Market Rates As on Sep 28 2016 12:16PM

Indian Overnight RatesNDS-CALLCROMSCBLONDS-OMFX-Clear

Market	Open	High	Low	LTR	Volume (Crs.)	WAR	Prev. Day WAR	Prev. Day Vol (Crs.)
CALL	6.50	6.55	6.10	6.50	5504.75	6.52	6.42	16327.48
CBLO	6.46	6.49	6.45	6.49	44485.75	6.47	6.48	102465.70
REPO	6.45	6.60	5.90	6.60	34256.36	6.50	6.48	43265.32
Money Market					84246.86	6.49	6.47	162058.50

"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	29/09/2016	62	4694.00	6.50	6.55	6.40	6.50	6.5356
2D	T + 0	30/09/2016	2	175.00	6.50	6.55	6.50	6.55	6.5286
Total	64			4869.00

Basket Repo
Basket Description	Trades	Sett. Type	Tenor	TTA	TTA-FV	LTR	WAR
CG LIQUID UPTO 1 YR	1	T+0	15D	749.99	735.17	6.5200	6.5200
CG LIQUID 5 TO 10 YR	41	T+0	1D	8346.83	7851.13	6.5500	6.5272
CG LIQUID 3 TO 5 YR	33	T+0	1D	7439.86	7087.21	6.5500	6.5147
CG LIQUID 1 TO 3 YR	23	T+0	1D	5085.85	4878.63	6.5600	6.5193
CG LIQUID 10 TO 20YR	9	T+0	1D	2079.93	1930.44	6.5500	6.5093
CG LIQUID UPTO 1 YR	1	T+0	1D	500.00	493.05	6.4900	6.4900
TBILLS 364 DTB	10	T+0	1D	452.95	465.66	6.5500	6.5390
TBILLS 91 DTB	1	T+0	1D	92.99	93.24	6.5500	6.5500
Total	119	24748.40			23534.53

Special Repo
Security Description	Trades	Sett. Type	Tenor	TTA	TTA-MV	LTR	WAR
08.27 GS 2020	9	T+0	1D	1677.00	1801.42	6.5400	6.4876
07.61 GS 2030	14	T+0	1D	1505.00	1637.26	6.4100	6.4273
07.59 GS 2029	16	T+0	1D	1440.00	1514.07	6.3000	6.4109
07.59 GS 2026	10	T+0	1D	940.00	996.90	6.2500	6.4741
07.88 GS 2030	8	T+0	1D	695.00	747.80	6.4300	6.4278
07.28 GS 2019	3	T+0	1D	630.00	653.79	6.5000	6.4937
07.83 GS 2018	4	T+0	1D	565.00	594.90	6.5000	6.5051
07.68 GS 2023	6	T+0	1D	315.00	335.66	6.2500	6.4786
08.13 GS 2045	2	T+0	1D	250.00	285.17	6.4000	6.4000
06.35 GS 2020	2	T+0	1D	240.00	241.00	6.5000	6.5000
07.75 RJ UDAY 2018	3	T+0	1D	238.00	245.65	6.5400	6.5064
07.72 GS 2025	3	T+0	1D	230.00	246.92	6.4000	6.4435
08.21 RJ UDAY 2018	2	T+0	1D	200.00	211.53	6.5000	6.5000
