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Jun 6, 2011

STCI

Jun 6, 2011

Primary Dealer Ltd.

MARKET UPDATE
I

RBI set the cut-off price for the security 7.59% GS 2016 at Rs.96.80 (8.40%), for 8.13% GS 2022 at Rs.97.75 (8.44%) and for
8.28% GS 2032 at Rs.96.90 (8.60%). All the three securities were fully subscribed.

Liquidity remained easy tracking the Reporting Friday. The Call rate ended at an average of 7.25% compared to 7.24%
previously and the CBLO at 4.69% v/s 6.92% previously. The net infusion witnessed at RBI's LAF Repo window amounted
to Rs.39,100 Cr.

The G-Sec market traded on a subdued note early in wake of the auction supply. However, the prices gained momentum
going into the auction bidding time. The higher cut-off prices at the auction results further led to a rally. The benchmark
security 7.80% GS 2021 closed at Rs.96.89 (8.27%), compared to Rs.96.85 (8.27%) seen previously. The total volume
reported on NDS-OM was to the tune of Rs.10,620 Cr.

The OIS market witnessed receiving interest with the 1 year rate closing at 7.93% v/s 7.98% noted earlier and the 5 year
closing at 7.87% v/s 7.92% earlier.

The INR gained 2 Paise to end at Rs.44.81 per dollar compared to Rs.44.83 previously. The 1 month forward premium closed
at 6.65% (6.42%), the 6 month at 6.40% (6.25%) and the 12 month at 5.98% (5.85%).

India's credit growth as on May 20 was noted at 22.3% (YoY) and deposit growth at 17.4%. The loans and advances to the
Government reduced to Rs.9,544 Cr as on May 27.

RBI announced the sale of 91 Day T-Bill for a notified amount of Rs.8,000 Cr and 182 Day T-Bill for Rs.3,000 Cr via multiple
price auctions to be conducted on Jun 8.

MONEY MARKET
Money Market
CBLO
Repo
Call

03-Jun-11
4.69
6.89
7.25

Liquidity Monitor (Rs. Cr.)

(Rs. Cr.)
25195
53244
16670

Treasury Bills/ CMBs


Coupon Payment
SDL Auction/Redemption
G-Sec Auction/Redemption
Net Inflow /outflow

LAF (Amount in Rs. Cr.)


3-Jun
2-Jun
1-Jun

1670
160
410

31-May

30

30-May

410

27-May

665

26-May

630

06-Jun-11
Inflow

Outflow

0.00

12000
12000.00

40770
35125
39140
Rev Repo

46040

Short Term Rates

Repo

57310

MIBOR O/N
MIBID O/N

76460
85720

3-Jun-11
7.34
7.28

Previous Close
7.31
7.26

15 Days Ago
7.36
7.30

Jun 6, 2011

Date
91 Day
182 Day
364 Day

Latest Cut-off
Yield
Amount Accepted
8.19
8000
8.27
3000
8.32
3000

Price
98
96.04
92.34

1-Jun-11
25-May-11
1-Jun-11

Previous Cut-off
Yield
Amount Accepted
8.14
8000
8.20
3000
8.29
3000

Price
98.01
96.07
92.36

G-SEC MARKET
Benchmark Securities

3-Jun-11
Closing
Yield

Previous
Close

8.22

8.25

7.17% 2015

96.02

95.87

8.35

8.40

7.99% 2017

97.80

97.81

8.46

8.45

7.83% 2018

97.39

97.17

8.34

8.38

7.80% 2021

96.89

96.85

8.27

8.27

8.08% 2022

97.90

97.69

8.37

8.40

8.13% 2022

98.07

97.82

8.40

8.43

8.26% 2027

97.40

97.23

8.56

8.58

8.28% 2032

97.10

96.95

8.58

8.60

Top 5 Traded Securities


7.59% GS 2016

270

7.83% GS 2018

825

8.08% GS 2022

1520

8.13% GS 2022

1775

7.80% GS 2021

5640
0

1000

2000

3000

4000

5000

8.40

-2
-2

8.00

-3

-3

-3

-4
-4

-4

-5

7.60

Movement in Yield (bps) (RHS)

G-Sec Spreads (bps)


Spread
3-Jun-11
5-1
18
10-5
-14
15-10
17
30-15
19
30-10
36

Previous Close
18
-14
20
17
37

Closing Yield

8.28% 2032

92.40

8.26% 2027

364 Day T-bill 92.42

-1

8.13% 2022

8.15

8.08% 2022

8.12

7.80% 2021

98.01

7.83% 2018

98.02

7.99% 2017

91 Day T-bill

8.80

7.17% 2015

Previous
Close

364 Day T-bill

Closing
Price

91 Day T-bill

Security

Previous Close

15 Day Ago
18
-7
11
9
20

1 Year Avg.
61
8
19
14
33

6000

CORPORATE BOND MARKET


AAA Corporate Bond Yields and Spread
Yield
3-Jun-11 Previous Close
1 Year
9.80
9.80
3 Year
9.65
9.65
5 Year
9.70
9.70
10 Year
9.70
9.70

Spread
3-Jun-11 Previous Close
140
140
114
111
112
111
126
126

Money Market Asset Rates (%)


