Business Statistics-Monthly - CCIL

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Business Statistics-Monthly - CCIL Powered By Docstoc
					               SECURITIES                                  CBLO
                            Jul/11                                 Jul/11
                      Trades Value (Rs.                   Trades
                              Crore)
Outright                31155     271702    Overnight        9806
Repo                     2481     293702    Term             2002
Total                   33636     565403    Total           11808
Daily Avg. Outright       1558      13585   Average            454
Daily Avg. Repo             95      11296


                  FOREX                                  FX-CLEAR
                            Jul/11                              Jul/11
                      Trades Value (USD
                              Million)
                                                          Trades
Cash                      1713     39345    Spot              9465
Tom                       2593     47831    Daily Avg.         451
Spot                      85241    176830
Forward                   7705     78438
Total                     97252    342443
Daily Avg.                 5119     18023
  CBLO
         Jul/11
           Value (Rs.
           Crore)
               910248
               155909
              1066156
                 41006




FX-CLEAR
       Jul/11
         Value (USD
         Million)

                  5069
                   241
                                            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              78          366491         16.87
           2 8.13% G.S. 2022                          21-Sep-22             238          540299         24.87
           3 8.08% G.S. 2022                           2-Aug-22             221          328687         15.13
           4 7.83% G.S. 2018                          11-Apr-18              78           37460          1.72
           5 7.59% G.S. 2016                          12-Apr-16              97           13876          0.64
           6 8.26% G.S. 2027                           2-Aug-27             244           64706          2.98
           7 6.65% FERT SB 2023                        29-Jan-23              5            2223          0.10
           8 7% FERT SB 2022                          10-Dec-22              13            2047          0.09
           9 8.30% G.S. 2040                             2-Jul-40           215           21951          1.01
          10 6.20% FERT SB 2022                       24-Dec-22               1            1736          0.08
          11 8.28% G.S. 2027                           21-Sep-27             14            1306          0.06
          12 8.07% G.S. 2017                           15-Jan-17             65            1459          0.07
          13 7.17% G.S. 2015                           14-Jun-15            231          141294          6.50
          14 FRB 2020                                 21-Dec-20             114           16685          0.77
          15 7.40% G.S. 2012                           3-May-12             181           22711          1.05
          16 7.49% G.S. 2017                          16-Apr-17             121           25070          1.15
          17   8.28% G.S. 2032                         15-Feb-32            143            3490          0.16
          18   6.90% OMC SB 2026                        4-Feb-26            148              25          0.00
          19   7.46% G.S. 2017                        28-Aug-17             132           23827          1.10
          20   7.99% G.S. 2017                            9-Jul-17          174          122770          5.65
          21   6.85% G.S. 2012                          5-Apr-12             92            7823          0.36
          22   7.27% G.S. 2013                          3-Sep-13            135           13874          0.64
          23   5.59% G.S. 2016                           4-Jun-16            24             409          0.02
          24   10.03% G.S. 2019                        9-Aug-19              12             189          0.01
          25   8.24% G.S. 2018                        22-Apr-18              46             352          0.02
          26   6.07% G.S. 2014                        15-May-14              17             681          0.03
          27   7.02% G.S. 2016                        17-Aug-16              92            7471          0.34
          28   12.00% G.S. 2011                        21-Oct-11             17             349          0.02
          29   8.20% G.S. 2022                         15-Feb-22            113            4657          0.21
          30   7.95% FERT SB 2026                      18-Feb-26             31             146          0.01
          31 7.80% G.S. 2020                           3-May-20             180          350611         16.14
          32 7.37% G.S. 2014                          16-Apr-14              28             782          0.04
          33 7.95% G.S. 2032                          28-Aug-32              66             578          0.03
          34 10.25% G.S. 2021                         30-May-21              51              84          0.00
          35   6.35% G.S. 2020                          2-Jan-20             86            1413          0.07
          36   7.47% OMC SB 2012                       7-Mar-12              18             555          0.03
          37   11.50% G.S. 2011                        5-Aug-11              20             933          0.04
          38   11.03% G.S. 2012                         18-Jul-12            18             144          0.01
          39   7.38% G.S. 2015                          3-Sep-15             52            4148          0.19
          40   8.00% OMC SB 2026                      23-Mar-26              33            1093          0.05
          41   8.35% G.S. 2022                        14-May-22              17              29          0.00
        42 8.24% G.S. 2027                           15-Feb-27        112            1753        0.08
        43 8.32% G.S. 2032                           2-Aug-32          74            2676        0.12
        44 5.69% G.S. 2018                           25-Sep-18         25              92        0.00
        45 6.35% OMC SB 2024                         23-Dec-24         82             917        0.04
        46 11.60% G.S. 2020                          27-Dec-20         15              17        0.00
        47 5.64% G.S. 2019                            2-Jan-19         24              48        0.00
        48 12.60% G.S. 2018                         23-Nov-18          17              20        0.00
        49 FRB 2014                                 20-May-14           2              35        0.00
        50 7.94% G.S. 2021                          24-May-21          44             225        0.01
        51 8.30% FERT SB 2023                         7-Dec-23         33              39        0.00
        52 6.05% G.S. 2019                           12-Jun-19         57             207        0.01
        53 8.03% FCI SB 2024                         15-Dec-24         15              14        0.00
        54 10.18% G.S. 2026                          11-Sep-26         18             213        0.01
        55 8.20% OMC SB 2024                         12-Feb-24          7               6        0.00
        56 8.20% OMC SB 2024                         15-Sep-24        124             561        0.03
        57 8.40% OMC SB 2026                        29-Mar-26          25             240        0.01
        58 8.40% OMC SB 2025                        28-Mar-25           9               6        0.00
        59 11.50% G.S. 2015                         21-May-15          29             165        0.01
        60 8.20% OMC SB 2023                        10-Nov-23          33              95        0.00
        61 12.30% G.S. 2016                            2-Jul-16        16              12        0.00
        62 6.25% G.S. 2018                            2-Jan-18         49             312        0.01
        63 8.35% SBI SB2024                         27-Mar-24           9              34        0.00
        64 6.30% G.S. 2023                            9-Apr-23         20              19        0.00
        65 11.43% G.S. 2015                          7-Aug-15          22              50        0.00
        66 8.15% FCI SB 2022                         16-Oct-22         36              38        0.00
        67 6.83% G.S. 2039                           19-Jan-39         11              71        0.00
        68 11.83% G.S. 2014                         12-Nov-14          26             109        0.01
        69 7.95% OMC SB 2025                         18-Jan-25         26            1468        0.07
        70 10.00% G.S. 2014                         30-May-14          18              11        0.00
        71 8.01% OMC SB 2023                         15-Dec-23         11               6        0.00
        72 6.49% G.S. 2015                            8-Jun-15         31            1106        0.05
        73 12.40% G.S. 2013                         20-Aug-13          31              40        0.00
        74 8.23% FCI SB 2027                         12-Feb-27         19              15        0.00
        75 7.5% G.S. 2034                           10-Aug-34          92             307        0.01
        76 7.75% OMC SB 2021                        28-Nov-21           8               3        0.00
        77 Other Securities Traded During The Past 12 Months But Not Traded During The Month
                                                                                     26774       1.23
           Total                                                                  2172138      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 July 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        July - 2011    Percent         Capitalization                        in last 12    July - 2011
        Trades (July, (FV in Rs.     share in        (FV in Rs.        Turnover            months (FV in (FV in Rs.
        2011)         Crore)         (July 2011)     Crore)            Ratio*              Rs. Crore)    Crore)
               18,097       139179          63.37           43050.02           851.31             4698.60      6627.57
                4,672        31536          14.36           52868.49          1021.97             2270.16      1501.71
                2,744        18273           8.32           50228.43           654.38             1487.27       870.14
                1,293        10507            4.78          26104.60              143.50           480.26       500.33
                  330         2541            1.16          65830.80               21.08           143.05       121.00
                  529         2279            1.04          65031.41               99.50           265.19       108.52
                   12         2217            1.01           1463.86              151.86           444.60      1108.50
                   11         2032            0.93           5352.74               38.24           157.46      2032.00
                  156         1829            0.83          50624.22               43.36           102.10       101.61
                    9         1736            0.79            404.91              428.74          1736.00      1736.00
                  224         1306            0.59           7014.42               18.62             93.29       93.29
                  131         1287            0.59          55071.52                2.65             22.45       99.00
                   56          701            0.32          53732.00              262.96           611.66        50.07
                   20          635            0.29           7688.00              217.03           146.36        90.71
                   30          424            0.19          32767.05               69.31           125.48        30.29
                   18          419            0.19          55564.00               45.12           207.19        41.90
                  112          384            0.17          56368.97                6.19             24.41       19.20
                   76          348            0.16          18713.02                0.13             0.17        20.47
                    4          265            0.12          54963.50               43.35           180.51       132.50
                   12          251            0.11          57640.05              212.99           705.57        83.67
                    9          222            0.10          25749.10               30.38            85.03        31.71
                   10          210            0.10          45241.00               30.67           102.77        30.00
                   13           95            0.04           5361.00                7.63            17.04        10.56
                    3           90            0.04           6525.65                2.90            15.75        30.00
                   17           85            0.04          49700.00                0.71             7.65        10.63
                    1           81            0.04          37636.68                1.81            40.06        81.00
                    5           55            0.03          56550.00               13.21            81.21        18.33
                    2           50            0.02           3270.85               10.67            20.53        25.00
                    4           45            0.02          56213.76                8.28            41.21        22.50
                    4           45            0.02           3333.15                4.38             4.71        22.50
                    1           40            0.02          57363.44              611.21          1947.84        40.00
                   10           36            0.02          41046.60                1.91             27.93        7.20
                    1           34            0.02          54926.12                1.05              8.76       34.00
                   13           33            0.02          29161.25                0.29              1.65        4.71
                    5           32            0.01          53158.67                2.66             16.43        8.00
                    2           30            0.01           1987.94               27.92             30.83       15.00
                    1           25            0.01           2861.84               32.60             46.65       25.00
                    1           25            0.01          13822.23                1.04              8.00       25.00
                    5           21            0.01          58910.75                7.04             79.77        7.00
                    1           21            0.01           9427.15               11.59             33.12       21.00
                    2           18            0.01          43356.17                0.07              1.71        9.00
                       12           18        0.01        55580.81           3.15          15.65       3.60
                        1           17        0.01        14920.86          17.93          36.16      17.00
                        9           15        0.01        13745.42           0.67           3.68       1.88
                       13           14        0.01        17967.95           5.10          11.18       1.56
                        2           14        0.01         5980.55           0.28           1.13       7.00
                        8           11        0.01         8450.36           0.57           2.00       1.83
                        1           11        0.01        15421.60           0.13           1.18      11.00
                        1           10        0.00         4971.85           0.70          17.50      10.00
                        1           10        0.00        47058.38           0.48           5.11      10.00
                        3            9        0.00         3772.69           1.03           1.18       3.00
                        4            8        0.00         9473.73           2.18           3.63       2.00
                        2            6        0.00         4742.50           0.30           0.93       3.00
                        1            4        0.00        16964.16           1.26          11.83       4.00
                        1            4        0.00         4821.37           0.12           0.86       4.00
                        1            4        0.00         9923.27           5.65           4.52       4.00
                        1            4        0.00         4850.05           4.95           9.60       4.00
                        2            4        0.00         9087.07           0.07           0.67       2.00
                        3            3        0.00         3887.39           4.24           5.69       1.00
                        1            3        0.00        21229.10           0.45           2.88       3.00
                        1            3        0.00        15020.47           0.08           0.75       3.00
                        5            3        0.00        14993.42           2.08           6.37       0.75
                        1            3        0.00         9751.50           0.35           3.78       3.00
                        2            2        0.00        10837.12           0.18           0.95       1.00
                        2            2        0.00        13123.24           0.38           2.27       1.00
                        2            2        0.00         4822.86           0.79           1.06       1.00
                        1            2        0.00        10479.97           0.68           6.45       2.00
                        1            1        0.00        12535.07           0.87           4.19       1.00
                        1            1        0.00        10606.93          13.84          56.46       1.00
                        2            0        0.00         2420.17           0.45           0.61       0.00
                        1            0        0.00         3944.62           0.15           0.55       0.00
                        1            0        0.00        37251.04           2.97          35.68       0.00
                        2            0        0.00        12849.36           0.31           1.29       0.00
                        1            0        0.00         5949.00           0.25           0.79       0.00
                        1            0        0.00        52995.81           0.58           3.34       0.00
                        1            0        0.00         4701.48           0.06           0.38       0.00
                                              0.00
                    28,738      219630      100.00


