Weekly Macro Data Coverage Sep 09, 2019

Key Highlights:

  • Weighted average call money rate has marginally increased to 5.36%, which is four bps lower than the repo rate
  • Overall liquidity in system has further increased to Rs. 1.32 lakh crore during the last week of August 2019
  • Surplus liquidity in the system stands at Rs. 1.63 lakh crore as on September 9, 2019
  • 10-year US G-sec had been hovering at 1.50% for past four weeks has been accelerating
  • Central government’s debt issuance has increased by 120% in FY20 (as on August)
  • Indian rupee has depreciated by 10% to 71.9 during the last week of August 2019

Liquidity

The weighted average call money rate has marginally increased to 5.36%, which is four bps lower than the repo rate. However, in view of mild credit offtake and robust government expenditure, the overall liquidity in system has further increased to Rs. 1.32 lakh crore during the last week of August 2019. This has reached Rs. 1.63 lakh crore as on September 9, 2019. This is indicating that the commercial banks being under pressure of low offtake may further trim their lending rates.

Capital Market

In the global sovereign debt market, higher supply of sovereign debt along with economic uncertainty has been pushing the sovereign yield up. The 10-year US G-sec that was hovering at 1.50% for past four weeks has been moving up. On the domestic front, 10-year G-sec has increased by thirteen bps to 6.70%. Central government’s debt issuance has increased by 120% in FY20 (as on August). The government has been front loading the system in order to change the market sentiment.

Currency Trend

In the currency market, the currencies of emerging economies were highly volatile in response to the devaluation of Chinese Yuan. However, market’s reaction to the currency war seems to be waning. The currencies of emerging market are strengthening against the US dollar. The Indian rupee has depreciated by 10% to 71.9 during the last week of August. However, the pace of depreciation has been easing.


Interest rates and ratio:

Interest Rate

Aug.,31

Aug.,2

Aug.,9

Aug.,16

Aug.,23

Aug.,30

2018

2019

2019

2019

2019

2019

Policy Repo Rate

6.50

5.75

5.4

5.40

5.40

5.40

Call Money Rate (WA)

6.36

5.58

5.45

5.32

5.32

5.36

364-Day Treasury Bill Yield

7.33

5.94

5.85

5.77

5.74

5.72

2-Yr Indian G-Sec

7.88

5.91

5.90

5.90

5.90

5.78

10-Yr Indian G-Sec

7.95

6.5

6.64

6.69

6.57

6.70

10-Yr US G-Sec

2.94

1.75

1.56

1.53

1.50

1.56

AAA (Indian corporate)

8.66

7.5

6.96

7.61

7.37

7.70

Spread in bps (10Yr Indian- US)

501

475

508

516

507.1

514

Credit/Deposit Ratio

75.39

76.34

..

76.36

..

..

USD LIBOR (3 month)

1.9200

2.1043

2.0953

2.0959

2.0936

2.0866

Forward Premia of US$ 1-month

4.40

3.98

3.74

3.70

4.02

3.85

US$ 3-month

4.34

4.09

3.86

3.9

4.24

4.18

US$ 6-month

4.22

4.18

3.94

3.96

4.22

4.24

Source: RBI, Investing.com

Acuité Portfolio Debt Instrument Benchmark Estimates (as on Sep, 09 2019):

Category

10-Yr Corporate Yield to Maturity

AAA*

NA

AA+

8.04%

AA

8.65%

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

 


Deposit (In Rs. Lakh cr)

Bank Credit (In Rs. Lakh cr)

As on Aug 16,2019

126.8

96.83

As on July 19,2019

126.49

96.57

As on Aug 17,2018

115.11

86.73

YTD (% change)

0.25%

0.27%

YoY (% change)

10.16%

11.65%

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

 

31-Aug-18

09-Aug-19

16-Aug-19

23-Aug-19

30-Aug-19

NSE Index

11,680.50

11,109.65

11,047.80

10,829.35

11,023.25

NSE Index Return

1.07

1.02

-0.56

-1.98

1.79

BSE Index

38,645.07

37,581.91

37,350.33

36,701.16

37,332.79

BSE Index Return

1.03

1.25

-0.62

-1.74

1.72




Liquidity Operation by RBI:oney Market Performance


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):



Source: Acuité Research, RB



Commodity Price Index (3 Month Moving Average):





Commodity Price Movement (3 Month Moving Average):





USD-INR Movement:


Source: RBI, Acuité Research

Birabrata Panda
Sr. Statistician/Economist

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