6.83 8.2 8.2 6.42 6.41 Change in bps -3..9-16.4-24.1-15.4-5.6-246.3-16.9-16.8-15.4 3Y Gsec 6.34 6.35 6.33 6.48 6.3 6.62 6.9 8.54 8.1 6.51 6.38 Change in bps -.5 1.3-13.9-38.4-2. -55.4-219.8-166.8-16.5-4. 5Y Gsec 6.5 6.5 6.46 6.5 6.8 6.83.4 8.62 8.18 6.61 6.5 Change in bps. 4.2-6.6-3.1-32.4-53.6-212.1-16.5-1.2-6.8 1Y Gsec 6.52 6.51 6.4 6.46 6.91 6.88.1 8.52 8.23 6.51 6.52 Change in bps 1.3 5.4 5.6-39.2-35.5-58.3-2.1-1.5.9.5 3Y Gsec.1.8.5.8.48.46.88 8.82 8.6.12.11 Change in bps 1. 4.6 1.6-3.8-35. -. -12.2-15.2-1.6-1.1 US 1Y Gsec 2.2 2.2 2.25 2.33 2.33 2.45 1.5 2.34 1.83 2.3 2.44 Change in bps -. 1.82-6.61-5.99-18.9 69.12 -.4 43.1-3.8-1.9 Yield Cuve.35.1 6.5 6.52 6.28 6.5 6.53 1Y Gsec 5Y Gsec 1Y Gsec 3Y Gsec.2 6.8 6.6 6.4 6.2 6 5.8 -.1 -.5.5.1.15.2.25 Net Liquidity (in ' Crs) 8/16/21 8/14/21 28-29- 31-1-8 2-8 3-8 4-8 5-8 -8 8-8 9-8 1-8 11-8 14-8 16-8 2
Spread Matrix in bps G-Secs Last 1D 5D 1M 3M 6M 1Y 3Y 5Y QTD YTD 5Y - 1Y 24.9 2.5 21.6 15.1 3.9 41.9 2.9-9.3 15.5 18.3 16.3 5Y - 3Y 16.2 15. 13.3 8.9 14.9 2.9 14.4 8.5 16.9 9.9 19. 1Y - 5Y 1. 1.1.5-1.5 3.8-1.3 4. -9.4-5.6 1Y - 3Y -58. -5.6-58.8-3.1-44. -6.5-59.6 II. MONEY MARKET - STATISTICS Short term rates Last 1D 5D 1M 3M 6M 1Y 3Y 5Y QTD YTD 3M CP 6.55 6.56 6.5 6.59 6.81.8.4 9.15 9.6 6.69 6.1 Change in bps -1.5-2.25-4.5-26.5-53. -49.25-26.5-251.5-14.25-16. 6M CP 6.3 6.4 6.4 6.89.1.31.4 9.38 9.35 6.92.5 Change in bps -1.25-1.25-16.25-28.5-58.5-6.5-265. -262.5-19. -32.5 12M CP 6.93 6.93 6.94.13.26.51.8 9.49 9.63.19.34 Change in bps.63 -.62-19.3-33.12-5.3-86.8-255.62-269.3-25.62-4.62 3M CD 6.15 6.22.29.15.49 8.14 8.34 8.44 8.13.12 8.42 Change in bps -6. -112.5-99. -133.1-19.6-21.83-228. -196.5-95.83-226.1 6M CD 6.32 6.36.39.23.65 8.2 8.4 8.53 8.56.24 8.52 Change in bps -2. -18.5-92.5-135. -19. -216.83-223.34-225.5-94.1-222. 12M CD 6.45 6.45.54.45.8 8.33 8.65 8.65 8.68.38 8.6 Change in bps -3. -18.5-1. -141.6-18.5-22.1-22. -222.5-92.5-221.6.1 6.9 6.8 6. 6.6 6.5 6.4 6.3 6.2 Commercial Paper.5.5.25 6.5 6.5 6.25 6 Certificate of Deposit 3m cp 6m cp 12m cp 3m cd 6m cd 12m cd 3
