Weekly Macro Data Coverage June 24, 2019

Key Highlights:

  • Weighted average call money rate has reduced to 5.72% during the second week of June 2019
  • With this, the WACR stands 3bps lower than the repo rate after the second week of rate cut
  • During this week, daily net liquidity absorption from the system was (-) Rs. 35,000 cr
  • 10-year Indian G-Sec yield has subsided to below 6.9%
  • Emerging market currencies that saw appreciation against the USD include South African Rand (ZAR), Turkey Lira (TRY) and Russian Rubble (RUB)
  • Indian rupee, on the other hand, has marginally depreciated against the USD during the week

Liquidity

The weighted average call money rate has reduced to 5.72% during the second week of June 2019. With this, the WACR stands 3bps lower than the repo rate after the second week of rate cut. During this week, consequently, net liquidity absorption from the system was (-) Rs. 35,000 crore on a daily basis. However, the domestic liquidity condition is expected to remain tight during last two weeks of this month due to GST filing for Q1, FY20. Talking from the international perspective, the LIBOR rate and forex reserves are indicating improvements in global liquidity.

Capital Market

On the global capital market front, the 10-year US sovereign bond yield remains stable at close to 2% during the second week of June 2019. The lower yield is the result of concern pertaining to a weak global economic outlook. In the Indian market, the 10-year Indian G-Sec yield has subsided to below 6.9%. With a benign inflation outlook as well as a defanged US Fed, internal and external pressures on yields is not foreseeable. By the end of Q2 FY20 10 year GSec yields may hit a low of 6.5% given the prevalent situation. However, as a caveat, middle east tensions along with higher central Government issuances in H1 may be seen as a threat to this hypothesis.

Currency Trend

In the global currency market, the currency of emerging markets are continue to strengthen against the US Dollar. The currencies highly appreciating against the USD are South African Rand (ZAR), Turkey Lira (TRY) and Russian Rubble (RUB). Indian rupee, on the other hand, has marginally depreciated against the USD during the week.

Interest rates and ratio:

 Interest Rate

June 15

May 17

May 24

May 31

June 7

June 14

2018

2019

2019

2019

2019

2019

 Policy Repo Rate

6.25

6.00

6.00

6.00

5.75

5.75

 Call Money Rate (WA)

6.09

5.95

5.93

5.90

5.81

5.72

 364-Day Treasury Bill Yield

7.09

6.47

6.41

6.30

6.19

6.13

 2-Yr Indian G-Sec

7.43

6.50

6.40

6.27

6.21

6.22

 10-Yr Indian G-Sec

7.89

7.41

7.27

7.07

7.04

6.99

 10-Yr US G-Sec

2.90

2.32

2.13

2.08

2.08

2.06

  AAA (Indian corporate)

8.57

8.41

8.42

8.11

8.11

8.27

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

499

509

514

499

496

493

 Credit/Deposit Ratio

75.40

-

76.98

-

76.97

-

 USD LIBOR (3 month)

1.9356

2.3558

2.3563

2.3545

2.346

2.3466

Source: RBI, Investing.com


Acuité Portfolio Debt Instrument Benchmark Estimates (as on 28th June 2019):

Category

10-Yr Corporate Yield to Maturity

AAA

NA

AA+

8.04%

AA

8.65%

Source: Acuité Research; # Discount Factor: 0.059

 

Deposit (In Rs. Lakh cr)

Bank Credit (In Rs. Lakh cr)

  As on June 07, 2019

125.40 

96.52 

  As on May 10,2019

125.17 

96.26 

  As on June 08,2018

114.08 

85.94 

  YTD (% change)

0.18% 

0.27% 

  YoY (% change)

9.92% 

12.31% 

Source: RBI


 Money Market Performance

Commercial Paper (Fortnight):

Outstanding (In Rs. Lakh cr)

Amount issued (In Rs. Lakh cr)

 31-Mar-2019

4,830.8 

1013.0 

 28-Feb-2019

5,208.1 

900.8 

 31-Mar-2018

3,725.8 

999.2 

 % Change (MoM)

-7.24% 

12.45% 

 % Change (YoY)

29.66% 

1.38% 

Source: RBI


Indices

 

22-Jun-18

31-May-19

07-Jun-19

14-Jun-19

21-Jun-19

 NSE Index

10,821.85 

11,922.80 

11,870.65 

11,823.00 

11,724.10 

 NSE Index Return

0.04 

0.66 

-0.44 

-0.4 

-0.84 

 BSE Index

35,689.60 

39,714.20 

39,615.90 

39,452.07 

39,194.49 

 BSE Index Return

0.19 

0.71 

-0.25 

-0.41 

-0.65 


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