Currency Research Desk

Forward & Futures Calculator

Tuesday, 20 January 2015

2013
, 2013

Arbitrage Between OTC and Future Contracts at Exchange:

Underlying: USD/INR

Spot

61.78

Premia/Disct

Annua.
Premium/Disc

Future

PX_LAST

Premium/Disc

Arbitrage (Fwd-Fut)

1M

62.196

0.416

0.67%

February

62.243

0.462

-0.047

2M

62.551

0.771

1.25%

March

62.643

0.862

-0.091

3M

62.957

1.177

1.91%

April

63.030

1.250

-0.073

4M

63.327

1.547

2.50%

May

63.440

1.660

-0.113

5M

63.678

1.898

3.07%

June

63.780

2.000

-0.102

6M

64.011

2.231

3.61%

July

64.200

2.420

-0.189

7M

64.369

2.589

4.19%

August

64.470

2.690

-0.189

8M

64.685

2.905

4.70%

September

64.658

2.878

0.028

9M

65.026

3.246

5.25%

October

65.150

3.370

-0.124

10M

65.355

3.575

5.79%

November

65.500

3.720

-0.145

11M

65.652

3.872

6.27%

December

65.773

3.992

-0.121

Source: Bloomberg

Currency Research Desk

Time Captured At : 13.49 am

Mail Us at currencyresearch@karvy.com

Currency Insight

Forward Market (Onshore & Offshore)

FORWARDS

LAST

1 Day ago

Debt Market Information

% Change

INDICATORS

Annu(%)

LAST

1 Day ago

% Change

1-Mth Forward

62.0600

62.0410

0.03

0.03%

LIBOR 1Mth

#N/A N/A

0.1680

#VALUE!

3-Mth Forward

62.8113

62.8135

0.00

-0.01%

LIBOR 3Mth

#N/A N/A

0.2566

#VALUE!

6-Mth Forward

63.8570

63.8580

0.00

-0.01%

MIBOR 1Mth

#N/A N/A

0.0000

#VALUE!

12-Mth Forward

65.7975

65.7860

0.02

0.21%

MIBOR 3Mth

#N/A N/A

0.0600

#VALUE!

1-Mth NDF

61.9600

61.9000

0.10

0.10%

U.S. 5Yr Bond Yield

1.3026

1.3026

0.00

3-Mth NDF

62.5600

62.4900

0.11

0.34%

U.S. 10Yr Bond Yield

1.8368

1.8368

0.00

6-Mth NDF

63.4600

63.3900

0.11

0.66%

India 10Yr Bond Yield

7.7240

7.7070

0.22

12-Mth NDF

65.1700

65.1000

0.11

1.29%

Call Rate

8.0000

7.0000

14.29

Prepared by:Aurobinda Prasad (aurobinda@karvy.com) Research Head

Jitendra K Parashar (jitendra.parashar@karvy.com) Technical Analyst
Rakesh K Chelapareddy (rakesh.chelapareddy@karvy.com) Fundamental Analyst

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Currency Research Desk

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