ercentage of market capitalization of respective security. Note: Prices used for calculating Market
ability Weighted Average prices, CCIL Model prices as on July 29, 2011 are used.
CATEGORYWISE BUYING ACTIVITY                                       Market Share (%)
                                           Reverse      CBLO       NDS-Call
                                Outright    Repo       Lending     Lending
Co-operative Banks                  2.82       0.74         0.71         3.37
Financial Institutions              0.40       0.45         0.71            -
Foreign Banks                      27.08      19.72         1.61         6.79
Insurance Companies                 1.80      15.43        11.25            -
Mutual Funds                        6.72      37.70        46.76            -
Other Corporates                    3.39       0.08         1.30            -
Primary Dealers                    22.44       1.52         0.01         0.02
Private Sector Banks               13.83       9.77         1.47         4.45
Public Sector Banks                21.52      14.59        36.18        85.36

CATEGORYWISE SELLING ACTIVITY                                      Market Share (%)
                                                        CBLO        NDS-Call
                                Outright    Repo      Borrowing    Borrowing
Co-operative Banks                  2.35       1.27         2.78         0.87
Financial Institutions              0.10       0.00         3.36            -
Foreign Banks                      28.27      36.94        16.30        23.65
Insurance Companies                 1.37       0.00         0.01            -
Mutual Funds                        6.22       0.00         0.97            -
Other Corporates                    0.07       0.00        10.01            -
Primary Dealers                    30.08      36.31         5.24         9.46
Private Sector Banks               16.68      19.71        25.46        48.21
Public Sector Banks                14.86       5.76        35.88        17.81
Market Share (%)
                            IRS-      IRS-
              Forex        MIBOR     MIFOR
                    0.09         -        -
                    0.01         -        -
                   50.12     72.24    88.51
                       -         -        -
                       -         -        -
                       -         -        -
                       -     13.40     0.00
                   21.27     13.22    10.61
                   28.51      1.14     0.88

