Week Ended: September 19, 2008

Weekly Market Analytics

+ Week Ended: 07-01-2011

Treasury Yields
HIGHLIGHTS
G-Sec Yields Current Change Over (Basis Points)
DOMESTIC
Type (%) 1 Week 1 Month 3 Month 1 Year
1 Year 7.20 -2 -13 48 249 • RBI conducted the OMO purchase of government
2 Year 7.48 -6 -3 36 158 securities worth Rs.10,001.118 crore on January 6, 2011.
5 Year 7.92 7 -3 22 72 • India’s export grew by 26.5% in November 2010 to $18.9
10 Year 8.15 18 2 13 42 billion, while imports grew by 11.2% to $27.8 billion.
15 Year 8.31 11 0 11 32 • In order to attract higher volumes, the National Stock
20 Year 8.42 7 0 11 21 Exchange (NSE) will replace American-style stock options
30 Year 8.51 4 0 9 18 with European-style contracts with effect from Monday.
10 Y Benchmark 8.19 27 7 22 51 • RBI Deputy Governor, Dr K.C. Chakrabarty said that the
Money Supply & Credit Growth (%) broad goal for financial inclusion is to ensure that there are
only two players in the money-lending spectrum - banks
21 and NBFCs in the long term.
17
• The Prime Minister’s economic advisory panel has said a
hike in diesel prices may be deferred to the next fiscal due
(%)

13 to the high inflation rate.

• India received FDI of $1.6 billion in November 2010, down
9 7% from the $1.72 in same month last year.
Jun-09
Jul-09

Jan-10

May-10
Jun-10
Jul-10
Mar-10
Apr-10
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09

Feb-10

Aug-10
Sep-10
Oct-10
Nov-10
Dec-10

• The HSBC Markit Business Activity Index, a purchasing

M3 Bank Credit managers’ index (PMI) for services dropped to 57.7 in
December from 60.1.
Reserve & Broad Money Trends • Food inflation rose to 18.3% for the week ended December
31-Dec-10 Growth over (%) 25, its highest level in 23 weeks.
Money supply (Rs crore) 1 Week 1 Month 3 Month 1 Year • Direct tax collections in the first nine months (April-
Cash Reserve Ratio (%)* 6.00 6.00 6.00 6.00 5.00 December) of the current financial year increased 19.47% to
M3 (Money Stock)** 6033121 - -0.7 2.7 15.8 touch Rs.2,98,958 crore
Reserve Money 1241155 -0.7 1.0 3.5 26.5
Total Currency 906360 -0.4 0.4 6.2 19.1 INTERNATIONAL
Bank Deposits with RBI 331260 -1.9 3.0 -3.0 53.3
Other's Deposits with RBI 3535 21.7 -15.6 -15.2 -7.1 • Manufacturing in the U.S. expanded in December at the
*Absolute values for previous periods also. fastest pace in seven months, reinforcing signs the
** Corresponds to 17-Dec-10 expansion is gaining momentum.
Inflation (%) • Euro-area consumer prices rose 2.2% in December from a
year earlier after increasing 1.9% in November.
Monthly Inflation Rate (%) in India
25
20
• World food prices rose to a record in December on higher
15 sugar, grain and oilseed costs, the United Nations said,
10
5
exceeding levels reached in 2008.
0 • China may report a $20.8 billion trade surplus for
-5
-10 December, adding to pressure for yuan gains.
-15
May-09

May-10
Nov-08

Nov-09
Jan-09

Mar-09

Sep-09

Jan-10

Nov-10
Mar-10

Sep-10
Jul-09

Jul-10

Primary Fuel Manufacturing WPI

* Monthly Inflation Rate

13

Weekly Market Analytics

Week Ended: Jan 07, 2011
G-Sec Spreads Top Five Volume Contributing Gilts
Current Before (Basis Points) Security Description Vol (Rs. Crore) Trades
Type 1 Week 1 Month 3 Month 1 Year Total Avg Total Avg
1/10 Year 94 75 79 129 302 8.08% G.S 2022 8525 1705 1223 245
2/5 Year 44 30 43 57 130 8.13% G.S 2022 6305 1261 862 172
5/10 Year 23 12 18 32 53 7.17% G.S 2015 5711 1142 617 123
10/15 Year 16 23 18 18 26 7.80% G.S 2020 2723 545 346 69
10/20 Year 27 39 29 29 48 7.49% G.S 2017 1974 395 148 30

G-Sec Trade Volumes (Rs crore) T-Bill Auction Results

Current Before Current Before
1 Week 1 Month 3 Month 1 Year 1 Week 1 Month 3 Month 1 Year
G-Sec Vol. 33884 32029 35636 77491 57884 91 Days 7.10 7.19 7.23 6.40 3.68
Daily Avg. 6777 6406 7127 15498 11577 182 Days 7.30 - 7.30 - 4.07
364 Days - 7.49 - 6.86 -
CCIL Bond Indices (Total Return Index) CCIL Bond Indices Vs 10-Y Benchmark Yield
Current Growth Over (%)
CCIL Index 1Week 1Month 3 Month 1 Year 1150 10.5
1100
CASBI 1286.9 -0.9 -0.1 0.4 3.6 9.5
1050
Bond (Broad) 1354.3 -0.9 -0.1 0.4 3.5
1000 8.5
Bond (Liquid) 1322.9 -1.4 -0.2 0.4 3.6

