13 JAN
Knight Snippet

Transcript

Good Morning Treasurers,
This is your host Parthesh Shah, from of Knight Fintech and you are listening to Knight Snippets.
With just one day to go for Makarsankrant, here is what you need to know before going into trade for 13-Jan-2022.

International Market:
- US CPI numbers are out and they are scary
- US CPI now stands at 7.00% y-o-y, which is fastest since 1982
- Core CPI is now at 5.5% Vs. 5.4% estimate
- US bonds had this anticipated and hence there was an increase in dated securities upto 25bps
- US 10-year closed at 1.74%, and 30-year closed at 2.08% on Wednesday
- As we mentioned that, we feel that US CPI will be near peak, but given the uncertainties we would like to respond to data rather than making bold predictions

Crude Oil Market:
- Crude is trading at $84.72/bbl
- Crude Short Term Range: $82-85

Currency Market:
- Dollar index (DXY) is at: 94.99
- DXY today's range: 94.71 - 95.21
- USDCNY or Chinese yuan is at 6.36
- USDINR with a low of 74.04, closed at 73.93
Support: 73.55
Resistance: 74.00

Trading Strategy:
- US CPI at 7.00% has made dollar bears powerful
- DXY is now below 95, trading at 94.99
- USDINR will now be range-bound and we are looking at 73.30 as a strong resistance

Domestic Market:
- India CPI is also out and stands at 5.59% Vs. market expectation of 5.8%
- The market will react mildly positive as the CPI is not worse, but Indian CPI will inch upward in Jan-2022 readings as base effect will still be negative
- 5.63 GS 2026 closed at 5.94% Vs 5.93% the previous trading day;
- 6.10 GS 2031 closed at 6.59% Vs 6.57% the previous trading day;
- 6.67 GS 2035 closed at 7.05% Vs 7.04% the previous trading day;

OIS curve:
1-year: 4.41% Vs. 4.38%
2-year: 4.93% Vs. 4.91%
5-year: 5.59% Vs. 5.57%
- We expect the swap rates to come down as India's CPI is lower than
expected and there can be some relief rally considering yield rise was overdone

Trading strategy:
- Range-bound market with positive bias, but crude is now near $85/bbl psychological mark

Strategic call:
- Knight's Strategic BUY: 5.74 GS 2026 @ 6.03%, now trading at 6.02%
- HOLD the position as we expect upside
- Offload SDL auction stocks in secondary

Trading Range:
- 6.10 GS 2031 range: 6.54% - 6.59%
- Next support: 6.65%

That's it for today.

See you tomorrow with a new episode of Knight Snippets.

Macro Economic Events

Indicator Last Expected AsOn Next
Import Price INDEX YoY DEC   [KR] 35.0 29.7 10/01/22 12/01/22
WPI FUEL YOY DEC   [IN] 37.2 39.8 10/01/22 14/01/22
PPI Input YoY DEC   [GB] 8.60 9.10 17/01/22 19/01/22
CPI YoY DEC   [GB] 4.20 5.10 17/01/22 19/01/22
Foreign Bond Buying NOV   [US] -43.5 66.4 17/01/22 19/01/22
PPI Output MoM DEC   [GB] 1.50 0.90 17/01/22 19/01/22
Core CPI YoY DEC   [GB] 3.40 4.00 17/01/22 19/01/22
CPI MoM DEC   [GB] 1.10 0.70 17/01/22 19/01/22
WPI Food YoY DEC   [IN] -1.69 4.88 10/01/22 14/01/22
WPI Manufacturing YoY DEC   [IN] 12.0 11.9 10/01/22 14/01/22
FDI DEC   [CN] 15.9 14.9 10/01/22 12/01/22
EXPORT PRICE INDEX YoY DEC   [KR] 25.5 23.5 10/01/22 12/01/22
WPI Inflation YoY DEC   [IN] 12.5 11.9 10/01/22 14/01/22
Current Account NOV   [ER] 18.7 18.1 17/01/22 19/01/22

