May 30, 2012 / 7:12 AM / 5 years ago

India FIMMDA-Thomson Reuters-Treasury Bills Benchmark

May 30 (Reuters) - The FIMMDA-Thomson Reuters Treasury Bills Benchmark	
rates as on Wednesday.	
	
Tenor       Benchmark YTM   Discount Yield	
------       ----------    ----------	
1-Week       8.2890          8.1625	
2-Weeks      8.3013          8.1616	
1-Month      8.3310          8.1610	
2-Months     8.3624          8.1360	
3-Months     8.3750          8.0931	
4-Months     8.3746          8.0386	
5-Months     8.3693          7.9802	
6-Months     8.3614          7.9203	
7-Months     8.3460          7.8545	
8-Months     8.3300          7.7893	
9-Months     8.3151          7.7260	
10-Months    8.2997          7.6632	
11-Months    8.2837          7.6010	
1-Year       8.2683          7.5338	
	
 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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