MarkeT UPDaTe - STCI Primary Dealer Ltd.

October 22, 2014
STCI
October 22, 2014
Primary Dealer Ltd.
MARKET UPDATE
SEBI sold FII unused gilt limits worth Rs 646 Cr at cut off of 30 paise.

The cutoff in 13 day term repo auction was 8.20% with the weighted average at 8.26%. The total amount allotted stood at
15,501 Cr. Intraday, RBI announced the conduct of overnight variable rate repo auction for notified amount of Rs 15,000
Cr. Total amount allotted under it was Rs 6,070 Cr with the cutoff at 8.01% and weighted average at 8.06%.

RBI infused liquidity to the tune of Rs 20,958 Cr (gross) compared to Rs 9,812 Cr on previous day. Borrowing through
MSF was Rs 3,120 Cr on 20-Oct-14 same as compared to Rs. 50 on 21-Oct-14. Call rates closed at a weighted average of
8.64% compared to previous closing of 8.38%. CBLO closed at a weighted average of 8.43% compared to previous closing
of 8.36%.

Riding on the positive momentum in previous trading session, G-Sec market opened on a steady note. Ushering in of domestic
reforms emphasized that the government is committed to walk its talk on reform agenda. Additionally, absence of supply
in the truncated week rendered support to the market. The second half of the trading session, however, witnessed choppy
movement. Heavy paying pressure in OIS markets weighed in G-Sec market, as with yields rising from their intraday lows.
Market wiped all of its intraday gains to end the trading day with edging up of yield curve. The 10 year benchmark 8.40%
GS 2024 ended at Rs 100.17 (8.37%), all time high, compared to Rs 100.25 (8.36%) on previous closing. The total volumes
reported on NDS-OM stood at Rs 45,345 Cr compared to Rs 29,895 Cr reported previously.

The 1 year OIS closed at 8.07% same as previous closing and 5 year OIS closed at 7.54% compared to previous reading of
7.45%.

Rupee ended stronger to close at Rs 61.31 against Dollar as compared to previous closing of Rs 61.36/Dollar. The 1 month
forward premia closed at 7.76% (7.80%), 6 month closed at 7.73% (7.78%) and 12 month closed at 7.28% (7.42%).

