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SETTLEMENT STATISTICS - CCIL

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					               SECURITIES                                 CBLO
                            Jun/11                                 Jun/11
                      Trades Value (Rs.                   Trades
                              Crore)
Outright                37286     301242    Overnight       10675
Repo                     3002     432893    Term             2488
Total                   40288     734135    Total           13163
Daily Avg. Outright       1695      13693   Average            506
Daily Avg. Repo            115      16650


                  FOREX                                  FX-CLEAR
                            Jun/11                             Jun/11
                      Trades Value (USD
                              Million)
                                                          Trades
Cash                      2064     50590    Spot              9375
Tom                       3273     67572    Daily Avg.         426
Spot                      90327    214851
Forward                  8740      88146
Total                   104404     421159
Daily Avg.                4746      19144
  CBLO
         Jun/11
           Value (Rs.
           Crore)
               895786
               178348
              1074134
                 41313




FX-CLEAR
      Jun/11
        Value (USD
        Million)

                  4993
                   227
                                            LIQUIDITY ANALYSIS FOR CENTRAL GOVERNMENT SECURITIES TRANSA


                                                                                                  Percent
                                                                        Days      Volume traded   share in
                                                                     traded (in   in last 12      last 12
                                                     Maturity          last 12    months (FV in   months
Sr. No.                          Security             Date            months)     Rs. Crore)      volume
           1 7.80% G.S. 2021                          11-Apr-21              57          227312         10.49
           2 8.13% G.S. 2022                          21-Sep-22             218          508803         23.48
           3 8.08% G.S. 2022                           2-Aug-22             202          310444         14.33
           4 7.83% G.S. 2018                          11-Apr-18              57           26953          1.24
           5 7.59% G.S. 2016                          12-Apr-16              82           11397          0.53
           6 7.99% G.S. 2017                            9-Jul-17            172          122529          5.66
           7 8.26% G.S. 2027                           2-Aug-27             244           64474          2.98
           8 FRB 2020                                 21-Dec-20             110           16820          0.78
           9 8.28% G.S. 2032                           15-Feb-32            145            3984          0.18
          10 9.39% G.S. 2011                             2-Jul-11            94           10480          0.48
          11 7.17% G.S. 2015                           14-Jun-15            239          159058          7.34
          12 7.40% G.S. 2012                           3-May-12             187           26817          1.24
          13 6.90% OMC SB 2026                        16-Apr-17             114           24726          1.14
          14 6.35% OMC SB 2024                        23-Dec-24              92            2972          0.14
          15 6.90% OMC SB 2026                          4-Feb-26            131            6169          0.28
          16 5.59% G.S. 2016                            4-Jun-16             18             459          0.02
          17   6.72% G.S. 2014                         24-Feb-14             23            3047          0.14
          18   7.27% G.S. 2013                           3-Sep-13           148           16450          0.76
          19   6.85% G.S. 2012                          5-Apr-12             93            8234          0.38
          20   7.47% OMC SB 2012                        7-Mar-12             16             525          0.02
          21   8.30% G.S. 2040                            2-Jul-40          217           21573          1.00
          22   6.07% G.S. 2014                        15-May-14              17             605          0.03
          23   8.24% G.S. 2018                        22-Apr-18              40             312          0.01
          24   7.95% OMC SB 2025                       18-Jan-25             26            1467          0.07
          25   11.50% G.S. 2015                       21-May-15              28             162          0.01
          26   11.50% G.S. 2011                       24-Nov-11              12            1418          0.07
          27   8.20% OMC SB 2024                       15-Sep-24            134            1691          0.08
          28   11.50% G.S. 2011                        5-Aug-11              24            1120          0.05
          29   6.35% G.S. 2020                           2-Jan-20            97            1602          0.07
          30   FRB 2014                               20-May-14               1              25          0.00
          31 6.01% G.S. 2028                          25-Mar-28              36              67          0.00
          32 7.38% G.S. 2015                            3-Sep-15             63            4754          0.22
          33 10.25% G.S. 2012                           1-Jun-12             27             202          0.01
          34 7.80% G.S. 2020                           3-May-20             201          480986         22.20
          35   5.69% G.S. 2018                         25-Sep-18             20             148          0.01
          36   8.32% G.S. 2032                         2-Aug-32              92            3845          0.18
          37   7.02% G.S. 2016                        17-Aug-16             110           11212          0.52
          38   7.40% G.S. 2035                          9-Sep-35             52             210          0.01
          39   7.37% G.S. 2014                        16-Apr-14              28            1122          0.05
          40   12.00% G.S. 2011                        21-Oct-11             15             299          0.01
          41   6.30% G.S. 2023                          9-Apr-23             18              17          0.00
        42 8.20% OMC SB 2023                       10-Nov-23         49            189           0.01
        43 7.75% OMC SB 2021                       28-Nov-21          7              2           0.00
        44 6.05% G.S. 2019                          12-Jun-19        55            205           0.01
        45 8.20% G.S. 2022                          15-Feb-22       133          24528           1.13
        46 7.56% G.S. 2014                          3-Nov-14         15            108           0.00
        47 7.5% G.S. 2034                          10-Aug-34        110            469           0.02
        48 9.85% G.S. 2015                          16-Oct-15        16            367           0.02
        49 10.25% G.S. 2021                        30-May-21         50            182           0.01
        50 7.95% G.S. 2032                         28-Aug-32         80            847           0.04
        51 6.25% G.S. 2018                           2-Jan-18        45            309           0.01
        52 10.71% G.S. 2016                        19-Apr-16          4            205           0.01
        53 12.40% G.S. 2013                        20-Aug-13         32            105           0.00
        54 8.03% FCI SB 2024                          15-Dec-24        13              7         0.00
                                                                                   54723
        55 Other Securities Traded During The Past 12 Months But Not Traded During The Month     2.53
           Total                                                               2166736         100.00


* Turnover Ratio has been calculated as 12 months cumulative trading value as a percentage of market capitalization of
Capitalization are Weighted Average prices as on June 30, 2011. In case of non availability Weighted Average prices, CCI
ERNMENT SECURITIES TRANSACTED DURING THE MONTH
                                                                                                     Average
                                                                                                     Daily
                                                                                       Average Daily Trading
                      Volume for                 Market                                Trading Value Value in
        No. of        June - 2011    Percent     Capitalization                        in last 12    June - 2011
        Trades (June, (FV in Rs.     share in    (FV in Rs.        Turnover            months (FV in (FV in Rs.
        2011)         Crore)         (June 2011) Crore)            Ratio*              Rs. Crore)    Crore)
               20,204       149730          56.16       26039.10           872.96             3987.93     6805.91
                7,941        55650          20.87       47451.42          1072.26             2333.96     2529.55
                3,908        25717           9.65       45806.73           677.73             1536.85     1168.95
                1,572        13134           4.93       17506.66              153.96           472.86      597.00
                  537         4092           1.53       65996.79               17.27           138.99      194.86
                  213         2960           1.11       58067.80              211.01           712.38      134.55
                  567         2468           0.93       62578.52              103.03           264.24      112.18
                   40         2200           0.83        7676.00              219.12           152.91      146.67
                  244         2049           0.77       56857.25                7.01            27.48      128.06
                   35         2015           0.76       37000.03               28.32           111.49      223.89
                  190         1859           0.70       53900.00              295.10           665.51       92.95
                   36         1405           0.53       32834.27               81.67           143.41       93.67
                   50          570           0.21       55732.20               44.37           216.89       51.82
                   46          563           0.21       18128.00               16.39            32.30       56.30
                   78          541           0.20       18873.48               32.69            47.09       36.07
                   16          230           0.09        5334.00                8.61            25.50       32.86
                    1          200           0.08       14751.24               20.66           132.48      200.00
                    6          180           0.07       45139.80               36.44           111.15       60.00
                    8          170           0.06       25718.24               32.02            88.54       56.67
                    6          135           0.05        1987.85               26.41            32.81       45.00
                   28          115           0.04       42856.00               50.34            99.41        8.85
                    1          100           0.04       37894.03                1.60            35.59      100.00
                    8           83           0.03       49450.00                0.63             7.80       20.75
                    4           83           0.03       10704.26               13.70            56.42       20.75
                    5           70           0.03        3979.57                4.07             5.79       17.50
                    1           35           0.01       11132.28               12.74           118.17       35.00
                    3           30           0.01       10021.82               16.87            12.62       15.00
                    2           28           0.01        2869.89               39.03            46.67       14.00
                    1           25           0.01       53580.33                2.99            16.52       25.00
                    1           25           0.01        4990.37                0.50            25.00       25.00
                    2           25           0.01       11581.46                0.58             1.86       12.50
                    3           15           0.01       59096.80                8.04            75.46        5.00
                    1           15           0.01        1600.54               12.62             7.48       15.00
                    3           15           0.01       57820.84              831.86          2392.97        7.50
                    3           11           0.00       13726.63                1.08             7.40        3.67
                    5           11           0.00       13726.63               28.01            41.79        2.75
                    2           10           0.00       56783.24               19.75           101.93        5.00
                    7            5           0.00       36813.50                0.57             4.04        0.83
                    1            5           0.00       41100.82                2.73            40.07        5.00
                    1            5           0.00        3282.02                9.11            19.93        5.00
                    4            4           0.00       10899.00                0.16             0.94        1.33
                        1            2        0.00        21423.07           0.88           3.86        2.00
                        4            1        0.00         4743.37           0.04           0.29        0.25
                        5            1        0.00         9544.40           2.15           3.73        0.20
                        2            1        0.00        56575.98          43.35         184.42        0.50
                        4            1        0.00        40099.92           0.27           7.20        0.33
                        5            1        0.00        53313.77           0.88           4.26        0.25
                        3            0        0.00        10530.38           3.49          22.94        0.00
                        1            0        0.00        29411.83           0.62           3.64        0.00
                        2            0        0.00        55250.70           1.53          10.59        0.00
                        1            0        0.00        15097.78           2.05           6.87        0.00
                        2            0        0.00         9815.63           2.09          51.25        0.00
                        1            0        0.00        12954.13           0.81           3.28        0.00
                        1            0        0.00         4788.37          0.15            0.54        0.00
                                              0.00           #N/A          #N/A      #DIV/0!       #DIV/0!
                    35816       266590      100.00


