CCIL Economic Research Daily Market Analytics by zhangyun

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									                                                                                                                                                                                                                                                                                                                                             CCIL Economic Research
                                                                                                                                                                   Daily Market Analytics
                                                                                                                                                                                                   Date: 02-Jun-2009
G-SEC Markets
                                                1/10Y Gsec Spread                                                                                                                     2Y/5Y Gsec Spread                                                                                                                         5Y/10Y G-sec Spread
  400                                                                                                                               200                                                                                                                                                  80
                                                                                                                                    160                                                                                                                                                  60
  300
                                                                                                                                    120                                                                                                                                                  40
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  100                                                                                                                                40                                                                                                                                                   0
    0                                                                                                                                 0                                                                                                                                                  -20
                                                                                                                                    -40                                                                                                                                                  -40
 -100




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                                                                                                                                                                             10Y/20Y G-sec Spread                                                                                                                 Yield & 3M Moving Avg-10Y Gilt
                                          10Y/15Y Gsec Spread                                                                       120
 100                                                                                                                                                                                                                                                                                      10
                                                                                                                                    100
  80                                                                                                                                                                                                                                                                                       9
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  20
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   0                                                                                                                                                                                                                                                                                       5




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                                                                                                                                                                                                                                                                              Gilts Yields
                                                                                                                                                                                                        (%)                                                                      Change Over (Basis Points)
                                                                                                                                                                                         Type          Current                                                          1 Day 1 Week 1 Month 3 Month 1 Year
                Banks trade in Gilts’ trade *(Rs crore)                                                                                                                                  2-year           4.79                                                             -4.2         2       0       -14 -292
                `               Buy         Sell        Net                                                                                                                              5-year           6.35                                                                2         4      26        55 -144
                Banks**        6140       5900          241                                                                                                                              10-year          6.87                                                                1         6      27        51 -102
                Others         2580       2821         -241                                                                                                                              15-year          7.46                                                                1        17      37        46  -64
                * excludes special securities like oil bonds etc.                                                                                                                        20-year          7.62                                                               -1        12      29        36  -58
                ** include trades by PD division of Banks                                                                                                                                10Y benchmark    6.67                                                                1        14      35        72 -113
                                                                                                                                                                                                                                                                                                                                                                                           CCIL Economic Research
                                                                                                                                                                                                       Daily Market Analytics
Derivatives
                                                      1Y OIS/MIFOR Spread                                                                                                                                        2Y OIS/MIFOR Spread                                                                                         150                                            3Y OIS/MIFOR Spread
  50                                                                                                                                                                  0
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-700                                                                                                                                                                -600                                                                                                                                                     -600



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 150                                                  5Y OIS/MIFOR Spread                                                                                           150                                           2Y/5Y OIS Spread                                                                                                                               2Y/5Y MIFOR SPREAD
                                                                                                                                                                                                                                                                                                                           300

      0                                                                                                                                                             100                                                                                                                                                    225

                                                                                                                                                                                                                                                                                                                           150
-150                                                                                                                                                                 50
                                                                                                                                                                                                                                                                                                                            75
-300                                                                                                                                                                  0
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-450                                                                                                                                                                -50                                                                                                                                                    -75




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                                         MIBOR & 3M Moving Average                                                                                                                                                                      MIBOR-OIS                                        MIFOR
18                                                                                                                                                                                                      Current                             Change over (basis points)     Current    Change over (basis points)
14                                                                                                                                                                        Sector                           (%)                        1 Day      1 Week 1 Month 3 Month       (%) 1 Day 1 Week 1 Month 3 Month
10                                                                                                                                                                        1Year                           4.19                           12           29         32     33   3.40      5      20         5        15
 6                                                                                                                                                                        2 Years                         4.88                            9           32         61     74   4.23    28       43        53        78
                                                                                                                                                                          3 Years                         5.52                           10           29         79    112   4.95    30       35        65       100
 2
                                                                                                                                                                          5 Years                         6.45                           14           41        104    153   6.10    20       25        60       110
 -2
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                                                                                                                                                                                      Three month Mean & Standard Deviation                                                                                                                Trade Volumes (Rs crore)
                                             C_MIBOR Rate                                                             3MMAvg                                                                     MIBOR OIS (5Y) MIFOR (5Y)                                                                                                                               OIS MIFOR
                                                                                                                                                                                      Mean %       3.76     5.49        5.61                                                                                                               Today        4870        375
                                                                                                                                                                                      St Dev       0.60     0.37        0.31                                                                                                               Yesterday    6550          0
                                                                                                                                                                                                                                                                                                                   CCIL Economic Research
                                                                                                                                                              Daily Market Analytics

Derivatives Vs G-Secs
                                                                                                                                                                                                                                                        11                                   5y OIS & Gsec yields
                                       2y OIS/Gsec spread                                                                                                                                                                                               10
                                                                                                                                                                   5y OIS/Gsec spread
 150                                                                                                                                                                                                                                                     9
                                                                                                                            200
  75                                                                                                                                                                                                                                                     8
                                                                                                                            100                                                                                                                          7
   0                                                                                                                                                                                                                                                     6
                                                                                                                              0                                                                                                                          5
 -75
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-150                                                                                                                        -100                                                                                                                         3




