Date: 18-Jan-21
G-Sec Markets
200 220 240 260 280 J u l-2 0 A u g -2 0 S e p -2 0 O ct -2 0 N o v -2 0 D ec -2 0 J a n -2 11/10Y G-Sec Spread
80 100 120 140 J u l-2 0 A u g -2 0 Se p -2 0 O ct -2 0 N o v -2 0 D ec -2 0 J an -2 1
2Y/5Y G-Sec Spread
20 40 60 80 100 120 J u l-2 0 A u g -2 0 Se p -2 0 O ct -2 0 N o v -2 0 D ec -2 0 J an -2 1
5Y/10Y G-Sec Spread
10 20 30 40 50 J u l-2 0 A u g -2 0 Se p -2 0 O ct -2 0 N o v -2 0 D ec-2 0 J an -2 1
10Y/15Y G-Sec Spread
20 30 40 50 60 70 Ju l-2 0 A ug -2 0 S ep -2 0 O ct -2 0 N ov -2 0 D ec -2 0 Jan -2 1
10Y/20Y G-Sec Spread
5.40 5.80 6.20 6.60 7.00 Ju l-2 0 A u g -2 0 S e p -2 0 O ct -2 0 N o v -2 0 D ec -2 0 Ja n -2 1
10Y Benchmark & Moving Averages 1 0Y BNM K 0 3M M A 1 YR M A
(%)
Type Current 1 Day 1 Week 1 Month 3 Month 1 Year
1-Year 3.76 2.4 14.3 24.9 10.2 -168 2-Year 4.27 2.3 16.8 30.7 7.0 -161 5-Year 5.43 3.2 14.8 23.9 12.4 -106 10-Year 6.01 1.1 2.3 3.0 3.7 -81 15-Year 6.37 3.4 5.6 6.7 2.6 -66 20-Year 6.43 1.8 1.5 -1.3 -12.3 -66 30-Year 6.49 0.7 0.6 -6.3 -24.4 -58 10Y Benchmark 5.97 0.9 3.7 2.3 6.9 -57 10Y-5Y Spread (Bps)* 72.7 75.3 79.9 90.4 73.9 16
* 5Y Benchmark: 5.22% GS 2025 and 10Y Benchmark: 5.77% GS 2030
Change Over (Basis Points) Government Security (G-Sec.) Yields
Buy
Sell
Net
Banks**
18190
19202
-1012
Others
11600
10588
1012
Trading Pattern in G-Sec* (Rs. Crore)
*Excludes When Issued Securities.
**Includes PD Division of Banks
2.50 2.75 3.00 3.25 3.50 3.75 4.00 Ju l-2 0 A u g -2 0 S e p -2 0 O ct -2 0 N o v -2 0 D ec -2 0 Ja n -2 1
3 Month Yield & Moving Averages
Derivatives
30 45 60 75 90 105 120 Ju l-20 A ug -2 0 S ep -2 0 O ct -2 0 N ov -2 0 D ec -2 0 Ja n-21 2Y OIS/MIFOR Spread30 40 50 60 70 Ju l-20 A ug -2 0 S ep -2 0 O ct -2 0 N ov -2 0 D ec -2 0 Ja n-21
2Y/5Y OIS Spread
10 30 50 70 90 110 Ju l-20 A ug -2 0 Se p-20 O ct -2 0 N ov -2 0 D ec -2 0 Ja n-21
2Y/5Y MIFOR SPREAD
60 80 100 120 Ju l-20 A ug -2 0 S ep -2 0 O ct -2 0 N ov -2 0 D ec -2 0 Ja n-21 3Y OIS/MIFOR Spread
40 60 80 100 120 Ju l-20 A ug -2 0 S ep -2 0 O ct -2 0 N ov -2 0 D ec -2 0 Ja n-21 5Y OIS/MIFOR Spread
3.0 3.5 4.0 4.5 5.0 Ju l-20 A u g-20 S ep -2 0 O ct -2 0 N o v-20 D ec -2 0 Ja n -2 1
MIBOR & 3M Moving Average
FBIL MIB OR RT 3MMAvg
Current Current
Sector (%) 1 Day 1 Week 1 Month 3 Month 1 Year (%) 1 Day 1 Week 1 Month 3 Month 1 Year
1 Year 3.80 0.37 -1.92 3.99 7.05 -152.46 5.03 -3.49 8.57 26.68 56.13 -128.34
2 Years 4.10 -0.50 3.11 10.82 24.46 -122.36 5.08 7.00 23.00 39.00 53.00 -116.40
3 Years 4.40 -1.70 8.07 14.10 34.91 -99.61 5.35 7.25 8.75 31.25 41.12 -114.75
5 Years 4.74 -0.48 9.58 12.97 32.50 -79.50 5.59 5.72 8.72 28.72 29.85 -118.22
Change Over (Basis Points)
MIFOR
Change Over (Basis Points)
MIBOR-OIS
MIBOR OIS (5Y) MIFOR (5Y)
Mean (%) 3.45 4.50 5.24
Std. Dev. 0.06 0.13 0.13
3-Month Mean and Standard Deviation
OIS MIFOR
Today 7900 1365
Yesterday 15660 50
