FIXED INCOME RESEARCH

DATE
- 10 year benchmark yields closed 18bps down at 8.35%, After moving in the range of 8.08-8.38%. - Rupee depreciated by 56 paise to close the day at Rs.50.65 / USD - RBI reduced CRR by 50bps from 6.0% to 5.50% to infuse permanent liquidity.

24-Jan-12

10 year benchmark bond yields had a see-saw day today as yields came as low as 8.08%, when the CRR cut was announced, however they surged after RBI chief said the bank would watch how the cut in cash reserve requirements affects liquidity over next one month before buying back any debt through open market operations. Yields traded in the range of 8.08 - 8.38% before closing the day at 8.35%. Some of the key take aways from the Policy meeting are as follows:1.) RBI kept policy rates unchanged but reduced reserve ratio by 50 bps considering the disruption in credit flow- which may exacerbate risks to GDP growth. 2.) Sovereign debt concerns in euro area pose a major downside risk to global growth outlook in absence of any credible policy framework. 3.) Growth in emerging economies is moderating- reflecting the sluggish recovery in advanced economies and impacts of earlier monetary tightening measures by central banks. 4.) Domestic macroeconomics reflect weak growth outlook. Though development in agricultural. 5.) Baseline projections of GDP growth revised downward to 7.00% from 7.60% Dollar Rupee opened at 50.00/01 against 50.07/08 LOWER from Monday's close. It went as high as 50.10/11 and went as low as 49.92/93. Premiums were trading steadier and was well received by corporate and bankers. Rupee was trading in a range of 49.92/93 to 50.10/11. The appreciation of rupee in the later part of the day was on account of some dollar selling by banks and corporates. After the initial opening the rupee appreciated against the USD on the inflows from corporates and interbank sales by banks. USD/INR opened lower but on persistent sales USD/INR went lower to 49.92/93 levels. Domestic stock markets today witnessed a green session today. January series was active at 50.08/10 in the evening with a low of 49.97/98 and high of 50.18/20. Next Days View:-8.79% GOI 2021: 8.10%-8.20% - Rupee: 49.75 - 50.45/ USD

Economic Indicators
Indicators
Domestic USD / INR WP Inflation rate (%) (Monthly) Net LAF (Rs. In Crs) 10 Year INBMK Global @ LIBOR (USD) (%) ** - 1 month - 3 month - 6 month - 12 month US Fed Fund Rate(10 yrs)(%) EUR/USD USD/JPY Nymex Crude ($/Bbl) Gold (USD)

24-Jan-12
50.65 7.47 -123250.00 8.35

Change*
-0.56 -1.64 -18520.00 -0.18

0.28 0.56 0.79 1.11 2.05 1.30 77.28 99.50 1668.02

0.00 0.00 0.00 0.00 -0.01 0.00 -0.38 -0.37 5.97

Money Market Rates

Instruments NSE MIBOR (Overnight) Call Money (Closing) CBLO (Closing) REPO (Rs. In Crs.) Reverse REPO (Rs. In Crs.)# 8.98 8.90 8.80 123250 0 0.04 -0.25 -0.59 18520.00 0.00

Primary Issuance
Issuer SBBJ CD (3M/3M) SBH CD (3M) Indian Bank CD (3M) Bank of India CD (3M) PNB CD (3M) J&K Bank CD (3M) Axis Bank CD (3M) IOB CD (1Yr) UBI CD (1Yr) Magma CP (2M) L&T Finance CP (2M) IOC CP (20Mar) Rate % 9.80/9.75 9.7950 9.78 9.78 9.78 9.78 9.85 9.85 9.85 10.25 9.73 9.65

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FIXED INCOME RESEARCH

DATE

24-Jan-12

G-Securities Yield Curve

Securities 3 Month 6 Month 12 Month 7.27 GOI 2013 7.56 GOI 2014 7.17 GOI 2015 7.99 GOI 2017 7.83 GOI 2018 8.79 GOI 2021 8.13 GOI 2022 9.15 GOI 2024 8.28 GOI 2027 8.30 GOI 2040 Maturity 20-Apr-12 6-Jul-12 11-Jan-13 3-Sep-13 3-Nov-14 14-Jun-15 15-Jan-17 11-Apr-18 11-Aug-21 21-Sep-22 14-Nov-24 21-Sep-27 2-Jul-40
Yield Curve
9.20

