Market Rates As on Sep 19 2018 10:28AM

Indian Overnight RatesNDS-CALLCROMSCBLONDS-OMFX-Clear

Market	Open	High	Low	LTR	Volume (Crs.)	WAR	Prev. Day WAR	Prev. Day Vol (Crs.)
CALL	6.60	6.65	6.60	6.65	6718.00	6.65	6.54	18900.07
CBLO	6.55	6.55	6.48	6.48	56410.80	6.51	6.50	154840.40
REPO	6.40	6.65	5.90	6.65	53965.49	6.48	6.50	57882.24
Money Market					117094.29	6.50	6.50	231622.71

"Volumes and Rates pertain to total market activity including Reported deals in Call and Repo."

Tenor	Sett. Type	Maturity	Trades	TTA(Rs. Cr)	Open	High	Low	LTR	WAR
O/N	T + 0	21/09/2018	70	6528.00	6.60	6.65	6.60	6.65	6.6488
5D	T + 0	24/09/2018	4	600.00	6.65	6.65	6.65	6.65	6.6500
58D	T + 0	16/11/2018	1	5.00	7.20	7.20	7.20	7.20	7.2000
Total	75			7133.00

Basket Repo
Basket Description	Trades	Sett. Type	Tenor	TTA	TTA-FV	LTR	WAR
TBILLS 364 DTB	25	T+0	2D	6319.91	6474.89	6.5000	6.5133
TBILLS 182 DTB	23	T+0	2D	5969.87	6057.92	6.5000	6.5148
CG LIQUID 1 TO 3 YR	38	T+0	2D	4889.84	4793.48	6.5500	6.5300
CG LIQUID 5 TO 10 YR	23	T+0	2D	4671.86	4678.11	6.4700	6.5081
CG LIQUID 10 TO 20YR	18	T+0	2D	3129.89	3288.43	6.4500	6.4986
CG LIQUID 3 TO 5 YR	9	T+0	2D	1922.95	1876.61	6.5500	6.5226
CG LIQUID UPTO 1 YR	13	T+0	2D	1155.93	1145.78	6.5000	6.5233
TBILLS 91 DTB	7	T+0	2D	1081.96	1096.27	6.5500	6.5454
Total	156	29142.21			29411.49

