8/3/2019 IOS MIFOR

1/5

1

Jun 6, 2011

STCIPrimary Dealer Ltd.Jun 6, 2011

Liquidity Monitor (Rs. Cr.) 06-Jun-11

Inflow Outflow

Treasury Bills/ CMBs

Coupon Payment

SDL Auction/Redemption

G-Sec Auction/Redemption 12000

Net Inflow /outflow 0.00 12000.00

MONEY MARKET

Short Term Rates

3-Jun-11 Previous Close 15 Days Ago

MIBOR O/N 7.34 7.31 7.36

MIBID O/N 7.28 7.26 7.30

Money Market 03-Jun-11 (Rs. Cr.)

CBLO 4.69 25195

Repo 6.89 53244

Call 7.25 16670

MARKET UPDATE

I RBI set the cut-off price for the security 7.59% GS 2016 at Rs.96.80 (8.40%), for 8.13% GS 2022 at Rs.97.75 (8.44%) and for

8.28% GS 2032 at Rs.96.90 (8.60%). All the three securities were fully subscribed.

I Liquidity remained easy tracking the Reporting Friday. The Call rate ended at an average of 7.25% compared to 7.24%

previously and the CBLO at 4.69% v/s 6.92% previously. The net infusion witnessed at RBI's LAF Repo window amounted

to Rs.39,100 Cr.

I The G-Sec market traded on a subdued note early in wake of the auction supply. However, the prices gained momentum

going into the auction bidding time. The higher cut-off prices at the auction results further led to a rally. The benchmark

security 7.80% GS 2021 closed at Rs.96.89 (8.27%), compared to Rs.96.85 (8.27%) seen previously. The total volume

reported on NDS-OM was to the tune of Rs.10,620 Cr.

I The OIS market witnessed receiving interest with the 1 year rate closing at 7.93% v/s 7.98% noted earlier and the 5 year

closing at 7.87% v/s 7.92% earlier.

I The INR gained 2 Paise to end at Rs.44.81 per dollar compared to Rs.44.83 previously. The 1 month forward premium closed

at 6.65% (6.42%), the 6 month at 6.40% (6.25%) and the 12 month at 5.98% (5.85%).

I India's credit growth as on May 20 was noted at 22.3% (YoY) and deposit growth at 17.4%. The loans and advances to the

Government reduced to Rs.9,544 Cr as on May 27.

I RBI announced the sale of 91 Day T-Bill for a notified amount of Rs.8,000 Cr and 182 Day T-Bill for Rs.3,000 Cr via multiple

price auctions to be conducted on Jun 8.

LAF (Amount in Rs. Cr.)

85720

76460

57310

46040

39140

35125

40770

630

665

410

30

410

160

1670

26-May

27-May

30-May

31-May

1-Jun

2-Jun

3-Jun

Rev Repo

Repo

8/3/2019 IOS MIFOR

2/5

2

Jun 6, 2011

CORPORATE BOND MARKET

Money Market Asset Rates (%)

3-Jun-11 Previous Close

1 Month 9.60 9.60

3 Month 9.64 9.64

6 Month 9.90 9.90

9 Month 10.00 10.00

12 Month 10.05 10.05

AAA Corporate Bond Yields and Spread

Yield Spread

3-Jun-11 Previous Close 3-Jun-11 Previous Close

1 Year 9.80 9.80 1 40 1 4 0

3 Year 9.65 9.65 1 14 1 1 1

5 Year 9.70 9.70 1 12 1 1 1

10 Year 9.70 9.70 1 26 1 2 6

G-SEC MARKET

Benchmark Securities 3-Jun-11

Security Closing Previous Closing Previous

Price Close Yield Close

91 Day T-bill 98.02 98.01 8.12 8.15

364 Day T-bill 92.42 92.40 8.22 8.25

7.17% 2015 96.02 95.87 8.35 8.40

7.99% 2017 97.80 97.81 8.46 8.45

7.83% 2018 97.39 97.17 8.34 8.38

7.80% 2021 96.89 96.85 8.27 8.27

8.08% 2022 97.90 97.69 8.37 8.40

8.13% 2022 98.07 97.82 8.40 8.43

8.26% 2027 97.40 97.23 8.56 8.58

8.28% 2032 97.10 96.95 8.58 8.60

G-Sec Spreads (bps)

Spread 3-Jun-11 Previous Close 15 Day Ago 1 Year Avg.

