Treasury Daily Snippets

October 20, 2010

Indices and commodities Yesterday's closing % Change from previous close
SGX NIFTY 6025.5 Down 0.19%
NIKKEI 9539.45 Down 1.68%
HANGSENG 23763.73 Down 0.86%
USD Index 78.361 Down 0.40%
Crude 79.49 Up 0.73%

Upcoming Economic Events today

Time (IST) Description Forecast Previous
11:30 AM EUR German Producer Prices (MoM) (SEP) 0.20% 0.00%
11:30 AM EUR German Producer Prices (YoY) (SEP) 3.80% 3.20%
2:00 PM GBP Bank of England Minutes (OCT 20) - -
2:00 PM GBP Public Finances (PSNCR) (Pounds) (SEP) 15.65B 5.80B
2:00 PM GBP Public Sector Net Borrowing (Pounds) (SEP) 14.20B 15.30B
2:00 PM GBP M4 Money Supply - -0.10%
4:30 PM USD Mortgage Market Change - 14.60%
Major Economic Events yesterday
Time (IST) Description Actual Forecast
1:30 PM EUR Euro-Zone Current Account s.a. (euros) (AUG) -7.5B -
2:30 PM EUR German ZEW Survey (Current Situation) (OCT) 72.6 63.5
2:30 PM EUR Euro-Zone ZEW Survey (Economic Sentiment) (OCT) 1.8 -2
2:30 PM EUR German ZEW Survey (Economic Sentiment) (OCT) -7.2 -8
6:00 PM USD Housing Starts (SEP) 610K 580K
6:30 PM CAD Bank of Canada Rate Decision 1.00% 1.00%

Currencies
Previous day Snapshot:
The USD/INR pair opened the day 44.46 (against yesterday's closing of 44.36), up on expectations of further oil company
buys and as liquidity conditions seemed to ease marginally. Selling by foreign banks brought the pair down to its lows
for the day. However, the pair rose on profit taking and on China's Interes rate hike in the last hour of trade, to close at
44.36.
The US dollar opened the day on a strong footing yesterday, with the memory of US Fed Chairman Bernanke's hazy
statements on Friday and US treasury secretary Geithner's denial of a weak dollar policy. Forex markets remained
rangebound through the Asian session, but saw large volatility after China announced a surprise 25 basis point hike in its
benchmark 1 year deposit and lending rates. This caused global commodity prices and growth prospects to be revised
downwwards, leading to a rally in the US dollar over EUR, GBP and commodity currencies. A better than expected
reading on housing starts caused traders to close out some of their dollar-bearish trades, supported by slumping equity
markets worldwide as capital set to flow out of many investment destinations. The EUR was also weak as the ECB
Chairman disagreed with the Bundesbank president regarding the latter's hawkish statement of retraction of the
Eurozone bond programme, causing EUR to underperform GBP and JPY. AUD was weak against USD on weaker
commodities, despite the recent RBA minutes affirming a finely balanced decision and the possibiity of further hikes,
while CAD outprformed AUD on profit taking as the BOC chose to maintain rates. JPY remained largely rangebound
even as Japan downgraded its own growth prospects, ahead of a G20 meeting over the weekend, where currencies
are sure to be discussed given the recent aversion to mercantilist currency polices.

Today's Forecast
The USD/INR pair is likely to open up, on account of the strong dollar worldwide and heavy gold-related buying
expected in the day. The pair will face resistance at 44.58 and 44.65 levels, while support can be taken at 44.38 and
44.20 levels. Our view for today: Buy at 44.40 with take profit at 44.58 and stop loss 44.32.
Yesterday Expected range today
High Low High Low
GBP/USD 1.5940 1.5679 1.5830 1.5640
EUR/USD 1.4003 1.3711 1.3850 1.3680
USD/CHF 0.9753 0.9572 0.9690 0.9520
USD/JPY 81.92 81.11 81.95 80.80
USD/INR 44.51 44.20 44.60 44.35
USD/INR Forwards
Previous day Snapshot:

Premium opened slightly lower and receivers came in after spot began to weaken. But in the afternoon session bids
were seen coming up in the near maturities. Good corporate paying was seen in the month over month maturity
which also dragged the fars up. After China raised its benchmark Deposit rates, premium moved up further to close the
day on a biddish note. Six month and one year annualised premia closed at 6.61% and 5.60% respectively.