Derivatives Vs. G-Sec Spread
-80 -60 -40 -20 0 20 Ju l-20 A ug -2 0 S ep -2 0 O ct -2 0 N ov -2 0 D ec -2 0 Ja n-21 2Y OIS/G-Sec Spread-140 -120 -100 -80 -60 -40 Ju l-20 A ug -2 0 S ep -2 0 O ct -2 0 N ov -2 0 D ec -2 0 Ja n-21 5Y OIS/G-Sec Spread
3.50 4.00 4.50 5.00 5.50 6.00 6.50 7.00 Ju l-20 A ug -2 0 S ep -2 0 O ct -2 0 N ov -2 0 D ec -2 0 Ja n-21
5Y OIS & G-Sec Yields
OIS GSEC 3MMA GSEC 3MMA 5Y OIS
Current
1 Day 1 Week 1 Month 3 Month 1 Year
2 years -17 -14 -3 3 -35 -55
5 years -69 -65 -64 -58 -90 -96
OIS / G-Sec Spread (Basis Points)
Before
O.I. Value
(Lots) (Rs Crore) 1 Day 1 Week 1 Month 3 Month 1 Year
NSE 47639 197 103 37 7 254 -84
MSEI 0 0 - - - -
-BSE 48610 161 73 - 108 - 7
Total IRF 96249 358 88 149 37 544 -74
O.I: Open Interest
Interest Rate Futures
Growth Over (%)
Money Market
2.50 3.00 3.50 4.00 4.50 5.00 5.50 Ju l-2 0 A u g -2 0 S ep -2 0 O ct -2 0 N o v -2 0 D ec -2 0 Ja n -2 1Call Daily Rates & 3M Moving Average (MA) (% ) Call 3M MA
1.00 2.00 3.00 4.00 5.00 Ju l-20 A ug -2 0 S ep -2 0 O ct -2 0 N ov -2 0 D ec -2 0 Ja n-21
REPO Daily Rates & 3M Moving Average (MA) (% ) REPO 3M MA
0.01 0.02 0.03 0.04 Ju l-20 A ug -2 0 S ep -2 0 O ct -2 0 N ov -2 0 D ec -2 0 Ja n-21
TREP Daily Rates & 3M Moving Average (MA) (% )
TREP 3M MA -5000 0 5000 10000 15000 20000 Ja n -2 0 F e b -2 0 M a r-2 0 A p r-2 0 M a y -2 0 Ju n -2 0 Ju l-2 0 A u g -2 0 S e p -2 0 O ct-2 0 N o v -2 0 D ec -2 0 Ja n -2 1 MSF Volume (Rs Crore) MSF
0 160000 320000 480000 640000 800000 960000 Ja n -2 0 F e b -2 0 M a r-2 0 A p r-2 0 M a y -2 0 Ju n -2 0 Ju l-2 0 A u g -2 0 S e p -2 0 O ct -2 0 N o v -2 0 D ec -2 0 Ja n -2 1
LAF Reverse Repo Volume (Rs Crore)
Current
1 Day
1 Week 1 Month
3 Month
1 Year
TREP
3,25,706
3,11,226
3,29,217
2,32,765
1,97,020
1,93,356
Repo
1,04,335
1,05,595
78,546
80,950
93,854
65,191
Call
10,036
9,072
9,528
10,379
9,929
11,878
Money Market Trade Volumes (Rs Crore)
Before
Current
(%) Mean (%) Std. Dev. 1 Day 1 Week 1 Month 3 Month 1 Year
TREP
3.21
3.03
0.18
1.39
1.63
-1.83
15.37 -170.36
Repo
3.20
3.04
0.17
10.52
-4.99
-2.17
13.12 -165.53
Call
3.16
3.21
0.10
-6.71
-3.19
-6.55 -20.00 -182.83
Money Market Rates
3 Month Moving Avg. Change Over (Basis Points)
Today
Outstanding 1 Day 1 Week 1 Month 3 Month 1 Year
A. Repo* - - - - - 2,849
B. MSF# - 163 - 124 125 3,091
C. Term Repo 1,14,445 1,14,445 1,14,445 1,14,445 1,15,445 12,080
D. Reverse Repo#* - 20,857 6,55,478 26,816 5,59,247 2,71,937
E. Term Reverse Repo - - - - - 65,033
Net Liquidity
D+E-(A+B+C) (1,14,445) (93,751) 5,41,033 (87,753) 4,43,677 3,18,950
#MSF and Reverse Repo come with 1 day lag. *Inclusive of overnight repo/reverse repo at variable rate
Before
Foreign Exchange (Forex) Market
70.0 72.0 74.0 76.0 78.0 Ju l-20 A ug -2 0 S ep -2 0 O ct -2 0 N ov -2 0 D ec -2 0 Ja n-21 Spot USD/INR SPOT I NR 3M MVG 6M MVG