ercentage of market capitalization of respective security. Note: Prices used for calculating Market
ability Weighted Average prices, CCIL Model prices as on June 30, 2011 are used.
CATEGORYWISE BUYING ACTIVITY                                       Market Share (%)
                                           Reverse      CBLO       NDS-Call
                                Outright    Repo       Lending     Lending
Co-operative Banks                  2.69       0.38         0.58         3.28
Financial Institutions              0.78       0.20         1.41            -
Foreign Banks                      30.74       9.64         1.23         5.52
Insurance Companies                 1.58      10.16        10.98            -
Mutual Funds                        5.99      59.12        67.45            -
Other Corporates                    1.17       0.06         1.65            -
Primary Dealers                    22.26       2.37         0.02         0.00
Private Sector Banks               14.24       9.22         2.10         7.82
Public Sector Banks                20.55       8.84        14.57        83.38

CATEGORYWISE SELLING ACTIVITY                                      Market Share (%)
                                                        CBLO        NDS-Call
                                Outright    Repo      Borrowing    Borrowing
Co-operative Banks                  2.65       1.62         3.68         0.86
Financial Institutions              0.12       0.00         4.03            -
Foreign Banks                      31.05      40.80        20.24        34.41
Insurance Companies                 1.69       0.00         0.00            -
Mutual Funds                        4.69       0.00         0.74            -
Other Corporates                    0.21       0.00        13.51            -
Primary Dealers                    27.81      35.60         7.41         7.25
Private Sector Banks               14.28      17.36        17.59        35.72
Public Sector Banks                17.51       4.60        32.79        21.77
Market Share (%)
                            IRS-      IRS-
              Forex        MIBOR     MIFOR
                    0.09         -        -
                    0.01         -        -
                   52.02     75.72    92.24
                       -         -        -
                       -         -        -
                       -         -        -
                       -      9.05     0.00
                    21.7     13.66     7.50
                   26.18      1.57     0.25

Market Share (%)
                            IRS-      IRS-
              Forex        MIBOR     MIFOR
                    0.09         -        -
                    0.02         -        -
                   52.48     77.11    85.50
                       -         -        -
                       -         -        -
                       -         -        -
                       -      9.48     0.00
                   20.78     11.50    14.25
                   26.63      1.91     0.25
                                                        Trading Platform Analysis - G-Sec Trading Volume (Amoun
                               NDS (Gilts)                                 NDS-OM (Gilts)

                        No. of                   Market Share            No. of
Date         Trades     Securities    Value      (%)           Trades    Securities Value
    1/Jun/11         47            11    483.42          3.10      2130           11   15121.45
    2/Jun/11         93            13 1225.52            8.42      1848           10   13328.04
    3/Jun/11         59            10 1149.30           10.08      1430             9  10252.88
    6/Jun/11         73            12 1210.54           10.53      1560             9  10287.01
    7/Jun/11         79            10    810.86          6.35      1622             9  11962.21
    8/Jun/11         71            10    801.63          5.66      1945           10   13366.45
    9/Jun/11         86            16 1632.95           12.62      1588             9  11305.77
  10/Jun/11        143             20 2288.57           14.50      1812             9  13494.25
  13/Jun/11        100             17 1438.56           10.73      1769           12   11970.18
  14/Jun/11        103             13 1877.22           16.05      1311           10    9819.30
  15/Jun/11          92            18 1110.32           10.72      1251             9   9245.71
  16/Jun/11        101             13 1329.15            7.73      2292           11   15863.93
  17/Jun/11        138             16 1564.10            7.39      2781           10   19588.20
  20/Jun/11        130             14 1393.92            9.64      1973           12   13060.72
  21/Jun/11          82            17 1283.69           13.97      1217             9   7906.30
  22/Jun/11        107             21 1956.90           22.73       988           12    6650.85
  23/Jun/11          84            20    786.52          8.39      1191           10    8587.17
  24/Jun/11          90            16 1677.36           15.64      1277           11    9048.32
  27/Jun/11        105             18 1254.22           20.59       650           11    4838.05
  28/Jun/11          77            18    812.67         12.65       686           10    5611.19
  29/Jun/11          82            15 1102.95           21.02       610           15    4142.99
  30/Jun/11          79            18    657.11          9.79       920             8   6055.84
Total              2021                 27847.48                   32851                231506.81
Average              92            15    1265.79                    1493           10    10523.04
Percent Market Share                                     10.74
-Sec Trading Volume (Amount in Rs. Crore)
 (Gilts)                       Brokered Deals (Gilts)                    Total (Gilts)

