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RPT-India fwd/annualised dlr premia-(close)-Jan 3
January 3, 2017 / 4:40 AM / 9 months ago

RPT-India fwd/annualised dlr premia-(close)-Jan 3

Cash Spot        Cash Tom         Tom Next
---------------------------------------------------------------
               Bid/Ask          Bid/Ask          Bid/Ask
(in IST) 
 1000        00.50/02.50      00.25/01.25      00.25/01.25
                01.34%           01.34%           01.34%  
                               (Jan 2)            
 1000            N/A              N/A          00.25/01.25     
                 N/A              N/A             01.34% 
---------------------------------------------------------------
 TIME      JAN           FEB           MAR            APR
---------------------------------------------------------------
 1000  17.50/19.50    40.25/42.25    64.75/66.75   95.00/97.00
 1100  17.50/19.50    40.00/42.00    64.50/66.50   94.00/96.00
 1200  17.00/19.00    39.25/41.25    63.50/65.50   93.50/95.50
 1300  17.00/19.00    39.25/41.25    63.50/65.50   92.50/94.50
 1400  17.25/19.25    39.50/41.50    64.00/66.00   93.00/95.00
 1500  17.00/19.00    39.00/41.00    63.00/65.00   92.00/94.00
 1600  17.00/19.00    39.25/41.25    63.50/65.50   92.25/94.25
 1715  17.00/19.00    39.25/41.25    63.75/65.75   92.75/94.75
                          (Closing Jan 2)
 1715  19.00/21.00    42.00/44.00    67.00/69.00   97.00/99.00
----------------------------------------------------------------
 TIME      MAY           JUN           JUL            AUG
----------------------------------------------------------------
 1000 121.00/123.00  144.50/146.50  168.50/170.50  192.50/194.50
 1100 120.50/122.50  144.50/146.50  168.50/170.50  192.50/194.50
 1200 119.50/121.50  142.50/144.50  166.00/168.00  189.50/191.50
 1300 118.50/120.50  142.00/144.00  166.00/168.00  189.50/191.50
 1400 119.00/121.00  142.50/144.50  166.50/168.50  190.00/192.00
 1500 118.00/120.00  141.50/143.50  165.00/167.00  188.50/190.50
 1600 118.25/120.25  142.00/144.00  166.00/168.00  189.50/191.50
 1715 119.00/121.00  142.50/144.50  166.50/168.50  190.00/192.00
                        (Closing Jan 2)
 1715 123.50/125.50  147.50/149.50  171.50/173.50  195.50/197.50
----------------------------------------------------------------
 TIME      SEP          OCT           NOV            DEC
----------------------------------------------------------------
 1000 215.00/217.00  239.75/241.75  263.00/265.00  286.50/288.50
 1100 215.00/217.00  240.00/242.00  263.50/265.50  287.00/289.00
 1200 212.00/214.00  237.00/239.00  260.50/262.50  284.00/286.00
 1300 212.00/214.00  237.00/239.00  260.50/262.50  284.00/286.00
 1400 212.50/214.50  237.00/239.00  260.50/262.50  283.50/285.50
 1500 211.00/213.00  235.50/237.50  258.75/260.75  282.00/284.00
 1600 212.00/214.00  236.50/238.50  260.00/262.00  283.00/285.00
 1715 212.50/214.50  237.00/239.00  260.50/262.50  283.50/285.50
                         (Closing Jan 2)
 1715 218.00/220.00  243.00/245.00  266.75/268.75  290.50/292.50
----------------------------------------------------------------
 TIME   1 MTH    2 MTH    3MTH       4 MTH     5 MTH   6 MTH
----------------------------------------------------------------
 1000   3.92%    4.11%    4.24%      4.54%     4.47%   4.43% 
 1100   3.91%    4.09%    4.22%      4.50%     4.46%   4.42%
 1200   3.81%    4.01%    4.16%      4.47%     4.41%   4.36%
 1300   3.81%    4.01%    4.15%      4.42%     4.38%   4.35%
 1400   3.85%    4.04%    4.17%      4.44%     4.39%   4.36%
 1500   3.79%    3.97%    4.11%      4.39%     4.35%   4.32%
 1600   3.80%    4.00%    4.14%      4.40%     4.36%   4.34%
 1715   3.80%    4.01%    4.15%      4.42%     4.38%   4.35%
                          (Closing Jan 2)
 1715   4.04%    4.20%    4.31%      4.58%     4.52%   4.48%
---------------------------------------------------------------
 TIME   7 MTH    8 MTH    9 MTH     10 MTH    11 MTH   12MTH
---------------------------------------------------------------
 1000   4.38%    4.36%    4.33%      4.31%     4.30%   4.31% 
 1100   4.38%    4.36%    4.33%      4.32%     4.31%   4.31%
 1200   4.32%    4.29%    4.27%      4.27%     4.26%   4.27%
 1300   4.31%    4.28%    4.27%      4.26%     4.26%   4.27%
 1400   4.32%    4.29%    4.28%      4.26%     4.25%   4.26%
 1500   4.28%    4.25%    4.24%      4.22%     4.22%   4.23%
 1600   4.30%    4.28%    4.26%      4.24%     4.24%   4.24%
 1715   4.31%    4.28%    4.27%      4.25%     4.25%   4.25%
                         (Closing Jan 2)
 1715   4.43%    4.39%    4.37%      4.35%     4.34%   4.34%
--------------------------------------------------------------- 
        (CONVERSION RATE - $1 = 68.3250/68.3350 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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