India FIMMDA-REUTERS-Treasury Bills Benchmark

Nov 4 (Reuters) - The FIMMDA-REUTERS Treasury Bills Benchmark
rates at 12.00 noon as follows Tenor Yields ------
------ 1-Week 3.0119 2-Weeks 3.0286 1-Month
3.0667 2-Months 3.1405 3-Months 3.2412 4-Months
3.4335 5-Months 3.6464 6-Months 3.8395 7-Months
3.9520 8-Months 4.0609 9-Months 4.1733 10-Months
4.2858 11-Months 4.3947 1-Year 4.5072
Computation: The Benchmarks are based upon the rates of
pre-determined T-Bills which are selected at the beginning of
every week taking into account the whole week's NSE WDM trades.
The T-Bills having the maximum trading volumes during the
previous week maturing in specific residual maturity buckets
are considered as Benchmarks.
Both Bid and Ask rates for the Benchmark T-Bills are polled
from the panel of contributors by REUTERS personnel at around
11 a.m on all working days. The median bid and offer yields for
each Benchmark T-Bills are taken as the Benchmark bid and offer
yields.
The residual maturity in days is computed every day for each
of the Benchmark T-Bills. The dealt rates in NDS & NDS OM too
are considered while computing the benchmarks.
Finally, to arrive at fixed tenor yields for 1 week, 2 weeks,
1 month, 2 month...12 month, the yields of Benchmark Treasury
Bills are interpolated or extrapolated as the case may be.
For benchmark levels please double-click on <0#INFIMTBBMK=>
.For methodology page please check <INTB/INFO>

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