Weekly Macro Data Coverage Aug 12, 2019

Key Highlights:

  • WACR stands at 5.58% during the first week of August 2019
  • Daily average liquidity in the system stands at Rs. 1.14 lakh crore during the week
  • On a daily basis, the call money rate has dropped to 5.31 as on August 14, 2019
  • Indian 10-year G-sec yield has dropped to 6.50 during the same period
  • The bid-ask spread of 10-year Indian sovereign bond has increased to 0.6 bps in July 2019 from 0.54 bps the previous month
  • ECB is likely to issue net debt of €48 billion ($53bln) under assets purchasing programme (APP) during August and September, 2019

Liquidity

The weighted average call money rate continues its five weeks long downward trend and reached 5.58% during the first week of August 2019. The daily average liquidity in the system stands at Rs. 1.14 lakh crore during the week. Taking advantage of surplus liquidity in the system, RBI has trimmed repo rate by 35 bps to 5.40% for reviving the domestic economy. Due to surfeit liquidity in the system, the call money rate got adjusted to the revised repo rate next day only. On a daily basis, the over-night lending rate has subsided to 5.31% as on August 14, 2019.

Capital Market

The 10-yr US sovereign yield has declined to 1.75% during the first week of August 2019. Following the similar trend, yield of 10-yr Indian G-sec has reached 6.50% during the same week. However, the Indian sovereign yield has reversed its trend and reached 5.62% this week. The bid-ask spread of 10-yr domestic sovereign bond has increased to 0.6 bps in July 2019 from 0.54 bps, the previous month. The higher spread is result of fall in demand for the Indian sovereign bond. Most of the emerging economies are facing weak demand as investors are moving their cash to safe assets. In addition, ECB is likely to issue fresh debt of €48 billion ($53bln) under assets purchasing programme (APP) during August and September, 2019. This will further impair the demand for sovereign bond of emerging economies.

Currency Trend

Indian rupee has depreciated by 2.45% to 70.68 during the second week of Aug, 2019 on account of adverse global factors. The global currency market is highly volatile as emerging economies are reacting to the devaluation of CNY. In addition, the emerging market has been witnessing higher capital outflow as investors are concern about the global economic outlook. Moreover, the USD has been strengthening against the euro and British pound.

Interest rates and ratio:

Interest Rate

Aug 3

July 5

July 12

July 19

July 26

Aug 2

2018

2019

2019

2019

2019

2019

 Policy Repo Rate

6.50 

5.75 

5.75 

5.75 

5.75 

5.75 

 Call Money Rate (WA)

6.24 

5.67 

5.62 

5.61 

5.59 

5.58 

 364-Day Treasury Bill Yield

7.27 

6.13 

6.06 

5.98 

5.98 

5.94 

 2-Yr Indian G-Sec

7.54 

6.18 

6.06 

6.1 

6.01 

5.91 

 10-Yr Indian G-Sec

7.73 

6.76 

6.56 

6.45 

6.62 

6.50 

 10-Yr US G-Sec

2.87 

2.12 

2.06 

2.07 

1.84 

1.75 

 AAA (Indian corporate)

8.78 

8.04 

8.3 

7.42 

7.76 

7.50 

 Spread in bps (10Yr Indian-US)

486 

464 

450 

438 

478 

475 

 Credit/Deposit Ratio

74.93 

76.51 

- 

76.34 

- 

- 

 USD LIBOR (3 month)

1.9203 

2.3564 

2.359 

2.3606 

2.3504 

2.1043 

 Forward Premia of US$ 1-month

4.54 

4.36 

4.02 

4.01 

4.00 

3.98 

 US$ 3-month

4.54 

4.60 

4.19 

4.15 

4.09 

4.09 

 US$ 6-month

4.42 

4.71 

4.43 

4.33 

4.31 

4.18 
Source: RBI, Investing.com


Acuité Portfolio Debt Instrument Benchmark Estimates (as on Aug 12, 2019):

Category

10-Yr Corporate Yield to Maturity

  AAA*

NA  

  AA+

7.66%  

  AA

8.63%  

Source: Acuité Research; # Discount Factor: 0.059; *Outside Benchmark

Deposit (In Rs. Lakh cr)

Bank Credit (In Rs. Lakh cr)

  As on July 19, 2019

126.49 

96.57 

  As on June 21,2019

124.92 

96.49 

  As on July 20,2018

114.37 

86.09 

  YTD (% change)

1.26% 

0.08% 

  YoY (% change)

10.60% 

12.17% 
Source: RBI


Money Market Performance

Commercial Paper (Fortnight):

Outstanding (In Rs. Billion)

Amount issued (In Rs. Billion)

  30-Jun-19

5,039.40 

1076.9 

  15-Jun-19

5,561.80 

1078.7 

  30-Jun-18

4,918.30 

1267.3 

  % Change (MoM)

-9.39% 

-0.17% 

  % Change (YoY)

2.46% 

-15.02% 
Source: RBI

Indices

 

10 Aug 18

19 Jul 19

26 Jul 19

02 Aug 19

09 Aug 19

  NSE Index

11,429.50 

11,419.25 

11,284.30 

10,997.35 

11,109.65 

  NSE Index Return

0.60 

-1.15 

-1.18 

-2.54 

1.02 

  BSE Index

37,869.23 

38,337.01 

37,882.79 

37,118.22 

37,581.91 

  BSE Index Return

0.83 

-1.03 

-1.18 

-2.02 

1.25 


Liquidity Operation by RBI

Source: RBI, Acuité Research; Note: Net injection (+) and Net absorption (-)


Corporate debt (in Rs. Lakh Cr)


Net Debt Issuance by Centre and State Government (Rs. Billion)


Commodity Price Index (3 Month Moving Average)


Commodity Price Movement (3 Month Moving Average)


USD-INR Movement

Source: RBI, Acuité Research