Rupee ICICIdirect 200911

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September 20, 2011

ICICIdirect.com|Equity Research

Currency daily

CICI Securities Limited

Bonds: Yields end lower

Bond yields ended down on Monday as mounting worries over the Eurozone debt crisis pushed up demand for safe haven debt with the marketwatching 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 onSeptember 16, 2011

The yield on the 10-year benchmark bond closed at 8.32%, up by 4 bpsfrom its previous close. During trade, the yield reached a high and low of8.35% and 8.20%, respectively

The US treasury yield of the 10-year benchmark was at 1.96%, down by10 bps at the local markets close

Equity: Nifty range seen at 5010-5080

The Nifty opened negative and traded in a narrow range of 5020-5060throughout the session. It finally closed about 1% lower. FIIs createdshorts in stock futures to the tune of | 254 crore. They were also sellersin 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 inthe range of 5010-5080. The trading strategy would be to create shortpositions if the Nifty resists at around 5072 levels for targets of 5040 and5017. On the other hand, one can also create long positions if the Niftytakes support at around 5010 levels

Forex (US$/INR): INR depreciates

The Indian rupee fell more than 1% on Monday on robust dollar buyingby 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 theprevious days closing of 47.26/27 per dollar

The dollar index against six major currencies was up by 1.16% to 77.43at the time of the local markets close

On September 19, 2011, FIIs bought (net) Indian shares worth US$83.12million. For the current month to date, FIIs bought US$485.40 millionwhile for the year FIIs bought US$529.70 million

Derivatives strategy: Buy September contract

In the currency futures market, the most traded near-month dollar-rupeecontract on the NSE closed at 47.87. The US$/INR September openinterest 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) View: Bullish on USD

Buy USDINR above 47.72 Market Lot: USD1000

Target: 47.89/47.96 Stop Loss: 47.63

Support Resistance

S1/ S2: 47.70/ 47.57 R1/R2: 47.99/ 48.12

I reference rate (Source: Reuters)

19/09/11 16/09/11

D/INR 47.79 47.47 +0.68%

RO/INR 65.35 65.79 -0.66%

P/INR 75.06 74.96 +0.13%

N/INR 62.18 61.81 +0.6%

CloseChange

$/INR daily performance (Source: Reuters)

75

25

75

19-Jun-11

3-Jul-11

17-Jul-11

31-Jul-11

14-Aug-11

28-Aug-11

11-Sep-11

rporate Bond spread (Source: Reuters)

113 112

116117

109110

04

06

08

10

12

14

16

18

1yr 5yr 10 yr

19-Sep-11 17-Aug-11

year spread US$/ INR (Source: Reuters)

00

00

00

00

00

00

19-Sep-08

19-Jan-09

19-May-09

19-Sep-09

19-Jan-10

19-May-10

19-Sep-10

19-Jan-11

19-May-11

19-Sep-11

1.00

1.50

2.00

2.50

3.00

3.50

4.00

4.50Spread US 10-yr yield

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

OI Vol

ptember 47.87 1.1 1439725 2245352 9.7 1.1

ober 48.02 1.0 623398 226554 17.2 40.0

pt-Oct 0.15 -13.2 -- 223208 -- 202.2

-Nov 0.16 -11.3 -- 17326 -- 73.8

Chg

(%)OI Vol

Chg (%)ntracts LTP

alyst

hwariya [email protected]

esh [email protected] [email protected]


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ICICIdirect.com|Equity ResearchPage 2

ICICI Securities Limited

Exhibit 1:Contract Specification (NSE)Underlying

Trading Hours (Monday to Friday)

Contract Size

Tick Size

Trading Period

Contract Months

Final Settlement date/ Value date

Last Trading Day

Settlement

Final Settlement Price

Rate of exchange between one USD and INR

Last working day of the month (subject to holiday calendars)

09:00 a.m. to 05:00 p.m.

The reference rate fixed by RBI two days prior to the final

settlement date will be used for final settlement

Cash settled

0.25 paise or INR 0.0025

12 near calendar months

Two working days prior to Final Settlement Date

USD 1000

Maximum expiration period of 12 months

Source: NSE, ICICIdirect.com Research

Exhibit 2:Strategy follow upDate Contract

USD/INRView Strategy Rec. Target SL P /(L ) | Comment

26-Aug-11 Sept Bullish Long Fut 46.02 46.18/46.24 45.93 40 Closed at 46.06

29-Aug-11 Sept Bearish Short Fut 46.37 46.19/46.12 46.46 0 Opened at target

30-Aug-11 Sept Bearish Short Fut 46.22 46.06/46 46.30 0 Opened at target

2-Sep-11 Sept Bullish Long Fut 46.09 46.26/46.34 46.00 0 Not initiated

5-Sep-11 Sept Bullish Long Fut 45.96 46.12/46.20 45.88 100 Closed at 46.06


7-Sep-11 Sept Bullish Long Fut 46.05 46.21/46.28 45.97 210 Both tgt achieved



13-Sep-11 Sept Bullish Long Fut 47.18 47.33/47.39 47.10 -80 Stop loss hit14-Sep-11 Sept Bullish Long Fut 47.20 47.37/47.45 47.11 0 Not initiated

15-Sep-11 Sept Bearish Short Fut 47.92 47.74/47.66 48.01 260 Both tgt achieved

16-Sep-11 Sept Bearish Short Fut 47.83 47.64/47.55 47.92 0 Opened at target

19-Sep-11 Sept Bullish Long Fut 47.37 47.55/47.63 47.28 0 Opened at target

NSE currency futures contract specifications

Daily performance tracker

(Returns are calculated on one lot only)


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ICICIdirect.com|Equity ResearchPage 3

ICICI Securities Limited

NOTES:

The Sell below / above price is a key technical level which decides thetrend for the day

Initiate the trade within +/ 0.030.04 margin from the recommendedlevel

A return opportunity of about 0.09 paisa is considered for partial profitbooking post initiation of the trade

Once the Call is initiated, an appropriate Stop Loss trigger should be putfor 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 dailyview

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 [email protected]

ICICIdirect.com Research Desk,ICICI Securities Limited,1st Floor, Akruti Trade Centre,Road No 7, MIDCAndheri (East)Mumbai 400 [email protected]

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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

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Rupee ICICIdirect 200911

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