Market News
India cenbank's FX swaps spur inversion of rupee forward premiums curve - REUTERS
By Nimesh Vora
MUMBAI, Dec 12 (Reuters) - The Reserve Bank of India's forex swaps, to avoid directly impacting cash in the system as it supports the spiralling rupee, and the arbitrage between the offshore and onshore markets have inverted the dollar/rupee forward premiums curve.
The implied yield on near-maturity forwards is now higher than on longer-term forwards for the first time this year.
For instance, the implied yield on the 1-month dollar/rupee forward premium is 30 basis points higher than on the 1-year, while the implied yield on the 3-month is 14 bps higher than on the 1-year.
