Securities Segment - ZCYC Current

10:38 Sep 30, 2020

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Securities Segment

Risk Management Process

Eligible Securities for SGF and Hair cut rates thereon

Eligible Securities for Default Fund and Hair Cut thereon

TripartyRepo Segment

Risk Management Process

Eligible Securities for Collateral Deposits and Hair cut rates thereon

Eligible Securities for Default Fund and Hair Cut thereon

USD/INR Segment: Eligible Securities for Default Fund and Hair cut rates

Risk Management Process

Eligible Securities for Default Fund and Hair Cut Rates thereon

Forex Forward Risk Management Process

Rupee Derivatives

Eligible Securities for Default Fund and Hair cut rates thereon

Risk Management Process

CLS Risk Management Process

Knowledge Center

Tenor Wise Zero Coupon Yield

Title	Date
Tenor Wise Zero Coupon Yield	29-Sep-2020	Archive

N-S-S Methodology

CCIL NSS ZCYC Parameters

Date	ß0	ß1	ß2	ß3	tau1	tau2
29-Sep-2020	6.3769	-3.2376	5.2708	0.831	5.4372	0.0136

N-S ZCYC Parameters

Date	ß0	ß1	ß2	tau
29-Sep-2020	6.7921	-3.7607	-3.9536	0.7184

N-S Methodology

Error statistics & Valuation Sheet (NSS)

Title	Date
CCIL Rupee Yield Curve (Zero Coupon Yield Curve)	29-Sep-2020

Error Statistics & Valuation Sheet (NS)

Title	Date
CCIL Rupee Yield Curve (Zero Coupon Yield Curve)	29-Sep-2020

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