15 SEP
Knight Snippet

Transcript

Good Morning Treasurers,
This is your host Parthesh Shah, Co-Founder of Knight Fintech and you are listening to Knight Snippets.
Here is what you need to know before going into trade for 15-Sep-2021

International Market:
- U.S. government bond yields fell on Tuesday after data showed consumer prices increased at their slowest pace in six months in August, suggesting that inflation had probably peaked and removing urgency from the next move by the Federal Reserve
- The CPI showed a 5.3% y-o-y increase for August Vs. 5.4% expectations
- Core CPI, which excludes volatile food and energy prices, rose just 0.1% m-o-m Vs. expectations of 0.3%
- With inflation cooling off in US, FED has more power and time to act as per the policy normalization framework
- US 10-year closed 5 bps lower at 1.28% and 30-year closed 6 bps lower 1.85% Tuesday

Crude Oil Market:
- Crude is trading at $73.94/bbl
- Crude Short Term Range: $71-75

Currency Market:
- Dollar index (DXY) is at: 92.65
- DXY today's range: 92.52 - 92.81
- USDCNY or Chinese yuan is at 6.44
- USDINR with a high of 73.70, closed at 73.68
Support: 73.55
Resistance: 73.95

Domestic Market:
7-day VRRR cut-off came @ 3.38%
- confirms the market liquidity
- 5.63 GS 2026 closed at 5.63% Vs 5.63% the previous trading day;
- 6.64 GS 2035 closed at 6.71% Vs 6.72% the previous trading day;

14-Sep-2021 SDL Auctions:
7-Year CH @ 6.53
10-Year maturities:
GA, MP @ 6.85
AS, JH, UP @ 6.87
12-year MH @ 6.91
- SDL yields compression is over and one can now start booking profits in secondary and continue to apply in primary
- Or wait for another 15-days to earn interest income

Trading Strategy:
- 6.10 GS 2031 is now at 6.20%
- No opportunity for position holding, we will evaluate the situation after 6.21%

Trading Range:
6.10 GS 2031 range: 6.17% - 6.21%

That's it for today.

See you tomorrow with a new episode of Knight Snippets.

Macro Economic Events

Indicator Last Expected AsOn Next
Exports YoY AUG   [JP] 7,356 6,606 13/09/21 16/09/21
Balance Of Trade AUG   [JP] 439.4 -635.4 13/09/21 16/09/21
Housing Starts AUG   [US] 1,650 1,534 18/09/21 21/09/21
Stock Investment by Foreigners   [JP] 422.8 128.7 13/09/21 16/09/21
Foreign Bond Investment JUL   [US] 10,900 10,200 13/09/21 17/09/21
Loan Prime Rate 5 Y SEP   [CN] 0.0000 0.0000 18/09/21 22/09/21
Industrial Production YoY AUG   [CN] 6.40 5.30 10/09/21 15/09/21
WPI Inflation YoY AUG   [IN] 11.2 10.5 09/09/21 14/09/21
Foreign Exchange Reserves   [IN] 642,453 616,458 13/09/21 17/09/21
Industrial Production YoY JUL   [JP] 23.0 11.6 09/09/21 14/09/21
Retail Sales MoM AUG   [GB] -2.80 -0.90 13/09/21 17/09/21
Retail Price Index YoY AUG   [GB] 3.80 4.80 10/09/21 15/09/21
Industrial Production MoM JUL   [JP] 6.50 -1.75 09/09/21 14/09/21
Export Price YoY AUG   [US] 142.1 142.6 10/09/21 15/09/21
PPI MoM AUG   [RU] 239.2 245.4 18/09/21 22/09/21
Industrial Production YoY AUG   [RU] 10.2 6.8 18/09/21 22/09/21
PPI YoY AUG   [RU] 31.1 28.1 18/09/21 22/09/21
Import Price YoY AUG   [US] 134.7 134.3 10/09/21 15/09/21
Foreign Bond Investment   [JP] 1,043 1,761 13/09/21 16/09/21
House Price Index YoY Q2   [AU] 3.00 5.40 09/09/21 14/09/21
Import Price YoY AUG   [KR] 115.9 119.4 09/09/21 14/09/21
Unemployment Rate AUG   [KR] 3.30 2.80 10/09/21 15/09/21
Fed Interest rate Decision   [US] 0.25 0.25 18/09/21 22/09/21
WPI Manufacturing YoY AUG   [IN] 11.2 0.0 09/09/21 14/09/21
FIXED ASSET INVESTMENT (YTD) YoY AUG   [CN] 10.3 8.9 10/09/21 15/09/21
Retail Sales YoY AUG   [CN] 8.50 2.00 10/09/21 15/09/21
WPI Food YoY AUG   [IN] 11.2 10.5 09/09/21 14/09/21
Unemployment Rate AUG   [CN] 5.10 5.10 10/09/21 15/09/21
Exports Price MoM AUG   [US] 142.1 142.6 10/09/21 15/09/21
WPI FUEL YOY AUG   [IN] 11.2 10.5 09/09/21 14/09/21
Retail Sales YoY AUG   [GB] 1.90 0.00 13/09/21 17/09/21
Import Price MoM AUG   [US] 134.7 134.3 10/09/21 15/09/21
FDI (YTD) YoY AUG   [CN] 6.50 -1.50 09/09/21 14/09/21
Current Account Q2   [US] -175,079 -195,739 18/09/21 21/09/21
Consumer Confidence Q3   [RU] -21.0 -18.0 18/09/21 22/09/21
Import YoY AUG   [JP] 6,917 7,241 13/09/21 16/09/21
Loan Prime Rate 1Y   [CN] 3.85 3.85 18/09/21 22/09/21
Housing Price Index QoQ Q2   [AU] 3.00 3.40 09/09/21 14/09/21
Housing Price Index YoY AUG   [CN] 4.60 4.20 10/09/21 15/09/21
Retail Price Index MoM AUG   [GB] 3.80 4.80 10/09/21 15/09/21