Yield(%)
950
Index

SDL 1266.8 -1.0 0.1 0.4 5.5 900

7.5
T-Bill Index 131.0 0.1 0.4 1.0 3.0 850 6.5
*T Bill Index Base = 100. 800
5.5
Rest of the Indices Base = 1000. 750
700 4.5
May-09

May-10
Jul-09

Jul-10
Nov-08
Jan-09

Sep-09

Sep-10
Mar-09

Nov-09
Jan-10
Mar-10

Nov-10
Jan-11
Bond (Broad) CASBI SDL 10Y Yield

Money Market Rates CCBOR & MIBOR

Current Change over (basis points) Current Change Over (Basis Points)
(%) 1 Week 1 Month 3 Month 1 Year (%) 1 Week 1 Month 3 Month 1 Year
Call 6.34 -29 -33 46 282 CCBOR 6.20 -1 -6 84 319
Repo 6.17 -15 -14 31 247 CCBID 6.20 0 -6 99 320
CBLO 6.21 64 -4 34 280 MIBOR 6.39 -33 -18 48 308
MIBID 6.32 -34 -24 46 302

Money Market Volumes (Rs crore)# Money Market Volume Share (%)
Current Before
1 Year
1 Week 1 Month 3 Month 1 Year
Call 53535 61842 49375 46916 39679 CBLO
3 Month
Repo 64156 74842 60018 89023 66835 Repo
Before

CBLO 348745 236227 249863 308050 39679 1 Month Call

LAF Rev* 5650 13830 17355 1130 475490
LAF Repo -380150 -610180 -614985 -58235 0 1 Week

* Reverse Repo Current

# Excluding Saturdays
0 20 40 60 80
13

Weekly Market Analytics

Week Ended: Jan 07, 2011

MIBOR OIS MIFOR

Current Change Over (basis points) Current Change Over (basis points)
Sector (%) 1Week 1Month 3 Months 1Year Sector (%) 1Week 1Month 3 Months 1Year
1Year 7.16 4 21 52 218 1Year 6.05 -5 35 5 285
2 Years 7.31 11 31 57 163 2 Years 5.25 -5 30 20 165
3 Years 7.57 14 39 65 136 3Years 5.20 -20 20 10 85
5 Years 7.91 19 40 68 98 5Years 6.00 -30 35 50 30
OIS/G-Sec Spread (Basis Points) IRS Volumes (Rs. Crore)
Current Before Current Growth Over (%)
(basis pts) 1 Week 1 Month 3 Month 1 Year (Rs. Cr.) 1 Week 1 Month 3 Month 1 Year
2 years -17 -35 -39 -23 -33 MIBOR 69247 64 153 55 95
5 years -1 -13 -46 -45 -31 MIFOR 1349 15 510 -22 6
MIFOR/OIS Spread 5Y OIS/G-sec Spread (Basis Points)
Basis Pts Before 5Y OIS-Gsec Spread
Sector Current 1 Week 1 Month 3 Months 1 Year 25

1Year -111 -102 -125 -64 -179 0

2 Years -206 -190 -205 -169 -208 -25
3 Years -237 -203 -218 -182 -186
-50
5 Years -191 -142 -186 -173 -123
-75

-100
May-09

May-10
Jul-09

Sep-09

Sep-10
Jun-09

Aug-09

Oct-09
Nov-09
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Jan-10
Feb-10
Mar-10
Apr-10

Jul-10
Jun-10

Aug-10

Oct-10
Nov-10
Dec-10
Jan-11
Forex Spot (Fx-Clear) INR Relative to Major Currencies (Base: 1-Apr-06 = 100)
53 Spot USD/INR INR Exchange Rate to Major Currencies
70 Base: 1-Apr-04 = 100
51
80
49
90
47 100
45 110
43 120

41 130
Oct-09

Oct-10
Feb-09

Apr-09

Feb-10

Apr-10
Dec-08

Jun-09

Aug-09

Dec-09

Jun-10

Aug-10

Dec-10

140
May-10
Dec-09

Jan-10

Feb-10
Mar-10

Apr-10

Jun-10

Jul-10

Aug-10

Sep-10

Oct-10

Nov-10

Dec-10

Jan-11
Spot Rate 3M MVG 6M MVG
USD GBP EURO YEN

Exchange Rates of Major Currencies Forward Premia

Current Before Current Before
1 Week 1 Month 3 Month 1 Year 1 Week 1 Month 3 Months 1 Year
USD 45.37 44.81 45.12 44.28 46.65 1 Month 6.36 6.17 6.36 7.89 2.64
GBP 70.04 69.29 70.81 70.32 75.25 3 Month 7.02 7.30 6.48 7.16 3.20
EURO 58.93 59.81 59.63 61.70 66.83
YEN 54.34 55.06 53.73 53.46 50.11
13