5-1 1 8 1 8 1 8 6 1

10-5 -14 -14 - 7 8

15-10 1 7 2 0 1 1 1 9

30-15 1 9 1 7 9 1 4

30-10 3 6 3 7 2 0 3 3

Date Latest Cut-off Previous Cut-off

Price Yield Amount Accepted Price Yield Amount Accepted

91 Day 1-Jun-11 98 8.19 8000 98.01 8.14 8000

182 Day 25-May-11 96.04 8.27 3000 96.07 8.20 3000

364 Day 1-Jun-11 92.34 8.32 3000 92.36 8.29 3000

-3 -3

-4

-1

-3

-4

-2-2

-4

7.60

8.00

8.40

8.80

91DayT-bill

364DayT-bill

7.17%2015

7.99%2017

7.83%2018

7.80%2021

8.08%2022

8.13%2022

8.26%2027

8.28%2032

-5

Movement in Yield (bps) (RHS) Closing Yield Previous Close

Top 5 Traded Securities

5640

1775

1520

825

270

0 1000 2000 3000 4000 5000 6000

7.80% GS 2021

8.13% GS 2022

8.08% GS 2022

7.83% GS 2018

7.59% GS 2016

8/3/2019 IOS MIFOR

3/5

3

Jun 6, 2011

SWAP MARKET

MIFOR Swaps

3-Jun-11 Previous Close 15 Days Ago1 Year 6.55 6.25 6.35

2 Year 5.75 5.65 6.10

3 Year 5.75 5.65 6.10

5 Year 6.70 6.55 6.50

OIS-MIBOR

3-Jun-11 Previous Close 15 Days Ago1 Year 7.93 8.00 8.12

2 Year 7.82 7.94 8.11

3 Year 7.84 7.90 8.18

5 Year 7.87 7.92 8.24

FOREX MARKET

Spot Rates

3-Jun-11 Previous CloseUSD/INR 44.82 44.83

EUR/USD 1.4501 1 .4468

GBP/USD 1.6338 1 .6360

USD/JPY 80.63 80.85

USD/CNY 6.48 6.48

Forward Premia (% annualised)

3-Jun-11 Previous Close1 Month 6.65 6.42

3 Month 6.55 6.44

6 Month 6.40 6.25

9 Month 6.15 5.99

12 Month 5.98 5.85

Spread between 5Y GS and 5Y OIS

0.37 0.350.42

0.490.53

30-May-11 31-May-11 1-Jun-11 2-Jun-11 3-Jun-11

Spread between 5Y OIS and 1Y OIS

-0.04 -0.04

-0.09

-0.08

-0.06

30-May-11 31-May-11 1-Jun-11 2-Jun-11 3-Jun-11

45.17

45.0945.06

44.85 44.8344.81

27-May-11 30-May-11 31-May-11 1-Jun-11 2-Jun-11 3-Jun-11

$/INR

8/3/2019 IOS MIFOR

4/5

4

Jun 6, 2011

GLOBAL COMMODITIES

3-Jun-11 Previous Close

Nymex Crude ($/bbl) 100 .40 100 .29

Brent Crude ($/bbl) 114 .27 115 .79

Dubai Crude ($/bbl) 109 .40 108 .24Gold ($/oz) 1530.85 1539 .80

LMEX 4011.70 4102 .00

Government Borrowing Programme (Rs. Cr.)

