December 21, 2017 / 4:56 AM / 6 months ago

RPT-India fwd/annualised dlr premia-(close)-Dec 21

              Cash Spot        Cash Tom         Tom Next
---------------------------------------------------------------
               Bid/Ask         Bid/Ask          Bid/Ask
(in IST)  
 1000        02.25/04.50      00.50/01.25       01.75/03.25
                02.56%           02.85%            02.49%
                              (Dec 20)            
 1000        01.00/02.50      00.50/01.25       00.50/01.25
                02.85%           02.85%            02.85%
---------------------------------------------------------------
 TIME      DEC            JAN           FEB            MAR
---------------------------------------------------------------
 1000  01.50/02.50   21.50/23.50    42.50/44.50    64.75/66.75
 1100  01.50/02.50   21.00/23.00    42.00/44.00    64.00/66.00
 1200  01.50/02.50   21.00/23.00    42.00/44.00    64.25/66.25
 1300  01.50/02.50   21.00/23.00    42.00/44.00    63.75/65.75
 1400  01.50/02.50   21.50/23.50    42.50/44.50    64.50/66.50
 1500  01.50/02.50   21.25/23.25    42.25/44.25    64.25/66.25
 1600  01.75/02.75   21.25/23.25    42.25/44.25    64.50/66.50
 1715  01.50/02.50   21.25/23.25    42.25/44.25    64.50/66.50
                         (Closing Dec 20)
 1715  03.50/05.00   23.75/25.75    45.00/47.00    67.50/69.50
----------------------------------------------------------------
 TIME      APR            MAY            JUN           JUL
----------------------------------------------------------------
 1000  93.75/95.75  119.25/121.25  141.00/143.00 164.75/166.75
 1100  93.00/95.00  118.75/120.75  140.25/142.25 164.00/166.00      
 1200  93.25/95.25  119.00/121.00  140.75/142.75 164.50/166.50
 1300  92.50/94.50  118.00/120.00  139.50/141.50 163.00/165.00
 1400  93.00/95.00  118.50/120.50  140.00/142.00 163.75/165.75
 1500  93.25/95.25  118.75/120.75  140.25/142.25 164.00/166.00
 1600  93.50/95.50  119.00/121.00  140.50/142.50 164.00/166.00
 1715  93.00/95.00  118.25/120.25  139.75/141.75 163.25/165.25
                         (Closing Dec 20)
 1715  96.50/98.50  122.00/124.00  143.75/145.75 167.50/169.50
----------------------------------------------------------------
 TIME      AUG            SEP            OCT           NOV
----------------------------------------------------------------
 1000  187.75/189.75  209.00/211.00 233.50/235.50 256.00/258.00
 1100  187.00/189.00  208.00/210.00 232.50/234.50 255.00/257.00
 1200  187.50/189.50  208.50/210.50 233.00/235.00 255.50/257.50
 1300  186.00/188.00  207.00/209.00 231.50/233.50 254.00/256.00
 1400  186.75/188.75  208.00/210.00 232.50/234.50 255.00/257.00
 1500  187.00/189.00  208.25/210.25 232.75/234.75 255.00/257.00
 1600  187.00/189.00  208.25/210.25 232.75/234.75 255.00/257.00
 1715  186.00/188.00  207.25/209.25 231.75/233.75 254.00/256.00
                         (Closing Dec 20)
 1715  190.50/192.50  212.00/214.00 236.50/238.50 259.00/261.00
----------------------------------------------------------------
 TIME   1 MTH    2 MTH    3MTH       4 MTH     5 MTH   6 MTH
----------------------------------------------------------------
 1000   3.56%    3.86%    4.06%      4.41%     4.39%   4.37%
 1100   3.48%    3.81%    4.01%      4.38%     4.37%   4.35%
 1200   3.48%    3.81%    4.03%      4.39%     4.38%   4.37%
 1300   3.48%    3.81%    4.00%      4.36%     4.34%   4.33%
 1400   3.56%    3.86%    4.05%      4.38%     4.36%   4.34%
 1500   3.52%    3.84%    4.03%      4.39%     4.37%   4.35%
 1600   3.52%    3.84%    4.04%      4.40%     4.38%   4.36%
 1715   3.52%    3.84%    4.05%      4.38%     4.36%   4.34%
                         (Closing Dec 20)
 1715   3.52%    3.81%    4.03%      4.37%     4.38%   4.36%
---------------------------------------------------------------
 TIME   7 MTH    8 MTH    9 MTH     10 MTH    11 MTH   12MTH
---------------------------------------------------------------
 1000   4.35%    4.34%    4.33%      4.32%     4.32%   4.30%
 1100   4.33%    4.32%    4.31%      4.31%     4.30%   4.29%
 1200   4.35%    4.33%    4.32%      4.31%     4.31%   4.30%
 1300   4.31%    4.30%    4.29%      4.29%     4.28%   4.27%
 1400   4.33%    4.31%    4.31%      4.30%     4.30%   4.29%
 1500   4.33%    4.32%    4.32%      4.31%     4.30%   4.29%
 1600   4.33%    4.32%    4.32%      4.31%     4.30%   4.29%
 1715   4.32%    4.30%    4.30%      4.29%     4.29%   4.28%
                         (Closing Dec 20) 
 1715   4.34%    4.33%    4.33%      4.32%     4.32%   4.30%
--------------------------------------------------------------- 
        (CONVERSION RATE - $1 = 64.0525/64.0625 rupees)
           
  Note: Figures in brackets indicate negative values.    
    
    Premiums have been given in paise and annualised premiums    
            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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