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Morning Coffee
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Nager, Andheri Kurla Road,
Andheri (East), Mumabi - 59
Tel : +91 22 39673401 / 03

Also available at www.debtonnet.com Wednesday, July 14, 2010

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While you were sleeping - U.S. Treasuries slipped on Tuesday as traders sought a modest cheapening of the market ahead of a $21 billion auction of 10-year notes later in the day. It's the

second of this week's three auctions worth a total of $69 billion and follows Monday's lackluster three-year offering, which appeared to suffer from unattractively high prices after a bond

market rally dating back to April. Analysts believe major releases later in the week including minutes of the Federal Reserve's latest meeting and consumer price inflation data were not

expected to hurt bonds, making it difficult to build a bigger pre-auction price concession. The 10-year note was weaker versus other sectors within fixed income, with the swap spread

narrowing to 4.25 basis points versus Monday's 5.25 basis points.

Indian ADRs on Nasdaq/NYSE (last trade) OIS Curve Dollar-Rupee Forward Curve
Price % Change Ask/Bid 13-Jul-10 13-Jul-10
Sify $ 1.47 0.68% 7.50 7.13 5.20
6.77 6.93 4.92
4.70 Blue line shows prv day
Infy $ 59.43 -5.70% 7.00
6.50
6.31 4.70 4.55 Label values current
Satyam $ 5.16 2.38% 6.00 5.55 5.39 5.64 5.99 4.20
4.31
4.11
5.50
5.40
5.39 3.89
ICICI Bank $ 39.17 2.22% 3.70
3.68
5.00 3.52
HDFC Bank $ 151.98 0.07% 4.50
Bid Ask ` 3.41
3.21
3.20 3.32 3.13
Wipro $ 13.03 0.62% 4.00
3.50 2.70
1M 2M 3M 6M 12 M 24 M 36 M 60 M 84 M 120 M 1.00 2.00 3.00 4.00 5.00 6.00 7.00 8.00 9.00 10.00 11.00 12.00
Indian Equity Indices(14-July-10 early trades)
Index Value Change % Chng Forex Rates (14-July-10 morning) NSE Mibor 3 Month Libor
BSE Sensex 18,099.51 113.61 0.63% Currency Rate 13-Jul 5.66 Ccy Rate
CNX IT 6,035.10 7.05 0.12% USD/INR 46.630/46.640 Reuters CP ref (3 M) USD 0.52560%
S&P CNX Nifty 5,435.65 35.00 0.64% EUR/USD 1.2720/1.2740 13-Jul 6.75 JPY 0.24560%
International Equity Indices USD/JPY 89.0086/89.0098 GBP 0.73270%
Value Change % Chng GBP/USD 1.5219/1.5230
NASDAQ 2242.03 43.67 1.95% International Sovereign Debt (13-Jul-10 evening)
DJIA 10363.02 146.75 1.42% Name 2 Yr 5 Yr 10 Yr 30 Yr
FTSE 5271.02 104.00 1.97% USA 0.66 1.88 3.10 4.09
Corporate Bond Spreads* (in bps) UK 0.78 2.07 3.38 4.20
Duration AAA AA+ AA JPY 0.15 0.38 1.14 1.91
1 yr 67.50 82.50 102.50 GERMANY 0.74 1.58 2.65 3.31
3 yr 70.70 85.70 103.70 CCIL Trade Data (13-Jul-10) Total volume=Rs 7145.37 Crs
5 yr 89.70 104.70 124.70 Security Name No of trades Trade value(in Cr) Last price Wtd. YTM
10 yr 129.20 143.20 159.20 7.80% GOVT.STOCK 2020 584 4675 101.21 7.62
* Over G-Secs of comparable maturity 7.40% G.S. 2012 17 330 101.73 6.36
Interest Rates 7.17% GOVT.STOCK 2015 53 302 99.10 7.39
4.60 7.66
8.20% GOVT.STOCK 2022 39 280 101.65 7.98
7.27% G.S 2013 2 105 101.28 6.81
7 7.64 7.02% GOVT.STOCK 2016 10 91 97.25 7.59
4.55
7.62
8.32% GOVT.STOCK 2032 27 75 100.23 8.30
4.50 7.46% G.S 2017 1 25 99.35 7.58
7.60 6.35% OIL MKTNCO GOI BOND 2024 5 23 84.83 8.16
4.45 091 DTB 7 205 99.36 5.35
6 month MIFOR 7.58
7.80% CG2020 364 DTB 2 200 95.80 5.68
4.40 7.56 Total Trading 5979.98 SG Securities Vol (Crs): 9.11
5-Jul 6-Jul 7-Jul 8-Jul 9-Jul 12-Jul 13-Jul
Highly traded Security (volumes)
FII Trends (Rs Crs) 13-Jul-10 RBI LAF
The day ahead 3500 Bids Recd Rs'000 Crs Rate %
3200 3009.2 3465.6
Equity 3000 1 day R Repo 0.150 4.00
(a) Bond yields may trade higher today tracking higher U.S. 2700 Debt
2200 2500 1 day Repo 62.685 5.50
yields overnight, but the focus will be on inflation data due 1700 1115.5 2000
1629.9 Spreads GILTS
1200 1500
around noon. As per Reuter survey the WPI is expected to 978.3 1190.9 2Y-5Y 78 19
700 1000
have risen to 10.80% in June from a year earlier, faster than a 200 -216.2 5Y-10Y 36 8
375.5 500
-300 35.2 317.6
10.16% rise in May, a Reuters survey of economists showed. -232.1 268.4
524.5 227.3 0 Inflation (WPI) %
-800
-500 Year upto 14-May-10 10.16
U.S. Treasuries fell on Tuesday as a stock market rally -1300
-1800 -1000 Year upto 14-Apr-10 9.59
spurred by stronger-than-expected results from Alcoa drew 5-Jul 6-Jul 7-Jul 8-Jul 9-Jul 12-Jul 13-Jul
Year upto 14-Mar-10 9.90
investors away from safe-haven U.S. government debt. Commodities Price Change %Change
(b) The benchmark 10-year bond yield closed up one basis Brent Crude ($/bbl) 76.28 -0.37 -0.48% 76.65
point at 7.62% on Tuesday Gold (99.5) (Rs/10gm) 18500 -50 -0.27% 18550