           Market              No. of                Market              No. of
           Share (%) Trades    Securities Value      Share (%) Trades    Securities Value
               96.90        21           4   425.00       2.72     2177           14 15604.88
               91.58        45           9 1052.00        7.23     1941           16 14553.56
               89.92        37           7   930.00       8.16     1489           10 11402.18
               89.47        32           7   710.00       6.18     1633           13 11497.55
               93.65        33           8   725.00       5.68     1701           10 12773.07
               94.34        36           8   686.00       4.84     2016           12 14168.08
               87.38        45          10 1195.00        9.24     1674           16 12938.72
               85.50        52           9 1250.00        7.92     1955           21 15782.82
               89.27        32          10   960.00       7.16     1869           18 13408.74
               83.95        44           7 1100.00        9.40     1414           15 11696.52
               89.28        34           9   840.00       8.11     1343           19 10356.02
               92.27        47           8 1130.00        6.57     2393           17 17193.08
               92.61        61           9 1298.50        6.14     2919           18 21152.30
               90.36        47           9 1077.00        7.45     2103           16 14454.64
               86.03        49           9 1200.00       13.06     1299           18   9189.99
               77.27        56          13 1780.00       20.68     1095           22   8607.75
               91.61        33           8   640.00       6.83     1275           23   9373.69
               84.36        46          11 1085.00       10.12     1367           19 10725.67
               79.41        27          12   940.00      15.43      755           19   6092.27
               87.35        22           6   540.00       8.41      763           19   6423.86
               78.98        37          10   960.00      18.30      692           20   5245.94
               90.21        29           6   485.00       7.22      999           18   6712.95
                           865              21008.50               34872              259354.28
                            39           9    954.93                1585           17  11788.83
                89.26                                      8.10
                                                                                   Trading Platform Analysis - T-Bill Trading Volume (Amoun
                                               NDS (T-Bills)                                                 NDS-OM (T-Bills)
                                  No. of                                 Market Share                No. of
Date               Trades         Securities          Value              (%)          Trades         Securities     Value
       1-Jun-11             12                    6        531.95              38.63           37                  9       845.00
       2-Jun-11             36                    8       1725.62              81.13           20                  8       401.30
        3-Jun-11             15                  11             428.07         53.38            18                9         373.88
        6-Jun-11             11                   7             145.97         25.34            20                4         430.00
        7-Jun-11             15                   7             819.82         74.20            17                6         285.00
        8-Jun-11             18                   6            1054.65         58.73            28                9         741.00
        9-Jun-11             42                   6            1790.72         69.74            29                5         777.00
       10-Jun-11              8                   8             783.05         56.93            22                4         592.48
       13-Jun-11             11                   6             142.50         26.38            16                8         397.73
       14-Jun-11              7                   4             127.08         16.90            20                5         625.00
       15-Jun-11             10                   7             339.09         81.89             3                1          75.00
       16-Jun-11             60                   9            1957.17         92.21            13                5         165.45
       17-Jun-11             24                   9             963.04         78.74             9                4         260.00
       20-Jun-11             15                   9             637.50         46.96            38                9         720.00
       21-Jun-11             12                  10             479.60         43.03            23                7         635.00
       22-Jun-11             12                   8             804.83         69.26            17                7         357.19
       23-Jun-11             47                   9            2554.06         81.23            27                8         590.00
       24-Jun-11             17                   9             612.79         55.32            26               10         495.00
       27-Jun-11             15                   8             462.75         36.79            35                9         795.00
       28-Jun-11             29                  11             930.24         81.21            17                8         215.26
       29-Jun-11             62                  11            2753.39         72.81            47               15        1028.41
       30-Jun-11             32                  11            4452.84         68.18            48                8        2078.23
Total                       510                               24496.70                         530                        12882.92
Average                      23                   8            1113.49                          24                 7        585.59
Percent Market Share                                                           65.53
- T-Bill Trading Volume (Amount in Rs. Crore)
(T-Bills)                                    Brokered Deals (T-Bills)                                                   Total (T-Bills)
            Market                                                           Market                        No. of
            Share (%)     Trades         No. of Securities Value             Share (%)     Trades          Securities           Value
                  61.37             4                  3           335.00          24.33             49                   12         1376.95
                  18.87             3                  3           160.00           7.52             56                   12         2126.93
                  46.62              4                  4           283.35         35.33              33                   13             801.95
                  74.66              5                  4           100.00         17.36              31                    9             575.97
                  25.80              8                  6           335.00         30.32              32                    9            1104.82
                  41.27              7                  4           395.00         22.00              46                   11            1795.65
                  30.26             10                  6           602.06         23.45              71                    7            2567.72
                  43.07              4                  4           400.60         29.12              30                    9            1375.53
                  73.62              2                  2            50.00          9.26              27                   12             540.23
                  83.10              3                  3           125.00         16.62              27                    8             752.08
                  18.11              5                  4           213.59         51.58              13                    8             414.09
                   7.79             10                  6           685.00         32.27              73                   10            2122.62
                  21.26             11                  3           876.34         71.65              33                    9            1223.04
                  53.04              6                  4           480.00         35.36              53                   15            1357.50
                  56.97              3                  3           315.00         28.26              35                   13            1114.60
                  30.74              4                  3           147.00         12.65              29                   12            1162.02
                  18.77             12                  6           566.61         18.02              74                   11            3144.06
                  44.68              5                  3           400.00         36.11              43                   13            1107.79
                  63.21              6                  2           395.00         31.41              50                   13            1257.75
                  18.79              7                  3           427.46         37.32              46                   13            1145.50
                  27.19              7                  4           515.00         13.62             109                   17            3781.80
                  31.82             10                  5          1278.85         19.58              80                   14            6531.07
                                   136                             9085.85                          1040                                37379.67
                                     6                  4           412.99                            47                   11            1699.08
                  34.47                                                            24.31
TRADING DETAILS

                     Central Government                 SDL                        T-Bills
       Date        Trades         Value       Trades          Value       Trades             Value
      1-Jun-11         2177        15604.88            22         93.86            49         1376.95
      2-Jun-11         1941        14553.56            16         65.05            56         2126.93
      3-Jun-11         1489        11402.18             5          8.73            33           801.95
      4-Jun-11
      6-Jun-11         1633       11497.55             14        86.00             31          575.97
      7-Jun-11         1701       12773.07             12        70.28             32         1104.82
      8-Jun-11         2016       14168.08             44       514.79             46         1795.65
      9-Jun-11         1674       12938.72             23       147.04             71         2567.72
     10-Jun-11         1955       15782.82             10         8.20             30         1375.53
     11-Jun-11
     13-Jun-11         1869       13408.74             18        57.27             27          540.23
     14-Jun-11         1414       11696.52              8        20.61             27          752.08
     15-Jun-11         1343       10356.02             20       200.99             13          414.09
     16-Jun-11         2393       17193.08             15       195.81             73         2122.62
     17-Jun-11         2919       21152.30             14        93.24             33         1223.04
     18-Jun-11
     20-Jun-11         2103       14454.64             29       109.41             53         1357.50
     21-Jun-11         1299        9189.99             31       202.83             35         1114.60
     22-Jun-11         1095        8607.75             52       461.29             29         1162.02
     23-Jun-11         1275        9373.69             24       137.53             74         3144.06
     24-Jun-11         1367       10725.67             26        45.45             43         1107.79
     25-Jun-11
     27-Jun-11           755       6092.27          21           69.87          50            1257.75
     28-Jun-11           763       6423.86          22           60.84          46            1145.50
     29-Jun-11           692       5245.94          29           86.32         109            3781.80
     30-Jun-11           999       6712.95          17          114.00          80            6531.07
Total                 20551      148234.76         321         2378.08         675           26424.15
Average                  979       7058.80          15          113.24          32            1258.29
Market Share (%)       95.38         83.73        1.49        1.34            3.13              14.93
                                                                                             Amt. Rs. Cro
 Total                             Repo                        CBLO                       Forex*
Trades      Value       Trades            Value        Trades         Value        Trades
     2248    17075.69        148            20897.74        578         49959.40        3786
     2013    16745.54        145            17328.15        622         58103.75        4565
     1527    12212.86        274            53243.53        436         25194.95        5159
                                                              94         4164.75
    1678     12159.52       133            16099.97         541         46177.85       3887
    1745     13948.17       125            17195.84         539         43999.20       4346
    2106     16478.52       129            16598.07         525         45477.35       4280
    1768     15653.48       124            15191.44         564         46783.45       4180
    1995     17166.55       116            16159.88         592         46700.10       4842
                              1               57.00           64         2467.35
    1914     14006.24       127            17317.64         669         57096.85       4417
    1449     12469.21       113            17611.53         657         61410.00       4287
    1376     10971.10       110            14867.79         612         54133.90       4087
    2481     19511.51       111            15433.03         582         49171.35       4113
    2966     22468.58       219            35070.04         446         23368.95       4150
                              1                4.63           91         3802.20
    2185     15921.55       116            15800.33         521         38430.60       5230
    1365     10507.42       118            15641.92         523         42498.95       4742
    1176     10231.06       116            14334.21         553         45254.75       4643
    1373     12655.28       109            13611.03         645         51594.20       4025
    1436     11878.91       125            15659.83         695         61922.55       3819
                              2              105.01           71         4386.50
     826      7419.89       123            22610.16         713         64415.25       4191
     831      7630.20       148            25956.46         740         68049.20       4516
     830      9114.06       117            17045.94         623         52810.50       4534
    1096     13358.02       152            19052.15         467         26759.95      12605
   21547    177036.99      2829           397430.31       12219       1023116.55     102173
    1026      8430.33       113            15897.21         489         40924.66       5109
   Amt. Rs. Crore   #
Forex*              #
       Value        #
        15238.16    #
        18407.48 #
        18980.55 #
                 #
        14794.61 #
        13789.78
        13962.42 #
        13542.22 #
        17936.06 #
                    #
        19230.31 #
        15443.52 #
        15477.08
        15684.27
        15578.00
                    #
        19580.16 #
        16581.62
        14857.91
        12899.15
        12056.40

        13093.21
        14568.09
        17126.25
        92331.55
       381796.84 #
        19089.84 #
                    #
                              INTEREST RATE SWAP TRANSACTIONS (MATCHED)
                    MIBOR                     MIFOR                 INBMK
         Volume (Rs in             Volume (Rs in           Volume (Rs in
    Date    Crores)       Trades      Crores)       Trades    Crores)

