India FIMMDA-REUTERS-MITOR based on dlr/rupee swap
Nov 9 (Reuters) - The India FIMMDA-REUTERS Mumbai Inter-bank Cash-Tom Offered Rate MIFOR= on Monday is 2.47 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(%) -------------------------------------------------------------- 09/11/2009 00.26/00.30 02.03/02.34 02.16/02.47 OVER 10/11/2009 Spot rate : 1$ = 46.82 rupees (Source - RBI reference rate from Reuters page RBIB INRFIX=RBIA
The US Dollar rate used is the Fed Funds Rate from Reuters page USONFFE=
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 Reuters page INSWAP02 for the calculation methodology. For Implied benchmark rates refer to MIFOR= or INSWAP01.
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