24 NOV
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 24-Nov-2021

International Market:
- U.S. Treasury yields continued to rise Tuesday as well after President Joe Biden renominated Jerome Powell for a second term as Federal Reserve chairman
- US 10-year rose by 4bps closing at 1.67% and 30-year closed at 2.02% Tuesday

Crude Oil Market:
- Crude is trading at $82.12/bbl
- Crude Short Term Range: $80-83

Fact check:
- US Dept of Energy announced a release of 50mb of oil from reserves to ease the supply concern, which should have brought the crude oil prices down
- But, if we check the data, 20mb is actually just 2 and a half days of American petroleum consumption and hence, it won't move a needle
- Rather oil prices rallied given just 2.5 days of oil supply increase from US reserves, which means nothing for the global market

Currency Market:
- Dollar index (DXY) is at: 96.55
- DXY today's range: 95.98 - 96.63
- DXY has been getting stronger and next month's NFP can take it to 97.80
- USDCNY or Chinese yuan is at 6.39
- USDINR with a high of 74.57, closed at 74.42

Support: 74.30
Resistance: 74.60

Trading Strategy:
- DXY's strength will be INR's weakness and we have been reporting the same
- USDINR has failed to close above 74.50 and hence, a race towards 75.00 is unlikely
- USDINR will trade in a narrow range

Domestic Market:
- Global factors are driving the domestic Indian bond market
- Jerome Powell's renomination is seen as the continuation of the reversal policy
- Three decade high inflation in US may prompt FED to complete the tapering much before June-22, which is a precursor to rate hikes
- On domestic side, Dec 6-8 RBI MPC policy is there and investors will stay on sidelines until then

- 5.63 GS 2026 closed at 5.70% Vs 5.69% the previous trading day;
- 6.10 GS 2031 closed at 6.36% Vs 6.35% the previous trading day;

23-Nov-2021 SDL Auction analysis:
2-year KN @ 4.70%
7-year PO @ 6.62%
9-year HP @ 6.86% and BH @ 6.87
10-year KN @ 6.87%, HP and WB @ 6.91%
11-year HP @ 6.93%
12-year HP @ 6.92%

Knight Research:
The 10-year SDL @ 6.87% - 6.91% and 10-year G-Sec @ 6.36%
Hence, SDL Vs. G-Sec spread is at 51-55 bps, which is on a lower side
Try to offload your SDLs and re-enter at 75bps again
Main reason for lower spread:
Very low SDL supply and investors are fearing a very rapid increase in G-Sec and avoiding buying G-Sec

OIS:
1-year: 4.38% Vs. 4.35%
2-year: 4.88% Vs. 4.87%
5-year: 5.51% Vs. 5.47%

Trading Strategy:
- Today we ask our listeners to wait for buying and see today's close as we fear 6.37% getting breached

Trading Range:
6.10 GS 2031 range: 6.35% - 6.39%

That's it for today.

See you tomorrow with a new episode of Knight Snippets.

Macro Economic Events

Indicator Last Expected AsOn Next
Interest Rate Decision   [KR] 0.50 0.75 22/11/21 25/11/21
Stock Investment by Foreigners   [JP] 146.3 164.9 22/11/21 26/11/21
Markit Services PMI NOV   [AU] 45.5 51.8 20/11/21 23/11/21
Wholesale Inventories MoM OCT   [US] 1.10 1.40 22/11/21 24/11/21
GDP Growth Rate QoQ Q3   [US] 6.70 2.00 22/11/21 24/11/21
Business Confidence NOV   [RU] -1.00 -1.30 22/11/21 24/11/21
Consumer Confidence NOV   [KR] 103.8 106.8 20/11/21 23/11/21
Goods Trade Balance OCT   [US] 88.2 96.3 22/11/21 24/11/21
Industrial Production YoY OCT   [RU] 4.60 6.80 22/11/21 24/11/21
Markit Services PMI NOV   [US] 58.4 58.7 20/11/21 23/11/21
Markit Manufacturing PMI NOV   [AU] 56.8 58.2 20/11/21 23/11/21
Foreign Exchange Reserves   [IN] 640.9 640.1 22/11/21 26/11/21
Markit Manufacturing PMI NOV   [US] 58.7 0.0 20/11/21 23/11/21
Foreign Bond Investment   [JP] 1,291 456 22/11/21 26/11/21
Initial Jobless Claims   [US] 269.0 268.0 22/11/21 24/11/21
Markit composite PMI NOV   [US] 57.6 58.7 20/11/21 23/11/21
Markit composite PMI NOV   [AU] 55.0 55.0 20/11/21 23/11/21

