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ABN Enters Seven-Year Rupee Swap

13 May 2001

ABN AMRO in Mumbai recently completed a rupee-denominated interest-rate swap with the Industrial Development Bank of India (IDBI). With a maturity of seven years, the deal is believed to be the longest dated swap so far transacted in the local market, said Rohit Malhotra, assistant v.p., derivatives marketing at ABN AMRO in Mumbai.

The IDBI entered the swap to manage balance sheet liabilities, Malhotra said, declining to reveal details of the transaction. According to local swappers the IDBI pays fixed and receives a floating rate based on the Mumbai Interbank Overnight Indexed Swap rate, an average market rate compiled daily by Reuters. The notional amount was INR250 million (USD5.3 million).

A trader at a rival firm said the IDBI believes interest rates will fall and therefore likely will enter additional interest-rate swaps. Officials at the IDBI could not be reached.

13 May 2001