January 2, 2017 / 4:46 AM / 9 months ago

RPT-India fwd/annualised dlr premia-(close)-Jan 2

Cash Spot        Cash Tom         Tom Next
---------------------------------------------------------------
               Bid/Ask          Bid/Ask          Bid/Ask
(in IST) 
 1000            N/A              N/A          00.25/01.25
                 N/A              N/A             01.34%  
                               (Dec 30)            
 1000        00.00/01.50      00.00/01.50           N/A     
               00.00%            00.00%             N/A 
---------------------------------------------------------------
 TIME      JAN           FEB           MAR            APR
---------------------------------------------------------------
 1000  17.00/19.00    39.00/41.00    63.50/65.50   92.00/94.00
 1100  17.00/19.00    39.50/41.50    64.00/66.00   93.50/95.50
 1200  18.00/20.00    40.50/42.50    65.50/67.50   94.50/96.50
 1300  18.75/20.75    41.50/43.50    66.50/68.50   96.50/98.50
 1400  18.75/20.75    41.50/43.50    66.50/68.50   96.00/98.00
 1500  19.00/21.00    42.00/44.00    67.50/69.50   98.00/100.00
 1600  19.00/21.00    42.00/44.00    67.00/69.00   97.50/99.50
 1715  19.00/21.00    42.00/44.00    67.00/69.00   97.00/99.00
                         (Closing Dec 30)
 1715  18.00/20.00    41.00/43.00    66.00/68.00   97.00/99.00
----------------------------------------------------------------
 TIME      MAY           JUN           JUL            AUG
----------------------------------------------------------------
 1000 118.50/120.50  142.50/144.50  166.50/168.50  190.50/192.50
 1100 119.50/121.50  143.00/145.00  168.00/170.00  191.50/193.50
 1200 121.00/123.00  145.00/147.00  169.00/171.00  193.00/195.00
 1300 123.00/125.00  147.00/149.00  171.00/173.00  195.00/197.00
 1400 122.50/124.50  146.50/148.50  170.50/172.50  194.50/196.50
 1500 124.00/126.00  148.00/150.00  173.00/175.00  197.50/199.50
 1600 124.00/126.00  148.00/150.00  172.00/174.00  196.00/198.00
 1715 123.50/125.50  147.50/149.50  171.50/173.50  195.50/197.50
                       (Closing Dec 30)
 1715 123.50/125.50  147.50/149.50  172.00/174.00  196.00/198.00
----------------------------------------------------------------
 TIME      SEP          OCT           NOV            DEC
----------------------------------------------------------------
 1000 213.00/215.00  238.00/240.00  261.50/263.50  285.50/287.50
 1100 214.00/216.00  239.00/241.00  262.50/264.50  286.50/288.50
 1200 215.50/217.50  240.50/242.50  264.00/266.00  288.00/290.00
 1300 217.50/219.50  242.50/244.50  266.25/268.25  290.00/292.00
 1400 217.00/219.00  242.00/244.00  265.50/267.50  289.50/291.50
 1500 220.00/222.00  245.00/247.00  268.50/270.50  292.00/294.00
 1600 218.50/220.50  243.50/245.50  267.00/269.00  290.50/292.50
 1715 218.00/220.00  243.00/245.00  266.75/268.75  290.50/292.50
                        (Closing Dec 30)
 1715 218.50/220.50  244.00/246.00  268.00/270.00  292.00/294.00
----------------------------------------------------------------
 TIME   1 MTH    2 MTH    3MTH       4 MTH     5 MTH   6 MTH
----------------------------------------------------------------
 1000   3.70%    3.94%    4.11%      4.38%     4.36%   4.35% 
 1100   3.71%    3.98%    4.14%      4.44%     4.39%   4.36%
 1200   3.87%    4.08%    4.23%      4.49%     4.45%   4.42%
 1300   4.00%    4.16%    4.30%      4.58%     4.52%   4.48%
 1400   4.00%    4.16%    4.29%      4.55%     4.50%   4.46%
 1500   4.05%    4.21%    4.36%      4.64%     4.55%   4.51%
 1600   4.05%    4.20%    4.33%      4.61%     4.55%   4.50%
 1715   4.04%    4.20%    4.31%      4.58%     4.52%   4.48%
                        (Closing Dec 30)
 1715   3.72%    4.05%    4.20%      4.57%     4.51%   4.48%
---------------------------------------------------------------
 TIME   7 MTH    8 MTH    9 MTH     10 MTH    11 MTH   12MTH
---------------------------------------------------------------
 1000   4.32%    4.30%    4.29%      4.28%     4.27%   4.29% 
 1100   4.35%    4.32%    4.30%      4.29%     4.29%   4.30%
 1200   4.38%    4.35%    4.33%      4.32%     4.31%   4.32%
 1300   4.43%    4.40%    4.37%      4.35%     4.35%   4.35%
 1400   4.42%    4.38%    4.36%      4.34%     4.33%   4.34%
 1500   4.48%    4.45%    4.42%      4.39%     4.38%   4.38%
 1600   4.45%    4.41%    4.39%      4.36%     4.35%   4.35%
 1715   4.43%    4.39%    4.37%      4.35%     4.34%   4.34%
                         (Closing Dec 30)
 1715   4.44%    4.41%    4.38%      4.37%     4.37%   4.37%
--------------------------------------------------------------- 
        (CONVERSION RATE - $1 = 68.2225/68.2325 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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