Closing

Market ALTUS

12-Feb-15

Fixed Income
India's benchmark bond yield closed unchanged at 7.73 per cent as traders hold on to positions ahead of retail inflation data due today.
There was a net liquidity deficit in the inter-banking system of Rs 7,316 Cr as compared to surplus of Rs 8,495 Cr Cr on previous day. There was MSF borrowing of Rs 2,769 Cr on 11th February 2015
compared to Rs 240 Cr on previous day. (MSF borrowings follow a 1 day lag).
Call money rates rose to 7.93 from 240. 1 yr CD rates rose to 8.79 from 8.75. 1 yr CP rate rose to 9.15 from 9.13. 1 year AAA corporate bond yield fell to 8.56 from 8.57.
U.S. Treasury debt prices reversed early gains and turned lower after a news report that Greece had reached an agreement in principle with euro zone countries over its finances.

Forex
The Rupee closed lower for a third consecutive session as expectations of a mid-year rate hike by the U.S. Federal Reserve strengthened the Dollar against emerging market currencies. The Rupee
closed at 62.26 per Dollar compared with its previous close of 62.19 per Dollar.
The Euro took a dip early in Asian trades today, buffeted by a barrage of conflicting headlines that left investors no clearer on whether Greece may yet secure a new debt agreement with its
European lenders.
Commodity
Gold edged higher during early morning session, after earlier dropping to a five-week low, as confusion over Greece's debt negotiations with its European lenders dominated markets, drumming up
some safe-haven bids for the metal.
Oil prices fell as much as 3 per cent after U.S. stockpiles hit record highs, and analysts and traders said the market could shed more of a two-week rebound that was spurred by expectations of
lower output.
Equity
Indian shares rose for a second consecutive session as blue-chips climbed. The benchmark BSE index rose 0.63 per cent to close at 2,8533.97, while the NSE index ended 0.72 per cent higher at
8,627.40
Japan's Nikkei share average hit a two-month high during early morning trades as the weak Yen boosted exporters such as Toyota Motor Corp and Sony Corp, while investors cautiously awaited
the outcome of Greek debt negotiations.
U.S. stock futures rose late after Europe agreed on a way forward with Greece on debt negotiations that had been holding back U.S. investors worried about European stability.
Britain's top equity index fell for a fourth straight session, with commodity shares losing ground after crude oil prices dropped and copper prices trimmed gains.

Benchmark Sec

Closing Yield [%]

Previous Close [%]

15 days ago [%]

8.22
8.19
8.00
8.02
7.76
7.73

8.23
8.21
8.01
8.02
7.75
7.73

8.16
8.07
7.88
7.98
7.68
7.72

91D TB
182D TB
364D TB
G-Sec 1 Yr
G-Sec 5 Yr
G-Sec 10 Yr
Tenure
1 Month
3 Month
1 Year
Tenure
1 year
3 year
5 year

Tenure
1 Year
5 Year
10 Year

Tenure
1 Year
5 Year
10 Year

CD Rates [%]
Closing
Previous
8.03
8.04
8.80
8.73
8.79
8.75

15 days
ago
7.63
6.37
6.42

AAA Corporate bond yield and spread

Yield [%]
Spread(bps)
15 days ago
Closing
Previous
Closing
Previous
8.56
8.57
8.22
54
-46
8.36
8.35
8.28
60
60
8.35
8.33
8.23
62
60

15 days
ago
25
60
51

AA Corporate bond yield and spread

Yield [%]
Spread(bps)
15 days ago
Closing
Previous
Closing
Previous
8.79
8.80
8.43
77
78
8.60
8.59
8.49
84
84
8.64
8.62
8.44
91
89

15 days
ago
46
81
72

15 days ago
7.49
6.86
6.78

Interest Rate Futures (IRFs)

Last Traded
Exchange
Price (Rs.)
NSE
104.535
8.40% G-Sec 2024
26-Feb-15 MCX
BSE
104.525
Total
NSE
104.68
8.40% G-Sec 2024
26-Mar-15 MCX
BSE
104.6800
Total
Instrument

Expiry

Turnover (Rs. Crs.)