Budgeted G-Sec Gross Borrowings for 2011-12 4 17 1 28

Budgeted G-Sec Net Borrowings for 2011-12 3 43 00 0

Budgeted Redemptions 74128

G-Sec Gross Borrowings till Date 96000

G-Sec Gross Borrowing Completed (%) 23 .01%

Maturities till date 13473Net G-Sec Borrowings till Date 82527

364 Day T-Bill Gross Borrowings till date 14000

CMBs Borrowing till date 32000

GOVERNMENT BORROWINGS

3-Jun-11 Previous Close

S E NS E X 18376.48 18494.18

NIFTY 5516.75 5550.35DJIA 12248.55 12290.14

S&P 500 1312.94 1314.55

NASDAQ 2773.31 2769.19

FTSE 100 5845.95 5928.61

NIKKEI 225 9492.21 9555.04

HANG SENG 22949.56 23253.84

SHANGHAI SE COMP 2728.02 2705.18

TAIWAN TAIEX 9046.28 8991.36

F II I nf lo ws ( Rs . C r. ) 0 3- Ju n- 11Purchase Sale Net Net $

Equity 2467 1778 690 154Debt 350 616 -266 -59

M F I nf lo ws ( Rs . C r. ) 0 3- Ju n- 11Purchase Sale Net

Equity 348 322 26Debt 2266 1971 294

GLOBAL EQUITIES

Forthcoming Auctions

Security Date of Auction Amount (Rs. Cr.)

91 Day T-Bill 8-Jun-11 8000

182 Day T-Bill 8-Jun-11 3000

WPI Inflation Revised Provisional

April 8.66% 8.66%

March 9.02% 8.98%

February 9.54% 8.31%

January 9.47% 8.23%

8/3/2019 IOS MIFOR

5/5

5

Jun 6, 2011

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.

STCI Primary Dealer Ltd.

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 Settlements: (022)66202262-64, Fax (022) 66202288

Delhi Office: (011) 23351091 Bangalore Office: (080) 22208891

Please mail your feedback to stcipd@stcipd.com Website: http://www.stcipd.com

(Rs. Cr.)

27-May-11 Previous Week

Reserve Money 1369015 1361662

YoY Growth % 15.3 17.4

Central Govt Deposits with RBI 101 101

Central Govt WMA 9,544 20,597

State Govt WMA 216 833

State Govt 14 T-bill 71615 70750

Forex Reserves (bln $) 310.22 308.53

WSS DATA WATCH

(Rs. Cr.)

Variation

20-May-11 Fortnight FY 10-11 so far FY 11-12 so far 2010 yoy 2011 yoy

Money Supply M3 6655037 6473 94700 163281 745676 957606

% growth 0.1 1.7 2.5 15.1 16.8

Bank Deposits 5319256 3246 39,063 111286 567089 787366

% growth 0.1 0.9 2.1 14.3 17.4

Bank Credit 3952114 -5271 -12,638 10,031 495698 719964

% growth -0.1 -0.4 0.3 18.1 22.3

Non Food Credit 3885557 -12802 -13,551 7,757 503778 702809

Food Credit 66,557 7,531 913 2,274 -8,080 17,154

Investments 1583147 13,304 62,506 81,528 190347 135,889

Head of Treasury

Prasanna Patankar

Government

Securities

Manish Jadhwani

Nirav Shah

Treasury Sales

Siddharth Shah

Subodh Kapadekar

Mahak Khabia

Shivangani Singh

Payal Shah

Chintan Kapadia

Fixed Income

Research

Amol Agrawal

Meghna Patel

Mutual fund

Mihir Kaulgi

Debt Fund

Management

Sabita Braganza

Equity Desk

Rajiv Ranjan

Alok Baadkar

Risk

Management

Smita Nair

Nazir Rozani

Settlements

M N Suresh

Anita Mohite

Shyam Margaj

Shweta Pednekar

Suhas Lahne

Delhi Office

K K Mittal

Satish Sharma

Anshul Arora

Bangalore Office

Raghu N