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
364 DTB 19/01/2023 364 D 11000 3.65% - 3.70% 19/01/22 13:46 4.4727% 11000 Yield 14/01/22 19/01/22 20/01/22
7.34% TSSDL 2033 12 Y 2000 7.30% - 7.35% 18/01/22 15:54 7.34% 2000 Yield 14/01/22 18/01/22 19/01/22
6.43% RJSDL 2026 5 Y 500 6.48% - 6.53% 18/01/22 15:56 6.43% 1000 Yield 14/01/22 18/01/22 19/01/22
7.33% KASDL 2036 15 Y 2000 7.33% -7.38% 18/01/22 15:58 7.33% 2000 Yield 14/01/22 18/01/22 19/01/22
6.95% GS 2061 40 Y 7000 7.25% - 7.26% 14/01/22 16:06 7.2448% 7000 Yield 10/01/22 14/01/22 17/01/22
7.32% PNSDL 2032 11 Y 1000 7.22% - 7.26% 18/01/22 15:51 7.2379% 1000 Yield 14/01/22 18/01/22 19/01/22
182 DTB 21/07/2022 182 D 10000 4.05% - 4.09% 19/01/22 13:44 4.1242% 10000 Yield 14/01/22 19/01/22 20/01/22
364 DTB 12/01/2023 364 D 11000 4.33% - 4.36% 15/01/22 09:38 4.3800% 11000 Yield 07/01/22 12/01/22 13/01/22
7.24% BRSDL 2031 10 Y 2000 7.23% - 7.28% 18/01/22 15:49 7.24% 2000 Yield 14/01/22 18/01/22 19/01/22
GOI FRB 2034 13 Y 4000 97.38 - 97.40 14/01/22 16:06 97.85 4000 Yield 10/01/22 14/01/22 17/01/22
7.33% KASDL 2039 18 Y 1000 7.35% - 7.38% 18/01/22 16:00 7.33% 1000 Yield 14/01/22 18/01/22 19/01/22
7.24% UPSDL 2031 10 Y 3000 7.23% - 7.27% 18/01/22 16:03 7.24% 3000 Yield 14/01/22 18/01/22 19/01/22
5.27% GJSDL 2023 2 Y 1500 5.50% - 5.55% 18/01/22 16:02 5.27% 1500 Yield 14/01/22 18/01/22 19/01/22
7.33% KASDL 2036 15 Y 2000 7.33% -7.38% 18/01/22 16:06 7.33% 2000 Yield 14/01/22 18/01/22 19/01/22
7.23% WBSDL 2031 10 Y 1000 7.25% - 7.30% 18/01/22 16:08 7.23% 1000 Yield 14/01/22 18/01/22 19/01/22
182 DTB 14/07/2022 182 D 10000 4.05% - 4.08% 15/01/22 09:36 4.0281% 10000 Yield 07/01/22 12/01/22 13/01/22
7.35% KASDL 2035 14 Y 2000 7.32% -7.35% 18/01/22 16:09 7.35% 2000 Yield 14/01/22 18/01/22 19/01/22
6.54% GS 2032 10 Y 13000 6.50% - 6.52% 14/01/22 16:08 6.54% 13000 Yield 10/01/22 14/01/22 17/01/22
6.91% MHSDL 2033 12 Y 2500 7.30% - 7.32% 18/01/22 15:45 7.3211% 2500 Yield 14/01/22 18/01/22 19/01/22
7.33% MPSDL 2042 20 Y 2000 7.35% - 7.38% 18/01/22 15:46 7.33% 2000 Yield 14/01/22 18/01/22 19/01/22
7.23% GASDL 2031 10 Y 100 7.30% - 7.32% 18/01/22 15:48 7.23% 100 Yield 14/01/22 18/01/22 19/01/22
7.23% MNSDL 2031 10 Y 59 7.22% - 7.25% 18/01/22 15:43 7.23% Yield 15/01/22 18/01/22 19/01/22
91 DTB 21/04/2022 91 D 5000 4.35% - 4.40% 19/01/22 13:45 3.6856% 5000 Yield 14/01/22 19/01/22 20/01/22
91 DTB 14/04/2022 91 D 5000 3.55% - 3.58% 15/01/22 09:42 3.5671% 5000 Yield 07/01/22 12/01/22 13/01/22

Credit Research: Exposures and Next IP Dates

Aditya Birla Finance Ltd.

Zero Coupon Bonds

JM Financial Products Ltd.

Non Convertible Debenture