CCIL's Mark to Market Prices for Central Govt. Securities & Treasury Bills

Mark to Market (MTM) prices of Securities are calculated by CCIL at the end of the each trading day. These are expressed in terms of Clean Prices (i.e. accrued interest is not taken into account for arriving at such prices).

CCIL’s valuation methodology gives primacy to the traded prices. For the securities traded during a day, weighted average price for each such security is taken as its MTM price. For arriving at weighted average price, last five outright trades of the day in the security (or of all trades, if number of trades in the security during the day is less than five) are only taken into consideration. Trades of face value of below Rs. 5 cores and market outliers are ignored for this purpose.

In case there is no trade in a security on a particular day, previous day’s price for such security is normally repeated and taken as MTM Price subject to the condition that no price is repeated for more than six days.

In case traded price is not available for security for any day and the previous price for the security has already been repeated for six days or such previous day’s price is not in line with the market condition prevailing on such day (e.g. significant shift in yield curve has occurred in the meantime), CCIL’s Model Price is used as MTM price for the security.

CCIL’s Model Prices for Central Government Securities and T-Bills are worked out at the end of each trading day using Nelson Siegel equation based Zero Coupon Yield Curve generated from the data on trades in Central Government Securities and T-Bills done by market particulars during the day.