CCIL Economic Research

Daily Market Analytics

Date: 24-Jul-13
G-SEC Markets
2Y/5Y Gsec Spread
39

24

-25

10Y/20Y G-sec Spread

Buy
5466
3752

Sell
5924
3294

Net
-458
458

01-Jul-13

01-Jun-13

01-May-13

01-Apr-13

*Excludes special securities like oil bonds etc.

01-Mar-13

**Includes trades by PD Division of Banks

Type
1-Year
2-Year
5-Year
10-Year
15-Year
20-Year
30-Year
10Y Benchmark
10Y-5Y Spread*

(%)
Current
10.50
9.83
8.83
8.57
8.60
8.66
8.68
8.50
-30

Jul-13

Jun-13

Apr-13

May-13

Mar-13

Jan-13

Feb-13

Gilts Yields
Change Over (Basis Points)
1 Day 1 Week 1 Month 3 Month
168.4
175
307
293
110.9
116
225
226
32.4
33
117
123
28.9
34
95
85
20.4
29
87
74
14.6
24
87
73
12.0
17
87
76
19.8
29
85
74
-22
30
-1
19

Jul-13

Jun-13

May-13

Apr-13

Feb-13

7.00

Mar-13

Jul-13

Jun-13

May-13

Apr-13

Feb-13

Banks Trade in Gilts*(Rs crore)

Banks**
Others

01-Feb-13

Mar-13

Jan-13

Dec-12

Nov-12

Oct-12

Aug-12

Jul-12

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

1/10Y Spread (short-term)

Sep-12

7.40

50
0
-50
-100
-150
-200

Dec-12

7.80

Nov-12

8.20

15

Oct-12

8.60

23

12

Jan-13

30

Dec-12

17

Yield & 3M Moving Avg-10Y Gilt

9.00

Nov-12

38

Jul-12

10Y/15Y Gsec Spread

22

-3

Jul-12

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Jul-12

Aug-12

Jul-13

Jun-13

May-13

Apr-13

Feb-13

Mar-13

Jan-13

Aug-12

Dec-12

-36

Nov-12

-21

-125

Oct-12

-100

-200

Sep-12

-6

Jul-12

-75

-150

Oct-12

-100

Sep-12

-50

Sep-12

-50

5Y/10Y G-sec Spread

Aug-12

25

Aug-12

1/10Y Gsec Spread

50

1 Year
255
188
76
28
20
15
7
39
10

*Difference between 8.15% 2022 and 8.07% 2017 in bps for all the periods
50
0

-50
-100
-150

1/10Y Gsec Spread

25
0
-25
-50
-75

CCIL Economic Research

Daily Market Analytics
Derivatives

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Jan-13

Feb-13

Dec-12

Nov-12

Oct-12

Sep-12

3Y OIS/MIFOR Spread

Jul-12

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Jul-12

Jul-13

Jun-13

May-13

Apr-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

Mar-13

-230

Oct-12

-160

Sep-12

-90

Aug-12

-20

-300

50
0
-50
-100
-150
-200
-250
-300

2Y OIS/MIFOR Spread
0
-50
-100
-150
-200
-250
-300

Aug-12

1Y OIS/MIFOR Spread

50

2Y/5Y OIS Spread

2Y/5Y MIFOR SPREAD

20

60

10

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

-20

Nov-12

-30

Oct-12

0
Sep-12

-20
Aug-12

20

Jul-12

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

-10

Aug-12

40

Jul-12

5Y OIS/MIFOR Spread
30
-10
-50
-90
-130
-170
-210

MIBOR & 3M Moving Average

15.6

13.6
11.6
9.6
7.6

CM IBOR RT

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

5.6

Sector
1Year
2 Years
3 Years
5 Years

Current
(%)
9.42
8.67
8.59
8.43

MIBOR-OIS
MIFOR
Change Over (Basis Points)
Current
Change Over (Basis Points)
1 Day
1 Week 1 Month 3 Month
(%) 1 Day 1 Week 1 Month 3 Month
55.76
66.50 198.90
219.26
9.00 115.00 150.00 300.00
215.00
35.85
42.27 136.11
170.39
7.75 53.00
75.00 169.00
123.50
39.86
39.17 129.18
162.70
7.50 35.00
55.00 135.00
105.00
26.48
30.62 109.33
145.62
7.37 21.92
39.00 101.00
66.33

