Weekly Macro Data Coverage April 01, 2019

Key Highlights:

  • Repo-WACR differential stands at 5bps during the third week of March, 2019
  • With the positive number, the liquidity condition remains on the surplus side for consecutive four weeks
  • Under Currency Swap agreement, RBI has infused Rs. 34,500 crore into the system during last week
  • Indian 10-year G-Sec yield remains stable at 7.33% for past two weeks
  • Spread between Indian and US 10-yr G-Sec yield has further increased by 490 bps
  • With the strong demand for long term sovereign bond, the US yield curve is inverting
  • India’s forex reserve also reached all time high of $406.67 billion during second week of March, 2019.

Liquidity

The repo-WACR differential stands at 5bps during the third week of March, 2019. With the positive number, the liquidity condition remains on the surplus side for consecutive four weeks. During this month, RBI has already infused Rs. 37,500 crore through OMO operation to maintain sufficient liquidity in the system. In addition, previous week, the central bank has opened up a third avenue in the form of Currency Swap (3 years forward) to eke out liquidity in the system. This operation has added Rs. 34,500 crore in the system, providing a comfortable cushion to the banking sector. Looking forward, with the currency swap agreement and improvement in capital inflows, we are expecting the liquidity condition to remain in the comfortable zone for a medium term.

Capital Market:

On the global capital market front, the US 10 year sovereign bond is yielding 2.43% during the third week of March, 2019. This is 38 bps lower than the same time, the previous year. With a strong demand, the global benchmark G-Sec yield is in downward trend for over past four weeks. The short term instrument such as 3-month T-Bill rate is yielding 2.4% as on March 29, 2019, which is 67 bps higher than the previous year. 10-yr G-Sec, on the other hand, has been yielding 30 bps lower at 2.43%. This gives a sense of higher demand for the US long term bonds. In the domestic market, Indian 10-year G-Sec yield remains stable at 7.33% over past two weeks. As a result, the spread between Indian and US 10-yr G-Sec yield has further increased to 490 bps. A higher spread indicates that Indian sovereign bond has been becoming more attractive.

Currency Trend:

Over past three weeks, USD-INR currency pair has been hovering at 68. The recent currency swap agreement by the RBI has helped the domestic currency to strengthen against the US dollar. With the higher capital inflows and fall in crude price, the Indian rupee has remained upbeat for over a month. The domestic currency has appreciated by 2.8% against the US dollar over a month period.

The forex reserve has also reached all time high of $406.67 billion during second week of March, 2019.

Interest rates and ratio:

Interest Rate

Mar.,23

2018

Feb.,22

2018

Mar.,01

2019

Mar.,08

2019

Mar.,15

2019

Mar.,22

2019

Policy Repo Rate

6.00

6.25

6.25

6.25

6.25

6.25

Call Money Rate (WA)

5.92

6.29

6.22

6.15

6.18

6.20

364-Day Treasury Bill Yield

6.54

6.53

6.55

6.51

6.49

6.42

2-Yr Indian G-Sec

6.89

6.67

6.64

6.55

6.59

6.51

10-Yr Indian G-Sec

7.59

7.42

7.37

7.36

7.33

7.33

10-Yr US G-Sec

2.81

2.76

2.64

2.59

2.44

2.43

Spread in bps (10Yr Indian-10Yr US)

478

466

473

477

489

490

AAA Indian Corporate

8.21

8.32

8.61

8.58

8.55

8.36

AA Indian Corporate

8.18

-

8.56

-

-

-

Spread AAA to10 YR Indian bond

62

90

124

122

122

103

Credit/Deposit Ratio

-

-

77.92

-

78.14

-

USD LIBOR (3 month)

2.35

2.59

2.59

2.62

2.60

2.59

Source: RBI, Investing.com



Acuité Portfolio Debt Instrument Benchmark Estimates (as on 25 March 2019):

 Category  10-Yr Corporate Yield to Maturity
 AAA*  8.32%
 AA+  8.39%
 AA  8.85%
Source: Acuité Research; # Discount Factor: 0.0625; *Outside Benchmark

 

Deposit (In Rs. Lakh cr)

Bank Credit (In Rs. Lakh cr)

As on Mar 15, 2019

122.6

95.5

As on Jan 04, 2019

120.3

93.4

As on Mar 16, 2018

111.1

83.4

YTD (% change)

1.91%

2.25%

YoY (% change)

10.35%

14.51%

Source: RBI

Money Market Performance

Commercial Paper (Fortnight):

Outstanding (In Rs. Lakh cr)

Amount issued (In Rs. Lakh cr)

15-Mar-2019

5,309.5

1,240.6

15-Feb-2019

5,242.3

1,035.5

15-Mar-2018

4,605.0

1154.5

% Change (MoM)

1.28%

19.81%

% Change (YoY)

15.30%

7.46%

Source: RBI

Indices

30-Mar-18

08-Mar-19

15-Mar-19

22-Mar-19

29-Mar-19

NSE Index

10,113.70

11,035.40

11,426.85

11,456.90

11,623.90

NSE Index Return

1.16

-0.21

0.74

-0.56

0.47

BSE Index

32,968.68

36,671.43

38,024.32

38,164.61

38,672.91

BSE Index Return

1.14

-0.15

0.71

-0.58

0.33


Liquidity Operation by RBI:

 

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

Net Debt Issuance by Centre and State Government:

Source: Acuité Research, RBI

Commodity Price Index (3 Month Moving Average):

Commodity Price Movement (3 Month Moving Average):

Corporate debt (in Rs. Lakh Cr):

USD-INR Movement:

Source: RBI, Acuité Research