January 24, 2018 / 4:41 AM / 6 months ago

RPT-India fwd/annualised dlr premia-(close)-Jan 24

              Cash Spot        Cash Tom         Tom Next
---------------------------------------------------------------
               Bid/Ask         Bid/Ask          Bid/Ask
(in IST)  
1000         02.75/04.50     00.50/01.25      02.25/03.25
                03.15%          02.87%           03.22%
                              (Jan 23)            
1000         01.00/02.50     00.50/01.25      00.50/01.25
                02.86%          02.86%           02.86%
--------------------------------------------------------------
 TIME      JAN            FEB           MAR            APR
---------------------------------------------------------------
 1000  00.75/02.50   21.50/23.50    43.50/45.50    71.25/73.25
 1100  00.75/01.75   21.50/23.50    43.50/45.50    71.25/73.25
 1200  00.75/01.75   21.50/23.50    43.50/45.50    71.25/73.25
 1300  01.00/02.00   21.50/23.00    43.50/45.50    71.25/73.25
 1400  00.75/02.50   21.75/23.75    43.75/45.75    71.50/73.50
 1500  00.75/02.50   21.75/23.75    43.75/45.75    71.50/73.50
 1600  00.75/01.75   21.50/23.50    43.50/45.50    71.50/73.50
 1715  00.75/01.75   21.75/23.75    43.75/45.75    71.75/73.75
                        (Closing Jan 23)
 1715  03.50/05.00   24.25/26.25    46.25/48.25    74.25/76.25
----------------------------------------------------------------
 TIME      MAY            JUN            JUL           AUG
----------------------------------------------------------------
 1000  96.75/98.75  118.25/120.25  141.75/143.75 164.25/166.25
 1100  96.75/98.75  118.25/120.25  141.50/143.50 164.00/166.00
 1200  96.75/98.75  118.25/120.25  141.50/143.50 164.00/166.00
 1300  97.00/99.00  118.75/120.75  142.25/144.25 165.00/167.00
 1400  97.25/99.25  119.00/121.00  142.75/144.75 165.25/167.25
 1500  97.25/99.25  119.00/121.00  142.75/144.75 165.25/167.25
 1600  97.25/99.25  119.25/121.25  142.75/144.75 165.25/167.25
 1715  97.75/99.75  119.75/121.75  143.00/145.00 165.50/167.50
                        (Closing Jan 23)
 1715  99.75/101.75 121.25/123.25  144.75/146.75 167.25/169.25
----------------------------------------------------------------
 TIME      SEP            OCT            NOV           DEC
----------------------------------------------------------------
 1000  185.00/187.00  209.25/211.25 231.25/233.25 254.00/256.00
 1100  184.75/186.75  209.00/211.00 231.25/233.25 254.00/256.00
 1200  184.75/186.75  209.00/211.00 231.25/233.25 254.00/256.00
 1300  185.75/187.75  210.00/212.00 232.00/234.00 254.75/256.75
 1400  186.00/188.00  210.25/212.25 232.25/234.25 255.00/257.00
 1500  186.00/188.00  210.25/212.25 232.25/234.25 255.00/257.00
 1600  186.25/188.25  210.75/212.75 233.00/235.00 256.00/258.00
 1715  186.50/188.50  211.00/213.00 233.50/235.50 256.50/258.50
                        (Closing Jan 23)
 1715  188.00/190.00  212.50/214.50 234.75/236.75 257.50/259.50
----------------------------------------------------------------
 TIME   1 MTH    2 MTH    3MTH       4 MTH     5 MTH   6 MTH
----------------------------------------------------------------
 1000   4.30%    4.40%    4.71%      4.60%     4.53%   4.47%
 1100   4.30%    4.40%    4.71%      4.60%     4.53%   4.47%
 1200   4.30%    4.40%    4.71%      4.60%     4.53%   4.47%
 1300   4.25%    4.40%    4.71%      4.61%     4.55%   4.49%
 1400   4.35%    4.42%    4.72%      4.62%     4.55%   4.50%
 1500   4.35%    4.43%    4.73%      4.62%     4.56%   4.51%
 1600   4.30%    4.40%    4.72%      4.62%     4.56%   4.50%
 1715   4.35%    4.42%    4.74%      4.64%     4.58%   4.51%
                        (Closing Jan 23)
 1715   4.25%    4.36%    4.67%      4.59%     4.52%   4.47%
---------------------------------------------------------------
 TIME   7 MTH    8 MTH    9 MTH     10 MTH    11 MTH   12MTH
---------------------------------------------------------------
 1000   4.43%    4.41%    4.38%      4.36%     4.35%   4.32%
 1100   4.42%    4.40%    4.38%      4.37%     4.35%   4.32%
 1200   4.42%    4.40%    4.38%      4.37%     4.35%   4.32%
 1300   4.45%    4.42%    4.40%      4.38%     4.36%   4.33%
 1400   4.45%    4.43%    4.40%      4.38%     4.37%   4.33%
 1500   4.46%    4.43%    4.41%      4.39%     4.37%   4.34%
 1600   4.46%    4.44%    4.41%      4.40%     4.38%   4.35%
 1715   4.46%    4.44%    4.42%      4.41%     4.39%   4.36%
                        (Closing Jan 23) 
 1715   4.42%    4.40%    4.38%      4.37%     4.35%   4.33%
--------------------------------------------------------------- 
        (CONVERSION RATE - $1 = 63.6900/63.7000 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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