 1/Jun/11   11670        168         1065         17          0

2/Jun/11    23798        282         275          4           0

3/Jun/11    14135        196         175          4           0

6/Jun/11    9144         145         707.5        15          0

7/Jun/11    2920         52          788          15          0

8/Jun/11    10833        204         272.5        6           0

9/Jun/11    18183        296         125          3           0

10/Jun/11   19355        262          50          2           0

13/Jun/11   17910        244          50          2           0

14/Jun/11   15645        234         250          1           0

15/Jun/11   11370        184         1445         11          0

16/Jun/11   22449        350         184          4           0

17/Jun/11   24311        372         100          2           0

20/Jun/11   7745         131         517          14          0

21/Jun/11   4950         80          1492         24          0

22/Jun/11   5721         111         250          5           0

23/Jun/11   5401         115         300          5           0

24/Jun/11   6493         127         350          7           0

27/Jun/11   4757         76          425          2           0

28/Jun/11   6977         98          310          6           0

29/Jun/11   7295         127         225          3           0

30/Jun/11    7360         99         560          12          50
    Total   258422      3953         9916        164          50
  Average    11746       180         451           7           2
NS (MATCHED)
      INBMK                   TOTAL
                    Volume (Rs
           Trades    in Crores)    Trades

               0          12735     185

               0          24073     286

               0          14310     200

               0           9852     160

               0           3708      67

               0          11106     210

               0          18308     299

               0          19405     264

               0          17960     246

               0          15895     235

               0          12815     195

               0          22633     354

               0          24411     374

               0           8262     145

               0           6442     104

               0           5971     116

               0           5701     120

               0           6843     134

               0           5182      78

               0           7287     104

               0           7520     130

               1           7970     112
               1         268388     4118
               0          12199     187
Sr.
No. ISIN No.         Security                                                Issue Date
  1   IN0020010057   9.39% 2011                                                    2-Jul-01
  2   IN0020040021   6.10% UTI Spl. Bonds 2011                                   23-Jul-04
  3   IN0019910044   11.50% 2011                                                5-Aug-91
  4   IN0019910127   12% 2011                                                   21-Oct-91
  5   IN0020000116   11.50% 2011(2nd Series)                                   24-Nov-00
  6   IN0020050053   7.47% Oil Marketing Companies GOI Special Bonds, 2012       7-Mar-06
  7   IN0020050087   7.44% Oil Marketing Companies GOI Special Bonds, 2012     23-Mar-06
  8   IN0020020023   6.85% 2012                                                  5-Apr-02
  9   IN0020020056   7.40% 2012                                                 3-May-02
 10   IN0019840035   10.25% 2012                                                  1-Jun-84
 11   IN0020000066   11.03% 2012                                                 18-Jul-00
 12   IN0020020080   6.72% 2012                                                  18-Jul-02
 13   IN0020050137   7% OIL COS' GOI SPL BONDS 2012                               9-Sep-05
 14   IN0020010073   9.40% 2012                                                 11-Sep-01
 15   IN0019820037   9% 2013                                                   24-May-82
 16   IN0020010032   9.81% 2013                                                30-May-01
 17   IN0019980187   12.40% 2013 (On Tap)                                      20-Aug-98
 18   IN0020020122   7.27% 2013 (conv)                                            3-Sep-02
 19   IN0020030105   5.32% 2014                                                 16-Feb-04
 20   IN0020020221   6.72% 2014 (Pvt. Placement)                                24-Feb-03
 21   IN0020020049   7.37% 2014                                                16-Apr-02
 22   IN0020090018   6.07% GS 2014                                             15-May-09
 23   IN0019830010   10% 2014                                                  30-May-83
 24   IN0020090067   7.32% 2014                                                 20-Oct-09
 25   IN0019840084   10.50% 2014                                                29-Oct-84
 26   IN0020080043   7.56% G.S. 2014                                            3-Nov-08
 27   IN0019990137   11.83% 2014                                               12-Nov-99
 28   IN0020020205   NAT BK'S(NT) SPL SEC 2015                                    7-Feb-03
 29   IN0020000132   10.47% 2015                                                12-Feb-01
 30   IN0020050061   7.61% Oil Marketing Companies GOI Special Bonds, 2015       7-Mar-06
 31   IN0020050095   7.59% Oil Marketing Companies GOI Special Bonds, 2015     23-Mar-06
 32   IN0020000033   10.79% 2015                                               19-May-00
 33   IN0019850034   11.50% 2015                                               21-May-85
 34   IN0020090026   6.49% 2015                                                   8-Jun-09
 35   IN0020100023   7.17% GOVT.STOCK 2015                                      14-Jun-10
 36   IN0020000090   11.43% 2015 (Pvt. Placement)                               7-Aug-00
 37   IN0020020130   7.38% 2015                                                   3-Sep-02
 38   IN0020010099   9.85% 2015                                                 16-Oct-01
 39   IN0020060219   7.59% 2016                                                12-Apr-06
 40   IN0020010016   10.71% 2016                                               19-Apr-01
 41   IN0020040013   5.59% 2016                                                   4-Jun-04
42   IN0019990129   12.30% 2016 (On Tap)                                                           2-Jul-99
43   IN0020090059   7.02% 2016                                                                 17-Aug-09
44   IN0020010107   8.07% 2017                                                                   15-Jan-02
45   IN0020020031   7.49% 2017                                                                  16-Apr-02
46   IN0020070010   7.99% 2017                                                                     9-Jul-07
47   IN0020020098   7.46% 2017                                                                 28-Aug-02
48   IN0020020163   6.25% 2018                                                                     2-Jan-03
49   IN0020110014   7.83% G.S. 2018                                                             11-Apr-11
50   IN0020080019   8.24% GOVT. STOCK 2018                                                      22-Apr-08
51   IN0020010024   10.45% 2018                                                                 30-Apr-01
52   IN0020030063   5.69% 2018 (conv)                                                            25-Sep-03
53   IN0019980286   12.60% 2018 (On Tap)                                                       23-Nov-98
54   IN0020030097   5.64% 2019                                                                     2-Jan-04
55   IN0020080068   6.05% 2019                                                                    2-Feb-09
56   IN0020030048   6.05% 2019 (conv)                                                            12-Jun-03
57   IN0020090042   6.90% 2019                                                                    13-Jul-09
58   IN0020010065   10.03% 2019                                                                  9-Aug-01
59   IN0020020171   6.35% 2020                                                                     2-Jan-03
60   IN0020000025   10.70% 2020                                                                 22-Apr-00
61   IN0020100015   7.80% G.S. 2020                                                              3-May-10
62   IN0020000124   11.60% 2020                                                              27/Dec/00
63   IN0020009018   11.50% GOI (IIBI) Spl Securities 2021                                       30-Mar-01
64   IN0020110022   7.80% G.S. 2021                                                             11-Apr-11
65   IN0020060318   7.94% G.S. 2021                                                            24-May-06
66   IN0020010040   10.25% 2021                                                                30-May-01
67   IN0020060094   8.13% Oil Marketing Companies Government of India Special Bonds, 2021        16-Oct-06
68   IN0020019017   9.75% GOI (IFCI) SPL SEC 2021                                                30-Oct-01
69   IN0020060096   7.75% Oil Marketing Companies Government of India Special Bonds, 2021      28-Nov-06
70   IN0020060037   8.20% Government Stock 2022                                                  15-Feb-07
71   IN0020020072   8.35% 2022                                                                 14-May-02
72   IN0020070028   8.08% Government Stock 2022                                                  2-Aug-07
73   IN0020039031   5.87% 2022 (conv)                                                          28-Aug-03
74   IN0020070051   8.13% 2022                                                                 21/Sep/07
75   IN0020060095   8.15% Government of India FCI Special Bonds, 2022                          16/Oct/06
76   IN0020089028   7% FERT COS GOI SPL BOND 2022                                             10/Dec/08
77   IN0020089044   6.20% Fertilizer Companies’ Government of India Special Bonds, 2022       24/Dec/08
78   IN0020089051   6.65% Fertilizer Companies Government of India Special Bonds, 2023         29/Jan/09
79   IN0020030014   6.30% 2023                                                                    9-Apr-03
80   IN0020030055   6.17% 2023                                                                   12-Jun-03
81   IN0020089010   8.20% Oil Marketing Companies Government of India Special Bonds 2023       10-Nov-08
82   IN0020079011   8.30% Fertilizer Companies GOI Special Bonds, 2023                          7/Dec/07
83   IN0020060052   8.01% Oil Marketing Companies Government of India Special Bonds, 2023     15/Dec/06
84   IN0020060060   8.20% Oil Marketing Companies Government of India Special Bonds, 2024      12/Feb/07
85   IN0020079045   8.35% SBI Rights Issue Government of India Special Bonds, 2024            27/Mar/08
86   IN0020090034   7.35% 2024                                                                 22/Jun/09
87   IN0020099019   8.20% Oil Marketing Companies’ Government of India Special Bonds, 2024     15/Sep/09
88   IN0020060011   8.03% Government of India FCI Special Bonds, 2024                         15/Dec/06
89   IN0020089036   6.35% Oil Marketing Companies Government of India Special Bonds, 2024     23/Dec/08
90   IN0020079029   7.95% Oil Marketing Companies Government of India Special Bonds 2025         18-Jan-08
91   IN0020079052   8.40% Oil Marketing Companies Government of India Special Bonds, 2025       28-Mar-08
92   IN0020030071   5.97% 2025                                                                   25-Sep-03
 93   IN0020089069   6.90% OIL MKTG COS GOI SB 2026                                               4-Feb-09
 94   IN0020079037   7.95% Fertilizer Companies Government of India Special Bonds, 2026        18/Feb/08
 95   IN0020089077   8.00% OIL MKT COS GOI SB 2026                                            23/Mar/09
 96   IN0020060102   8.40% Oil Marketing Companies Government of India Special Bonds, 2026      29-Mar-07
 97   IN0020010081   10.18% 2026                                                                 11-Sep-01
 98   IN0020060029   8.23% Government of India FCI Special Bonds, 2027                           12-Feb-07
 99   IN0020060078   8.24% Government Stock 2027                                                 15-Feb-07
100   IN0020070036   8.26% Government Stock 2027                                               2/Aug/07
101   IN0020070069   8.28% 2027                                                                21/Sep/07
102   IN0020020247   6.01% 2028                                                                  7-Aug-03
103   IN0020030022   6.13% 2028                                                                   4-Jun-03
104   IN0020060086   8.28% Government Stock 2032                                                 15-Feb-07
105   IN0020070044   8.32% Government Stock 2032                                               2/Aug/07
106   IN0020020106   7.95% 2032                                                                28-Aug-02
107   IN0020070077   8.33% 2032                                                                21/Sep/07
108   IN0020040039   7.50% 2034                                                                10-Aug-04
109   IN0020050012   7.40% 2035                                                                   9-Sep-05
110   IN0020060045   8.33% 2036                                                                   7-Jun-06
111   IN0020080050   6.83% G.S. 2039                                                             19-Jan-09
112   IN0020100031   8.30% G.S. 2040                                                           2/Jul/10