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                                                                                                                                                                                                                                                                               OIS                                                       GSEC
                                                                                                                                                                                                                                                                               3MMA GSEC                                                 3MMA 5Y OIS




                                                    OIS/G-SEC Spread
                                                 Current                                                     Before
                                               (basis pts)                         1 Day                  1 Week 1 Month 3 Month
                     2 years                            9                             -3                     -21     -52     -92
                     5 years                           10                             -2                     -27     -68    -100
                                                                                                                                                                                                                                                                                                                 CCIL Economic Research
                                                                                                                                                                             Daily Market Analytics
Money market
                                 Call rates & 3M moving average                                                                     15.00                        Repo rates & 3M moving average                                                                     15.00            CBLO rates & 3M moving average
15

                                                                                                                                    10.00                                                                                                                           10.00
10

                                                                                                                                        5.00                                                                                                                         5.00
 5


 0                                                                                                                                      0.00                                                                                                                         0.00




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 200000                                       LAF Volume (Rs Cr)
                                                                                                                                                                                   Money Market Rates
 150000
                                                                                                                                                                                                                           Current                           3 Month                        Change Over (Basis Points)
 100000
                                                                                                                                                                                                                              (%)                          Mean Std. Dev              1 Day 1 Week 1 Month 3 Month                            1 Year
  50000
                                                                                                                                                                                   Call                                      3.24                           3.65     0.55                 0       3        2       -90                          -270
               0
                                                                                                                                                                                   Repo                                      2.91                           3.08     0.91                10     -79      214      -117                          -244
 -50000
                                                                                                                                                                                   CBLO                                      2.84                           2.77     0.94                 7     -48      201      -118                          -225
-100000
                                                                                                                                                                                   Note: excludes Saturdays
-150000
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                                                                                                                                                                                   Money Market Trade Volumes (Rs crore)
         LAF Volumes (Rs crore)                                                                                                                                                                                            Current                                  Before
                                                       Today                        Before                                                                                                                                                             1 Day 1 Week 1 Month 3 Month                               1 Year
                                                                              1 Day 1 Week 3 Month                                                                                 Call                                         13227                  15856 12579 16803 17335                                    11960
              Repo                                          0                     0       0      0                                                                                 Repo                                         27693                  26390 28271 25297 21328                                    17401
              Reverse Repo                             119195                121395 141350 11670                                                                                   CBLO                                         60472                  61159 65043 59745 55243                                    48018
                                                                                                                                                                                                                                                                                                          CCIL Economic Research
                                                                                                                                                                                              Daily Market Analytics
Forex markets
                                                                                                                                                                                                                                                                                                        Forward premia
53                                                   Spot USD/INR                                                                                                            Trends in Spot & REER (6 countries)                                                       8
51                                                                                                                                                                                                REER                Spot USD/INR
                                                                                                                                                              120                                                                                           55.00
49                                                                                                                                                                                                                                                                     4
47                                                                                                                                                            115
45                                                                                                                                                            110                                                                                           50.00
43                                                                                                                                                                                                                                                                     0
                                                                                                                                                              105
41                                                                                                                                                                                                                                                          45.00
                                                                                                                                                              100
39                                                                                                                                                                                                                                                                     -4
                                                                                                                                                               95                                                                                           40.00
37
35                                                                                                                                                             90                                                                                                      -8
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                  SPOT INR                                            3M MVG                                                 6M MVG                                                                                                                                                                    1 Mnth                         3 Mnth
                                                                                                                                                                         Forex Settlement Volumes ($ Mn)
                                     INR exchage rate to major currencies                                                                                                $ million     Today     Yesterday
 75                                         Base: 1-Apr-04 = 100                                                                                                                                                                                   RBI’s sale and purchase of dollars ($ in million)
                                                                                                                                                                         Cash            915          1970                                                       Mar-09                         Before
 85
                                                                                                                                                                         Tom            2650          2147                                                                   1 Month      3 Month      6 Month                                              1 Year
 95
                                                                                                                                                                         Spot           6522          5537                                         Purchase           360        1063        2005         2695                                                4302
105
                                                                                                                                                                         Forward        329           6298                                         Sale              3748          833       2323         6479                                                1493
115
                                                                                                                                                                         Total         10416         15952                                         Net               3388         -230         318        3784                                               -2809
125
135
145                                                                                                                                                                                    INR exchange rate to major currencies
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                                                                                                                                                                                                  Current          3 Month                                                                              Before
                  USD                                 GBP                                         EURO                                     YEN
                                                                                                                                                                                                              Mean       St Dev                                     1 Day            1 Week            1 Month             3 Month               1 Year
                                                                                                                                                                                          USD      47.14      49.82       1.34                                      46.99             47.63             49.68               49.16                41.79
                                      Forex Reserves in US$ billion                                                                                                                       GBP      77.27      73.67       1.40                                      76.16             75.76             74.18               69.84                81.60
350
                                                                                                                                                                                         EURO      66.58      66.02       1.44                                      66.48             66.54             66.11               62.18                64.01
310                                                                                                                                                                                       YEN      48.92      51.27       1.32                                      49.34             50.29             49.95               53.19                40.00
270
230
190                                                                                                                                                                                    Foreign exchange reserves (Rs crore)
150                                                                                                                                                                                                                       As on                                                      Growth Over (%)
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                                                                                                                                                                                       Foreign Currency Assets         1180526                                          -2                -3         -1                            -10.0
                                                                                                                                                                                       Gold                               46357                                          0                -5          6                               22
                                                                                                                                                                                       SDRs                                    2                                       -33               -67        -67                              -96
                                                                                                                                                                                       Reserve Position in the IMF          5859                                        -3                19         43                              158
                                                                                                                                                                                                                                                                                                   CCIL Economic Research
                                                                                                                                                                                     Daily Market Analytics