Market Share (%)
                            IRS-      IRS-
              Forex        MIBOR     MIFOR
                    0.09         -        -
                    0.03         -        -
                   50.55     73.18    89.07
                       -         -        -
                       -         -        -
                       -         -        -
                       -     12.82     0.00
                   20.85     12.80    10.05
                   28.48      1.20     0.88
                                                               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/Jul/11         99                 9    1563.87          18.87       987           11     6724.67
    4/Jul/11       133                 14    1384.35          21.86       739           10     4949.34
    5/Jul/11       120                 14    1517.46          15.10      1262             9    8530.96
    6/Jul/11         79                14      891.36          8.77      1322           13     9275.89
    7/Jul/11         88                15      855.83         10.96       938             7    6950.50
    8/Jul/11         79                12    1479.12          15.09      1100           12     8325.75
   11/Jul/11       130                 16    1058.26           9.93      1425           12     9598.01
   12/Jul/11       173                 18    1974.40          10.36      2462           10   17077.68
   13/Jul/11         83                20      923.45         11.24      1009           11     7290.40
   14/Jul/11       147                 43    1542.09           9.72      1913           15   14317.25
   15/Jul/11       174                 19    2057.56          20.10      1117           13     8177.66
   18/Jul/11       108                 15    1043.84           9.87      1290           14     9528.33
   19/Jul/11       161                 17    1824.59          11.71      1814           12   13752.00
   20/Jul/11         83                17      766.80         10.11      1002           12     6817.30
   21/Jul/11       107                 21    1240.25          16.48       963           11     6283.55
   22/Jul/11       144                 18    1820.28          18.74      1085             9    7894.19
   25/Jul/11       130                 13    1231.58          15.39      1044           11     6769.79
   26/Jul/11       255                 19    8486.46          40.47      1684           13   12481.70
   27/Jul/11         91                12      467.92          5.26      1199           10     8435.14
   28/Jul/11       120                 18      916.61         12.17       874           11     6614.50
   29/Jul/11         87                14    1059.54          14.42       889           11     6286.48
Total              2591                       34105.60                   26118                186081.08
Average             123                17      1624.08                    1244           11     8861.00
Percent Market Share                                           15.49
-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
               81.13        17           5   315.00       3.80     1086           13   8288.55
               78.14        28           9   605.00       9.55      872           16   6333.69
               84.90        62          10 1235.00       12.29     1382           16 10048.42
               91.23        36           6   735.00       7.23     1401           19 10167.25
               89.04        29           4   635.00       8.13     1026           16   7806.34
               84.91        43           7 1010.00       10.30     1179           15   9804.87
               90.07        56           7   771.00       7.24     1555           18 10656.28
               89.64        78          12 1666.11        8.75     2635           19 19052.07
               88.76        27          10   693.15       8.44     1092           21   8213.85
               90.28        51           8   886.90       5.59     2060           46 15859.35
               79.90        37          11   636.50       6.22     1291           23 10235.22
               90.13        30          10   375.00       3.55     1398           19 10572.17
               88.29        84          11 1487.50        9.55     1975           20 15576.59
               89.89        32          12   525.00       6.92     1085           21   7584.10
               83.52        46          11   888.75      11.81     1070           24   7523.81
               81.26        27           6   515.00       5.30     1229           19   9714.47
               84.61        38           4   755.00       9.44     1174           15   8001.37
               59.53        84           9 1560.00        7.44     1939           22 20968.17
               94.74        19           8   300.00       3.37     1290           12   8903.06
               87.83        34          11   729.00       9.68      994           19   7531.11
               85.58        22           6   640.00       8.71      976           15   7346.02
                           880              16963.91               28709              220186.76
                            42           8    807.81                1367           19  10485.08
                84.51                                      7.70
                                                                                   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-Jul-11             26                   5        1992.49              92.14             9                  4       170.00
       4-Jul-11             28                  12        1243.00              60.99            28                  8       795.00
        5-Jul-11             22                   9            1694.77         63.01             49                9         995.00
        6-Jul-11             20                  12             773.73         41.15             55               10        1106.75
        7-Jul-11             39                  11            1513.47         55.70            104               13        1203.89
        8-Jul-11             21                  13            1611.64         78.17             32                8         450.00
       11-Jul-11             13                   8             510.25         39.15             68               10         793.00
       12-Jul-11             22                  12            1313.81         39.12            163               14        2045.00
       13-Jul-11             27                   9            1236.70         49.33             92               15        1270.22
       14-Jul-11             60                  15            2413.76         59.31             96               17        1655.65
       15-Jul-11             37                  13            1590.56         70.67             37                8         660.00
       18-Jul-11             21                   8             823.91         76.72             15                7         250.00
       19-Jul-11             12                   9             262.00         12.80             93                9        1785.00
       20-Jul-11             19                   8             811.19         47.64             72                9         891.69
       21-Jul-11             46                   9            1644.05         79.12             38                8         433.75
       22-Jul-11             12                   8             457.36         40.75             53               10         665.00
       25-Jul-11             13                   6             798.23         49.79             40                5         805.00
       26-Jul-11              4                   3             510.00         90.27              7                3          55.00
       27-Jul-11             10                   5            1211.41         72.48             34                4         460.00
       28-Jul-11             42                  11            2338.55         75.99             72                7         739.00
       29-Jul-11             16                  12             976.19         75.31             30                4         320.00
Total                       510                               25727.04                         1187                        17548.94
Average                      24                   9            1225.10                           57                 9        835.66
Percent Market Share                                                           59.45
- 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
                   7.86            15                  4      1222.19              56.52             35                    7         2162.49
                  39.01            10                  4       625.61              30.70             56                   14         2038.01
                  36.99             11                  6           891.66         33.15              71                   14            2689.76
                  58.85              7                  5           250.63         13.33              75                   18            1880.48
                  44.30              6                  3           355.00         13.06             143                   15            2717.36
                  21.83              6                  5          1145.00         55.54              53                   17            2061.64
                  60.85              5                  4           310.00         23.79              81                   16            1303.25
                  60.88             11                  8          1145.60         34.11             185                   20            3358.81
                  50.67             17                  6           875.96         34.94             119                   19            2506.92
                  40.69              5                  4           240.00          5.90             156                   24            4069.41
                  29.33             12                  8           625.00         27.77              74                   16            2250.56
                  23.28              3                  2           128.44         11.96              36                   15            1073.91
                  87.20              4                  3           220.00         10.75             105                   14            2047.00
                  52.36              9                  4           320.00         18.79              91                   13            1702.88
                  20.88              4                  2           110.00          5.29              84                   12            2077.81
                  59.25              6                  4           385.00         34.30              65                   15            1122.36
                  50.21              6                  5           297.63         18.56              53                    8            1603.23
                   9.73              1                  1            75.00         13.27              11                    5             565.00
                  27.52              1                  1           100.00          5.98              44                    8            1671.41
                  24.01              1                  1            50.00          1.62             114                   14            3077.56
                  24.69              5                  5           361.43         27.88              46                   12            1296.19
                                   145                             9734.15                          1697                                43276.04
                                     7                  4           463.53                            81                   14            2060.76
                  40.55                                                            22.49
TRADING DETAILS

                     Central Government                 SDL                        T-Bills
       Date        Trades         Value       Trades          Value       Trades             Value
      1-Jul-11         1086         8288.55            2           0.64            35         2162.49
      2-Jul-11
      4-Jul-11          872        6333.69             12         4.00         56             2038.01
      5-Jul-11         1382       10048.42             13        29.88         71             2689.76
      6-Jul-11         1401       10167.25             51       319.40         75             1880.48
      7-Jul-11         1026        7806.34             24        33.39        143             2717.36
      8-Jul-11         1179        9804.87             17        68.43         53             2061.64
      9-Jul-11
     11-Jul-11         1555       10656.28             31       108.12         81             1303.25
     12-Jul-11         2635       19052.07             39       120.09        185             3358.81
     13-Jul-11         1092        8213.85             19        61.07        119             2506.92
     14-Jul-11         2060       15859.35             93       488.27        156             4069.41
     15-Jul-11         1291       10235.22             33       203.31         74             2250.56
     16-Jul-11
     18-Jul-11         1398       10572.17             37       191.37         36             1073.91
     19-Jul-11         1975       15576.59             55       393.49        105             2047.00
     20-Jul-11         1085        7584.10             79       870.94         91             1702.88
     21-Jul-11         1070        7523.81             55       305.29         84             2077.81
     22-Jul-11         1229        9714.47             26        24.01         65             1122.36
     23-Jul-11
     25-Jul-11         1174        8001.37             17        43.80         53             1603.23
     26-Jul-11         1939       20968.17             18        80.36         11              565.00
     27-Jul-11         1290        8903.06             24        76.17         44             1671.41
     28-Jul-11          994        7531.11             24        26.09        114             3077.56
     29-Jul-11          976        7346.02             26       175.67         46             1296.19
     30-Jul-11
Total                 28709      220186.76         695         3623.79       1697            43276.04
Average                 1367      10485.08          33          172.56          81            2060.76
Market Share (%)       92.31         82.44        2.23        1.36            5.46              16.20
                                                                                              Amt. Rs. Cro
 Total                            Repo                        CBLO                         Forex*
Trades      Value       Trades           Value       Trades          Value        Trades
     1123    10451.68                                      25            585.45
                              1              92.50        202          14454.20
     940      8375.70       109           14964.45        678          63026.75
    1466     12768.06       107           16567.76        606          60267.95      12307
    1527     12367.13       124           14367.70        682          69487.25       4267
    1193     10557.09       121           12411.17        703          73954.60       4063
    1249     11934.94       113           12507.32        704          75290.90       4969
                              1              20.40         66           2802.45
    1667     12067.65       107           10559.06        578          67742.60       4402
    2859     22530.97       114           11300.77        634          66842.60       4376
    1230     10781.84       118           12097.81        607          60443.30       4298
    2309     20417.03       112           12913.46        620          62126.60       5412
    1398     12689.09       190           34061.69        460          21261.60       3979
                                                          114          10584.35
    1471     11837.45       126           16315.04        501          48881.05       4527
    2135     18017.08       124           14168.86        490          44417.55       4060
    1255     10157.92       125           13361.29        460          40510.90       3564
    1209      9906.91       115           11576.39        484          42474.00       3610
    1320     10860.84       116           11599.42        523          40887.45       3866
                              1               5.18         54           2506.30
    1244      9648.40       114           11632.19        496          41311.50       3750
    1968     21613.53       119           13189.21        473          39834.80       4001
    1358     10650.64       117           13395.08        548          48844.00       3265
    1132     10634.76       119           13251.47        548          39830.60       4978
    1048      8817.88       188           23343.67        458          22363.35      13558
                                                           94           5424.25
   31101    267086.59      2481          293701.89      11808        1066156.35      97252
    1481     12718.41       108           12769.65        454          41006.01       5119
   Amt. Rs. Crore #
Forex*            #
       Value      #
                  #
                 #
                 #
        33272.19 #
        14669.24 #
        12652.61
        14424.37 #
                   #
        12980.16   #
        12029.56   #
        13046.41   #
        16394.66   #
        13076.76