OIS Yield Curve

Yield As On(%) 24-Jan-12 Change * Maturity 8.62 8.47 8.28 8.12 7.96 8.10 8.20 8.34 8.35 8.33 8.46 8.48 8.53 0.00 -0.02 0.00 0.10 0.00 0.00 0.00 0.15 0.18 0.03 0.17 0.00 0.03 3M 6M 1Y 2Y 3Y 4Y 5Y 6Y 7Y 10Y Yield As On (%) 24-Jan-12 8.65 8.33 8.06 7.40 7.32 7.34 7.26 7.34 7.35 7.36 Change * 0.05 0.02 0.11 -0.02 0.08 0.07 -0.01 0.11 0.12 0.12

Perecent

8.80 8.40 8.00 7.60 7.20

6.80

0 0 5 0 0 5 0 2670 0 15 5
0

123250 141770 151580 150645 156650 155135 R Repo 147580 Repo crores 131975 136910 135010 125280

Maturuty
G-Sec OIS

50000 100000 150000 200000

Corporate Bond Spreads

Yields & Spread Maturity 1 year 2 year 3 year 5 year 10 year Change * AAA 0.11 0.08 0.08 0.07 0.05 Spread 136 148 131 94 81 9.78 9.74 9.72 9.60 9.46 Yield as on Change * AA+ 0.11 0.08 0.08 0.07 0.05 24-Jan-12 Spread 150 162 146 109 96

9.64 9.60 9.57 9.45 9.31

Money Market Yields CD Rates

Maturity 3 Months 6 Months 1 Year Yield as On 24-Jan-12 9.80 9.85 9.90 Change *

CP Rates
Maturity Yield as On 24-Jan-12 10.00 10.20 10.30 Change * -0.10 0.00 0.05

-0.05 3 Months -0.05 6 Months 0.05 1 Year

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FIXED INCOME RESEARCH

DATE

24-Jan-12

Corporate Bond Issuance

Issuer IRFC (Tax Free Issue) HUDCO (Tax Free Issue) Opening Closing Tenor Quantum Date Date In Rs. Forthcoming Issues in the long-term market Crs 27-Jan-12 10-Feb-12 10/15 yrs Rs.3000crs+GS
upto 6,300crs

Rating
AAA by, CRISIL, CARE & ICRA

Coupon %
Retail -8.15% / 8.30% Others - 8.00% / 8.10% Retail - 8.22% / 8.35% Others - 8.10% / 8.20%

27-Jan-12

6-Feb-12

10/15 yrs

Rs.2000crs+GS upto 4,684.72crs

AA+ by CARE & FITCH

IFCI Limited. NHAI (Tax Free Issue) PFC (Tax Free Issue)

Issues closed in the long-term market 30-Nov-11 16-Jan-12 10/15 yrs 28-Dec-11 30-Dec-11 11-Jan-12 12-Jan-12 10/15 yrs 10/15 yrs

Rs.100crs+GS

AA- by Brickworks & A+ by CARE AAA by CRISIL, CARE & FITCH AAA by CRISIL, ICRA

10.50% / 10.70% 8.20% / 8.30% 8.20% / 8.30%

Rs.5000crs+GS Rs.1000crs+GS

# Report doesnt have Reverse Repo data. Kindly visit RBI press release ! Put & Call Option at the end of 2nd year $ Call option at 5th year , + Call option at 10th year ^ Call option at 7th year , >Call option at 10th year # With 7yr Put/Call and Redemption 30% at the 8th and 9th year, 40% at the 10th year
@ - At 5.00 PM IST

Manish Verma CA Ashish Jalan / Vishal Vora

Director, Business Development Manager / Fixed Income Dealer

manish.verma@spagroupindia.com ashish.jalan@spagroupindia.com

For More Information Visit Us at www.spacapital.com

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