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 last 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, Mark to Market price for such security will be based on the Internal Valuation Model of Clearing Corporation.

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.