Money Market
Money Market
CBLO
Repo
Call
21-Oct-14
8.43
8.60
8.64
(Rs. Cr.)
59733.75
30472.18
13969.75
Liquidity Monitor (Rs. Cr.)
22-Oct-14
Inflow
Outflow
Treasury Bills/ CMBs
Coupon Payment
SDL Auction/Redemption
G-Sec Auction/ Redemption/OMO
Net Inflow /outflow
3411
3411
0
Liquidity Operations
(Amount in '000 Rs. Crs)
21-Oct-14
20-Oct-14
17-Oct-14
Repo
16-Oct-14
Rev. Repo
14-Oct-14
Term Repo
MSF
13-Oct-14
Term Rev
Repo
10-Oct-14
0
20
40
60
80
100
120
Please note: The data for MSF and Reverse Repo volume is updated with a one day lag.
1
Short Term Rates
MIBOR O/N
MIBID O/N
21-Oct-14
8.73
8.69
Previous Close
8.09
8.05
15 Days Ago
6.19
6.07
October 22, 2014
Date
91 Day
182 Day
364 Day
14-Oct-14
8-Oct-14
14-Oct-14
Price
97.93
95.88
92.13
Latest Cut-off
Yield
Amount Accepted
8.48
9000
8.62
5000
8.57
6000
Previous Cut-off
Yield
Amount Accepted
8.48
9000
8.66
5000
8.65
6000
Price
97.93
95.86
92.06
G-sec Market
Benchmark Securities
Security
20-Oct-14
Closing
Price
Previous
Close
Closing
Yield
8.75
4
Previous
Close
8.12% 2020
98.22
98.18
8.49
8.50
8.83% 2023
101.66
101.69
8.56
8.56
8.40% 2024
100.17
100.25
8.37
8.36
8.24% 2027
97.50
97.53
8.57
8.57
8.28% 2027
97.81
97.77
8.56
8.57
8.60% 2028
100.76
100.81
8.50
8.50
9.20% 2030
105.65
105.64
8.54
8.54
2
1
8.50
0
0
0
0
-1
-1
8.25
-2
Closing Yield
9.20% 2030
8.60% 2028
8.28% 2027
8.24% 2027
8.40% 2024
8.83% 2023
8.12% 2020
Movement in Yield (bps) (RHS)
Previous Close
Top 5 Traded Securities
8.28% 2027
1275
8.27% 2020
1790
8.83% 2023
4570
14615
8.40% 2024
16360
8.60% 2028
0
2000
4000
6000
8000 10000 12000 14000 16000 18000
G-Sec Spreads (bps)
Spread 21-Oct-14
5-1
-1
10-5
-2
15-10
15
30-15
2
30-10
18
Previous Close
-7
-4
16
3
19
15 Day Ago
-1
-7
18
3
22
1 Year Avg.
-18
-1
27
21
49
CORPORATE BOND Market
AAA Corporate Bond Yields and Spread
Yield
21-Oct-14 Previous Close
1 Year
8.75
8.75
3 Year
8.77
8.82
5 Year
8.90
8.95
10 Year
8.98
8.98
2
Spread
21-Oct-14 Previous Close
16
11
26
30
33
38
43
45
0
Money Market Asset (CD) Rates (%)
21-Oct-14
1 Month
3 Month
6 Month
9 Month
12 Month
8.48
8.56
8.66
8.77
8.84
Previous Close
8.45
8.56
8.55
8.75
8.90
October 22, 2014
Swap Market
OIS-MIBOR
MIFOR Swaps
21-Oct-14
8.07
7.64
7.53
7.54
1 Year
2 Year
3 Year
5 Year
Previous Close
8.07
7.61
7.47
7.45
15 Days Ago
8.45
8.05
7.91
7.86
21-Oct-14
7.95
7.14
7.14
7.21
1 Year
2 Year
3 Year
5 Year
Spread between 5Y GS and 5Y OIS
Previous Close
8.05
7.26
7.29
7.35
15 Days Ago
8.40
7.80
7.77
7.74
Spread between 5Y OIS and 1Y OIS
-0.50
1.00
0.95
-0.54
0.95
0.90
0.89
0.86
0.85
-0.60
0.87
-0.62
0.86
0.80
-0.70
-0.71
-0.67
-0.68
0.75
0.70
-0.80
0.65
0.60
14-Oct-14 16-Oct-14
17-Oct-14 20-Oct-14 21-Oct-14
-0.90
14-Oct-14
16-Oct-14
17-Oct-14
20-Oct-14
21-Oct-14
Forex Market
Spot Rates
USD/INR
EUR/USD
GBP/USD
USD/JPY
USD/CNY
21-Oct-14
Previous Close
61.31
1.2750
1.6155
106.81
6.12
61.36
1.2795
1.6145
106.81
6.12
59.00
60.00
61.00
61.35
62.00
61.10
61.31
61.44
61.41
61.84
61.36
63.00
10-Oct- 13-Oct- 14-Oct- 16-Oct- 17-Oct- 20-Oct- 21-Oct14
14
14
14
14
14
14
$/INR
3
Forward Premia (% annualised)
21-Oct-14
1 Month
3 Month
6 Month
9 Month
12 Month
7.76
7.86
7.73
7.46
7.28
Previous Close
7.80
7.90
7.78
7.59
7.42
October 22, 2014
GLOBAL EQUITIES
SENSEX
NIFTY
DJIA
S&P 500
NASDAQ
FTSE 100
HANG SENG
SHANGHAI SE COMP
21-Oct-14
26575.65
7927.75
16399.67
1904.01
4316.07
6267.07
23088.58
2339.66
Previous Close
26429.85
7879.40
16380.41
1886.76
4258.44
6310.29
23070.26
2356.73
FII Inflows (Rs. Cr.)
Previous Close
82.75
85.11
87.13
1238.32
3064.90
Forthcoming Auctions
Security
91 Day T-bill
182 Day T-bill
Equity
Debt
21-Oct-14
Purchase
5961
1245
Sale
4425
326
Net
1536
919
Net USD Mn
251
150
gLOBAL COMMODITIES
Nymex Crude ($/bbl)
Brent Crude ($/bbl)
Dubai Crude ($/bbl)
Gold ($/oz)
LMEX
21-Oct-14
82.71
84.58
86.84
1249.20
3036.90
Date of Auction
22-Oct-14
22-Oct-14
Amount (Rs. Cr.)
9,000
6,000
Government Borrowings
Government Borrowing Programme (Rs. Cr.)
G-Sec Gross Borrowings for 2014-15
G-Sec Net Borrowings for 2014-15
Redemptions for 2014-15
G-Sec Gross Borrowings till Date
G-Sec Gross Borrowing Completed (%)
Maturities till date
Net G-Sec Borrowings till date
Buyback till date
364 Day T-Bill Gross Borrowings till date
SDL auction till date
Head of Treasury
Prasanna Patankar
G-sec Trading Desk
Manish Jadhwani
Nirav Shah
Sunny Janyani
Adesh Dalal
Treasury Sales
Siddharth Shah
Sandhya Shashi
Subodh Kapadekar
Saumya Misra
Geetika Soni
Funding Desk
Smita Nair
Shyam Margaj
592000
472010
119990
382000
64.53%
83439
298561
18805
82875
103264
Inflation
September
August
July
June
May
April
P = Provisional
Risk Management
Nipun Khanna
Rakhi Jain
Shweta Pednekar
Accounts
Neerav Shah
Vaishnavi Ghatge
Crystal Dsouza
Operations
M N Suresh
Anita Mohite
Amit Vira
Charmy Jain
Naresh Makhija
Research Desk
Bansi Madhavani
Priyanka Sachdeva
WPI
2.38% (P)
3.74% (P)
5.41%
5.66%
6.18%
5.55%
CPI
6.46% (P)
7.73%
7.96%
7.46%
8.28%
8.59%
Delhi Office
Satish Sharma
Anshul Arora
Harish Arora
Bangalore Office
Mallari Rao
K Harshanarayana
STCI Primary Dealer Ltd.
CIN: U67110MH2006PLC165306
A/B1- 801, A Wing, 8th floor, Marathon Innova, Marathon Next Gen Compound, Off. Ganpatrao Kadam Marg, Lower Parel (w), Mumbai 400013.
Dealing Room: (022) 24991094-97, (022) 66202217-20 l Settlements: (022)66202262-64, Fax (022) 66202288
Delhi Office: (011) 47676557-62 l Bangalore Office: (080) 22208891
Please mail your feedback to [email protected] l Website: http://www.stcipd.com
THIS COMMUNICATION IS FOR PRIVATE CIRCULATION ONLY. IT IS BASED UPON THE INFORMATION GENERALLY AVAILABLE TO PUBLIC AND CONSIDERED RELIABLE. THIS REPORT
DOES NOT CONSTITUTE AN INVITATION OR OFFER TO SUBSCRIBE FOR OR PURCHASE OR SALE OF ANY SECURITY AND NEITHER THIS DOCUMENT NOR ANYTHING CONTAINED
HEREIN SHALL FORM THE BASIS OF ANY CONTRACT OR COMMITMENT WHATSOEVER WITH STCI PRIMARY DEALER.
4

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