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
5.74% GS 2026 5 Y 6000 100.02 - 100.04 26/11/21 15:12 100.05 6000 Yield 22/11/21 26/11/21 29/11/21
6.91% HPSDL 2031 10 Y 500 6.93% - 6.95% 23/11/21 15:33 6.91% 500 Yield 18/11/21 23/11/21 24/11/21
4.70% KASDL 2023 2 Y 1000 4.82% - 4.85% 23/11/21 15:35 4.70% 1000 Yield 18/11/21 23/11/21 24/11/21
91 DTB 24/02/2022 91 D 10000 3.52% - 3.55% 24/11/21 13:11 3.53% 10000 Yield 18/11/21 24/11/21 25/11/21
6.67% GS 2035 14 Y 9000 99.28 - 99.30 26/11/21 15:17 99.38 9000 Yield 22/11/21 26/11/21 29/11/21
6.92% HPSDL 2033 12 Y 500 6.96% - 6.99% 23/11/21 15:24 6.92% 500 Yield 18/11/21 23/11/21 24/11/21
182 DTB 26/05/2022 182 D 3000 3.80% - 3.83% 24/11/21 13:12 3.8301% 3000 Yield 18/11/21 24/11/21 25/11/21
6.86%HPSDL 2030 9 Y 500 6.88% - 6.95% 23/11/21 15:26 6.86% 500 Yield 18/11/21 23/11/21 24/11/21
6.87% KASDL 2031 10 Y 1000 6.93% - 6.95% 23/11/21 15:28 6.87% 1000 Yield 18/11/21 23/11/21 24/11/21
6.62% PDSDL 2028 7 Y 125 - 23/11/21 15:32 6.62% 125 Yield 18/11/21 23/11/21 24/11/21
6.91% WBSDL 2031 10 Y 1000 6.93% - 6.95% 23/11/21 15:31 6.91% 1000 Yield 18/11/21 23/11/21 24/11/21
ASSDL 2031 10 Y 600 6.93% - 6.95% 23/11/21 15:41 - 0 Yield 18/11/21 23/11/21 24/11/21
6.99% TNSDL 2041 20 Y 1000 - 23/11/21 15:36 100.50 1000 Yield 18/11/21 23/11/21 24/11/21
4.56% GS 2023 2 Y 2000 - 26/11/21 15:20 4.56% 2000 Yield 22/11/21 26/11/21 29/11/21
6.87% BRSDL 2030 9 Y 2000 6.88% - 6.95% 23/11/21 15:49 6.87% 2000 Yield 18/11/21 23/11/21 24/11/21
6.93% HPSDL 2032 11 Y 500 6.96% - 6.99% 23/11/21 15:52 6.93% 500 Yield 18/11/21 23/11/21 24/11/21
6.99% GS 2051 30 Y 7000 - 26/11/21 15:26 100.53 7000 Yield 22/11/21 26/11/21 29/11/21
364 DTB 24/11/2022 364 D 7000 4.09% - 4.11% 24/11/21 13:14 4.1299% 7000 Yield 18/11/21 24/11/21 25/11/21

Credit Research: Exposures and Next IP Dates

Indian Railway Finance Corporation Ltd.

Bonds/NCDs