68 69 70 71 72 73 74 75 76 77 78 108 110 112 114 116 118 120 122 N ov -1 9 D ec -1 9 Ja n-20 F eb -2 0 M ar -2 0 A pr -2 0 M ay -2 0 Ju n -2 0 Ju l-2 0 A ug -2 0 Se p -2 0 O ct -2 0 N ov -2 0
Trends in Spot & REER (36 countries) REER Avg. M onthl y Spot
Current
1 Day 1 Week 1 Month 3 Month 1 Year
1 Month
4.33
4.30
4.10
3.51
3.43 3.60
3 Month
5.17
5.11
4.89
3.61
3.64 4.45
Before
Rupee Forward Premia (% p.a.)
80 100 120 140 160 180 200 Ju l-20 A ug -2 0 S ep -2 0 O ct -2 0 N ov -2 0 D ec -2 0 Ja n-21
INR Exchange Rate (Base: 1-Apr-04 = 100) USD GBP EU RO YE N
Today
Yesterday
Cash
6487
Tom
6351
Spot
15266
Forward
1912
Total
30016
Forex Settlement Volumes ($ Million)
Current#
Mean Std. Dev. 1 Day 1 Week 1 Month 3 Month 1 Year
USD 73.02 73.70 0.43 73.12 73.33 73.52 73.46 72.02
GBP 99.83 98.15 1.45 99.72 99.52 98.92 94.81 94.58
EURO 88.64 88.48 1.25 88.87 89.94 89.41 86.27 80.32
JPY* 70.37 70.77 0.47 70.29 70.60 70.98 69.65 66.45
3 Month Before
INR Exchange Rate against Major Currencies
*INR against 100 JPY # Data with 1 day lag
# Forex Holiday
O.I. Value
(Lots) (Rs Crore) 1 Day 1 Week 1 Month 3 Month 1 Year
NSE 4449974 18300 -10 -10 -35 -6 -30 MSEI 105527 680 -5 106 -58 119 369 BSE 6319265 6259 -15 -27 -39 -12 -54 C. Futures 10874766 25238 -11 -14 -37 -6 -37 NSE 4273360 21420 -38 -2 -5 15 -27 MSEI 26 0 - - -71 - -99 BSE 4514436 14113 2 -2 -1 13 81 C. Options** 8787822 35533 -27 -2 -3 14 -5
O.I.: Open Interest; * USDINR, EURINR, GBPINR , JPYINR
Growth Over (%) Currency Derivatives (Futures & Options)*
Oct-20
Current
1 Month 3 Month
6 Month 1 Year
Purchase
15640
13322
16903
2450
7302
Sale
0
5150
930
3592
200
Net
15640
8172
15973
-1142
7102
Before
RBI’s Sale and Purchase of US Dollars ($ Million)
As on
08-Jan-21 1-Week 1-Month 3-Months 1-Year
Total FCA 3968594 0.27 0.47 5.61 31.92
Gold 275376 1.78 3.83 2.34 44.05
SDRs 11100 0.59 0.27 2.26 7.78
Reserves with IMF 37992 1.10 9.62 11.73 45.97
FX Reserves ($ Million) 586082 0.13 1.30 5.58 29.93
Growth Over (%)
Macro-Economic Indicators
3.5 4.5 5.5 6.5 7.5 8.5 9.5 D e c -1 9 Ja n -2 0 F e b -2 0 M a r-2 0 A p r -2 0 M a y -2 0 J u n -2 0 Ju l-2 0 A u g -2 0 S e p -2 0 O c t-2 0 N o v -2 0 D e c -2 0India's CPI Inflation (Y/Y) Rate (% ) CPI-R CPI-U CPI-C
-5.0 -3.5 -2.0 -0.5 1.0 2.5 4.0 5.5 7.0 8.5 10.0 D e c -1 9 Ja n -2 0 F e b -2 0 M a r-2 0 A p r -2 0 M a y -2 0 J u n -2 0 J u l-2 0 A u g -2 0 S e p -2 0 O c t-2 0 N o v -2 0 D e c -2 0
India's CPI & WPI Inflation Trajectory
CPI-C WPI
-2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 N o v -1 9 D e c -1 9 J a n -2 0 F e b -2 0 M a r -2 0 A p r -2 0 M a y -2 0 J u n -2 0 J u l-2 0 A u g -2 0 S e p -2 0 O c t-2 0 N o v -2 0
Global CPI Inflation Rate (% ) Trajectory
U.S U.K Euro Area Japan
Current
Period Sub-Category Dec-20 1 Month 3 Month 1 Year
CPI: Rural 4.07 7.20 7.36 7.33
CPI: Urban 5.19 6.73 7.26 7.46
CPI: Combined 4.59 6.93 7.27 7.35
