STCI

June 07, 2023

June 07, 2023 Primary Dealer Ltd.

DAILY MARKET UPDATE

Auction: RBI announced the cut-offs for SDL auction as follows: 10-year state loan in the range of 7.32%-
7.34%, 5-year state loan at 7.18%, 6-year state loan at 7.26%, 7-year state loan at 7.29%, 8-year state loan at
7.29%, 14-year state loan in the range of 7.36%-7.4105%, 15-year state loan in the range of 7.37%-7.3809%,
16-year state loan at 7.39%, 19-year state loan at 7.33%, 20-year state loan at 7.33%, 28-year state loan at
7.29% and 30-year state loan in 7.29%. Auction was fully subscribed. The spread of the 10-year state loan
against the new 10Y G-sec benchmark is in the range of 33-35 bps.
Liquidity:
Ø RBI announced a 3-day Variable Rate Reverse Repo auction cut-off at 6.49% (WAR: 6.49%).
Ø Call rate traded at a weighted average of 6.34%, compared to 6.32% at the previous closing. TREPS
rate traded at a weighted average of 6.30%, compared to 6.25% at the previous closing. The overnight
Standing Deposit Facility stood at Rs. 1.24 Lakh Crore and system-wide liquidity on a net basis stood
at Rs. 2.26 Lakh Crore as on 05-Jun-23.
G-Secs: Domestic bond market opened on a positive note tracking an overnight decline in US-Treasury yields
and crude oil prices. However, bonds traded in a narrow price range with muted volumes ahead of the MPC
meeting outcome on Thursday. Gilts closed ~1-2 bps stronger across the curve. The 10Y benchmark paper
7.26% GS 2033 closed at Rs. 101.95 (6.98%) as compared to the previous closing of Rs. 101.82 (7.00%).
The total volumes reported on NDS-OM stood at Rs. 31,709 Crore as compared to Rs. 41,483 Crore previously,
and on OTC stood at Rs. 12,325 Crore as compared to Rs. 8,705 Crore previously.
Corporate Bonds: Non-SLR segment too witnessed similar sentiments during the day. The Non-SLR segment
saw volumes of Rs. 4,744 Crore for the day in listed bonds and Rs. 594 Crore in the unlisted category as
reported by NSE.
IRF: The closing price of the 7.26% GS 2033 June IRF contract was Rs. 101.96. Total volume reported on
NSE and BSE was nil.
OIS: The 1-year OIS closed at 6.58 (-1 bps) and the 5-year OIS closed at 6.03 (-4 bps) with a 1X5 year OIS
spread at -0.55 (-3 bps). Volumes for the day stood at Rs. 24,860 Crore.
Rupee: Short dollar bets by the bank led to the appreciation of the rupee against the greenback. Additionally,
decline in crude oil prices supported the rupee. Thus, INR closed stronger at Rs. 82.61/USD as compared
to the previous closing of Rs. 82.68/USD.

Money Market
Money Market Wtd Avg Rate (%) Total Vol (Rs. Cr.) MIBOR Rate (%)
TREPS 6.30 291111 Overnight 6.39
14 days 6.77
Repo 6.31 186710
1 Month 7.02
Call 6.34 8968 3 Months 7.14

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June 07, 2023

Liquidity Monitor (Rs. Cr.) Liquidity Operations (Rs. Cr.)

350,000

07-Jun-23 300,000

250,000
Inflow Outflow 200,000

Treasury Bills/ CMBs 150,000

100,000
Coupon Payment 3,828
50,000

SDL Auction/Redemption/OMO 17,300 0

30-May-23 31-May-23 1-Jun-23 2-Jun-23 5-Jun-23

G-Sec Auction/ Redemption/OMO/ Buyback -50,000

-100,000

Net Inflow /outflow 13,472

Standing Deposit Facility Term Rev Repo Special Reverse Repo MSF

On-Tap TLTROs SLF Repo Systemic Liquidity

Date Latest Cut-off Previous Cut-off

Price Yield Amount Accepted Price Yield Amount Accepted
91 Day 31-May-23 98.34 6.78 12,000 98.34 6.77 12,000
182 Day 31-May-23 96.68 6.90 12,000 96.67 6.90 12,000
364 Day 31-May-23 93.57 6.89 8,000 93.58 6.89 8,000

