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India FIMMDA-Thomson Reuters-MITOR based on dlr/rupee swap

Fri Mar 8, 2013 9:32am IST

Mar 8(Reuters) - The India FIMMDA-Thomson Reuters Mumbai
Inter-bank Cash-Tom Offered Rate on Friday is 8.11
percent.

    The MITOR is the reference implied rupee overnight offered
rate based on the cash-Tom dollar-rupee premium.

   The one-month, two-month, three-month, six-month and one-year
swaps will be released at 12:30 IST. (0700 GMT) and benchmark
rates (MIFOR) will be released at 17:30 IST. (1200 GMT).
--------------------------------------------------------------
PERIOD       CASH-Tom      SWAP DIFFERENCE
             dlr/rupee     In percent          Implied rupee
             (paise)      (annualised)        interest rate(%)
--------------------------------------------------------------
08/03/2013  03.55/03.58    07.89/07.96         08.04/08.11
OVER
11/03/2013

Spot rate : 1$ = 54.7393 rupees (Source - RBI reference rate
from Thomson Reuters page  

  The US Dollar rate used is the Fed Funds Rate from Thomson
Reuters page 

    Note:Figures in brackets indicate negative values

    Cash-Tom levels have been contributed by banks.

    FIMMDA is the Fixed Income Money Market and Derivatives
Association of India.

    Refer to Thomson Reuters page for the calculation
methodology. For Implied benchmark rates  refer to or
.
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