Auctions

Knight Statistical Poll vs. Actual Results
Security Name Tenure Notified Amount Expected
Cut-Off
Recommended At Actual-Cut-Off Amount Accepted Auction Type Announcement date Auction Date Settlement Date Source
6.98% APSDL 2036 15 Y 1000 6.98% - 7.01% 14/09/21 15:56 6.98% 1000 Yield 15/09/21 14/09/21 15/09/21
6.91% MHSDL 2033 12 Y 2000 6.90% - 6.93% 14/09/21 15:58 6.91% 2000 Yield 09/09/21 14/09/21 15/09/21
SKSDL 2031 10 Y 251 T.B.D T.B.D T.B.D T.B.D Yield 17/09/21 21/09/21 22/09/21
91 DTB 23/12/2021 91 D 9000 T.B.D T.B.D T.B.D T.B.D Yield 17/09/21 22/09/21 23/09/21
6.87% ASSDL 2031 10 Y 600 6.84% - 6.88% 14/09/21 15:54 6.87% 600 Yield 09/09/21 14/09/21 15/09/21
364 DTB 15/09/2022 364 D 4000 3.56% - 3.58% 15/09/21 14:56 3.58% 4000 Yield 09/09/21 15/09/21 16/09/21
6.76% GS 2061 40 Y 9000 6.92% - 6.94% 17/09/21 16:30 6.9297% 9000 Yield 13/09/21 17/09/21 20/09/21
6.87% UPSDL 2031 10 Y 2500 6.84% - 6.88% 14/09/21 15:59 6.87% 2500 Yield 09/09/21 14/09/21 15/09/21
364 DTB 22/09/2022 364 D 4000 T.B.D T.B.D T.B.D T.B.D Yield 17/09/21 22/09/21 23/09/21
6.85% MGSDL 2031 10 Y 2000 T.B.D T.B.D T.B.D T.B.D Yield 17/09/21 21/09/21 22/09/21
6.10% GS 2031 10 Y 14000 99.33 - 99.37 17/09/21 16:28 99.40 14000 Yield 13/09/21 17/09/21 20/09/21
TNSDL 2031 10 Y 1000 T.B.D T.B.D T.B.D T.B.D Yield 17/09/21 21/09/21 22/09/21
6.85% GASDL 2031 10 Y 100 6.84% - 6.88% 14/09/21 16:01 6.85% 100 Yield 09/09/21 14/09/21 15/09/21
6.87% JHSDL 2031 10 Y 500 6.84% - 6.88% 14/09/21 16:00 6.87% 500 Yield 09/09/21 14/09/21 15/09/21
NGSDL 2031 10 Y 150 T.B.D T.B.D T.B.D T.B.D Yield 17/09/21 21/09/21 22/09/21
6.87% MNSDL 2031 10 Y 147 6.84% - 6.88% 14/09/21 15:55 6.87% 147 Yield 09/09/21 14/09/21 15/09/21
RJSDL 2036 15 Y 500 T.B.D T.B.D T.B.D T.B.D Yield 17/09/21 21/09/21 22/09/21
RJSDL 2031 10 Y 1000 T.B.D T.B.D T.B.D T.B.D Yield 17/09/21 21/09/21 22/09/21
6.78% MHSDL 2031 10 Y 2500 T.B.D T.B.D T.B.D T.B.D Yield 17/09/21 21/09/21 22/09/21
6.53% CGSDL 2028 7 Y 1000 6.53%- 6.55% 14/09/21 15:48 6.53% 1000 Yield 09/09/21 14/09/21 15/09/21
91 DTB 16/12/2021 91 D 9000 3.29% - 3.30% 15/09/21 14:55 3.3044% 9000 Yield 09/09/21 15/09/21 16/09/21
4.26% GS 2023 2 Y 3000 100.10 - 100.15 17/09/21 16:27 100.30 3000 Price 13/09/21 17/09/21 20/09/21
6.89% PNSDL 2031 10 Y 1000 6.84% - 6.88% 14/09/21 15:39 6.8755% 1000 Yield 09/09/21 14/09/21 15/09/21
182 DTB 24/03/2022 182 D 4000 T.B.D T.B.D T.B.D T.B.D Yield 17/09/21 22/09/21 23/09/21
6.91% MHSDL 2034 13 Y 2000 6.90% - 6.93% 14/09/21 15:42 6.91% 2000 Yield 09/09/21 14/09/21 15/09/21
6.98% WBSDL 2036 15 Y 1000 6.98% - 7.01% 14/09/21 15:43 6.98% 1000 Yield 09/09/21 14/09/21 15/09/21
6.85% MPSDL 2031 10 Y 2000 6.84% - 6.88% 14/09/21 15:46 6.85% 2000 Yield 09/09/21 14/09/21 15/09/21
KLSDL 2035 14 Y 500 T.B.D T.B.D T.B.D T.B.D Yield 17/09/21 21/09/21 22/09/21
182 DTB 17/03/2022 182 D 4000 3.40% - 3.42% 15/09/21 14:57 3.3944% 4000 Yield 09/09/21 15/09/21 16/09/21
APSDL 2035 14 Y 500 T.B.D T.B.D T.B.D T.B.D Yield 17/09/21 21/09/21 22/09/21
APSDL 2040 19 Y 500 T.B.D T.B.D T.B.D T.B.D Yield 17/09/21 21/09/21 22/09/21

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