3M MAvg

Three month Mean & Standard Deviation

MIBOR OIS (5Y) MIFOR (5Y)
Mean %
7.40
7.19
6.47
St Dev
0.49
0.43
0.28

Trade Volumes (Rs. Crore)

OIS MIFOR
Today
4650
275
Yesterday
4085
950

CCIL Economic Research

Daily Market Analytics

Derivatives Vs G-Secs

OIS

GS EC

3M MA GS EC

Jul-13

Jun-13

May-13

Apr-13

Feb-13

Mar-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

Jul-13

Jun-13

Apr-13

May-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Jul-12

OIS/G-SEC Spread (Basis points)

Before
Current
1 Day 1 Week 1 Month 3 Month
-116 -41
-42
-15
-63
-40 -34
-38
-27
-64

Aug-12

Jul-13

Jun-13

25
5
-15
-35
-55
-75
-95
-115
-135
May-13

Apr-13

Feb-13

Mar-13

Jan-13

Dec-12

Nov-12

Sep-12

Aug-12

Jul-12

2 years
5 years

Oct-12

2y OIS/G-Sec Spread

20
0
-20
-40
-60
-80
-100
-120

5y OIS & G-S ec Yields

9.5
9.0
8.5
8.0
7.5
7.0
6.5
6.0

5y OIS/G-Sec Spread

3M MA 5Y OIS

CCIL Economic Research

Daily Market Analytics
Money Market
Call Rates & 3M Moving Average

Repo Rates & 3M Moving Average

13.0

11.0

11.5

10.0

10.0

200000
150000

100000
50000

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

LAF Reverse Repo Volume (Rs Cr)

21000

3 Month
Mean Std. Dev
7.31
0.33
7.27
0.40
7.04
0.53

Money Market Trade Volumes (Rs Crore)

Current 1 Day 1 Week 1 Month 3 Month
Call
13248 11307
17099 20376 18713
Repo
22300 23964
20965 30099 34084
CBLO
94848 100252
82441 82519 69932

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Aug-12

Jul-12

Sep-12

7000

LAF Volumes (Rs Crore)

Today
Repo
Reverse Repo

33260
4425

1 Day
50475
1550

Before
1 Week 3 Month
75000 92815
20
20

1 Year
50235
80

1 Year
14639
18942
42112

Jul-13

Jun-13

Apr-13

May-13

Feb-13

Mar-13

Change Over (Basis Points)

1 Day 1 Week 1 Month 3 Month
192
108
184
147
230
145
224
187
174
113
173
117

14000

Jan-13

Dec-12

Oct-12

Nov-12

Sep-12

Aug-12

Jul-13

Jun-13

Apr-13

May-13

Feb-13

Mar-13

Jan-13

Dec-12

Oct-12

Nov-12

4.0

Sep-12

5.5

6.0

Aug-12

7.0

7.0

Money Market Rates

Current
(%)
Call
9.07
Repo
9.42
CBLO
8.68
Note: excludes Saturdays

LAF Repo Volume (Rs Cr)

28000

8.5

8.0

Jul-12

Jul-13

Jun-13

May-13

Apr-13

Feb-13

Mar-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

9.0

250000

CBLO Rates & 3M Moving Average

14.5

12.0

Jul-12

14.0
13.0
12.0
11.0
10.0
9.0
8.0
7.0
6.0

1 Year
99
135
69

CCIL Economic Research

Daily Market Analytics
Forex Markets
Spot USD/INR

INR Exchange Rate to Major Currencies

Base: 1-Apr-04 = 100

70
90
110
130
150

Avg. Monthly Spot

62

9.0

59

7.5

56
53

6.0

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Jan-13

1 Mnth

Feb-13

Dec-12

Oct-12

Nov-12

Jul-12

Jun-13

Mar-13

Dec-12

Sep-12

Jun-12

Mar-12

Jun-11

44

Aug-12

4.5

47

Sep-12

50

Dec-11

6M M VG

RE ER

Sep-11

3M M VG

Jul-13

Jun-13

Apr-13

May-13

Feb-13

Mar-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Jul-12

SPOT IN R

125
120
115
110
105
100
95
90
85

Forward Premia

10.5

Trends in Spot & REER (6 countries)

Aug-12

63.5
61.5
59.5
57.5
55.5
53.5
51.5
49.5
47.5

3 Mnth

RBIs Sale and Purchase of US Dollars ($ Million)

May-13
Before
1 Month 3 Month 6 Month 1 Year
3003
3298
3021
855
778
Purchase
3110
2780
3301
1776
1263
Sale
-107
518
-280
-921
-485
Net