Weekly Market Analytics

Week Ended: Jan 07, 2011

Foreign Currency Assets & FX Reserves FII Investment (Rs Crore)

31-Dec-10 Growth over (%) Current Before
(Rs crore) 1 Week 1 Month 3 Months 1 Year (Rs Cr.) 1 Week 1 Month 3 Months 1 Year
Total FCA 1200077 -0.2 -0.4 1.4 1.0 Gross Equity 13373 10153 11883 22451 20925
Gold 100686 -1.1 -1.1 9.3 17.9 Purchases Debt 4135 4514 4418 2210 4041
SDRs 22753 -0.2 -1.0 -0.8 - Equity 11856 6744 13003 13838 16472
Res. with IMF 8838 -0.2 -1.0 -0.8 35.4 Gross Sales Debt 3361 4068 3216 2817 2413
FX Reserves* 297334 0.8 0.9 0.3 4.3 Net Equity 1517 3409 -1119 8614 4453
* USD in million Investment Debt 774 445 1202 -607 1629

Free Fund Ratio* (banks) Commodity Futures’ Volumes (Rs. crore)

As on Before Current Growth over (%)
24-Dec-10 Fortnight 1 Month 3 Month 1 Year (Rs. Crore) 1 Week 1 Month 3 Month 1 Year
Free Fund Ratio 90.99 90.99 92.87 94.00 94.16 NCDEX 41557 12.0 38.7 138.8 110.8
MCX 259375 101.8 13.7 30.6 75.2
* Free fund ratio = (1-CRR-SLR)x Deposit/Credit
Commodity Price Trends (USD) US Treasury Yields
Current Growth over (%) Current Change over (Basis Points)
(Oz/barrel) 1 Week 1 Month 3 Months 1 Year (%) 1 Week 1 Month 3 Months 1 Year
Gold 1369.97 -3.1 -0.6 1.9 21.3 3 Months 0.14 2 1 2 9
Silver 29.05 -6.0 1.8 25.0 59.0 1 Year 0.29 0 0 8 -8
Crude-WTI 88.05 -3.6 0.3 6.5 6.5 5 Year 1.96 -10 -2 85 -61
Crude-Brent 94.49 1.7 4.7 13.1 17.4 10 Year 3.34 -4 2 93 -49
30 Year 4.48 5 5 73 -22

Global Policy Rates US Libor Rates (3M & 6M)

Current Change over (Basis Points) Current Change Over (Basis Points)
1 Week 1 Month 3 Months 1 Year 1 Week 1 Month 3 Months 1 Year
US Fed rate 0.25 0 0 0 0
3 Months 0.30 0 0.2 1 5
BOE 0.50 0 0 0 0
JAPAN 0.10 0 0 0 0 6 Months 0.46 0 0 0 4
EU 1.00 0 0 0 0

Gold-Oil Ratio Currency Derivatives

18 Gold Oil Ratio O.I. Volume
52 Week High: 17.51 Platform Current Current Growth over(%)
52 Week Low: 13.32
Futures (Lots) (Rs Cr) 1Week 1Month 3Month 1Year
16
NSE 1310835 56468 49 -5 -22 -19
USE 54450 7655 43 25 - -
14 MCX 1145811 83639 78 12 4 18
Total CFTR 2511096 147762 64 6 -30 5
12 Total COPT 442075 4504 14 54 - -
May-09

May-10
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Mar-10
Apr-10

Jun-10
Jul-10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10

O.I. - Open Interest

CFTR: Currency Futures
COPT: Currency Options
13

Weekly Market Analytics

Week Ended: Jan 07, 2011

Correlation Matrix (Change Over Last Week) Global Equity Indices

BSE NSE NASDAQ DJIA SSE NIKKEI NYSE FTSE Current Growth Over (%)
BSE 1.000 INDICES 1 Week 1 Month 3 Months 1 Year
NSE 0.931 1.000
NASDAQ 0.634 0.533 1.000
BSE Sensex 19692 -4.0 0.9 -2.8 12.3
DJIA 0.584 0.486 0.923 1.000 S&P CNX NIFTY 5905 -3.7 0.8 -3.3 12.6
SSE 0.370 0.338 0.480 0.451 1.000 NASDAQ Comp. 2703 1.9 2.5 12.5 16.7
NIKKEI 0.597 0.525 0.643 0.562 0.429 1.000 DJIA 11675 0.8 2.3 6.1 10.0
NYSE 0.636 0.550 0.903 0.917 0.409 0.551 1.000 SSE Composite 2839 1.1 -0.1 3.7 -11.2
FTSE 0.683 0.627 0.890 0.869 0.488 0.603 0.902 1.000
Nikkei 225 10541 3.1 3.2 9.9 -2.4
NYSE Comp. 7980 0.2 2.0 6.7 8.3
LSE FTSE 100 5984 1.4 2.9 5.8 8.1

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

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
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Before acting on any advice or recommendation in this material, one should consider whether it is suitable for their particular needs and, if
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