18:25 Apr 30, 2017
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Market Liquidity Indicators

  Technical Document          

        

Government Securities - Market Liquidity Indicators

 

 

Liquid Securities

 

1A

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Mar-17

0.04%

0.0388

0.6138

0.4-0.0025

 

Feb-17

0.03%

0.0350

0.4493

0.45-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Mar-17

0.26%

0.2702

3.6718

0.9-0.01

 

Feb-17

0.40%

0.4222

4.1965

3.9975-0.02

 

 

Illiquid Securities (Orderbook was available for only a few days)

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Mar-17

0.37%

0.4109

11.1107

2.2-0.01

 

Feb-17

0.13%

0.1330

5.8606

1.1-0.0025

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Mar-17

2901

88

65

3054

 

Feb-17

3167

50

52

3269

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Mar-17

5450

86988

29760

3054

 

 

 

 

34.21%

56.04%

 

Feb-17

5779

102522

34703

3269

 

 

 

 

33.85%

56.57%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Mar-17

0.0320

0.0313

0.0317

 

 

Feb-17

0.0293

0.0303

0.0298

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Mar-17

1.41%

0.40%

2.02%

0.03%

 

Feb-17

1.68%

0.19%

1.30%

0.02%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Mar-17

1.12%

3.33%

 

 

 

Feb-17

1.21%

3.35%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Mar-17

90

1024

55

1169

 

Feb-17

84

528

55

667

                                     


TitleMonthYear 
Market Liquidity IndicatorsMar2017Archive
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