08.15 GS 2026	3	T+0	1D	180.00	199.45	6.3500	6.3639
GOI FRB 2020	1	T+0	1D	161.00	161.14	6.5000	6.5000
08.17 GS 2044	1	T+0	1D	150.00	172.15	6.4300	6.4300
08.38 UP UDAY 2027	1	T+0	1D	150.00	162.47	6.5800	6.5800
08.32 UP UDAY 2025	1	T+0	1D	135.00	144.70	6.5800	6.5800
07.16 GS 2023	4	T+0	1D	125.00	129.81	6.4500	6.4460
08.83 GS 2023	1	T+0	1D	120.00	136.11	6.4500	6.4500
08.21 HR UDAY 2023	1	T+0	1D	100.00	107.97	6.5400	6.5400
09.20 TN SDL 2018	1	T+0	1D	100.00	108.33	6.5200	6.5200
08.27 RJ UDAY 2022	1	T+0	1D	97.00	103.08	6.5400	6.5400
07.65 TN SDL 2019	1	T+0	1D	95.00	96.72	6.5400	6.5400
08.01 RJ UDAY 2020	1	T+0	1D	82.00	85.36	6.5400	6.5400
06.97 GS 2026	2	T+0	1D	80.00	81.36	5.9000	6.1750
08.83 GS 2041	1	T+0	1D	75.00	91.39	6.5800	6.5800
09.60 GJ SDL 2018	1	T+0	1D	75.00	77.95	6.5200	6.5200
08.46 MH SDL 2019	1	T+0	1D	70.00	72.35	6.5500	6.5500
08.00 MH SDL 2018	1	T+0	1D	65.00	66.42	6.6000	6.6000
08.35 UP UDAY 2029	1	T+0	1D	65.00	70.41	6.5800	6.5800
08.25 UP UDAY 2023	1	T+0	1D	62.00	66.38	6.5400	6.5400
09.20 GS 2030	1	T+0	1D	60.00	73.56	6.5800	6.5800
08.49 UP UDAY 2030	1	T+0	1D	57.00	63.53	6.6000	6.6000
08.33 GS 2026	1	T+0	1D	55.00	60.91	6.5000	6.5000
08.79 GS 2021	1	T+0	1D	55.00	61.36	6.5500	6.5500
08.39 RJ UDAY 2023	1	T+0	1D	50.00	52.40	6.5400	6.5400
06.90 GS 2019	2	T+0	1D	45.00	45.86	6.4500	6.4500
08.12 GS 2020	1	T+0	1D	45.00	48.25	6.4500	6.4500
07.86 RJ UDAY 2019	1	T+0	1D	38.00	39.49	6.5500	6.5500
08.20 GS 2022	2	T+0	1D	35.00	37.22	6.5500	6.5500
07.50 GS 2034	1	T+0	1D	25.00	26.31	6.1000	6.1000
08.24 OD SDL 2021	1	T+0	1D	25.00	26.62	6.5400	6.5400
08.89 TN SDL 2022DEC	1	T+0	1D	15.00	16.56	6.4800	6.4800
09.23 GS 2043	1	T+0	1D	15.00	18.94	6.5700	6.5700
08.92 RJ SDL 2022NOV	1	T+0	1D	10.00	11.10	6.5000	6.5000
08.99 GJ SDL 2022	1	T+0	1D	10.00	10.78	6.5000	6.5000
08.94 GJ SDL 2022	1	T+0	1D	5.00	5.39	6.5500	6.5500
Total	125	11457.00			12243.90