Short term rates Last 1D 5D 1M 3M 6M 1Y 3Y 5Y QTD YTD CALL 5.86 5.85 5.91 6.9 6.11 6.2 6.43 8.36 8.5 6.11 6.1 Change in bps 1.23-4.3-22.43-24.54-15.5-56.41-25.1-218.1-24.9-23.95 CBLO 5.93 5.89 6.2 6.8 5.64 6.13 6.49 6.52.9 6.5 6.23 Change in bps 4. -9. -15. 29. -2. -56. -59. -24. -12. -3. Repo 5.3 5.68 5.96 6.13 6. 6.9 6.5 8.2.9 6.16 6.14 Change in bps 4.92-23.6-4.84-34.3-36.54 -.58-24.6-21.41-43.1-41.69 III. PRIMARY ISSUANCE- STATISTICS Primary Certificate of Deposits Reported Name Amt Tenor Rate Primary Commercial Papers Reported Name Amt Tenor Rate NABARD - Sep-1 6.8% RIL IND - 2M 6.19% LIC HOUSING FIN - 3M 6.28% L&t INFRA - INTRAMONTH 6.32% ASHOK LEYLAND - 3M 6.28% ICICI HOUSING - 3M 6.3% OMPL - 3M 6.2% IV. OIS & USD/INR- STATISTICS OIS Last 1D 5D 1M 3M 6M 1Y 3Y 5Y QTD YTD OIS 3m 6.5 6.5 6.6 6.14 6.3 6.34 6.53 8.29.98 6.19 6.3 Change in bps. -1.5-9.5-25. -29.5-48.5-224. -193. -14.5-32. OIS 6m 6.8 6.8 6.9 6.15 6.34 6.38 6.52 8.39.9 6.2 6.22 Change in bps. -.5 -. -25.5-3. -43.5-231. -182. -11.5-13.5 OIS 1Y 6.16 6.16 6.15 6.22 6.4 6.4 6.54 8.46.81 6.25 6.19 Change in bps.3.56-5.94-3.94-24.44-3.94-23.44-165.44-9.44-2.94 OIS 5Y 6.18 6.18 6.16 6.25 6.65 6.63 6.49 8.5.16 6.29 6.26 Change in bps. 2. -. -4. -44.5-3.5-186.5-98. -11. -8. USDINR Last 1D 5D 1M 3M 6M 1Y spot 64.12 64.14 63.81 64.45 64.6 66.92 66.85 6. 55.66 64.58 6.92 Future 1m 64.23 64.26 63.8 64.55 64.19 66.9 6. 6.91 55.84 64.82 68.1 Future 3m 64.68 64.4 64.2 65.4 64.2 6.51 6.65 61.1 56.4 65.3 68.56 Future 6m 65.38 65.51 64.96 65.81 #N/A N/A #N/A N/A #N/A N/A 62.9 5.2 66.3 69.22 NDF outright 1m 65.99 66.1 65.55 66.63 66.41 #N/A N/A #N/A N/A 64. 5.9 66.61 #N/A N/A NDF outright 3m 64.53 64.4 64.12 64.53 64.16 6.32 6.15 61.2 55.8 64.8 68.1 NDF outright 6m 64.93 64.88 64.52 64.96 64.59 6.5 6.4 61.86 56.55 65.2 68.62 NDF outright 9m 65.58 65.51 65.16 65.61 65.31 68.56 68.69 #N/A N/A 5.51 65.96 69.42 4
V. MUTUAL FUND, FOREIGN INVESTMENT & GLOBAL INDICATORS- STATISTICS 1 8 6 4 2-2 -4 MF investment in Debt and Equity MF net equity MF net debt 5 FII investment in Debt (USD Mn) 4 3 2 1-1 -2 55 53 51 49 4 45 Brent crude (in $) 43 2-Jul 28-Jul 29-Jul 3-Jul 31-Jul 1-Aug 2-Aug 3-Aug 4-Aug 5-Aug 6-Aug -Aug 8-Aug 9-Aug 1-Aug 11-Aug 12-Aug 13-Aug 14-Aug 15-Aug 16-Aug 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