July 2, 2012 / 7:11 AM / 5 years ago

India FIMMDA-Thomson Reuters-Treasury Bills Benchmark

Jul 2 (Reuters) - The FIMMDA-Thomson Reuters Treasury Bills Benchmark
rates as on Monday.

Tenor       Benchmark YTM   Discount Yield
------       ----------    ----------
1-Week       8.2375         8.1118
2-Weeks      8.2424         8.1039
1-Month      8.2527         8.0848
2-Months     8.2669         8.0443
3-Months     8.2739         7.9974
4-Months     8.2356         7.9086
5-Months     8.1985         7.8226
6-Months     8.1689         7.7450
7-Months     8.1533         7.6813
8-Months     8.1392         7.6199
9-Months     8.1236         7.5581
10-Months    8.1076         7.4970
11-Months    8.0899         7.4353
1-Year       8.0727         7.3689

 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 Thomson Reuters personnel at around 11:45 IST
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.
Treasury Bill Discount Yield are derived by converting the FIMMDA Thomson
Reuters Treasury Bill YTM benchmark in to price & then converting them to
Discount Yield using the formula.
 For benchmark levels please double-click on.For
methodology page please check - 
    FIMMDA is the Fixed Income Money Market and Derivatives
Association of India.

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