CBLO ID	Sett. Type	Open	High	Low	LTY	WAR	Trades	Volume (Crs.)
CBLO/290916	T+0	6.46	6.49	6.45	6.49	6.47	351	44485.75
Total							351	44485.75

Security Description	Trades	TTA	LTP	LTY
07.59 GS 2026	622	7795.0000	104.4425	6.9308
07.59 GS 2029	393	4720.0000	105.0225	6.9800
07.61 GS 2030	281	2945.0000	105.8900	6.9332
07.88 GS 2030	216	2095.0000	107.4100	7.0201
07.68 GS 2023	64	930.0000	104.3300	6.9048
07.72 GS 2025	52	805.0000	104.7250	6.9813
08.12 GS 2020	26	435.0000	104.7250	6.8025
06.97 GS 2026	34	365.0000	101.2700	6.7913
08.27 GS 2020	16	330.0000	104.8775	6.7512
07.80 GS 2021	17	190.0000	103.6650	6.8449
07.35 GS 2024	12	160.0000	102.4000	6.9410
08.35 GS 2022	7	155.0000	106.5225	6.9273
08.32 GS 2032	5	150.0000	111.0000	7.1471
08.83 GS 2041	7	140.0000	118.8000	7.2009
08.15 GS 2026	6	95.0000	107.9800	7.0349
08.13 GS 2045	13	85.0000	112.0300	7.1378
08.24 GS 2033	9	65.0000	110.9500	7.1216
08.60 GS 2028	9	50.0000	111.6975	7.1067
08.40 GS 2024	2	50.0000	108.1100	7.0327
08.17 GS 2044	5	40.0000	112.1500	7.1597
08.20 GS 2025	2	35.0000	107.5800	7.0468
07.16 GS 2023	4	25.0000	101.2600	6.9178
08.79 GS 2021	3	25.0000	108.1000	6.8796
08.83 GS 2023	2	25.0000	110.3450	6.9667
08.30 GS 2040	1	25.0000	112.9500	7.1568
07.40 GS 2035	2	20.0000	103.4000	7.0709
06.90 GS 2019	3	15.0000	100.4600	6.7109
06.83 GS 2039	2	15.0000	98.6175	6.9516
07.83 GS 2018	1	10.0000	101.6100	6.7048
06.17 GS 2023	2	5.0000	97.8000	6.5789
06.35 GS 2020	1	5.0000	98.9000	6.7270
06.17 GS 2023	1	5.0000	97.6500	6.6074
08.07 GS 2017JUL	1	5.0000	101.0400	6.6239
06.90 GS 2019	1	3.0520	100.3900	6.7387
06.25 GS 2018	2	2.0000	99.4300	6.7191
07.72 GS 2055	2	2.0000	107.2100	7.1673
07.50 GS 2034	1	1.0000	104.2400	7.0769
07.40 GS 2035	1	1.0000	103.3150	7.0789
08.65 KL SDL 2023	3	65.0000	106.7300	7.2910
08.30 RJ SDL 2026	1	20.0000	106.8000	7.2774
08.07 RJ SDL 2026	4	10.0000	105.7800	7.2288
07.96 MH SDL 2026	3	10.0000	104.3200	7.3296
07.96 MH SDL 2026	2	10.0000	104.8700	7.2521
08.39 RJ UDAY 2025	1	10.0000	106.1000	7.4060
08.20 RJ SDL 2025	2	5.0000	105.6500	7.3107
07.96 GJ SDL 2025	2	5.0000	104.3400	7.2952
08.14 HR UDAY 2023	1	5.0000	103.8500	7.4018
08.20 RJ SDL 2025	1	5.0000	105.8500	7.2804
08.27 RJ UDAY 2022	1	5.0000	104.1500	7.3655
07.16 MH SDL 2026	4	4.2670	100.1900	7.1330
08.33 TS SDL 2025	1	3.4200	106.2600	7.3353
364 DTB 19012017	5	450.0000	98.0386	6.5200
091 DTB 27102016	7	445.0000	99.5031	6.5100
364 DTB 02032017	6	340.0000	97.3148	6.5400
091 DTB 03112016	2	330.0000	99.3801	6.5050
091 DTB 10112016	4	310.0000	99.2570	6.5050
364 DTB 16032017	3	200.0000	97.0778	6.5400
182 DTB 29122016	2	180.0000	98.4053	6.5000
182 DTB 12012017	2	150.0000	98.1589	6.5200
091 DTB 06102016	4	130.0000	99.8758	6.4850
182 DTB 20102016	1	100.0000	99.6268	6.5100
091 DTB 24112016	1	40.0000	99.0111	6.5100
091 DTB 13102016	4	30.0000	99.7509	6.5100
364 DTB 12042017	1	25.0000	96.6040	6.5800
091 DTB 20102016	1	20.0000	99.6263	6.5200
Total	1897	24731.7390

Reported Deals	Trades	TTA	LTP	LTY
08.83 GS 2041	9	475.0000	118.5600	7.2191
08.27 GS 2020	2	350.0000	104.8800	6.7504
07.88 GS 2030	5	275.0000	107.4000	7.0213
07.59 GS 2029	5	275.0000	105.0150	6.9809
07.59 GS 2026	5	225.0000	104.4600	6.9283
07.68 GS 2023	2	150.0000	104.3850	6.8952
07.80 GS 2020	1	100.0000	103.2188	6.7729
09.15 GS 2024	2	90.0000	112.5443	7.0900
08.28 GS 2027	2	50.0000	109.1700	7.0649
07.61 GS 2030	1	50.0000	105.8700	6.9354
09.15 GS 2024	1	48.0000	112.5443	7.0900
08.12 GS 2020	1	15.0000	104.7200	6.8038
07.59 GS 2026	1	3.0000	104.5750	6.9118
08.08 MH SDL 2026	3	105.0000	105.5550	7.2700
08.30 MP SDL 2026	3	100.0000	106.6350	7.3011
08.21 MH SDL 2025	1	5.0000	106.0691	7.2900
07.83 GJ SDL 2026	1	5.0000	103.9989	7.2500
07.16 MH SDL 2026	1	5.0000	100.1450	7.1394
07.19 WB SDL 2026	1	5.0000	100.1450	7.1694
07.19 UP SDL 2026	1	1.0000	100.0500	7.1829
08.33 RJ UDAY 2025	1	0.2000	105.6800	7.4313
08.51 UP SDL SPL 2023	1	0.1000	105.8200	7.4299
091 DTB 06102016	1	150.0000	99.8755	6.5000
Total	51	2482.3000

Instruments	Open Rate	High Rate	Low Rate	LTP
SPOT	66.4350	66.4900	66.4350	66.4525