  1   IN0020032028   FRB 2011 (5.99% - 364 day T-Bill)                                        8/Aug/03
  2   IN0020032036   FRB 2012 (7.08% - 364 day T-Bill)                                       10/Nov/03
  3   IN0020042043   FRB 2013 (6.91% - 364 day T-Bill)                                        9/Sep/04
  4   IN0020032010   FRB 2014 (5.10% - 364 day T-Bill)                                       20/May/03
  5   IN0020042027   FRB 2015 (5.66% - 364 day T-Bill)                                         1/Jul/04
  6   IN0020042035   FRB 2015 (II) (6.36% - 364 day T-Bill)                                   9/Aug/04
  7   IN0020042019   FRB 2016 (7.85% - 364 day T-Bills)                                       7/May/04
  8   IN0020022011   FRB 2017 (7.56% - 364 day T-Bills)                                        2/Jul/02
  9   IN0020092071   FRB 2020 (7.23% - 182 day T-Bills)                                      21/Dec/09
 10   IN0020042050   FRB 2035 (7.17%- reset every 5 years)                                   25/Jan/05

  1   IN002010Z023   364 DTB                                                                   2/Jul/10
  2   IN002010Z023   364 DTB                                                                  16/Jul/10
  3   IN002010Z023   364 DTB                                                                  30/Jul/10
  4   IN002010Z023   364 DTB                                                                 13/Aug/10
  5   IN002010Z023   364 DTB                                                                 27/Aug/10
  6   IN002010Z023   364 DTB                                                                 10/Sep/10
  7   IN002010Z023   364 DTB                                                                 24/Sep/10
  8   IN002010Z023   364 DTB                                                                   8/Oct/10
  9   IN002010Z023   364 DTB                                                                 22/Oct/10
 10   IN002010Z023   364 DTB                                                                   5/Nov/10
 11   IN002010Z023   364 DTB                                                                 19/Nov/10
 12   IN002010Z023   364 DTB                                                                   3/Dec/10
 13   IN002010Z023   364 DTB                                                                 17/Dec/10
 14   IN002010Z023   364 DTB                                                                 31/Dec/10
 15   IN002010Z023   364 DTB                                                                 14/Jan/11
 16   IN002010Z023   364 DTB                                                                 28/Jan/11
 17   IN002010Z023   364 DTB                                                                 11/Feb/11
 18   IN002010Z023   364 DTB                                                                 25/Feb/11
 19   IN002010Z023   364 DTB                                                                 11/Mar/11
20   IN002010Z023       364 DTB                                                                                25/Mar/11
21   IN002010Z023       364 DTB                                                                                 8/Apr/11
22   IN002010Z023       364 DTB                                                                                22/Apr/11
23   IN002010Z023       364 DTB                                                                                 6/May/11
24   IN002010Z023       364 DTB                                                                                20/May/11
25   IN002010Z023       364 DTB                                                                                 3/Jun/11
26   IN002010Z023       364 DTB                                                                                17/Jun/11
27   IN002010Z023       364 DTB                                                                                  1/Jul/11
28   IN002010Y026       182 DTB                                                                                 7/Jan/11
29   IN002010Y026       182 DTB                                                                                21/Jan/11
30   IN002010Y026       182 DTB                                                                                 4/Feb/11
31   IN002010Y026       182 DTB                                                                                18/Feb/11
32   IN002010Y026       182 DTB                                                                                 4/Mar/11
33   IN002010Y026       182 DTB                                                                                18/Mar/11
34   IN002010Y026       182 DTB                                                                                 1/Apr/11
35   IN002010Y026       182 DTB                                                                                15/Apr/11
36   IN002010Y026       182 DTB                                                                                29/Apr/11
37   IN002010Y026       182 DTB                                                                                13/May/11
38   IN002010Y026       182 DTB                                                                                27/May/11
39   IN002010Y026       182 DTB                                                                                10/Jun/11
40   IN002010Y026       182 DTB                                                                                24/Jun/11
41   IN002010X027       35 DTB                                                                                 29/Jun/11
42   IN002010X028       77 DTB                                                                                  2/May/11
43   IN002010X028       77 DTB                                                                                 13/May/11
44   IN002010X028       91 DTB                                                                                  8/Apr/11
45   IN002010X028       91 DTB                                                                                 15/Apr/11
46   IN002010X028       91 DTB                                                                                 22/Apr/11
47   IN002010X028       91 DTB                                                                                 29/Apr/11
48   IN002010X028       91 DTB                                                                                  6/May/11
49   IN002010X028       91 DTB                                                                                 13/May/11
50   IN002010X028       91 DTB                                                                                 20/May/11
51   IN002010X028       91 DTB                                                                                 27/May/11
52   IN002010X028       91 DTB                                                                                  3/Jun/11
53   IN002010X028       91 DTB                                                                                 10/Jun/11
54   IN002010X028       91 DTB                                                                                 17/Jun/11
55   IN002010X028       91 DTB                                                                                 24/Jun/11
56   IN002010X028       91 DTB                                                                                   1/Jul/11