Today's Forecast
Pay at dips.
Forward Swap % (ann.) Absolute premium (ps.)
As on ---> 19-Oct-2010 12-Oct-2010 19-Oct-2010 12-Oct-2010
3 Months 7.37 6.34 82.00/83.00 70.00/71.00
6 Months 6.61 6.04 145.00/146.00 132.00/133.00
9 Months 5.99 5.58 198.00/199.00 184.00/185.00
12 Months 5.60 5.26 248.00/249.00 232.00/233.00

Currency Futures
There are 12 contracts available in each currency pair. October 2010 Currency Futures contract was the most actively
traded contract across all currencies.
No. of contracts
HIGH LOW Open Interest Volume
traded
NSE-Oct Futures(USD/INR) 44.6000 44.3100 816,438 3,648,893 7
NSE-Oct Futures(EUR/INR) 62.0500 61.6000 28,376 29,080 3
NSE-Oct Futures(GBP/INR) 70.8250 69.8700 8,509 13,122 2
NSE-Oct Futures(JPY/INR) 54.7800 54.4300 5,956 3,312 2
MCX-SX-Oct Futures(USD/INR) 44.6000 44.3125 774,982 4,190,506 7
MCX-SX-Oct Futures(EUR/INR) 62.0475
62 0475 61 6000
61.6000 17,714
17 714 22 066
22,066 2
MCX-SX-Oct Futures(GBP/INR) 70.8300 69.8025 7,909 15,645 2
MCX-SX-Oct Futures(JPY/INR) 54.8000 54.4150 7,828 4,250 2

Today's forecast
We expect range bound movement in the forward market. Currency Future levels of all four currency pairs are
expected to track the spot of their respective currency pairs.

Money Markets
Domestic Swaps
Bid Offer
NSE MIBOR (OIS) USD LIBOR Levels
3 months 6.40 6.70 19-Oct-10 18-Oct-10
6 months 6.58 6.68 1 Month 0.2563 0.2563
12 months 6.70 6.73 3 Month 0.2891 0.2891
2 years (s.a.) 6.73 6.7 6 Month 0.4525 0.4525
3 years (s.a.) 6.89 6.86 12 Month 0.7655 0.7655
5 years (s.a.) 7.14 7.11 USD FRA
MIFOR (Reuters 6 months MIFOR) 19-Oct-10 18-Oct-10
2 years (s.a.) 5.1 5.4 3X6 0.3660 0.3500
3 years (s.a.) 5.15 5.45 6 X 12 0.5440 0.5440
5 years (s.a.) 5.65 5.95 12 X 24 0.9780 1.0000
INBMK (Ann. G-Sec yields- Reuters) Call Money Levels
2 years (s.a.) 6.74 6.97 6.00 - 6.30
3 years (s.a.) 6.93 7.18
5 years (s.a.) 7.47 7.67
Previous day Snapshot:
longer end OIS was received fall in US yields.
Today's Forecast
The OIS market expected to be flatten on liquidity concerns in short end.
Debt
Previous day Snapshot:
The ten year yield witnessed some value buying post the sell off. The ten year closed the day at 8.08%.
Today's Forecast
We expect the market to open flat and expect the ten year bond to trade broadly in the range of 8.05-8.10%.
Yesterday Week Before
YTM (semi annual) YTM (semi
Security Price (Rs) Price (Rs)
% annual) %
9.39% GOI 2011 101.87 6.60 101.90 6.60
7.17% GOI 2015 97.55 7.81 97.56 7.80
7.80% GOI 2020 98.18 8.08 98.24 8.07
8.26% GOI 2027 98.80 8.39 98.83 8.39
7.50% GOI 2034 90.68 8.41 90.88 8.39

Commodities
Previous day Snapshot:
Yesterday Gold lost more than 2% which is largest one day decline since July, after China surprise the market with its first
interest rate rise since 2007.Spot silver followed gold’s trail lower, dropping to a 1-week low.
Today's Forecast
Expected to remain in the range of $1320-1350.
Yesterday Expected range today
High Low High Low
Gold 1371.05 1328.75 1350.00 1320.00
Silver 23.79 23.48 23.85 23.30

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E-mail : axisbanktreasury@axisbank.com

The views expressed above are only for the purpose of information. While every effort has been made
to ensure accuracy of information, however, no liability is accepted by the Bank or any of its officials
for any consequences arising from use of the above data or recommendations , if any. Constituents
and other recipients of the mail are encouraged to check with other independent sources before
acting on the recommendations. The bank would at all times have positions or active interest in all
the above markets.