Crisil Security Level Valuation of SLR securities

Crisil provides valuation for all outstanding dated Government securities, Treasury bills, State Development Loans, and STRIPS on a daily basis.

The coverage includes:

• All Central Government Securities (G-Secs) including IIB, FRBs and surrogates such as oil and fertilizer bonds.
• All State Development Loans (SDLs) including the special securities issued by State governments including special SDLs and bonds issued under UDAY scheme.
• Treasury Bills (T-Bills)
• Separate Trading of Registered Interest and Principal of Securities (STRIPS)

Crisil Security Level Valuations of Corporate Bonds 

Crisil provides valuations for corporate bonds on a daily basis. The coverage includes different type of securities including plain vanilla bonds, pass through securities, floating rate securities, high yield bonds, bonds with optionality, tax-free bonds etc.

Crisil Bond Matrix - Standard

We provide two dimensional matrices of various rating categories and modified duration (tenors) on a daily basis. The two types of sector matrices published are - TRAD (traditional sectors - PSU, Corporate, Banks etc.) and NPR (covering NBFC, PTC and Real estate sectors).

Crisil Bond Matrix - Customised

We provide  customised yield curves for select issuers for desired tenor based on requirements of the clients. The curves can be very useful for issuers for peer comparison for issuances and investors for identifying new investment opportunities.

Crisil Security Level Valuations

We provide intra-day security level valuations which are customised based on methodology, cut-offs and turn-around time best suited for client's requirements. This service is extremely useful for clients seeking fair value of the security for purpose of Inter Scheme Transfers (ISTs) and debt ETFs.

Crisil Security Level Valuations - FIMMDA Based approach

Crisil acts as a calculation agent for providing security level valuations using the FIMMDA's approach and policy. Valuations are provided for debt securities for banks, NBFCs and general insurance companies, using the FIMMDA-defined process. Valuations are provided at different frequencies, depending upon client requirements.

Security Level Valuations - Based on client's policies

Crisil acts as a calculation agent for providing security level valuations using the client's valuation policy. These valuations are highly customised suiting clients requirements.

Independent portfolio valuation and Portfolio reports

Crisil provides security level valuations covering clean price, dirty price, accrued income, modified duration, convexity etc for securities in clients portfolio in format desired by the client. Additionally customised portfolio analytics reports covering portfolio attributes like portfolio yield, coupon, duration, convexity, exposure (sector wise, duration wise, tenor wise, rating wise etc) are also provided based on client's requirements.

Primary Market Datapoints

Primary Market Datapoints Issuer details, Instrument Class, Face Value, Notified Issue Size, Green Shoe Option, Allotment date, Coupon Type, Coupon Frequency, Conversion Type, Conversion Date/Value, Allotment date, First Coupon Date, Coupon Dates, Redemption Date, Put/Call Option Date(s) Put / Call Price, Issuer Rating , ISIN number etc.

Secondary Market Datapoints

Secondary Market Datapoints Clean Price, Gross Number of Trades, Volume, Turnover, Yield, Modified Duration, Tenor, Accrued Interest etc.

Under this service, rating changes on fixed income instruments are tracked at a security-wise level from all the five rating agencies. This data is disseminated as a feed file via e-mail or FTP. We cover about 9,000 securities under this service.

Crisil's fixed income database has valuations data for over 3,500 securities over two years and yield curve data across rating categories and duration buckets for over 10 years.