March 23, 2017 / 4:48 AM / 4 months ago

RPT-India fwd/annualised dlr premia-(close)-Mar 23

6 Min Read

             Cash Spot        Cash Tom         Tom Next
---------------------------------------------------------------
               Bid/Ask          Bid/Ask       Bid/Ask
(in IST) 
 1000        02.00/05.00       00.50/01.50    01.50/03.50
                02.79%           02.79%        02.79%
                               (Mar 22)            
 1000        00.50/02.50       00.25/01.25    00.25/01.25
                01.39%           01.39%        01.39%
---------------------------------------------------------------
 TIME      MAR            APR            MAY            JUN
---------------------------------------------------------------
 1000  03.00/04.00    29.50/31.50    58.00/60.00    83.50/85.50
 1100  03.00/04.00    29.75/31.75    58.50/60.50    84.00/86.00
 1200  03.00/04.00    29.75/31.75    58.50/60.50    84.00/86.00
 1300  03.00/04.00    29.50/31.50    58.50/60.50    84.00/86.00
 1400  03.00/04.00    29.25/31.25    58.00/60.00    83.50/85.50
 1500  02.75/04.25    29.50/31.50    58.25/60.25    83.75/85.75
 1600  02.75/04.25    29.50/31.50    58.25/60.25    83.75/85.75
 1715  03.00/04.00    29.25/31.25    57.75/59.75    83.25/85.25
                      (Closing Mar 22)
 1715  05.75/07.25    33.00/35.00    61.75/63.75    88.00/90.00
----------------------------------------------------------------
 TIME      JUL            AUG            SEP            OCT
----------------------------------------------------------------
 1000 110.00/112.00  135.50/137.50  159.50/161.50  186.00/188.00
 1100 110.50/112.50  136.50/138.50  160.50/162.50  187.00/189.00
 1200 110.75/112.75  137.00/139.00  161.00/163.00  187.50/189.50
 1300 110.50/112.50  136.50/138.50  160.75/162.75  187.50/189.50
 1400 110.00/112.00  136.25/138.20  160.50/162.50  187.25/189.20
 1500 110.00/112.00  135.75/137.75  160.00/162.00  186.50/188.50
 1600 109.75/111.75  135.50/137.50  159.50/161.50  186.00/188.00
 1715 109.25/111.25  135.25/137.25  159.25/161.25  185.50/187.50
                      (Closing Mar 22)
 1715 114.75/116.75  141.00/143.00  165.50/167.50  192.25/194.25
----------------------------------------------------------------
 TIME      NOV            DEC            JAN            FEB
----------------------------------------------------------------
 1000 210.75/212.70  235.00/237.00  262.25/264.20  285.00/287.00
 1100 211.75/213.75  236.00/238.00  263.25/265.25  286.00/288.00
 1200 212.50/214.50  237.00/239.00  264.25/266.25  287.00/289.00
 1300 212.25/214.25  236.50/238.50  263.75/265.75  286.50/288.50
 1400 212.25/214.20  236.50/238.50  263.75/265.70  286.50/288.50
 1500 211.50/213.50  235.50/237.50  262.50/264.50  285.50/287.50
 1600 211.00/213.00  235.00/237.00  262.00/264.00  285.00/287.00
 1715 210.50/212.50  234.50/236.50  261.75/263.75  284.50/286.50
                      (Closing Mar 22)
 1715 217.25/219.25  241.50/243.50  269.00/271.00  292.00/294.00
----------------------------------------------------------------
 TIME   1 MTH    2 MTH    3MTH       4 MTH     5 MTH   6 MTH
----------------------------------------------------------------
 1000   5.32%    5.07%    4.97%      4.92%     4.86%   4.82%
 1100   5.36%    5.11%    5.00%      4.95%     4.89%   4.85%
 1200   5.36%    5.11%    5.00%      4.95%     4.91%   4.86%
 1300   5.31%    5.11%    5.00%      4.94%     4.89%   4.85%
 1400   5.27%    5.06%    4.97%      4.92%     4.88%   4.84%
 1500   5.31%    5.09%    4.98%      4.92%     4.86%   4.83%
 1600   5.31%    5.08%    4.98%      4.90%     4.85%   4.81%
 1715   5.26%    5.04%    4.95%      4.88%     4.84%   4.80%
                      (Closing Mar 22)
 1715   5.41%    5.18%    5.07%      5.02%     4.96%   4.92%
---------------------------------------------------------------
 TIME   7 MTH    8 MTH    9 MTH     10 MTH    11 MTH   12MTH
---------------------------------------------------------------
 1000   4.79%    4.77%    4.75%      4.74%     4.72%   4.71%
 1100   4.82%    4.79%    4.78%      4.76%     4.74%   4.73%
 1200   4.83%    4.80%    4.79%      4.77%     4.75%   4.74%
 1300   4.83%    4.80%    4.78%      4.76%     4.74%   4.73%
 1400   4.82%    4.79%    4.78%      4.76%     4.74%   4.73%
 1500   4.80%    4.78%    4.76%      4.74%     4.73%   4.72%
 1600   4.78%    4.76%    4.75%      4.73%     4.71%   4.70%
 1715   4.77%    4.75%    4.74%      4.72%     4.71%   4.70%
                      (Closing Mar 22)
 1715   4.88%    4.85%    4.83%      4.81%     4.79%   4.78%
--------------------------------------------------------------- 
        (CONVERSION RATE - $1 = 65.5200/65.5300 rupees)
           
  Note: Figures in brackets indicate negative values.    
    
    Premiums have been given in paise and annualised p4emiums   
            are on a rolling monthly basis        . For the    
purpose of calculating the annualised premiums, the mid-figure  
 
between bid and ask is taken. Similarly we use Spot level    
indicative          bid and ask for calculations.   
    
    These indicative rates          are based on contributions  
from Andhra Bank, Bank Of Baroda,Canara Bank, Syndicate Bank,
ICICI Bank, Credit Agricole CIB, Standard Chartered, HDFC Bank,
Indusind Bank, Bank of  India, Union Bank of India, Axis
Bank,State Bank Of India, Central Bank.    
 
For contributions contact Mumbai Rate Reporting unit    
+91 22 6180 7222/3317 7222 or E-mail:rru.data@thomsonreuters.com

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