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 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.
The price of last trade (of face value Rs.5 crores and above) of the day
reported / matched on NDS-OM will be taken as MTM price. If in the opinion of
CCIL, the last trade doesn’t reflect the fair market price of the security,
CCIL may change the price to weighted average price for each such security. For
arriving at weighted average price, last five outright trades of the day in the
security (or of all trades, if number of trades is less than five) are only
taken into consideration. Trades of face value of below Rs. 5 cores, market
outliers & constituent trades are ignored for this purpose.
In case there is no outright non-constituent trade of face value
Rs.5 Crores and above in a security or if, in the opinion of CCIL, none of the
trades in the security reflect the prevailing market price of the security, the
security will be treated as not traded on the day. On such days, MTM price of
previous day(s) will be repeated up to 3 days. In case of Treasury Bills
(including cash management bills) there will not be a repetition of the MTM
In case no trade is reported/ matched through NDS-OM in a particular
security for the previous four business days, Mark to Market price for such
security will be based on the Internal Valuation Model of CCIL. On days when
volatility margin is imposed due to increased volatility, there will be no repetition
of MTM prices.
CCIL’s Model Prices for Central Government Securities and
T-Bills are worked out at the end of each trading day using Nelson-Siegel-Svensson
Zero Coupon Yield Curve generated from the data on trades in Central Government
Securities and T-Bills done by market participants during the day.