        15350.16
        12329.22 #
        10592.43 #
        11083.89
        12802.01

        12745.26
        11703.38
        10069.91
        16698.00
        86523.00

       342443.23 #
        18023.33 #
                   #
                              INTEREST RATE SWAP TRANSACTIONS (MATCHED)
                    MIBOR                     MIFOR                 INBMK
         Volume (Rs in             Volume (Rs in           Volume (Rs in
    Date    Crores)       Trades      Crores)       Trades    Crores)

 1/Jul/11    8295        107         366          8           0

 4/Jul/11    4376        63           0           0           0

 5/Jul/11   6952.5       103          56          2           0

 6/Jul/11    8942        121         150          4           0

 7/Jul/11    5441        76          2220         41          0

 8/Jul/11   10535        134         414          6           0

11/Jul/11   10757        133         374          8           0

12/Jul/11   14262        219         800          18          0

13/Jul/11    6999        101         150          6           0

14/Jul/11   21685        318         420          10          0

15/Jul/11   11067        151         300          7           0

18/Jul/11    5915        75          250          6           0

19/Jul/11    3900        66          600          13          0

20/Jul/11    3805        57          300          8           0

21/Jul/11    2400        48          325          8           0

22/Jul/11   12867        151         409.6        10          0

25/Jul/11    6025        108          50          1           110

26/Jul/11   25540        294         339          9           0

27/Jul/11   16538.5      183         250          7           0

28/Jul/11   12358.5      173         232          6           0

29/Jul/11   11409        169          549        13            0
    Total   210070      2850         8555        191          110
 Average    10003        136          407         9            5
NS (MATCHED)
      INBMK                   TOTAL
                    Volume (Rs
           Trades    in Crores)    Trades

               0           8661     115

               0           4376      63

               0           7009     105

               0           9092     125

               0           7661     117

               0          10949     140

               0          11131     141

               0          15062     237

               0           7149     107

               0          22105     328

               0          11367     158

               0           6165      81

               0           4500      79

               0           4105      65

               0           2725      56

               0          13277     161

               2           6185     111

               0          25879     303

               0          16789     190

               0          12591     179

               0          11958      182
               2         218734     3043
               0           9942      138
Sr.
No.        ISIN No.       Security
       1   IN0019910044   11.50% 2011
       2   IN0019910127   12% 2011
       3   IN0020000116   11.50% 2011(2nd Series)
       4   IN0020050053   7.47% Oil Marketing Companies GOI Special Bonds, 2012
       5   IN0020050087   7.44% Oil Marketing Companies GOI Special Bonds, 2012
       6   IN0020020023   6.85% 2012
       7   IN0020020056   7.40% 2012
       8   IN0019840035   10.25% 2012
       9   IN0020000066   11.03% 2012
      10   IN0020020080   6.72% 2012
      11   IN0020050137   7% OIL COS' GOI SPL BONDS 2012
      12   IN0020010073   9.40% 2012
      13   IN0019820037   9% 2013
      14   IN0020010032   9.81% 2013
      15   IN0019980187   12.40% 2013 (On Tap)
      16   IN0020020122   7.27% 2013 (conv)
      17   IN0020030105   5.32% 2014
      18   IN0020020221   6.72% 2014 (Pvt. Placement)
      19   IN0020020049   7.37% 2014
      20   IN0020090018   6.07% GS 2014
      21   IN0019830010   10% 2014
      22   IN0020090067   7.32% 2014
      23   IN0019840084   10.50% 2014
      24   IN0020080043   7.56% G.S. 2014
      25   IN0019990137   11.83% 2014
      26   IN0020020205   NAT BK'S(NT) SPL SEC 2015
      27   IN0020000132   10.47% 2015
      28   IN0020050061   7.61% Oil Marketing Companies GOI Special Bonds, 2015
      29   IN0020050095   7.59% Oil Marketing Companies GOI Special Bonds, 2015
      30   IN0020000033   10.79% 2015
      31   IN0019850034   11.50% 2015
      32   IN0020090026   6.49% 2015
      33   IN0020100023   7.17% GOVT.STOCK 2015
      34   IN0020000090   11.43% 2015 (Pvt. Placement)
      35   IN0020020130   7.38% 2015
      36   IN0020010099   9.85% 2015
      37   IN0020060219   7.59% 2016
      38   IN0020010016   10.71% 2016
      39   IN0020040013   5.59% 2016
      40   IN0019990129   12.30% 2016 (On Tap)
41   IN0020090059   7.02% 2016
42   IN0020010107   8.07% 2017
43   IN0020020031   7.49% 2017
44   IN0020070010   7.99% 2017
45   IN0020020098   7.46% 2017
46   IN0020020163   6.25% 2018
47   IN0020110014   7.83% G.S. 2018
48   IN0020080019   8.24% GOVT. STOCK 2018
49   IN0020010024   10.45% 2018
50   IN0020030063   5.69% 2018 (conv)
51   IN0019980286   12.60% 2018 (On Tap)
52   IN0020030097   5.64% 2019
53   IN0020080068   6.05% 2019
54   IN0020030048   6.05% 2019 (conv)
55   IN0020090042   6.90% 2019
56   IN0020010065   10.03% 2019
57   IN0020020171   6.35% 2020
58   IN0020000025   10.70% 2020
59   IN0020100015   7.80% G.S. 2020
60   IN0020000124   11.60% 2020
61   IN0020009018   11.50% GOI (IIBI) Spl Securities 2021
62   IN0020110022   7.80% G.S. 2021
63   IN0020060318   7.94% G.S. 2021
64   IN0020010040   10.25% 2021
65   IN0020060094   8.13% Oil Marketing Companies Government of India Special Bonds, 2021
66   IN0020019017   9.75% GOI (IFCI) SPL SEC 2021
67   IN0020060096   7.75% Oil Marketing Companies Government of India Special Bonds, 2021
68   IN0020060037   8.20% Government Stock 2022
69   IN0020020072   8.35% 2022
70   IN0020070028   8.08% Government Stock 2022
71   IN0020039031   5.87% 2022 (conv)
72   IN0020070051   8.13% 2022
73   IN0020060095   8.15% Government of India FCI Special Bonds, 2022
74   IN0020089028   7% FERT COS GOI SPL BOND 2022
75   IN0020089044   6.20% Fertilizer Companies’ Government of India Special Bonds, 2022
76   IN0020089051   6.65% Fertilizer Companies Government of India Special Bonds, 2023
77   IN0020030014   6.30% 2023
78   IN0020030055   6.17% 2023
79   IN0020089010   8.20% Oil Marketing Companies Government of India Special Bonds 2023
80   IN0020079011   8.30% Fertilizer Companies GOI Special Bonds, 2023
81   IN0020060052   8.01% Oil Marketing Companies Government of India Special Bonds, 2023
82   IN0020060060   8.20% Oil Marketing Companies Government of India Special Bonds, 2024
83   IN0020079045   8.35% SBI Rights Issue Government of India Special Bonds, 2024
84   IN0020090034   7.35% 2024
85   IN0020099019   8.20% Oil Marketing Companies’ Government of India Special Bonds, 2024
86   IN0020060011   8.03% Government of India FCI Special Bonds, 2024
87   IN0020089036   6.35% Oil Marketing Companies Government of India Special Bonds, 2024
88   IN0020079029   7.95% Oil Marketing Companies Government of India Special Bonds 2025
89   IN0020079052   8.40% Oil Marketing Companies Government of India Special Bonds, 2025
90   IN0020030071   5.97% 2025
91   IN0020089069   6.90% OIL MKTG COS GOI SB 2026
 92   IN0020079037   7.95% Fertilizer Companies Government of India Special Bonds, 2026
 93   IN0020089077   8.00% OIL MKT COS GOI SB 2026
 94   IN0020060102   8.40% Oil Marketing Companies Government of India Special Bonds, 2026
 95   IN0020010081   10.18% 2026
 96   IN0020060029   8.23% Government of India FCI Special Bonds, 2027
 97   IN0020060078   8.24% Government Stock 2027
 98   IN0020070036   8.26% Government Stock 2027
 99   IN0020070069   8.28% 2027
100   IN0020020247   6.01% 2028
101   IN0020030022   6.13% 2028
102   IN0020060086   8.28% Government Stock 2032
103   IN0020070044   8.32% Government Stock 2032
104   IN0020020106   7.95% 2032
105   IN0020070077   8.33% 2032
106   IN0020040039   7.50% 2034
107   IN0020050012   7.40% 2035
108   IN0020060045   8.33% 2036
109   IN0020080050   6.83% G.S. 2039
110   IN0020100031   8.30% G.S. 2040

