ICICI Securities Limited

Currency daily
September 20, 2011 RBI reference rate
Close 19/09/11 USD/INR EURO/INR GBP/INR YEN/INR 47.79 65.35 75.06 62.18 16/09/11 47.47 65.79 74.96 61.81

(Source: Reuters)
Change +0.68% -0.66% +0.13% +0.6%

Bonds: Yields end lower

US$/INR daily performance

(Source: Reuters)

46.75

Bond yields ended down on Monday as mounting worries over the Euro zone debt crisis pushed up demand for safe haven debt with the market watching for more monetary easing by the Fed The total trading volume on the RBIs gilt trading platform stood at | 6325 crore on September 19, 2011 compared to | 13306 crore on September 16, 2011 The yield on the 10-year benchmark bond closed at 8.32%, up by 4 bps from its previous close. During trade, the yield reached a high and low of 8.35% and 8.20%, respectively The US treasury yield of the 10-year benchmark was at 1.96%, down by 10 bps at the local markets close Equity: Nifty range seen at 5010-5080

45.25

14-Aug-11 28-Aug-11 11-Sep-11 19-Jun-11 17-Jul-11 31-Jul-11 3-Jul-11

43.75

Corporate Bond spread

118 116 114 112 110 108 106 104 117 113 112 109

(Source: Reuters)
116

The Nifty opened negative and traded in a narrow range of 5020-5060 throughout the session. It finally closed about 1% lower. FIIs created shorts in stock futures to the tune of | 254 crore. They were also sellers in the cash segment to the tune of | 166 crore The Nifty is likely to open flat on mixed global cues. It is likely to trade in the range of 5010-5080. The trading strategy would be to create short positions if the Nifty resists at around 5072 levels for targets of 5040 and 5017. On the other hand, one can also create long positions if the Nifty takes support at around 5010 levels Forex (US$/INR): INR depreciates

110

1yr

5yr 19-Sep-11 17-Aug-11

10 yr

10-year spread US$/ INR

7.00 6.00 5.00 4.00 3.00 2.00 19-Sep-08 19-Sep-09

(Source: Reuters)

Spread

US 10-yr yield

4.50 4.00 3.50 3.00 2.50 2.00 1.50 1.00 19-Sep-11

The Indian rupee fell more than 1% on Monday on robust dollar buying by investors unconvinced about Europes ability to solve its debt crisis and stave off a debt default by Greece, with losses in world equities also weighing The INR ended at 47.82/83 per dollar, weakening by 1.17% over the previous days closing of 47.26/27 per dollar The dollar index against six major currencies was up by 1.16% to 77.43 at the time of the local markets close On September 19, 2011, FIIs bought (net) Indian shares worth US$83.12 million. For the current month to date, FIIs bought US$485.40 million while for the year FIIs bought US$529.70 million Derivatives strategy: Buy September contract contract on the NSE closed at 47.87. The US$/INR September open interest was up by 9.7% The October contract witnessed an increase in open interest by 17.2% We expect the US dollar to attract some buying on declines against the INR. Utilise the lows in the US$/INR September contract to buy Intra-day strategy
USD/ INR Sept futures contract (NSE) Buy USDINR above 47.72 Target: 47.89/47.96 Support S1/ S2: 47.70/ 47.57 View: Bullish on USD Market Lot: USD1000 Stop Loss: 47.63 Resistance R1/R2: 47.99/ 48.12

In the currency futures market, the most traded near-month dollar-rupee

19-May-09

19-May-10

19-Sep-10

Currency futures data (US$/INR, NSE) (Source: Reuters)

Contracts September October Sept-Oct Oct-Nov LTP 47.87 48.02 Chg (%) 1.1 1.0 OI 1439725 623398 --Vol 2245352 223208 17326 Chg (%) OI 9.7 --Vol 1.1 40.0 202.2 73.8

226554 17.2

0.15 -13.2 0.16 -11.3

Analyst
Aishwariya KPL aishwariya.kpl@icicisecurities.com Dipesh Dagha dipesh.dagha@icicisecurities.com Pabitro Mukherjee pabitro.mukherjee@icicisecurities.com

ICICIdirect.com | Equity Research

19-May-11

19-Jan-09

19-Jan-10

19-Jan-11

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Exhibit 1: Contract Specification (NSE)
Underlying Trading Hours (Monday to Friday) Contract Size Rate of exchange between one USD and INR 09:00 a.m. to 05:00 p.m. USD 1000 0.25 paise or INR 0.0025 Maximum expiration period of 12 months 12 near calendar months Last working day of the month (subject to holiday calendars) Two working days prior to Final Settlement Date Cash settled The reference rate fixed by RBI two days prior to the final settlement date will be used for final settlement

NSE currency futures contract specifications

Tick Size Trading Period Contract Months Final Settlement date/ Value date Last Trading Day Settlement Final Settlement Price
Source: NSE, ICICIdirect.com Research

Exhibit 2: Strategy follow up

Date

Daily performance tracker (Returns are calculated on one lot only)

Contract USD/INR Sept Sept Sept Sept Sept Sept Sept Sept Sept Sept Sept Sept Sept Sept

View Bullish Bearish Bearish Bullish Bullish Bullish Bullish Bullish Bullish Bullish Bullish Bearish Bearish Bullish

Strategy

Rec.

