12 OCT
Knight Snippet

Transcript

Good Morning Treasurers,
This is your host Parthesh Shah, from of Knight Fintech and you are listening to Knight Snippets.
Here is what you need to know before going into trade for 12-Oct-2021

International Market:|
- On account of Columbus Day, US markets were closed yesterday (11-Oct-2021)
- US 10-year had closed at 1.61% and 30-year closed at 2.16% on Friday

Crude Oil Market:
- Crude is trading at $83.36/bbl
- Crude Short Term Range: $81-85

Interesting fact:
- According to CARE Ratings:
India imported crude oil worth around $70.5 bln in the first half of the year, and considering the jump in international prices, the bill for Jul-Dec is expected to increase 11.6-12.9%
- Higher crude bill = higher fiscal deficit = higher inflation = sooner action on the loose monetary policies in India

Currency Market:
- Dollar index (DXY) is at: 94.39
- DXY today's range: 94.08 - 94.50(30-Sep-2021 high)
- USDCNY or Chinese yuan is at 6.45
- USDINR with a high of 75.39, closed at 75.36
Support: 75.20
Resistance: 75.50

Trading Strategy:
- Yesterday, Knight Research team failed to assess the weakness in USDINR after last 4 consecutive day's success
- We were expecting USDINR to strengthen a bit towards 74.70, but rather USDINR closed at 75.36
- We expect a range-bound day, but indicators do suggest a pullback/consolidation around 74.80 - 75.00 levels

 Domestic Market:
- Indian bond market hammering continues with crude touching $84/bbl intra-day yesterday
- The CPI data expected today after market hours will ease some pain for traders
- 5.63 GS 2026 closed at 5.73% Vs 5.71% the previous trading day;
- 6.10 GS 2031 closed at 6.34% Vs 6.32% the previous trading day;

OIS curve:
1-year @ 4.07%
2-year @ 4.59%
5-year @ 5.56%

Trading Strategy:
- Given CPI numbers will be on the softer side and given dollar index and US bond yield rise is already over, the only concerning factor is CRUDE for now
- As RBI has not announced any G-SAP plans, traders are taking this opportunity to short as 6.10 2031 and 6.67 GS 2035 have most supply
- Given the supply dynamics, Knight Research team likes - 5.63 GS 2026 @ 5.73% for holding basis (replacement for cash/T-Bills)
- Knight Research team also likes 5.15 % 5.22 GS 2025 as well given they are now 4-year papers trading at 5.37%
- For those who have not taken any positions, time to take one for 6.10 GS 2031 and 6.67 GS 2035 but need to consider your bank's PV01 and IDRs
- Please consult with our research team before taking any decisions for fresh purchases as we are asking in this volatile times

Trading Range:
6.10 GS 2031 range: 6.31% - 6.35%

That's it for today.

See you tomorrow with a new episode of Knight Snippets.

Macro Economic Events

Indicator Last Expected AsOn Next
GDP YoY Q3   [CN] 18.3 8.1 16/10/21 18/10/21
Industrial Production YoY SEP   [CN] 6.40 5.80 16/10/21 18/10/21
FIXED ASSET INVESTMENT (YTD) YoY SEP   [CN] 10.3 9.0 16/10/21 18/10/21
GDP QoQ Q3   [CN] 0.60 1.20 16/10/21 18/10/21
Retail Sales YoY SEP   [CN] 8.50 7.00 16/10/21 18/10/21

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
6.75% GJSDL 2029 8 Y 2500 6.75% - 6.78% 12/10/21 16:22 6.75% 1054 Yield 08/10/21 12/10/21 13/10/21
7.03% KASDL 2032 11 Y 1000 7.03% - 7.05% 12/10/21 16:21 7.03% 100 Yield 08/10/21 12/10/21 13/10/21
7.13% APSDL 2036 15 Y 1000 7.10% - 7.13% 12/10/21 16:39 7.13% 1000 Yield 08/10/21 12/10/21 13/10/21
182 DTB 14/04/2022 182 D 3000 3.65% - 3.68% 13/10/21 15:27 3.6447% 3000 Yield 08/10/21 13/10/21 14/10/21
GJSDL 2026 5 Y 1500 T.B.D T.B.D T.B.D T.B.D Yield 13/10/21 19/10/21 20/10/21
6.98% PNSDL 2033 12 Y 250 - 12/10/21 16:40 NA 0 Yield 12/10/21 12/10/21 12/10/21
7.00% NGSDL 2031 10 Y 89 6.97% - 7.03% 12/10/21 16:42 7.00% 89 Yield 08/10/21 12/10/21 13/10/21
6.76% GS 2061 40 Y 7000 7.14% - 7.16% 14/10/21 14:56 7.1481% 7000 Yield 08/10/21 14/10/21 18/10/21
364 DTB 13/10/2022 364 D 3000 3.89% - 3.92% 13/10/21 15:28 3.8998% 7000 Yield 08/10/21 13/10/21 14/10/21
91DTB 13/01/2022 91 D 1000 3.49% - 3.51% 13/10/21 15:29 3.3937% 10000 Yield 08/10/21 13/10/21 14/10/21
6.97% TNSDL 2031 10 Y 2000 6.97% - 7.03% 12/10/21 16:43 6.97% 2000 Yield 08/10/21 12/10/21 13/10/21
KASDL 2034 13 Y 1000 T.B.D T.B.D T.B.D T.B.D Yield 13/10/21 19/10/21 20/10/21
6.96% KASDL 2031 10 Y 1000 6.97% - 7.03% 12/10/21 16:44 6.96% 1000 Yield 08/10/21 12/10/21 13/10/21
HRSDL 2031 10 Y 1500 T.B.D T.B.D T.B.D T.B.D Yield 13/10/21 19/10/21 20/10/21
6.97% UPSDL 2031 10 Y 2500 6.97% - 7.03% 12/10/21 16:46 6.97% 2500 Yield 08/10/21 12/10/21 13/10/21
6.84% PNSDL 2031 10 Y 750 6.97% - 7.03% 12/10/21 16:47 6.9988% 750 Yield 08/10/21 12/10/21 13/10/21
6.10% GS 2031 10 Y 13000 98.31 - 98.36 14/10/21 14:55 98.32 13000 Yield 08/10/21 14/10/21 18/10/21
GOI FRB 2034 14 Y 4000 100.05 - 100.15 14/10/21 14:58 100.13 4000 Yield 08/10/21 14/10/21 18/10/21
6.98% RJSDL 2031 10 Y 1000 6.97% - 7.03% 12/10/21 16:48 6.98% 1000 Yield 08/10/21 12/10/21 13/10/21
7.14% APSDL 2041 20 Y 1000 7.15% - 7.18% 12/10/21 16:49 7.14% 1000 Yield 08/10/21 12/10/21 13/10/21
KASDL 2031 10 Y 1000 T.B.D T.B.D T.B.D T.B.D Yield 13/10/21 19/10/21 20/10/21
7.00% MNSDL 2031 10 Y 140 6.97% - 7.03% 12/10/21 16:51 7.00% 140 Yield 08/10/21 12/10/21 13/10/21

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