  1   IN0020032028   FRB 2011 (5.99% - 364 day T-Bill)
  2   IN0020032036   FRB 2012 (7.08% - 364 day T-Bill)
  3   IN0020042043   FRB 2013 (6.91% - 364 day T-Bill)
  4   IN0020032010   FRB 2014 (8.20% - 364 day T-Bill)
  5   IN0020042027   FRB 2015 (8.49% - 364 day T-Bill)
  6   IN0020042035   FRB 2015 (II) (6.36% - 364 day T-Bill)
  7   IN0020042019   FRB 2016 (7.85% - 364 day T-Bills)
  8   IN0020022011   FRB 2017 (8.52% - 364 day T-Bills)
  9   IN0020092071   FRB 2020 (7.23% - 182 day T-Bills)
 10   IN0020042050   FRB 2035 (7.17%- reset every 5 years)

  1   IN002010Z023   364 DTB
  2   IN002010Z023   364 DTB
  3   IN002010Z023   364 DTB
  4   IN002010Z023   364 DTB
  5   IN002010Z023   364 DTB
  6   IN002010Z023   364 DTB
  7   IN002010Z023   364 DTB
  8   IN002010Z023   364 DTB
  9   IN002010Z023   364 DTB
 10   IN002010Z023   364 DTB
 11   IN002010Z023   364 DTB
 12   IN002010Z023   364 DTB
 13   IN002010Z023   364 DTB
 14   IN002010Z023   364 DTB
 15   IN002010Z023   364 DTB
 16   IN002010Z023   364 DTB
 17   IN002010Z023   364 DTB
 18   IN002011Z021   364 DTB
 19   IN002011Z021   364 DTB
 20   IN002011Z021   364 DTB
21   IN002011Z021       364 DTB
22   IN002011Z021       364 DTB
23   IN002011Z021       364 DTB
24   IN002011Z021       364 DTB
25   IN002011Z021       364 DTB
26   IN002011Z021       364 DTB
27   IN002010Y026       182 DTB
28   IN002010Y026       182 DTB
29   IN002010Y026       182 DTB
30   IN002010Y026       182 DTB
31   IN002011Y024       182 DTB
32   IN002011Y024       182 DTB
33   IN002011Y024       182 DTB
34   IN002011Y024       182 DTB
35   IN002011Y024       182 DTB
36   IN002011Y024       182 DTB
37   IN002011Y024       182 DTB
38   IN002011Y024       182 DTB
39   IN002011Y024       182 DTB
40   IN002011U063       35 DTB
41   IN002011U071       42 DTB
42   IN002011U089       56 DTB
43   IN002011U097       56 DTB
44   IN002011X026       91 DTB
45   IN002011X026       91 DTB
46   IN002011X026       91 DTB
47   IN002011X026       91 DTB
48   IN002011X026       91 DTB
49   IN002011X026       91 DTB
50   IN002011X026       91 DTB
51   IN002011X026       91 DTB
52   IN002011X026       91 DTB
53   IN002011X026       91 DTB
54   IN002011X026       91 DTB
55   IN002011X026       91 DTB
56   IN002011X026       91 DTB