     Note: Prices in Bold are Last traded prices on June 30, 2011. Other prices are CCIL Model Prices Duration is calculated considering Jun
                                 Market                                 Yield (%)
Maturity         Outstanding     Capitalizatio                          (Previous
Date             (Rs.Crore)      n (Rs. Crore) Price      Yield (%)     Month)        Duration      Mod Duration
      2-Jul-11        37000.00          37000    100.00        8.9574        8.1649        0.0056            0.01
    23-Jul-11           362.00            362     99.88        7.8005        8.1278        0.0639            0.06
   5-Aug-11            2861.36           2870    100.30        8.0352        8.2399        0.0972            0.09
   21-Oct-11           3246.91           3282    101.08        8.2151        8.3556        0.3083            0.30
  24-Nov-11           11000.00          11132    101.20        8.2985        8.3910        0.4000            0.38
    7-Mar-12           2000.00           1988     99.39        8.3722        8.3593        0.6680            0.64
  23-Mar-12            2000.00           1987     99.34        8.3603        8.3392        0.7125            0.68
    5-Apr-12          26000.00          25718     98.92        8.3195        8.2754        0.7472            0.72
   3-May-12           33000.00          32834     99.50        8.0093        8.2364        0.8238            0.79
     1-Jun-12          1574.13           1601    101.68        8.3010        8.1844        0.8953            0.86
    18-Jul-12         13500.00          13864    102.69        8.2888        8.1691        0.9745            0.94
    18-Jul-12           546.81            538     98.45        8.2883        8.1674        1.0012            0.96
     9-Sep-12          5762.85           5678     98.53        8.3104        8.2396        1.1410            1.10
   11-Sep-12          11000.00          11134    101.22        8.2917        8.1626        1.1314            1.09
  24-May-13            1751.33           1776    101.39        8.1876        8.0637        1.7755            1.71
  30-May-13           11000.00          11310    102.81        8.1859        8.0627        1.7829            1.71
  20-Aug-13           11983.91          12954    108.10        8.1842        8.0696        1.8771            1.80
     3-Sep-13         46000.00          45140     98.13        8.2179        8.1747        2.0036            1.92
   16-Feb-14           5000.00           4669     93.38        8.1676        8.0750        2.4312            2.34
   24-Feb-14          15273.60          14751     96.58        8.1755        8.0837        2.4111            2.32
  16-Apr-14           42000.00          41101     97.86        8.2359        8.0762        2.5368            2.44
  15-May-14           40000.00          37894     94.74        8.1568        8.0764        2.6554            2.55
  30-May-14            2333.26           2443    104.68        8.1579        8.0783        2.5904            2.49
   20-Oct-14          18000.00          17489     97.16        8.3139        8.3050        2.9496            2.83
   29-Oct-14           1755.10           1864    106.22        8.3146        8.3053        2.8655            2.75
   3-Nov-14           41000.00          40100     97.80        8.3202        8.3127        2.9767            2.86
  12-Nov-14           11500.00          12661    110.10        8.3215        8.3130        2.8614            2.75
     7-Feb-15            70.00             70     99.30        8.2243        8.2327        3.1016            2.98
   12-Feb-15           6430.00           6850    106.54        8.3326        8.3349        3.0100            2.89
    7-Mar-15           1750.00           1717     98.10        8.2120        8.2242        3.2031            3.08
  23-Mar-15            1750.00           1715     98.02        8.2122        8.2262        3.2485            3.12
  19-May-15            2683.45           2899    108.02        8.3274        8.3393        3.2671            3.14
  21-May-15            3560.50           3980    111.77        7.9208        8.3389        3.2509            3.13
     8-Jun-15         40000.00          37600     94.00        8.3050        8.3498        3.5097            3.37
   14-Jun-15          56000.00          53900     96.25        8.2997        8.4617        3.4927            3.35
   7-Aug-15           12000.00          13263    110.53        8.3419        8.3607        3.2943            3.16
     3-Sep-15         61000.00          59097     96.88        8.2741        8.3709        3.5730            3.43
   16-Oct-15          10000.00          10530    105.30        8.3482        8.3742        3.5592            3.42
  12-Apr-16           68000.00          65997     97.05        8.3446        8.4783        4.0223            3.86
  19-Apr-16            9000.00           9816    109.06        8.3729        8.4114        3.8513            3.70
     4-Jun-16          6000.00           5334     88.90        8.3843        8.3389        4.3159            4.14
      2-Jul-16   13129.85   15240   116.07   8.3093   8.3302   3.7748   3.62
  17-Aug-16      60000.00   56783    94.64   8.3218   8.4740   4.2572   4.09
    15-Jan-17    49000.00   48418    98.81   8.3405   8.3758   4.4053   4.23
  16-Apr-17      58000.00   55732    96.09   8.3508   8.3267   4.7098   4.52
      9-Jul-17   59000.00   58068    98.42   8.3280   8.4771   4.7060   4.52
  28-Aug-17      57886.80   55373    95.66   8.3732   8.4174   4.8942   4.70
     2-Jan-18    16886.80   15098    89.41   8.3965   8.4454   5.1913   4.98
  11-Apr-18      18000.00   17507    97.26   8.3639   8.4815   5.2753   5.06
  22-Apr-18      50000.00   49450    98.90   8.4518   8.4467   5.2570   5.04
  30-Apr-18       3716.00    4106   110.49   8.3963   8.4423   5.0705   4.87
   25-Sep-18     16130.00   13727    85.10   8.4848   8.3978   5.8098   5.57
  23-Nov-18      12631.88   15572   123.28   8.3194   8.3774   5.2227   5.01
     2-Jan-19    10000.00    8513    85.13   8.3467   8.4133   5.8988   5.66
     2-Feb-19    53000.00   46240    87.25   8.3511   8.4175   5.9119   5.67
   12-Jun-19     11000.00    9544    86.77   8.3609   8.4281   6.2725   6.02
    13-Jul-19    45000.00   41208    91.57   8.3603   8.4263   6.0004   5.76
    9-Aug-19      6000.00    6583   109.71   8.3547   8.4172   5.6546   5.43
     2-Jan-20    61000.00   53580    87.84   8.3780   8.4518   6.3319   6.08
  22-Apr-20       6000.00    6855   114.25   8.3764   8.4391   6.0161   5.77
   3-May-20      60000.00   57821    96.37   8.3871   8.3266   6.4212   6.16
27/Dec/20         5000.00    6035   120.69   8.3940   8.4556   6.3198   6.07
  30-Mar-21        100.00     120   119.85   8.4652   8.5410   6.2907   6.04
  11-Apr-21      27000.00   26039    96.44   8.3363   8.4015   6.8439   6.57
 24-May-21       49000.00   47430    96.80   8.4214   8.4861   6.9299   6.65
 30-May-21       26213.32   29412   112.20   8.4095   8.4029   6.6104   6.34
   16-Oct-21      5000.00    4875    97.49   8.4971   8.5750   7.0045   6.72
   30-Oct-21       400.00     434   108.53   8.4898   8.5663   6.7923   6.52
  28-Nov-21       5000.00    4743    94.87   8.5010   8.5790   7.1883   6.90
   15-Feb-22     57632.33   56576    98.17   8.4626   8.4391   7.0386   6.75
 14-May-22       44000.00   43642    99.19   8.4635   8.4396   7.2592   6.96
    2-Aug-22     46969.41   45807    97.52   8.4262   8.5025   7.2334   6.94
  28-Aug-22      11000.00    8949    81.36   8.4855   8.4631   7.7981   7.48
 21/Sep/22       48495.28   47451    97.85   8.4274   8.5227   7.3599   7.06
   16-Oct-22      5000.00    4866    97.32   8.5206   8.5970   7.4112   7.11
 10/Dec/22        8103.59    7207    88.93   8.5329   8.6098   7.7951   7.48
 24/Dec/22        2227.15    1851    83.10   8.5384   8.6158   8.0251   7.70
  29/Jan/23       3927.78    3389    86.28   8.5369   8.6138   7.7174   7.40
    9-Apr-23     13000.00   10899    83.84   8.4962   8.4724   8.0081   7.68
   12-Jun-23     14000.00   11578    82.70   8.5025   8.4784   8.2166   7.88
  10-Nov-23      22000.00   21423    97.38   8.5454   8.6201   7.8430   7.52
  7/Dec/23        3885.00    3812    98.13   8.5458   8.6202   7.8982   7.57
   15-Dec-23      4150.00    3981    95.92   8.5476   8.6220   7.9781   7.65
   12-Feb-24      5000.00    4865    97.30   8.5522   8.6264   7.7747   7.46
  27-Mar-24       9996.01    9841    98.45   8.5497   8.6237   7.8699   7.55
   22-Jun-24     10000.00    9095    90.95   8.5154   8.4885   8.3296   7.99
   15-Sep-24     10306.33   10022    97.24   8.5501   8.6331   8.0368   7.71