G-sec Market
7.50 0
Benchmark Securities
Security 06-Jun-23 05-Jun-23 06-Jun-23 05-Jun-23
7.00 -1
05.63 GS 2026 96.84 96.81 6.87 6.88 -1 -1 -1
-1 -1
-1
05.74 GS 2026 96.54 96.50 6.89 6.90 -1 -1
-2
6.50 -2 -2
-2
07.38 GS 2027 101.64 101.59 6.91 6.92
07.06 GS 2028 100.61 100.56 6.91 6.92 -2
6.00
07.10 GS 2029 100.68 100.61 6.95 6.97
07.17 GS 2030 101.19 101.05 6.95 6.97
5.50 -4
06.54 GS 2032 96.85 96.78 7.03 7.04
05.63 GS 2026

05.74 GS 2026

07.38 GS 2027

07.06 GS 2028

07.10 GS 2029

07.17 GS 2030

06.54 GS 2032

07.26 GS 2032

07.26 GS 2033

06.67 GS 2035

07.41 GS 2036

07.54 GS 2036

07.36 GS 2052
07.26 GS 2032 101.60 101.48 7.02 7.04
07.26 GS 2033 101.95 101.82 6.98 7.00
06.67 GS 2035 96.67 96.60 7.08 7.08 Movement in Yield (bps) (RHS) 06-Jun-23 05-Jun-23

07.41 GS 2036 102.89 102.76 7.07 7.09

07.54 GS 2036 103.76 103.60 7.09 7.11
07.36 GS 2052 102.20 102.05 7.18 7.19

Top 5 Traded Securities

07.17 GS 2030 1255

07.06 GS 2028 1665

07.38 GS 2027 2115

Bond Yields 6-Jun-23 5-Jun-23
07.41 GS 2036 2625 India 10Y 6.98 7.00
07.26 GS 2033 16070 US 10Y 3.70 3.68
0 2000 4000 6000 8000 10000 12000 14000 16000 18000
US 30Y 3.90 3.88

2
June 07, 2023

CORPORATE BOND Market

G-Sec Spreads (bps) AAA Corporate Bond Yields and Spread
Spread 6-Jun-23 5-Jun-23 15 Days Ago 1 Year Ago Yield Spread
1X5 7 7 5 106 6-Jun-23 5-Jun-23 6-Jun-23 5-Jun-23
5X10 6 7 11 17 1 Year 7.42 7.43 45 45
10X15 11 9 10 21 3 Year 7.40 7.44 40 43
15X30 8 10 4 8 5 Year 7.41 7.36 37 31
10X30 19 19 14 29 10 Year 7.39 7.41 29 29

Swap Market Spread between 5Y OIS and 1Y OIS

-0.460
OIS-MIBOR
6-Jun-23 5-Jun-23 15 Days Ago -0.480

1 Year 6.58 6.59 6.51 -0.500

-0.50
2 Year 6.23 6.25 6.15 -0.520 -0.52
3 Year 6.09 6.13 6.01
-0.540
-0.53
5 Year 6.03 6.07 5.95 -0.55
-0.560
Source: CCIL -0.56
-0.56
-0.580
Forex Market 30-May-23 31-May-23 1-Jun-23 2-Jun-23 5-Jun-23 6-Jun-23

82.00
Spot Rates
82.10
6-Jun-23 5-Jun-23 82.20 82.30

USD/INR 82.61 82.68 82.30

82.41
EUR/USD 1.07 1.07 82.40

GBP/USD 1.24 1.24 82.50

82.61
82.60 82.68
USD/JPY 139.67 139.58 82.72
82.73
82.70
USD/CNY 7.12 7.10 82.80
DXY 104.30 104.00 30-May-23 31-May-23 1-Jun-23 2-Jun-23 5-Jun-23 6-Jun-23
USD/INR

FPI Activity
FPI Inflows (Rs.Cr.) 06-Jun-23
Net CYTD FYTD
Purchase Sale Net USD USD USD INTEREST RATE FUTURES
Mn Mn Mn
Market Summary of Interest Rate Futures (Rs. Cr.)
Equity 7771.87 8284.73 (513) (62) 4,786 7,410
Debt 877.91 418.22 460 56 998 581 NSE BSE

Date Open Change Open Change

Volume Volume
FPI- Debt Utilisation Status (%) Interest in OI Interest in OI
G-Sec 24.03 31-May-23 0 1,246 0 0 150 0
SDL 0.84 1-Jun-23 0 1,246 0 0 150 0
Corporate Bonds 14.74
2-Jun-23 29 1,221 -25 0 150 0
Voluntary Retention Route (Rs. Cr.) 5-Jun-23 5 1,222 1 0 150 0
Previous Day 63,767 6-Jun-23 0 1,222 0 0 150 0
As on Date 63,780
Change 13