     Note: Prices in Bold are Last traded prices on July 29, 2011. Other prices are CCIL Model Prices Duration is calculated considerin
                                            Market                                       Yield (%)
                Maturity        Outstanding Capitalizatio                                (Previous
Issue Date      Date            (Rs.Crore)  n (Rs. Crore) Price            Yield (%)     Month)        Duration
  5/Aug/91        5/Aug/11           2861.36      2861.84         100.02        9.7451        8.0352        0.0139
  21/Oct/91       21/Oct/11          3246.91      3270.85         100.74        8.3850        8.2151        0.2250
 24/Nov/00       24/Nov/11          11000.00     11098.23         100.89        8.4271        8.2985        0.3167
   7/Mar/06        7/Mar/12          2000.00      1987.94          99.40        8.4948        8.3722        0.5847
 23/Mar/06       23/Mar/12           2000.00      1986.81          99.34        8.4824        8.3603        0.6292
   5/Apr/02        5/Apr/12         26000.00     25749.10          99.04        8.3129        8.3195        0.6639
  3/May/02        3/May/12          33000.00     32767.05          99.29        8.3537        8.0093        0.7404
    1/Jun/84        1/Jun/12         1574.13      1596.51         101.42        8.4245        8.3010        0.8119
   18/Jul/00       18/Jul/12        13500.00     13822.23         102.39        8.4000        8.2888        0.9408
   18/Jul/02       18/Jul/12          546.81       538.43          98.47        8.3994        8.2883        0.9503
    9/Sep/05        9/Sep/12         5762.85      5673.90          98.46        8.4765        8.3104        1.0576
  11/Sep/01       11/Sep/12         11000.00     11098.44         100.89        8.5243        8.2917        1.0480
 24/May/82       24/May/13           1751.33      1765.98         100.84        8.4801        8.1876        1.6918
 30/May/01       30/May/13          11000.00     11241.36         102.19        8.4791        8.1859        1.6992
 20/Aug/98       20/Aug/13          11983.91     12849.36         107.22        8.4904        8.1842        1.7928
    3/Sep/02        3/Sep/13        46000.00     45241.00          98.35        8.1380        8.2179        1.9204
  16/Feb/04       16/Feb/14          5000.00      4643.37          92.87        8.4939        8.1676        2.3468
  24/Feb/03       24/Feb/14         15273.60     14656.37          95.96        8.5020        8.1755        2.3266
 16/Apr/02       16/Apr/14          42000.00     41046.60          97.73         8.315        8.2359        2.4531
 15/May/09       15/May/14          40000.00     37636.68          94.09         8.485        8.1568        2.5709
 30/May/83       30/May/14           2333.26      2420.17         103.72         8.484        8.1579        2.5055
  20/Oct/09       20/Oct/14         18000.00     17355.92          96.42         8.608        8.3139        2.8644
  29/Oct/84       29/Oct/14          1755.10      1847.01         105.24         8.607        8.3146        2.7798
  3/Nov/08        3/Nov/14          41000.00     39785.86          97.04         8.615        8.3202        2.8915
 12/Nov/99       12/Nov/14          11500.00     12535.07         109.00         8.614        8.3215        2.7757
    7/Feb/03        7/Feb/15           70.00        68.98          98.54         8.486        8.2243        3.0157
  12/Feb/01       12/Feb/15          6430.00      6784.70         105.52         8.623        8.3326        2.9233
   7/Mar/06        7/Mar/15          1750.00      1703.75          97.36         8.472        8.2120        3.1173
 23/Mar/06       23/Mar/15           1750.00      1702.15          97.27         8.472        8.2122        3.1627
 19/May/00       19/May/15           2683.45      2868.83         106.91         8.613        8.3274        3.1805
 21/May/85       21/May/15           3560.50      3887.39         109.18         8.612        7.9208        3.1594
    8/Jun/09        8/Jun/15        40000.00     37251.04          93.13         8.618        8.3050        3.4237
  14/Jun/10       14/Jun/15         56000.00     53732.00          95.95         8.413        8.2997        3.4083
  7/Aug/00        7/Aug/15          12000.00     13123.24         109.36         8.624        8.3419        3.2064
    3/Sep/02        3/Sep/15        61000.00     58910.75          96.58         8.383        8.2741        3.4883
  16/Oct/01       16/Oct/15         10000.00     10422.27         104.22         8.626        8.3482        3.4716
 12/Apr/06       12/Apr/16          68000.00     65830.80          96.81         8.421        8.3446        3.9375
 19/Apr/01       19/Apr/16           9000.00      9707.90         107.87         8.638        8.3729        3.7623
    4/Jun/04        4/Jun/16         6000.00      5361.00          89.35         8.302        8.3843        4.2339
     2/Jul/99        2/Jul/16       13129.85     15020.47         114.40         8.642        8.3093        3.8838
17/Aug/09      17/Aug/16      60000.00   56550.00    94.25   8.441   8.3218   4.1711
  15/Jan/02      15/Jan/17    56000.00   55071.52    98.34   8.454   8.3405   4.4973
16/Apr/02      16/Apr/17      58000.00   55564.00    95.80   8.427   8.3508   4.6242
    9/Jul/07       9/Jul/17   59000.00   57640.05    97.70   8.490   8.3280   4.8077
28/Aug/02      28/Aug/17      57886.80   54963.50    94.95   8.540   8.3732   4.8047
   2/Jan/03       2/Jan/18    16886.80   14993.42    88.79   8.553   8.3965   5.2837
11/Apr/11      11/Apr/18      27000.00   26104.60    96.68   8.485   8.3639   5.1864
22/Apr/08      22/Apr/18      50000.00   49700.00    99.40   8.354   8.4518   5.1783
30/Apr/01      30/Apr/18       3716.00    4071.37   109.56   8.551   8.3963   4.9795
 25/Sep/03      25/Sep/18     16130.00   13745.42    85.22   8.487   8.4848   5.7264
23/Nov/98      23/Nov/18      12631.88   15421.60   122.08   8.480   8.3194   5.1296
   2/Jan/04       2/Jan/19    10000.00    8450.36    84.50   8.496   8.3467   6.0033
   2/Feb/09       2/Feb/19    53000.00   45902.23    86.61   8.500   8.3511   5.8196
 12/Jun/03      12/Jun/19     11000.00    9473.73    86.12   8.503   8.3609   6.1805
  13/Jul/09      13/Jul/19    45000.00   40890.39    90.87   8.502   8.3603   6.1327
  9/Aug/01       9/Aug/19      6000.00    6525.65   108.76   8.501   8.3547   5.5598
   2/Jan/03       2/Jan/20    61000.00   53158.67    87.15   8.518   8.3780   6.4671
22/Apr/00      22/Apr/20       6000.00    6794.95   113.25   8.514   8.3764   5.9204
 3/May/10       3/May/20      60000.00   57363.44    95.61   8.519   8.3871   6.3264
 27/Dec/00      27/Dec/20      5000.00    5980.55   119.61   8.524   8.3940   6.2231
30/Mar/01      30/Mar/21        100.00     118.68   118.68   8.610   8.4652   6.1908
11/Apr/11      11/Apr/21      45000.00   43050.02    95.67   8.461   8.3363   6.7466
24/May/06      24/May/21      49000.00   47058.38    96.04   8.541   8.4214   6.8331
30/May/01      30/May/21      26213.32   29161.25   111.25   8.534   8.4095   6.5129
 16/Oct/06      16/Oct/21      5000.00    4831.36    96.63   8.630   8.4971   6.9043
 30/Oct/01      30/Oct/21       400.00     430.09   107.52   8.626   8.4898   6.6917
28/Nov/06      28/Nov/21       5000.00    4701.48    94.03   8.632   8.5010   7.0884
 15/Feb/07      15/Feb/22     57632.33   56213.76    97.54   8.558   8.4626   6.9419
14/May/02      14/May/22      44000.00   43356.17    98.54   8.557   8.4635   7.1627
  2/Aug/07       2/Aug/22     51969.41   50228.43    96.65   8.556   8.4262   7.1300
28/Aug/03      28/Aug/22      11000.00    8900.34    80.91   8.572   8.4855   7.7018
 21/Sep/07      21/Sep/22     54495.28   52868.49    97.01   8.548   8.4274   7.2578
 16/Oct/06      16/Oct/22      5000.00    4822.86    96.46   8.647   8.5206   7.3082
 10/Dec/08      10/Dec/22      6071.51    5352.74    88.16   8.656   8.5329   7.6929
 24/Dec/08      24/Dec/22       491.41     404.91    82.40   8.659   8.5384   7.9234
  29/Jan/09      29/Jan/23     1710.93    1463.86    85.56   8.658   8.5369   7.9095
  9/Apr/03       9/Apr/23     13000.00   10837.12    83.36   8.580   8.4962   7.9106
 12/Jun/03      12/Jun/23     14000.00   11512.41    82.23   8.585   8.5025   8.1194
10/Nov/08      10/Nov/23      22000.00   21229.10    96.50   8.666   8.5454   7.7371
  7/Dec/07       7/Dec/23      3880.00    3772.69    97.23   8.667   8.5458   7.7924
 15/Dec/06      15/Dec/23      4150.00    3944.62    95.05   8.668   8.5476   7.8724
 12/Feb/07      12/Feb/24      5000.00    4821.37    96.43   8.672   8.5522   7.6670
27/Mar/08      27/Mar/24       9996.01    9751.50    97.55   8.670   8.5497   7.7623
 22/Jun/09      22/Jun/24     10000.00    9038.44    90.38   8.597   8.5154   8.2298
 15/Sep/09      15/Sep/24     10306.33    9923.27    96.28   8.678   8.5501   7.9256
 15/Dec/06      15/Dec/24      5000.00    4742.50    94.85   8.686   8.5650   8.2097
 23/Dec/08      23/Dec/24     22000.00   17967.95    81.67   8.691   8.5774   8.6511
  18/Jan/08      18/Jan/25    11256.92   10606.93    94.23   8.685   8.5684   8.3191
