Weekly Macro Data Coverage Aug 26, 2019

Key Highlights:

  • Call money rate stands at 5.32% during the third week of August 2019, which is eight bps lower than the repo rate
  • During this week, banking sector has surplus liquidity of Rs. 1.07 lakh crore
  • Investors are picking up the negative yielding bonds expecting the USD to weaken against euro and price to go up further.
  • Indian rupee has reached nine month high of 71.59 against the USD during the fourth week of August
  • Indian rupee has reached nine month high of 71.59 against the USD during the fourth week of August

Liquidity

The call money rate stands at 5.32% during the third week of August 2019, which is eight bps lower than the repo rate. The over-night lending rate quickly adjusted to the revised repo rate due to surplus liquidity. During this week, banking sector has surplus liquidity of Rs. 1.07 lakh crore. This was around Rs. 11,000 crore during the same week the previous year. The excess liquidity during the current financial year is due to mild credit offtake.

Capital Market

In the global capital market, the negative yielding bond are continue to witness higher demand. The investors prefer the negative yielding bond because of two reasons. First, they want to hedge by expecting the USD to weaken (expecting a rate cut cycle) against the euro in future. Second, due to slowing global economic outlook, demand for the safe heaven assets to increase further. Therefore, price of these bonds is expected to increase further. Therefore, they can still make profit despite a negative yield. In the domestic market, being concerned about domestic growth outlook and fiscal target, investors are pulling out their money from the equity and debt market.

Currency Trend

Indian rupee has been reeling under higher capital outflows and currency war. The Indian rupee has reached nine month high of 71.59 against the USD during the fourth week of August. However, a fall in one and three month forward premia of USD hints the Indian rupee to rebound in a short to medium term.

Interest rates and ratio:

Interest Rate

Aug 17

July 19

July 26

Aug 2

Aug 9

Aug 16

2018

2019

2019

2019

2019

2019

  Policy Repo Rate

6.5 

5.75 

5.75 

5.75 

5.4 

5.4 

  Call Money Rate (WA)

6.39 

5.61 

5.59 

5.58 

5.45 

5.32 

  364-Day Treasury Bill Yield

7.3 

5.98 

5.98 

5.94 

5.85 

5.77 

  2-Yr Indian G-Sec

7.64 

6.1 

6.01 

5.91 

5.90 

5.90 

  10-Yr Indian G-Sec

7.85 

6.45 

6.62 

6.5 

6.64 

6.69 

  10-Yr US G-Sec

2.81 

2.07 

1.84 

1.75 

1.56 

1.53 

  AAA (Indian corporate)

8.3352 

7.42 

7.76 

7.5 

6.96 

7.61 

  Spread in bps (10Yr Indian- US)

504 

438 

478 

475 

508 

516 

  Credit/Deposit Ratio

75.35 

76.35 

76.34 

  USD LIBOR (3 month)

1.9151 

2.3606 

2.3504 

2.1043 

2.0953 

2.0959 

  Forward Premia of US$ 1-month

4.44 

4.01 

4.00 

3.98 

3.74 

3.70 

  US$ 3-month

4.56 

4.15 

4.09 

4.09 

3.86 

3.90 

  US$ 6-month

4.27 

4.33 

4.31 

4.18 

3.94 

3.96 

Source: RBI, Investing.com


Acuité Portfolio Debt Instrument Benchmark Estimates (as on Aug 27, 2019):

Category

10-Yr Corporate Yield to Maturity

  AAA*

NA  

  AA+

8.07%  

  AA

8.51%  

Source: Acuité Research; # Discount Factor: 0.0537; *Outside Benchmark

Deposit (In Rs. Lakh Cr)

Bank Credit (In Rs. Lakh Cr)

  As on Aug 02,2019

127.45 

97.3 

  As on July 05,2019

126.75 

96.97 

  As on Aug 03,2018

124.32 

86.73 

  YTD (% change)

0.55% 

0.34% 

  YoY (% change)

2.52% 

12.19% 

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

 

24-Aug-18

02-Aug-19

09-Aug-19

16-Aug-19

23-Aug-19

NSE Index

11,557.10 

10,997.35 

11,109.65 

11,047.80 

10,829.35 

NSE Index Return

0.75 

-2.54 

1.02 

-0.56 

-1.98 

BSE Index

38,251.80 

37,118.22 

37,581.91 

37,350.33 

36,701.16 

BSE Index Return

0.8 

-2.02 

1.25 

-0.62 

-1.74 


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

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