Target

SL 45.93 46.46 46.30 46.00 45.88 45.88 45.97 46.06 46.51 47.10 47.11 48.01 47.92 47.28

P/ (L ) | 40 0 0 0 100 0 210 0 0 -80 0 260 0 0

Comment Closed at 46.06 Opened at target Opened at target Not initiated Closed at 46.06 Not initiated Both tgt achieved Not initiated Not initiated Stop loss hit Not initiated Both tgt achieved Opened at target Opened at target

26-Aug-11 29-Aug-11 30-Aug-11 2-Sep-11 5-Sep-11 6-Sep-11 7-Sep-11 8-Sep-11 12-Sep-11 13-Sep-11 14-Sep-11 15-Sep-11 16-Sep-11 19-Sep-11

Long Fut 46.02 46.18/46.24 Short Fut 46.37 46.19/46.12 Short Fut 46.22 46.06/46 Long Fut 46.09 46.26/46.34 Long Fut 45.96 46.12/46.20 Long Fut 45.97 46.12/46.20 Long Fut 46.05 46.21/46.28 Long Fut 46.14 46.30/46.37 Long Fut 46.60 46.78/46.84 Long Fut 47.18 47.33/47.39 Long Fut 47.20 47.37/47.45 Short Fut 47.92 47.74/47.66 Short Fut 47.83 47.64/47.55 Long Fut 47.37 47.55/47.63

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NOTES: The Sell below / above price is a key technical level which decides the trend for the day Initiate the trade within +/ 0.030.04 margin from the recommended level A return opportunity of about 0.09 paisa is considered for partial profit booking post initiation of the trade Once the Call is initiated, an appropriate Stop Loss trigger should be put for the trade Once into position, put trailing stops to preserve your profits Be careful if the counter achieves the target immediately after opening The strategies are valid only for the date mentioned at the top Positions should be squared off by the end of the day The strategies are based on intra-day volatility, suggesting a two-way approach intra-day Medium to long-term prospects do not have any bearing on the daily view

MOST IMP: The follow-up and performance review table of the strategies indicates the profit opportunity that was available in the strategies. Individual profits may vary, depending upon the entry and exit price and stop losses

Pankaj Pandey

Head Research ICICIdirect.com Research Desk, ICICI Securities Limited, 1st Floor, Akruti Trade Centre, Road No 7, MIDC Andheri (East) Mumbai 400 093 research@icicidirect.com

pankaj.pandey@icicisecurities.com

Disclaimer
The report and information contained herein is strictly confidential and meant solely for the selected recipient and may not be altered in any way, transmitted to, copied or distributed, in part or in whole, to any other person or to the media or reproduced in any form, without prior written consent of ICICI Securities Ltd (I-Sec). The author of the report does not hold any investment in any of the companies mentioned in this report. I-Sec may be holding a small number of shares/position in the above-referred companies as on date of release of this report. This report is based on information obtained from public sources and sources believed to be reliable, but no independent verification has been made nor is its accuracy or completeness guaranteed. This report and information herein is solely for informational purpose and may not be used or considered as an offer document or solicitation of offer to buy or sell or subscribe for securities or other financial instruments. Nothing in this report constitutes investment, legal, accounting and tax advice or a representation that any investment or strategy is suitable or appropriate to your specific circumstances. The securities discussed and opinions expressed in this report may not be suitable for all investors, who must make their own investment decisions, based on their own investment objectives, financial positions and needs of specific recipient. This report may not be taken in substitution for the exercise of independent judgment by any recipient. The recipient should independently evaluate the investment risks. I-Sec and affiliates accept no liabilities for any loss or damage of any kind arising out of the use of this report. Past performance is not necessarily a guide to future performance. Actual results may differ materially from those set forth in projections. I-Sec may have issued other reports that are inconsistent with and reach different conclusion from the information presented in this report. This report is not directed or intended for distribution to, or use by, any person or entity who is a citizen or resident of or located in any locality, state, country or other jurisdiction, where such distribution, publication, availability or use would be contrary to law, regulation or which would subject I-Sec and affiliates to any registration or licensing requirement within such jurisdiction. The securities described herein may or may not be eligible for sale in all jurisdictions or to certain category of investors. Persons in whose possession this document may come are required to inform themselves of and to observe such restriction.

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