Rupee Report
July 6, 2009
Market Recap:
Spot USDINR slipped after a firm opening Friday. Sentiment weakened for USDINR on expectations that FII
investments could improve after the budget presentation. At the start of the session, USDINR firmed as the local
equity markets fell nearly 1%. But post the railway budget presentation, which if not pathbreaking was largely seen
favorable by the market participants, the equity markets rebounded. The favorable view of railway budget sparked
renewed buying interest on expectations that the union budget could go one step ahead and usher many steps seen
aiding fiscal consolidation. Also hopes that government could step up efforts to lighten their stake in many public
sector units as well as list, the unlisted ones, and which in turn could spark another round of FII inflows, put
pressure on USDINR.
As USDINR breached the 48.10 support, there were large orders for dollar sales from some oil, engineering and
petrochemical companies near 48.05 level. Spot USDINR ended under 48 level at 47.89 from 47.95 Thursday.
Domestic equity indices rebounded after falling nearly 1% initial to close with a gain of 2%. Fund buying and short
covering ahead of the Union budget presentation on Monday, supported the rally. Among the gainers were
companies from power, steel, banks and metals.
In overseas market, US markets remained closed for a holiday. Meanwhile the debate over US dollar's future
continues to be questioned with many countries actively joining the debate. India and Russia have said that the
world economy was over reliant on USD and called for changes ahead of the G8 meet. India's economic adviser to
the Prime Minister, Suresh Tendulkar, has been advising Singh to diversify India’s $264.6 billion in foreign-exchange
reserves and hold fewer dollars, according a report in Bloomberg. Tendulkar said that big dollar holders face a
“prisoner’s dilemma,” a reference to a problem in game theory in which a rational choice for an individual has
negative consequences for a group.
France to seems to have joined the debate. Finance Minister Christine Lagarde and Bank of France Governor
Christian Noyer called for increased global coordination of currencies. French finance minister Christine Lagarde and
Bank of France Governor Christian Noyer called for increased global coordination of currencies.
Market Outlook:
Spot USDINR could remain under pressure ahead of union budget presentation. There are expectations that the
government could announce definite plan for divestment from public sector units. If so, it spark another wave of FII
inflows and this will keep sentiment weaker for USDINR. Another factor which will add pressure on USDINR is the
inflows lined up from funds raised by Indian companies through QIPs. It is being speculated that around 400 billion
rupees could be raised through QIPs.
On Friday, we had suggested buying 1-month dollar/rupee futures for a target of 48.30-40, with a stop at 47.80.
Our target was missed by 3 paise. We suggest closing this trade.
We suggest selling 1-month dollar/rupee futures contract with a stop at 48.30 for targets of 47.30 and 47.50.
INR Onshore-Forward Curve
49.90
49.50
Per USD
49.10
48.70
48.30
47.90
47.50
Spot
Month
Month
Month
Year
Three
One
One
Six
4-Jul 3-Jul
NSE
Contract Expiry Date Open High Low Close Prv close Volume (lots) Open Interest
29-Jul-09 48.14 48.27 47.96 48.01 48.07 662,262 285,567
27-Aug-09 48.29 48.40 48.07 48.12 48.18 13,273 50,777
28-Sep-09 48.42 48.45 48.16 48.25 48.22 1,782 5,568
28-Oct-09 48.5 48.50 48.29 48.33 48.36 411 2,134
26-Nov-09 48.6 48.60 48.33 48.33 48.48 117 4,004
26-Nov-09 48.395 49.00 48.40 48.52 48.59 252 1,492
29-Dec-09 48.65 48.65 48.65 48.65 48.70 100 626
27-Jan-10 0 0.00 0.00 0.00 48.72 0 445
24-Feb-10 0 0.00 0.00 0.00 48.83 0 158
29-Mar-10 0 0.00 0.00 0.00 48.93 0 261
24-Apr-10 0 0.00 0.00 0.00 49.02 0 243
Total 678,197 351,032
MCX-SX
Contract Expiry Date Open High Low Close Prv Close Volume (lots) Open Interest
29-Jul-09 48.1 48.27 47.96 48.01 48.07 574,064 232,826
27-Aug-09 48.3 48.38 48.06 48.10 48.17 11,400 59,853
28-Sep-09 48.44 48.45 48.17 48.18 48.28 273 1,888
28-Oct-09 48.4 48.40 48.39 48.39 48.39 434 1,905
26-Nov-09 0 0.00 0.00 48.49 48.49 0 1,026
29-Dec-09 0 0.00 0.00 48.59 48.59 0 485
Total 586,171 296,472
BSE
Contract Expiry Date Open High Low Close Prv Close Volume (lots) Open Interest
29-Jul-09 - - - 48.16 48.28 - -
Total 0 0
India Interbank _____ Spot-rates _____ _____ One month _____ ____ Three month ____ _____ Six month _____ _____ One year _____
Close Prev Close Prev Close Prev Close Prev Close Prev
Rupee/USD 47.89 47.95 48.01 48.07 48.22 48.28 48.52 48.57 49.01 49.08
Forward Premia/Dis 3.01 3.00 2.76 2.75 2.63 2.59 2.34 2.36
Rupee/USD (NDF) 47.95 48.17 48.18 48.40 48.54 48.72 49.07 49.25
Rupee Option Implied Vol (%) 12.2325 12.37 12.895 12.655 12.895 12.655 12.95 12.795
___USD___ ___GBP___ ___EURO___ ___YEN___
RBI Reference Rate 3/7/2009 2/7/2009 3/7/2009 2/7/2009 3/7/2009 2/7/2009 3/7/2009 2/7/2009
47.99 47.79 78.81 78.58 67.25 67.47 49.96 49.47
USDINR Stats Key Currencies Key India Interest Rates Key International Interest Rates
Close Prev Current Prev Current Prev
Low since 1997 51.97 Euro 1.3980 1.4004 Call rate 3.25 3.25 U.S. 0-0.25 0-0.25
High since 1997 35.70 Pound 1.6333 1.6394 MIBIR 3.25 3.30 E.U. 1.00 1.00
2009 High 51.97 Yen 96.040 95.940 RBI Repo 4.75 5.00 U.K 0.50 0.50
2009 Low 46.94 Swiss-Fr 1.0866 1.0844 Rev Repo 3.25 3.50 Japan 0.10 0.10
India Statistics
GDP 5.8 % growth in GDP Jan-Mar 09 RBI USD purchase/sale (2,487) In Million for Apr 2009
Inflation (WPI) -1.30 % chg yoy for the week ended Jun 20 FII Net Equity Investments 84.10 In USD Million on July 2
IIP 1.40 %change m/m for Apr 2009 Ext Com Borrowings/FCCB 0.49 In USD Billion in May 2009
Forex Reserves 263.6 In US $ billion as of June 19
Other Markets
Equity Markets Close Change ________________ Bullion ________________ __________ Energy __________
BSE 14,913.1 254.56 Bullion Close Change $/barrel Close Change
NSE 4,424.3 75.40 Gold $/Oz 932.3 2.45 NYMEX-WTI 66.7 (2.58)
Nikkei 225 9,816.1 (60.08) Silver $/Oz 13.4 0.00 Brent 66.7 (2.14)
FT-SE 100 4,236.3 2.01 MCX-Gold 10gm 14,452.0 (32.00)
Nasdaq 1,796.5 (49.20) MCX-Silver 1Kg 21,334.0 (60.00)
Dow Jones 8,280.7 (223.32)
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