Weekly Macro Data Coverage Sept 23, 2019

Key Highlights:

  • Overall liquidity in the banking sector has increased to Rs. 1.43 lakh crore during the second week of September 2019
  • Weighted average call money rate has further subsided to 5.31%, which is 9 bps lower than the repo rate.
  • 10-year US sovereign yield has subsided from a seven-week high of 1.92% to 1.72% over the period (previous week)
  • Liquidity condition is likely to improve during the last week of September on account of GST tax filling for the second quarter
  • Indian rupee has been appreciating for past two weeks after reaching multi weeks low of 71.9 during the first week of September

Liquidity
The overall liquidity in the banking sector has increased to Rs. 1.43 lakh crore during the second week of September 2019. As a result of surfeit in liquidity in the system, the weighted average call money rate has further subsided to 5.31%. However, the surplus liquidity in the system has declined to Rs. 43,000 as on September 23, 2019. The liquidity condition is likely to improve during the last week of September on account of GST tax filling for the second quarter. Moreover, credit offtake that has been subsiding for past few weeks is expected to reverse with the upcoming festive season.

Capital Market
In the global capital market, the 10-year US sovereign yield has subsided from a seven-week high of 1.92% to 1.72% over the week period. As the FOMC has trimmed the fed rate by 25 bps during the last week’s meeting, the G-sec yield is expected to decline further. On the domestic market side, the 10-year Indian sovereign yield has increased to 6.77%. The domestic capital market is expected to remain volatile as government’s booster package for the revival of economy is threatening the fiscal target.

Currency Trend
In the currency market, the currency of emerging markets has been gaining against the US dollar. The Indian rupee has been appreciating for past two weeks after reaching multi weeks low of 71.9 during the first week of September. The accommodative monetary policy in the west will lead to higher capital inflows to the emerging markets. Therefore, currencies of the emerging markets are expected to strengthen against the USD.

Interest rates and ratio:

Interest Rate

Sep.,14

Aug.,16

Aug.,23

Aug.,30

Sep.,06

Sep.,13

2018

2019

2019

2019

2019

2019

  Policy Repo Rate

6.5

5.4

5.4

5.40

5.40

5.40

  Call Money Rate (WA)

6.46

5.32

5.32

5.36

5.34

5.31

  364-Day Treasury Bill Yield

7.68

5.77

5.74

5.72

5.69

5.65

  2-Yr Indian G-Sec

7.93

5.90

5.90

5.78

5.77

5.73

  10-Yr Indian G-Sec

8.07

6.69

6.57

6.70

6.73

6.77

  10-Yr US G-Sec

3.07

1.53

1.5

1.56

1.90

1.72

  AAA (Indian corporate)

8.92

7.61

7.37

7.70

8.01

7.85

  Spread in bps (10Yr Indian- US)

500.3

516

507

514

483

504.8

  Credit/Deposit Ratio

76.08

76.36

-

75.75

-

-

  USD LIBOR (3 month)

1.9151

2.0959

2.0936

2.0866

2.0976

2.0883

  Forward Premia of US$ 1-month

4.85

3.7

4.02

3.85

4.18

4.57

  US$ 3-month

4.65

3.9

4.24

4.18

4.24

4.43

  US$ 6-month

4.48

3.96

4.22

4.24

4.28

4.48
Source: RBI, Investing.com


Acuité Portfolio Debt Instrument Benchmark Estimates (as on Sep 23rd 2019):

Category

10-Yr Corporate Yield to Maturity

  AAA*

NA

  AA+

8.03%

  AA

8.69%
Source: Acuité Research; # Discount Factor: 0.0527; *Outside Benchmark

Deposit (In Rs. Lakh cr)

Bank Credit (In Rs. Lakh cr)

  As on Aug 30,2019

127.80

96.81

  As on Aug 02,2019

127.45

97.29

  As on Aug 31,2018

116.47

87.81

  YTD (% change)

0.28%

-0.50%

  YoY (% change)

9.73%

10.25%
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

 

14-Sep-18

23-Aug-19

30-Aug-19

06-Sep-19

13-Sep-19

  NSE Index

11,515.20

10,829.35

11,023.25

10,946.20

11,075.90

  NSE Index Return

-0.64

-1.98

1.79

-0.7

1.18

  BSE Index

38,090.64

36,701.16

37,332.79

36,981.77

37,384.99

  BSE Index Return

-0.78

-1.74

1.72

-0.94

1.09
Source: RBI



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):


Source: Acuité Research, RBI




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