665.96
59.48
725.44
122.05
19.14
141.19

In Rs. Cr.

Closing
2,769

Previous
240

Call rate
MIBOR O/N
MIBID O/N

Closing
7.93
7.79
7.75

Previous
7.60
8.27
8.28

Global Benchmark Yield [%]

US 10 Year
UK 10 Year
Japan 10 Year

Closing
1.995
1.67
0.392

Previous
1.995
1.671
0.392

Latest

Previous

-0.263
-0.023
0.064
-0.085

-0.267
-0.021
0.061
-0.082

In %

MIFOR Swaps [%]

Closing
Previous
7.74
7.81
6.59
6.51
6.63
6.57

OIS - MIBOR [%]

Closing
Previous
7.65
7.64
7.02
7.01
6.92
6.92

Previous
10,647
2,152

*MSF borrowings as on 11th February.

15 days
ago
8.31
8.80
8.95

8.08
8.52
8.59

Closing
8,665
1,349

MSF Borrowings*

CP Rates [%]
Closing
Previous
8.35
8.35
9.17
9.05
9.15
9.13

15 days ago

In Rs. Cr.

LAF Repo
LAF Reverse Repo

G-Sec Spread [bps]

5Y - 1Y
10Y - 5Y
15 -10Y
30 -15Y

8.20 % NHAI 2022

8.00% IRFC 2022
8.20% PFC 2022
8.10% HUDCO 2022
7.93% REC 2022

Yield to Maturity
Closing
Previous
6.92%
6.89%
6.99%
6.95%
7.03%
6.99%
7.09%
6.96%
7.02%
6.99%

Economic Indicators
Indicators
WPI (in %) (December'14)
CPI (in %) (December'14)
IIP (in %) (November'14)
Core Sector (December'14)
Repo Rate (in %)
Reverse Repo Rate (in %)
Bank Rate (in %)
CRR (in %)
SLR (in %)
MSF (in %)
Exports (in $ 'Bn) (December'14)
Imports (in $ 'Bn) (December'14)
Trade Deficit (in $ 'Bn) (December'14)
HSBC Manufacturing PMI (January'14)
HSBC Services PMI (January'14)

Latest
0.11
5.00
3.8
2.37
7.75
6.75
8.75
4.00
21.50
8.75
25.96
34.83
9.43
52.90
52.40

Tax Free Bonds

Figures in %
GDP Growth
Figures in %
M3 Growth
Credit Growth
Deposit Growth
CD Ratio
Investment Deposit Ratio

GDP Growth
Q2 FY'15
Q1 FY'15
7.50
7.80
Monetary Aggregates
Current
Month-Ago
12.84
13.35
10.37
10.26
12.34
12.27
72.87
73.06
30.00
29.27

Previous
0.00
4.38
-4.2
6.73
8.00
7.00
9.00
4.00
22.00
8.75
28.90
42.82
16.86
54.50
51.10

Annual FY'14
4.70
Year-Ago
13.68
10.78
14.87
74.10
29.37

Previous
62.19
1.1331
120.45
1.5236
8.3772

3167
6890

YTD
16086
27659

** FII Flows are updated as on 11th February

T-Bills
91 days
182 Days
364 Days

T-Bills
91 days
182 Days
364 Days

Closing

Price
11-Feb-15
97.98
11-Feb-15
96.05
21-Jan-15
92.69

Date
4-Feb-15
28-Jan-15
10-Dec-14

Price
97.98
96.10
92.42

Government Borrowings
Budgeted G-Sec Gross Borrowings
Budgeted G-Sec Net Borrowings
Budgeted Redemptions
Gsec Gross Borrowing till Date
Gsec Gross Borrowing Completed (%)
Maturities till Date
Net Gsec borrowing till date
OMO Purchases till date
DISCLAIMER:

Latest Cut off

Yield (%)
Amount (INR Crores)
8.27
8000
8.25
6000
7.91
6000
Previous Cut off
Yield (%)
Amount (INR Crores)
8.27
8000
8.14
6000
8.22
6000

