Data & Statistics

Operational Aspects

For generation of the yield curve (both NSS and NS), CCIL uses the trade data for outright trades in Central Government Securities (other than special securities) and T- bills conducted through / reported in RBI’s Negotiated Dealing System (NDS). The process followed is as under:

•    Trade data is subjected to a filtering process for removal of market outliers and small value trades, trades in special securities are also excluded.
•    Each traded security is broken down into its constituent cash flows
•    An optimisation process is run to minimise the sum of the square of price errors weighted with inverse of respective durations to arrive at the parameters

Assessment of Fit
 
The yield curve generation process as described above has been subjected by CCIL to rigorous testing. Its sustainability under volatile market conditions has also been analysed by generating yield curves for the most volatile days for the period over past three years. The price errors (i.e. the difference between the traded price & the model price of a security) were found to be in the range of Rupees 0-2 (at times price errors of around Rs.3/- observed in case of very illiquid securities), while in terms of average of square of price error per trade, it worked out to be in the range of 30 paisa to Re 1.
 
Release of ZCYC parameters
 
CCIL releases data in regard to its Zero Coupon Yield Curve on a daily basis (expected by about 7 p.m. every day). The release is in the form of an Excel file in downloadable form. Anyone desirous of using this information may download the file and use the information. In the same file, two other sheets would be available for comparing current day’s ZCYC with ZCYC of any previous day (upto previous 100 working days)- sheet ‘ZCYC Comparison’ for comparing rates and sheet ‘Comparative Chart’ for graphic comparison. Another sheet, ‘Valuation of Portfolio, is also made available which can be used for valuation of security holdings at current prices as described below.
 
Valuation of member portfolios of holdings in securities
 
The Portfolio Valuation sheet provided with the yield curve allows valuation of holdings for upto 1000 securities (Central Government Securities and T-bills). For valuation, it takes weighted average price for any security. If weighted average price is not available, valuation is based on ZCYC based model price for the day.
 
For valuation of a State Government securities (if entered in the sheet), it takes weighted average price, if available. If weighted average price is not available, the security is valued as if it is a Central Government Security and to that extent, there could be price error (as State Government securities are normally traded at a discount as compared to the prices based on Sovereign Yield Curve). It may be noted that as CCIL updates ZCYC parameters on a daily basis, the downloaded file can be used only on the day of download.

[Disclaimer: CCIL takes due care and caution in compilation of data and compute various parameters/prices etc. and also takes reasonable care to make the data available in time. CCIL however does not guarantee accuracy, adequacy or completeness of data/prices/computation and is not responsible in any way for making the data/prices available on a regular basis or for any error or omission or for the results obtained from the use of such information.]