28/Mar/08      28/Mar/25       9296.92    9087.07    97.74   8.683   8.5660   8.0793
 25/Sep/03      25/Sep/25     16687.95   13108.25    78.55   8.621   8.5461   8.8823
   4/Feb/09       4/Feb/26    21942.00   18713.02    85.28   8.705   8.5987   8.5909
 18/Feb/08      18/Feb/26       3550.87      3333.15    93.87      8.700     8.5859    8.3635
23/Mar/09      23/Mar/26       10000.00      9427.15    94.27      8.697     8.5830    8.4500
29/Mar/07      29/Mar/26        4971.00      4850.05    97.57      8.694     8.5797    8.3788
 11/Sep/01      11/Sep/26      15000.00     16964.16   113.09      8.612     8.5592    8.1574
 12/Feb/07      12/Feb/27       6200.00      5949.00    95.95      8.710     8.5966    8.5560
 15/Feb/07      15/Feb/27      57388.55     55580.81    96.85      8.611     8.5770    8.5925
 2/Aug/07       2/Aug/27       67427.33     65031.41    96.45      8.675     8.5909    8.6616
 21/Sep/07      21/Sep/27       7252.24      7014.42    96.72      8.659     8.5808    8.7983
 7/Aug/03      25/Mar/28       15000.00     11541.83    76.95      8.646     8.6023    9.5916
  4/Jun/03       4/Jun/28      11000.00      8565.33    77.87      8.648     8.6040    9.7396
 15/Feb/07      15/Feb/32      58687.11     56368.97    96.05      8.695     8.6038    9.6251
 2/Aug/07       2/Aug/32       15434.05     14920.86    96.67      8.666     8.6039    9.6778
28/Aug/02      28/Aug/32       59000.00     54926.12    93.10      8.667     8.6055    9.8367
 21/Sep/07      21/Sep/32       1522.48      1473.16    96.76      8.665     8.6024    9.8124
10/Aug/04      10/Aug/34       60000.00     52995.81    88.33      8.680     8.6183   10.1909
  9/Sep/05       9/Sep/35      42000.00     36589.33    87.12      8.683     8.6216   10.4234
  7/Jun/06       7/Jun/36      59000.00     56888.24    96.42      8.682     8.6199   10.5077
 19/Jan/09      19/Jan/39      13000.00     10479.97    80.62      8.695     8.6144   11.2414
   2/Jul/10       2/Jul/40     53000.00     50624.22    95.52      8.726     8.5436   10.9549
                             2426748.48   2315759.82                                   6.0765
  8/Aug/03       8/Aug/11       6000.00      5996.54    99.94    99.9423    99.9423
10/Nov/03      10/Nov/12        5000.00      4966.34    99.33    99.3269    99.3269
   9/Sep/04     10/Sep/13       4000.00      3998.97    99.97    99.9742    99.9742
20/May/03      20/May/14        5000.00      4971.85    99.44    99.4369    99.4369
    1/Jul/04      2/Jul/15      6000.00      5972.76    99.55    99.5461    99.5461
  9/Aug/04     10/Aug/15        6000.00      6035.79   100.60   100.5965   100.5965
 7/May/04       7/May/16        6000.00      5921.01    98.68    98.6835    98.6835
    2/Jul/02      2/Jul/17      3000.00      3001.25   100.04   100.0415   100.0415
 21/Dec/09      21/Dec/20       8000.00      7688.00    96.10    96.1000    96.1000
  25/Jan/05      25/Jan/35       350.00       336.35    96.10    96.0991    96.0991
                               49350.00     48888.86
13/Aug/10      12/Aug/11        1016.80      1013.82    99.71     8.6648    99.7074
27/Aug/10      26/Aug/11        1046.30      1039.95    99.39     8.6796    99.3934
 10/Sep/10        8/Sep/11      1000.00       991.03    99.10     8.6827    99.1028
 24/Sep/10      23/Sep/11       1000.00       987.69    98.77     8.6817    98.7687
  8/Oct/10        7/Oct/11      2042.30      2010.81    98.46     8.6952    98.4579
 22/Oct/10      21/Oct/11       2000.00      1962.97    98.15     8.7262    98.1483
 5/Nov/10       3/Nov/11        2000.00      1957.23    97.86     8.3949    97.8617
19/Nov/10      18/Nov/11        2000.00      1950.64    97.53     8.3956    97.5322
  3/Dec/10       2/Dec/11       1000.00       972.26    97.23     8.3990    97.2258
17/Dec/10      15/Dec/11        1000.00       969.42    96.94     8.4037    96.9422
31/Dec/10      30/Dec/11        1000.00       966.16    96.62     8.4106    96.6160
 14/Jan/11      13/Jan/12       1000.00       963.13    96.31     8.4180    96.3127
 28/Jan/11      27/Jan/12       1000.00       960.10    96.01     8.4263    96.0104
 11/Feb/11      10/Feb/12       3000.00      2871.27    95.71     8.4351    95.7091
 25/Feb/11      24/Feb/12       3000.00      2862.26    95.41     8.4445    95.4087
11/Mar/11        9/Mar/12       3000.00      2853.28    95.11     8.4543    95.1094
25/Mar/11      23/Mar/12        3000.00      2844.33    94.81     8.4644    94.8111
  8/Apr/11       6/Apr/12       2000.00      1891.24    94.56     8.3962    94.5619
22/Apr/11      19/Apr/12        3000.00      2827.16    94.24     8.4849    94.2385
 6/May/11       4/May/12        3000.00      2822.87    94.10     8.2386    94.0956
               20/May/11      18/May/12         3000.00       2808.82         93.63   8.5078   93.6275
                  3/Jun/11       1/Jun/12       3000.00       2800.02         93.33   8.5192   93.3340
                17/Jun/11      15/Jun/12        3202.80       2979.93         93.04   8.5308   93.0414
                   1/Jul/11    28/Jun/12        3000.00       2783.12         92.77   8.5417   92.7706
                 15/Jul/11      13/Jul/12       3000.00       2779.57         92.65   8.3178   92.6523
                 29/Jul/11      27/Jul/12       3000.00       2768.87         92.30   8.4167   92.2956
                 4/Feb/11       5/Aug/11        1500.00       1497.97         99.86   9.8805   99.8648
                18/Feb/11     19/Aug/11         2000.00       1991.45         99.57   8.2442   99.5727
                4/Mar/11         2/Sep/11       2000.00       1985.47         99.27   8.0966   99.2733
               18/Mar/11       16/Sep/11        2000.05       1978.54         98.92   8.4437   98.9244
                 1/Apr/11      29/Sep/11        2000.00       1972.71         98.64   8.4164   98.6354
               15/Apr/11       14/Oct/11        3500.00       3440.60         98.30   8.4013   98.3030
               29/Apr/11       28/Oct/11        4250.00       4161.46         97.92   8.7252   97.9168
               13/May/11      11/Nov/11         3000.00       2930.58         97.69   8.3949   97.6859
               27/May/11      25/Nov/11         3500.00       3408.26         97.38   8.3971   97.3789
                10/Jun/11       9/Dec/11        3000.00       2912.19         97.07   8.4014   97.0730
                24/Jun/11      23/Dec/11        3000.00       2903.04         96.77   8.4072   96.7681
                   8/Jul/11      6/Jan/12       3000.00       2894.20         96.47   8.3915   96.4735
                 22/Jul/11      20/Jan/12       3000.00       2884.84         96.16   8.4221   96.1614
                29/Jun/11       3/Aug/11        6000.00       5997.35         99.96   5.3679   99.9559
                   5/Jul/11   16/Aug/11         8000.00       7967.58         99.59   9.2812   99.5948
                 19/Jul/11     13/Sep/11        8000.00       7919.30         98.99   8.4532   98.9913
                 22/Jul/11     16/Sep/11        4000.00       3955.92         98.90   8.6534   98.8980
                6/May/11        5/Aug/11       10875.00      10865.19         99.91   6.5905   99.9098
               13/May/11      12/Aug/11         9100.00       9071.47         99.69   9.5656   99.6865
               20/May/11      19/Aug/11         9250.00       9214.38         99.61   7.4266   99.6149
               27/May/11      26/Aug/11        15250.00      15147.90         99.33   9.4621   99.3305
                  3/Jun/11       2/Sep/11       9500.00       9430.72         99.27   8.1258   99.2707
                10/Jun/11        9/Sep/11      10000.00       9911.49         99.11   8.1487   99.1149
                17/Jun/11      16/Sep/11       11200.00      11086.88         98.99   7.9236   98.9900
                24/Jun/11      23/Sep/11        9900.00       9781.41         98.80   8.1951   98.8021
                   1/Jul/11    29/Sep/11       10750.00      10600.54         98.61   8.5769   98.6097
                   8/Jul/11      7/Oct/11       7250.00       7138.20         98.46   8.4069   98.4579
                 15/Jul/11     14/Oct/11        8500.00       8359.00         98.34   8.2090   98.3412
                 22/Jul/11     21/Oct/11        7500.00       7360.22         98.14   8.4533   98.1363
                 29/Jul/11     28/Oct/11        8993.52       8815.24         98.02   8.2941   98.0177
                                              245126.77     240222.08
Prices Duration is calculated considering July 31, 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
Mod           V+ (for            V- (for            Convexity       Duration for for          Convexity        increase
Duration      100bps)            100bps)            Measure         100bps (%)   100bps(%)    Effect(%)        in yield
       0.01             105.59             105.62            0.00          -0.01       0.00            -0.01        -0.01
       0.22             103.81             104.27            0.10          -0.22       0.00            -0.22        -0.22
       0.30             102.68             103.32            0.19          -0.30       0.00            -0.30        -0.31
