FIXED INCOME REPORT

2-Aug-16
10yr benchmark closed almost 4bps higher at 7.1748 % vs. previous close of 7.1394%. 10 year benchmark was
seen trading weak today after rallying the most since May 2013 in the last few trading sessions. The
benchmark yield opened at 7.1465%, touched a low of 7.1393% and high of 7.1824% before closing at
7.1748%.
The benchmark five-year overnight indexed swap rate closed at 6.51 % vs. previous day's close of 6.4750%,
while the one-year closed at 6.50% vs. previous day's close of 6.47250%.
Rupee closed at 66.73 vs. previous day's close of 66.74. Rupee closed little changed against dollar, ahead of
the introduction goods and services tax (GST) bill in the upper house of Parliament on Wednesday. Rupee
opened at 66.78 went to a high of 66.70 and touched a low of 66.78.
Gold was seen trading at Rs.31665/10gm, while silver was seen trading at Rs.48205/kg & Nymex crude was
seen trading around at Rs.40.51/barrel.

G-Securities Yield Curve G-Securities

Securities

Maturity

7.3000

Yield Curve

2-Aug-16

Previous

7.1969 7.1748 7.2286

25000

7.1694

7.2000

Change

7.2571 7.2527

7.2325

7.0242

7.2235 30000

20000

8.27 GS 2020

9-Jun-20

7.0050

6.9795

0.026

7.1000

7.80 GS 2021

11-Apr-21

7.0612

7.0242

0.037

7.0000

7.68 GS 2023

15-Dec-23

7.1694

7.1327

0.037

6.9000 6.9795

5000

7.72 GS 2025

25-May-25

7.2325

7.1969

0.036

6.8000

7.59 GS 2026

11-Jan-26

7.1748

7.1394

0.035

7.59 GS 2029

20-Mar-29

7.2571

7.2286

0.029

7.88 GS 2030

19-Mar-30

7.2527

7.2235

0.029

7.0050

7.1394

7.1327

15000

7.0612

10000

08.27 07.80 07.68 07.72 07.59 07.59 07.88

GS 2020 GS 2021 GS 2023 GS 2025 GS 2026 GS 2029 GS 2030
Volume

Today's Yield

Yesterday's Yield

Corporate Bond Spreads

Maturity

AAA

AA+

2-Aug-16

Previous

Spread

2-Aug-16

Previous

Spread

1 year

7.31

7.30

35

7.58

7.57

62

2 year

7.47

7.44

49

7.69

7.66

71

3 year

7.53

7.50

50

7.77

7.74

74

5 year

7.62

7.59

49

7.87

7.84

74

10 year

7.82

7.81

52

8.06

8.05

76

Money Market Yields

CD Rates Trend

CD Rates
Maturity

2-Aug-16

Previous

Change

3 Months

6.55

6.55

0.00

6 Months

6.90

6.90

0.00

1 Year

7.23

7.23

0.00

CP Rates
3 Months

7.10

7.00

0.10

6 Months

7.80

7.80

0.00

1 Year

8.10

8.05

0.05

SPA Fixed Income Report

12.00
11.50
11.00
10.50
10.00
9.50
9.00
8.50
8.00
7.50
7.00

3 months

1 year

Primary Issuance CP

Primary Issuance CD
Issuer

Rate %

Andhra Bank (June)

7.14

Andhra Bank (1 Year)

7.22

Vijaya Bank (Oct)

6.57

EXIM Bank (1 Year)

7.25

Primary Issuance CP

Issuer

Rate %

Godrej Properties (3M)

6.88

Chambal Fertilizers (End Sep)

6.54

AU Financiers (3M)

7.65

Axis Finance (Intramonth)

6.82

Issuer

Rate %

V
Net LAF

Money Market
Instruments

8000

2-Aug-16

Previous

Change

MIBOR

6.50

6.50

0.00

Call Money

6.40

6.50

-0.10

CBLO

6.15

6.00

0.15

Marginal standing facility ( 01 Aug in

crs)

775

1707

-932

-2000

22-Jul

-4000

Repo (In Crs)

2979

3489

-510

-2176

R.Repo (In Crs) (01 Aug in crs)

4287

9569

5282

91 Day T- Bill

0.000

182 day T-Bill

0.000

Marginal Standing Faclity (in crs)

1800
1600
1400
1200
1000
800
600
400
200
0

22-Jul

50

25-Jul

26-Jul

27-Jul

1690
-798
25-Jul

27-Jul

28-Jul

1-Aug

-6074

Forex Market
Instruments

2-Aug-16

Previous

Change

USD/INR

66.73

66.74

0.010

EUR/USD

1.12

1.12

0.003

GBP/USD

1.32

1.32

0.005

USD/JPY

101.74

102.22

-0.48

1-Aug

USD/INR

GLOBAL INDICATORS
Indicators

2-Aug-16

Previous

Change

10 year US Benchmark

1.55

1.48

0.07

67.5

67.14

67.02
66.74

67
67.04

66.73

66.5

USD LIBOR
1 Day

0.41

0.41

0.00

1 Month

0.49

0.50

0.00

3 Months

0.76

0.76

0.00

6 Months

1.11

1.11

0.00

9 Months

0.55

0.55

0.00

12 Months

1.43

1.43

0.00

SPA Fixed Income Report

29-Jul

-8000

1707

29-Jul

26-Jul

-6000

28-Jul

3313

2000

283
44

3625

4000

775

10

6178

6000

Commodity
Instruments

2-Aug-16

Previous

Change

Brent Crude

42.84

42.83

0.01

NYMEX Crude

40.51

40.95

-0.44

Gold

31665

31440

225.00

Silver

48205

47810

395.00

Inflow / Outflow for 1st Aug 2016 to 5th Aug 2016

INFLOW

FII/FPI Inflows (Rs. Crs) (As on 2nd Aug 2016)

Amount (crs)

T-Bill Redemption

20112

SDL Coupon

1859

G-Sec Coupon

11143

G-sec Redemption

SDL Redemption

Purchase

Sale

Net

Net $ (mn)

Equity

5978.16

5322.55

655.61

98.23

Debt

1069.17

944.07

125.1

18.74

3744

Mutual Fund Inflows (Rs. Crs) (As on 1st Aug 2016)

OUTFLOW
G-sec Auction

15000

Cash management bills

T-Bill Auction
SDL Auction

Purchase

Sale

Net ( Rs. Crs)

Equity

571.9

512.6

59.3

15000

Debt

4115.9

5640.30

-1524.40

Net Flow

3114.01

Corporate Bond Issuance

Issuer

Opening
Date

Earliest Closing
Date

Tenor

Quantum
In Rs. Crs

Rating

Coupon
%

Issues open in the long-term market

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representation is made that the transactions undertaken based on the information contained in this report will be profitable, or that they will not result
in losses, SPA and its representatives will not be liable for the recipients investment decision based on this report.

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