   15-Dec-24      5000.00    4788    95.77   8.5650   8.6379   8.3197   7.98
   23-Dec-24     22000.00   18128    82.40   8.5774   8.6513   8.7594   8.40
    18-Jan-25    11256.92   10704    95.09   8.5684   8.6249   8.0918   7.76
  28-Mar-25       9296.92    9172    98.65   8.5660   8.6385   8.1901   7.85
   25-Sep-25     16687.95   13183    79.00   8.5461   8.5182   8.9848   8.62
    4-Feb-26     21942.00     18873    86.02   8.5987   8.6080         8.7035            8.34
   18-Feb-26      3593.50      3405    94.74   8.5859   8.6572         8.4778            8.13
  23-Mar-26      10000.00      9516    95.16   8.5830   8.6543         8.5642            8.21
  29-Mar-26       4971.00      4896    98.49   8.5797   8.6508         8.4931            8.14
   11-Sep-26     15000.00     17042   113.61   8.5592   8.5445         8.2556            7.92
   12-Feb-27      6200.00      6006    96.87   8.5966   8.6666         8.6740            8.32
   15-Feb-27     57388.55     55731    97.11   8.5770   8.6500         8.6861            8.33
 2/Aug/27        64427.33     62579    97.13   8.5909   8.6149         8.7721            8.41
 21/Sep/27        1252.24      1219    97.37   8.5808   8.5654         8.9069            8.54
  25-Mar-28      15000.00     11581    77.21   8.6023   8.5865         9.6905            9.29
    4-Jun-28     11000.00      8596    78.15   8.6040   8.5880         9.8386            9.43
   15-Feb-32     58687.11     56857    96.88   8.6038   8.6298         9.7533            9.35
 2/Aug/32        15434.05     15009    97.25   8.6039   8.6186         9.7929            9.39
 28-Aug-32       59000.00     55251    93.65   8.6055   8.6202         9.9520            9.54
 21/Sep/32        1522.48      1482    97.34   8.6024   8.6172         9.9275            9.52
 10-Aug-34       60000.00     53314    88.86   8.6183   8.6319        10.3108            9.88
    9-Sep-35     42000.00     36813    87.65   8.6216   8.3674        10.5456           10.11
    7-Jun-36     59000.00     57252    97.04   8.6199   8.6492        10.6302           10.19
   19-Jan-39     13000.00     10570    81.31   8.6144   8.6641        10.9292           10.48
 2/Jul/40        44000.00     42856    97.40   8.5436   8.5519        10.7214           10.28
               2407142.78   2311487                                    6.0186
 8/Aug/11         6000.00      5984    99.74
10/Nov/12         5000.00      4972    99.44
10/Sep/13         4000.00      4000   100.01
20/May/14         5000.00      4990    99.81                     Outstanding       2456492.78
  2/Jul/15        6000.00      6007   100.12                                       2360457.74
                                                                 Market Capitialisation
10/Aug/15         6000.00      6043   100.71
 7/May/16         6000.00      5942    99.04
  2/Jul/17        3000.00      3017   100.57
21/Dec/20         8000.00      7676    95.95
25/Jan/35          350.00       339    96.79
                 49350.00     48971
  1/Jul/11        1194.00      1194    99.98
 15/Jul/11        1000.00       997    99.68
 29/Jul/11        1000.00       994    99.38
12/Aug/11         1016.80      1007    99.07
26/Aug/11         1046.30      1033    98.76
  8/Sep/11        1000.00       985    98.48
23/Sep/11         1000.00       980    98.02
  7/Oct/11        2042.30      1998    97.84
21/Oct/11         2000.00      1951    97.53
  3/Nov/11        2000.00      1945    97.24
18/Nov/11         2000.00      1938    96.92
  2/Dec/11        1000.00       966    96.61
15/Dec/11         1000.00       963    96.33
30/Dec/11         1000.00       960    96.01
13/Jan/12         1000.00       957    95.71
27/Jan/12         1000.00       954    95.41
10/Feb/12         3000.00      2853    95.11
24/Feb/12         3000.00      2846    94.85
 9/Mar/12         3000.00      2836    94.52
              23/Mar/12              3000.00           2827   94.23
                6/Apr/12             2000.00           1883   94.13
              19/Apr/12              3000.00           2812   93.75
               4/May/12              3000.00           2801   93.37
              18/May/12              3000.00           2792   93.08
                1/Jun/12             3000.00           2789   92.97
              15/Jun/12              3202.80           2963   92.51
              28/Jun/12              3000.00           2775   92.49
                 8/Jul/11            1500.00           1497   99.83
               22/Jul/11             1500.50           1493   99.53
                5/Aug/11             1500.00           1488   99.22
              19/Aug/11              2000.00           1979   98.94
                2/Sep/11             2000.00           1972   98.61
              16/Sep/11              2000.05           1966   98.30
              29/Sep/11              2000.00           1960   98.01
               14/Oct/11             3500.00           3419   97.68
               29/Oct/11             4250.00           4138   97.38
              11/Nov/11              3000.00           2912   97.07
              25/Nov/11              3500.00           3387   96.76
                9/Dec/11             3000.00           2894   96.46
              23/Dec/11              3000.00           2885   96.16
                3/Aug/11             6000.00           5961   99.35
               18/Jul/11             6000.00           5977   99.61
               22/Jul/11             6000.00           5972   99.53
                 8/Jul/11            4000.00           3997   99.92
               15/Jul/11             5000.00           4988   99.76
               21/Jul/11             5300.00           5281   99.64
               29/Jul/11             8484.65           8439   99.46
                5/Aug/11            10875.00         10800    99.31
              12/Aug/11              9100.00           9023   99.15
              19/Aug/11              9250.00           9159   99.01
              26/Aug/11             15250.00         15061    98.76
                2/Sep/11             9500.00           9377   98.70
                9/Sep/11            10000.00           9854   98.54
              16/Sep/11             11200.00         11020    98.40
              23/Sep/11              9900.00           9716   98.15
              29/Sep/11             10750.00         10545    98.09
                                   221862.40        217159
is calculated considering June 30, 2011 as settlement date.
                                                                                Expected price
                                                                   Price        Change for a     Actual
                                                      Price Change Change       100bps rise in   Change
                                                      Due to       Due to       yield due to     for 100
                                                      Modified     Convexity    Duration and     bps
V+ (for            V- (for            Convexity       Duration for for          Convexity        increase
100bps)            100bps)            Measure         100bps (%)   100bps(%)    Effect(%)        in yield     PV01
          104.64             104.65            0.00          -0.01       0.00            -0.01     -0.00555          0.0001
          102.47             102.60            0.01          -0.06       0.00            -0.06     -0.06353          0.0007
          104.83             105.03            0.02          -0.09       0.00            -0.09     -0.09638          0.0010
          103.07             103.69            0.18          -0.30       0.00            -0.30     -0.29981          0.0031
          101.96             102.75            0.30          -0.38       0.00            -0.38     -0.38566          0.0040
          101.09             102.39            0.73          -0.64       0.00            -0.64     -0.63758          0.0065
          100.66             102.04            0.80          -0.68       0.00            -0.68     -0.67996          0.0069
           99.82             101.26            0.87          -0.72       0.00            -0.71     -0.71307          0.0072
           99.88             101.47            1.02          -0.79       0.01            -0.79     -0.78701          0.0080
          101.63             103.39            1.16          -0.86       0.01            -0.85     -0.85383          0.0088
          106.66             108.67            1.38          -0.94       0.01            -0.93     -0.92886          0.0101