Forex Settlement Volumes ($ Mn)

$ million
Today
Yesterday
Cash
2187
2244
Tom
3178
3110
Spot
7500
8528
Forward
606
161
Total
13471
14043

US D

EURO

Jul-13

Jun-13

Apr-13

May-13

Feb-13

GB P

Mar-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Jul-12

190

Aug-12

170

YEN

INR Exchange Rate to Major Currencies

Current
3 Month
Mean
St Dev
USD
59.45
57.37
2.32
GBP
91.24
87.90
3.45
EURO
78.44
74.98
3.30
YEN
59.51
57.77
2.88

1 Day
59.69
91.66
78.69
59.96

1 Week
59.36
89.69
77.99
59.77

Before
1 Month
59.70
92.25
78.38
61.25

3 Month
54.17
82.99
70.62
54.64

1 Year
55.70
86.28
68.15
70.11

Currency Derivatives (Futures & Options)

USD

GBP

Jul-13

Jun-13

Apr-13

EURO

May-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

190

Sep-12

Foreign Exchange Reserves (Rs Crore)

Value Growth Over (%)
As on
1 Week
1 Month
3 Month
1 Year Rate to Major Currencies
INR Exchange
12-Jul-13
1-Week
27
-44 70
-47
-15
Base: 1-Apr-04 = 100
Total
FCA
1510200
-0.7
33
-52 90
-55
-23
Gold
128680
0.0
26
-35110
-36
-8
SDRs
25960
-0.6
-33
-27
-39
537
Res. with IMF
12950
-1.6
70
-69130
-67
2
FX
Reserves*
280188
0.0
150
73
-76
-72
-38
*
USD
in
million
180
-48170
-58
0
-37
-21
Aug-12

NSE
MCX
USE
Options
NSE
MCX
USE

1 Day
58
74
48
-9
93
121
126
-25

Jul-12

Futures

O.I
Value
(Lots) (Rs Crore)
2786891
22589
1685301
10956
1093331
11291
8259
342
1687119
5515
1288019
3384
399100
1700
344
431

YEN

Growth Over (%)

1-Month
3-Months
0.2
5.5
-0.2
-7.9
2.2
9.7
-3.9
2.9
-3.6
-5.1

1-Year
6.6
-11.3
7.7
9.6
-2.3

CCIL Economic Research

Daily Market Analytics
Macro indicators
Monthly Inflation Rate (% ) in India

Trends in Gold & Crude Prices

$ Per Ounce

16

12

U.S

U.K

Euro A rea

Japan

Primary

Fuel

Manufacturing

Jun-13

Apr-13

Feb-13

Dec-12

Oct-12

Aug-12

Jun-12

Apr-12

Feb-12

Dec-11

Oct-11

Aug-11

May-13

Mar-13

Jan-13

Nov-12

Sep-12

Jul-12

May-12

Mar-12

Jan-12

Nov-11

0
Sep-11

-2
Jul-11

May-11

Jun-11

2000
1900
1800
1700
1600
1500
1400
1300
1200
1100

WPI

110

100
90
80

Gol d

$ Per Barrel

20

Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Jun-13
Jul-13

Monthly Global Inflation Rate (% )

70

Crude Oil

Gold-Oil ratio
22.0
18.0

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Oct-12

Nov-12

Aug-12

Jul-12

10.0

Sep-12

14.0

Inflation Rate in India (% on Y-o-Y Basis)

Current
Before
Jun-13 1 Month 3 Month
Primary
8.14
6.65
7.60
Fuel
7.12
7.32
10.18
Manufacturing
2.75
3.11
4.07
All commodities
4.86
4.70
5.96

1 Year
9.75
12.07
5.37
7.58

Prices of Crude (WTI) and Gold in $

Current
Gold (Ounce) 1336.42
Crude (Barrel) 105.48

1 Day
0.5
0.5

Growth over (%)

1 Week 1 Month 3 Month
3.3
3.6
-6.6
3.5
9.7
16.4

1 Year
-15.4
22.8

15

12

Monthly Global Inflation Rate (%)

CCIL Economic Research

Daily Market Analytics
Economic Research Department
The Clearing Corporation of India Limited
Plot no FP 822, College Lane, off S K Bole Road
Opp. NEAT House, Dadar (W), Mumbai-400028
Phone: 6154 6581/6583
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
Data sources: Data inputs were collected from Reserve Bank of India, BSE, NSE, MCX, NCDEX, CSO, Reuters apart from the CCIL.
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.