Special Repo
Security Description	Trades	Sett. Type	Tenor	TTA	TTA-MV	LTR	WAR
07.17 GS 2028	43	T+0	2D	4870.00	4634.00	6.6500	6.3334
06.84 GS 2022	20	T+0	2D	1862.00	1807.44	6.2500	6.3193
06.68 GS 2031	19	T+0	2D	1633.00	1431.77	6.4500	6.3992
07.59 GS 2026	13	T+0	2D	1330.00	1300.52	6.5000	6.4912
06.65 GS 2020	7	T+0	2D	1194.00	1206.01	6.5000	6.5152
08.20 GS 2022	3	T+0	2D	1150.00	1160.69	6.5000	6.5000
08.39 RJ UDAY 2019	3	T+0	2D	937.00	941.55	6.5500	6.5500
08.15 GS 2022	3	T+0	2D	840.00	858.38	6.5000	6.4792
08.59 AP SDL 2019	3	T+0	2D	641.00	644.69	6.5500	6.5500
182 DTB 31012019	2	T+0	2D	626.00	609.80	6.5500	6.5601
07.80 GS 2020	5	T+0	2D	575.00	590.65	6.3500	6.3483
08.33 GS 2026	2	T+0	2D	430.00	438.63	6.4000	6.3797
08.27 GS 2020	3	T+0	2D	425.00	436.25	6.1500	6.2765
07.76 KA SDL 2019	4	T+0	2D	385.00	386.77	6.5500	6.5500
07.86 RJ UDAY 2019	1	T+0	2D	371.00	378.25	6.5500	6.5500
06.35 GS 2020	1	T+0	2D	325.00	323.69	6.5000	6.5000
08.43 HP SDL 2019	1	T+0	2D	292.00	293.29	6.5500	6.5500
08.08 GS 2022	3	T+0	2D	290.00	292.48	6.4000	6.4000
08.18 HP SDL 2020	1	T+0	2D	288.00	293.42	6.5500	6.5500
07.45 AP SDL 2019	1	T+0	2D	266.00	267.49	6.5500	6.5500
364 DTB 03012019	1	T+0	2D	255.00	249.86	6.5400	6.5400
07.61 GS 2030	6	T+0	2D	240.00	234.34	6.5500	6.4563
08.49 KA SDL 2019	1	T+0	2D	240.00	241.13	6.5500	6.5500
07.68 PN SDL 2019	1	T+0	2D	220.00	220.92	6.5500	6.5500
07.16 GS 2023	6	T+0	2D	203.00	199.68	6.0000	6.2433
08.40 MP SDL 2019	1	T+0	2D	186.00	186.79	6.5500	6.5500
08.15 GS 2026	2	T+0	2D	185.00	188.59	6.4000	6.4000
07.94 GS 2021	1	T+0	2D	160.00	163.66	6.5000	6.5000
08.20 GS 2025	3	T+0	2D	150.00	155.68	6.4000	6.3967
08.12 GS 2020	3	T+0	2D	145.00	148.54	6.0000	6.3586
08.24 TN SDL 2019	2	T+0	2D	140.00	146.04	6.6500	6.5679
07.64 AP SDL 2021	1	T+0	2D	135.00	132.97	6.5500	6.5500
07.80 GS 2021	1	T+0	2D	133.00	136.76	6.5000	6.5000
07.45 AP SDL 2019MAY	1	T+0	2D	128.00	130.74	6.5500	6.5500
08.48 TN SDL 2019	1	T+0	2D	125.00	125.74	6.5500	6.5500
07.35 GS 2024	1	T+0	2D	105.00	103.03	6.3000	6.3000
07.50 AP SDL 2019	1	T+0	2D	100.00	103.08	6.5500	6.5500
07.50 MH SDL 2019	1	T+0	2D	100.00	100.59	6.5500	6.5500
07.73 GS 2034	5	T+0	2D	95.00	92.04	6.4000	6.4000
07.28 GS 2019	1	T+0	2D	90.00	91.75	6.5000	6.5000
08.85 PN SDL 2019	1	T+0	2D	90.00	92.28	6.5500	6.5500
07.88 GS 2030	1	T+0	2D	85.00	82.27	6.5000	6.5000
08.70 GJ SDL 2028	1	T+0	2D	82.00	82.08	6.5500	6.5500
08.13 GS 2045	4	T+0	2D	80.00	79.94	6.0000	6.1250
08.28 RJ SDL 2019	1	T+0	2D	80.00	83.48	6.5500	6.5500
09.15 GS 2024	2	T+0	2D	75.00	80.54	6.3000	6.3300
182 DTB 03012019	1	T+0	2D	75.00	73.47	6.6500	6.6500
06.79 GS 2027	4	T+0	2D	70.00	65.44	6.3500	6.4000
08.08 OD SDL 2020	1	T+0	2D	65.00	65.13	6.5500	6.5500
08.24 GS 2027	1	T+0	2D	65.00	65.37	6.6500	6.6500
08.25 BR SDL 2019	1	T+0	2D	65.00	67.10	6.5500	6.5500
08.56 KL SDL 2020	1	T+0	2D	65.00	65.81	6.5500	6.5500
06.57 GS 2033	2	T+0	2D	60.00	52.13	6.4000	6.3833
GOI FRB 2024	1	T+0	2D	60.00	59.54	6.6500	6.6500
07.68 GS 2023	3	T+0	2D	58.00	58.03	6.6000	6.5491
07.50 GS 2034	1	T+0	2D	55.00	51.25	6.3500	6.3500
08.22 TN SDL 2019	1	T+0	2D	55.00	57.20	6.5500	6.5500
06.97 GS 2026	4	T+0	2D	50.00	46.39	6.4000	6.4250
07.11 AP SDL 2019	1	T+0	2D	50.00	51.22	6.5500	6.5500
07.44 RJ SDL 2019	1	T+0	2D	50.00	51.06	6.5500	6.5500
08.00 OR SDL 2019	1	T+0	2D	50.00	50.38	6.5500	6.5500
08.25 RJ SDL 2019	1	T+0	2D	50.00	50.28	6.6500	6.6500
08.30 MH SDL 19 SEP	1	T+0	2D	50.00	50.31	6.5500	6.5500
08.31 MP SDL 2019	1	T+0	2D	50.00	50.31	6.5500	6.5500
08.31 WB SDL 2019	1	T+0	2D	50.00	50.31	6.5500	6.5500
08.33 GJ SDL 2020	1	T+0	2D	50.00	51.02	6.6500	6.6500
08.56 TN SDL 2021	1	T+0	2D	50.00	51.27	6.6500	6.6500
08.62 PN SDL 2021	1	T+0	2D	50.00	50.44	6.6000	6.6000
364 DTB 11072019	1	T+0	2D	50.00	47.11	6.6000	6.6000
07.37 GS 2023	3	T+0	2D	49.00	49.06	6.6500	6.4990
07.83 MH SDL 2019	1	T+0	2D	45.00	45.22	6.5500	6.5500
08.17 GS 2044	3	T+0	2D	40.00	40.38	6.3000	6.3125
08.39 UP SDL 2020	1	T+0	2D	40.00	40.59	6.5500	6.5500
09.12 GJ SDL 2022	1	T+0	2D	40.00	41.99	6.6500	6.6500
07.77 AP SDL 2021	1	T+0	2D	35.00	34.69	6.5500	6.5500
08.16 RJ SDL 2019	1	T+0	2D	35.00	36.48	6.5500	6.5500
08.18 HR UDAY 2022	1	T+0	2D	35.00	35.18	6.5500	6.5500
08.11 AP SDL 2018	1	T+0	2D	32.00	33.08	6.5500	6.5500
08.19 GS 2020	1	T+0	2D	30.00	30.55	6.3000	6.3000
08.32 UP SDL 2019	1	T+0	2D	30.00	30.19	6.6000	6.6000
182 DTB 10012019	1	T+0	2D	30.00	29.37	6.6500	6.6500
07.85 GJ SDL 2019	1	T+0	2D	25.00	25.32	6.6000	6.6000
08.23 GJ SDL 2019	1	T+0	2D	25.00	26.00	6.6000	6.6000
08.82 TR SDL 2028	1	T+0	2D	25.00	25.30	6.5500	6.5500
07.72 GS 2025	1	T+0	2D	20.00	19.98	6.5500	6.5500
08.39 MH SDL 2020	1	T+0	2D	20.00	20.11	6.6500	6.6500
08.78 GJ SDL 2021	1	T+0	2D	20.00	20.62	6.6500	6.6500
08.60 GS 2028	1	T+0	2D	17.00	17.76	6.3000	6.3000
07.40 GS 2035	2	T+0	2D	15.00	13.76	6.4000	6.4000
08.60 MH SDL 2021	1	T+0	2D	15.00	15.30	6.6500	6.6500
08.99 GJ SDL 2022	1	T+0	2D	15.00	15.26	6.6500	6.6500
06.79 GS 2029	1	T+0	2D	6.00	5.42	6.3000	6.3000
06.30 GS 2023	1	T+0	2D	5.00	4.79	6.6000	6.6000
07.06 GS 2046	1	T+0	2D	5.00	4.48	6.3000	6.3000
08.40 GS 2024	1	T+0	2D	5.00	5.10	5.9000	5.9000
08.57 WB SDL 2026	1	T+0	9D	205.00	204.28	6.8000	6.8000
Total	252	24514.00			24099.12