          100.50             102.45            1.42          -0.96       0.01            -0.95     -0.95429          0.0098
           99.59             101.80            1.76          -1.10       0.01            -1.09     -1.08674          0.0110
          102.94             105.20            1.75          -1.09       0.01            -1.08     -1.07771          0.0113
          100.56             104.05            3.85          -1.71       0.02            -1.69     -1.68661          0.0174
          101.88             105.43            3.89          -1.71       0.02            -1.69     -1.69355          0.0177
          110.57             114.63            4.42          -1.80       0.02            -1.78     -1.78138          0.0203
           98.58             102.45            4.84          -1.92       0.02            -1.90     -1.90053          0.0193
           93.16              97.62            6.88          -2.34       0.03            -2.30     -2.30181          0.0223
           96.67             101.26            6.84          -2.32       0.03            -2.28     -2.28264          0.0229
           96.99             101.83            7.49          -2.44       0.04            -2.40     -2.39944          0.0242
           93.10              97.97            8.07          -2.55       0.04            -2.51     -2.51150          0.0244
          102.93             108.18            7.85          -2.49       0.04            -2.45     -2.45005          0.0263
           95.84             101.43            9.99          -2.83       0.05            -2.78     -2.78263          0.0279
          105.08             111.02            9.64          -2.75       0.05            -2.70     -2.70355          0.0297
           96.22             101.88           10.16          -2.86       0.05            -2.81     -2.80771          0.0283
          108.66             114.80            9.66          -2.75       0.05            -2.70     -2.69948          0.0307
           99.48             105.59           11.26          -2.98       0.06            -2.92     -2.92360          0.0305
          107.42             113.81           10.83          -2.89       0.05            -2.84     -2.83623          0.0319
           97.46             103.64           11.87          -3.08       0.06            -3.02     -3.01829          0.0309
           97.00             103.24           12.16          -3.12       0.06            -3.06     -3.06046          0.0312
          105.89             112.74           12.45          -3.14       0.06            -3.07     -3.07522          0.0343
          109.55             116.62           12.42          -3.13       0.06            -3.06     -3.06593          0.0353
           91.28              97.64           13.82          -3.37       0.07            -3.30     -3.30179          0.0318
           93.40              99.87           13.75          -3.35       0.07            -3.28     -3.28584          0.0324
          111.50             118.78           13.09          -3.16       0.07            -3.10     -3.09799          0.0364
           95.94             102.76           14.70          -3.43       0.07            -3.36     -3.35876          0.0341
          103.74             111.08           14.79          -3.42       0.07            -3.34     -3.34381          0.0367
           94.98             102.60           18.52          -3.86       0.09            -3.77     -3.77022          0.0381
          107.16             115.38           17.47          -3.70       0.09            -3.61     -3.61074          0.0411
           85.69              93.10           20.65          -4.14       0.10            -4.04     -4.04097          0.0370
117.83   126.69    17.59   -3.62   0.09   -3.54   -3.53787   0.0443
 93.36   101.31    20.88   -4.09   0.10   -3.98   -3.98467   0.0397
 98.29   106.97    22.90   -4.23   0.11   -4.11   -4.11677   0.0433
 93.34   102.17    25.51   -4.52   0.13   -4.39   -4.39620   0.0441
 97.73   106.97    26.26   -4.52   0.13   -4.39   -4.38946   0.0462
 93.71   102.94    27.91   -4.70   0.14   -4.56   -4.56108   0.0461
 88.03    97.25    31.32   -4.98   0.16   -4.83   -4.82917   0.0461
 94.12   104.15    32.51   -5.06   0.16   -4.90   -4.90488   0.0501
 95.55   105.69    32.37   -5.04   0.16   -4.88   -4.88589   0.0507
106.94   117.87    30.79   -4.87   0.15   -4.71   -4.71591   0.0546
 81.94    91.60    38.53   -5.57   0.19   -5.38   -5.38560   0.0482
118.53   131.03    33.35   -5.01   0.17   -4.85   -4.85154   0.0624
 83.11    93.07    40.46   -5.66   0.20   -5.46   -5.46553   0.0498
 84.82    95.01    40.74   -5.67   0.20   -5.47   -5.47663   0.0509
 82.02    92.51    44.96   -6.02   0.22   -5.80   -5.80214   0.0524
 89.51   100.44    43.01   -5.76   0.22   -5.54   -5.55048   0.0546
107.69   120.04    39.64   -5.43   0.20   -5.23   -5.23508   0.0617
 85.66    96.73    47.87   -6.08   0.24   -5.84   -5.84487   0.0553
109.81   123.26    44.81   -5.77   0.22   -5.55   -5.55671   0.0671
 91.82   103.87    49.32   -6.16   0.25   -5.92   -5.92348   0.0601
113.75   128.42    49.56   -6.07   0.25   -5.82   -5.82505   0.0732
115.61   130.45    50.35   -6.04   0.25   -5.78   -5.79141   0.0740
 91.98   104.89    57.11   -6.57   0.29   -6.28   -6.29377   0.0645
 91.38   104.37    58.23   -6.65   0.29   -6.36   -6.36822   0.0649
106.18   120.54    54.30   -6.34   0.27   -6.07   -6.08090   0.0717
 92.79   106.14    60.52   -6.72   0.30   -6.42   -6.42656   0.0666
103.29   117.67    57.84   -6.52   0.29   -6.23   -6.23619   0.0717
 89.26   102.46    62.96   -6.90   0.31   -6.58   -6.59111   0.0659
 94.71   108.41    62.36   -6.75   0.31   -6.44   -6.45187   0.0683
 93.59   107.58    65.38   -6.96   0.33   -6.64   -6.64904   0.0698
 94.17   108.19    66.43   -6.94   0.33   -6.61   -6.62073   0.0700
 77.41    89.90    74.11   -7.48   0.37   -7.11   -7.12370   0.0623
 93.34   107.51    68.19   -7.06   0.34   -6.72   -6.73367   0.0706
 92.29   106.39    68.88   -7.11   0.34   -6.76   -6.77642   0.0703
 82.96    96.34    74.32   -7.48   0.37   -7.10   -7.11831   0.0667
 77.11    89.94    77.61   -7.70   0.39   -7.31   -7.32299   0.0640
 82.80    96.01    74.63   -7.40   0.37   -7.03   -7.04226   0.0659
 79.03    92.15    78.93   -7.68   0.39   -7.29   -7.30212   0.0655
 76.80    89.91    82.11   -7.88   0.41   -7.47   -7.48684   0.0654
 91.48   106.33    78.12   -7.52   0.39   -7.13   -7.14628   0.0741
 91.56   106.54    78.94   -7.57   0.39   -7.18   -7.19531   0.0747
 89.26   104.02    80.15   -7.65   0.40   -7.25   -7.26614   0.0736
 93.33   108.34    78.66   -7.46   0.39   -7.06   -7.07820   0.0748
 93.40   108.62    80.06   -7.55   0.40   -7.15   -7.16297   0.0759
 84.21    98.80    87.22   -7.99   0.44   -7.55   -7.57120   0.0728
 92.35   107.75    84.20   -7.71   0.42   -7.29   -7.30372   0.0767
 88.84   104.21    88.61   -7.98   0.44   -7.53   -7.55356   0.0766
 75.97    89.87    95.83   -8.40   0.48   -7.92   -7.94042   0.0693
 91.42   106.77    86.71   -7.76   0.43   -7.33   -7.34414   0.0765
 93.31   109.18    88.14   -7.85   0.44   -7.41   -7.43174   0.0791
 74.03    87.95   103.22   -8.62   0.52   -8.10   -8.12363   0.0694
 81.83    96.69   100.16    -8.34   0.50   -7.84   -7.86658   0.0741
 90.17   106.09    96.17    -8.13   0.48   -7.65   -7.66954   0.0793
 89.77   105.80    97.55    -8.21   0.49   -7.72   -7.74606   0.0799
 92.88   109.31    96.27    -8.14   0.48   -7.66   -7.68401   0.0819
107.98   126.50    93.48    -7.92   0.47   -7.45   -7.47067   0.0923
 92.19   108.88   102.72    -8.32   0.51   -7.80   -7.82716   0.0831
 92.35   109.09   102.94    -8.33   0.51   -7.81   -7.83852   0.0834
 92.58   109.54   106.10    -8.41   0.53   -7.88   -7.90593   0.0845
 91.65   108.72   108.36    -8.54   0.54   -8.00   -8.02505   0.0850
 71.94    86.64   125.35    -9.29   0.63   -8.66   -8.69617   0.0732
 71.65    86.53   128.01    -9.43   0.64   -8.79   -8.82564   0.0741
 91.29   110.07   139.47    -9.35   0.70   -8.65   -8.69452   0.0934
 91.89   110.88   141.94    -9.39   0.71   -8.68   -8.72156   0.0944
 87.81   106.27   145.44    -9.54   0.73   -8.81   -8.85786   0.0919
 90.83   109.88   144.44    -9.52   0.72   -8.80   -8.83908   0.0948
 83.39   101.63   160.28    -9.88   0.80   -9.08   -9.13502   0.0906
 81.55    99.83   168.68   -10.11   0.84   -9.27   -9.32254   0.0908
 88.40   108.40   170.21   -10.19   0.85   -9.34   -9.39717   0.0993
 76.26    94.06   190.01   -10.48   0.95   -9.53   -9.59777   0.0883
 91.94   112.96   186.86   -10.28   0.93   -9.35   -9.41776   0.1043

				
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posted:8/23/2011
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