The document provides a weekly report on foreign exchange markets and financial indicators. It includes statistics on currency pairs such as EURUSD and USDINR over the past year, value at risk calculations for a USD 1000,000 portfolio, and short-term forecasts for EUR-USD, USD-INR and EUR-INR currency pairs. It also lists important economic data releases and indicators for the coming week from countries like Germany, US, and India. Tables in appendices provide definitions for terms like standard deviation, skewness, and kurtosis used in the statistics.

1. XEFFICIENCY CONSULTING LLP
FX Risk Management Research & Advisory
XEC Forex Intelligence: Weekly Report
1 Foreign exchange market : Important summary statistics
EURUSD [2012−01−26/2013−01−25] USDINR [2012−01−26/2013−01−25]
Last 1.3334 Last 53.675
1.34
1.32 56
1.30
54
1.28
1.26
52
1.24
1.22 50
Jan 26 Apr 01 Jun 01 Aug 01 Oct 01 Dec 01 Jan 25 Jan 26 Apr 01 Jun 01 Aug 01 Oct 01 Dec 01 Jan 25
2012 2012 2012 2012 2012 2012 2013 2012 2012 2012 2012 2012 2012 2013
Table 1 Financial Market Summary (based on annual date): Table manual in Appendix-I
EURO USD/INR EUR/INR Gold Nifty Nasdaq EA Stoxx Libor6M
Latest 1.33 53.67 71.57 1678.41 6019.35 3130.38 2722.96 0.49
Low 1.21 49.32 64.60 1539.64 4835.65 2747.48 2068.66 0.46
1st Q 1.26 52.63 68.14 1620.69 5200.60 2916.22 2290.91 0.55
Median 1.30 54.45 69.67 1668.72 5336.70 2989.59 2479.10 0.72
3rd Q 1.32 55.38 70.72 1722.93 5669.60 3068.92 2544.80 0.74
High 1.35 57.60 73.37 1788.44 6082.30 3183.95 2726.63 0.81
StDev 0.03 1.99 1.93 61.40 316.05 98.74 166.11 0.10
Skewness -0.53 -0.79 -0.30 -0.05 0.32 -0.14 -0.39 -0.50
Kurtosis -0.88 -0.35 -0.49 -1.02 -0.83 -0.79 -0.86 -1.26
Coff Var(%) 2.63 3.70 2.78 3.67 5.84 3.30 6.83 15.31
Table 2 Forward rate and interest rate
1 Mth 3 Mth 6 Mth 9 Mth 12 Mth
USD-INR forward rate (Paisa) 10.50 88.00 173.00 208.00 297.00
LIBOR (Per cent) 0.20 0.30 0.49 0.66 0.81
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2. 2 Value at Risk (VaR)
On USD 1000,000 exposure
1 percent VaR over 5 percent VaR over
1 week 1 month 1 week 1 month
Exporter 33,680 69,055 23,538 47,318
Importer - - - -
3 XEC Short term forecast
3.1 EUR-USD @ 1.3162
The Euro found very good Support in 1.2900-880 region and has risen very well to close above its 1.3100-30
Resistance region. The pair is looking strong now. There is a good inverted Head and Shoulder on the chart
with an upside target of 1.3500-600. However, this rise might not happen immediately in December itself.
There is some Resistance near 1.3240-50 region and then significant Resistance is there near 1.3335 which
can restrict the upside for this month. A pull back to 1.3100 or even 1.3000 is possible from these Resistance
levels before the Euro moves up to 1.3500-3600 levels. Strong Support is there in 1.3050-00 region now and
a break below 1.3000 will not be very easy now. Fresh buying is expected to come into the market if the Euro
falls to 1.3050-00 which can take it up towards 1.3500-600 going forward.
3.2 USD-INR @ 54.49
Dollar-Rupee traded sideways between 54.10 and 54.68 this week. As mentioned last week, it could move into
a sideways range for some time (may be for the rest of December). 54.00-54.60 (narrow) and 54.00-55.00
(broad) are the range that can be seen for sometime. However, remember the bigger picture remains bearish
and we expect to see a break and fall below 54 towards 53.70-60 and even lower going forward into January.
3.3 EUR-INR @ 71.63
The EUR-INR did not break below 70 this week as per our expectation and instead it has seen a sharp rise
to close well above 71. The threat of seeing a fall to 68-67 stands reduced now. It will have to be seen
whether it can sustain strong above 70 and see a strong break/close above 72 which can turn the pair bullish.
