February 22, 2018 / 4:44 AM / 6 months ago

RPT-India fwd/annualised dlr premia-(close)-Feb 22

              Cash Spot        Cash Tom         Tom Next
---------------------------------------------------------------
               Bid/Ask         Bid/Ask          Bid/Ask
(in IST)  
1000         02.00/04.25     00.50/01.25      01.50/03.00
                02.81%          02.81%           02.81%
                              (Feb 21)            
1000         01.00/02.50     00.50/01.25      00.50/01.25
                02.82%          02.82%           02.82%
---------------------------------------------------------------
 TIME      FEB           MAR            APR            MAY
---------------------------------------------------------------
 1000  01.00/02.00    24.00/26.00    52.75/54.75  78.50/80.50
 1100  01.00/02.00    23.50/25.50    51.50/53.50  77.00/79.00
 1200  01.00/02.00    23.50/25.50    51.25/53.25  76.25/78.25
 1300  01.00/02.00    22.50/24.50    49.50/51.50  72.50/74.50
 1400  00.75/01.75    22.75/24.75    49.75/51.75  72.75/74.75
 1500  01.00/02.00    23.00/25.00    50.50/52.50  74.00/76.00
 1600  01.00/02.00    23.50/25.50    51.00/53.00  74.50/76.50
 1715  01.00/02.00    23.00/25.00    50.00/52.00  73.25/75.25
                         (Closing Feb 21)
 1715  03.25/04.75    26.25/28.25    54.75/56.75  80.50/82.50
----------------------------------------------------------------
 TIME      JUN            JUL           AUG           SEP
----------------------------------------------------------------
 1000 100.25/102.25  123.00/125.00 145.00/147.00 165.50/167.50
 1100  98.50/100.50  121.25/123.25 143.00/145.00 163.00/165.00
 1200  97.25/99.25   119.25/121.25 140.75/142.75 161.25/163.25
 1300  92.50/94.50   114.00/116.00 135.00/137.00 154.00/156.00
 1400  92.75/94.75   114.50/116.50 135.25/137.25 154.50/156.50
 1500  94.50/96.50   116.00/118.00 137.00/139.00 156.50/158.50
 1600  95.00/97.00   117.00/119.00 138.00/140.00 157.50/159.50
 1715  93.25/95.25   114.75/116.75 135.25/137.25 154.50/156.50
                         (Closing Feb 21)
 1715 102.25/104.25  125.00/127.00 147.00/149.00 167.50/169.50
----------------------------------------------------------------
 TIME       OCT            NOV           DEC           JAN
----------------------------------------------------------------
 1000  189.50/191.50 211.50/213.50 234.50/236.50  257.00/259.00
 1100  187.00/189.00 209.00/211.00 231.50/233.50  254.00/256.00
 1200  184.75/186.75 206.25/208.25 229.00/230.00  250.50/252.50
 1300  176.50/178.50 197.50/199.50 218.00/220.00  238.00/240.00
 1400  176.50/178.50 197.00/199.00 217.50/219.50  238.00/240.00
 1500  179.50/181.50 200.50/202.50 222.00/224.00  243.00/245.00
 1600  180.50/182.50 202.00/204.00 223.50/225.50  244.50/246.50
 1715  177.25/179.25 198.00/200.00 219.50/221.50  240.50/242.50
                         (Closing Feb 21)
 1715  191.50/193.50 213.50/215.50 236.50/238.50  259.00/261.00
----------------------------------------------------------------
 TIME   1 MTH    2 MTH    3MTH       4 MTH     5 MTH   6 MTH
----------------------------------------------------------------
 1000   4.67%    5.02%    4.76%      4.63%     4.51%   4.41%
 1100   4.58%    4.91%    4.67%      4.55%     4.44%   4.36%
 1200   4.58%    4.88%    4.62%      4.49%     4.37%   4.28%
 1300   4.39%    4.72%    4.40%      4.28%     4.18%   4.11%
 1400   4.44%    4.74%    4.42%      4.29%     4.19%   4.12%
 1500   4.49%    4.81%    4.49%      4.37%     4.25%   4.17%
 1600   4.59%    4.86%    4.52%      4.39%     4.29%   4.21%
 1715   4.49%    4.77%    4.45%      4.31%     4.20%   4.12%
                         (Closing Feb 21)
 1715   4.65%    4.96%    4.78%      4.63%     4.52%   4.43%
---------------------------------------------------------------
 TIME   7 MTH    8 MTH    9 MTH     10 MTH    11 MTH   12MTH
---------------------------------------------------------------
 1000   4.37%    4.33%    4.31%      4.29%     4.27%   4.26%
 1100   4.31%    4.28%    4.26%      4.24%     4.23%   4.21%
 1200   4.25%    4.22%    4.20%      4.18%     4.16%   4.15%
 1300   4.07%    4.04%    4.02%      3.99%     3.96%   3.96%
 1400   4.08%    4.04%    4.01%      3.99%     3.96%   3.96%
 1500   4.13%    4.11%    4.09%      4.07%     4.04%   4.04%
 1600   4.16%    4.13%    4.12%      4.10%     4.07%   4.07%
 1715   4.08%    4.05%    4.03%      4.02%     4.00%   4.00%
                         (Closing Feb 21) 
 1715   4.38%    4.35%    4.32%      4.31%     4.29%   4.27%
 --------------------------------------------------------------- 
        (CONVERSION RATE - $1 = 65.0400/65.0500 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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