The Clearing Corporation of India Ltd (CCIL) on June 11, 2024, issued a notification regarding Back Testing Results of the effectiveness of using yield spreads/illiquidity-related adjustments during the month of May'24.
The following has been stated: -
•In terms of Para 3 of Notification No.RMD/SS/09/13 dated August 28, 2009, yield spreads and spreads in terms of Rupees & paise are being used to factor in the impact of illiquidity for the purpose of valuation.
•There were 17 cases of GOI Securities and no case 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/24/03]
