India FIMMDA-Thomson Reuters-MIFOR for six mths 7.61 pct

Tue Feb 5, 2013 5:22pm IST

Feb 5 (Reuters) -The FIMMDA-Thomson Reuters Mumbai Inter-bank
Forward Offered rate for six months based on the
implied yield using dollar-rupee premium is 7.61 percent on
Tuesday compared with 7.81 percent the previous day.

    The FIMMDA-Thomson Reuters Mumbai rupee overnight offered
rate(MITOR) based on the cash-spot dollar rupee premium was
7.79 percent on Tuesday. One-month, two-month, three-month,
six-month and one-year swaps and benchmark rates are given in
the table below.
--------------------------------------------------------------
    Period      SWAP DIFFERENCE    PREMIUM        MIFOR
                   dlr/rupee      In percent    Implied rupees
  (Spot to)       (paise)       (annualised)  Interest rates(%)
--------------------------------------------------------------
  1M(07/03/13)   29.75/30.75    07.28/07.52   07.48/07.72
  2M(08/04/13)   69.75/71.00    07.96/08.10   08.21/08.36
  3M(07/05/13)  98.75/100.25    07.60/07.71   07.90/08.02
  6M(07/08/13)  186.00/188.00   07.04/07.11   07.53/07.61
  1Y(07/02/14)  343.50/345.50   06.45/06.48   07.28/07.31

    Spot rate : 1$ = 53.2945 rupees (Source - RBI reference
rate from Thomson Reuters page  

    Note: Figures in brackets indicate negative values.
    The US Dollar LIBOR rates are published by the British
Bankers' Association and sourced from the Thomson Reuters page
.

    The implied benchmark rates will be available on Thomson Reuters
pages by typing or followed by the ENTER key
or double-clicking,.

    Refer to Thomson Reuters page for the calculation
methodology.

    FIMMDA refers to Fixed Income Money Market and Derivatives
Association of India.

 

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