The Clearing Corporation of India Ltd. (CCIL) on May 10, 2024, issued the notification regarding the Back Testing Results of the effectiveness of using yield spreads/illiquidity-related adjustments during the month of Apr 24.
The following has been stated namely: -
• Improvement in terms of bringing model prices of securities closer to the weighted average of traded prices could be achieved during Apr'24 as under:
o Government of India Securities - 100.00%
o Special Securities issued by Government of India - 100.00%
o State Government Securities - 100.00%
• There were no cases of GOI Securities and no cases for Special & SDLs where due to yield spread and illiquidity-related adjustments, the model price moved away from the weighted average of traded price by a significant margin (Rs.1 or more).
[Notification No. RMD/SS/BT/24/02]