The EUR-USD is looking bullish and as such there are good chances for the EUR-INR to break its 67-72.50
sideways range on the upside in the coming weeks and rise to fresh highs in the coming days/weeks. The
coming week is going to be very crucial. We will have to wait and see.
4 Weekly economic calendar
Date Time(IST) Indicator Country For Previous Expected Value
18Dec2012 11:00 RBI Midterm IND - 8.00 8.00
19Dec2012 14:30 German IFO EA Nov2012 108 -
19Dec2012 21:00 Housing Starts USA Nov2012 0.894M 0.873M
20Dec2012 19:00 Initial Jobless Claim USA 15Dec2012 3198K 3199K
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3. 36 SILVER: USD/t oz. GOLD: USD/t oz.
1750
34
1700
32
1650
30
1600
28
1550
Jan 26 Apr 01 Jun 01 Aug 01 Oct 01 Dec 01 Jan 25 Jan 26 Apr 01 Jun 01 Aug 01 Oct 01 Dec 01 Jan 25
2012 2012 2012 2012 2012 2012 2013 2012 2012 2012 2012 2012 2012 2013
CNX−NIFTY NASDAQ
3200
6000
3100
5800
5600
3000
5400
2900
5200
5000
2800
4800
Jan 15 Apr 01 May 31 Jul 31 Sep 30 Dec 02 Jan 23 Jan 25 Apr 01 May 31 Jul 31 Sep 30 Dec 02 Jan 23
2012 2012 2012 2012 2012 2012 2013 2012 2012 2012 2012 2012 2012 2013
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4. Appendix - I
• Latest: The statistics as on date at which the report is generated.
• Low : 1 year low respect to the date of generation of the report.
• 1st Q: The first quartile of a data set is the value in which 25 per cent of the data are below it, 75 per
cent of the data are above it when the data are arranged in ascending order.
• Median : Cuts the data set into half. 50 per cent lies below it and 50 per cent above it when the data
set is arranged ascending order
• 3rd Q: The third quartile of a data set is the value in which 75 per cent of the data are below it, 25
per cent of the data are above it when the data are arranged in ascending order.
• High : 1 year high respect to the date of generation of the report.
• StDev: Standard deviation, a measure of volatility, higher the number is more is the volatility.
• Skewness: This is a spread from the mean. Negative value signifies the larger number of data in the
set is below the mean value (or the data set is negatively skewed) and vice-a-versa.
• Kurtosis: This measures excess kurtosis. Larger positive value i.e. fat tail indicated greater likelyhood
of extreme movement in the data in positive or negative direction from the mean value.
• Coff var (per cent): Coefficient of variation is ratio (expressed in per cent) of standard deviation and
mean. It helps to compare riskiness among asset classes.
Appendix - II : Value at Risk (VaR)
Value at Risk (VaR), is a very important measure of risk. This gives, how much can be the loss with
certain probability in money terms, for holding an exposure unhedged. That is, it gives your money at risk on
your exposure.
For example, if an exporter has INR 100,00,000 exposure with a holding period of one quarter, VaR can
measure that there is 5 per cent probability the exporter can loose INR 7,00,000 due to foreign exchange rate
fluctuation.
Thats a nice way to quantify risk. In a statistical point of view, standard deviation is at times taken as a
measure of risk. A non-quant person may have no intuition about it. VaR being a Rupee loss number, most
of the people can understand the quantity of risk associated with a foreign exchange exposure with a certain
holding period.
VaR has been established as standard measure of risk in industry and regulatory bodies for over 15 years.
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1 c 2012 XEFFICIENCY CONSULTING LLP India
This is a part of XEC Forex Market Intelligence prepared by fx market monitoring team of XEFFICIENCY CONSULTING LLP.
Contact fxmonitoring@xefficiency.co.in, for any further clarification.
Get you sale queries clarified at info@xefficiency.co.in. Speaks to us at 91 8595422942. Visit us at www.xefficiency.co.in.
Disclaimer: Any reference to past performance is not indicative to future performance. The views are based on the latest
information from public sources and believed to be reliable. No member of XEFFICIENCY CONSULTING LLP accepts any
liability whatsoever for any direct or consequential loss arising from any use of this report in part or full.
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