Reported Deals
Security Description	Trades	Sett. Type	Tenor	TTA	TTA-MV
07.59 GS 2029	1	T+0	2D	170.0000	168.1707
08.28 GS 2027	2	T+0	2D	75.0000	78.0705
07.17 GS 2028	2	T+0	7D	690.0000	656.5632
Total	5	935.0000			902.8044

Reversal Date of Lend / Brrw	Sett. Type	Open	High	Low	LTY	WAR	Trades	Volume (Crs.)
CBLO/210918	T+0	6.55	6.55	6.48	6.48	6.51	283	56410.80
Total							283	56410.80

Security Description	Trades	TTA	LTP	LTY
07.17 GS 2028	1049	10400.0000	94.0800	8.0853
06.84 GS 2022	28	255.0000	95.5000	8.1095
06.68 GS 2031	11	125.0000	88.0000	8.1984
05.69 GS 2018	3	80.0000	99.9875	6.7235
08.12 GS 2020	4	60.0000	100.2700	7.9751
07.59 GS 2026	7	50.0000	96.6000	8.2148
07.17 GS 2028	2	5.0000	94.2100	8.0644
07.16 GS 2023	1	5.0000	96.0500	8.1919
07.68 GS 2023	1	0.9000	97.9000	8.1767
07.40 GS 2035	1	0.4000	91.0000	8.4045
08.72 TN SDL 2026	5	50.0000	100.1200	8.6987
08.82 TR SDL 2028	1	30.0000	101.0825	8.6551
08.70 SK SDL 2028	1	5.0000	100.0500	8.6923
08.47 JH SDL 2019	1	3.4400	100.0350	8.3947
Total	1115	11069.7400

Reported Deals	Trades	TTA	LTP	LTY
07.59 GS 2026	1	25.0000	96.4900	8.2356
08.72 TN SDL 2026	1	10.0000	100.1200	8.6987
Total	2	35.0000

Instruments	Open Rate	High Rate	Low Rate	LTP
SPOT	72.7200	72.8150	72.5400	72.5600

Market Rates As on Sep 19 2018 10:28AM

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