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

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



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