Period Sub-Category Dec-20 1 Month 3 Month 1 Year
Primary Goods -1.61 2.72 4.06 11.54
Fuel & Power -8.72 -9.87 -8.65 0.39
Manufacturing 4.24 2.97 1.87 -0.25
WPI: All 1.22 1.55 1.32 2.76
Before
CPI
WPI
India's Inflationary (WPI & CPI) Profile
-50 -30 -10 10 30 50 70 1200 1400 1600 1800 2000 2200 Ja n -2 0 F e b -2 0 M a r-2 0 A p r-2 0 M a y -2 0 Ju n -2 0 Ju l-2 0 A u g -2 0 S e p -2 0 O ct -2 0 N o v -2 0 D ec -2 0 Ja n -2 1 $ Per Barrel $ Per
Ounce Trends in Gold & Crude Oil Prices
Gold Crud e Oil -60.0 -15.0 30.0 75.0 120.0 165.0 210.0 Ja n -2 0 F e b -2 0 M a r-2 0 A p r-2 0 M a y -2 0 Ju n -2 0 Ju l-2 0 A u g -2 0 S e p -2 0 O ct -2 0 N o v -2 0 D ec -2 0 Ja n -2 1
Gold / Crude Oil Ratio
Current
1 Day 1 Week 1 Month
3 Month 1 Year
Gold (per Ounce)
1843.00
-0.4
-2.4
-2.6
-4.2
17.8
Crude Oil (per Barrel)
52.22
-2.3
0.2
8.1
31.1
2.5
Growth over (%)
Crude Oil & Gold Price(USD)
Economic Research Department
The Clearing Corporation of India Limited
CCIL Bhavan,
College Lane, S K Bole Road,
Dadar (West),
Mumbai - 400 028
Phone: 6154 6587/6581
[email protected]
[email protected]
Note: 1. Charts contain straight lines in red and blue, indicate average and +/- 1 standard deviation respectively.
2. One crore = 10 million
3. Chart on INR exchange rate to major currencies presents indices with base as 1 April, 2004 = 100
Data sources: Data inputs were collected from Reserve Bank of India, BSE, NSE, MCX, NCDEX, CSO, Reuters apart from the CCIL.
Disclaimer:
This is not an investment advice in any manner. The data used in this report has been obtained from secondary sources which we consider reliable but do not guarantee accuracy. We take care to update on a reasonable basis the information discussed in this material. This material should not be construed as an offer to sell or the solicitation of an offer to buy any security. We are not soliciting any action based on this material. It is for the general information of market participants and general public. It does not constitute a personal recommendation or take into account the particular investment objectives, financial situations, or needs of individual market participants. Before acting on any advice or recommendation in this material, one should consider whether it is suitable for their particular needs and, if necessary, seek professional advice. Past performance is not a guide to future performance. Future returns are not guaranteed, and a loss of original capital may occur. The material is based on information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied on as such. Opinions expressed are our current opinions as of the date appearing on this material only. This research contains the views and opinions of CCIL Research team only and not necessarily the views of CCIL. This report may not be reproduced in whole or in part.
