Market Mover - BNP PARIBAS - Investment Services India

This section is classified as non-objective researchTable 2: Results from Week Three of the BoE’s APF Reverse Auction OperationBond (3-10y)OffersReceivedOffersAcceptedWAAPHighest AAPDiscount(cents)Discount(bp)14.45 DMODMO Close(t-1)Change onDay (cents)Change onDay (bp)2t 15 623 287 105.68 105.70 0.7 0.2 105.69 105.67 2 -0.6 3.10 92%4t 15 406 109 113.80 113.80 0.3 0.1 113.80 113.77 3 -0.8 3.58 54%8 15 84 57 127.43 127.43 7.0 2.0 127.50 127.47 3 -0.8 3.57 38%2 16 809 285 103.00 103.02 1.9 0.5 103.02 102.98 4 -1.0 4.07 98%4 16 124 0 0.00 0.00 112.22 112.18 4 -0.9 4.47 71%1t 17 0.0 0.0 5.01 99%8t 17 353 0 0.00 0.00 4.84 61%5 18 514 0 0.00 0.00 5.58 41%4h 19 535 239 116.67 116.68 116.67 116.55 12 -1.9 6.41 69%3t 19 569 240 111.23 111.27 3.7 0.5 111.27 111.14 13 -1.9 6.91 89%4t 20 75 16 118.84 118.84 -1.1 -0.2 118.83 118.70 13 -1.8 7.10 61%3t 20 301 223 110.79 110.80 5.5 0.7 110.84 110.71 13 -1.7 7.66 97%3t 21 995 245 110.64 110.65 110.66 110.57 9 -1.1 8.39 99%DV01Free float(%)24-Oct-11 5387 1701 Cover Ratio 3.17 Avg discount 0.4 Avg Duration 5.71Bond (25y+)OffersReceivedOffersAcceptedWAAPHighest AAPDiscount(cents)Discount(bp)14.45 DMODMO Close(t-1)Change onDay (cents)Change onDay (bp)4t 38 132 132 124.25 124.65 -56.0 -3.4 123.69 123.15 54 -3.3 16.55 66%4q 39 356 298 114.54 115.05 -12.0 -0.7 114.42 113.89 53 -3.1 17.34 82%4q 40 757 711 114.36 114.40 4.0 0.2 114.40 113.82 58 -3.3 17.62 93%4h 42 134 134 119.82 121.05 36.0 2.0 120.18 119.52 66 -3.6 18.12 88%4q 46 78 78 116.03 116.30 3.0 0.2 116.06 115.31 75 -3.8 19.56 84%4q 49 154 154 116.10 116.90 35.0 1.7 116.45 115.52 93 -4.6 20.39 85%3t 52 106 106 105.73 105.92 10.0 0.5 105.83 104.92 91 -4.2 21.81 85%4q 55 36 36 117.04 117.05 27.0 1.2 117.31 116.11 120 -5.5 21.84 71%4 60 51 51 112.23 112.89 -24.0 -1.0 111.99 110.66 133 -5.8 23.05 85%DV01Free float(%)25-Oct-11 1804 1700 Cover Ratio 1.06 Avg discount 0.1 Avg Duration 18.38Bond (10-25y)OffersReceivedOffersAcceptedWAAPHighest AAPDiscount(cents)Discount(bp)14.45 DMODMO Close(t-1)Change onDay (cents)Change onDay (bp)4 22 1,648 484 113.56 113.58 3.6 0.4 113.60 113.41 19 -2.2 8.67 52%5 25 559 320 124.86 124.89 5.9 0.6 124.92 124.67 25 -2.4 10.26 57%4q 27 403 118 116.00 116.00 4.0 0.3 116.04 115.81 23 -1.9 12.01 54%6 28 459 144 140.29 140.34 5.0 0.4 140.34 140.08 26 -2.2 11.77 52%4t 30 384 237 123.52 123.64 11.0 0.8 123.63 123.30 33 -2.5 13.27 64%4q 32 313 134 115.72 115.74 4.1 0.3 115.76 115.42 34 -2.4 14.24 53%4h 34 356 141 119.71 119.75 1.3 0.1 119.72 119.30 42 -2.8 15.20 82%4q 36 480 122 115.95 116.03 7.6 0.5 116.03 115.62 41 -2.6 16.01 86%DV01Free float(%)26-Oct-11 4604 1700 Cover Ratio 2.71 Avg discount 0.5 Avg Duration 11.61Source: BNP ParibasShahid Ladha 27 October 2011Market Mover49www.GlobalMarkets.bnpparibas.com