Weekly Macro Data Coverage May 31, 2019

Key Highlights:

  • Weighted average call money rate stands seven bps lower than the repo rate during 4th week of May, 2019
  • WACR stands 42 bps lower than repo on June 03, 2019
  • 10-year US G-Sec bond yield declined to 2.13% during 4th week of May
  • 10-year treasury yield stands (-) 0.07 bps less than 1-year T-bill rate, which was 60 bps higher a year earlier
  • Indian 10-year sovereign yield has declined to 7.27% during the 4th week of May
  • India’s foreign exchange reserve has also reached all-time high of $420 billion at the end of May 24, 2019


Liquidity

The weighted average call money rate stands seven bps lower than the repo rate during 4th week of May, 2019. This is for third consecutive weeks, WACR stands below 5 bps lower than the benchmark rate. In post general election result, the capital inflows have increased significantly. As a result, on a daily basis, the WACR stands 42 bps lower than repo on June 03, 2019. This gives a sense of liquidity situation to be improved significantly.


Capital Market

On the global capital market perspective, the 10-year US G-Sec bond yield declined to 2.13% during 4th week of May. Over a month, the yield has reduced by 40bps. Interestingly, the 10-year treasury yield stands (-)0.07 bps less than 1-year T-bill rate, which was 60 bps higher a year earlier. Due to geo-political uncertainty, the demand for the US 10-year bond has increased significantly. On a domestic market side, the 10-year sovereign yield has declined by 7.27% during the 4th week of May. The Indian G-Sec becomes more attractive as spread between 10-year India and US sovereign yield increased to 514 bps.


Currency Trend

The Indian rupee has reached 69.66 against the US dollar at the end of 4thweek of May, 2019. The currency pair had reached all-time high of 73.6 in October 2018. India’s foreign exchange reserve has also reached all-time high of $420 billion at the end of May 24, 2019. In recent weeks, higher FII inflows have been strengthening value of Indian rupee.



Interest rates and ratio:

Interest Rate

May 25

Apr 26

May 3

May 10

May 17

May 24

2018

2019

2019

2019

2019

2019

Policy Repo Rate

6.00

6.00

6.00

6.00

6.00

6.00

Call Money Rate (WA)

5.94

6.16

6.08

5.95

5.95

5.93

364-Day Treasury Bill Yield

6.95

6.50

6.51

6.54

6.47

6.41

2-Yr Indian G-Sec

7.56

6.76

6.72

6.59

6.50

6.40

10-Yr Indian G-Sec

7.95

7.44

7.43

7.46

7.41

7.27

10-Yr US G-Sec

2.90

2.53

2.47

2.39

2.32

2.13

AAA (Indian corporate)

8.71

8.69

8.65

8.50

8.41

8.42

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

505

491

496

507

509

514

Credit/Deposit Ratio

75.36

77.07

 

76.90

 

 

USD LIBOR (3 month)

1.7085

2.4000

2.3731

2.3589

2.3558

2.3563

Source: RBI, Investing.com


 Acuité Portfolio Debt Instrument Benchmark Estimates (as on 6th June 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 May 10, 2019

125.17

96.26

As on Apr 26,2019

124.84

96.21

As on May 11,2018

113.43

85.21

YTD (% change)

0.26%

0.05%

YoY (% change)

10.35%

12.97%

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

 

08 Jun 18

17 May 19

24 May 19

31 May 19

07 Jun 19

  NSE Index

10,767.65  

11,407.15 

11,844.10 

11,922.80 

11,870.65 

  NSE Index Return

0.67  

1.14 

3.83 

0.66 

-0.44 

  BSE Index

35,443.67 

37,930.77 

39,434.72 

39,714.20 

39,615.90 

  BSE Index Return

0.61 

1.25 

3.96 

0.71 

-0.25 



Liquidity Operation by RBI:

 

Source: RBI, Acuité Research; Note: Net injection (+) and Net absorption (-)

Net Debt Issuance by Centre and State Government (Rs. Billion):

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

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