3
June 07, 2023

Government Borrowings GLOBAL EQUITIES

Government Borrowing Programme FY24 (Rs. Cr.) Equity Indices 6-Jun-23 5-Jun-23
Budgeted G-Sec Gross Borrowing* 1,543,000 SENSEX 62,792.88 62,787.47
Budgeted G-Sec Net Borrowing 1,180,911 NIFTY 18,599.00 18,593.85
Budgeted G-Sec Redemptions* 362,089 DJIA 33,547.67 33,562.86
G-Sec Gross Borrowing till Date 305,000 S&P 500 4,269.56 4,273.79
G-Sec Gross Borrowing Completed (%) 19.77% NASDAQ 13,199.59 13,229.43
Maturities till date 146,764 FTSE 100 7,597.31 7,599.99
Net G-Sec Borrowings till date 158,236
gLOBAL COMMODITIES
364 Day T-Bill Gross Borrowings till date 71,768
SDL auction till date 117,100 Commodities 6-Jun-23 5-Jun-23
SDL redemptions till date 29,393 Nymex Crude ($/bbl) 70.64 72.15
Switch/Conversion of securities till date 15,970 Brent Crude ($/bbl) 75.26 76.71
*Source: Budget Document Dubai Crude ($/bbl) 75.06 75.06
Gold ($/oz) 1,964.15 1,961.86
OMOs FY24 (Rs. Cr.) LME 3,693.50 3,693.50
Special OMO Purchase 0 Petrol (Rs/ltr) 96.72 96.72
Special OMO Sale 0 Diesel (Rs/ltr) 89.62 89.62
OMO Purchase: G-SAP 0
OMO Purchase-Secondary Market 0 Inflation WPI CPI
Apr -0.92% 4.70%
OMO Purchase of SDLs 0
Mar 1.34% 5.66%
OMO Sale 0 Feb 3.85% 6.44%
Jan 4.73% 6.52%
Forthcoming Auctions (Rs. Cr.)
Dec 4.95% 5.72%
Security Date of Auction Amount (Rs. Cr.)
Nov 5.85% 5.88%
91 Day T-Bills 7-Jun-23 12,000 Oct 8.39% 6.77%
182 Day T-Bills 7-Jun-23 12,000 Sep 10.55% 7.41%
364 Day T-Bills 7-Jun-23 8,000 Aug 12.48% 7.00%
6.99% GS 2026 9-Jun-23 8,000 Jul 14.07% 6.71%
7.17% GS 2030 9-Jun-23 7,000 Jun 16.23% 7.01%
7.41% GS 2036 9-Jun-23 12,000 May 16.63% 7.04%
New GS 2063 9-Jun-23 12,000 P = Provisional

Managing Director Head of Sales Chief Risk Officer Secretarial and Compliance Head of Settlements Delhi Office
Prasanna Patankar Sandhya Shashi Manish Jadhwani Neha Banka Smita Nair Kamal Vohra
Head of Treasury Treasury Sales Risk Management Krishma Vora Operations Harish Arora
Siddharth Shah Charmy Jain Kalpesh Badgujar Devang Thakkar Pradeep Shetty Aditi Bhatia
G-Sec Trading Desk Gurudatta Kulkarni Shweta Pednekar Internal Audit Shirin Ghadge Aman Tripathi
Rahul Dubey Satyabodha Kulkarni Chief Financial Officer Mahesh Wad Rohan Sawant Kolkata Office
Tikeswar Sa Chirag Vora Kalpesh Mody Kiran Solanki Puja Phadnis Vikash Bahl
Sai Raghav Perumalla Vishal Mandhare Accounts Vedangi Yagnik Naman Jain Praveen Barasia
Rahul Menon Komal Thakur Purva Joshi IT Research Desk Bengaluru Office
Equity Trading Funding Desk Vaishnavi Ghatge Dinesh Patil Aditya Vyas Thippesh V C Angadi
Hansraj Modi Narendra Kulkarni Mahima Rathi Nitin Sakpal Sadhika Nimbutkar Santhosh H Basavarajj
Human Resources
STCI Primary Dealer Ltd. Sonali Medda
CIN: U67110MH2006PLC165306
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 l Settlements: (022)66202262-64, Fax (022) 66202288
Delhi Office: (011) 47676557-62 l Kolkata Office: (033) 40611435-36 l Bengaluru Office: (080) 42183166/1021
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