Weekly Currency Report : 25 Jan 2013

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Weekly currency report from Xefficiency Consulting LLP, India

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Weekly Currency Report : 25 Jan 2013

  1. 1. XEFFICIENCY CONSULTING LLP FX Risk Management Research & Advisory XEC Forex Intelligence: Weekly Report1 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 2013Table 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 15.31Table 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 1
  2. 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 forecast3.1 EUR-USD @ 1.3162The Euro found very good Support in 1.2900-880 region and has risen very well to close above its 1.3100-30Resistance region. The pair is looking strong now. There is a good inverted Head and Shoulder on the chartwith 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 whichcan restrict the upside for this month. A pull back to 1.3100 or even 1.3000 is possible from these Resistancelevels before the Euro moves up to 1.3500-3600 levels. Strong Support is there in 1.3050-00 region now anda break below 1.3000 will not be very easy now. Fresh buying is expected to come into the market if the Eurofalls to 1.3050-00 which can take it up towards 1.3500-600 going forward.3.2 USD-INR @ 54.49Dollar-Rupee traded sideways between 54.10 and 54.68 this week. As mentioned last week, it could move intoa 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 bearishand 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 @ 71.63The EUR-INR did not break below 70 this week as per our expectation and instead it has seen a sharp riseto close well above 71. The threat of seeing a fall to 68-67 stands reduced now. It will have to be seenwhether 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 67-72.50sideways range on the upside in the coming weeks and rise to fresh highs in the coming days/weeks. Thecoming 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 For more visit your account at www.xefficiency.co.in 2
  3. 3. 36 SILVER: USD/t oz. GOLD: USD/t oz. 175034 170032 165030 160028 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 32006000 310058005600 30005400 290052005000 28004800 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 3
  4. 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 withcertain probability in money terms, for holding an exposure unhedged. That is, it gives your money at risk onyour exposure. For example, if an exporter has INR 100,00,000 exposure with a holding period of one quarter, VaR canmeasure that there is 5 per cent probability the exporter can loose INR 7,00,000 due to foreign exchange ratefluctuation. Thats a nice way to quantify risk. In a statistical point of view, standard deviation is at times taken as ameasure of risk. A non-quant person may have no intuition about it. VaR being a Rupee loss number, mostof the people can understand the quantity of risk associated with a foreign exchange exposure with a certainholding period. VaR has been established as standard measure of risk in industry and regulatory bodies for over 15 years. 1 1 c 2012 XEFFICIENCY CONSULTING LLP IndiaThis 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 latestinformation from public sources and believed to be reliable. No member of XEFFICIENCY CONSULTING LLP accepts anyliability whatsoever for any direct or consequential loss arising from any use of this report in part or full. 4

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