       0.56             101.79             102.94            0.59          -0.56       0.00            -0.56        -0.56
       0.60             101.35             102.58            0.66          -0.60       0.00            -0.60        -0.60
       0.64             100.58             101.87            0.72          -0.64       0.00            -0.63        -0.63
       0.71             100.37             101.81            0.85          -0.71       0.00            -0.71        -0.71
       0.78             102.30             103.91            0.99          -0.78       0.00            -0.77        -0.77
       0.90             101.83             103.69            1.26          -0.90       0.01            -0.90        -0.90
       0.91              97.80              99.60            1.28          -0.91       0.01            -0.91        -0.91
       1.01             100.18             102.23            1.55          -1.01       0.01            -1.01        -1.01
       1.01             103.48             105.58            1.54          -1.01       0.01            -1.00        -1.00
       1.62             100.84             104.17            3.53          -1.62       0.02            -1.61        -1.61
       1.63             102.16             105.54            3.57          -1.63       0.02            -1.61        -1.61
       1.72             110.82             114.69            4.09          -1.72       0.02            -1.70        -1.70
       1.85              99.47             103.21            4.51          -1.85       0.02            -1.82        -1.82
       2.25              93.18              97.47            6.45          -2.25       0.03            -2.22        -2.22
       2.23              96.70             101.11            6.41          -2.23       0.03            -2.20        -2.20
       2.36              97.54             102.25            7.06          -2.36       0.04            -2.32        -2.32
       2.47              93.04              97.74            7.60          -2.47       0.04            -2.43        -2.43
       2.40             102.90             107.96            7.39          -2.40       0.04            -2.37        -2.37
       2.75              95.80             101.21            9.47          -2.75       0.05            -2.70        -2.70
       2.67             105.06             110.82            9.13          -2.67       0.05            -2.62        -2.62
       2.77              96.17             101.65            9.64          -2.77       0.05            -2.72        -2.72
       2.66             108.65             114.58            9.15          -2.66       0.05            -2.62        -2.62
       2.89              99.48             105.41           10.71          -2.89       0.05            -2.84        -2.84
       2.80             107.36             113.55           10.29          -2.80       0.05            -2.75        -2.75
       2.99              97.43             103.44           11.31          -2.99       0.06            -2.93        -2.93
       3.03              96.97             103.03           11.59          -3.03       0.06            -2.98        -2.98
       3.05             105.78             112.43           11.87          -3.05       0.06            -2.99        -2.99
       3.03             108.08             114.83           11.77          -3.03       0.06            -2.97        -2.97
       3.28              91.04              97.22           13.19          -3.28       0.07            -3.22        -3.22
       3.27              93.76             100.10           13.17          -3.27       0.07            -3.20        -3.21
       3.07             111.39             118.46           12.49          -3.07       0.06            -3.01        -3.01
       3.35              96.32             102.99           14.10          -3.35       0.07            -3.28        -3.28
       3.33             103.58             110.71           14.15          -3.33       0.07            -3.26        -3.26
       3.78              95.43             102.92           17.85          -3.78       0.09            -3.69        -3.69
       3.61             106.96             114.96           16.77          -3.61       0.08            -3.52        -3.52
       4.07              86.64              93.98           19.98          -4.07       0.10            -3.97        -3.97
       3.72             111.16             119.76           17.78          -3.72       0.09            -3.63        -3.64
4.00    93.63   101.43    20.16   -4.00   0.10   -3.90   -3.90
4.31    94.53   103.05    23.05   -4.31   0.12   -4.20   -4.20
4.44    93.74   102.43    24.72   -4.44   0.12   -4.31   -4.32
4.61    93.76   102.82    26.46   -4.61   0.13   -4.48   -4.48
4.61    93.71   102.76    27.04   -4.61   0.14   -4.47   -4.48
5.07    84.89    93.94    31.47   -5.07   0.16   -4.91   -4.91
4.98    94.28   104.14    31.59   -4.98   0.16   -4.82   -4.82
4.97    96.75   106.86    31.60   -4.97   0.16   -4.81   -4.82
4.78   106.98   117.70    29.88   -4.78   0.15   -4.63   -4.63
5.49    82.56    92.15    37.60   -5.49   0.19   -5.31   -5.31
4.92   118.50   130.76    32.38   -4.92   0.16   -4.76   -4.76
5.76    80.22    90.01    40.71   -5.76   0.20   -5.56   -5.56
5.58    84.77    94.78    39.67   -5.58   0.20   -5.38   -5.39
5.93    81.96    92.28    43.82   -5.93   0.22   -5.71   -5.72
5.88    86.02    96.76    43.50   -5.88   0.22   -5.67   -5.67
5.33   107.68   119.80    38.58   -5.33   0.19   -5.14   -5.15
6.20    82.41    93.29    48.39   -6.20   0.24   -5.96   -5.97
5.68   109.81   123.02    43.68   -5.68   0.22   -5.46   -5.47
6.07    91.80   103.65    48.12   -6.07   0.24   -5.83   -5.83
5.97   113.75   128.18    48.35   -5.97   0.24   -5.73   -5.73
5.94   115.54   130.10    49.11   -5.94   0.25   -5.69   -5.70
6.47    91.95   104.66    55.80   -6.47   0.28   -6.19   -6.20
6.55    91.37   104.17    56.92   -6.55   0.28   -6.27   -6.28
6.25   106.19   120.32    53.03   -6.25   0.27   -5.98   -5.99
6.62    92.71   105.83    59.15   -6.62   0.30   -6.32   -6.33
6.41   103.21   117.33    56.49   -6.41   0.28   -6.13   -6.14
6.80    89.17   102.15    61.56   -6.80   0.31   -6.49   -6.50
6.66    94.85   108.36    61.03   -6.66   0.31   -6.35   -6.36
6.87    93.72   107.52    64.01   -6.87   0.32   -6.55   -6.56
6.84    94.08   107.87    64.96   -6.84   0.32   -6.51   -6.52
7.39    77.52    89.86    72.66   -7.39   0.36   -7.02   -7.04
6.96    93.29   107.23    66.72   -6.96   0.33   -6.63   -6.64
7.01    92.21   106.08    67.38   -7.01   0.34   -6.67   -6.68
7.37    82.87    96.04    72.76   -7.37   0.36   -7.01   -7.02
7.59    77.02    89.65    76.02   -7.59   0.38   -7.21   -7.23
7.58    79.40    92.40    75.91   -7.58   0.38   -7.20   -7.22
7.59    79.15    92.12    77.42   -7.59   0.39   -7.20   -7.21
7.79    76.91    89.87    80.57   -7.79   0.40   -7.38   -7.40
7.42    91.39   106.00    76.49   -7.42   0.38   -7.03   -7.05
7.47    91.47   106.21    77.30   -7.47   0.39   -7.08   -7.10
7.55    89.17   103.69    78.50   -7.55   0.39   -7.15   -7.17
7.35    93.26   108.02    77.01   -7.35   0.39   -6.96   -6.98
7.44    93.31   108.29    78.40   -7.44   0.39   -7.05   -7.06
7.89    84.34    98.76    85.61   -7.89   0.43   -7.46   -7.48
7.60    92.20   107.33    82.43   -7.60   0.41   -7.18   -7.20
7.87    88.71   103.83    86.81   -7.87   0.43   -7.43   -7.45
8.29    75.87    89.55    93.98   -8.29   0.47   -7.82   -7.84
7.97    87.36   102.46    88.53   -7.97   0.44   -7.53   -7.55
7.74    93.22   108.83    86.35   -7.74   0.43   -7.31   -7.33
8.52    74.15    87.91   101.44   -8.52   0.51   -8.01   -8.03
8.23    81.77    96.41    98.24   -8.23   0.49   -7.74   -7.76
 8.01    90.07   105.74    94.26    -8.01   0.47   -7.54   -7.56
 8.10    89.67   105.44    95.62    -8.10   0.48   -7.62   -7.64
 8.03    92.78   108.95    94.35    -8.03   0.47   -7.56   -7.58
 7.82   108.39   126.74    91.90    -7.82   0.46   -7.36   -7.38
 8.20    92.09   108.50   100.69    -8.20   0.50   -7.70   -7.72
 8.24    92.82   109.45   101.37    -8.24   0.51   -7.73   -7.75
 8.30    92.68   109.43   104.18    -8.30   0.52   -7.78   -7.81
 8.43    91.79   108.65   106.45    -8.43   0.53   -7.90   -7.93
 9.19    72.23    86.81   123.50    -9.19   0.62   -8.58   -8.61
 9.34    71.93    86.70   126.14    -9.34   0.63   -8.71   -8.74
 9.22    91.28   109.78   136.90    -9.22   0.68   -8.54   -8.58
 9.28    92.10   110.88   139.66    -9.28   0.70   -8.58   -8.62
 9.43    88.01   106.28   143.12    -9.43   0.72   -8.71   -8.76
 9.40    91.03   109.88   142.13    -9.40   0.71   -8.69   -8.74
 9.77    83.57   101.61   157.74    -9.77   0.79   -8.98   -9.03
 9.99    81.72    99.80   166.01    -9.99   0.83   -9.16   -9.21
10.07    88.58   108.35   167.49   -10.07   0.84   -9.23   -9.29
10.77    72.84    90.37   194.42   -10.77   0.97   -9.80   -9.87
10.50    86.91   107.23   188.93   -10.50   0.94   -9.55   -9.62
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posted:9/9/2011
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