India FIMMDA-Thomson Reuters Commercial Paper Benchmark

Tue Feb 5, 2013 12:39pm IST

Feb 5 Tuesday (Reuters) - The FIMMDA-Thomson Reuters 3 mths Commercial Paper
Benchmark is 9.0750% compared with 9.0438% on Monday 04 Feb.

  TENORS    BENCHMARK
  -------   ---------
  1 Month   8.2000
  2 Month   8.6375
  3 Month   9.0750
  4 Month   9.1667
  5 Month   9.2583
  6 Month   9.3500
  7 Month   9.3663
  8 Month   9.3826
  9 Month   9.3989
 10 Month   9.4152
 11 Month   9.4315
  1  Year   9.4500

COMPUTATION: Indicative quotes from Investors, Issuers  as well
as Brokers are polled from the panel of contributors by Thomson Reuters
personnel for 1 month, 3 month, 6 month and 1 year primary A1+
commercial papers. Bid Rate, Ask Rate or both Bid Rate and Ask Rate
as thecase may be is considered for the benchmarks. Median Bid Rate
and Median Ask Rate is computed. The India FIMMDA-Thomson Reuters 1 month
Commercial Paper Benchmark is the mean or simple average of the 1
mnth Median Bid Rate and the 1 month Median Ask Rate. Similarly
the 3 month, 6 month and 1 year Commercial Paper Benchmarks are
computed. The 2 month benchmarks is computed by interpolating
the 1 month and 3 month benchmarks, the 4 month and 5 month
benchmarks are compute by interpolating the 3 month and 6 month
benchmarks and the 7 month, 8 month, 9 month, 10 month and 11
month benchmarks are computed by interpolating the 6 month and 1
year benchmarks.
 For participants' names and quotes, please double-click on
 or type INCPCONT followed by an Enter key. For
benchmark levels, please double-click on or type
0#INFIMCPBMK= and then press ENTER.
 gives spread on CP over T-Bill

    FIMMDA is the Fixed Income Money Market and Derivatives
Association of India.
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