Pages - ZCYCCurrent

22:27 Sep 25, 2017

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Risk Management Process

Eligible Securities for Collateral Deposits and Hair cut rates thereon

Eligible Securities for Default Fund and Hair Cut thereon

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Risk Management Process

Eligible Securities for Default Fund and Hair Cut Rates thereon

Forex Forward Risk Management Process

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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	25-Sep-2017	Archive

N-S-S Methodology

CCIL NSS ZCYC Parameters

Date	ß0	ß1	ß2	ß3	tau1	tau2
25-Sep-2017	7.5113	-1.4259	-0.8891	-0.7189	1.6003	1.5988

N-S ZCYC Parameters

Date	ß0	ß1	ß2	tau
25-Sep-2017	7.5041	-1.4057	-1.7549	1.4435

N-S Methodology

Error statistics & Valuation Sheet (NSS)

Title	Date
CCIL Rupee Yield Curve (Zero Coupon Yield Curve)	25-Sep-2017

Error Statistics & Valuation Sheet (NS)

Title	Date
CCIL Rupee Yield Curve (Zero Coupon Yield Curve)	25-Sep-2017

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