Macro indicators
                                                                                                                                                                                                                                           20                                        Headline Inflation
            8                                               Global Inflation (%)
                                                                                                                                                                     15                     Inflation in India (WPI)                       15
            6
                                                                                                                                                                     13                                                                    10
            4                                                                                                                                                        11
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            0
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                                                                                                                                                                                                                         Mar-09
                               U.S                               U.K                            EURO                                        JAPAN                                                                                                             Primary article                              Fuel                      Manufacturing

                1100                           Trends in Gold & Crude Prices                                                                     160
                1000                                                                                                                             140
                      900                                                                                                                        120
                                                                                                                                                 100                                         Trends in Inflation (WPI-based y-o-y %)
        $ per ounce




                      800
                                                                                                                                                 80                                                            Week ended                                              Before
                                                                                                                                                      $ per barrel




                      700                                                                                                                        60                                                              16-May-09     1 Week                              1 Month    3 Month                                    1 Year
                      600                                                                                                                        40
                                                                                                                                                                                             Inflation                0.61        0.61                                 0.57       3.36                                     8.66
                      500                                                                                                                        20
                                                                                                                                                                                             Primary Articles         6.22        6.05                                 5.68       7.31                                     8.95
                            Jun-08


                                               Aug-08


                                                                 Oct-08


                                                                                   Dec-08


                                                                                                  Feb-09


                                                                                                                     Apr-09


                                                                                                                                        Jun-09




                                                                                                                                                                                                                      & gold in -6.61
                                                                                                                                                                                             Prices of crude (WTI) -6.68
                                                                                                                                                                                             Fuel                                 $                                   -5.83      -3.98                                     7.79
                                                   Gold                                                             Crude Oil                                                                Manufacturing            1.09        1.14                                 0.95       4.67                                     8.87

   30                                                             Gold-Oil ratio
                                                                                                                                                                                             Prices of Crude (WTI) and Gold in $
   25                                                                                                                                                                                                         Current             Change over(%)
   20                                                                                                                                                                                                                   1 Day 1 Week 1 Month 3 Month                                                                         1 Year
   15                                                                                                                                                                                        Gold (ounce)     984.07       0.6    2.3      9.3    0.3                                                                          13.3
   10
                                                                                                                                                                                             Crude (barrel)    68.59       3.4   12.2     36.7   64.7                                                                         -44.8

    5
    0
        Jun-08


                                 Aug-08


                                                        Oct-08


                                                                               Dec-08


                                                                                                       Feb-09


                                                                                                                              Apr-09


                                                                                                                                                  Jun-09
                                                                                                                                                 CCIL Economic Research
                                                                          Daily Market Analytics
Economic Research Department
The Clearing Corporation of India Limited
7th Floor, C-Wing, Trade World
Kamala Mills, Senapati Bapat Marg,
Lower Parel, Mumbai – 400 013
Phone: 66639391/2/3
res_sur@ccilindia.co.in
gcnath@ccilindia.co.in
tlingareddy@ccilindia.co.in

Note: 1. Charts contain straight lines in red and blue, indicate average and +/- 1 standard deviation respectively.
      2. One crore = 10 million
      3. Chart on INR exchange rate to major currencies presents indices with base as 1 April, 2004 = 100

Disclaimer:
This is not an investment advice in any manner. The data used in this report has been obtained from secondary sources which we consider reliable but do not guarantee accuracy. We
take care to update on a reasonable basis the information discussed in this material. This material should not be construed as an offer to sell or the solicitation of an offer to buy any
security. We are not soliciting any action based on this material. It is for the general information of market participants and general public. It does not constitute a personal
recommendation or take into account the particular investment objectives, financial situations, or needs of individual market participants. Before acting on any advice or
recommendation in this material, one should consider whether it is suitable for their particular needs and, if necessary, seek professional advice. Past performance is not a guide to
future performance. Future returns are not guaranteed, and a loss of original capital may occur. The material is based on information that we consider reliable, but we do not represent
that it is accurate or complete, and it should not be relied on as such. Opinions expressed are our current opinions as of the date appearing on this material only. This research contains
the views and opinions of CCIL Research team only and not necessarily the views of CCIL. This report may not be reproduced in whole or in part.

								
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