592000
453205
138795
579000
97.80%
122504
456496
-

11-Feb-15

4-Feb-15

28-Jan-15

21-Jan-15

14-Jan-15

7-Jan-15

31-Dec-14

11-Feb-15

4-Feb-15

28-Jan-15

21-Jan-15

14-Jan-15

7-Jan-15

31-Dec-14

11-Feb-15

21-Jan-15

14-Jan-15

7-Jan-15

Forthcoming Auctions
Period of Auction

Amount (Rs Cr)

12-Feb-15

-903
4

4-Feb-15

5562
290

5-Feb-15

4659
294

MTD

28-Jan-15

Net

29-Jan-15

Sale

Closing

22-Jan-15

Purchase

87.5
85.0
82.5
80.0
77.5
75.0
72.5
70.0
67.5
65.0
62.5
60.0
57.5
55.0
52.5
50.0
47.5
45.0
42.5
40.0
37.5

15-Jan-15

781
1113

** MF Flows are updated as on 11th February.

FII Inflows
(Rs. Crs.)**
Equity
Debt

31-Dec-14

Brent ($/BBL)

Net

8-Jan-15

Sale
578
3291

Closing

1-Jan-15

Purchase
359
4404

1350
1325
1300
1275
1250
1225
1200
1175
1150
1125
1100
1075
1050

25-Dec-14

MF Inflows (Rs. Crs.)**

Equity
Debt

3 M Ago
66.15
82.34
1175.20
15.49
2055
6715

24-Dec-14

Closing
1 D Ago 1 M Ago
49.28
48.84
46.39
54.74
54.66
46.59
1222.00 1219.00 1293.70
16.75
16.86
17.95
1822
1836
1810
5600
5595
6017

Gold ($/oz)

24-Dec-14

Commodity
Nymex Crude ($/bbl)
Brent Crude ($/bbl)
Gold ($/Oz)
Silver ($/Oz)
Aluminium ($/ton)
Copper ($/ton)

17-Dec-14

Nifty
Sensex
BSE Midcap
Dow Jones
Nasdaq
Nikkei
Hang Seng
DAX
CAC

9,140
9,030
8,920
8,810
8,700
8,590
8,480
8,370
8,260
8,150
8,040
7,930
7,820
7,710
7,600

17-Dec-14

10 year
2.12
0.69
1.77
0.57

Equity
Closing
1 D Chg 1 M Chg
3 M Chg
8627.40
61.85
342.90
244.10
28533.97
178.35
1259.26
623.91
10543.11
161.35
122.48
457.46
17862.14
-6.62
221.30
17613.74
4297.28
16.13
127.31
121.34
17652.68
-59.25
564.97
860.20
24315.02 -213.08
99.05
295.08
10752.11
-1.72
970.21
1436.63
4679.38
-16.27
451.14
489.49

Index

24-Dec-14

10-Dec-14

Nifty

Swap Rate
5 Year
1.66
0.29
1.42
0.27

18-Dec-14

1 Year
0.47
0.03
0.66
0.14

Spread
0.0275
0.2400
0.4625
0.6850

10-Dec-14

Currency
USD
EUR
GBP
JPY

NDF
62.6400
63.2600
64.1700
66.0450

59.70
60.10
60.50
60.90
61.30
61.70
62.10
62.50
62.90
63.30
63.70
64.10
64.50
64.90

10-Dec-14

Forward
62.6675
63.5000
64.6325
66.7300

Rs./$
1 Month
3 Month
6 Month
12 Month

INR/$

11-Dec-14

INR/$
$/Euro
Yen/$
$/GBP
SEK/$

17-Dec-14

FOREX
Closing
62.26
1.1308
120.29
1.5217
8.3797

Currency

Term of Security

February 9, 2015 - February 13, 2015

2,000-3,000

5-9 Years

February 9, 2015 - February 13, 2015

February 9, 2015 - February 13, 2015
February 9, 2015 - February 13, 2015

4,000-5,000
2,000-3,000
3,000-4,000

10-14 Years
15-19 Years
20 Years & Above