3-Jun-11
1 Month
9.60
3 Month
9.64
6 Month
9.90
9 Month
10.00
12 Month
10.05

Previous Close
9.60
9.64
9.90
10.00
10.05

Jun 6, 2011

SWAP MARKET
OIS-MIBOR
1
2
3
5

MIFOR Swaps
3-Jun-11
7.93
7.82
7.84
7.87

Year
Year
Year
Year

Previous Close
8.00
7.94
7.90
7.92

15 Days Ago
8.12
8.11
8.18
8.24

1
2
3
5

Previous Close
6.25
5.65
5.65
6.55

15 Days Ago
6.35
6.10
6.10
6.50

Spread between 5Y OIS and 1Y OIS

Spread between 5Y GS and 5Y OIS


0.53

0.49
0.37

3-Jun-11
6.55
5.75
5.75
6.70

Year
Year
Year
Year

30-May-11

31-May-11

1-Jun-11

2-Jun-11

3-Jun-11

0.42
0.35
-0.04

-0.04

-0.06
-0.08

30-May-11

31-May-11

1-Jun-11

2-Jun-11

3-Jun-11

-0.09

FOREX MARKET
Forward Premia (% annualised)
3-Jun-11
1 Month
6.65
3 Month
6.55
6 Month
6.40
9 Month
6.15
12 Month
5.98

Spot Rates
3-Jun-11
44.82
1.4501
1.6338
80.63
6.48

USD/INR
EUR/USD
GBP/USD
USD/JPY
USD/CNY

Previous Close
44.83
1.4468
1.6360
80.85
6.48

44.85

45.09

44.83

44.81

45.06

45.17
27-May-11

30-May-11

31-May-11

1-Jun-11
$/INR

2-Jun-11

3-Jun-11

Previous Close
6.42
6.44
6.25
5.99
5.85

Jun 6, 2011

GLOBAL EQUITIES
SENSEX
NIFTY
DJIA
S&P 500
NASDAQ
FTSE 100
NIKKEI 225
HANG SENG
SHANGHAI SE COMP
TAIWAN TAIEX

3-Jun-11
18376.48
5516.75
12248.55
1312.94
2773.31
5845.95
9492.21
22949.56
2728.02
9046.28

Previous Close
18494.18
5550.35
12290.14
1314.55
2769.19
5928.61
9555.04
23253.84
2705.18
8991.36

FII Inflows (Rs. Cr.)

Previous Close
100.29
115.79
108.24
1539.80
4102.00

Forthcoming Auctions
Security
91 Day T-Bill
182 Day T-Bill

Equity
Debt

MF Inflows (Rs. Cr.)


Equity
Debt

03-Jun-11
Purchase
2467
350

Sale
1778
616

03-Jun-11
Purchase
348
2266

Net
690
-266

Sale
322
1971

Net $
154
-59

Net
26
294

GLOBAL COMMODITIES
Nymex Crude ($/bbl)
Brent Crude ($/bbl)
Dubai Crude ($/bbl)
Gold ($/oz)
LMEX

3-Jun-11
100.40
114.27
109.40
1530.85
4011.70

Date of Auction
8-Jun-11
8-Jun-11

Amount (Rs. Cr.)


8000
3000

GOVERNMENT BORROWINGS
Government Borrowing Programme (Rs. Cr.)
Budgeted G-Sec Gross Borrowings for 2011-12

417128

Budgeted G-Sec Net Borrowings for 2011-12

343000

Budgeted Redemptions
G-Sec Gross Borrowings till Date
G-Sec Gross Borrowing Completed (%)

74128
96000
23.01%

Maturities till date

13473

Net G-Sec Borrowings till Date

82527

364 Day T-Bill Gross Borrowings till date

14000

CMBs Borrowing till date

32000

WPI Inflation
April
March
February
January

Revised
8.66%
9.02%
9.54%
9.47%

Provisional
8.66%
8.98%
8.31%
8.23%

Jun 6, 2011

WSS DATA WATCH


27-May-11
1369015
15.3
101
9,544
216
71615
310.22

Reserve Money
YoY Growth %
Central Govt Deposits with RBI
Central Govt WMA
State Govt WMA
State Govt 14 T-bill
Forex Reserves (bln $)

(Rs. Cr.)
Previous Week
1361662
17.4
101
20,597
833
70750
308.53

(Rs.

Cr.)

Variation

Money Supply M3

20-May-11

Fortnight

2010 yoy

2011 yoy

6655037

6473

94700

163281

745676

957606

0.1

1.7

2.5

15.1

16.8

3246

39,063

111286

567089

787366

0.1

0.9

2.1

14.3

17.4

-5271

-12,638

10,031

495698

719964

-0.1

-0.4

0.3

18.1

22.3
702809

% growth
Bank Deposits

5319256

% growth
Bank Credit

3952114

% growth
Non Food Credit

FY 10-11 so far FY 11-12 so far

3885557

-12802

-13,551

7,757

503778

Food Credit

66,557

7,531

913

2,274

-8,080

17,154

Investments

1583147

13,304

62,506

81,528

190347

135,889

Head of Treasury
Prasanna Patankar
Government
Securities
Manish Jadhwani
Nirav Shah

Treasury Sales
Siddharth Shah
Subodh Kapadekar
Mahak Khabia
Shivangani Singh
Payal Shah
Chintan Kapadia

Fixed Income
Research
Amol Agrawal
Meghna Patel
Mutual fund
Mihir Kaulgi

Debt Fund
Management
Sabita Braganza
Equity Desk
Rajiv Ranjan
Alok Baadkar

Risk
Management
Smita Nair
Nazir Rozani

Settlements
M N Suresh
Anita Mohite
Shyam Margaj
Shweta Pednekar
Suhas Lahne

Delhi Office
K K Mittal
Satish Sharma
Anshul Arora
Bangalore Office
Raghu N

STCI Primary Dealer Ltd.


A/B1- 801, A Wing, 8th floor, Marathon Innova,Marathon Next Gen Compound,Off. Ganpatrao Kadam Marg,Lower Parel (w), Mumbai 400013.
Dealing Room: (022) 24991094-97, (022) 66202217-20 Settlements: (022)66202262-64, Fax (022) 66202288
Delhi Office: (011) 23351091 Bangalore Office: (080) 22208891
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