Weekly Macro Data Coverage Sept 30, 2019

Key Highlights:

  • Weighted average call money rate increased to 5.36% during the third week of September 2019
  • Surplus liquidity in the system returns to Rs. 1.59 lakh crore as on September 30, 2019
  • Government expenditure has witnessed strong growth of 25% on a year on year basis
  • Indian sovereign yield is supposed to remain low on account of global factors; however, this has been neutralized by domestic factors
  • The currencies such as CNY, TRY, INR has been strengthening against the US dollar after the fed rate cut

Liquidity

The weighted average call money rate increased to 5.36% during the third week of September 2019. The spread between the overnight lending rate and repo has subsided to 4 bps as average liquidity in the system reduced to Rs. 67,000 crores over a four-week period. However, surplus liquidity in the system returned to Rs. 1.59 lakh crore as on September 30, 2019. Mild credit offtake along with higher government expenditure has been adding to the surplus liquidity in the system. As on August 2019, government expenditure has witnessed strong growth of 25% on a year on year basis.

Capital Market

On the global capital market front, the 10-year US sovereign yield stands at close to 1.7% during the third week of September 2019. In the long term, the US sovereign yield is expected to remain low as the Fed continues with its accommodative stance pertaining to its monetary policy. On the domestic market front, the 10-year sovereign yield has inched up by around 20 bps over the week period. Indian sovereign yield is supposed to remain low on account of global factors such as lower fed fund rate and oil, but the domestic factors such as higher government borrowings has been neutralizing the impact of global factors.

Currency Trend

The emerging market currencies have a reason to cheer after the cut in the fed fund rate. Emerging Market currencies such as CNY, TRY, INR have been strengthening against the US dollar, consequently. Meanwhile, the US-INR currency pair that had hit a nine-month low of 71.9 during the first week of September 2019 has been in the upward trend for past three weeks, as Rupee recovers.


 

Interest rates and ratio:

Interest Rate

Sep.,21

Aug.,23

Aug.,30

Sep.,06

Sep.,13

Sep.,20

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)

6.57

5.32

5.36

5.34

5.31

5.36

364-Day Treasury Bill Yield

7.66

5.74

5.72

5.69

5.65

5.6

2-Yr Indian G-Sec

7.87

5.90

5.78

5.77

5.73

5.91

10-Yr Indian G-Sec

8.03

6.57

6.7

6.73

6.77

6.91

10-Yr US G-Sec

3.07

1.5

1.56

1.9

1.72

1.69

AAA (Indian corporate)

8.75

7.37

7.70

8.01

7.85

7.70

Spread in bps (10Yr Indian- US)

496.5

507

514

483

505

522

Credit/Deposit Ratio

76.04

-

75.74

-

76.25

-

USD LIBOR (3 month)

1.9174

2.0936

2.0866

2.0976

2.0883

2.1549

Forward Premia of US$ 1-month

4.68

4.02

3.85

4.18

4.57

4.40

US$ 3-month

4.68

4.24

4.18

4.24

4.43

4.17

US$ 6-month

4.45

4.22

4.24

4.28

4.48

4.38
Source: RBI, Investing.com


Acuité Portfolio Debt Instrument Benchmark Estimates (as on Sep, 30 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 Sep 13,2019

127.23

97.01

As on Aug 16,2019

126.80

96.83

As on Sep 14,2018

115.70

87.98

YTD (% change)

0.34%

0.19%

YoY (% change)

10.00%

10.26%
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

 

21-Sep-18

30-Aug-19

06-Sep-19

13-Sep-19

20-Sep-19

NSE Index

11,143.10

11,023.25

10,946.20

11,075.90

11,274.20

NSE Index Return

-3.23

1.79

-0.7

1.18

1.79

BSE Index

38,014.62

37,332.79

36,981.77

37,384.99

38,014.62

BSE Index Return

1.68

1.72

-0.94

1.09

1.68




Liquidity Operation by RBI:


Source: RBI, Acuité Research;

Note: Net injection (+) and Net absorption (-)

Source: RBI




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